Document and Entity Information
Document and Entity Information - USD ($) $ in Billions | 12 Months Ended | ||
Dec. 31, 2019 | Jan. 31, 2020 | Jun. 28, 2019 | |
Document Information [Line Items] | |||
Document Annual Report | true | ||
Document Transition Report | false | ||
Document Type | 10-K | ||
Current Fiscal Year End Date | --12-31 | ||
Entity File Number | 001-34139 | ||
Entity Registrant Name | Federal Home Loan Mortgage Corporation | ||
Entity Incorporation, State or Country Code | X1 | ||
Entity Tax Identification Number | 52-0904874 | ||
Entity Address, Address Line One | 8200 Jones Branch Drive | ||
Entity Address, City or Town | McLean, | ||
Entity Address, State or Province | VA | ||
Entity Address, Postal Zip Code | 22102-3110 | ||
City Area Code | (703) | ||
Local Phone Number | 903-2000 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Emerging Growth Company | false | ||
Entity Small Business | false | ||
Entity Shell Company | false | ||
Entity Public Float | $ 1.7 | ||
Entity Common Stock, Shares Outstanding | 650,059,033 | ||
Entity Central Index Key | 0001026214 | ||
Document Period End Date | Dec. 31, 2019 | ||
Document Fiscal Year Focus | 2019 | ||
Document Fiscal Period Focus | FY | ||
Amendment Flag | false | ||
Documents Incorporated by Reference [Text Block] | None | ||
Voting Common Stock, no par value per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | Voting Common Stock, no par value per share | ||
Trading Symbol | FMCC | ||
Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCI | ||
5% Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 5% Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCKK | ||
Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCG | ||
5.1% Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 5.1% Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCH | ||
5.79% Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 5.79% Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCK | ||
Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCL | ||
Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCM | ||
Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCN | ||
5.81% Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 5.81% Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCO | ||
6% Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 6% Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCP | ||
Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCJ | ||
5.7% Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 5.7% Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCKP | ||
Variable Rate, Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | Variable Rate, Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCS | ||
6.42% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 6.42% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCT | ||
5.9% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 5.9% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCKO | ||
5.57% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 5.57% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCKM | ||
5.66% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 5.66% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCKN | ||
6.02% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 6.02% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCKL | ||
6.55% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 6.55% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCKI | ||
Fixed-to-Floating Rate Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | Fixed-to-Floating Rate Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCKJ |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income (Loss) - USD ($) shares in Millions, $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Interest income | |||
Mortgage loans | $ 68,583 | $ 66,037 | $ 63,735 |
Investments in securities | 2,737 | 3,035 | 3,415 |
Other | 1,575 | 982 | 657 |
Total interest income | 72,895 | 70,054 | 67,807 |
Interest expense | (61,047) | (58,033) | (53,643) |
Net interest income | 11,848 | 12,021 | 14,164 |
Non-interest income (loss) | |||
Guarantee fee income | 1,089 | 866 | 749 |
Investment gains (losses), net | 818 | 1,921 | 1,160 |
Other income (loss) | 323 | 762 | 4,984 |
Non-interest income (loss) | 2,230 | 3,549 | 6,893 |
Net revenues | 14,078 | 15,570 | 21,057 |
Benefit (provision) for credit losses | 746 | 736 | 84 |
Non-interest expense | |||
Salaries and employee benefits | (1,434) | (1,227) | (1,098) |
Professional services | (445) | (486) | (452) |
Other administrative expense | (685) | (580) | (556) |
Total administrative expense | (2,564) | (2,293) | (2,106) |
Credit enhancement expense, net | (708) | (417) | (280) |
REO operations expense | (229) | (169) | (189) |
Temporary Payroll Tax Cut Continuation Act of 2011 expense | (1,617) | (1,484) | (1,340) |
Other expense | (657) | (469) | (392) |
Non-interest expense | (5,775) | (4,832) | (4,307) |
Income tax (expense) benefit | (1,835) | (2,239) | (11,209) |
Income (loss) before income tax (expense) benefit | 9,049 | 11,474 | 16,834 |
Net income (loss) | 7,214 | 9,235 | 5,625 |
Other comprehensive income (loss), net of taxes and reclassification adjustments | |||
Changes in unrealized gains (losses) related to available-for-sale securities | 535 | (722) | (253) |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 71 | 114 | 124 |
Changes in defined benefit plans | (33) | (5) | 62 |
Total other comprehensive income (loss), net of taxes and reclassification adjustments | 573 | (613) | (67) |
Comprehensive income (loss) | 7,787 | 8,622 | 5,558 |
Net income (loss) | 7,214 | 9,235 | 5,625 |
Undistributed net worth sweep, senior preferred stock dividends, or future increase in senior preferred stock liquidation preference | (7,787) | (5,623) | (8,869) |
Net income (loss) attributable to common stockholders | $ (573) | $ 3,612 | $ (3,244) |
Net income (loss) per common share — basic and diluted | $ (0.18) | $ 1.12 | $ (1) |
Weighted average common shares outstanding (in millions) — basic and diluted | 3,234 | 3,234 | 3,234 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Assets | ||
Cash and cash equivalents (Notes 1, 3, 14) (includes $991 and $596 of restricted cash and cash equivalents) | $ 5,189 | $ 7,273 |
Securities purchased under agreements to resell (Notes 3, 10) | 66,114 | 34,771 |
Investments in securities, at fair value (Note 7) | 75,711 | 69,111 |
Mortgage loans held-for-sale (Notes 3, 4) (includes $15,035 and $23,106 at fair value) | 35,288 | 41,622 |
Mortgage loans held-for-investment (Notes 3, 4) (net of allowance for loan losses of $4,234 and $6,139) | 1,984,912 | 1,885,356 |
Accrued interest receivable (Note 3) | 6,848 | 6,728 |
Derivative assets, net (Notes 9, 10) | 844 | 335 |
Deferred tax assets, net (Note 12) | 5,918 | 6,888 |
Other assets (Notes 3, 18) (includes $4,627 and $3,929 at fair value) | 22,799 | 10,976 |
Total assets | 2,203,623 | 2,063,060 |
Liabilities | ||
Accrued interest payable (Note 3) | 6,559 | 6,652 |
Debt, net (Notes 3, 8) (includes $3,938 and $5,112 at fair value) | 2,179,528 | 2,044,950 |
Derivative liabilities, net (Notes 9, 10) | 372 | 583 |
Other liabilities (Notes 3, 18) | 8,042 | 6,398 |
Total liabilities | 2,194,501 | 2,058,583 |
Commitments and contingencies (Notes 5, 9, 16) | ||
Equity (Note 11) | ||
Senior preferred stock (redemption value of $79,322 and $75,648) | 72,648 | 72,648 |
Preferred stock, at redemption value | 14,109 | 14,109 |
Common stock, $0.00 par value, 4,000,000,000 shares authorized, 725,863,886 shares issued and 650,059,033 shares and 650,058,775 shares outstanding | 0 | 0 |
Additional paid-in capital | 0 | 0 |
Retained earnings (accumulated deficit) | (74,188) | (78,260) |
AOCI, net of taxes, related to: | ||
Available-for-sale securities (includes $222 and $221, related to net unrealized gains on securities for which other-than-temporary impairment has been recognized in earnings) | 618 | 83 |
Cash flow hedge relationships | (244) | (315) |
Defined benefit plans | 64 | 97 |
Total AOCI, net of taxes | 438 | (135) |
Treasury stock, at cost, 75,804,853 shares and 75,805,111 shares | (3,885) | (3,885) |
Total equity (See Note 11 for information on our dividend requirement to Treasury) | 9,122 | 4,477 |
Total liabilities and equity | 2,203,623 | 2,063,060 |
Consolidated Balance Sheet Line Item | ||
Mortgage loans held-for-investment (Notes 3, 4) (net of allowance for loan losses of $4,234 and $6,139) | 1,984,912 | 1,885,356 |
Total assets | 2,203,623 | 2,063,060 |
Debt, net (Notes 3, 8) (includes $3,938 and $5,112 at fair value) | 2,179,528 | 2,044,950 |
Total liabilities | 2,194,501 | 2,058,583 |
Held by consolidated trusts | ||
Assets | ||
Cash and cash equivalents (Notes 1, 3, 14) (includes $991 and $596 of restricted cash and cash equivalents) | 870 | 567 |
Securities purchased under agreements to resell (Notes 3, 10) | 23,137 | 12,125 |
Investments in securities, at fair value (Note 7) | 597 | 0 |
Mortgage loans held-for-sale (Notes 3, 4) (includes $15,035 and $23,106 at fair value) | 0 | 0 |
Mortgage loans held-for-investment (Notes 3, 4) (net of allowance for loan losses of $4,234 and $6,139) | 1,940,523 | 1,842,850 |
Accrued interest receivable (Note 3) | 6,170 | 5,914 |
Other assets (Notes 3, 18) (includes $4,627 and $3,929 at fair value) | 9,824 | 1,631 |
Total assets | 1,981,121 | 1,863,087 |
Liabilities | ||
Accrued interest payable (Note 3) | 5,536 | 5,335 |
Debt, net (Notes 3, 8) (includes $3,938 and $5,112 at fair value) | 1,898,355 | 1,792,677 |
Other liabilities (Notes 3, 18) | 1 | 0 |
Total liabilities | 1,903,892 | 1,798,012 |
Consolidated Balance Sheet Line Item | ||
Mortgage loans held-for-investment (Notes 3, 4) (net of allowance for loan losses of $4,234 and $6,139) | 1,940,523 | 1,842,850 |
All other assets | 40,598 | 20,237 |
Total assets | 1,981,121 | 1,863,087 |
Debt, net (Notes 3, 8) (includes $3,938 and $5,112 at fair value) | 1,898,355 | 1,792,677 |
All other liabilities | 5,537 | 5,335 |
Total liabilities | $ 1,903,892 | $ 1,798,012 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Statement of Financial Position [Abstract] | ||
Restricted cash and cash equivalents | $ 991 | $ 596 |
Mortgages held-for-sale, fair value disclosure | 15,035 | 23,106 |
Allowance for loan losses | (4,234) | (6,139) |
Other Assets at fair value | 4,627 | 3,929 |
Debt securities recorded at fair value | 3,938 | 5,112 |
Senior preferred stock, at redemption value | $ 79,322 | $ 75,648 |
Common Stock, No Par Value | $ 0 | $ 0 |
Common Stock, Shares Authorized | 4,000,000,000 | 4,000,000,000 |
Common Stock, Shares, Issued | 725,863,886 | 725,863,886 |
Common Stock, Shares, Outstanding | 650,059,033 | 650,058,775 |
Available for sale securities other-than-temporary impairment adjustment, related to net unrealized gains(losses) on securities for which other-than-temporary impairment has been recognized in earnings | $ 222 | $ 221 |
Treasury Stock, Shares | 75,804,853 | 75,805,111 |
Consolidated Statements of Equi
Consolidated Statements of Equity - USD ($) shares in Millions, $ in Millions | Total | Senior Preferred Stock | Preferred Stock, at Redemption Value | Common Stock, at Par Value | Additional Paid-In Capital | Retained Earnings (Accumulated Deficit) | AOCI, Net of Tax | Treasury Stock, at Cost |
Beginning balance at Dec. 31, 2016 | $ 5,075 | $ 72,336 | $ 14,109 | $ 0 | $ 0 | $ (77,941) | $ 456 | $ (3,885) |
Beginning balance, Shares at Dec. 31, 2016 | 1 | 464 | 650 | |||||
Comprehensive income (loss): | ||||||||
Net income (loss) | 5,625 | 5,625 | ||||||
Other comprehensive income (loss), net of taxes | (67) | (67) | ||||||
Comprehensive income (loss) | 5,558 | 5,625 | (67) | |||||
Senior preferred stock dividends declared | (10,945) | (10,945) | ||||||
Ending balance at Dec. 31, 2017 | (312) | $ 72,336 | $ 14,109 | $ 0 | 0 | (83,261) | 389 | (3,885) |
Ending balance, Shares at Dec. 31, 2017 | 1 | 464 | 650 | |||||
Comprehensive income (loss): | ||||||||
Net income (loss) | 9,235 | 9,235 | ||||||
Other comprehensive income (loss), net of taxes | (613) | (613) | ||||||
Comprehensive income (loss) | 8,622 | 9,235 | (613) | |||||
Cumulative effect of change in accounting principle | 0 | (89) | 89 | |||||
Increase in liquidation preference | 312 | $ 312 | ||||||
Senior preferred stock dividends declared | (4,145) | (4,145) | ||||||
Ending balance at Dec. 31, 2018 | 4,477 | $ 72,648 | $ 14,109 | $ 0 | 0 | (78,260) | (135) | (3,885) |
Ending balance, Shares at Dec. 31, 2018 | 1 | 464 | 650 | |||||
Comprehensive income (loss): | ||||||||
Net income (loss) | 7,214 | 7,214 | ||||||
Other comprehensive income (loss), net of taxes | 573 | 573 | ||||||
Comprehensive income (loss) | 7,787 | 7,214 | 573 | |||||
Senior preferred stock dividends declared | (3,142) | (3,142) | ||||||
Ending balance at Dec. 31, 2019 | $ 9,122 | $ 72,648 | $ 14,109 | $ 0 | $ 0 | $ (74,188) | $ 438 | $ (3,885) |
Ending balance, Shares at Dec. 31, 2019 | 1 | 464 | 650 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Cash flows from operating activities | |||
Net income (loss) | $ 7,214 | $ 9,235 | $ 5,625 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||
Amortization of cost basis adjustments | (466) | (2,117) | (2,615) |
(Benefit) provision for credit losses | (746) | (736) | (84) |
Investment (Gains)Losses, Net | (1,100) | (2,084) | (2,764) |
Hedge accounting earnings mismatch | (288) | 658 | (357) |
Deferred income tax expense (benefit) | 817 | 1,391 | 7,773 |
Purchases of mortgage loans acquired as held-for-sale | (65,516) | (70,482) | (64,827) |
Proceeds from sales of mortgage loans acquired as held-for-sale | 71,557 | 66,889 | 61,744 |
Repayments of mortgage loans acquired as held-for-sale | 517 | 494 | 306 |
Payments to servicers for pre-foreclosure expense and servicer incentive fees | (282) | (282) | (377) |
Change in accrued interest receivable | (120) | (373) | (220) |
Change in Interest payable | 177 | 440 | 273 |
Change in income taxes receivable | 712 | (1,269) | 1,912 |
Other, net | (279) | (1,090) | (2,165) |
Net cash provided by (used in) operating activities | 12,197 | 674 | 4,224 |
Cash flows from investing activities | |||
Purchases of trading securities | (102,169) | (131,977) | (160,333) |
Proceeds from sales of trading securities | 84,296 | 126,012 | 150,448 |
Proceeds from maturities and repayments of trading securities | 14,528 | 11,375 | 8,570 |
Purchases of available-for-sale securities | (8,967) | (19,701) | (10,549) |
Proceeds from sales of available-for-sale securities | 12,978 | 21,952 | 23,034 |
Proceeds from maturities and repayments of available-for-sale securities | 4,258 | 6,002 | 11,758 |
Purchases of held-for-investment mortgage loans | (228,628) | (151,836) | (126,162) |
Proceeds from sales of mortgage loans held-for-investment | 15,218 | 10,661 | 8,883 |
Repayments of mortgage loans held-for-investment | 348,387 | 248,115 | 277,819 |
Advances under secured lending arrangements | (54,176) | (27,463) | (35,452) |
Repayments of secured lending arrangements | 1,275 | 1,592 | 0 |
Net proceeds from dispositions of real estate owned and other recoveries | 1,150 | 1,336 | 1,861 |
Net (increase) decrease in securities purchased under agreements to resell | (31,343) | 21,132 | (4,355) |
Derivative premiums and terminations, swap collateral, and exchange settlement payments, net | (8,163) | 3,020 | (538) |
Other, net | (492) | (572) | (428) |
Net cash provided by (used in) investing activities | 48,152 | 119,648 | 144,556 |
Cash flows from financing activities | |||
Increase in liquidation preference of senior preferred stock | 0 | 312 | 0 |
Payment of cash dividends on senior preferred stock | (3,142) | (4,145) | (10,945) |
Other, net | (130) | (2) | (3) |
Net cash provided by (used in) financing activities | (62,433) | (122,860) | (161,189) |
Net (decrease) increase in cash and cash equivalents (includes restricted cash and cash equivalents) | (2,084) | (2,538) | (12,409) |
Cash and cash equivalents (includes restricted cash and cash equivalents) at the beginning of year | 7,273 | 9,811 | 22,220 |
Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period | 5,189 | 7,273 | 9,811 |
Cash paid for: | |||
Debt interest | 70,918 | 65,721 | 63,574 |
Income taxes | 306 | 2,125 | 1,872 |
Held by Freddie Mac | |||
Cash flows from financing activities | |||
Proceeds from issuance of debt | 880,249 | 574,472 | 613,280 |
Repayments of debt | (852,684) | (635,669) | (652,017) |
Held by consolidated trusts | |||
Cash flows from financing activities | |||
Proceeds from issuance of debt | 264,373 | 217,574 | 191,638 |
Repayments of debt | (351,099) | (275,402) | $ (303,142) |
Cash and cash equivalents (includes restricted cash and cash equivalents) at the beginning of year | 567 | ||
Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period | $ 870 | $ 567 |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2019 | |
Accounting Policies [Abstract] | |
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | Summary of Significant Accounting Policies Freddie Mac is a GSE chartered by Congress in 1970. Our public mission is to provide liquidity, stability, and affordability to the U.S. housing market. We are regulated by FHFA, the SEC, HUD, and Treasury, and are currently operating under the conservatorship of FHFA. For more information on the roles of FHFA and Treasury, see Note 2 . Throughout our consolidated financial statements and related notes, we use certain acronyms and terms which are defined in the Glossary . Basis of Presentation The accompanying consolidated financial statements have been prepared in accordance with GAAP and include our accounts as well as the accounts of other entities in which we have a controlling financial interest. All intercompany balances and transactions have been eliminated. We are operating under the basis that we will realize assets and satisfy liabilities in the normal course of business as a going concern and in accordance with the authority provided by FHFA to our Board of Directors to oversee management's conduct of our business operations. We have reclassified certain amounts in our prior periods' consolidated financial statements to conform to the current presentation as follows: n Credit enhancement expense, which represents expenses incurred from freestanding credit enhancements, has been presented as a separate line item within non-interest expense, as the volume of freestanding credit enhancements has increased and become a more significant driver of our results of operations. In prior periods, freestanding credit enhancement expenses were recorded in other expenses; n Mortgage loans gains (losses), investment securities gains (losses), debt gains (losses), and derivative gains (losses) have been aggregated and presented as a single amount, investment gains (losses), net, to more clearly show the net effect of these activities on our results of operations, as certain gains and losses on our assets and debt are generally offset by certain gains and losses on the derivatives we use to hedge them. In prior periods, these amounts were shown separately as individual line items, and we continue to present the detail of each individual line item in Note 18 ; and n Certain other immaterial amounts have been reclassified between other income and guarantee fee income and other income and investment gains (losses), net to better align these amounts with the business drivers of the activity. These reclassifications did not have a material impact on our financial condition or results of operations. We evaluate the materiality of identified errors in the financial statements using both an income statement, or "rollover," and a balance sheet, or "iron curtain," approach, based on relevant quantitative and qualitative factors. The financial statements include certain adjustments to correct immaterial errors related to previously reported periods. Use of Estimates The preparation of financial statements requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues, expenses, gains, and losses during the reporting period. Management has made significant estimates in preparing the financial statements for establishing the allowance for credit losses and valuing financial instruments and other assets and liabilities. Actual results could be different from these estimates. Consolidation and Equity Method Accounting For each entity with which we are involved, we determine whether the entity should be consolidated in our financial statements. We generally consolidate entities in which we have a controlling financial interest. The method for determining whether a controlling financial interest exists varies depending on whether the entity is a VIE. For entities that are not VIEs, we hold a controlling financial interest in entities where we hold a majority of the voting rights or a majority of a limited partnership's kick-out rights through voting interests. We do not currently consolidate any entities which are not VIEs. We use the equity method to account for our interests in entities in which we do not have a controlling financial interest, but over which we have significant influence. Cash and Cash Equivalents Highly liquid investment securities that have an original maturity of three months or less are accounted for as cash equivalents. Original maturity means the original maturity to us when we acquire the investment, not the original maturity of the instrument itself. Cash collateral accepted from counterparties that we do not have the right to use for general corporate purposes is classified as restricted cash and cash equivalents on our consolidated balance sheets. Restricted cash and cash equivalents include cash remittances received from servicers of the underlying assets of our consolidated trusts which are deposited into a separate custodial account. We invest the cash held in the custodial account in short-term investments and are entitled to the interest income earned on these short-term investments, which is recorded as interest income, other on our consolidated statements of comprehensive income. Comprehensive Income Comprehensive income includes all changes in equity during a period, except those resulting from investments by stockholders. We define comprehensive income as consisting of net income (loss) plus after-tax changes in: n Unrealized gains and losses on available-for-sale securities; n Unrealized gains and losses related to cash flow hedge relationships; and n Defined benefit plans. Other Significant Accounting Policies The table below identifies our other significant accounting policies and the related note in which information about them can be found. Note Accounting Policy Note 3 Variable Interest Entities Note 4 Mortgage Loans and Allowance for Loan Losses Note 5 Financial Guarantees Note 6 Credit Enhancements Note 7 Investments in Securities Note 8 Debt Note 9 Derivatives Note 10 Collateralized Agreements and Offsetting Arrangements Note 10 Repurchase and Resale Agreements Note 11 Stockholders' Equity Note 11 Earnings Per Share Note 12 Income Taxes Note 13 Segment Reporting Note 15 Fair Value Measurements Recently Issued Accounting Guidance Recently Adopted Accounting Guidance Standard Description Date of Adoption Effect on Consolidated Financial Statements ASU 2016-02 , Leases (Topic 842) The amendment in this Update addresses the accounting for lease arrangements. January 1, 2019 The adoption of the amendment did not have a material effect on our consolidated financial statements or on our disclosures. ASU 2018-16 , Derivatives and Hedging (Topic 815): Inclusion of the Secured Overnight Financing Rate (SOFR) Overnight Index Swap (OIS) Rate as a Benchmark Interest Rate for Hedge Accounting Purpose The amendments in this Update permit the OIS rate based on SOFR, as an eligible U.S. benchmark interest rate for purposes of applying hedge accounting under Topic 815. January 1, 2019 The adoption of the amendments did not have a material effect on our consolidated financial statements or on our disclosures. ASU 2018-20 , Leases (Topic 842): Narrow-Scope Improvements for Lessors The amendments in this Update address certain ASU 2016-02 implementation issues including the recognition of taxes collected from lessees, lessor costs paid directly by a lessee, and recognition of variable payments for contracts with lease and non-lease components. January 1, 2019 The adoption of the amendments did not have a material effect on our consolidated financial statements or on our disclosures. Recently Issued Accounting Guidance, Not Yet Adopted Within Our Consolidated Financial Statements Standard Description Date of Planned Adoption Effect on Consolidated Financial Statements ASU 2016-13 , Financial Instruments—Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments The amendments in this Update replace the incurred loss impairment methodology in current GAAP with a methodology that reflects lifetime expected credit losses and requires consideration of a broader range of reasonable and supportable information to inform credit loss estimates. January 1, 2020 We have developed our models to estimate lifetime expected credit losses on our financial instruments measured at amortized cost primarily using a discounted cash flow methodology. We used these models to execute our process for estimating the allowance for credit losses under the new standard in parallel with our existing process for estimating the allowance for credit losses based on incurred losses and have developed an appropriate governance process for our estimate of expected credit losses under the new standard. The amendments will be applied through a cumulative effect adjustment to retained earnings as of January 1, 2020. Based on the composition of our portfolio as of January 1, 2020 and the economic conditions and forecasts at that time, we expect the transition impact to result in a decrease in retained earnings of $0.2 billion. The increase in the allowance for credit losses from incorporating lifetime losses is generally offset by recoveries and a positive impact from including forecasts of economic conditions. Recently Issued Accounting Guidance, Not Yet Adopted Within Our Consolidated Financial Statements Standard Description Date of Planned Adoption Effect on Consolidated Financial Statements ASU 2018-13 , Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement The amendments in this Update modify the disclosure requirements on fair value measurements in Topic 820, Fair Value Measurements, based on the concepts in the Concepts Statement, including the consideration of costs and benefits. Certain disclosure requirements were either removed, modified, or added. January 1, 2020 On October 1, 2018, we early adopted the amendments to remove or modify certain disclosures, which did not have a material effect on our consolidated financial statements. We are delaying adoption of the amendments to add certain disclosures until their effective date. We do not expect that the adoption of the additional disclosures will have a material effect on our consolidated financial statements. ASU 2018-15 , Intangibles - Goodwill and Other - Internal-Use Software (Subtopic 350-40): Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement That Is a Service Contract The amendments in this Update align the requirements for capitalizing implementation costs incurred in a hosting arrangement that is a service contract with the requirements for capitalizing implementation costs incurred to develop or obtain internal-use software (and hosting arrangements that include an internal-use software license). January 1, 2020 We do not expect that the adoption of these amendments will have a material effect on our consolidated financial statements. ASU 2018-17 , Consolidation (Topic 810): Targeted Improvements to Related Party Guidance for Variable Interest Entities The amendments in this Update require that indirect interests held through related parties under common control be considered on a proportional basis when determining whether fees paid to decision makers or service providers are variable interests. These amendments align with the determination of whether a reporting entity within a related party group is the primary beneficiary of a VIE. January 1, 2020 We do not expect that the adoption of these amendments will have a material effect on our consolidated financial statements. ASU 2019-01 , Leases (Topic 842): Narrow-Scope Improvements for Lessors The amendments in this Update provide guidance for the: (1) lessor's fair value determination of the lease's underlying asset; (2) lessor's statement of cash flows presentation of cash received from sales-type and direct financing leases; and (3) removal of interim transition disclosure requirements related to changes in accounting principles. January 1, 2020 We do not expect that the adoption of these amendments will have a material effect on our consolidated financial statements. ASU 2019-04 , Codification Improvements to Financial Instruments - Credit Losses (Topic 326), Derivatives and Hedging (Topic 815), and Financial Instruments (Topic 825 The amendments in this Update clarify certain aspects of Topic 326 guidance issued in ASU 2016-13 including the scope of the credit losses standard and issues related to accrued interest receivable balances, recoveries, variable interest rates and prepayments. The other amendments in this update clarify certain aspects of Topic 815 and Topic 825. January 1, 2020 The impact of adopting the Topic 326 amendments is included with the impact of adoption of ASU 2016-13. We do not expect that the adoption of these amendments will have a material effect on our consolidated financial statements. ASU 2019-05 , Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instrument The amendments in this Update provide entities with transition relief upon the adoption of ASU 2016-13 by providing an option to elect the fair value option on certain financial instruments measured at amortized cost. January 1, 2020 We do not expect to elect the fair value option for any financial instruments upon adoption of ASU 2016-13. ASU 2019-11 , Codification Improvements to Financial Instruments - Credit Losses (Topic 326) The amendments in this Update clarify certain aspects of Topic 326 guidance issued in ASU 2016-13 including guidance providing transition relief for TDRs. January 1, 2020 The impact of adopting these amendments is included with the impact of adoption of ASU 2016-13. ASU 2019-12 , Income Taxes (Topic 740): Simplifying the Accounting for Income Taxes The amendments in this Update simplify the accounting for income taxes by removing certain exceptions for investments, intraperiod allocations, and interim calculations, and add guidance to reduce the complexity of applying Topic 740. January 1, 2021 We do not expect that the adoption of these amendments will have a material effect on our consolidated financial statements. |
Conservatorship and Related Mat
Conservatorship and Related Matters | 12 Months Ended |
Dec. 31, 2019 | |
Conservatorship and Related Matters [Abstract] | |
CONSERVATORSHIP AND RELATED MATTERS | Conservatorship and Related Matters Business Objectives We operate under the conservatorship that commenced on September 6, 2008, conducting our business under the direction of FHFA, as our Conservator. The conservatorship and related matters significantly affect our management, business activities, financial condition, and results of operations. Upon its appointment, FHFA, as Conservator, immediately succeeded to all rights, titles, powers, and privileges of Freddie Mac, and of any stockholder, officer, or director thereof, with respect to the company and its assets. The Conservator also succeeded to the title to all books, records, and assets of Freddie Mac held by any other legal custodian or third party. The Conservator provided for the Board of Directors to perform certain functions and to oversee management, and the Board delegated to management authority to conduct business operations so that the company can continue to operate in the ordinary course. The directors serve on behalf of, and perform such functions as provided by, the Conservator. We are subject to certain constraints on our business activities under the Purchase Agreement. However, the support provided by Treasury pursuant to the Purchase Agreement currently enables us to maintain our access to the debt markets and to have adequate liquidity to conduct our normal business activities, although the costs of our debt funding could vary. Our ability to access funds from Treasury under the Purchase Agreement is critical to keeping us solvent. Our current business objectives reflect direction we have received from the Conservator (including the Conservatorship Scorecards). At the direction of the Conservator, we have made changes to certain business practices that are designed to provide support for the mortgage market in a manner that serves our public mission and other non-financial objectives but may not contribute to our profitability. Certain of these objectives are intended to help homeowners and the mortgage market and may help to mitigate future credit losses. Some of these initiatives affect our near- and long-term financial results. Given our public mission and the important role the Administration and our Conservator have placed on Freddie Mac in addressing housing and mortgage market conditions, we may be required to take actions that could have a negative impact on our business, operating results, or financial condition, and thus contribute to a need for additional draws under the Purchase Agreement. In October 2019, FHFA issued a new Strategic Plan for the Conservatorships of Freddie Mac and Fannie Mae (the Enterprises) and a new annual Conservatorship Scorecard for Freddie Mac, Fannie Mae, and CSS. The 2019 Strategic Plan provides a framework for how FHFA will guide the Enterprises to fulfill their statutory missions, focus on safety and soundness, and prepare for a responsible end to the Conservatorships. The three objectives of the 2019 Strategic Plan are to ensure that the Enterprises: n Focus on their core mission responsibilities to foster competitive liquid, efficient, and resilient (CLEAR) national housing finance markets that support sustainable homeownership and affordable rental housing; n Operate in a safe and sound manner appropriate for entities in conservatorship; and n Prepare for their eventual exits from the conservatorships. FHFA has issued annual Conservatorship Scorecards since 2014. The annual Conservatorship Scorecards establish objectives and performance targets and measures for Freddie Mac and Fannie Mae related to the objectives set forth in the Strategic Plan. The 2020 Conservatorship Scorecard aligns tactical priorities and execution at the Enterprises to the 2019 Strategic Plan and serves as a tool in holding the Enterprises accountable for its effective implementation. For more information on the 2020 Conservatorship Scorecard and how it affects executive compensation, see Executive Compensation - Compensation Discussion and Analysis . The first objective of the 2019 Strategic Plan includes the continuing duty of the Enterprises to fulfill the statutory housing goal and duty-to-serve requirements, the continued effectiveness of the UMBS, the implementation of the Credit Score Rule, finalized in August 2019, developing a more competitive mortgage market through leveling the playing field and greater transparency. The first objective includes a number of other on-going initiatives, including operating the multifamily business under the new caps announced in September 2019, continuing preparations for the transition from LIBOR to an alternative reference rate such as SOFR, supporting the needs of lenders and borrowers dealing with challenges of limited English proficiency, implementing a new, modernized Uniform Residential Loan Application, and supporting state and local governments in reducing barriers to building and financing housing. The second objective focuses on the heightened need for safety and soundness, taking into account both the reality of the inadequate capital cushions currently in place and the importance of building a robust capital foundation to successfully exit conservatorship, and directs the Enterprises to conduct comprehensive assessments of all major business activities in order to evaluate and reduce risk and complexity. CRT will continue to be a component of the Enterprises' approach to risk management. Given the growth and total size of the CRT program, the Enterprises will complete a comprehensive review of the program, including costs and benefits, to better inform future direction. The second objective also directs the Enterprises to strengthen their implementation of the CCF to support risk management initiatives and business decisions, addresses mortgage servicing by seeking to promote stability and ensure readiness for more challenging market conditions, and focuses on enhancing the resiliency of operations and systems and modernizing legacy systems. The third objective instructs the Enterprises to support FHFA in the development and implementation of responsible, milestone-based plans to transition out of conservatorship, including capital restoration strategies and roadmaps. The third objective emphasizes the need for the Enterprises to carefully scrutinize and optimize their balance sheet exposures to focus on serving their core guaranty business with maximum capital efficiency. The third objective also focuses on enhancing the Enterprises' ability to assess the returns on the capital necessary to support their assets and risks, the development of a post-conservatorship strategy and governance structure for CSS/CSP, remediation of deficiencies identified through FHFA's supervisory oversight and by the Enterprises' own examinations and audits, and the critical role of fair-lending risk assessment, monitoring, and oversight at the Enterprises. We continue to align our resources and internal business plans to meet the objectives provided to us by FHFA. As a result of the net worth sweep dividend provisions of the senior preferred stock, we cannot retain capital from the earnings generated by our business operations in excess of the applicable Capital Reserve Amount under the Purchase Agreement (which is $20.0 billion but will be reduced to zero if for any reason we do not pay the full dividend requirement in a future period) or return capital to stockholders other than Treasury, the holder of our senior preferred stock. Our future is uncertain, and the conservatorship has no specified termination date. We do not know what changes may occur to our business model during or following conservatorship, including whether we will continue to exist. Our Conservator has not made us aware of any plans to make any significant change to our business model or capital structure in the near term. Our future structure and role will be determined by the Administration, Congress, and FHFA, and it is possible, and perhaps likely, that there will be significant changes beyond the near term. We have no ability to predict the outcome of these deliberations. Purchase Agreement and Warrant Overview On September 7, 2008, we, through FHFA, in its capacity as Conservator, entered into the Purchase Agreement with Treasury. The Purchase Agreement was subsequently amended and restated on September 26, 2008, and further amended on May 6, 2009, December 24, 2009, August 17, 2012, December 21, 2017, and September 27, 2019. The amount of available funding remaining under the Purchase Agreement was $140.2 billion as of December 31, 2019 . This amount will be reduced by any future draws. The Purchase Agreement requires Treasury, upon the request of the Conservator, to provide funds to us after any quarter in which we have a negative net worth (that is, our total liabilities exceed our total assets, as reflected on our consolidated balance sheets). In addition, the Purchase Agreement requires Treasury, upon the request of the Conservator, to provide funds to us if the Conservator determines, at any time, that it will be mandated by law to appoint a receiver for us unless we receive these funds from Treasury. In exchange for Treasury's funding commitment, we issued to Treasury, as an aggregate initial commitment fee, one million shares of Variable Liquidation Preference Senior Preferred Stock (with an initial liquidation preference of $1 billion ), which we refer to as the senior preferred stock, and a warrant to purchase, for a nominal price, shares of our common stock equal to 79.9% of the total number of shares of our common stock outstanding on a fully diluted basis at the time the warrant is exercised, which we refer to as the warrant. We received no cash proceeds or other consideration from Treasury for issuing the senior preferred stock or the warrant. Treasury, as the holder of the senior preferred stock, is entitled to receive quarterly cash dividends, when, as and if declared by our Board of Directors. The dividends we have paid to Treasury on the senior preferred stock have been declared by, and paid at the direction of, the Conservator, acting as successor to the rights, titles, powers, and privileges of the Board. Through December 31, 2012, the senior preferred stock accrued quarterly cumulative dividends at a rate of 10% per year. However, under the August 2012 amendment to the Purchase Agreement, the fixed dividend rate was replaced with a net worth sweep dividend beginning in the first quarter of 2013. Under the August 2012 amendment to the Purchase Agreement, for each quarter from January 1, 2013 and thereafter, the dividend payment will be the amount, if any, by which our Net Worth Amount at the end of the immediately preceding fiscal quarter, less the applicable Capital Reserve Amount, exceeds zero. The term Net Worth Amount is defined as the total assets of Freddie Mac (excluding Treasury's commitment and any unfunded amounts thereof), less our total liabilities (excluding any obligation in respect of capital stock), in each case as reflected on our consolidated balance sheets prepared in accordance with GAAP. If the calculation of the dividend payment for a quarter does not exceed zero, then no dividend will accrue or be payable for that quarter. Pursuant to the September 2019 Letter Agreement, the applicable Capital Reserve Amount is $20.0 billion . As a result, we will not be required to pay a dividend on the senior preferred stock to Treasury until our Net Worth Amount exceeds $20.0 billion . If for any reason we were not to pay a future net worth sweep dividend in full for any period, the applicable Capital Reserve Amount would thereafter be zero. In addition, pursuant to the September 2019 Letter Agreement, the liquidation preference of the senior preferred stock will be increased, at the end of each fiscal quarter, beginning on September 30, 2019, by an amount equal to the increase in the Net Worth Amount, if any, during the immediately prior fiscal quarter, until the liquidation preference has increased by $17.0 billion . As a result, the liquidation preference of the senior preferred stock increased from $77.5 billion on September 30, 2019 to $79.3 billion on December 31, 2019 based on the $1.8 billion increase in our Net Worth Amount during 3Q 2019, and will increase to $81.8 billion on March 31, 2020 based on the $2.4 billion increase in our Net Worth Amount during 4Q 2019. The amounts payable for dividends on the senior preferred stock could be substantial and will have an adverse impact on our financial position and net worth. The senior preferred stock is senior in liquidation preference to our common stock and all other series of preferred stock. Under the September 2019 Letter Agreement, Freddie Mac and Treasury also agreed to negotiate and execute an amendment to the Purchase Agreement that further enhances taxpayer protections by adopting covenants broadly consistent with recommendations for administrative reform contained in the Treasury's September 2019 Housing Reform Plan. In addition to the issuance of the senior preferred stock and warrant, we are required under the Purchase Agreement to pay a quarterly commitment fee to Treasury. Under the Purchase Agreement, the fee is to be determined in an amount mutually agreed to by us and Treasury with reference to the market value of Treasury's funding commitment as then in effect. However, pursuant to the August 2012 amendment to the Purchase Agreement, for each quarter commencing January 1, 2013, and for as long as the net worth sweep dividend provisions remain in form and content substantially the same, no periodic commitment fee under the Purchase Agreement will be set, accrue, or be payable. Under the Purchase Agreement, our ability to repay the liquidation preference of the senior preferred stock is limited, and we will not be able to do so for the foreseeable future, if at all. On December 31, 2019, the aggregate liquidation preference of the senior preferred stock was $79.3 billion . In addition to increases based on quarterly increases in our Net Worth Amount, as discussed above, the liquidation preference will increase if we receive additional draws under the Purchase Agreement or if any dividends or quarterly commitment fees payable under the Purchase Agreement are not paid in cash. The Purchase Agreement includes significant restrictions on our ability to manage our business, including limiting the amount of indebtedness we can incur and the size of our mortgage-related investments portfolio. The Purchase Agreement has an indefinite term and can terminate only in limited circumstances, which do not include the end of the conservatorship. The Purchase Agreement therefore could continue after the conservatorship ends. However, Treasury's consent is required for a termination of conservatorship other than in connection with receivership. Treasury has the right to exercise the warrant, in whole or in part, at any time on or before September 7, 2028. Purchase Agreement Covenants The Purchase Agreement provides that, until the senior preferred stock is repaid or redeemed in full, we may not, without the prior written consent of Treasury: n Declare or pay any dividend (preferred or otherwise) or make any other distribution with respect to any Freddie Mac equity securities (other than with respect to the senior preferred stock or warrant); n Redeem, purchase, retire, or otherwise acquire any Freddie Mac equity securities (other than the senior preferred stock or warrant); n Sell or issue any Freddie Mac equity securities (other than the senior preferred stock, the warrant, and the common stock issuable upon exercise of the warrant and other than as required by the terms of any binding agreement in effect on the date of the Purchase Agreement); n Terminate the conservatorship (other than in connection with a receivership); n Sell, transfer, lease, or otherwise dispose of any assets, other than dispositions for fair market value: l To a limited life regulated entity (in the context of a receivership); l Of assets and properties in the ordinary course of business, consistent with past practice; l Of assets and properties having fair market value individually or in aggregate less than $250 million in one transaction or a series of related transactions; l In connection with our liquidation by a receiver; l Of cash or cash equivalents for cash or cash equivalents; or l To the extent necessary to comply with the covenant described below relating to the reduction of our mortgage-related investments portfolio; n Issue any subordinated debt; n Enter into a corporate reorganization, recapitalization, merger, acquisition, or similar event; or n Engage in transactions with affiliates unless the transaction is: l Pursuant to the Purchase Agreement, the senior preferred stock, or the warrant; l Upon arm's length terms; or l A transaction undertaken in the ordinary course or pursuant to a contractual obligation or customary employment arrangement in existence on the date of the Purchase Agreement. The Purchase Agreement also required us to reduce the UPB of our mortgage assets to a limit of $250 billion at December 31, 2018. Under the Purchase Agreement, we also may not, without the prior written consent of Treasury, incur indebtedness that would result in the par value of our aggregate indebtedness exceeding $300 billion . The mortgage asset and indebtedness limitations are determined without giving effect to the changes to the accounting guidance for transfers of financial assets and consolidation of VIEs, under which we consolidated certain VIEs in our financial statements as of January 1, 2010. In addition, the Purchase Agreement provides that we may not enter into any new compensation arrangements or increase amounts or benefits payable under existing compensation arrangements of any named executive officer or other executive officer (as such terms are defined by SEC rules) without the consent of the Director of FHFA, in consultation with the Secretary of the Treasury. The Purchase Agreement also provides that, on an annual basis, we are required to deliver a risk management plan to Treasury setting out our strategy for reducing our enterprise-wide risk profile and the actions we will take to reduce the financial and operational risk associated with each of our reportable business segments. Warrant Covenants The warrant we issued to Treasury includes, among others, the following covenants: n Our SEC filings under the Exchange Act will comply in all material respects as to form with the Exchange Act and the rules and regulations thereunder; n Without the prior written consent of Treasury, we may not permit any of our significant subsidiaries to issue capital stock or equity securities, or securities convertible into or exchangeable for such securities, or any stock appreciation rights or other profit participation rights to any person other than Freddie Mac or its wholly-owned subsidiaries; n We may not take any action that will result in an increase in the par value of our common stock; n Unless waived or consented to in writing by Treasury, we may not take any action to avoid the observance or performance of the terms of the warrant and we must take all actions necessary or appropriate to protect Treasury's rights against impairment or dilution; and n We must provide Treasury with prior notice of specified actions relating to our common stock, such as setting a record date for a dividend payment, granting subscription or purchase rights, authorizing a recapitalization, reclassification, merger or similar transaction, commencing a liquidation of the company, or any other action that would trigger an adjustment in the exercise price or number or amount of shares subject to the warrant. Termination Provisions The Purchase Agreement provides that the Treasury's funding commitment will terminate under any of the following circumstances: n The completion of our liquidation and fulfillment of Treasury's obligations under its funding commitment at that time; n The payment in full of, or reasonable provision for, all of our liabilities (whether or not contingent, including mortgage guarantee obligations); and n The funding by Treasury of the maximum amount of the commitment under the Purchase Agreement. In addition, Treasury may terminate its funding commitment and declare the Purchase Agreement null and void if a court vacates, modifies, amends, conditions, enjoins, stays, or otherwise affects the appointment of the Conservator or otherwise curtails the Conservator's powers. Treasury may not terminate its funding commitment under the Purchase Agreement solely by reason of our being in conservatorship, receivership or other insolvency proceeding, or due to our financial condition or any adverse change in our financial condition. Waivers and Amendments The Purchase Agreement provides that most provisions of the agreement may be waived or amended by mutual written agreement of the parties; however, no waiver or amendment of the agreement is permitted that would decrease Treasury's aggregate funding commitment or add conditions to Treasury's funding commitment if the waiver or amendment would adversely affect in any material respect the holders of our debt securities or mortgage guarantee obligations. Third-Party Enforcement Rights In the event of our default on payments with respect to our debt securities or mortgage guarantee obligations, if Treasury fails to perform its obligations under its funding commitment and if we and/or the Conservator are not diligently pursuing remedies in respect of that failure, the holders of these debt securities or mortgage guarantee obligations may file a claim in the United States Court of Federal Claims for relief requiring Treasury to fund to us the lesser of: n The amount necessary to cure the payment defaults on our debt securities and mortgage guarantee obligations and n The lesser of: l The deficiency amount and l The maximum amount of the commitment less the aggregate amount of funding previously provided under the commitment. Any payment that Treasury makes under those circumstances will be treated for all purposes as a draw under the Purchase Agreement that will increase the liquidation preference of the senior preferred stock. Impact of Conservatorship and Related Developments on the Mortgage-Related Investments Portfolio In February 2019, FHFA directed us to maintain the mortgage-related investments portfolio at or below $225 billion at all times. The UPB of this portfolio was $212.7 billion at December 31, 2019 . Our ability to acquire and sell mortgage assets continues to be significantly constrained by limitations of the Purchase Agreement and those imposed by FHFA. Government Support for Our Business We receive substantial support from Treasury and are dependent upon its continued support in order to continue operating our business. Our ability to access funds from Treasury under the Purchase Agreement is critical to: n Keeping us solvent; n Allowing us to focus on our primary business objectives under conservatorship; and n Avoiding the appointment of a receiver by FHFA under statutory mandatory receivership provisions. At September 30, 2019, our assets exceeded our liabilities under GAAP; therefore, FHFA did not request a draw on our behalf and, as a result, we did not receive any funding from Treasury under the Purchase Agreement during the three months ended December 31, 2019 . Since conservatorship began through December 31, 2019 , we have paid cash dividends of $119.7 billion to Treasury at the direction of the Conservator. At December 31, 2019, our assets exceeded our liabilities under GAAP. As a result, FHFA will not submit a draw request from Treasury on our behalf. Based on our Net Worth Amount at December 31, 2019 and the Capital Reserve Amount of $20.0 billion , we will not have a dividend requirement to Treasury in March 2020. Additionally, in recent years, the Federal Reserve purchased significant amounts of mortgage-related securities issued by us, Fannie Mae and Ginnie Mae. See Note 8 and Note 11 for more information on the conservatorship and the Purchase Agreement. Related Parties as a Result of Conservatorship As a result of our issuance to Treasury of the warrant to purchase shares of our common stock equal to 79.9% of the total number of shares of our common stock outstanding, on a fully diluted basis, we are deemed a related party to the U.S. government. During the years ended December 31, 2019, 2018, and 2017, no transactions outside of normal business activities have occurred between us and the U.S. government (or any of its related parties), except for the following: n The transactions with Treasury discussed above in Purchase Agreement and Warrant and Government Support for Our Business ; n The transactions entered into whereby we and Fannie Mae, in conjunction with Treasury, provided assistance to state and local HFAs. Treasury will reimburse Freddie Mac for initial guarantee losses on these transactions; n The transactions discussed in Note 4 , Note 8 , and Note 11 ; and n The allocation or transfer of 4.2 basis points of each dollar of new business purchases to certain housing funds as required under the GSE Act. In addition, we are deemed a related party with Fannie Mae as both we and Fannie Mae have the same relationships with FHFA and Treasury. All transactions between us and Fannie Mae have occurred in the normal course of business in conservatorship. In October 2013, FHFA announced the formation of CSS. CSS is a limited liability company equally-owned by Freddie Mac and Fannie Mae, and CSS is also deemed a related party. In connection with the formation of CSS, we entered into a limited liability company (LLC) agreement with Fannie Mae. Additionally, we and Fannie Mae each appointed two executives to the CSS Board of Managers and signed governance and operating agreements for CSS, including an updated customer services agreement with Fannie Mae and CSS in May 2019. In June 2019, we entered into an agreement with Fannie Mae regarding the commingling of certain of our mortgage securities under the Single Security Initiative and related indemnification obligations. During the year ended December 31, 2019 , we contributed $105 million of capital to CSS, and we have contributed $569 million since the fourth quarter of 2014. In January 2020, FHFA directed Freddie Mac and Fannie Mae to amend the LLC agreement for CSS to change the structure of the Board of Managers (CSS Board). The revised LLC agreement also removed the requirement that any CSS Board decision must be approved by at least one of the CSS Board members appointed by Freddie Mac and one appointed by Fannie Mae. These amendments reduce Freddie Mac’s and Fannie Mae’s ability to control CSS Board decisions, even after conservatorship, including decisions about strategy, business operations, and funding. Under the revised CSS LLC agreement, the CSS Board will continue to include two Freddie Mac and two Fannie Mae representatives, and it will also include two new members: the Chief Executive Officer of CSS and an independent, non-Executive Chair. During conservatorship, the CSS Board Chair shall be designated by FHFA, and all CSS Board decisions will require the affirmative vote of the Board Chair. During conservatorship, FHFA also may appoint up to three additional independent members to the CSS Board, who along with the Board Chair and the Chief Executive Officer of CSS may continue to serve on the CSS Board after conservatorship. FHFA appointed a new CSS Board member to serve as Chair in January 2020. If FHFA appoints three additional CSS Board members, the CSS Board members we and Fannie Mae appoint could be outvoted by non-GSE designated Board members on any matter during conservatorship and on a number of significant matters, including approval of the annual budget and strategic plan for CSS, if either we or Fannie Mae exits from conservatorship. Certain material post-conservatorship decisions, however, would require approval of at least one Board member designated by us and one designated by Fannie Mae, including those decisions involving a material change in CSS’s functionality, such as the addition of a new business line or reduction in CSS’s support of the UMBS, capital contributions beyond those necessary to support CSS’s ordinary business operations, appointment or removal of the CSS Chief Executive Officer, and admission of new members. |
Securitization Activities and C
Securitization Activities and Consolidation | 12 Months Ended |
Dec. 31, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
SECURITIZATION ACTIVITIES AND CONSOLIDATION | Securitization Activities and Consolidation Our primary business activities in our Single-family Guarantee and Multifamily segments involve the securitization of loans or other mortgage-related assets using trusts that are VIEs. These trusts issue beneficial interests in the loans or other mortgage-related assets that they own. We guarantee the principal and interest payments on some or all of the issued beneficial interests in substantially all of our securitization transactions. See Note 5 for additional information on our guarantee activities. We also use trusts that are VIEs in certain single-family credit risk transfer products. We consolidate VIEs when we have a controlling financial interest in the VIE and are therefore considered the primary beneficiary of the VIE. We are the primary beneficiary of a VIE when we have both the power to direct the activities of the VIE that most significantly impact its economic performance and exposure to losses or benefits of the VIE that could potentially be significant to the VIE. We evaluate whether we are the primary beneficiary of VIEs in which we have interests on an ongoing basis, and our primary beneficiary determination may change over time as our interest in the VIE changes. Securitization Activities Single-family Guarantee Level 1 Securitization Products Level 1 Securitization Products consist of UMBS, 55-day MBS, and PCs, which are all pass-through debt securities that represent undivided beneficial interests in a pool of loans held by a securitization trust. All Level 1 Securitization Products are backed only by mortgage loans we have acquired. We serve as both administrator and guarantor for these trusts. As administrator, we have the right to establish servicing terms and direct loss mitigation activities for the loans held by these trusts. As guarantor, we guarantee the payment of principal and interest on these securities in exchange for a guarantee fee, and we have the right to purchase delinquent loans from the trust to help improve the economic performance of the trust. We absorb all credit losses of these trusts through our guarantee of the principal and interest payments. The economic performance of these trusts is most significantly affected by the performance of the underlying loans. Our rights as administrator and guarantor provide us with the power to direct the activities that most significantly affect the performance of the underlying loans. We also have the obligation to absorb losses of these trusts that could potentially be significant through our guarantee of principal and interest payments. Accordingly, we concluded that we are the primary beneficiary of, and therefore, consolidate these trusts. Loans held by these trusts are recognized on our consolidated balance sheets as mortgage loans held-for-investment. The corresponding securities held by third parties are recognized on our consolidated balance sheets as debt, net. We extinguish the outstanding debt securities of the related consolidated trust and recognize gains or losses on debt extinguishment for the difference between the consideration paid and the debt carrying value when we purchase these securities as investments in our mortgage-related investments portfolio. Sales of these securities that were previously held as investments in our mortgage-related investments portfolio are accounted for as debt issuances. Upon implementation of the Single Security Initiative in June 2019, we began offering an optional exchange program for security holders to exchange certain existing 45-day payment delay PCs for corresponding UMBS and other applicable 55-day payment delay Freddie Mac securities. We make a one-time payment to exchanging security holders for the value of the 10 additional days of payment delay based on float compensation rates we calculate. When existing PCs are exchanged for UMBS or 55-day MBS under our exchange program, we account for the exchange as a debt modification, as the terms of the securities are not substantially different and the exchange does not result in a change in the creditor. The float compensation we pay in conjunction with the exchange is deferred as a basis adjustment to the debt and amortized into interest expense over the remaining life of the debt. See Note 4 and Note 8 for additional information on loans and debt securities of consolidated trusts. At December 31, 2019 and December 31, 2018 , we were the primary beneficiary of, and therefore consolidated, Level 1 securitization trusts with assets totaling $1.9 trillion and $1.8 trillion , respectively. During 2019 and 2018 , we issued approximately $440.2 billion and $309.9 billion , respectively, of guaranteed Level 1 Securitization Products. Our exposure for guarantees to consolidated securitization trusts is generally equal to the UPB of the loans recorded on our consolidated balance sheets. Resecuritization Products We create resecuritization products primarily by using Level 1 Securitization Products or our previously issued resecuritization products (or similar TBA-eligible products issued and guaranteed by Fannie Mae) as the underlying collateral. In a typical resecuritization transaction, previously issued Level 1 Securitization Products or resecuritization products are transferred to a resecuritization trust that issues beneficial interests in the underlying collateral. We establish parameters that define eligibility standards for assets that may be used as collateral for each of our resecuritization programs. Resecuritization products can then be created based on the parameters that we have established. Similar to our Level 1 Securitization Products, we guarantee the full payment of principal and interest to the investors in our resecuritization products. However, because we (or Fannie Mae) have already guaranteed the underlying assets, we do not assume any incremental credit risk by issuing these securities. Upon implementation of Release 2 of the CSP and the Singe Security Initiative, we have the ability to commingle TBA-eligible Fannie Mae collateral in certain of our resecuritization products. When we resecuritize Fannie Mae securities in our commingled resecuritization products, our guarantee covers timely payment of principal and interest on such products from underlying Fannie Mae securities. If Fannie Mae were to fail to make a payment on a Fannie Mae security that we resecuritized, we would be responsible for making the payment. We do not charge an incremental guarantee fee to commingle Fannie Mae collateral in resecuritization transactions. The main types of resecuritization products we create are single-class resecuritization products (Supers, Giant MBS, and Giant PCs) and multiclass resecuritization products (REMICs and Strips). n Single-class resecuritization products - These securities are direct pass-throughs of the cash flows of the underlying collateral, which may be previously issued Level 1 Securitization Products or single-class resecuritization products (or similar TBA-eligible products issued and guaranteed by Fannie Mae). We do not consolidate these securities as their resecuritization does not result in any new or incremental risk to the holders of the securities issued by the resecuritization trust and because we are not exposed to any incremental rights to receive benefits or obligations to absorb losses that could be significant to the resecuritization trust. We account for purchases of single-class resecuritization products that we issue that are substantially the same as the underlying collateral as debt extinguishment of a pro-rata portion of the underlying Level 1 Securitization Product. We account for purchases of single-class resecuritization products that we issue that are not considered substantially the same as the underlying collateral as investments in debt securities. Single-class resecuritization products that we issue that are backed entirely by Freddie Mac collateral are considered substantially the same as the underlying collateral, while commingled single-class resecuritization products that we issue are not considered substantially the same as the underlying collateral. n Multiclass resecuritization products - These securities are multiclass resecuritizations of the cash flows of the underlying collateral, which may be previously issued Level 1 Securitization Products, single-class resecuritization products, or multiclass resecuritization products (or similar TBA-eligible products issued and guaranteed by Fannie Mae). The activity that most significantly impacts the economic performance of our multiclass resecuritization trusts is typically the initial design and structuring of the trust. Substantially all multiclass resecuritization trusts are created as part of customer-driven transactions in which an investor or dealer participates in the decisions made during the design and establishment of the trust. As a result, we do not have the unilateral ability to direct the activities of our multiclass resecuritization trusts that most significantly impact the economic performance of those trusts. In addition, unless we retain a portion of the issued multiclass resecuritization products, we do not have the right to receive benefits or the obligation to absorb losses that could potentially be significant to the trusts because we have already provided a guarantee on the underlying assets. As a result, we have concluded that we are not the primary beneficiary of our multiclass resecuritization trusts and, therefore, do not consolidate those trusts. Because we (or Fannie Mae) have already guaranteed the underlying assets, we do not receive any incremental guarantee fees in exchange for our guarantee, and, accordingly, we do not recognize any additional guarantee assets, guarantee obligations or reserves for guarantee losses related to multiclass resecuritization trusts. Instead, we receive a one-time transaction fee which represents compensation for both the structuring and creation of the securities and for our ongoing administrative responsibilities to service the securities. We recognize the portion of the transaction fee related to creation of the securities immediately in earnings. We defer the portion of the fee related to ongoing administrative responsibilities and amortize it over the life of the associated trust. When we purchase a multiclass resecuritization product as an investment in our mortgage-related investments portfolio, we generally record the security as an investment in debt securities rather than extinguishment of debt since we are generally investing in the debt securities of a non-consolidated entity. We do not consolidate multiclass resecuritization trusts in which we hold variable interests, as we are not deemed to be the primary beneficiary of the trusts, unless we have the unilateral ability to collapse the trust. Similarly, sales of multiclass resecuritization products previously held as investments in our mortgage-related investments portfolio are accounted for as sales of investments in debt securities. See Note 7 for additional information on accounting for investments in debt securities. Senior Subordinate Securitization Structures We are the primary beneficiary of and, therefore, consolidate our single-family senior subordinate securitization structures backed by recently originated loans because we have both the ability to direct the loss mitigation activities of the underlying loans and the obligation to absorb credit losses through our guarantee of the issued senior securities. As a result, we consolidated the trusts used in these senior subordinate securitization structures with underlying assets totaling $19.9 billion and $26.1 billion , at December 31, 2019 and December 31, 2018 , respectively. We do not consolidate our single-family senior subordinate securitization structures backed by seasoned loans because we do not have the ability to direct the loss mitigation activities of the underlying loans, which is the most significant activity affecting the economic performance of the VIE. For those securitizations that we do not consolidate where we sell loans to the VIE, we derecognize the transferred loans and account for our guarantee to the non-consolidated VIE. We account for our investments in the beneficial interests issued by the non-consolidated VIE as investments in debt securities. During 2019 and 2018 , we issued approximately $11.2 billion and $8.4 billion , respectively, of guaranteed securities in these senior subordinate securitization structures for which a guarantee asset and guarantee obligation were generally recognized. Other Securitization Products We are the primary beneficiary of and, therefore, consolidate the trusts used to issue our single-family other securitization products when we have the ability to direct the activities that most significantly affect the economic performance of the trusts and we have the obligation to absorb credit losses through our guarantee of some or all of the issued securities. As a result, we consolidated trusts used to issue these products with underlying assets totaling $2.8 billion and $3.4 billion at December 31, 2019 and December 31, 2018 , respectively. We do not consolidate the trusts used to issue our single-family other securitization products that do not meet these conditions. We have not entered into single-family other securitization products in several years. Multifamily K Certificates In a K Certificate transaction, we sell multifamily loans to a non-Freddie Mac securitization trust that issues senior, mezzanine, and subordinate securities, and simultaneously purchase and place the senior securities into a Freddie Mac securitization trust that issues guaranteed K Certificates. In these transactions, we guarantee the senior securities issued by the Freddie Mac securitization trust and do not issue or guarantee the mezzanine or subordinate securities issued by the non-Freddie Mac securitization trust. We receive a guarantee fee in exchange for our guarantee. We serve as guarantor of our K Certificate trusts and, from time to time, as master servicer. However, in contrast to single-family transactions, the rights to direct loss mitigation activities of the underlying loans and to purchase delinquent loans from the securitization trust are generally held by the investor in the most subordinate remaining securities issued by the non-Freddie Mac trust, and therefore we do not have any power to direct those activities unless we are the investor in the most subordinate remaining securities. The economic performance of our K Certificate trusts is most significantly affected by the performance of the underlying loans. Because our rights in a K Certificate transaction do not provide us with the power to direct the activities that most significantly affect the performance of the underlying loans and we do not hold the most subordinate remaining securities, we are not the primary beneficiary of our K Certificate trusts and, therefore, do not consolidate those trusts. When we sell loans to a K Certificate trust, we derecognize the transferred loans and account for our guarantee to the non-consolidated K Certificate trust. We account for our investments in the beneficial interests issued by non-consolidated K Certificate trusts as investments in debt securities. During 2019 and 2018 , we issued approximately $53.6 billion and $52.2 billion , respectively, of K Certificates for which a guarantee asset and guarantee obligation were generally recognized. SB Certificates In SB Certificate transactions, we securitize multifamily small balance loans using a non-Freddie Mac SB Certificate trust that issues senior classes of securities that we guarantee, as well as subordinated classes of securities that we do not guarantee. Similar to our K Certificate transactions, we are not the primary beneficiary of and, therefore, do not consolidate our SB Certificate trusts, as we do not have the ability to direct loss mitigation activities of the underlying loans, which is the most significant activity affecting the economic performance of the VIE. In a typical SB Certificate transaction, we sell loans to a SB Certificate trust, derecognize the transferred loans and account for our guarantee to the non-consolidated SB Certificate trust. We account for our investments in the beneficial interests issued by non-consolidated SB Certificate trusts as investments in debt securities. During 2019 and 2018 , we issued approximately $6.2 billion and $6.3 billion , respectively, of SB Certificates for which a guarantee asset and guarantee obligation were recognized. Other Securitization Products We are the primary beneficiary of and, therefore, consolidate the trusts used to issue certain of our other securitization products because we have the ability to direct the activities that most significantly affect the economic performance of the trusts and we have the obligation to absorb credit losses through our guarantee of some or all of the issued securities. As a result, we consolidated trusts used in these other securitization products with underlying assets totaling $8.7 billion and $7.2 billion at December 31, 2019 and December 31, 2018 , respectively. We do not consolidate the trusts used to issue our other securitization products when we do not meet the above conditions. For those products, we account for our guarantee to the non-consolidated VIE. During 2019 and 2018 , we issued approximately $3.1 billion and $3.4 billion , respectively, of these securities for which a guarantee asset and guarantee obligation were generally recognized. CRT Activities STACR Trust Notes Consolidated VIEs We consolidated the VIEs for which we are the primary beneficiary as discussed above. Our exposure on debt securities of consolidated trusts represents our liability to third parties that hold beneficial interests in our consolidated securitization trusts. When we consolidate a VIE, we recognize the assets and liabilities of the VIE on our consolidated balance sheets and account for those assets and liabilities based on the applicable GAAP for each specific type of asset or liability. Assets and liabilities that we transfer to a VIE at, after or shortly before the date we become the primary beneficiary of the VIE are initially measured at the same amounts that they would have been measured if they had not been transferred, and no gain or loss is recognized on these transfers. For all other VIEs that we consolidate, we recognize the assets and liabilities of the VIE at fair value, and we recognize a gain or loss for the difference between: n The sum of the fair value of the consideration paid, the fair value of any noncontrolling interests, and the reported amount of any previously held interests and n The net fair value of the assets and liabilities recognized. Guarantees to consolidated VIEs are eliminated in consolidation and are therefore not separately recognized on our consolidated balance sheets. The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on our consolidated balance sheets. Table 3.1 - Consolidated VIEs (In millions) As of December 31, 2019 As of December 31, 2018 Consolidated Balance Sheet Line Item Assets: Cash and cash equivalents (includes $869 and $566 of restricted cash and cash equivalent) $870 $567 Securities purchased under agreements to resell 23,137 12,125 Investments in securities, at fair value 597 — Mortgage loans held-for-investment 1,940,523 1,842,850 Accrued interest receivable 6,170 5,914 Other assets 9,824 1,631 Total assets of consolidated VIEs $1,981,121 $1,863,087 Liabilities: Accrued interest payable $5,536 $5,335 Debt, net 1,898,355 1,792,677 Other liabilities 1 — Total liabilities of consolidated VIEs $1,903,892 $1,798,012 Non-Consolidated VIEs Our involvement with VIEs for which we are not the primary beneficiary takes one or both of two forms - purchasing an investment in these entities or providing a guarantee to these entities. As part of the Single Security Initiative, we have the ability to commingle TBA-eligible Fannie Mae collateral in certain of our resecuritization products that we do not consolidate. We extend our guarantee of these products to cover principal and interest that are payable from the underlying Fannie Mae collateral. See Note 5 for additional information on our guarantee of Fannie Mae securities. The following table presents the carrying amounts and classification of the assets and liabilities recorded on our consolidated balance sheets related to non-consolidated VIEs with which we were involved in the design and creation and have a significant continuing involvement, as well as our maximum exposure to loss and total assets of the VIEs. Our maximum exposure to loss includes the guaranteed UPB of assets held by the non-consolidated VIEs, the UPB of unguaranteed securities that we acquired from these securitization transactions, and the UPB of guarantor advances made to the holders of the guaranteed securities. Our maximum exposure to loss and total assets of non-consolidated VIEs excludes our investments in and obligations to non-consolidated Freddie Mac resecuritization trusts primarily because we already consolidate the underlying Freddie Mac collateral of these trusts on our consolidated balance sheets and for commingled resecuritization trusts, we view the likelihood of being required to perform on our guarantee of the underlying Fannie Mae collateral as remote. Our maximum exposure to loss also excludes our interest rate exposure on certain securitization activity and other mortgage-related guarantees measured at fair value where our interest rate exposure may be unlimited. We generally reduce our exposure to these guarantees with unlimited interest rate exposure through separate contracts with third parties. We do not believe the maximum exposure to loss disclosed in the table below is representative of the actual loss we are likely to incur, based on our historical loss experience and after consideration of proceeds from related collateral liquidation, including possible recoveries under credit enhancements. See Note 6 for additional information on credit enhancements. Table 3.2 - Non-Consolidated VIEs (In millions) As of December 31, 2019 As of December 31, 2018 Assets and Liabilities Recorded on our Consolidated Balance Sheets (1) Assets: Investments in securities, at fair value $37,918 $44,020 Accrued interest receivable 212 235 Derivative assets, net 14 1 Other assets 3,951 3,119 Liabilities: Derivative liabilities, net 108 88 Other liabilities 3,761 3,049 Maximum Exposure to Loss 281,007 241,055 Total Assets of Non-Consolidated VIEs 335,562 284,724 (1) We also obtain interests in various other VIEs created by third parties through the normal course of business, such as through our investments in certain non-Freddie Mac mortgage-related securities, purchases of multifamily loans, guarantees of multifamily housing revenue bonds, as a derivative counterparty or through other activities. To the extent that we were not involved in the design or creation of these VIEs, they are excluded from the table above. Our interests in these VIEs are generally passive in nature and are not expected to result in us obtaining a controlling financial interest in these VIEs in the future. As a result, we do not consolidate these VIEs and we account for our interests in these VIEs in the same manner that we account for our interests in other third-party transactions. See Note 7 for additional information regarding our investments in non-Freddie Mac mortgage-related securities. See Note 4 for more information regarding multifamily loans. |
Mortgage Loans and Loan Loss Re
Mortgage Loans and Loan Loss Reserves | 12 Months Ended |
Dec. 31, 2019 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
MORTGAGE LOANS AND LOAN LOSS RESERVES | Mortgage Loans and Allowance for Credit Losses The table below provides details of the loans on our consolidated balance sheets as of December 31, 2019 and December 31, 2018 . Table 4.1 - Mortgage Loans December 31, 2019 December 31, 2018 (In millions) Held by Freddie Mac Held by Total Held by Freddie Mac Held by Total Held-for-sale: Single-family $18,543 $— $18,543 $20,946 $— $20,946 Multifamily 18,954 — 18,954 23,959 — 23,959 Total UPB 37,497 — 37,497 44,905 — 44,905 Cost basis and fair value adjustments, net (2,209 ) — (2,209 ) (3,283 ) — (3,283 ) Total held-for-sale loans, net 35,288 — 35,288 41,622 — 41,622 Held-for-investment: Single-family 35,324 1,902,958 1,938,282 35,885 1,814,008 1,849,893 Multifamily 10,831 6,642 17,473 10,828 4,220 15,048 Total UPB 46,155 1,909,600 1,955,755 46,713 1,818,228 1,864,941 Cost basis adjustments (183 ) 33,574 33,391 (1,198 ) 27,752 26,554 Allowance for loan losses (1,583 ) (2,651 ) (4,234 ) (3,009 ) (3,130 ) (6,139 ) Total held-for-investment loans, net 44,389 1,940,523 1,984,912 42,506 1,842,850 1,885,356 Total loans, net $79,677 $1,940,523 $2,020,200 $84,128 $1,842,850 $1,926,978 We apply fair value hedge accounting to certain single-family mortgage loans. The fair value hedge accounting related loan basis adjustments are included in the table above. We own both single-family loans, which are secured by one to four unit residential properties, and multifamily loans, which are secured by properties with five or more residential rental units. Our single-family loans are predominantly first lien, fixed-rate loans secured by the borrower's primary residence. Upon acquisition, we classify a loan as either held-for-investment or held-for-sale. Loans that we have the ability and intent to hold for the foreseeable future are classified as held-for-investment. Loans that we intend to securitize using an entity we will consolidate are classified as held-for-investment both prior to and subsequent to their securitization. Otherwise, they will be classified as held-for-sale. Held-for-investment loans are reported on our consolidated balance sheets at their outstanding UPB, net of deferred fees and other cost basis adjustments (including unamortized premiums and discounts, upfront fees, commitment-related derivative basis adjustments, and other pricing adjustments). Loans not classified as held-for-investment are classified as held-for-sale. Held-for-sale loans are reported at lower-of-cost-or-fair-value on our consolidated balance sheets, unless the fair value option is elected. Any excess of a held-for-sale loan's cost over its fair value is recognized as a valuation allowance in investment gains (losses), net on our consolidated statements of comprehensive income, with changes in this valuation allowance also being recorded in investment gains (losses), net. Premiums, discounts, and other cost basis adjustments (including lower-of-cost-or-fair-value adjustments) on single-family loans classified as held-for-sale are deferred and not amortized. We elected the fair value option for certain multifamily loans that we intend to securitize and sell to investors. Therefore, these multifamily loans are measured at fair value on a recurring basis, with subsequent gains or losses related to changes in fair value reported in investment gains (losses), net on our consolidated statements of comprehensive income. Cash flows related to loans originally classified as held-for-investment are classified as either investing activities (e.g., principal repayments) or operating activities (e.g., interest payments received from borrowers included within net income (loss)). Cash flows related to loans originally classified as held-for-sale are classified as operating activities. The table below provides details of the UPB of loans we purchased, reclassified from held-for-investment to held-for-sale, and sold. Table 4.2 - Loans Purchased, Reclassified from Held-for-Investment to Held-for-Sale, and Sold (In billions) 2019 2018 2017 Single-family: Purchases Held-for-investment loans $451.2 $307.7 $343.0 Reclassified from held-for-investment to held-for-sale (1) 13.6 21.7 26.2 Sale of held-for-sale loans (2) 13.1 10.2 8.7 Multifamily: Purchases Held-for-investment loans 9.5 5.0 5.3 Held-for-sale loans 65.3 70.3 64.6 Reclassified from held-for-investment to held-for-sale (1) 1.9 1.8 1.6 Sale of held-for-sale loans (3) 71.3 68.1 61.9 (1) We reclassify loans from held-for-investment to held-for-sale when we no longer have the intent or ability to hold for the foreseeable future. For additional information regarding the fair value of our loans classified as held-for-sale, see Note 15. (2) Our sales of single-family loans reflect the sale of seasoned single-family loans. The sale of seasoned single-family mortgage loans is part of our strategy to mitigate and reduce our holdings of less liquid assets. (3) Our sales of multifamily loans occur primarily through the issuance of multifamily K Certificates and SB Certificates. See Note 3 for more information on our K Certificates and SB Certificates. Interest Income We recognize interest income on an accrual basis except when we believe the collection of principal and interest in full is not reasonably assured, which generally occurs when a loan is three monthly payments or more past due, unless the loan is well secured and in the process of collection based upon an individual loan assessment. A loan is considered past due if a full payment of principal and interest is not received within one month of its due date. Cost basis adjustments on held-for-investment loans are amortized into interest income over the contractual lives of the loans using the effective interest method. A non-accrual loan may be returned to accrual status when the collectability of principal and interest in full is reasonably assured. For single-family loans, we determine that collectability is reasonably assured generally when the loan has become current. For multifamily loans, the collectability of principal and interest is considered reasonably assured based on an analysis of the factors specific to the loan being assessed. Upon a loan's return to accrual status, all previously reversed interest income is recognized and amortization of any basis adjustments into interest income is resumed. Credit Quality Single-Family The current LTV ratio is one key factor we consider when estimating our allowance for credit losses for single-family loans. As current LTV ratios increase, the borrower's equity in the home decreases, which may negatively affect the borrower's ability to refinance (outside of the Enhanced Relief Refinance program) or to sell the property for an amount at or above the balance of the outstanding loan. A second-lien loan also reduces the borrower's equity in the home, and has a similar negative effect on the borrower's ability to refinance or sell the property for an amount at or above the combined balances of the first and second loans. However, borrowers are free to obtain second-lien financing after origination, and we are not entitled to receive notification when a borrower does so. For further information about concentrations of risk associated with our single-family and multifamily loans, see Note 14 . The table below presents the recorded investment of single-family held-for-investment loans by current LTV ratios. Our current LTV ratios are estimates based on available data through the end of each respective period presented. Table 4.3 - Recorded Investment of Single-Family Held-for-Investment Loans by Current LTV Ratios As of December 31, 2019 As of December 31, 2018 Current LTV Ratio Total Current LTV Ratio Total (In millions) ≤ 80 > 80 to 100 > 100 (1) ≤ 80 > 80 to 100 > 100 (1) 20- and 30-year or more, amortizing fixed-rate $1,405,562 $267,752 $3,954 $1,677,268 $1,336,310 $214,703 $6,654 $1,557,667 15-year amortizing fixed-rate 236,837 6,797 89 243,723 251,152 4,522 157 255,831 Adjustable-rate 35,478 1,425 6 36,909 42,117 1,883 7 44,007 Alt-A, interest-only, and option ARM 12,668 901 188 13,757 16,498 1,903 559 18,960 Total single-family loans $1,690,545 $276,875 $4,237 $1,971,657 $1,646,077 $223,011 $7,377 $1,876,465 (1) The serious delinquency rate for the total of single-family held-for-investment mortgage loans with current LTV ratios in excess of 100% was 4.51% and 7.24% as of December 31, 2019 and December 31, 2018 , respectively. For reporting purposes: n Loans within the Alt-A category continue to be presented in that category following modification, even though the borrower may have provided full documentation of assets and income to complete the modification and n Loans within the option ARM category continue to be presented in that category following modification, even though the modified loan no longer provides for optional payment provisions. Multifamily The table below presents the recorded investment in our multifamily held-for-investment loans, by credit quality indicator based on available data through the end of each period presented. These indicators involve significant management judgment. Table 4.4 - Recorded Investment of Multifamily Held-for-Investment Loans by Credit Quality Indicator (In millions) As of December 31, 2019 As of December 31, 2018 Credit risk profile by internally assigned grade: (1) Pass $17,227 $14,648 Special mention 141 201 Substandard 121 181 Doubtful — — Total $17,489 $15,030 (1) A loan categorized as: "Pass" is current and adequately protected by the current financial strength and debt service capacity of the borrower; "Special mention" has administrative issues that may affect future repayment prospects but does not have current credit weaknesses; "Substandard" has a weakness that jeopardizes the timely full repayment; and "Doubtful" has a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions. Mortgage Loan Performance The following tables present the recorded investment of our single-family and multifamily loans, held-for-investment, by payment status. Table 4.5 - Recorded Investment of Held-for-Investment Loans by Payment Status As of December 31, 2019 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure (1) Total Non-accrual Single-family: 20- and 30-year or more, amortizing fixed-rate $1,653,113 $15,481 $3,326 $5,348 $1,677,268 $5,822 15-year amortizing fixed-rate 242,177 1,131 175 240 243,723 252 Adjustable-rate 36,537 238 45 89 36,909 104 Alt-A, interest-only, and option ARM 12,690 489 161 417 13,757 205 Total single-family 1,944,517 17,339 3,707 6,094 1,971,657 6,383 Total multifamily 17,489 — — — 17,489 13 Total single-family and multifamily $1,962,006 $17,339 $3,707 $6,094 $1,989,146 $6,396 As of December 31, 2018 (In millions) Current One Two Three Months or (1) Total Non-accrual Single-family: 20- and 30-year or more, amortizing fixed-rate $1,532,499 $14,683 $3,602 $6,883 $1,557,667 $6,881 15-year amortizing fixed-rate 254,376 1,021 171 263 255,831 263 Adjustable-rate 43,549 287 58 113 44,007 113 Alt-A, interest-only, and option ARM 16,975 793 327 865 18,960 864 Total single-family 1,847,399 16,784 4,158 8,124 1,876,465 8,121 Total multifamily 15,030 — — — 15,030 17 Total single-family and multifamily $1,862,429 $16,784 $4,158 $8,124 $1,891,495 $8,138 (1) Includes $1.8 billion and $2.9 billion of loans that were in the process of foreclosure as of December 31, 2019 and December 31, 2018 , respectively. We have the option to purchase specified loans, including certain delinquent loans, from consolidated trusts at a purchase price equal to the current UPB of the loan, less any outstanding advances of principal that have been previously distributed. However, in order to maintain alignment with Fannie Mae under the Single Security Initiative, FHFA requires us to purchase loans out of consolidated trusts if they are delinquent for 120 days, and we have the option to purchase sooner under certain circumstances (e.g. imminent default and seller breaches of representations and warranties). Our practice generally has been to purchase loans from consolidated trusts when the loans have been delinquent for 120 days or more. When we purchase loans from consolidated trusts, we record an extinguishment of the corresponding portion of the debt securities of the consolidated trusts and we reclassify the loans from mortgage loans held-for-investment by consolidated trusts to mortgage loans held-for-investment by Freddie Mac. We purchased $5.6 billion and $7.8 billion in UPB of loans from consolidated trusts (or purchased delinquent loans associated with other mortgage-related guarantees) during the years ended December 31, 2019 and December 31, 2018 The table below summarizes the delinquency rates of loans within our single-family credit guarantee and multifamily mortgage portfolios. Table 4.6 - Delinquency Rates (Dollars in millions) December 31, 2019 December 31, 2018 Single-family: Non-credit-enhanced portfolio: Serious delinquency rate 0.70 % 0.83 % Total number of seriously delinquent loans 42,485 51,197 Credit-enhanced portfolio: (1) Primary mortgage insurance: Serious delinquency rate 0.79 % 0.86 % Total number of seriously delinquent loans 15,261 15,287 Other credit protection: (2) Serious delinquency rate 0.40 % 0.31 % Total number of seriously delinquent loans 18,143 12,920 Total single-family Serious delinquency rate 0.63 % 0.69 % Total number of seriously delinquent loans 70,162 75,649 Multifamily (3) Non-credit-enhanced portfolio: Delinquency rate — % — % UPB of delinquent loans $2 $2 Credit-enhanced portfolio: Delinquency rate 0.09 % 0.01 % UPB of delinquent loans $244 $28 Total multifamily Delinquency rate 0.08 % 0.01 % UPB of delinquent loans $246 $30 (1) The credit-enhanced categories are not mutually exclusive, as a single loan may be covered by both primary mortgage insurance and other credit protection. (2) Consists of single-family loans covered by financial arrangements (other than primary mortgage insurance) that are designed to reduce our credit risk exposure. See Note 6 for additional information on our credit enhancements. (3) We continue to implement a number of initiatives to refinance and modify single-family loans. As part of these initiatives, we pay various incentives to servicers and borrowers. HAMP ended in December 2016 and HARP ended in December 2018. The relief refinance program has been replaced with the Enhanced Relief Refinance program, which became available in January 2019 for loans originated on or after October 1, 2017. This program provides liquidity for borrowers who are current on their mortgages but are unable to refinance because their LTV ratios exceed our standard refinance limits. Allowance for Credit Losses The allowance for credit losses represents estimates of probable incurred credit losses which we recognize by recording a charge to the provision for credit losses on our consolidated statements of comprehensive income. The allowance for credit losses includes: n Our allowance for loan losses, which pertains to all single-family and multifamily loans classified as held-for-investment on our consolidated balance sheets and n Our reserve for guarantee losses, which pertains to our guarantees to unconsolidated securitization trusts and other mortgage-related guarantees. A significant number of unsecuritized single-family loans on our consolidated balance sheets include seriously delinquent and TDR loans that we previously purchased from consolidated trusts. These seriously delinquent and TDR loans historically have a higher associated allowance for loan losses than loans that remain in consolidated trusts. The table below summarizes changes in our allowance for credit losses. Table 4.7 - Details of Allowance for Credit Losses Year Ended December 31, 2019 2018 2017 Allowance for Loan Losses Reserve for Total Allowance for Loan Losses Reserve for Total Allowance for Loan Losses Reserve for Total (In millions) Held by Freddie Mac Held By Held by Freddie Mac Held By Held by Freddie Mac Held By Consolidated Trusts Single-family: Beginning $3,003 $3,127 $46 $6,176 $5,251 $3,680 $48 $8,979 $10,443 $2,968 $52 $13,463 Provision (benefit) for credit losses (684 ) (70 ) 5 (749 ) (861 ) 145 4 (712 ) (1,447 ) 1,350 — (97 ) Charge-offs (1,676 ) (56 ) (5 ) (1,737 ) (2,823 ) (56 ) (6 ) (2,885 ) (4,939 ) (108 ) (4 ) (5,051 ) Recoveries 439 13 — 452 467 8 — 475 419 6 — 425 Transfers, (1) 372 (372 ) — — 676 (676 ) — — 540 (540 ) — — Other (2) 122 4 — 126 293 26 — 319 235 4 — 239 Ending $1,576 $2,646 $46 $4,268 $3,003 $3,127 $46 $6,176 $5,251 $3,680 $48 $8,979 Multifamily: Beginning $6 $3 $6 $15 $28 $7 $9 $44 $18 $2 $15 $35 Provision (benefit) for credit losses 2 1 — 3 (23 ) — (1 ) (24 ) 15 4 (6 ) 13 Charge-offs — — — — (6 ) — (2 ) (8 ) (4 ) — — (4 ) Recoveries — — — — 3 — — 3 — — — — Transfers, (1) (1 ) 1 — — 4 (4 ) — — (1 ) 1 — — Other (2) — — — — — — — — — — — — Ending $7 $5 $6 $18 $6 $3 $6 $15 $28 $7 $9 $44 Total: Beginning $3,009 $3,130 $52 $6,191 $5,279 $3,687 $57 $9,023 $10,461 $2,970 $67 $13,498 Provision (benefit) for credit losses (682 ) (69 ) 5 (746 ) (884 ) 145 3 (736 ) (1,432 ) 1,354 (6 ) (84 ) Charge-offs (1,676 ) (56 ) (5 ) (1,737 ) (2,829 ) (56 ) (8 ) (2,893 ) (4,943 ) (108 ) (4 ) (5,055 ) Recoveries 439 13 — 452 470 8 — 478 419 6 — 425 Transfers, (1) 371 (371 ) — — 680 (680 ) — — 539 (539 ) — — Other (2) 122 4 — 126 293 26 — 319 235 4 — 239 Ending $1,583 $2,651 $52 $4,286 $3,009 $3,130 $52 $6,191 $5,279 $3,687 $57 $9,023 (1) Relates to removal of delinquent loans from consolidated trusts and resecuritization after such removal. (2) Primarily includes capitalization of past due interest on modified loans. A significant number of unsecuritized single-family loans on our consolidated balance sheets are individually evaluated for impairment while substantially all single-family loans held by our consolidated trusts are collectively evaluated for impairment. The ending balance of the allowance for loan losses associated with our held-for-investment unsecuritized loans represented approximately 3.4% , 6.6% , and 7.8% of the recorded investment in such loans at December 31, 2019 , December 31, 2018 , and December 31, 2017, respectively, and a substantial portion of the allowance associated with these loans represented interest rate concessions provided to borrowers as part of loan modifications. The ending balance of the allowance for loan losses associated with loans held by our consolidated trusts represented approximately 0.1% , 0.2% , and 0.2% of the recorded investment in such loans as of December 31, 2019 , December 31, 2018 , and December 31, 2017, respectively. The table below presents our allowance for loan losses and our recorded investment in loans, held-for-investment, by impairment evaluation methodology. Table 4.8 - Net Investment in Loans December 31, 2019 December 31, 2018 (In millions) Single-family Multifamily Total Single-family Multifamily Total Recorded investment: Collectively evaluated $1,936,208 $17,408 $1,953,616 $1,830,044 $14,945 $1,844,989 Individually evaluated 35,449 81 35,530 46,421 85 46,506 Total recorded investment 1,971,657 17,489 1,989,146 1,876,465 15,030 1,891,495 Ending balance of the allowance for loan losses: Collectively evaluated (1,350 ) (12 ) (1,362 ) (1,761 ) (9 ) (1,770 ) Individually evaluated (2,872 ) — (2,872 ) (4,369 ) — (4,369 ) Total ending balance of the allowance (4,222 ) (12 ) (4,234 ) (6,130 ) (9 ) (6,139 ) Net investment in loans $1,967,435 $17,477 $1,984,912 $1,870,335 $15,021 $1,885,356 Allowance for Loan Losses Determined on a Collective Basis Single-Family Loans We estimate allowance for loan losses on homogeneous pools of single-family loans using a model that evaluates a variety of factors affecting collectability. We review the outputs of this model by considering qualitative factors such as macroeconomic and other factors to see whether the model outputs are consistent with our expectations. Management adjustments may be necessary to take into consideration external factors and current economic events that have occurred but that are not yet reflected in the factors used to derive the model outputs. Significant judgment is exercised in making these adjustments. The homogeneous pools of single-family loans are determined based on common underlying characteristics, including current LTV ratios, trends in home prices, loan product type, and geographic region. We rely upon third-parties to service our loans. At loan delivery, the seller provides us with loan data, which includes characteristics and underwriting information. Each subsequent month, the servicers provide us with monthly loan level servicing data, including delinquency and loss information. Our single-family allowance for loan losses default models produce estimates based on 12 months of loan level performance data, which includes a history of delinquency, foreclosures, foreclosure alternatives, and modifications. Our allowance for loan losses estimate includes projections of: n Loss mitigation activities when a loss is incurred, including loan modifications for troubled borrowers and the incidence of redefault we have experienced on similar loans that have completed a loan modification and n Defaults we believe are likely to occur as a result of loss events that have occurred through the respective balance sheet date. These projections are based on our recent historical experience and current business practices and require significant management judgment. We validate and update our models and factors to capture changes in actual loss experience, as well as the effects of changes in underwriting practices and in our loss mitigation strategies. In determining our allowance for loan losses, we also consider macroeconomic and other factors that affect the quality of the loans underlying our portfolio, including regional housing trends, applicable home price indices, unemployment and employment dislocation trends, the effects of changes in government policies and programs, consumer credit statistics, and the extent of third-party insurance. Our single-family allowance for loan losses severity is based on actual REO dispositions, short sales, and third-party sales that incorporate the most recent: n Twelve months of sales experience realized on our distressed property dispositions and n Twelve months of pre-foreclosure expenses on our distressed properties, including REO, short sales, and third-party sales. Our single-family allowance for loan losses severity estimate also captures expectations about recoveries from the collateral and attached credit enhancements, such as primary mortgage insurance. We use historical trends in home prices in our single-family allowance for loan losses process, primarily through the use of current LTV ratios in our default models and through the use of recent home price sales experience in our severity estimate. However, we do not use a forecast of trends in home prices in our single-family allowance for loan losses process. For loans where foreclosure is probable, we measure impairment based upon an estimate of the fair value of the underlying collateral less estimated disposition costs. Our estimate also considers the effect of historical home price changes on borrower behavior. We apply proceeds from attached credit enhancements (e.g., primary mortgage insurance) entered into contemporaneously with, and in contemplation of, a guarantee or loan purchase transaction as a recovery of our recorded investment in a charged-off loan, up to the amount of loss recognized as a charge-off. Proceeds received in excess of our recorded investment in loans are recorded as a decrease to REO operations expense on our consolidated statements of comprehensive income. We record benefits related to freestanding credit enhancements based on actual losses (e.g., ACIS insurance policies) when realization of our claims is deemed probable and a loss has been recognized on the covered loans. We record benefits for our debt with embedded credit enhancements for which we have not elected the fair value option (e.g., certain STACR debt notes and certain senior subordinate securitization structures) when the realized loss event occurs. We generally record repurchase recoveries on a cash basis due to the uncertainty of the timing and amount of collections of such recoveries. See Note 6 for additional information on credit enhancements. Multifamily Loans Multifamily loans evaluated collectively for impairment are aggregated into book year vintage portfolios. Potential impairment related to these portfolios is measured by benchmarking published historical commercial loan performance data to those vintages based upon available economic data related to multifamily real estate, including apartment vacancy and rental rates. Allowance for Loan Losses Determined on an Individual Basis We consider a loan to be impaired when, based on current information, it is probable that we will not receive all amounts due (including both principal and interest) in accordance with the contractual terms of the original loan agreement. Single-family loans individually evaluated for impairment include TDRs, as well as loans acquired under our financial guarantees with deteriorated credit quality prior to 2010. Multifamily loans individually evaluated for impairment include TDRs, loans three monthly payments or more past due, and loans that are impaired based on management judgment. Impaired Loans The tables below present the UPB, recorded investment, the related allowance for loan losses, average recorded investment, and interest income recognized for individually impaired loans. Table 4.9 - Individually Impaired Loans Balance at December 31, 2019 Balance at December 31, 2018 (In millions) UPB Recorded Investment Associated Allowance UPB Recorded Investment Associated Allowance Single-family: With no allowance recorded: (1) 20- and 30-year or more, amortizing fixed-rate $2,431 $1,927 N/A $3,335 $2,666 N/A 15-year amortizing fixed-rate 21 20 N/A 23 22 N/A Adjustable-rate 169 169 N/A 227 226 N/A Alt-A, interest-only, and option ARM 847 727 N/A 1,286 1,083 N/A Total with no allowance recorded 3,468 2,843 N/A 4,871 3,997 N/A With an allowance recorded: (2) 20- and 30-year or more, amortizing fixed-rate 28,824 28,667 (2,416 ) 37,579 36,959 (3,660 ) 15-year amortizing fixed-rate 616 625 (13 ) 703 713 (19 ) Adjustable-rate 131 130 (7 ) 164 162 (8 ) Alt-A, interest-only, and option ARM 3,315 3,184 (436 ) 4,867 4,590 (682 ) Total with an allowance recorded 32,886 32,606 (2,872 ) 43,313 42,424 (4,369 ) Combined single-family: 20- and 30-year or more, amortizing fixed-rate 31,255 30,594 (2,416 ) 40,914 39,625 (3,660 ) 15-year amortizing fixed-rate 637 645 (13 ) 726 735 (19 ) Adjustable-rate 300 299 (7 ) 391 388 (8 ) Alt-A, interest-only, and option ARM 4,162 3,911 (436 ) 6,153 5,673 (682 ) Total single-family 36,354 35,449 (2,872 ) 48,184 46,421 (4,369 ) Multifamily : With no allowance recorded (1) 86 81 N/A 89 82 N/A With an allowance recorded — — — 3 3 — Total multifamily 86 81 — 92 85 — Total single-family and multifamily $36,440 $35,530 ($2,872 ) $48,276 $46,506 ($4,369 ) Referenced footnotes are included after the next table. Year Ended December 31, 2019 2018 2017 (In millions) Average Recorded Investment Interest Income Recognized Interest Income Recognized on Cash Basis (3) Average Recorded Investment Interest Income Recognized Interest Income Recognized on Cash Basis (3) Average Recorded Investment Interest Income Recognized Interest Income Recognized on Cash Basis (3) Single-family: With no allowance recorded: (1) 20- and 30-year or more, amortizing fixed-rate $2,450 $262 $7 $3,236 $346 $16 $3,556 $399 $16 15-year amortizing fixed-rate 20 1 — 21 3 — 25 1 — Adjustable rate 200 11 — 248 12 1 292 11 — Alt-A, interest-only, and option ARM 891 66 1 1,264 88 4 1,471 110 5 Total with no allowance recorded 3,561 340 8 4,769 449 21 5,344 521 21 With an allowance recorded: (2) 20- and 30-year or more, amortizing fixed-rate 32,960 1,805 156 44,055 2,156 274 44,057 2,513 248 15-year amortizing fixed-rate 653 22 4 798 28 9 599 32 6 Adjustable rate 135 6 2 197 6 3 261 9 3 Alt-A, interest-only, and option ARM 3,917 226 20 5,953 273 30 7,366 378 33 Total with an allowance recorded 37,665 2,059 182 51,003 2,463 316 52,283 2,932 290 Combined single-family: 20- and 30-year or more, amortizing fixed-rate 35,410 2,067 163 47,291 2,502 290 47,613 2,912 264 15-year amortizing fixed-rate 673 23 4 819 31 9 624 33 6 Adjustable rate 335 17 2 445 18 4 553 20 3 Alt-A, interest-only, and option ARM 4,808 292 21 7,217 361 34 8,837 488 38 Total single-family 41,226 2,399 190 55,772 2,912 337 57,627 3,453 311 Multifamily: With no allowance recorded (1) 83 5 1 131 6 2 286 9 3 With an allowance recorded — — — 3 — — 45 1 1 Total multifamily 83 5 1 134 6 2 331 10 4 Total single-family and multifamily $41,309 $2,404 $191 $55,906 $2,918 $339 $57,958 $3,463 $315 (1) Individually impaired loans with no allowance primarily represent those loans for which the collateral value is sufficiently in excess of the loan balance to result in recovery of the entire recorded investment if the property were foreclosed upon or otherwise subject to disposition. (2) Consists primarily of loans classified as TDRs. (3) Consists of income recognized during the period related to loans on non-accrual status. Troubled Debt Restructurings A modification to the contractual terms of a loan that results in granting a concession to a borrower experiencing financial difficulties is considered a TDR. A concession is deemed granted when, as a result of the restructuring, we do not expect to collect all amounts due, including interest accrued, at the original contractual interest rate. As appropriate, we also consider other qualitative factors in determining whether a concession is deemed granted, including whether the borrower's modified interest rate is consistent with that of a non-troubled borrower. We do not consider restructurings that result in an insignificant delay in payment to be a concession. We generally consider a delay in monthly amortizing payments of three months or less to be insignificant. A concession typically includes one or more of the following being granted to the borrower: n A trial period where the expected permanent modification will change our expectation of collecting all amounts due at the original contract rate; n A delay in payment that is more than insignificant; n A reduction in the contractual interest rate; n Interest forbearance for a period of time that is more than insignificant or forgiveness of accrued but uncollected interest amounts; n Principal forbearance that is more than insignificant; and n Discharge of the borrower's obligation in Chapter 7 bankruptcy. The table below presents the volume of single-family and multifamily loans that were newly classified as TDRs during the years ended December 31, 2019 , December 31, 2018 , and December 31, 2017, based on the original product category of the loan before the loan was classified as a TDR. Loans classified as a TDR in one period may be subject to further action (such as a modification or remodification) in a subsequent period. In such cases, the subsequent action would not be reflected in the table below since the loan would already have been classified as a TDR. Table 4.10 - TDR Activity Year Ended December 31, 2019 2018 2017 (Dollars in millions) Number of Loans Post-TDR Recorded Investment Number of Loans Post-TDR Recorded Investment Number of Loans Post-TDR Recorded Investment Single-family: (1) 20- and 30-year or more, amortizing fixed-rate 25,924 $4,331 43,742 $7,084 33,745 $4,818 15-year amortizing fixed-rate 3,018 296 5,944 584 4,569 356 Adjustable-rate 529 86 902 140 892 128 Alt-A, interest-only, and option ARM 1,523 219 2,602 432 2,784 495 Total single-family 30,994 4,932 53,190 8,240 41,990 5,797 Multifamily — $— 1 $15 1 $— (1) The pre-TDR recorded investment for single-family loans initially classified as TDR during the years ended December 31, 2019 , December 31, 2018 , and December 31, 2017 was $4.9 billion , $8.3 billion , and $5.8 billion , respectively. The table below presents the volume of our TDR modifications that experienced payment defaults (i.e., loans that became two months delinquent or completed a loss event) during the applicable periods and had completed a modification during the year preceding the payment default. The table presents loans based on their original product category before modification and includes loans that were reclassifie |
Guaratee Activities
Guaratee Activities | 12 Months Ended |
Dec. 31, 2019 | |
Guarantees [Abstract] | |
GUARANTEE ACTIVITIES | Guarantee Activities We generate revenue through our guarantee activities by agreeing to absorb the credit risk associated with certain financial instruments that are owned or held by third parties. In exchange for providing this guarantee, we receive an ongoing guarantee fee that is commensurate with the risks assumed and that will, over the long-term, provide us with cash flows that are expected to exceed the credit-related and administrative expenses of the underlying financial instruments. The profitability of our guarantee activities may vary and will be dependent on our guarantee fee and the actual credit performance of the underlying financial instruments that we have guaranteed. Guarantees to consolidated entities are eliminated in consolidation and therefore are not separately recognized on our consolidated balance sheets. The accounting treatment for guarantees provided to non-consolidated entities or other third parties will depend on whether the guarantee contract qualifies as a financial guarantee. If the guarantee contract qualifies as a financial guarantee and exposes us to incremental credit risk, we will recognize both a guarantee obligation at fair value and the consideration we receive for providing the guarantee, which typically consists of a guarantee asset that represents the fair value of future guarantee fees. As a practical expedient, the measurement of the fair value of the guarantee obligation is set equal to the consideration we receive to provide the guarantee, and no gain or loss is recognized upon issuance of the guarantee. Subsequently, we recognize changes in the fair value of the guarantee asset in current period earnings and amortize the guarantee obligation into earnings as we are released from risk under the guarantee. We also recognize a reserve for guarantee losses when it is probable that a loss has been incurred under the guarantee. If the guarantee contract provided to non-consolidated entities does not qualify as a financial guarantee, that contract will generally be accounted for as a derivative and measured at fair value on our consolidated financial statements. Guarantee Activities Our principal guarantee activities include the following: Securitization Activity Guarantees For substantially all of our securitization transactions, we guarantee the principal and interest payments on some or all of the issued beneficial interests. Typically, these guarantees will cover the senior classes of beneficial interests issued by the securitization trust(s). Securitization activity guarantees provided to non-consolidated trusts will generally be accounted for, and qualify as, financial guarantees. Our maximum exposure on these guarantees is generally limited to the UPB of the beneficial interests that we have guaranteed. Guarantees of Fannie Mae Securities Under the Single Security Initiative As part of the Single Security Initiative, we have the ability to commingle TBA-eligible Fannie Mae collateral in certain of our resecuritization products. We extend our guarantee of these products to cover principal and interest that are payable from the underlying Fannie Mae collateral. Because both Freddie Mac and Fannie Mae are under the common control of FHFA, and due to Fannie Mae’s status as a GSE and the funding commitment available to it through its senior preferred stock purchase agreement with Treasury, we view the likelihood of being required to perform on our guarantee of Fannie Mae collateral as remote and do not charge an incremental guarantee fee to include Fannie Mae securities in our resecuritization products. Thus, we do not record a guarantee obligation with respect to Fannie Mae securities backing Freddie Mac resecuritization products. We guaranteed approximately $27.4 billion of Fannie Mae securities backing Freddie Mac resecuritization products as of December 31, 2019. Other Mortgage-Related Guarantees In certain circumstances, we provide a guarantee of mortgage-related assets held by third parties, in exchange for a guarantee fee, without securitizing those assets. These guarantees consist of the following: n Long-term standby commitments of single-family loans which obligate us to purchase the covered loans when they become seriously delinquent. Periodically, certain of our customers seek to terminate long-term standby commitments and simultaneously enter into guarantor swap transactions to obtain our securities backed by many of the same loans. During 2019 and 2018 , we guaranteed $2.3 billion and $0.5 billion , respectively, of loans under new long-term standby commitments and n Guarantees of multifamily bonds, including guarantees that require us to advance funds to enable others to repurchase any tendered tax-exempt and related taxable bonds that are unable to be sold. The vast majority of these guarantees were guarantees of multifamily housing revenue bonds that were issued by HFAs. No advances under these guarantees were outstanding at both December 31, 2019 and December 31, 2018 . During 2019 and 2018 , we guaranteed $0.9 billion and $0.6 billion , respectively, of multifamily bonds. Our other mortgage-related guarantees will generally be accounted for, and qualify as, financial guarantees. Our maximum exposure on these guarantees is limited to the UPB of the mortgage-related assets that we have guaranteed. Other Guarantees Measured at Fair Value Other guarantees that do not qualify as financial guarantees are generally accounted for as derivative instruments and measured at fair value. These guarantees primarily include: n Certain guarantees related to our securitization and guarantee activities that do not qualify as financial guarantees; n Certain market value guarantees, including written options and written swaptions; and n Guarantees of third-party derivative instruments. Other Indemnifications In connection with certain business transactions, we may provide indemnification to counterparties for claims arising out of breaches of certain obligations (e.g., those arising from representations and warranties) in contracts entered into in the normal course of business. Our assessment is that the risk of any material loss from such a claim for indemnification is remote and there are no significant probable and estimable losses associated with these contracts. In addition, we provided indemnification for litigation defense costs to certain former officers who are subject to ongoing litigation. See Note 16 for information on ongoing litigation. These indemnification obligations will generally be accounted for and qualify as financial guarantees. The recognized liabilities on our consolidated balance sheets related to indemnifications were not significant at both December 31, 2019 and December 31, 2018 . The table below shows our maximum exposure, recognized liability, and maximum remaining term of our recognized guarantees to non-consolidated VIEs and other third parties. This table does not include our unrecognized guarantees, such as guarantees to consolidated VIEs or to resecuritization trusts that do not expose us to incremental credit risk. The maximum exposure disclosed in the table is not representative of the actual loss we are likely to incur, based on our historical loss experience and after consideration of proceeds from related collateral liquidation, including possible recoveries under credit enhancements. See Note 6 for additional information on our credit enhancements. Our guarantees of Fannie Mae securities backing Freddie Mac resecuritization products are excluded from the table below. Table 5.1 - Financial Guarantees As of December 31, 2019 As of December 31, 2018 ( Dollars in millions , terms in years) Maximum (1) Recognized (2) Maximum Maximum (1) Recognized (2) Maximum Single-family: Securitization activity guarantees $26,818 $361 40 $17,783 $220 40 Other mortgage-related guarantees 7,492 182 30 6,139 167 30 Total single-family $34,310 $543 $23,922 $387 Multifamily: Securitization activity guarantees $252,167 $3,333 39 $221,245 $2,746 40 Other mortgage-related guarantees 9,989 416 34 9,779 428 35 Total multifamily $262,156 $3,749 $231,024 $3,174 Other guarantees measured at fair value $24,965 $253 30 $16,251 $242 30 (1) The maximum exposure represents the contractual amounts that could be lost if counterparties or borrowers defaulted, without consideration of possible recoveries under credit enhancements, such as recourse provisions, third-party insurance contracts or from collateral held or pledged. For other guarantees measured at fair value, this amount primarily represents the notional value if it relates to our market value guarantees or guarantees of third-party derivative instruments or the UPB if it relates to a guarantee of a mortgage-related asset. For certain of our other guarantees measured at fair value, our exposure may be unlimited and, as a result, the notional value is included. We generally reduce our exposure to these guarantees with unlimited exposure through separate contracts with third parties. (2) For securitization activity guarantees and other mortgage-related guarantees, this amount represents the guarantee obligation on our consolidated balance sheets. This amount excludes our reserve for guarantee losses, which totaled $52 million as of both December 31, 2019 and December 31, 2018 , respectively, and is included within other liabilities on our consolidated balance sheets. For other guarantees measured at fair value, this amount represents the fair value of the contract. |
Credit Enhancements
Credit Enhancements | 12 Months Ended |
Dec. 31, 2019 | |
Credit Enhancements [Abstract] | |
CREDIT ENHANCEMENTS | Credit Enhancements We obtain various forms of credit enhancements that reduce our exposure to credit losses. These credit enhancements may be associated with mortgage loans or guarantees recognized on our consolidated balance sheets or embedded in debt instruments recognized on our consolidated balance sheets. Accounting for Credit Enhancements Attached Credit Enhancements Attached credit enhancements are obtained contemporaneously with, and in contemplation of, the origination of a financial instrument, and effectively travel with the financial instrument upon sale. Attached credit enhancements include primary mortgage insurance, which provides us with loan-level protection up to a specified percentage, and, in connection with our securitization activity guarantees, subordination that we obtain through the creation of unguaranteed subordinated securities issued by unconsolidated securitization trusts that absorb first losses prior to us having to perform on our guarantee of the senior securities. Expected recoveries from attached credit enhancements are considered in determining the allowance for loan losses, resulting in a reduction in the recognized provision for credit losses by the amount of the expected recoveries. With respect to guarantees protected by subordination, we recognize a reserve for guarantee losses only when incurred losses exceed the amount of subordination. See Note 4 for additional information concerning the determination of our allowance for credit losses or reserve for guarantee losses. Freestanding Credit Enhancements Freestanding credit enhancements are contracts that are entered into separately and apart from any other financial instruments or entered into in conjunction with some other transaction and are legally detachable and separately exercisable. Freestanding credit enhancements include insurance/reinsurance transactions, STACR Trust notes, and lender risk-sharing transactions and are accounted for separately from the underlying mortgage loans or guarantees. Our primary insurance/reinsurance transactions are single-family ACIS transactions. ACIS transactions are insurance policies we purchase, generally underwritten by a group of insurers and reinsurers, that provide credit protection for certain specified credit events that occur on a reference pool of mortgage loans. Under the ACIS contracts, we pay insurers and reinsurers premiums for insurance coverage. Each month, we accrue for our obligation to make such payments for all tranches covered by the ACIS contracts. When specific credit events occur, we generally receive compensation from the insurance policy up to an aggregate limit based on actual losses. We require our counterparties to partially collateralize their exposure to reduce the risk that we will not be reimbursed for our claims under the policies. In addition to ACIS, our single-family insurance/reinsurance credit enhancements include AFRM, which is similar to ACIS but provides credit protection immediately upon acquisition of the loan, and IMAGIN, which provides loan level protection in lieu of traditional primary mortgage insurance. Our multifamily insurance/reinsurance credit enhancements include MCIP transactions, which are similar to ACIS transactions and provide credit protection for certain specified credit events that occur on a reference pool of multifamily mortgage assets. STACR Trust notes transfer credit risk on a reference pool of mortgage loans to investors through the issuance of notes linked to notional credit risk positions of the reference pool by a third-party trust. The trust issues the notes and makes periodic payments of principal and interest on the notes to investors. Under this structure, we make payments to the trust to support payment of the interest due on the notes, and we receive payments from the trust that otherwise would have been made to the noteholders as a result of defined credit events on the reference pool. Each month, we accrue for our obligation to make such payments to the trust. The note balances are reduced by the amount of the payments to us. This structure has been recently enhanced so that the notes issued qualify as interests in a REMIC. Lender risk-sharing transactions are agreements that require a lender to repurchase a loan upon default or to reimburse us for realized credit losses. These transactions are entered into as an alternative to requiring primary mortgage insurance or in exchange for a lower guarantee fee. The loss sharing amount may be fully or partially collateralized. We recognize the payments we make to transfer credit risk under freestanding credit enhancements in credit enhancement expense in our consolidated statements of comprehensive income when they are incurred. Expected recoveries for credit losses covered under freestanding credit enhancements are recognized separately in other assets on our consolidated balance sheets when realization of our claim for recovery is deemed probable, which typically occurs at the same time we recognize a provision for credit losses on the associated loan (or guarantee). For information about counterparty credit risk associated with mortgage insurers and other credit enhancement providers, see Note 14 . Debt with Embedded Credit Enhancements We also transfer credit risk after our acquisition or guarantee of mortgage assets by either issuing unsecured debt with embedded credit enhancements or recognizing debt of consolidated VIEs that includes subordination. For certain of our unsecured debt issuances, we create a reference pool of mortgage assets (generally loans) to which we currently have credit risk exposure and an associated securitization-like structure with notional credit risk positions. To the extent a specified credit event occurs on the mortgage assets in the reference pool, the outstanding balance of our debt obligations is written down, thereby reducing our future principal and interest payment obligations. The principal types of unsecured debt with embedded credit enhancements are single-family STACR debt notes and multifamily SCR notes. Most of our STACR debt notes are recorded as other debt on our consolidated balance sheets and accounted for at amortized cost. When the realized loss events (e.g., third-party foreclosure sale, short sale, or REO disposition) occur on the underlying loans in the reference pool, the STACR debt notes are written down and the benefits are recognized as investment gains (losses), net on our consolidated statements of comprehensive income. The structure of multifamily SCR notes is similar to STACR debt notes, although the mortgage assets within the reference pool may be loans or multifamily housing revenue bonds to which we have credit exposure. While our SCR notes are recorded as other debt on our consolidated balance sheets, these debt obligations are measured at fair value, as we elected the fair value option for them. Fair value changes are recorded in investment gains (losses), net on our consolidated statement of comprehensive income. Similar to our non-consolidated VIEs, we obtain credit enhancement on certain of our consolidated securitization products through the creation of unguaranteed subordinated securities. These unguaranteed subordinated securities will absorb first losses on the underlying loans prior to us performing pursuant to our guarantee obligation. The unguaranteed subordinated debt securities held by third parties are recorded as debt of consolidated trusts on our consolidated balance sheets and generally accounted for at amortized cost. When losses are realized on the loans underlying the securities, the subordinated debt is written down and the benefits are recognized as investment gains (losses), net on our consolidated statements of comprehensive income. Single-Family Credit Enhancements The table below presents the total current and protected UPB and maximum amounts of potential loss recovery related to our single-family credit enhancements. Table 6.1 - Single-Family Credit Enhancements December 31, 2019 December 31, 2018 (In millions) Credit Enhancement Accounting Treatment Total Current and Protected UPB (1) Maximum Coverage Total Current and Protected UPB (1) Maximum Coverage Primary mortgage insurance Attached $421,870 $107,690 $378,594 $96,996 STACR: (2) Trust notes Freestanding 288,323 9,739 161,152 5,026 Debt notes Debt 536,036 15,373 605,263 17,596 Insurance/reinsurance (3) Freestanding 863,149 10,157 808,484 9,278 Subordination: Non-consolidated VIEs (4) Attached 25,443 4,545 16,271 2,933 Consolidated VIEs (5) Debt 19,498 854 25,006 1,036 Lender risk-sharing Freestanding 24,078 5,657 17,458 5,170 Other Primarily attached 1,056 1,051 1,305 1,290 Total single-family credit enhancements $155,066 $139,325 (1) Underlying loans may be covered by more than one form of credit enhancement. (2) Total current and protected UPB represents the UPB of the assets included in the reference pool. Maximum coverage amount represents the outstanding balance held by third parties. (3) As of December 31, 2019 and December 31, 2018, our counterparties posted sufficient collateral on our ACIS transactions to meet the minimum collateral requirements of the ACIS program. Minimum collateral requirements are assessed on each deal based on a combination of factors, including counterparty credit risk of the reinsurer, as well as the structure and risk profile of the transaction. Other insurance/reinsurance transactions have similar collateral requirements. (4) Total current and protected UPB includes the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities, and the UPB of guarantor advances made to the holders of the guaranteed securities. Maximum coverage represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties. (5) Total current and protected UPB represents the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities. Maximum coverage amount represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties. Multifamily Credit Enhancements The table below presents the total current and protected UPB and maximum amounts of potential loss recovery related to our multifamily credit enhancements. Table 6.2 - Multifamily Credit Enhancements December 31, 2019 December 31, 2018 (In millions) Credit Enhancement Accounting Treatment Total Current and Protected UPB (1) Maximum Coverage Total Current and Protected UPB (1) Maximum Coverage Subordination: Non-consolidated VIEs (2) Attached $251,008 $40,262 $220,733 $35,661 Consolidated VIEs (3) Debt 1,800 200 2,700 280 Insurance/reinsurance (4) Freestanding 2,769 127 915 43 SCR debt notes (5) Debt 2,470 123 2,667 133 Other (6) Primarily freestanding 2,996 848 2,349 815 Total multifamily credit enhancements $41,560 $36,932 (1) Underlying loans may be covered by more than one form of credit enhancement. (2) Total current and protected UPB includes the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities, and the UPB of guarantor advances made to the holders of the guaranteed securities. Maximum coverage represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties. (3) Total current and protected UPB represents the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities. Maximum coverage amount represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties. (4) As of December 31, 2019 and December 31, 2018, the counterparties to our insurance/reinsurance transactions have complied with the minimum collateral requirements. Minimum collateral requirements are assessed on each deal based on a combination of factors, including counterparty credit risk of the reinsurer, as well as the structure and risk profile of the transaction. (5) Total current and protected UPB represents the UPB of the assets included in the reference pool. Maximum coverage amount represents the outstanding balance of the SCR notes held by third parties. (6) Maximum coverage represents the remaining amount of loss recovery that is available subject to the terms of counterparty agreements. The Multifamily segment also has other credit enhancements in the form of collateral posting requirements, indemnification, pool insurance, bond insurance, recourse, and other similar arrangements. These credit enhancements, along with the proceeds received from the sale of the underlying mortgage collateral, are designed to recover all or a portion of our losses on our mortgage loans or the amounts paid under our financial guarantee contracts. Our historical losses and related recoveries pursuant to these agreements have not been significant and therefore these other types of credit enhancements are excluded from the table above. |
Investments in Securities
Investments in Securities | 12 Months Ended |
Dec. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |
INVESTMENTS IN SECURITIES | Investments in Securities The table below summarizes the fair values of our investments in debt securities by classification. Table 7.1 - Investments in Securities (In millions) As of December 31, 2019 As of December 31, 2018 Trading securities $49,537 $35,548 Available-for-sale securities 26,174 33,563 Total $75,711 $69,111 We currently classify and account for our securities as either available-for-sale or trading. As of December 31, 2019 and December 31, 2018, we did not classify any securities as held-to-maturity, although we may elect to do so in the future. Securities classified as available-for-sale and trading are reported at fair value with changes in fair value included in AOCI, net of income taxes and investment gains (losses), net, respectively. See Note 15 for more information on how we determine the fair value of securities. We generally record purchases and sales of securities on the trade date when the related forward commitments are exempt from the accounting guidance for derivatives. Alternatively, we record purchases and sales of securities on the expected settlement date, with a corresponding derivative recorded on the trade date, when the related forward commitments are not exempt from the accounting guidance for derivatives. We include interest on securities on our consolidated statements of comprehensive income. For most of our securities, interest income is recognized using the effective interest method, which considers the contractual terms of the security. Deferred items, including premiums, discounts, and other basis adjustments, are amortized into interest income over the contractual lives of the securities. For certain securities, interest income is recognized using the prospective effective interest method. We apply this method to securities that: n Can contractually be prepaid or otherwise settled in such a way that we may not recover substantially all of our recorded investment; n Are not of high credit quality at acquisition; or n Have been determined to be other-than-temporarily impaired. Under this method, we recognize as interest income, over the expected life of the securities, the excess of the cash flows expected to be collected over the securities' carrying value. We update our estimates of expected cash flows periodically and recognize changes in the calculated effective interest rate on a prospective basis. For securities classified as trading or available-for-sale, we classify the cash flows as investing activities because we hold these securities for investment purposes. In cases where the transfer of a security represents a secured borrowing, we classify the related cash flows as financing activities. Freddie Mac mortgage-related securities include mortgage-related securities issued or guaranteed by Freddie Mac. In prior periods, certain of these securities that were issued by third-party trusts but guaranteed by Freddie Mac were classified as non-agency mortgage-related securities. Prior periods have been revised to conform to the current period presentation. Trading Securities The table below presents the estimated fair values by major security type for our securities classified as trading. Our non-mortgage-related securities primarily consist of investments in U.S. Treasury securities. Table 7.2 - Trading Securities (In millions) As of December 31, 2019 As of December 31, 2018 Mortgage-related securities: Agency $22,481 $16,372 Non-agency 1 1 Total mortgage-related securities 22,482 16,373 Non-mortgage-related securities 27,055 19,175 Total fair value of trading securities $49,537 $35,548 For trading securities held at December 31, 2019 , 2018, and 2017, we recorded net unrealized losses of $8 million , $479 million , and $365 million Available-for-Sale Securities At both December 31, 2019 and December 31, 2018, all available-for-sale securities were mortgage-related securities. The tables below present the amortized cost, gross unrealized gains and losses, and fair value by major security type for our securities classified as available-for-sale. Table 7.3 - Available-for-Sale Securities As of December 31, 2019 Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value (In millions) Other-Than-Temporary Impairment (1) Temporary Impairment (2) Available-for-sale securities: Agency $24,390 $571 $— ($74 ) $24,887 Non-agency and other 1,004 283 — — 1,287 Total available-for-sale securities $25,394 $854 $— ($74 ) $26,174 As of December 31, 2018 Amortized Cost Gross Gross Unrealized Losses Fair Value (In millions) Other-Than-Temporary Impairment (1) Temporary Impairment (2) Available-for-sale securities: Agency $32,082 $358 $— ($535 ) $31,905 Non-agency and other 1,378 282 — (2 ) 1,658 Total available-for-sale securities $33,460 $640 $— ($537 ) $33,563 (1) Represents the gross unrealized losses for securities for which we have previously recognized other-than-temporary impairment in earnings. (2) Represents the gross unrealized losses for securities for which we have not previously recognized other-than-temporary impairment in earnings. The fair value of our available-for-sale securities held at December 31, 2019 scheduled to contractually mature after ten years was $21.4 billion , with an additional $4.4 billion scheduled to contractually mature after five years through ten years. Available-for-Sale Securities in a Gross Unrealized Loss Position The tables below present available-for-sale securities in a gross unrealized loss position, and whether such securities have been in a gross unrealized loss position for less than 12 months, or 12 months or greater. Table 7.4 - Available-for-Sale Securities in a Gross Unrealized Loss Position As of December 31, 2019 Less than 12 Months 12 Months or Greater (In millions) Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Available-for-sale securities: Agency $5,778 ($27 ) $2,934 ($47 ) Non-agency and other 1 — — — Total available-for-sale securities in a gross unrealized loss position $5,779 ($27 ) $2,934 ($47 ) As of December 31, 2018 Less than 12 Months 12 Months or Greater (In millions) Fair Gross Unrealized Losses Fair Gross Unrealized Losses Available-for-sale securities: Agency $4,610 ($39 ) $15,389 ($496 ) Non-agency and other 43 (1 ) 6 (1 ) Total available-for-sale securities in a gross unrealized loss position $4,653 ($40 ) $15,395 ($497 ) At December 31, 2019 , the gross unrealized losses relate to 179 separate securities. We purchase multiple lots of individual securities at different times and at different costs. We determine gross unrealized gains and gross unrealized losses by specifically evaluating investment positions at the lot level; therefore, some of the lots we hold for an individual security may be in a gross unrealized gain position, while other lots for that security may be in a gross unrealized loss position. Impairment Recognition on Investments in Securities We evaluate available-for-sale securities in an unrealized loss position as of the end of each quarter to determine whether the decline in value is other-than-temporary. An unrealized loss exists when the fair value of an individual lot is less than its amortized cost basis. As discussed further below, certain other-than-temporary impairment losses are recognized in earnings. Other-than-temporary impairment is considered to have occurred if the fair value of the security lot is less than its amortized cost basis and we either intend to sell the security lot or more likely than not will be required to sell the security lot prior to recovery of its amortized cost basis. Under these circumstances, the security lot's entire decline in fair value is deemed to be other-than-temporary and is recorded within our consolidated statements of comprehensive income as investment gains (losses), net. If we do not intend to sell the security or we believe it is not more likely than not that we will be required to sell prior to recovery of the security's amortized cost basis, we recognize only the credit component of other-than-temporary impairment in earnings and the amounts attributable to all other factors are recorded in AOCI. The credit component represents the amount by which the present value of cash flows expected to be collected from the security is less than its amortized cost basis. The present value of cash flows expected to be collected represents our estimate of future contractual cash flows that we expect to collect, discounted at the security's original effective interest rate or, if applicable, the effective interest rate determined based on significantly improved cash flows subsequent to a prior other-than-temporary impairment. The evaluation of whether unrealized losses on available-for-sale securities are other-than-temporary requires significant management judgments, assumptions, and consideration of numerous factors. We perform an evaluation on a security lot basis considering all available information. The relative importance of this information varies based on the facts and circumstances surrounding each security, as well as the economic environment at the time of assessment. Agency Securities The principal and interest on these securities are guaranteed. We generally hold these securities that are in an unrealized loss position to recovery. As a result, unless we intend to sell the security, we consider unrealized losses on these securities to be temporary. Non-Agency Residential Mortgage-Backed Securities The unrealized losses on the non-agency RMBS we hold are minimal and mainly attributable to poor underlying collateral performance, limited liquidity, and risk premiums. In evaluating securities for impairment, we use an internal model that considers the credit performance of the underlying collateral, including delinquencies and prepayments, and incorporates assumptions about the economic environment. Other-than-Temporary Impairments For our available-for-sale securities in an unrealized loss position at December 31, 2019, we have asserted that we have no intent to sell or believe it is not more than likely than not that we will be required to sell the security before recovery of its amortized cost basis. The ending balance of remaining credit losses on available-for-sale securities where a portion of other-than-temporary impairment was recognized in other comprehensive income was $0.6 billion , $0.8 billion , and $1.1 billion as of December 31, 2019, December 31, 2018, and December 31, 2017, respectively. Realized Gains and Losses on Sales of Available-for-Sale Securities Gains and losses on the sale of securities are included in investment securities gains (losses), including those gains (losses) reclassified into earnings from AOCI. We use the specific identification method for determining the cost basis of a security in computing the gain or loss. The table below summarizes the gross realized gains and gross realized losses from the sale of available-for-sale securities. Table 7.5 - Gross Realized Gains and Gross Realized Losses from Sales of Available-for-Sale Securities Year Ended December 31, (In millions) 2019 2018 2017 Gross realized gains $219 $627 $1,792 Gross realized losses (49 ) (303 ) (66 ) Net realized gains $170 $324 $1,726 Non-Cash Investing and Financing Activities We account for transactions where we obtain beneficial interests as consideration for transfers of securities to non-consolidated trusts as non-cash transactions when these transactions do not involve exchanges of gross cash flows. During the years ended December 31, 2018 and December 31, 2017, we obtained beneficial interests of $0.1 billion , and $3.8 billion , respectively, related to such transactions. We did no t have such activity during the year ended December 31, 2019. In addition, during the year ended December 31, 2019, we recognized $ 10.9 billion |
Debt Securities and Subordinate
Debt Securities and Subordinated Borrowings | 12 Months Ended |
Dec. 31, 2019 | |
Debt Disclosure [Abstract] | |
DEBT SECURITIES AND SUBORDINATED BORROWINGS | Debt Securities and Subordinated Borrowings The table below summarizes the interest expense per our consolidated statements of comprehensive income and the balances of total debt, net per our consolidated balance sheets. Table 8.1 - Total Debt, Net Balance, Net Interest Expense As of December 31, For The Year Ended December 31, (In millions) 2019 2018 2019 2018 2017 Debt securities of consolidated trusts held by third parties $1,898,355 $1,792,677 $53,980 $51,529 $47,656 Other debt: Short-term debt 110,877 51,080 1,910 1,193 615 Long-term debt 170,296 201,193 5,157 5,311 5,372 Total other debt 281,173 252,273 7,067 6,504 5,987 Total debt, net $2,179,528 $2,044,950 $61,047 $58,033 $53,643 We apply fair value hedge accounting to certain debt issuances. The fair value hedge accounting related basis adjustments are included in the table above. Debt securities that we issue are classified as either debt securities of consolidated trusts held by third parties or other debt. We issue other debt to fund our operations. With the exception of certain debt for which we elected the fair value option or designated in a qualifying fair value hedge relationship, our debt is reported at amortized cost. Deferred items, including premiums, discounts, issuance costs, and hedge accounting-related basis adjustments, are reported as a component of total debt, net. These items are amortized and reported through interest expense using the effective interest method over the contractual life of the related indebtedness. Amortization of premiums, discounts, and issuance costs begins at the time of debt issuance. Amortization of hedge accounting-related basis adjustments begins upon the discontinuation of the related hedge relationship. We elected the fair value option on debt that contains embedded derivatives, including certain STACR debt notes and SCR debt notes. For additional information on STACR debt notes and SCR debt notes, see Note 6 . Changes in the fair value of these debt obligations are recorded in investment gains (losses), net, with any upfront costs and fees incurred or received in exchange for the issuance of the debt being recognized in earnings as incurred and not deferred. Related interest expense continues to be reported as interest expense based on the stated terms of the debt securities. For additional information on our election of the fair value option, see Note 15 . When we repurchase or call outstanding debt securities, we recognize the difference between the amount paid to redeem the debt security and the carrying value in earnings as a component of investment gains (losses), net. Contemporaneous transfers of cash between us and a creditor in connection with the issuance of a new debt security and satisfaction of an existing debt security are accounted for as either an extinguishment or a modification of an existing debt security. If the debt securities have substantially different terms, the transaction is accounted for as an extinguishment of the existing debt security. The issuance of a new debt security is recorded at fair value, fees paid to the creditor are expensed as incurred, and fees paid to third parties are deferred and amortized into interest expense over the life of the new debt security using the effective interest method. If the terms of the existing debt security and the new debt security are not substantially different, the transaction is accounted for as a modification of the existing debt. Fees paid to the creditor are deferred and amortized into interest expense over the life of the modified debt security using the effective interest method and fees paid to third parties are expensed as incurred. We also engage in dollar roll transactions whereby we enter into an agreement to sell and subsequently repurchase (or purchase and subsequently resell) agency securities. When these transactions involve securities issued by consolidated entities, they are treated as issuances and extinguishments of debt. Under the Purchase Agreement, without the prior written consent of Treasury, we may not incur indebtedness that would result in the par value of our aggregate indebtedness exceeding 120% of the amount of mortgage assets we are allowed to own on December 31 of the immediately preceding calendar year. Because of this debt limit, we may be restricted in the amount of debt we are allowed to issue to fund our operations. Under the Purchase Agreement, the amount of our "indebtedness" is determined without giving effect to the January 1, 2010 change in the accounting guidance related to transfers of financial assets and consolidation of VIEs. Therefore, "indebtedness" generally does not include debt securities of consolidated trusts held by third parties. We also cannot become liable for any subordinated indebtedness without the prior consent of Treasury. See Note 2 for information regarding restrictions on the amount of mortgage-related securities that we may own. Beginning January 1, 2019, our debt cap under the Purchase Agreement is $300 billion . As of December 31, 2019 , our aggregate indebtedness for purposes of the debt cap was $283.2 billion . Our aggregate indebtedness primarily includes the par value of other short- and long-term debt. Debt Securities of Consolidated Trusts Held By Third Parties Debt securities of consolidated trusts held by third parties represents our liability to third parties that hold beneficial interests in our consolidated securitization trusts. Debt securities of consolidated trusts held by third parties are subject to prepayment risk as their payments are based upon the performance of the underlying mortgage loans that may be prepaid by the related mortgage borrower at any time without penalty. The table below summarizes the debt securities of consolidated trusts held by third parties based on underlying loan product type. Table 8.2 - Debt Securities of Consolidated Trusts Held by Third Parties As of December 31, 2019 As of December 31, 2018 (Dollars in millions) Contractual Maturity UPB Carrying Amount (1) Weighted Average Coupon (2) Contractual Maturity UPB Carrying Amount (1) Weighted Average Coupon (2) Single-family: 30-year or more, fixed-rate 2020 - 2057 $1,516,550 $1,554,095 3.63 % 2019 - 2057 $1,389,113 $1,426,060 3.72 % 20-year fixed-rate 2020 - 2040 70,901 72,558 3.37 % 2019 - 2039 70,547 72,354 3.43 % 15-year fixed-rate 2020 - 2035 225,501 229,133 2.87 % 2019 - 2034 240,310 244,587 2.89 % Adjustable-rate 2020 - 2050 30,183 30,756 3.25 % 2019 - 2049 38,361 39,153 3.12 % Interest-only 2026 - 2041 4,244 4,307 4.55 % 2026 - 2048 5,322 5,386 4.41 % FHA/VA 2020 - 2049 633 647 4.68 % 2019 - 2046 720 736 4.78 % Total Single-family 1,848,012 1,891,496 1,744,373 1,788,276 Multifamily 2021 - 2049 6,790 6,859 3.29 % 2019 - 2047 4,365 4,401 4.02 % Total debt securities of consolidated trusts held by third parties $1,854,802 $1,898,355 $1,748,738 $1,792,677 (1) Includes $209 million and $755 million at December 31, 2019 and December 31, 2018, respectively, of debt of consolidated trusts that represents the fair value of debt securities with the fair value option elected. (2) The effective rate for debt securities of consolidated trusts held by third parties was 2.79% and 3.07% as of December 31, 2019 and December 31, 2018, respectively. Other Short-Term Debt As indicated in the table below, a majority of other short-term debt consisted of discount notes and Reference Bills securities, paying only principal at maturity. Discount notes, Reference Bills securities, and medium-term notes are unsecured general corporate obligations. Securities sold under agreements to repurchase are effectively collateralized borrowings where we sell securities with an agreement to repurchase such securities at a future date. Certain medium-term notes that have original maturities of one year or less are classified as other short-term debt for purposes of this presentation. The table below summarizes the balances and effective interest rates for other short-term debt. Table 8.3 - Other Short-Term Debt As of December 31, 2019 As of December 31, 2018 (Dollars in millions) Par Value Carrying Amount Weighted Average Effective Rate Par Value Carrying Amount Weighted Average Effective Rate Other short-term debt: Discount notes and Reference Bills $60,830 $60,629 1.67 % $28,787 $28,621 2.36 % Medium-term notes 40,407 40,405 2.31 16,440 16,440 2.10 Securities sold under agreements to repurchase 9,843 9,843 1.46 6,019 6,019 2.40 Total other short-term debt $111,080 $110,877 1.89 % $51,246 $51,080 2.28 % The table below summarizes our other long-term debt. Table 8.4 - Other Long-Term Debt As of December 31, 2019 As of December 31, 2018 (Dollars in millions) Contractual Maturity Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Other long-term debt: Other senior debt: Fixed-rate: Medium-term notes — callable 2020 - 2037 $83,470 $83,433 2.01 % $78,810 $78,786 2.01 % Medium-term notes — non-callable 2020 - 2028 2,498 2,519 2.14 % 4,761 4,811 1.83 % Reference Notes securities — non-callable 2020 - 2032 39,124 39,176 2.71 % 65,362 65,385 2.39 % STACR and SCR 2031 - 2042 123 126 12.74 % 133 136 12.76 % Variable-rate: Medium-term notes — callable 2020 - 2034 10,682 10,668 2.18 % 26,396 26,364 2.33 % Medium-term notes — non-callable 2020 - 2026 15,727 15,724 2.45 % 5,325 5,325 1.47 % STACR 2023 - 2042 15,373 15,526 5.58 % 17,596 17,868 5.99 % Zero-coupon: Medium-term notes — non-callable 2020 - 2039 4,880 2,450 5.94 % 5,009 2,428 6.29 % Other 2047 - 2049 — 6 0.63 % — 2 0.63 % Hedging-related basis adjustments N/A 668 N/A (215 ) Total other senior debt 171,877 170,296 203,392 200,890 Other subordinated debt: Zero-coupon — — — % 332 303 10.51 % Total other subordinated debt — — 332 303 Total other long-term debt $171,877 $170,296 2.61 % $203,724 $201,193 2.58 % (1) Represents par value, net of associated discounts or premiums and issuance costs. Includes $3.7 billion and $4.4 billion at December 31, 2019 and December 31, 2018, respectively, of other long term-debt that represents the fair value of debt securities with the fair value option elected. (2) Based on carrying amount, excluding hedge-related basis adjustments. A portion of our other long-term debt is callable. Callable debt gives us the option to redeem the debt security at par on one or more specified call dates or at any time on or after a specified call date. The table below summarizes the contractual maturities of other long-term debt securities at December 31, 2019 . Table 8.5 - Contractual Maturities of Other Long-Term Debt and Debt Securities (In millions) Par Value Annual Maturities Other long-term debt (excluding STACR and SCR): 2020 $45,133 2021 30,069 2022 23,185 2023 13,413 2024 26,966 Thereafter 17,615 Debt securities of consolidated trusts held by third parties, STACR, and SCR (1) 1,870,298 Total 2,026,679 Net discounts, premiums, debt issuance costs, hedge-related, and other basis adjustments (2) 41,972 Total debt securities of consolidated trusts held by third parties, STACR, SCR and other long-term debt $2,068,651 (1) Contractual maturities of these debt securities are not presented because they are subject to prepayment risk, as their payments are based upon the performance of a pool of mortgage assets that may be prepaid by the related mortgage borrower at any time without penalty. (2) Other basis adjustments primarily represent changes in fair value on debt where we have elected the fair value option. Non-Cash Investing and Financing Activities During the year ended December 31, 2019 , we issued $0.7 billion |
Derivatives
Derivatives | 12 Months Ended |
Dec. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVES | Derivatives Derivatives are reported at their fair value on our consolidated balance sheets. Changes in fair value and interest accruals on derivatives not in qualifying fair value hedge relationships are recorded as investment gains (losses), net, on our consolidated statements of comprehensive income. Derivatives in a net asset position, including net derivative interest receivable or payable, are reported as derivative assets, net. Similarly, derivatives in a net liability position, including net derivative interest receivable or payable, are reported as derivative liabilities, net. We offset fair value amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral against fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting agreement. Non-cash collateral held is not recognized on our consolidated balance sheets as we do not obtain effective control over the collateral, and non-cash collateral posted is not de-recognized from our consolidated balance sheets as we do not relinquish effective control over the collateral. Therefore, non-cash collateral held or posted is not presented as an offset against derivative assets or derivative liabilities on our consolidated balance sheets. We evaluate whether financial instruments that we purchase or issue contain embedded derivatives. We generally elect to measure newly acquired or issued financial instruments that contain embedded derivatives at fair value, with changes in fair value recorded in earnings. On October 1, 2017, we adopted accounting guidance that modifies the presentation of hedge accounting results disclosed on our consolidated statements of comprehensive income and in the notes to the consolidated financial statements. For qualifying fair value hedge relationships, the modifications include presenting all changes in the fair value of the derivative hedging instrument in the same consolidated statements of comprehensive income line used to present the earnings effect of the hedged item. For qualifying fair value hedge relationships, the modifications also include separate disclosures of cumulative basis adjustments and their impact to the hedged item's carrying value. On our consolidated statements of cash flows, cash flows related to the acquisition and termination of derivatives, other than forward commitments, are generally classified in investing activities. Cash flows related to forward commitments are classified within the section of the consolidated statements of cash flows in accordance with the cash flows of the financial instruments to which they relate. Use of Derivatives We use derivatives primarily to hedge interest-rate sensitivity mismatches between our financial assets and liabilities. We analyze the interest-rate sensitivity of financial assets and liabilities on a daily basis across a variety of interest-rate scenarios based on market prices, models, and economics. When we use derivatives to mitigate our exposures, we consider a number of factors, including cost, exposure to counterparty credit risk, and our overall risk management strategy. We classify derivatives into three categories: n Exchange-traded derivatives; n Cleared derivatives; and n OTC derivatives. Exchange-traded derivatives include standardized interest-rate futures contracts and options on futures contracts. Cleared derivatives include interest-rate swaps that the U.S. Commodity Futures Trading Commission has determined are subject to the central clearing requirement of the Dodd-Frank Act. OTC derivatives refer to those derivatives that are neither exchange-traded derivatives nor cleared derivatives. Types of Derivatives We principally use the following types of derivatives: n LIBOR- and SOFR-based interest-rate swaps; n LIBOR- and Treasury-based purchased options (including swaptions); and n LIBOR-, Treasury-, and SOFR-based exchange-traded futures. We also purchase swaptions on credit indices in order to obtain protection against adverse movements in multifamily spreads which may affect the profitability of our K Certificate or SB Certificate transactions. In addition to swaps, futures, and purchased options, our derivative positions include written options and swaptions and commitments. Written Options and Swaptions Written call and put swaptions are sold to counterparties allowing them the option to enter into receive-fixed and pay-fixed interest rate swaps, respectively. Written call and put options on mortgage-related securities give the counterparty the right to execute a contract under specified terms, which generally occurs when we are in a liability position. We may, from time to time, write other derivative contracts such as interest-rate futures. Commitments We routinely enter into commitments that include commitments to: n Purchase and sell investments in securities; n Purchase and sell loans; and n Purchase and extinguish or issue debt securities of our consolidated trusts. Most of these commitments are considered derivatives and therefore are subject to the accounting guidance for derivatives and hedging. Hedge Accounting Fair Value Hedges We apply fair value hedge accounting to certain single-family mortgage loans where we hedge the changes in fair value of these loans attributable to the designated benchmark interest rate (i.e., LIBOR), using LIBOR-based interest-rate swaps. The hedge period is one day, and we re-balance our hedge relationships on a daily basis. We also apply fair value hedge accounting to certain issuances of debt where we hedge the changes in fair value of the debt attributable to the designated benchmark interest rate (i.e., LIBOR), using LIBOR-based interest-rate swaps. Beginning in September 2019, we implemented a new fair value hedge accounting strategy for single-family mortgage loans that applies certain hedge accounting elections, including the last-of-layer method, allowable under amended hedge accounting guidance we adopted during 4Q 2017. Under the last-of-layer method, we hedge the changes in fair value of a portion of a closed pool of single-family mortgage loans that is not expected to be affected by prepayments, defaults, and other events affecting the timing and amount of cash flows. As part of this new strategy, we have also elected to measure the change in fair value of the hedged item on the basis of the benchmark rate component of the contractual coupon cash flows determined at the hedge inception and by assuming the hedged item has a term that reflects only the designated cash flows being hedged. We apply hedge accounting to qualifying hedge relationships. A qualifying hedge relationship exists when changes in the fair value of a derivative hedging instrument are expected to be highly effective in offsetting changes in the fair value of the hedged item attributable to the risk being hedged during the term of the hedge relationship. No amounts have been excluded from the assessment of hedge effectiveness. To assess hedge effectiveness, we use a statistical regression analysis. At inception of the hedge relationship, we prepare formal contemporaneous documentation of our risk management objective and strategies for undertaking the hedge. Beginning on October 1, 2017, due to the adoption of amended hedge accounting guidance, if a hedge relationship qualifies for fair value hedge accounting, all changes in fair value of the derivative hedging instrument, including interest accruals, are recognized in the same consolidated statements of comprehensive income line item used to present the earnings effect of the hedged item. Therefore, changes in the fair value of the hedged item, mortgage loans and debt, attributable to the risk being hedged are recognized in interest income - mortgage loans and interest expense, respectively, along with the changes in the fair value of the respective derivative hedging instruments. Prior to October 1, 2017, if the hedge relationship qualified for hedge accounting, changes in fair value of the derivative hedging instrument and changes in the fair value of the hedged item attributable to the risk being hedged were recognized in other income (loss) and interest accruals on the derivative hedging instrument were included in derivative gains (losses). Changes in the fair value of the hedged item attributable to the risk being hedged are recognized as a cumulative basis adjustment against the mortgage loans and debt. The cumulative basis adjustments are amortized to the same consolidated statements of comprehensive income line item used to present the changes in fair value of the hedged item using the effective interest method considering the contractual terms of the hedged item, with amortization beginning no later than the period in which hedge accounting was discontinued. Derivative Assets and Liabilities at Fair Value The table below presents the notional value and fair value of derivatives reported on our consolidated balance sheets. Table 9.1 - Derivative Assets and Liabilities at Fair Value As of December 31, 2019 As of December 31, 2018 Notional or Contractual Amount Derivatives at Fair Value Notional or Contractual Amount Derivatives at Fair Value (In millions) Assets Liabilities Assets Liabilities Not designated as hedges Interest-rate swaps: Receive-fixed $230,926 $1,990 ($6 ) $145,386 $1,380 ($181 ) Pay-fixed 251,392 10 (4,162 ) 170,899 476 (2,287 ) Basis (floating to floating) 5,924 — — 5,404 1 — Total interest-rate swaps 488,242 2,000 (4,168 ) 321,689 1,857 (2,468 ) Option-based: Call swaptions Purchased 75,325 2,717 — 43,625 2,007 — Written 3,375 — (42 ) 4,400 — (133 ) Put swaptions Purchased (1) 67,155 835 — 88,075 1,565 — Written 7,275 — (88 ) 1,750 — (4 ) Other option-based derivatives (2) 10,334 646 — 10,481 628 — Total option-based 163,464 4,198 (130 ) 148,331 4,200 (137 ) Futures 210,305 — — 161,185 — — Commitments 93,960 61 (126 ) 36,044 90 (179 ) CRT-related derivatives 12,362 15 (116 ) 7,514 — (74 ) Other 5,984 1 (28 ) 6,728 1 (64 ) Total derivatives not designated as hedges 974,317 6,275 (4,568 ) 681,491 6,148 (2,922 ) Designated as fair value hedges Interest-rate swaps: Receive-fixed 104,459 104 (75 ) 117,038 23 (935 ) Pay-fixed 87,907 — (639 ) 77,513 247 (571 ) Total derivatives designated as fair value hedges 192,366 104 (714 ) 194,551 270 (1,506 ) Derivative interest receivable (payable) (3) 887 (724 ) 889 (1,096 ) Netting adjustments (4) (6,422 ) 5,634 (6,972 ) 4,941 Total derivative portfolio, net $1,166,683 $844 ($372 ) $876,042 $335 ($583 ) (1) Includes swaptions on credit indices with a notional or contractual amount of $11.4 billion and $45.9 billion at December 31, 2019 and December 31, 2018, respectively, and a fair value of $3.0 million and $113.0 million at December 31, 2019 and December 31, 2018, respectively. (2) Primarily consists of purchased interest-rate caps and floors. (3) Includes other derivative receivables and payables. (4) Represents counterparty netting and cash collateral netting. See Note 10 for information related to our derivative counterparties and collateral held and posted. Gains and Losses on Derivatives The table below presents the gains and losses on derivatives, including the accrual of periodic cash settlements, while not designated in qualifying hedge relationships and reported on our consolidated statements of comprehensive income as investment gains (losses), net. In addition, for the first three quarters of 2017, the table includes the accrual of periodic cash settlements on derivatives in qualifying hedge relationships. Table 9.2 - Gains and Losses on Derivatives Year Ended December 31, (In millions) 2019 2018 2017 Not designated as hedges Interest-rate swaps: Receive-fixed $4,444 ($2,457 ) ($1,343 ) Pay-fixed (7,543 ) 3,880 1,972 Basis (floating to floating) 14 (1 ) (3 ) Total interest-rate swaps (3,085 ) 1,422 626 Option based: Call swaptions Purchased 1,663 (791 ) (404 ) Written (296 ) 20 24 Put swaptions Purchased (1,258 ) 272 (673 ) Written 61 (2 ) 50 Other option-based derivatives (1) 18 (129 ) (38 ) Total option-based 188 (630 ) (1,041 ) Other: Futures (946 ) 57 144 Commitments (452 ) 606 (91 ) CRT-related derivatives (1 ) (38 ) (30 ) Other 52 (6 ) (6 ) Total other (1,347 ) 619 17 Accrual of periodic cash settlements: Receive-fixed interest-rate swaps 90 364 1,511 Pay-fixed interest-rate swaps (525 ) (584 ) (3,101 ) Other (2) 163 79 — Total accrual of periodic cash settlements (272 ) (141 ) (1,590 ) Total ($4,516 ) $1,270 ($1,988 ) (1) Primarily consists of purchased interest-rate caps and floors. (2) Includes interest on variation margin on cleared interest-rate swaps. Fair Value Hedges The tables below present the effects of fair value hedge accounting by consolidated statements of comprehensive income line, including the gains and losses on derivatives and hedged items designated in qualifying hedge relationships and other components due to the application of hedge accounting. Table 9.3 - Gains and Losses on Fair Value Hedges Year Ended December 31, 2019 (In millions) Interest Income - Mortgage Loans Interest Expense Other Income (Loss) Total amounts of income and expense line items presented on our consolidated statements of comprehensive income in which the effects of fair value hedges are recorded: $68,583 ($61,047 ) $323 Interest contracts on mortgage loans held-for-investment: Gain or (loss) on fair value hedging relationships: Hedged items 4,569 — — Derivatives designated as hedging instruments (4,309 ) — — Interest accruals on hedging instruments (48 ) — — Discontinued hedge related basis adjustment amortization (446 ) — — Interest contracts on debt: Gain or (loss) on fair value hedging relationships: Hedged Items — (1,038 ) — Derivatives designated as hedging instruments — 1,231 — Interest accruals on hedging instruments — (184 ) — Discontinued hedge related basis adjustment amortization — 63 — Year Ended December 31, 2018 (In millions) Interest Income - Mortgage Loans Interest Expense Other Income (Loss) Total amounts of income and expense line items presented on our consolidated statements of comprehensive income in which the effects of fair value hedges are recorded: $66,037 ($58,033 ) $762 Interest contracts on mortgage loans held-for-investment: Gain or (loss) on fair value hedging relationships: Hedged items (1,776 ) — — Derivatives designated as hedging instruments 1,091 — — Interest accruals on hedging instruments (439 ) — — Discontinued hedge related basis adjustment amortization 133 — — Interest contracts on debt: Gain or (loss) on fair value hedging relationships: Hedged Items — 145 — Derivatives designated as hedging instruments — 155 — Interest accruals on hedging instruments — (313 ) — Discontinued hedge related basis adjustment amortization — (3 ) — Year Ended December 31, 2017 (In millions) Interest Income - Mortgage Loans Interest Expense Other Income (Loss) Total amounts of income and expense line items presented on our consolidated statements of comprehensive income in which the effects of fair value hedges are recorded: $63,735 ($53,643 ) $4,984 Interest contracts on mortgage loans held-for-investment: Gain or (loss) on fair value hedging relationships: (1) Hedged items (107 ) — 351 Derivatives designated as hedging instruments (2) 313 — (215 ) Interest accruals on hedging instruments (83 ) — — Discontinued hedge related basis adjustment amortization (16 ) — — Interest contracts on debt: Gain or (loss) on fair value hedging relationships: Hedged Items — 93 — Derivatives designated as hedging instruments — (53 ) — Interest accruals on hedging instruments — 8 — Discontinued hedge related basis adjustment amortization — — — (1) For the first three quarters of 2017, the gains or losses on derivatives and hedged items were recorded in other income (loss). Beginning in 4Q 2017, gains or losses are recorded in interest income - mortgage loans on our consolidated statements of comprehensive income due to adoption of amended hedge accounting guidance. (2) The gain or (loss) on fair value hedging relationships in 2017 excludes ($277) million Cumulative Basis Adjustments due to Fair Value Hedging The tables below present the carrying amounts of the hedged items that have been in a qualifying fair value hedge by their respective balance sheet line item, as well as the hedged item's cumulative basis adjustments. The hedged item carrying amounts include both designated and discontinued hedges. Table 9.4 - Cumulative Basis Adjustments due to Fair Value Hedging December 31, 2019 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount Closed Portfolio Under the Last-of-Layer Method (In millions) Total Under the Last-of-Layer Method Discontinued - Hedge Related Total Amount by Amortized Cost Basis Designated Amount by UPB Mortgage loans held-for-investment $470,889 $2,886 ($943 ) $3,829 $273,346 $22,747 Debt (122,746 ) (668 ) — (93 ) — — December 31, 2018 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount Closed Portfolio Under the Last-of-Layer Method (In millions) Total Under the Last-of-Layer Method Discontinued - Hedge Related Total Amount by Amortized Cost Basis Designated Amount by UPB Mortgage loans held-for-investment $193,547 ($1,237 ) $— ($1,237 ) $— $— Debt (127,215 ) 216 — (8 ) — — |
Collateral and Offsetting of As
Collateral and Offsetting of Assets and Liabilities | 12 Months Ended |
Dec. 31, 2019 | |
Offsetting [Abstract] | |
COLLATERAL AND OFFSETTING OF ASSETS AND LIABILITIES | Collateralized Agreements and Offsetting Arrangements Derivative Portfolio Our use of cleared derivatives, exchange-traded derivatives, and OTC derivatives exposes us to counterparty credit risk. We are required to post margin in connection with our derivatives transactions. This requirement exposes us to counterparty credit risk in the event that our counterparties fail to meet their obligations. However, the use of cleared and exchange-traded derivatives decreases our credit risk exposure to individual counterparties because a central counterparty is substituted for individual counterparties. OTC derivatives expose us to the credit risk of individual counterparties because transactions are executed and settled between us and each counterparty, exposing us to potential losses if a counterparty fails to meet its obligations. Our use of interest-rate swaps and option-based derivatives is subject to internal credit and legal reviews. On an ongoing basis, we review the credit fundamentals of all of our derivative counterparties, clearinghouses, and clearing members to confirm that they continue to meet our internal risk management standards. Over-the-Counter Derivatives We use master netting and collateral agreements to reduce our credit risk exposure to our OTC derivative counterparties for interest-rate swap and option-based derivatives. Master netting agreements provide for the netting of amounts receivable and payable from an individual counterparty, as well as posting of collateral in the form of cash, Treasury securities or agency mortgage-related or debt securities, or a combination of both by either the counterparty or us, depending on which party is in a liability position. Although it is our practice not to repledge assets held as collateral, these agreements may allow us or our counterparties to repledge all or a portion of the collateral. We have master netting agreements in place with all of our OTC derivative counterparties. On a daily basis, the market value of each counterparty's derivatives outstanding is calculated to determine the amount of our net credit exposure, which is equal to the market value of derivatives in a net gain position by counterparty after giving consideration to collateral posted. In the event a counterparty defaults on its obligations under the derivatives agreement and the default is not remedied in the manner prescribed in the agreement, we have the right under the agreement to sell the collateral. As a result, our use of master netting and collateral agreements reduces our exposure to our counterparties in the event of default. In the event that all of our counterparties for OTC interest-rate swaps and option-based derivatives were to have defaulted simultaneously on December 31, 2019 , our maximum loss for accounting purposes after applying netting agreements and collateral on an individual counterparty basis would have been approximately $20 million . A significant majority of our net uncollateralized exposure to OTC derivative counterparties is concentrated with two counterparties, all of which were investment grade as of December 31, 2019 . We regularly review the market value of securities pledged as collateral and derivative counterparty collateral posting thresholds, where applicable, in an effort to manage our exposure to losses. Regulations adopted by certain financial institution regulators (including FHFA) that became effective March 1, 2017 require posting of variation margin without the application of any thresholds for OTC derivative transactions executed after that date. However, for OTC derivative transactions executed before March 1, 2017 the amount of collateral we pledge to counterparties related to our derivative instruments is determined after giving consideration to our credit rating. The aggregate fair value of our OTC derivative instruments containing credit-risk related contingent features, netted by counterparty, that were in a liability position on December 31, 2019 was $1.7 billion for which we posted cash and non-cash collateral of $1.7 billion in the normal course of business. A reduction in our credit ratings may trigger additional collateral requirements related to these OTC derivative instruments. If a reduction in our credit ratings had triggered additional collateral requirements related to these OTC derivative instruments on December 31, 2019 , the maximum additional collateral we would have been required to post to our counterparties would be $0.1 billion . Our OTC derivative transactions will become subject to new initial margin requirements on September 1, 2020. Cleared and Exchange-Traded Derivatives The majority of our interest-rate swaps are subject to the central clearing requirement. Changes in the value of open exchange-traded contracts and cleared derivatives are settled daily via payments made through the clearinghouse. We net our exposure to cleared derivatives by clearinghouse and clearing member. A reduction in our credit ratings could cause the clearinghouses or clearing members we use for our cleared and exchange-traded derivatives to demand additional collateral. Other Derivatives We also execute forward purchase and sale commitments of loans and mortgage-related securities, including dollar roll transactions, that are treated as derivatives for accounting purposes. The total exposure on our forward purchase and sale commitments was $61 million and $90 million at December 31, 2019 and December 31, 2018 , respectively. Many of our transactions involving forward purchase and sale commitments of mortgage-related securities utilize the MBSD/FICC as a clearinghouse. As a clearing member of the clearinghouse, we post margin to the MBSD/FICC and are exposed to the counterparty credit risk of the organization (including its clearing members). In the event a clearing member fails and causes losses to the MBSD/FICC clearing system, we could be subject to the loss of the margin that we have posted to the MBSD/FICC. Moreover, our exposure could exceed that amount, as members are generally required to cover losses caused by defaulting members on a pro rata basis. It is difficult to estimate our maximum exposure under these transactions, as this would require an assessment of transactions that we and other members of the MBSD/FICC may execute in the future. Securities Purchased Under Agreements to Resell As an investor, we enter into arrangements to purchase securities under agreements to subsequently resell the identical or substantially the same securities to our counterparty. Our counterparties to these transactions are required to pledge the purchased securities as collateral for their obligation to repurchase those securities at a later date. While such transactions involve the legal transfer of securities, they are accounted for as secured financings because the transferor does not relinquish effective control over the securities transferred. These agreements may allow us to repledge all or a portion of the collateral pledged to us, and we may repledge such collateral periodically, although it is not typically our practice to repledge collateral that has been pledged to us. We consider the types of securities being pledged to us as collateral when determining how much we lend in transactions involving securities purchased under agreements to resell. Additionally, we regularly review the market values of these securities compared to amounts loaned in an effort to manage our exposure to losses. Beginning in 2017, we began to utilize the GSD/FICC as a clearinghouse to transact many of our trades involving securities purchased under agreements to resell, securities sold under agreements to repurchase, and other non-mortgage related securities. As a clearing member of GSD/FICC, we are required to post initial and variation margin payments and are exposed to the counterparty credit risk of GSD/FICC (including its clearing members). Although our membership provides us with the right to offset certain of our open receivable and payable positions by collateral type, we have elected not to offset these positions within our consolidated balance sheets. In the event a clearing member fails and causes losses to the GSD/FICC clearing system, we could be subject to the loss of the margin that we have posted to the GSD/FICC. Moreover, our exposure could exceed that amount, as members are generally required to cover losses caused by defaulting members on a pro rata basis. It is difficult to estimate our maximum exposure under these transactions, as this would require an assessment of transactions that we and other members of the GSD/FICC may execute in the future. Securities Sold Under Agreements to Repurchase Securities sold under agreements to repurchase are effectively collateralized borrowings where we sell securities with an agreement to repurchase such securities at a future date. We are required to pledge the sold securities to the counterparties to these transactions as collateral for our obligation to repurchase these securities at a later date. Similar to the securities purchased under agreements to resell transactions, these transactions involve the legal transfer of securities. However, they are accounted for as secured financings because the transferor does not relinquish effective control over the securities transferred. These agreements may allow our counterparties to repledge all or a portion of the collateral. Beginning in 2017, certain of our trades involving securities sold under agreements to repurchase utilized GSD/FICC as a clearinghouse. Offsetting of Financial Assets and Liabilities When we receive cash collateral, we recognize the amount received along with a corresponding obligation to return the collateral. When we post cash collateral, we derecognize the amount posted along with a corresponding asset for our right to receive the return of the collateral. We generally do not recognize or derecognize collateral received or pledged in the form of securities as the transferor in such arrangements does not relinquish effective control over the securities transferred. See Note 9 for additional information on our consolidated balance sheets presentation of collateral related to derivatives transactions. At December 31, 2019 and December 31, 2018 , all amounts of cash collateral related to derivatives with master netting and collateral agreements were offset against derivative assets, net or derivative liabilities, net, as applicable. The tables below present offsetting and collateral information related to derivatives, securities purchased under agreements to resell, and securities sold under agreements to repurchase. Securities sold under agreements to repurchase are included in debt, net on our consolidated balance sheets. Table 10.1 - Offsetting and Collateral Information of Financial Assets and Liabilities As of December 31, 2019 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented on the Consolidated Balance Sheets Gross Amount Not Offset on the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $7,045 ($4,465 ) ($2,075 ) $505 ($485 ) $20 Cleared and exchange-traded derivatives 144 (5 ) 123 262 — 262 Other 77 — — 77 — 77 Total derivatives 7,266 (4,470 ) (1,952 ) 844 (485 ) 359 Securities purchased under agreements to resell (3) 66,114 — — 66,114 (66,114 ) — Total $73,380 ($4,470 ) ($1,952 ) $66,958 ($66,599 ) $359 Liabilities: Derivatives: OTC derivatives ($5,731 ) $4,465 $1,164 ($102 ) $— ($102 ) Cleared and exchange-traded derivatives (5 ) 5 — — — — Other (270 ) — — (270 ) — (270 ) Total derivatives (6,006 ) 4,470 1,164 (372 ) — (372 ) Securities sold under agreements to repurchase (3) (9,843 ) — — (9,843 ) 9,843 — Total ($15,849 ) $4,470 $1,164 ($10,215 ) $9,843 ($372 ) As of December 31, 2018 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented on the Consolidated Balance Sheets Gross Amount Not Offset on the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $7,213 ($4,544 ) ($2,448 ) $221 ($173 ) $48 Cleared and exchange-traded derivatives 3 — 20 23 — 23 Other 91 — — 91 — 91 Total derivatives 7,307 (4,544 ) (2,428 ) 335 (173 ) 162 Securities purchased under agreements to resell (3) 34,771 — — 34,771 (34,771 ) — Total $42,078 ($4,544 ) ($2,428 ) $35,106 ($34,944 ) $162 Liabilities: Derivatives: OTC derivatives ($4,963 ) $4,544 $296 ($123 ) $— ($123 ) Cleared and exchange-traded derivatives (244 ) — 101 (143 ) — (143 ) Other (317 ) — — (317 ) — (317 ) Total derivatives (5,524 ) 4,544 397 (583 ) — (583 ) Securities sold under agreements to repurchase (3) (6,019 ) — — (6,019 ) 6,019 — Total ($11,543 ) $4,544 $397 ($6,602 ) $6,019 ($583 ) (1) Excess cash collateral held is presented as a derivative liability, while excess cash collateral posted is presented as a derivative asset. (2) Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability, netted by counterparty, presented on the consolidated balance sheets. For cleared and exchange-traded derivatives, does not include non-cash collateral posted by us as initial margin with an aggregate fair value of $3.5 billion and $2.5 billion as of December 31, 2019 and December 31, 2018, respectively. (3) Does not include the impacts of netting by central clearing organizations. We primarily execute securities purchased under agreements to resell transactions with central clearing organizations where we have the right to repledge the collateral that has been pledged to us, either with the central clearing organization or with other counterparties. At December 31, 2019 and December 31, 2018 , we had $52.4 billion and $20.1 billion , respectively, of securities pledged to us in these transactions. In addition, at December 31, 2019 and December 31, 2018, we had $2.4 billion and $2.5 billion Collateral Pledged Collateral Pledged to Freddie Mac We have cash pledged to us as collateral primarily related to OTC derivative transactions. We had $2.6 billion and $3.0 billion Collateral Pledged by Freddie Mac The tables below summarize the fair value of the securities pledged as collateral by us for derivatives and collateralized borrowing transactions, including securities that the secured party may repledge. Table 10.2 - Collateral in the Form of Securities Pledged As of December 31, 2019 (In millions) Derivatives Securities sold under agreements to repurchase Other (3) Total Debt securities of consolidated trusts (2) $562 $— $280 $842 Trading securities 2,894 9,346 49 12,289 Total securities pledged $3,456 $9,346 $329 $13,131 As of December 31, 2018 (In millions) Derivatives Securities sold under agreements to repurchase Other (3) Total Cash equivalents (1) $— $2,595 $— $2,595 Debt securities of consolidated trusts (2) 362 — 179 541 Available-for-sale securities — — 1 1 Trading securities 2,160 3,432 73 5,665 Total securities pledged $2,522 $6,027 $253 $8,802 (1) Represents U.S. Treasury securities accounted for as cash equivalents. (2) Represents Freddie Mac mortgage-related securities held by us in our Capital Markets segment mortgage investments portfolio which are recorded as a reduction to debt securities of consolidated trusts held by third parties on our consolidated balance sheets. (3) Includes other collateralized borrowings and collateral related to transactions with certain clearinghouses. The table below summarizes the underlying collateral pledged and the remaining contractual maturity of our gross obligations under securities sold under agreements to repurchase. Table 10.3 - Underlying Collateral Pledged As of December 31, 2019 (In millions) Overnight and continuous 30 days or less After 30 days through 90 days Greater than 90 days Total U.S. Treasury securities $— $9,081 $265 $— $9,346 |
Stockholders' Equity and Earnin
Stockholders' Equity and Earnings per Share | 12 Months Ended |
Dec. 31, 2019 | |
Stockholders' Equity Note [Abstract] | |
STOCKHOLDERS' EQUITY (DEFICIT) | Stockholders' Equity and Earnings Per Share Accumulated Other Comprehensive Income The tables below present changes in AOCI after the effects of our federal statutory tax rates of 21% for both 2019 and 2018 , related to available-for-sale securities, closed cash flow hedges, and our defined benefit plans. Table 11.1 - Changes in AOCI by Component, Net of Taxes Year Ended December 31, 2019 (In millions) AOCI Related to Available- For-Sale Securities AOCI Related to Cash Flow Hedge Relationships AOCI Related to Defined Benefit Plans Total Beginning balance $83 ($315 ) $97 ($135 ) Other comprehensive income before reclassifications 668 — (17 ) 651 Amounts reclassified from accumulated other comprehensive income (133 ) 71 (16 ) (78 ) Changes in AOCI by component 535 71 (33 ) 573 Ending balance $618 ($244 ) $64 $438 Year Ended December 31, 2018 (In millions) AOCI Related to Available- For-Sale Securities AOCI Related to Cash Flow Hedge Relationships AOCI Related to Defined Benefit Plans Total Beginning balance $662 ($356 ) $83 $389 Other comprehensive income before reclassifications (476 ) — 11 (465 ) Amounts reclassified from accumulated other comprehensive income (246 ) 114 (16 ) (148 ) Changes in AOCI by component (722 ) 114 (5 ) (613 ) Cumulative effect of change in accounting principle (1) 143 (73 ) 19 89 Ending balance $83 ($315 ) $97 ($135 ) Year Ended December 31, 2017 (In millions) AOCI Related to Available- For-Sale Securities AOCI Related to Cash Flow Hedge Relationships AOCI Related to Defined Benefit Plans Total Beginning balance $915 ($480 ) $21 $456 Other comprehensive income before reclassifications 857 — 63 920 Amounts reclassified from accumulated other comprehensive income (1,110 ) 124 (1 ) (987 ) Changes in AOCI by component (253 ) 124 62 (67 ) Ending balance $662 ($356 ) $83 $389 (1) Includes the effect of adopting the accounting guidance on reclassification of stranded tax effects of the Tax Cuts and Jobs Act in 1Q 2018. In 1Q 2018, we adopted the accounting guidance related to the reclassification of stranded tax effects resulting from the Tax Cuts and Jobs Act from accumulated other comprehensive income to retained earnings. The reclassification includes stranded tax effects related to unrealized gains and losses on available-for-sale securities, deferred net losses on closed cash flow hedges, and our defined benefit plans. Reclassifications from AOCI to Net Income The table below presents reclassifications from AOCI to net income, including the affected line item on our consolidated statements of comprehensive income. Table 11.2 - Reclassifications from AOCI to Net Income Year Ended December 31, (In millions) 2019 2018 2017 AOCI related to available-for-sale securities Affected line items on the consolidated statements of comprehensive income: Investment securities gains (losses) $168 $312 $1,708 Income tax (expense) or benefit (35 ) (66 ) (598 ) Net of tax 133 246 1,110 AOCI related to cash flow hedge relationships Affected line items on the consolidated statements of comprehensive income: Interest expense (90 ) (133 ) (164 ) Income tax (expense) or benefit 19 19 40 Net of tax (71 ) (114 ) (124 ) AOCI related to defined benefit plans Affected line items on the consolidated statements of comprehensive income: Salaries and employee benefits 20 20 2 Income tax (expense) or benefit (4 ) (4 ) (1 ) Net of tax 16 16 1 Total reclassifications in the period net of tax $78 $148 $987 Future Reclassifications from AOCI to Net Income Related to Closed Cash Flow Hedges The total AOCI related to derivatives designated as cash flow hedges was a loss of $0.2 billion and $0.3 billion at December 31, 2019 and December 31, 2018 , respectively, composed of deferred net losses on closed cash flow hedges. Closed cash flow hedges involve derivatives that have been terminated or are no longer designated as cash flow hedges. Fluctuations in prevailing market interest rates have no effect on the deferred portion of AOCI relating to losses on closed cash flow hedges. The previously deferred amount related to closed cash flow hedges remains in our AOCI balance and will be recognized into earnings over the expected time period for which the forecasted transactions affect earnings, unless it is deemed probable that the forecasted transactions will not occur. Over the next 12 months, we estimate that approximately $43 million , net of taxes, of the $0.2 billion of cash flow hedge losses in AOCI at December 31, 2019 will be reclassified into earnings. The maximum remaining length of time over which we have hedged the exposure related to the variability in future cash flows on forecasted transactions, primarily forecasted debt issuances, is 14 years. Senior Preferred Stock Pursuant to the Purchase Agreement described in Note 2 , we issued one million shares of senior preferred stock to Treasury on September 8, 2008, in partial consideration of Treasury's commitment to provide funds to us. Shares of the senior preferred stock have a par value of $1 , and have a stated value and initial liquidation preference of $1 billion , or $1,000 per share. The liquidation preference of the senior preferred stock is subject to adjustment. Dividends that are not paid in cash for any dividend period will accrue and be added to the liquidation preference of the senior preferred stock. In addition, any amounts Treasury pays to us pursuant to its funding commitment under the Purchase Agreement and any quarterly commitment fees that are not paid in cash to Treasury nor waived by Treasury will be added to the liquidation preference of the senior preferred stock. The liquidation preference also increased by $3.0 billion on December 31, 2017 pursuant to the December 2017 Letter Agreement. Pursuant to the September 2019 Letter Agreement, the liquidation preference of the senior preferred stock will be increased, at the end of each fiscal quarter, beginning on September 30, 2019, by an amount equal to the increase in the Net Worth Amount, if any, during the immediately prior fiscal quarter, until the liquidation preference has increased by $17.0 billion . During 3Q 2019, our Net Worth Amount increased by $1.8 billion . As a result, the liquidation preference of the senior preferred stock increased to $79.3 billion on December 31, 2019 and will increase to $81.8 billion on March 31, 2020 based on the $2.4 billion increase in our Net Worth Amount during 4Q 2019. As described below, we may make payments to reduce the liquidation preference of the senior preferred stock in limited circumstances. As discussed in Note 2 , the quarterly commitment fee has been suspended. Treasury, as the holder of the senior preferred stock, is entitled to receive quarterly cash dividends, when, as and if declared by our Board of Directors. The dividends we have paid to Treasury on the senior preferred stock have been declared by, and paid at the direction of, the Conservator, acting as successor to the rights, titles, powers, and privileges of the Board. The dividend is presented in the period in which it is determinable for the senior preferred stock, as a reduction to net income (loss) available to common stockholders and net income (loss) per common share. The dividend is declared and paid in the following period and recorded as a reduction to equity in the period declared. Total dividends paid in cash during 2019 , 2018 , and 2017 at the direction of the Conservator were $3.1 billion , $4.1 billion , and $10.9 billion , respectively. See Note 2 for a discussion of our net worth sweep dividend. The senior preferred stock is senior to our common stock and all other outstanding series of our preferred stock, as well as any capital stock we issue in the future, as to both dividends and rights upon liquidation. The senior preferred stock provides that we may not, at any time, declare or pay dividends on, make distributions with respect to, redeem, purchase or acquire, or make a liquidation payment with respect to, any common stock or other securities ranking junior to the senior preferred stock unless: n Full cumulative dividends on the outstanding senior preferred stock (including any unpaid dividends added to the liquidation preference) have been declared and paid in cash and n All amounts required to be paid with the net proceeds of any issuance of capital stock for cash (as described below) have been paid in cash. Shares of the senior preferred stock are not convertible. Shares of the senior preferred stock have no general or special voting rights, other than those set forth in the certificate of designation for the senior preferred stock or otherwise required by law. The consent of holders of at least two-thirds of all outstanding shares of senior preferred stock is generally required to amend the terms of the senior preferred stock or to create any class or series of stock that ranks prior to or on parity with the senior preferred stock. The table below provides a summary of our senior preferred stock outstanding at December 31, 2019 . Table 11.3 - Senior Preferred Stock ( In millions , except initial liquidation preference price per share) Shares Authorized Shares Outstanding Total Par Value Initial Liquidation Preference Price per Share Total Liquidation Preference Non-draw Adjustment Dates: September 8, 2008 1.00 1.00 $1.00 $1,000 $1,000 December 31, 2017 — — — N/A 3,000 September 30, 2019 — — — N/A 1,826 December 31, 2019 — — — N/A 1,848 Total non-draw adjustments 1.00 1.00 1.00 7,674 Draw Dates: November 24, 2008 — — — N/A 13,800 March 31, 2009 — — — N/A 30,800 June 30, 2009 — — — N/A 6,100 June 30, 2010 — — — N/A 10,600 September 30, 2010 — — — N/A 1,800 December 30, 2010 — — — N/A 100 March 31, 2011 — — — N/A 500 September 30, 2011 — — — N/A 1,479 December 30, 2011 — — — N/A 5,992 March 30, 2012 — — — N/A 146 June 29, 2012 — — — N/A 19 March 30, 2018 — — — N/A 312 Total draw adjustments — — — 71,648 Total senior preferred stock 1.00 1.00 $1.00 $79,322 No cash was received from Treasury under the Purchase Agreement in 2019, because we had positive net worth at December 31, 2018, March 31, 2019, June 30, 2019, and September 30, 2019 and, consequently, FHFA did not request a draw on our behalf in 2019. At December 31, 2019, our assets exceeded our liabilities under GAAP; therefore, no draw is being requested from Treasury under the Purchase Agreement. The aggregate liquidation preference of the senior preferred stock owned by Treasury was $79.3 billion as of December 31, 2019 and $75.6 billion as of December 31, 2018. Our quarterly senior preferred stock dividend requirement is the amount, if any, by which our Net Worth Amount at the end of the immediately preceding fiscal quarter exceeds the applicable Capital Reserve Amount of $20.0 billion . If, for any reason, we were not to pay our dividend requirement on the senior preferred stock in full in any future period, the applicable Capital Reserve Amount would thereafter be zero . See Note 2 for additional information. Common Stock Warrant Pursuant to the Purchase Agreement described in Note 2 , on September 7, 2008, we issued a warrant to purchase common stock to Treasury, in partial consideration of Treasury's commitment to provide funds to us. The warrant may be exercised in whole or in part at any time on or before September 7, 2028, by delivery to us of a notice of exercise, payment of the exercise price of $0.00001 per share and the warrant. If the market price of one share of our common stock is greater than the exercise price, then, instead of paying the exercise price, Treasury may elect to receive shares equal to the value of the warrant (or portion thereof being canceled) pursuant to the formula specified in the warrant. Upon exercise of the warrant, Treasury may assign the right to receive the shares of common stock issuable upon exercise to any other person. We account for the warrant in permanent equity. At issuance on September 7, 2008, we recognized the warrant at fair value, and we do not recognize subsequent changes in fair value while the warrant remains classified in equity. We recorded an aggregate fair value of $2.3 billion for the warrant as a component of additional paid-in-capital. We derived the fair value of the warrant using a modified Black-Scholes model. If the warrant is exercised, the stated value of the common stock issued will be reclassified to common stock on our consolidated balance sheets. The warrant was determined to be in-substance non-voting common stock, because the warrant's exercise price of $0.00001 per share is considered non-substantive (compared to the market price of our common stock). As a result, the shares associated with the warrant are included in the computation of basic and diluted earnings (loss) per share. The weighted average shares of common stock outstanding for the years ended December 31, 2019 , 2018 , and 2017 included shares of common stock that would be issuable upon full exercise of the warrant issued to Treasury. Preferred Stock We have the option to redeem our preferred stock on specified dates, at their redemption price plus dividends accrued through the redemption date. However, without the consent of Treasury, we are restricted from making payments to purchase or redeem preferred stock as well as paying any preferred dividends, other than dividends on the senior preferred stock. All 24 classes of preferred stock are perpetual and non-cumulative, and carry no significant voting rights or rights to purchase additional Freddie Mac stock or securities. Costs incurred in connection with the issuance of preferred stock are charged to additional paid-in capital. The table below provides a summary of our preferred stock outstanding at their redemption values at December 31, 2019 . Table 11.4 - Preferred Stock ( In millions , except redemption price per share) Issue Date Shares Authorized Shares Outstanding Total Par Value Redemption Price per Share Total Outstanding Balance Redeemable On or After OTCQB Symbol Preferred stock: 1996 Variable-rate (1) April 26, 1996 5.00 5.00 $5.00 $50.00 $250 June 30, 2001 FMCCI 5.81% October 27, 1997 3.00 3.00 3.00 50.00 150 October 27, 1998 (2) 5% March 23, 1998 8.00 8.00 8.00 50.00 400 March 31, 2003 FMCKK 1998 Variable-rate (3) September 23 and 29, 1998 4.40 4.40 4.40 50.00 220 September 30, 2003 FMCCG 5.10% September 23, 1998 8.00 8.00 8.00 50.00 400 September 30, 2003 FMCCH 5.30% October 28, 1998 4.00 4.00 4.00 50.00 200 October 30, 2000 (2) 5.10% March 19, 1999 3.00 3.00 3.00 50.00 150 March 31, 2004 (2) 5.79% July 21, 1999 5.00 5.00 5.00 50.00 250 June 30, 2009 FMCCK 1999 Variable-rate (4) November 5, 1999 5.75 5.75 5.75 50.00 287 December 31, 2004 FMCCL 2001 Variable-rate (5) January 26, 2001 6.50 6.50 6.50 50.00 325 March 31, 2003 FMCCM 2001 Variable-rate (6) March 23, 2001 4.60 4.60 4.60 50.00 230 March 31, 2003 FMCCN 5.81% March 23, 2001 3.45 3.45 3.45 50.00 173 March 31, 2011 FMCCO 6% May 30, 2001 3.45 3.45 3.45 50.00 173 June 30, 2006 FMCCP 2001 Variable-rate (7) May 30, 2001 4.02 4.02 4.02 50.00 201 June 30, 2003 FMCCJ 5.70% October 30, 2001 6.00 6.00 6.00 50.00 300 December 31, 2006 FMCKP 5.81% January 29, 2002 6.00 6.00 6.00 50.00 300 March 31, 2007 (2) 2006 Variable-rate (8) July 17, 2006 15.00 15.00 15.00 50.00 750 June 30, 2011 FMCCS 6.42% July 17, 2006 5.00 5.00 5.00 50.00 250 June 30, 2011 FMCCT 5.90% October 16, 2006 20.00 20.00 20.00 25.00 500 September 30, 2011 FMCKO 5.57% January 16, 2007 44.00 44.00 44.00 25.00 1,100 December 31, 2011 FMCKM 5.66% April 16, 2007 20.00 20.00 20.00 25.00 500 March 31, 2012 FMCKN 6.02% July 24, 2007 20.00 20.00 20.00 25.00 500 June 30, 2012 FMCKL 6.55% September 28, 2007 20.00 20.00 20.00 25.00 500 September 30, 2017 FMCKI 2007 Fixed-to-floating rate (9) December 4, 2007 240.00 240.00 240.00 25.00 6,000 December 31, 2012 FMCKJ Total, preferred stock 464.17 464.17 $464.17 $14,109 (1) Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 1% divided by 1.377, and is capped at 9.00%. (2) Issued through private placement. (3) Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 1% divided by 1.377, and is capped at 7.50%. (4) Dividend rate resets on January 1 every five years after January 1, 2005 based on a five-year Constant Maturity Treasury rate, and is capped at 11.00%. Optional redemption on December 31, 2004 and on December 31 every five years thereafter. (5) Dividend rate resets on April 1 every two years after April 1, 2003 based on the two-year Constant Maturity Treasury rate plus 0.10%, and is capped at 11.00%. Optional redemption on March 31, 2003 and on March 31 every two years thereafter. (6) Dividend rate resets on April 1 every year based on 12-month LIBOR minus 0.20%, and is capped at 11.00%. Optional redemption on March 31, 2003 and on March 31 every year thereafter. (7) Dividend rate resets on July 1 every two years after July 1, 2003 based on the two-year Constant Maturity Treasury rate plus 0.20%, and is capped at 11.00%. Optional redemption on June 30, 2003 and on June 30 every two years thereafter. (8) Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 0.50% but not less than 4.00%. (9) Dividend rate is set at an annual fixed rate of 8.375% from December 4, 2007 through December 31, 2012. For the period beginning on or after January 1, 2013, dividend rate resets quarterly and is equal to the higher of: (a) the sum of three-month LIBOR plus 4.16% per annum or (b) 7.875% per annum. Optional redemption on December 31, 2012 and on December 31 every five years thereafter. Stock-Based Compensation Following the implementation of the conservatorship in September 2008, we suspended the operation of and/or ceased making grants under our stock-based compensation plans. Under the Purchase Agreement, we cannot issue any new options, rights to purchase, participations or other equity interests without Treasury's prior approval. However, grants outstanding as of the date of the Purchase Agreement remain in effect in accordance with their terms. We did not repurchase or issue any of our common shares or non-cumulative preferred stock during 2019 and 2018, except for issuances of treasury stock as reported on our consolidated statements of equity relating to stock-based compensation granted prior to conservatorship. Common stock delivered under these stock-based compensation plans consists of treasury stock or shares acquired in market transactions on behalf of the participants. During 2019, the deferral period lapsed on 351 RSUs. At December 31, 2019 , 702 RSUs remained outstanding. In addition, there were 41,160 shares of restricted stock outstanding at both December 31, 2019 and December 31, 2018. At December 31, 2019 , no stock options were outstanding. Earnings Per Share We have participating securities related to RSUs with dividend equivalent rights that receive dividends as declared on an equal basis with common shares but are not obligated to participate in undistributed net losses. These participating securities consist of vested RSUs that earn dividend equivalents at the same rate when and as declared on common stock. Consequently, in accordance with accounting guidance, we use the "two-class" method of computing earnings per common share. The "two-class" method is an earnings allocation formula that determines earnings per share for common stock and participating securities based on dividends declared and participation rights in undistributed earnings. Basic earnings per common share is computed as net income attributable to common stockholders divided by the weighted average common shares outstanding for the period. The weighted average common shares outstanding for the period includes the weighted average number of shares that are associated with the warrant for our common stock issued to Treasury pursuant to the Purchase Agreement. These shares are included since the warrant is unconditionally exercisable by the holder at a minimal cost. Diluted earnings per common share is computed as net income attributable to common stockholders divided by the weighted average common shares outstanding during the period adjusted for the dilutive effect of common equivalent shares outstanding. For periods with net income attributable to common stockholders, the calculation includes the effect of the weighted-average of RSUs. During periods in which a net loss attributable to common stockholders has been incurred, potential common equivalent shares outstanding are not included in the calculation because it would have an antidilutive effect. For purposes of the earnings-per-share calculation, antidilutive potential common shares excluded from the computation of dilutive potential common shares were 0 at December 31, 2019 , December 31, 2018 , and December 31, 2017 . Dividends and Dividend Restrictions No common dividends were declared in 2019 or 2018 . During the three months ended March 31, 2019 and June 30, 2019, we paid dividends of $1.5 billion and $1.7 billion , respectively, in cash on the senior preferred stock at the direction of our Conservator. As a result of the increase in the applicable Capital Reserve Amount pursuant to the September 2019 Letter Agreement, we did not declare or pay a dividend on the senior preferred stock during the three months ended September 30, 2019 and December 31, 2019 . We also did no t declare or pay dividends on any other series of Freddie Mac preferred stock outstanding during 2019 . Our payment of dividends is subject to the following restrictions: n Restrictions Relating to the Conservatorship - The Conservator has prohibited us from paying any dividends on our common stock or on any series of our preferred stock (other than the senior preferred stock). FHFA has instructed our Board of Directors that it should consult with and obtain the approval of FHFA before taking actions involving dividends. In addition, FHFA has adopted a regulation prohibiting us from making capital distributions during conservatorship, except as authorized by the Director of FHFA. n Restrictions Under the Purchase Agreement - The Purchase Agreement prohibits us and any of our subsidiaries from declaring or paying any dividends on Freddie Mac equity securities (other than with respect to the senior preferred stock or warrant) without the prior written consent of Treasury. n Restrictions Under the GSE Act - Under the GSE Act, FHFA has authority to prohibit capital distributions, including payment of dividends, if we fail to meet applicable capital requirements. However, our capital requirements have been suspended during conservatorship. n Restrictions Under our Charter - Without regard to our capital classification, we must obtain prior written approval of FHFA to make any capital distribution that would decrease total capital to an amount less than the risk-based capital level or that would decrease core capital to an amount less than the minimum capital level. As noted above, our capital requirements have been suspended during conservatorship. n Restrictions Relating to Preferred Stock - Payment of dividends on our common stock is also subject to the prior payment of dividends on our 24 series of preferred stock and one series of senior preferred stock, representing an aggregate of 464,170,000 shares and 1,000,000 shares outstanding, respectively, as of December 31, 2019 . Payment of dividends on all outstanding preferred stock, other than the senior preferred stock, is subject to the prior payment of dividends on the senior preferred stock. Delisting of Common Stock and Preferred Stock from NYSE On July 8, 2010, we delisted our common and 20 previously listed classes of preferred stock from the NYSE pursuant to a directive by our Conservator. Our common stock and the classes of preferred stock that were previously listed on the NYSE are traded exclusively in the OTCQB Marketplace. Shares of our common stock now trade under the ticker symbol FMCC . We expect that our common stock and the previously listed classes of preferred stock will continue to trade in the OTCQB Marketplace so long as market makers demonstrate an interest in trading the common and preferred stock. |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2019 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | NOTE 12 Income Taxes Income Tax Expense Total income tax expense includes: n Current income tax expense, which represents the amount of federal tax currently payable to or receivable from the Internal Revenue Service, including interest and penalties and amounts accrued for unrecognized tax benefits, if any, and n Deferred income tax expense, which represents the net change in the deferred tax asset or liability balance during the year, including any change in the valuation allowance. The table below presents the components of our federal income tax expense for the past three years. We are exempt from state and local income taxes. Table 12.1 - Federal Income Tax Expense Year Ended December 31, (In millions) 2019 2018 2017 Current income tax expense ($1,018 ) ($848 ) ($3,436 ) Deferred income tax expense (817 ) (1,391 ) (7,773 ) Total income tax expense ($1,835 ) ($2,239 ) ($11,209 ) Income tax expense decreased from 2018 to 2019 primarily due to a decrease in pre-tax book income, and decreased from 2017 to 2018, primarily due to higher income tax expense in 2017 driven by the revaluation of the net deferred tax asset. The revaluation was required due to the enactment of the Tax Cuts and Jobs Act in 2017, which reduced the corporate income tax rate from 35% to 21% for tax years after 2017. Accounting rules required that we measure our net deferred tax asset using the reduced rate in the period in which the legislation was enacted. Therefore, income tax expense in 2017 reflected a $5.4 billion charge associated with the reduction in the net deferred tax asset. The table below presents the reconciliation between our federal statutory income tax rate and our effective tax rate for the past three years. Table 12.2 - Reconciliation of Federal Statutory Income Tax Rate to Effective Tax Rate Year Ended December 31, 2019 2018 2017 (Dollars in millions) Amount Percent Amount Percent Amount Percent Statutory corporate tax rate ($1,900 ) 21.0 % ($2,410 ) 21.0 % ($5,892 ) 35.0 % Tax-exempt interest 18 (0.2 ) 19 (0.2 ) 39 (0.2 ) Tax credits 48 (0.5 ) 56 (0.5 ) 135 (0.8 ) Valuation allowance 9 (0.1 ) (13 ) 0.1 (54 ) 0.3 Revaluation of deferred tax asset to enacted rate — — 184 (1.6 ) (5,405 ) 32.1 Other (10 ) 0.1 (75 ) 0.7 (32 ) 0.2 Effective tax rate ($1,835 ) 20.3 % ($2,239 ) 19.5 % ($11,209 ) 66.6 % Deferred Tax Assets, Net We use the asset and liability method of accounting for income taxes for financial reporting purposes. Under this method, deferred tax assets and liabilities are recognized based upon the expected future tax consequences of existing temporary differences between the financial reporting and the tax reporting basis of assets and liabilities using enacted statutory tax rates as well as tax net operating loss and tax credit carryforwards, if any. To the extent tax laws change, deferred tax assets and liabilities are adjusted in the period that the tax change is enacted. The realization of our net deferred tax assets is dependent upon the generation of sufficient taxable income. The table below presents the balance of significant deferred tax assets and liabilities at December 31, 2019 and December 31, 2018 . The valuation allowance relates to capital loss carryforwards included in Other Items, net that we expect to expire unused. Table 12.3 - Deferred Tax Assets and Liabilities Year Ended December 31, (In millions) 2019 2018 Deferred tax assets: Deferred fees $3,529 $4,424 Basis differences related to derivative instruments 1,398 1,767 Credit related items and allowance for loan losses 79 177 Basis differences related to assets held for investment 921 569 Other items, net 56 20 Total deferred tax assets 5,983 6,957 Deferred tax liabilities: Unrealized gains related to available-for-sale securities (28 ) (23 ) Total deferred tax liabilities (28 ) (23 ) Valuation allowance (37 ) (46 ) Deferred tax assets, net $5,918 $6,888 Valuation Allowance A valuation allowance is recorded to reduce the net deferred tax asset when it is more likely than not that all or part of our tax benefits will not be realized. On a quarterly basis, we determine whether a valuation allowance is necessary. In doing so, we consider all evidence available, both positive and negative, in determining whether, based on the weight of the evidence, it is more likely than not that the net deferred tax asset will be realized. We are not permitted to consider in our analysis the impacts proposed legislation may have on our business because the timing and certainty of those actions are unknown and beyond our control. Based on all positive and negative evidence available at December 31, 2019 , we determined that it is more likely than not that our net deferred tax assets, except for the deferred tax asset related to our capital loss carryforwards, will be realized. A valuation allowance of $37 million has been recorded against our capital loss carryforward deferred tax asset. Unrecognized Tax Benefits and IRS Examinations We recognize a tax position taken or expected to be taken (and any associated interest and penalties) if it is more likely than not that it will be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. We measure the tax position at the largest amount of benefit that is greater than 50% likely of being realized upon ultimate settlement. We evaluated all income tax positions and determined that there were no uncertain tax positions that required reserves as of December 31, 2019 . We are under IRS examination for tax years 2013 through 2016 related to the carryback of 2016 capital losses to the prior three years. |
Segment Reporting
Segment Reporting | 12 Months Ended |
Dec. 31, 2019 | |
Segment Reporting [Abstract] | |
SEGMENT REPORTING | Segment Reporting We have three reportable segments, which are based on the type of business activities each performs - Single-family Guarantee, Multifamily, and Capital Markets. The chart below provides a summary of our three reportable segments and the All Other category. Segment/Category Description Financial Performance Measurement Basis Single-family Guarantee The Single-family Guarantee segment reflects results from our purchase of single-family loans, our guarantee of principal and interest payments on securitized mortgage loans in exchange for guarantee fees, and the management of single-family mortgage credit risk. The Single-family Guarantee segment manages single-family mortgage credit risk through risk transfer transactions, performing loss mitigation activities, and managing foreclosure and REO activities. • Contribution to GAAP net income (loss) Multifamily The Multifamily segment reflects results from our purchase, sale, securitization, and guarantee of multifamily loans and securities, our investments in those loans and securities, and the management of multifamily mortgage credit risk and market risk. Our primary business model is to purchase multifamily loans for aggregation and then securitization through issuance of multifamily K Certificates and SB Certificates. We also issue and guarantee other securitization products, issue other credit risk transfer products, and provide other guarantee activities. • Contribution to GAAP comprehensive income (loss) Capital Markets The Capital Markets segment reflects results from managing the company's mortgage-related investments portfolio (excluding Multifamily segment investments, single-family seriously delinquent loans, and the credit risk of single-family performing and reperforming loans), single-family securitization activities, and treasury function, which includes interest-rate risk management for the company. • Contribution to GAAP comprehensive income (loss) All Other The All Other category consists of material corporate-level activities that are infrequent in nature and based on decisions outside the control of the management of our reportable segments. N/A Segment Earnings We present Segment Earnings by reclassifying certain credit guarantee-related activities and investment-related activities between various line items on our GAAP consolidated statements of comprehensive income and allocating certain revenues and expenses, including certain returns on assets, funding and hedging costs, and administrative expenses, to our three reportable segments. We do not consider our assets by segment when evaluating segment performance or allocating resources. We operate our business in the United States and its territories, and accordingly, we generate no revenue from and have no long-lived assets, other than financial instruments, in geographic locations other than the United States and its territories. We evaluate segment performance and allocate resources based on a Segment Earnings approach, subject to the conduct of our business under the direction of the Conservator. See Note 2 for information about the conservatorship. During 4Q 2019, we changed how we calculate certain components of our Segment Earnings for our Single-family Guarantee and Capital Markets segments. The purpose of these changes is to more closely align Segment Earnings results relative to the business operations and to better reflect how management evaluates the Single-family Guarantee and Capital Markets segments. Prior period results have been revised to conform to the current period presentation. Changes were made to: n No longer reclassify the impacts related to single-family mortgage loans held-for-sale in Segment Earnings. This change resulted in reclassifications between line items for our Single-family Guarantee and Capital Markets segments but did not result in a change between the segments. n Reclassify the earnings mismatch related to fair value hedge accounting to investment gains (losses), net for our Capital Markets segment. This change resulted in a reclassification between line items for the Capital Markets segment but did not result in a change between segments. The sum of Segment Earnings for each segment and the All Other category equals GAAP net income (loss). Likewise, the sum of comprehensive income (loss) for each segment and the All Other category equals GAAP comprehensive income (loss). However, the accounting principles we apply to present certain financial statement line items in Segment Earnings for our reportable segments differ significantly from those applied in preparing the comparable line items on our consolidated financial statements prepared in accordance with GAAP in order to reflect the business activities each segment performs. The significant reclassifications are discussed below. Credit Activity-Related Reclassifications Certain credit activity-related income and costs are included in Segment Earnings guarantee fee income or benefit (provision) for credit losses. n Net guarantee fees, including upfront fee amortization and implied guarantee fee income related to single-family unsecuritized loans held in the mortgage-related investments portfolio, are reclassified in Segment Earnings from net interest income to guarantee fee income. n Short-term returns on cash received related to certain upfront fees on single-family loans are reclassified in Segment Earnings from net interest income to guarantee fee income. n The revenue and expense related to the 10 basis point increase which was legislated in the Temporary Payroll Tax Cut Continuation Act of 2011 are netted within guarantee fee income. n A portion of the amount reversed for accrued but uncollected interest upon placing loans on non-accrual status and related recoveries (if any) is reclassified in Segment Earnings from net interest income to benefit (provision) for credit losses. n We began hedging cash flows related to upfront fees (including buy-downs) in 2019. Amortization of the hedge gains (losses) is reclassified in Segment Earnings from net interest income to guarantee fee income. n Property tax and insurance expenses associated with held-for-sale loans accrued after the reclassification of loans from held-for-investment to held-for-sale is reclassified in Segment Earnings from other expense to benefit (provision) for credit losses. Investment Activity-Related Reclassifications We move certain items into or out of net interest income so that, on a Segment Earnings basis, net interest income reflects how we measure the effective yield earned on securities held in our mortgage investments portfolio and our other investments portfolio. We use derivatives extensively in our investment activity. The reclassifications described below allow us to reflect, in Segment Earnings net interest income, the costs associated with this use of derivatives. n The accrual of periodic cash settlements of derivatives recorded within investment gains (losses) is reclassified in Segment Earnings from investment gains (losses) into net interest income to fully reflect the periodic cost associated with the protection provided by these contracts. Beginning in 4Q 2017, the accrual of periodic cash settlements of derivatives in qualifying hedge relationships is recorded directly to net interest income due to the adoption of amended hedge accounting guidance. As a result, only the accrual of periodic cash settlements of derivatives while not in qualifying hedge relationships is reclassified for Segment Earnings. n For Segment Earnings, changes in the fair value of the hedging instrument and changes in the fair value of the hedged item attributable to the risk being hedged are reclassified to investment gains (losses), net from net interest income beginning in 4Q 2017 and from other income for periods prior to 4Q 2017. Amortization related to certain items is not relevant to how we measure the effective yield earned on the securities held in our investments portfolio. Therefore, as described below, we reclassify the following items in Segment Earnings from net interest income to non-interest income: n Amortization related to derivative commitment basis adjustments associated with mortgage-related and non-mortgage-related securities. n Amortization related to accretion of other-than-temporary impairments on available-for-sale securities. n Amortization of discounts on loans purchased with deteriorated credit quality that are on accrual status. n Amortization related to premiums and discounts, including non-cash premiums and discounts, on single-family loans in trusts and on the associated consolidated securities. n Amortization related to premiums and discounts associated with securities issued by our consolidated trusts that we previously held and subsequently transferred to third parties. Certain debt-related costs are not relevant to how we measure the effective yield earned on the securities held in our investments portfolio. Therefore, as described below, we reclassify the following items in Segment Earnings: n Costs associated with STACR debt note expenses are reclassified from net interest income to credit enhancement expense. n Internally allocated costs associated with the securitization of multifamily held-for-investment loans into a consolidated securitization structure are reclassified from net interest income to other income. Segment Allocations The table below presents Segment Earnings by segment. Table 13.1 - Segment Earnings Year Ended December 31, (In millions) 2019 2018 2017 Segment Earnings (loss), net of taxes: Single-family Guarantee $4,365 $3,908 $2,759 Multifamily 1,827 1,319 2,014 Capital Markets 1,022 4,008 6,257 All Other — — (5,405 ) Total Segment Earnings, net of taxes 7,214 9,235 5,625 Net income (loss) $7,214 $9,235 $5,625 Comprehensive income (loss) of segments: Single-family Guarantee $4,343 $3,905 $2,799 Multifamily 1,928 1,236 1,937 Capital Markets 1,516 3,481 6,227 All Other — — (5,405 ) Comprehensive income (loss) of segments 7,787 8,622 5,558 Comprehensive income (loss) $7,787 $8,622 $5,558 The table below presents detailed reconciliations between our GAAP financial statements and Segment Earnings for our reportable segments and All Other. Table 13.2 - Segment Earnings and Reconciliations to GAAP Consolidated Statements of Comprehensive Income Year Ended December 31, 2019 Single-family Guarantee Multifamily Capital Markets All Other Total Segment Earnings (Loss) Reclassifications Total per Consolidated Statements of Comprehensive Income (In millions) Net interest income $— $1,069 $2,486 $— $3,555 $8,293 $11,848 Guarantee fee income 7,773 1,101 — — 8,874 (7,785 ) 1,089 Investment gains (losses), net 964 576 (36 ) — 1,504 (686 ) 818 Other income (loss) 391 108 (700 ) — (201 ) 524 323 Benefit (provision) for credit losses 418 (3 ) — — 415 331 746 Administrative expense (1,647 ) (503 ) (414 ) — (2,564 ) — (2,564 ) Credit enhancement expense (1,393 ) (15 ) — — (1,408 ) 700 (708 ) REO operations expense (245 ) — — — (245 ) 16 (229 ) Other expense (786 ) (41 ) (54 ) — (881 ) (1,393 ) (2,274 ) Income tax (expense) benefit (1,110 ) (465 ) (260 ) — (1,835 ) — (1,835 ) Net income (loss) 4,365 1,827 1,022 — 7,214 — 7,214 Changes in unrealized gains (losses) related to available-for-sale securities — 105 430 — 535 — 535 Changes in unrealized gains (losses) related to cash flow hedge relationships — — 71 — 71 — 71 Changes in defined benefit plans (22 ) (4 ) (7 ) — (33 ) — (33 ) Total other comprehensive income (loss), net of taxes (22 ) 101 494 — 573 — 573 Comprehensive income (loss) $4,343 $1,928 $1,516 $— $7,787 $— $7,787 Year Ended December 31, 2018 Single-family Guarantee Multifamily Capital Markets All Other Total Segment Earnings (Loss) Reclassifications Total per Consolidated Statements of Comprehensive Income (In millions) Net interest income $— $1,096 $3,217 $— $4,313 $7,708 $12,021 Guarantee fee income 6,581 861 — — 7,442 (6,576 ) 866 Investment gains (losses), net 307 16 1,803 — 2,126 (205 ) 1,921 Other income (loss) 841 129 340 — 1,310 (548 ) 762 Benefit (provision) for credit losses 448 24 — — 472 264 736 Administrative expense (1,491 ) (437 ) (365 ) — (2,293 ) — (2,293 ) Credit enhancement expense (1,077 ) (16 ) — — (1,093 ) 676 (417 ) REO operations expense (189 ) 1 — — (188 ) 19 (169 ) Other expense (568 ) (36 ) (11 ) — (615 ) (1,338 ) (1,953 ) Income tax (expense) benefit (944 ) (319 ) (976 ) — (2,239 ) — (2,239 ) Net income (loss) 3,908 1,319 4,008 — 9,235 — 9,235 Changes in unrealized gains (losses) related to available-for-sale securities — (82 ) (640 ) — (722 ) — (722 ) Changes in unrealized gains (losses) related to cash flow hedge relationships — — 114 — 114 — 114 Changes in defined benefit plans (3 ) (1 ) (1 ) — (5 ) — (5 ) Total other comprehensive income (loss), net of taxes (3 ) (83 ) (527 ) — (613 ) — (613 ) Comprehensive income (loss) $3,905 $1,236 $3,481 $— $8,622 $— $8,622 Year Ended December 31, 2017 Single-family Guarantee Multifamily Capital Markets All Other Total Segment Earnings (Loss) Reclassifications Total per Consolidated Statements of Comprehensive Income (In millions) Net interest income $— $1,206 $3,279 $— $4,485 $9,679 $14,164 Guarantee fee income 6,363 750 — — 7,113 (6,364 ) 749 Investment gains (losses), net 116 1,516 1,772 — 3,404 (2,244 ) 1,160 Other income (loss) 896 75 4,913 — 5,884 (900 ) 4,984 Benefit (provision) for credit losses (177 ) (13 ) — — (190 ) 274 84 Administrative expense (1,381 ) (395 ) (330 ) — (2,106 ) — (2,106 ) Credit enhancement expense (891 ) (17 ) — — (908 ) 628 (280 ) REO operations expense (203 ) — — — (203 ) 14 (189 ) Other expense (516 ) (48 ) (81 ) — (645 ) (1,087 ) (1,732 ) Income tax (expense) benefit (1,448 ) (1,060 ) (3,296 ) (5,405 ) (11,209 ) — (11,209 ) Net income (loss) 2,759 2,014 6,257 (5,405 ) 5,625 — 5,625 Changes in unrealized gains (losses) related to available-for-sale securities — (86 ) (167 ) — (253 ) — (253 ) Changes in unrealized gains (losses) related to cash flow hedge relationships — — 124 — 124 — 124 Changes in defined benefit plans 40 9 13 — 62 — 62 Total other comprehensive income (loss), net of taxes 40 (77 ) (30 ) — (67 ) — (67 ) Comprehensive income (loss) $2,799 $1,937 $6,227 ($5,405 ) $5,558 $— $5,558 |
Concentration of Credit and Oth
Concentration of Credit and Other Risks | 12 Months Ended |
Dec. 31, 2019 | |
Risks and Uncertainties [Abstract] | |
CONCENTRATION OF CREDIT AND OTHER RISKS | Concentration of Credit and Other Risks Concentrations of credit risk may arise when we do business with a number of customers or counterparties that engage in similar activities or have similar economic characteristics that make them vulnerable in similar ways to changes in industry conditions, which could affect their ability to meet their contractual obligations. Concentrations of credit risk may also arise when there are a limited number of counterparties in a certain industry. Based on our assessment of business conditions that could affect our financial results, we have determined that concentrations of credit risk exist among certain borrowers (including geographic concentrations and loans with certain higher risk characteristics), loan sellers and servicers, credit enhancement providers, and other investment counterparties. In the sections below, we discuss our concentration of credit risk for each of the groups to which we are exposed. For a discussion of our derivative counterparties, as well as related master netting and collateral agreements, see Note 10 . Single-Family Credit Guarantee Portfolio Regional economic conditions may affect a borrower's ability to repay his or her loan and/or the property value underlying the loan. Geographic concentrations increase the exposure of our portfolio to changes in credit risk. Single-family borrowers are primarily affected by home prices, unemployment rates, and interest rates. The table below summarizes the concentration by loan portfolio and geographic area of the approximately $2.0 trillion and $1.9 trillion UPB of our single-family credit guarantee portfolio at December 31, 2019 and December 31, 2018 , respectively. See Note 4 and Note 7 for more information about credit risk associated with loans and mortgage-related securities that we hold or guarantee. Table 14.1 - Concentration of Credit Risk of Our Single-Family Credit Guarantee Portfolio December 31, 2019 December 31, 2018 Percent of Credit Losses Percentage of Portfolio Serious Delinquency Rate Percentage of Portfolio Serious Delinquency Rate 2019 2018 Core single-family loan portfolio 85 % 0.26 % 82 % 0.22 % 18 % 10 % Legacy and relief refinance single-family loan portfolio 15 1.84 18 1.93 82 90 Total 100 % 0.63 100 % 0.69 100 % 100 % Region (1) West 30 % 0.36 30 % 0.38 12 % 17 % Northeast 24 0.87 24 0.96 36 39 North Central 16 0.61 16 0.63 20 19 Southeast 16 0.73 16 0.90 24 18 Southwest 14 0.54 14 0.57 8 7 Total 100 % 0.63 100 % 0.69 100 % 100 % State (2) Florida 6 % 0.77 6 % 1.01 14 % 10 % Illinois 4 0.85 5 0.86 10 9 New Jersey 3 1.08 3 1.24 9 9 California 17 0.34 18 0.35 8 11 New York 5 1.21 5 1.37 7 11 All other 65 0.59 63 0.64 52 50 Total 100 % 0.63 % 100 % 0.69 % 100 % 100 % (1) Region designation: West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA); Northeast (CT, DE, DC, MA, ME, MD, NH, NJ, NY, PA, RI, VT, VA, WV); North Central (IL, IN, IA, MI, MN, ND, OH, SD, WI); Southeast (AL, FL, GA, KY, MS, NC, PR, SC, TN, VI); Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY). (2) States presented based on those with the highest percentage of credit losses during the year ended December 31, 2019 . The REO balance, net at December 31, 2019 and December 31, 2018 associated with single-family properties was $0.6 billion and $0.8 billion , respectively, and the balance associated with multifamily properties was $0 million at both periods. Our single-family REO inventory consisted of 4,989 properties and 7,100 properties at December 31, 2019 and December 31, 2018 , respectively. Although the average length of the foreclosure process has been trending downward in recent years for some jurisdictions, it remained elevated in others, particularly states with a judicial foreclosure process, which extends the time it takes for loans to be foreclosed upon and the underlying property to transition to REO. Credit Performance of Certain Higher-Risk Single-Family Loan Categories Participants in the mortgage market have characterized single-family loans based upon their overall credit quality at the time of origination, including as prime or subprime. Mortgage market participants have classified single-family loans as Alt-A if these loans have credit characteristics that range between their prime and subprime categories, if they are underwritten with lower or alternative income or asset documentation requirements compared to a full documentation loan, or both. Although we discontinued new purchases of loans with lower documentation standards, we continued to purchase certain amounts of these loans in cases where the loan was either: n Purchased pursuant to a previously issued other mortgage-related guarantee; n Part of our relief refinance initiative; or n In another refinance loan initiative and the pre-existing loan (including Alt-A loans) was originated under less than full documentation standards. In the event we purchase a refinance loan and the original loan had been previously identified as Alt-A, such refinance loan may no longer be categorized or reported as Alt-A in the table below because the new refinance loan replacing the original loan would not be identified by the seller/servicer as an Alt-A loan. As a result, our reported Alt-A balances may be lower than would otherwise be the case had such refinancing not occurred. Although we do not categorize single-family loans we purchase or guarantee as prime or subprime, we recognize that there are a number of loan types with certain characteristics that indicate a higher degree of credit risk. For example, a borrower's credit score is a useful measure for assessing the credit quality of the borrower. Statistically, borrowers with higher credit scores are more likely to repay or have the ability to refinance than those with lower scores. Presented below is a summary of the serious delinquency rates of certain higher-risk categories (based on characteristics of the loan at origination) of loans in our single-family credit guarantee portfolio. The table includes a presentation of each higher-risk category in isolation. A single loan may fall within more than one category (for example, an interest-only loan may also have an original LTV ratio greater than 90%). Loans with a combination of these attributes may have an even higher risk of delinquency than those with an individual attribute. Table 14.2 - Certain Higher Risk Categories in Our Single-Family Credit Guarantee Portfolio Percentage of Portfolio (1) Serious Delinquency Rate (1) (Percentage of portfolio based on UPB) December 31, 2019 December 31, 2018 December 31, 2019 December 31, 2018 Interest-only 1 % 1 % 2.72 % 3.43 % Alt-A 1 1 3.75 4.13 Original LTV ratio greater than 90% (2) 18 18 0.96 1.04 Lower credit scores at origination (less than 620) 2 2 4.52 4.59 (1) Excludes loans underlying certain other securitization products for which data was not available. (2) Includes HARP loans, which we purchased as part of our participation in the MHA Program. We categorize our investments in non-agency mortgage-related securities as subprime, option ARM, or Alt-A if the securities were identified as such based on information provided to us when we entered into these transactions. We do not consider option ARM, CMBS, obligations of states and political subdivisions, and manufactured housing securities as either subprime or Alt-A securities. See Note 7 for further information on these categories and other concentrations in our investments in securities. Multifamily Mortgage Portfolio Numerous factors affect a multifamily borrower's ability to repay the loan and the value of the property underlying the loan. The most significant factors affecting credit risk are rental rates and capitalization rates for the mortgaged property. Rental rates vary among geographic regions of the United States. The average UPB for multifamily loans is significantly larger than for single-family loans and, therefore, individual defaults for multifamily borrowers can result in more significant losses. The table below summarizes the concentration of multifamily loans in our multifamily mortgage portfolio classified by legal structure, based on UPB. Table 14.3 - Concentration of Credit Risk of Our Multifamily Mortgage Portfolio As of December 31, 2019 As of December 31, 2018 (Dollars in billions) UPB Delinquency Rate (1) UPB Delinquency Rate (1) Unsecuritized loans $29.8 0.01 % $34.8 0.01 % Securitization-related products 260.3 0.09 226.9 0.01 Other mortgage-related guarantees 10.0 0.09 9.8 — Total $300.1 0.08 % $271.5 0.01 % (1) Based on loans two monthly payments or more delinquent or in foreclosure. In the multifamily mortgage portfolio, the primary concentration of credit risk is based on the legal structure of the investments we hold. Our exposure to credit risk in our securitization-related products is minimal, as the expected credit risk is generally absorbed by the subordinate tranches, which are typically sold to third-party investors. As a result, our multifamily mortgage credit risk is primarily related to loans that have not been securitized. Sellers and Servicers We acquire a significant portion of our single-family and multifamily loan purchase volume from several large sellers. The tables below summarize the concentration of single-family and multifamily sellers who provided 10% or more of our purchase volume. Table 14.4 - Seller Concentration Single-family Sellers (1) 2019 2018 JPMorgan Chase Bank, N.A. 14 % 7 % Wells Fargo Bank, N.A. 8 12 Other top 10 sellers 34 31 Top 10 single-family sellers 56 % 50 % Multifamily Sellers (1) 2019 2018 CBRE Capital Markets, Inc. 15 % 18 % Berkadia Commercial Mortgage LLC 15 13 Other top 10 sellers 47 48 Top 10 multifamily sellers 77 % 79 % (1) Sellers presented based on those with the highest percentage of purchase volume during 2019. In recent years, there has been a shift in our single-family purchase volume from depository institutions to non-depository and smaller depository financial institutions. Some of these non-depository sellers have grown rapidly in recent years, and we purchase a significant share of our loans from them. Our top five non-depository sellers provided approximately 26% and 22% of our single-family purchase volume during 2019 and 2018, respectively. We are exposed to counterparty credit risk arising from the potential insolvency or non-performance by our sellers and servicers of their obligations to repurchase loans or (at our option) indemnify us in the event of breaches of the representations and warranties they made when they sold the loans to us or failure to comply with our servicing requirements. Our contracts require that a seller/servicer repurchase a loan after we issue a repurchase request, unless the seller/servicer avails itself of an appeals process provided for in our contracts, in which case the deadline for repurchase is extended until we decide on the appeal. As of December 31, 2019 and December 31, 2018 , the UPB of loans subject to our repurchase requests issued to our single-family sellers and servicers was approximately $0.3 billion and $0.4 billion , respectively (these figures include repurchase requests for which appeals were pending). During 2019 and 2018 , we recovered amounts that covered losses with respect to $0.4 billion and $0.3 billion , respectively, in UPB of loans subject to our repurchase requests. At the direction of FHFA, we and Fannie Mae revised our representation and warranty framework for conventional loans purchased by the GSEs on or after January 1, 2013. The objective of the revised framework is to clarify lenders' repurchase exposures and liability on future sales of loans to Freddie Mac and Fannie Mae. This framework does not affect seller/servicers' obligations under their contracts with us with respect to loans sold to us prior to January 1, 2013. This framework also does not affect their obligation to service these loans in accordance with our servicing standards. Under this framework, sellers are relieved of certain repurchase obligations for loans that meet specific payment requirements. This includes, subject to certain exclusions, loans with 36 months (12 months for relief refinance loans) of consecutive, on-time payments after we purchase them. In May 2014, we announced changes to our representation and warranty framework for loans acquired on and after July 1, 2014. These changes relieve sellers of additional representations and warranties for these loans and provide relief for loans we have fully reviewed in our quality control process and determined to be acceptable. As of December 31, 2019 , approximately 80% in UPB of loans in our single-family credit guarantee portfolio were purchased since January 1, 2013 and are subject to our revised representation and warranty framework. At the direction of FHFA, we implemented a new remedies framework for the categorization of loan origination defects for loans with settlement dates on or after January 1, 2016. Among other items, the framework provides that "significant defects" will result in a repurchase request or a repurchase alternative, such as recourse or indemnification. We may require the seller to pay us additional fees or provide us with additional data on the loan. The ultimate amounts of recovery payments we receive from seller/servicers related to their repurchase obligations may be significantly less than the amount of our estimates of potential exposure to losses. Our estimate of probable incurred losses for exposure to seller/servicers for their repurchase obligations is considered in our allowance for loan losses. See Note 4 for further information. We are also exposed to the risk that servicers might fail to service loans in accordance with the contractual requirements, resulting in increased credit losses. For example, our servicers have an active role in our loss mitigation efforts, and we therefore have exposure to them to the extent a decline in their performance results in a failure to realize the anticipated benefits of the loss mitigation plans. Since we do not have our own servicing operation, if our servicers lack appropriate controls, experience a failure in their controls, or experience an operating disruption in their ability to service loans, our business and financial results could be adversely affected. Significant portions of our single-family and multifamily loans are serviced by several large servicers. The tables below summarize the concentration of single-family and multifamily servicers who serviced 10% or more of our single-family credit guarantee portfolio and multifamily mortgage portfolio. Table 14.5 - Servicer Concentration Single-family Servicers (1) December 31, 2019 (2) December 31, 2018 (2) Wells Fargo Bank, N.A. 15 % 17 % JPMorgan Chase Bank, N.A. 10 8 Other top 10 servicers 32 31 Top 10 single-family servicers 57 % 56 % Multifamily Servicers (1) December 31, 2019 December 31, 2018 CBRE Capital Markets, Inc. 17 % 17 % Berkadia Commercial Mortgage LLC 13 13 Walker & Dunlop, LLC 9 10 Other top 10 servicers 37 37 Top 10 multifamily servicers 76 % 77 % (1) Servicers presented based on those with the highest percentage of servicing volume as of December 31, 2019. (2) Percentage of servicing volume is based on the total single-family credit guarantee portfolio, which includes loans where we do not exercise servicing control. However, loans where we do not exercise servicing control are not included for purposes of determining the concentration of servicers who serviced more than 10% of our single-family credit guarantee portfolio because we do not know which entity serves as the primary servicer for such loans. In recent years, there has been a shift in our single-family servicing from depository institutions to non-depository servicers. Some of these non-depository servicers have grown rapidly in recent years and now service a large share of our loans. As of December 31, 2019 and December 31, 2018 , approximately 18% and 16% of our single-family credit guarantee portfolio, respectively, excluding loans where we do not exercise control over the associated servicing, was serviced by our five largest non-depository servicers, on a combined basis. We routinely monitor the performance of our largest non-depository servicers. In our multifamily business, we are exposed to the risk that multifamily seller/servicers could come under financial pressure, which could potentially cause degradation in the quality of the servicing they provide, including their monitoring of each property's financial performance and physical condition. This could also, in certain cases, reduce the likelihood that we could recover losses through lender repurchases, recourse agreements or other credit enhancements, where applicable. This risk primarily relates to multifamily loans that we hold on our consolidated balance sheets where we retain all of the related credit risk. We monitor the status of all our multifamily seller/servicers in accordance with our counterparty credit risk management framework. Credit Enhancement Providers We have counterparty credit risk relating to the potential insolvency of, or non-performance by, mortgage insurers that insure single-family loans we purchase or guarantee. We also have similar exposure to insurers and reinsurers through our ACIS and other insurance transactions where we purchase insurance policies as part of our CRT activities. We evaluate the recovery and collectability from mortgage insurers as part of the estimate of our allowance for credit losses. See Note 4 for additional information. As of December 31, 2019 , mortgage insurers provided coverage with maximum loss limits of $107.7 billion , for $421.9 billion of UPB, in connection with our single-family credit guarantee portfolio. These amounts are based on gross coverage without regard to netting of coverage that may exist to the extent an affected loan is covered under other types of insurance. The table below summarizes the concentration of mortgage insurer counterparties who provided 10% or more of our overall mortgage insurance coverage. On October 23, 2016, Genworth Financial, Inc. announced that it had entered into an agreement to be acquired by China Oceanwide Holdings Group Co., Ltd. Because Genworth Mortgage Insurance Corporation, a subsidiary of Genworth Financial, Inc., is an approved mortgage insurer, Freddie Mac evaluated the planned acquisition and approved China Oceanwide Holdings Group's control of Genworth Mortgage Insurance Corporation. In January 2020, Freddie Mac reapproved the acquisition. Regulatory and other approvals of the acquisition are still pending. Table 14.6 - Mortgage Insurer Concentration Mortgage Insurance Coverage (2) Mortgage Insurer Credit Rating (1) December 31, 2019 December 31, 2018 Arch Mortgage Insurance Company A- 22 % 24 % Radian Guaranty Inc. BBB+ 20 20 Mortgage Guaranty Insurance Corporation BBB+ 17 19 Genworth Mortgage Insurance Corporation BB+ 15 14 Essent Guaranty, Inc. BBB+ 15 14 Total 89 % 91 % (1) Ratings are for the corporate entity to which we have the greatest exposure. Latest rating available as of December 31, 2019. Represents the lower of S&P and Moody's credit ratings stated in terms of the S&P equivalent. (2) Coverage amounts may include coverage provided by affiliates and subsidiaries of the counterparty. We received proceeds of $0.2 billion as of both 2019 and 2018 from our mortgage insurance policies for recovery of losses on our single-family loans. We had outstanding receivables from mortgage insurers of $0.1 billion (excluding deferred payment obligations associated with unpaid claim amounts) as of both December 31, 2019 and December 31, 2018 . The balance of these receivables, net of associated reserves, was approximately $0.1 billion at both December 31, 2019 and December 31, 2018 . PMI Mortgage Insurance Co. and Triad Guaranty Insurance Corp. are both under the control of their state regulators and are in run-off. A substantial portion of their claims is recorded by us as deferred payment obligations. These insurers no longer issue new insurance but continue to pay a portion of their respective claims in cash. In 2014, PMI began paying valid claims 67% in cash, 33% in deferred payment obligations, and made a one-time cash payment to us for claims that were previously settled for 55% in cash. In 2015, PMI began paying valid claims 70% in cash, 30% in deferred payment obligations, and made a one-time cash payment to us for claims that were previously settled for 67% in cash. In 2013, Triad began paying valid claims 75% in cash, 25% in deferred payment obligations, and made a one-time cash payment to us for claims that were previously settled for 60% in cash. If, as we currently expect, these insurers do not pay the full amount of their deferred payment obligations in cash, we would lose a portion of the coverage from these insurers. As of both December 31, 2019 and December 31, 2018 , we had cumulative unpaid deferred payment obligations of $0.5 billion from these insurers. We have reserved substantially all of these unpaid amounts as collectability is uncertain. It is not clear how the regulators of these companies will administer their respective deferred payment plans in the future, nor when or if those obligations will be paid. RMIC is under regulatory supervision and is no longer issuing new insurance. In 2014, RMIC resumed paying valid claims at 100% of the claim amount. Previously, RMIC had been paying all valid claims 60% in cash and 40% in deferred payment obligations. As part of our insurance/reinsurance CRT transactions, we regularly obtain insurance coverage from global insurers and reinsurers. These transactions incorporate several features designed to increase the likelihood that we will recover on the claims we file with the insurers and reinsurers, including the following: n In each transaction, we require the individual insurers and reinsurers to post collateral to cover portions of their exposure, which helps to promote certainty and timeliness of claim payment and n While private mortgage insurance companies are required to be monoline (i.e., to participate solely in the mortgage insurance business, although the holding company may be a diversified insurer), our insurers and reinsurers generally participate in multiple types of insurance businesses, which helps diversify their risk exposure. Other Investment Counterparties We are exposed to the non-performance of counterparties relating to other investments (including non-mortgage-related securities and cash equivalents) transactions, including those entered into on behalf of our securitization trusts. Our policies require that the counterparty be evaluated using our internal counterparty rating model prior to our entering such transactions. We monitor the financial strength of our counterparties to these transactions and may use collateral maintenance requirements to manage our exposure to individual counterparties. The permitted term and dollar limits for each of these transactions are also based on the counterparty's financial strength. Our other investments (including non-mortgage-related securities and cash equivalents) counterparties are primarily major financial institutions, including other GSEs, Treasury, the Federal Reserve Bank of New York, GSD/FICC, highly-rated supranational institutions, depository and non-depository institutions, brokers and dealers, and government money market funds. As of December 31, 2019 and December 31, 2018 , including amounts related to our consolidated VIEs, the balance of our other investments portfolio was $103.6 billion and $63.1 billion , respectively. The balance consists primarily of cash, securities purchased under agreements to resell invested with counterparties, U.S. Treasury securities, cash deposited with the Federal Reserve Bank of New York, and secured lending activities. As of December 31, 2019 , all of our securities purchased under agreements to resell were fully collateralized. As of December 31, 2019 and December 31, 2018, $2.4 billion , and $2.5 billion of our securities purchased under agreements to resell were used to provide financing to investors in Freddie Mac securities to increase liquidity and expand the investor base for those securities. These transactions differ from the securities purchased under agreements to resell that we use for liquidity purposes as the counterparties we face may not be major financial institutions and we are exposed to the counterparty credit risk of these institutions. |
Fair Value Disclosures
Fair Value Disclosures | 12 Months Ended |
Dec. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
FAIR VALUE DISCLOSURES | Fair Value Disclosures The accounting guidance for fair value measurements and disclosures defines fair value, establishes a framework for measuring fair value and sets forth disclosure requirements regarding fair value measurements. This guidance applies whenever other accounting guidance requires or permits assets or liabilities to be measured at fair value. Fair value represents the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value measurement assumes that the transaction to sell the asset or transfer the liability takes place either in the principal market for the asset or liability, or, in the absence of a principal market, in the most advantageous market for the asset or liability. We use fair value measurements for the initial recording of certain assets and liabilities and periodic remeasurement of certain assets and liabilities on a recurring or non-recurring basis. Fair Value Measurements The accounting guidance for fair value measurements and disclosures establishes a three-level fair value hierarchy that prioritizes the inputs into the valuation techniques used to measure fair value. The levels of the fair value hierarchy are defined as follows in priority order: n Level 1 - inputs to the valuation techniques are based on quoted prices in active markets for identical assets or liabilities. n Level 2 - inputs to the valuation techniques are based on observable inputs other than quoted prices in active markets for identical assets or liabilities. n Level 3 - one or more inputs to the valuation technique are unobservable and significant to the fair value measurement. We use quoted market prices and valuation techniques that seek to maximize the use of observable inputs, where available, and minimize the use of unobservable inputs. Our inputs are based on the assumptions a market participant would use in valuing the asset or liability. Assets and liabilities are classified in their entirety within the fair value hierarchy based on the lowest level input that is significant to the fair value measurement. Valuation Risk and Controls Over Fair Value Measurements Valuation risk is the risk that fair values used for financial disclosures, risk metrics, and performance measures do not reasonably reflect market conditions and prices. We designed our control processes so that our fair value measurements are appropriate and reliable, that they are based on observable inputs where possible, and that our valuation approaches are consistently applied and the assumptions and inputs are reasonable. Our control processes provide a framework for segregation of duties and oversight of our fair value methodologies, techniques, validation procedures, and results. Groups within our Finance Division, independent of our business functions, execute and validate the valuation processes and are responsible for determining the fair values of the majority of our financial assets and liabilities. In determining fair value, we consider the credit risk of our counterparties in estimating the fair values of our assets and our own credit risk in estimating the fair values of our liabilities. The fair values determined by our Finance Division are further verified by an independent group within our ERM Division. The independent validation procedures performed by the ERM Division are intended to ensure that the prices we receive from third parties are consistent with our observations of market activity, and that fair value measurements developed using internal data reflect the assumptions that a market participant would use in pricing our assets and liabilities. These validation procedures include performing a daily price review and a monthly independent verification of fair value measurements through independent modeling, analytics, and comparisons to other market source data, if available. If we are unable to validate the reasonableness of a given price, we ultimately do not use that price for fair value measurements on our consolidated financial statements. These procedures are risk-based and are executed before we finalize the prices used in preparing our fair value measurements for our financial statements. In addition to performing the validation procedures noted above, the ERM Division provides independent risk governance over all valuation processes by establishing and maintaining a corporate-wide valuation risk policy. The ERM Division also independently reviews significant judgments, methodologies, and valuation techniques to ensure compliance with established policies. Our Valuation Risk Committee (Valuation Committee), which includes representation from our business lines, the ERM Division, and the Finance Division, provides senior management's governance over valuation processes, methodologies, controls, and fair value measurements. Identified exceptions are reviewed and resolved through the verification process and reviewed at the Valuation Committee. Where models are employed to assist in the measurement and verification of fair values, changes made to those models during the period are reviewed and approved according to the corporate model change governance process, with material changes reviewed at the Valuation Committee. Inputs used by models are regularly updated for changes in the underlying data, assumptions, valuation inputs, and market conditions and are subject to the valuation controls noted above. Use of Third-Party Pricing Data in Fair Value Measurement Many of our valuation techniques use, either directly or indirectly, data provided by third-party pricing services or dealers. The techniques used by these pricing services and dealers to develop the prices generally are either: n A comparison to transactions involving instruments with similar collateral and risk profiles, adjusted as necessary based on specific characteristics of the asset or liability being valued or n Industry-standard modeling, such as a discounted cash flow model. The prices provided by the pricing services and dealers reflect their observations and assumptions related to market activity, including risk premiums and liquidity adjustments. The models and related assumptions used by the pricing services and dealers are owned and managed by them and, in many cases, the significant inputs used in the valuation techniques are not reasonably available to us. However, we have an understanding of the processes and assumptions used to develop the prices based on our ongoing due diligence, which includes discussions with our vendors at least annually and often more frequently. We believe that the procedures executed by the pricing services and dealers, combined with our internal verification and analytical procedures, provide assurance that the prices used in our financial statements comply with the accounting guidance for fair value measurements and disclosures and reflect the assumptions that a market participant would use in pricing our assets and liabilities. The price quotes we receive are non-binding both to us and to our counterparties. In many cases, we receive quotes from third-party pricing services or dealers and use those prices without adjustment. For a large majority of the assets and liabilities we value using pricing services and dealers, we obtain quotes from multiple external sources and use the median of the prices to measure fair value. This technique is referred to below as "median of external sources." The significant inputs used in the fair value measurement of assets and liabilities that are valued using the median of external sources pricing technique are the third-party quotes. Significant increases (decreases) in any of the third-party quotes in isolation may result in a significantly higher (lower) fair value measurement. In limited circumstances, we may be able to receive pricing information from only a single external source. This technique is referred to below as "single external source." Valuation Techniques The following table contains a description of the valuation techniques we use for fair value measurement and disclosure; the significant inputs used in those techniques (if applicable); the classification within the fair value hierarchy; and, for those measurements that we report on our consolidated balance sheets and are classified as Level 3 of the hierarchy, a narrative description of the uncertainty of the fair value measurement to changes in significant unobservable inputs. Although the uncertainties of the unobservable inputs are discussed below in isolation, interrelationships exist among the inputs such that a change in one unobservable input can result in a change to one or more of the other inputs. For example, the most common interrelationship that affects the majority of our fair value measurements is between future interest rates, prepayment speeds, and probabilities of default. Generally, a change in the assumption used for future interest rates results in a directionally opposite change in the assumption used for prepayment speeds and a directionally similar change in the assumption used for probabilities of default. Each technique discussed below may not be used in a given reporting period, depending on the composition of our assets and liabilities measured at fair value and relevant market activity during that period. Instrument Valuation Technique Classification in the Fair Value Hierarchy Securities U.S. Treasury Securities Quoted prices in active markets Level 1 Agency mortgage-related securities Fixed-rate single-class Median of external sources Level 2 Adjustable-rate single-class and majority of multi-class securities Median of external sources Predominantly Level 2 Certain multi-class securities Single external source Levels 2 and 3 Certain multi-class securities with limited market activity Discounted cash flows or risk metric pricing. Significant inputs used in the discounted cash flow technique include OAS. Significant increases (decreases) in the OAS in isolation would result in a significantly lower (higher) fair value measurement. Significant inputs used in the risk metric pricing technique include key risk metrics, such as key rate durations. Significant increases (decreases) in key rate durations in isolation would result in a significant increase (decrease) in the magnitude of change of fair value measurement in response to key rate movements. Under risk metric pricing, securities are valued by starting with a prior period price and adjusting that price for market changes in the key risk metric input used. Level 3 Commercial mortgage-related securities Single external source or, in limited circumstances, a median of external sources Predominantly Level 3 Other non-agency mortgage-related securities Median of external sources Level 3 Derivatives Exchange-traded futures Quoted prices in active markets Level 1 Interest-rate swaps Discounted cash flows. Significant inputs include market-based interest rates. Level 2 Option-based derivatives Option-pricing models. Significant inputs include interest-rate volatility matrices. Level 2 Purchase and sale commitments See Agency mortgage-related securities Level 2 Debt Debt securities of consolidated trusts held by third parties See Agency mortgage-related securities Level 2 or 3 Other debt Median of external sources Predominantly Level 2 Single external source Published yield matrices Mortgage Loans Single-family loans GSE securitization market Benchmark security pricing for actively traded mortgage-related securities with similar characteristics, adjusting for the value of our guarantee fee and our credit obligation related to performing our guarantee (see Guarantee obligation). The credit obligation is based on: delivery and guarantee fees we charge under current market pricing for loans that qualify under our current underwriting standards (Level 2) and internal credit models for loans that do not qualify under our current underwriting standards (Level 3). Level 2 or 3 Whole loan market Median of external sources, referencing market activity for deeply delinquent and modified loans, where available Level 3 Instrument Valuation Technique Classification in the Fair Value Hierarchy Impaired held-for-investment Internal models that estimate the fair value of the underlying collateral for impaired loans. Significant inputs used by our internal models include REO disposition, short sale, and third-party sale values, combined with mortgage loan level characteristics using the repeat housing sales index to estimate the current fair value of the mortgage loan. Significant increases (decreases) in the historical average sales proceeds per mortgage loan in isolation would result in significantly higher (lower) fair value measurements. Level 3 Multifamily loans Held-for-sale Discounted cash flows based on observable K Certificate and SB Certificate market spreads Level 2 Held-for-investment Market prices from a third-party pricing service using discounted cash flows incorporating credit spreads for similar loans based on the loan's LTV and DSCR Predominantly Level 3 Non-derivative Purchase Commitments Multifamily loan purchase commitments See Multifamily loans Level 2 or 3 Other Assets Guarantee asset Single-family Median of external sources with adjustments for specific loan characteristics Level 3 Multifamily Discounted cash flows. Significant inputs include current OAS-to-benchmark interest rates for new guarantees. Significant increases (decreases) in the OAS in isolation would result in a significantly lower (higher) fair value measurement. Level 3 Mortgage servicing rights Market prices from a third party or internally developed prices using discounted cash flows. Significant inputs include: Level 3 Estimated prepayment rates, Estimated costs to service both performing and non-accrual loans, and Estimated servicing income per loan (including ancillary income). Significant increases (decreases) in cost to service per loan and prepayment rate in isolation would result in a significantly lower (higher) fair value measurement. Significant increases (decreases) in servicing income per loan in isolation would result in a significantly higher (lower) fair value measurement. Other Liabilities Guarantee obligation Single-family Delivery and guarantee fees that we charge under our current market pricing Level 2 Internal credit models. Significant inputs include loan characteristics, loan performance, and status information. Level 3 Multifamily Discounted cash flows. Significant inputs are similar to those used in the valuation technique for the Multifamily guarantee asset. Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis Table 15.1 - Assets and Liabilities Measured at Fair Value on a Recurring Basis December 31, 2019 (In millions) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Investments in securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $— $22,927 $1,960 $— $24,887 Non-agency and other — 20 1,267 — 1,287 Total available-for-sale securities, at fair value — 22,947 3,227 — 26,174 Trading, at fair value: Mortgage-related securities: Agency — 19,772 2,709 — 22,481 Non-agency — — 1 — 1 Total mortgage-related securities — 19,772 2,710 — 22,482 Non-mortgage-related securities 25,108 1,947 — — 27,055 Total trading securities, at fair value 25,108 21,719 2,710 — 49,537 Total investments in securities 25,108 44,666 5,937 — 75,711 Mortgage loans: Held-for-sale, at fair value — 15,035 — — 15,035 Derivative assets, net: Interest-rate swaps — 2,104 — — 2,104 Option-based derivatives — 4,198 — — 4,198 Other — 61 16 — 77 Subtotal, before netting adjustments — 6,363 16 — 6,379 Netting adjustments (1) — — — (5,535 ) (5,535 ) Total derivative assets, net — 6,363 16 (5,535 ) 844 Other assets: Guarantee asset, at fair value — — 4,426 — 4,426 Non-derivative held-for-sale purchase commitments, at fair value — 81 — — 81 All other, at fair value — — 120 — 120 Total other assets — 81 4,546 — 4,627 Total assets carried at fair value on a recurring basis $25,108 $66,145 $10,499 ($5,535 ) $96,217 Liabilities: Debt securities of consolidated trusts held by third parties, at fair value $— $6 $203 $— $209 Other debt, at fair value — 3,600 129 — 3,729 Derivative liabilities, net: Interest-rate swaps — 4,882 — — 4,882 Option-based derivatives — 130 — — 130 Other — 233 37 — 270 Subtotal, before netting adjustments — 5,245 37 — 5,282 Netting adjustments (1) — — — (4,910 ) (4,910 ) Total derivative liabilities, net — 5,245 37 (4,910 ) 372 Other liabilities: Non-derivative held-for-sale purchase commitments, at fair value — 7 — — 7 All other, at fair value — — 1 — 1 Total other liabilities — 7 1 — 8 Total liabilities carried at fair value on a recurring basis $— $8,858 $370 ($4,910 ) $4,318 Referenced footnote is included after the next table. December 31, 2018 (In millions) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Investments in securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $— $27,770 $4,135 $— $31,905 Non-agency and other — 18 1,640 — 1,658 Total available-for-sale securities, at fair value — 27,788 5,775 — 33,563 Trading, at fair value: Mortgage-related securities: Agency — 13,079 3,293 — 16,372 Non-agency — — 1 — 1 Total mortgage-related securities — 13,079 3,294 — 16,373 Non-mortgage-related securities 15,885 3,290 — — 19,175 Total trading securities, at fair value 15,885 16,369 3,294 — 35,548 Total investments in securities 15,885 44,157 9,069 — 69,111 Mortgage loans: Held-for-sale, at fair value — 23,106 — — 23,106 Derivative assets, net: Interest-rate swaps — 2,127 — — 2,127 Option-based derivatives — 4,200 — — 4,200 Other — 90 1 — 91 Subtotal, before netting adjustments — 6,417 1 — 6,418 Netting adjustments (1) — — — (6,083 ) (6,083 ) Total derivative assets, net — 6,417 1 (6,083 ) 335 Other assets: Guarantee asset, at fair value — — 3,633 — 3,633 Non-derivative held-for-sale purchase commitments, at fair value — 159 — — 159 All other, at fair value — — 137 — 137 Total other assets — 159 3,770 — 3,929 Total assets carried at fair value on a recurring basis $15,885 $73,839 $12,840 ($6,083 ) $96,481 Liabilities: Debt securities of consolidated trusts held by third parties, at fair value $— $27 $728 $— $755 Other debt, at fair value — 4,223 134 — 4,357 Derivative liabilities, net: Interest-rate swaps — 3,974 — — 3,974 Option-based derivatives — 137 — — 137 Other — 225 92 — 317 Subtotal, before netting adjustments — 4,336 92 — 4,428 Netting adjustments (1) — — — (3,845 ) (3,845 ) Total derivative liabilities, net — 4,336 92 (3,845 ) 583 Other liabilities: Non-derivative held-for-sale purchase commitments, at fair value — 17 — — 17 Total liabilities carried at fair value on a recurring basis $— $8,603 $954 ($3,845 ) $5,712 (1) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable. Level 3 Fair Value Measurements The tables below present a reconciliation of all assets and liabilities measured on our consolidated balance sheets at fair value on a recurring basis using significant unobservable inputs (Level 3), including transfers into and out of Level 3. The tables also present gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our consolidated statements of comprehensive income for Level 3 assets and liabilities. Table 15.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs Year Ended December 31, 2019 Balance, Realized and unrealized gains (losses) Purchases Issues Sales Settlements, Transfers (1) Transfers (1) Balance, Change in Unrealized Gains(Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2019 (3) (In millions) Included in Included in other Total Assets Investments in securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $4,135 $23 $108 $131 $— $— ($1,883 ) ($367 ) $2 ($58 ) $1,960 $2 Non-agency and other 1,640 82 (1 ) 81 — — (238 ) (216 ) — — 1,267 14 Total available-for-sale mortgage-related securities 5,775 105 107 212 — — (2,121 ) (583 ) 2 (58 ) 3,227 16 Trading, at fair value: Mortgage-related securities: Agency 3,293 (280 ) — (280 ) 596 — (616 ) (104 ) — (180 ) 2,709 (248 ) Non-agency 1 — — — — — — — — — 1 — Total trading mortgage-related securities 3,294 (280 ) — (280 ) 596 — (616 ) (104 ) — (180 ) 2,710 (248 ) Other assets: Guarantee asset 3,633 33 — 33 — 1,427 — (667 ) — — 4,426 33 All other, at fair value 137 (38 ) — (38 ) 85 36 (85 ) (15 ) — — 120 (70 ) Total other assets $3,770 ($5 ) $— ($5 ) $85 $1,463 ($85 ) ($682 ) $— $— $4,546 ($37 ) Balance, Realized and unrealized (gains) losses Purchases Issues Sales Settlements, Transfers (1) Transfers (1) Balance, Change in Unrealized Gains(Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2019 (3) Included in Included in Total Liabilities Debt securities of consolidated trusts held by third parties, at fair value $728 $5 $— $5 $— $— $— ($530 ) $— $— $203 $5 Other debt, at fair value 134 — — — — 4 — (9 ) — — 129 — Net derivatives (2) 91 (51 ) — (51 ) — — — (19 ) — — 21 (68 ) Other liabilities: All other, at fair value — (3 ) — (3 ) 6 — (2 ) — — — 1 (5 ) Referenced footnotes are included after the prior period tables. Year Ended December 31, 2018 Balance, January 1, 2018 Realized and unrealized gains (losses) Purchases Issues Sales Settlements, net Transfers into Level 3 (1) Transfers out of Level 3 (1) Balance, December 31, 2018 Change in Unrealized Gains(Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2018 (3) (In millions) Included in earnings Included in other comprehensive income Total Assets Investments in securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $6,797 ($31 ) ($214 ) ($245 ) $56 $— ($1,546 ) ($926 ) $— ($1 ) $4,135 ($7 ) Non-agency and other 4,291 948 (644 ) 304 — — (2,481 ) (474 ) — — 1,640 23 Total available-for-sale mortgage-related securities 11,088 917 (858 ) 59 56 — (4,027 ) (1,400 ) — (1 ) 5,775 16 Trading, at fair value: Mortgage-related securities: Agency 2,916 (517 ) — (517 ) 1,484 — (1,058 ) (79 ) 579 (32 ) 3,293 (449 ) Non-agency 1 — — — — — — — — — 1 — Total trading mortgage-related securities 2,917 (517 ) — (517 ) 1,484 — (1,058 ) (79 ) 579 (32 ) 3,294 (449 ) Other assets: Guarantee asset 3,171 (80 ) — (80 ) — 1,118 — (576 ) — — 3,633 (80 ) All other, at fair value 45 28 — 28 102 31 (57 ) (12 ) — — 137 25 Total other assets $3,216 ($52 ) $— ($52 ) $102 $1,149 ($57 ) ($588 ) $— $— $3,770 ($55 ) Balance, Realized and unrealized (gains) losses Purchases Issues Sales Settlements, net Transfers into Level 3 (1) Transfers out of Level 3 (1) Balance, Change in Unrealized Gains(Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2018 (3) Included in earnings Included in other comprehensive income Total Liabilities Debt securities of consolidated trusts held by third parties, at fair value $630 ($2 ) $— ($2 ) $— $100 $— $— $— $— $728 ($2 ) Other debt, at fair value 137 — — — — 2 — (5 ) — — 134 — Net derivatives (2) 57 37 — 37 — 15 — (18 ) — — 91 20 (1) Transfers out of Level 3 during 2019 and 2018 consisted primarily of certain mortgage-related securities due to an increased volume and level of activity in the market and availability of price quotes from dealers and third-party pricing services. Certain Agency securities are classified as Level 3 at issuance and generally are classified as Level 2 when they begin trading. Transfers into Level 3 during 2019 and 2018 consisted primarily of certain mortgage-related securities due to a decrease in market activity and the availability of relevant price quotes from dealers and third-party pricing services. (2) Amounts are the net of derivative assets and liabilities prior to counterparty netting, cash collateral netting, net trade/settle receivable or payable, and net derivative interest receivable or payable. (3) Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains and losses related to assets and liabilities classified as Level 3 that were still held at December 31, 2019 and December 31, 2018, respectively. This amount includes other-than temporary impairments recorded on available-for-sale securities and amortization of basis adjustment. The tables below provide valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets and liabilities measured on our consolidated balance sheets at fair value on a recurring basis. Table 15.3 - Quantitative Information about Recurring Level 3 Fair Value Measurements December 31, 2019 Level 3 Predominant Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Assets Available-for-sale, at fair value Mortgage-related securities Agency $1,960 Discounted cash flows OAS 30 - 261 bps 80 bps Non-agency and other 886 Median of external sources External pricing sources $71.9 - $78.2 $75.0 381 Other Trading, at fair value Mortgage-related securities Agency 1,948 Single external source External pricing sources $0.0 - $100.7 $36.6 761 Discounted cash flows OAS (1,201) - 8,095 bps 611 bps Guarantee asset, at fair value 4,141 Discounted cash flows OAS 17 - 186 bps 40 bps 285 Other Insignificant Level 3 assets (1) 137 Total level 3 assets $10,499 Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 Single External Source External Pricing Sources $99.4 - $103.6 $101.4 Insignificant Level 3 liabilities (1) 167 Referenced footnotes are included after the next table. December 31, 2018 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average Assets Available-for-sale, at fair value Mortgage-related securities Agency $2,876 Discounted cash flows OAS 30 - 325 bps 81 bps 1,259 Single external source External pricing sources $96.1 - $104.1 $102.3 Non-agency and other 1,403 Median of external sources External pricing sources $64.3 - $71.1 $67.3 237 Single external source External pricing sources $93.1 - $110.7 $100.7 Trading, at fair value Mortgage-related securities Agency 1,594 Single external source External pricing sources $0.0 - $99.2 $56.6 1,178 Discounted cash flows OAS (21,945) - 6,639 bps 90 bps 521 Other Guarantee asset, at fair value 3,391 Discounted cash flows OAS 17 - 198 bps 49 bps 242 Other Insignificant Level 3 assets (1) 139 Total level 3 assets $12,840 Liabilities Debt securities of consolidated trusts held by third parties, at fair value $728 Single External Source External Pricing Sources $97.4 - $101.1 $99.6 Insignificant Level 3 liabilities (1) 226 (1) Represents the aggregate amount of Level 3 assets or liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant. Assets Measured at Fair Value on a Non-Recurring Basis We may be required, from time to time, to measure certain assets at fair value on a non-recurring basis. These adjustments usually result from the application of lower-of-cost-or-fair-value accounting or measurement of impairment based on the fair value of the underlying collateral. Certain of the fair values in the tables below were not obtained as of the period end, but were obtained during the period. The table below presents assets measured on our consolidated balance sheets at fair value on a non-recurring basis. Table 15.4 - Assets Measured at Fair Value on a Non-Recurring Basis December 31, 2019 December 31, 2018 (In millions) Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Assets measured at fair value on a non-recurring basis: Mortgage loans (1) $— $22 $4,059 $4,081 $— $24 $7,519 $7,543 (1) Includes loans that are classified as held-for-investment and have been measured for impairment based on the fair value of the underlying collateral and held-for-sale loans where the fair value is below cost. The tables below provide valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets and liabilities measured on our consolidated balance sheets at fair value on a non-recurring basis. Table 15.5 - Quantitative Information about Non-Recurring Level 3 Fair Value Measurements December 31, 2019 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average Non-recurring fair value measurements Mortgage loans $4,059 Internal model Historical sales proceeds $3,000 - $765,000 $186,234 Internal model Housing sales index 46 - 420 bps 112 bps Median of external sources External pricing sources $66.5 - $105.4 $95.0 December 31, 2018 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average Non-recurring fair value measurements Mortgage loans $7,519 Internal model Historical sales proceeds $3,000 - $750,500 $177,725 Internal model Housing sales index 44 - 480 bps 108 bps Median of external sources External pricing sources $36.2 - $94.6 $82.5 Fair Value of Financial Instruments The tables below present the carrying value and estimated fair value of our financial instruments. For certain types of financial instruments, such as cash and cash equivalents, securities purchased under agreements to resell, secured lending and other, and certain debt, the carrying value on our GAAP balance sheets approximates fair value, as these assets and liabilities are short-term in nature and have limited fair value volatility. Table 15.6 - Fair Value of Financial Instruments December 31, 2019 GAAP Measurement Category (1) GAAP Carrying Amount Fair Value (In millions) Level 1 Level 2 Level 3 Netting Adjustments (2) Total Financial Assets Cash and cash equivalents Amortized cost $5,189 $5,189 $— $— $— $5,189 Securities purchased under agreements to resell Amortized cost 66,114 — 66,114 — — 66,114 Investments in securities: Available-for-sale, at fair value FV - OCI 26,174 — 22,947 3,227 — 26,174 Trading, at fair value FV - NI 49,537 25,108 21,719 2,710 — 49,537 Total investments in securities 75,711 25,108 44,666 5,937 — 75,711 Mortgage loans: Loans held by consolidated trusts 1,940,523 — 1,732,434 244,500 — 1,976,934 Loans held by Freddie Mac 79,677 — 38,100 45,588 — 83,688 Total mortgage loans Various (3) 2,020,200 — 1,770,534 290,088 — 2,060,622 Derivative assets, net FV - NI 844 — 6,363 16 (5,535 ) 844 Guarantee asset FV - NI 4,426 — — 4,433 — 4,433 Non-derivative purchase commitments, at fair value FV - NI 81 — 90 72 — 162 Secured lending and other Amortized cost 4,186 — 1,874 2,131 — 4,005 Total financial assets $2,176,751 $30,297 $1,889,641 $302,677 ($5,535 ) $2,217,080 Financial Liabilities Debt, net: Debt securities of consolidated trusts held by third parties $1,898,355 $— $1,931,473 $1,277 $— $1,932,750 Other debt 281,173 — 282,431 3,619 — 286,050 Total debt, net Various (4) 2,179,528 — 2,213,904 4,896 — 2,218,800 Derivative liabilities, net FV - NI 372 — 5,245 37 (4,910 ) 372 Guarantee obligation Amortized cost 4,292 — — 4,527 — 4,527 Non-derivative purchase commitments, at fair value FV - NI 7 — 7 67 — 74 Total financial liabilities $2,184,199 $— $2,219,156 $9,527 ($4,910 ) $2,223,773 (1) FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income. (2) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable. (3) As of December 31, 2019, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value and FV - NI were $2.0 trillion , $20.3 billion and $15.0 billion , respectively. (4) As of December 31, 2019, the GAAP carrying amounts measured at amortized cost and FV - NI were $2.2 trillion and $3.9 billion , respectively. December 31, 2018 GAAP Measurement Category (1) GAAP Carrying Amount Fair Value (In millions) Level 1 Level 2 Level 3 Netting Adjustments (2) Total Financial Assets Cash and cash equivalents Amortized cost $7,273 $7,273 $— $— $— $7,273 Securities purchased under agreements to resell Amortized cost 34,771 — 34,771 — — 34,771 Investments in securities: Available-for-sale, at fair value FV - OCI |
Legal Contingencies
Legal Contingencies | 12 Months Ended |
Dec. 31, 2019 | |
Commitments and Contingencies Disclosure [Abstract] | |
LEGAL CONTINGENCIES | Legal Contingencies We are involved as a party in a variety of legal and regulatory proceedings arising from time to time in the ordinary course of business including, among other things, contractual disputes, personal injury claims, employment-related litigation, and other legal proceedings incidental to our business. We are frequently involved, directly or indirectly, in litigation involving mortgage foreclosures. From time to time, we are also involved in proceedings arising from our termination of a seller's or servicer's eligibility to sell loans to, and/or service loans for, us. In these cases, the former seller or servicer sometimes seeks damages against us for wrongful termination under a variety of legal theories. In addition, we are sometimes sued in connection with the origination or servicing of loans. These suits typically involve claims alleging wrongful actions of sellers and servicers. Our contracts with our sellers and servicers generally provide for indemnification of Freddie Mac against liability arising from sellers' and servicers' wrongful actions with respect to loans sold to or serviced for Freddie Mac. Litigation and claims resolution are subject to many uncertainties and are not susceptible to accurate prediction. In accordance with the accounting guidance for contingencies, we reserve for litigation claims and assessments asserted or threatened against us when a loss is probable (as defined in such guidance) and the amount of the loss can be reasonably estimated. Putative Securities Class Action Lawsuit: Ohio Public Employees Retirement System vs. Freddie Mac, Syron, Et Al. This putative securities class action lawsuit was filed against Freddie Mac and certain former officers on January 18, 2008 in the U.S. District Court for the Northern District of Ohio purportedly on behalf of a class of purchasers of Freddie Mac stock from August 1, 2006 through November 20, 2007. FHFA later intervened as Conservator, and the plaintiff amended its complaint on several occasions. The plaintiff alleged, among other things, that the defendants violated federal securities laws by making false and misleading statements concerning our business, risk management, and the procedures we put into place to protect the company from problems in the mortgage industry. The plaintiff seeks unspecified damages and interest, and reasonable costs and expenses, including attorney and expert fees. In October 2013, defendants filed motions to dismiss the complaint. In October 2014, the District Court granted defendants' motions and dismissed the case in its entirety against all defendants, with prejudice. In November 2014, plaintiff filed a notice of appeal in the U.S. Court of Appeals for the Sixth Circuit. On July 20, 2016, the Court of Appeals reversed the District Court's dismissal and remanded the case to the District Court for further proceedings. On August 14, 2018, the District Court denied the plaintiff's motion for class certification. On January 23, 2019, the Court of Appeals denied plaintiff's petition for leave to appeal that decision. At present, it is not possible for us to predict the probable outcome of this lawsuit or any potential effect on our business, financial condition, liquidity, or results of operations. In addition, we are unable to reasonably estimate the possible loss or range of possible loss in the event of an adverse judgment in the foregoing matter due to the following factors, among others: pre-trial litigation is inherently uncertain; while the District Court denied plaintiff's motion for class certification, this denial may be appealed upon the entry of final judgment; and the District Court has not yet ruled upon motions for summary judgment. In particular, absent a final resolution of whether a class will be certified, the identification of a class if one is certified, and the identification of the alleged statement or statements that survive dispositive motions, we cannot reasonably estimate any possible loss or range of possible loss. LIBOR Lawsuit On March 14, 2013, Freddie Mac filed a lawsuit in the U.S. District Court for the Eastern District of Virginia against the British Bankers Association and the 16 U.S. Dollar LIBOR panel banks and a number of their affiliates. The case was subsequently transferred to the U.S. District Court for the Southern District of New York. The complaint alleges, among other things, that the defendants fraudulently and collusively depressed LIBOR, a benchmark interest rate indexed to trillions of dollars of financial products, and asserts claims for antitrust violations, breach of contract, tortious interference with contract, and fraud. Freddie Mac filed an amended complaint in July 2013, and a second amended complaint in October 2014. In August 2015, the District Court dismissed the portion of our claim related to antitrust violations and fraud and we filed a motion for reconsideration. On March 31, 2016, the District Court granted a portion of our motion, finding personal jurisdiction over certain defendants, and denied the portion of our motion with respect to statutes of limitation for our fraud claims. Subsequently, in a related case, the U.S. Court of Appeals for the Second Circuit reversed the District Court's dismissal of certain plaintiffs' antitrust claims and remanded the case to the District Court for consideration of whether, among other things, the plaintiffs are "efficient enforcers" of the antitrust laws. On December 20, 2016, after briefing and argument on the defendants' renewed motions to dismiss on personal jurisdiction and efficient enforcer grounds, the District Court denied defendants' motions in part and granted them in part. The District Court held that Freddie Mac is an efficient enforcer of the antitrust laws, but dismissed on personal jurisdiction grounds Freddie Mac's antitrust claims against all defendants except HSBC USA, N.A. Then, in an order issued February 2, 2017, the District Court effectively dismissed Freddie Mac's remaining antitrust claim against HSBC USA, N.A. At present, Freddie Mac's breach of contract actions against Bank of America, N.A., Barclays Bank, Citibank, N.A., Credit Suisse, Deutsche Bank, Royal Bank of Scotland, and UBS AG are its only claims remaining in the District Court. On February 23, 2018, the Second Circuit reversed the District Court's dismissal of certain plaintiffs' state law fraud and unjust enrichment claims on statutes of limitations grounds. While Freddie Mac was not a party to the appeal, this decision could have the effect of reinstating Freddie Mac's fraud claims against the above-named defendants. The Second Circuit also reversed certain aspects of the District Court's personal jurisdiction rulings and remanded with instructions to allow the named appellant to amend its complaint. The District Court subsequently granted in part Freddie Mac's motion for leave to amend its complaint, and Freddie Mac amended its complaint on April 16, 2019. Litigation Concerning the Purchase Agreement Since July 2013, a number of lawsuits have been filed against us concerning the August 2012 amendment to the Purchase Agreement, which created the net worth sweep dividend provisions of the senior preferred stock. The plaintiffs in the lawsuits allege that they are holders of common stock and/or junior preferred stock issued by Freddie Mac and Fannie Mae. (For purposes of this discussion, junior preferred stock refers to the various series of preferred stock of Freddie Mac and Fannie Mae other than the senior preferred stock issued to Treasury.) It is possible that similar lawsuits will be filed in the future. The lawsuits against us are described below. Litigation in the U.S. District Court for the District of Columbia In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations . This case is the result of the consolidation of three putative class action lawsuits: Cacciapelle and Bareiss vs. Federal National Mortgage Association, Federal Home Loan Mortgage Corporation and FHFA , filed on July 29, 2013; American European Insurance Company vs. Federal National Mortgage Association, Federal Home Loan Mortgage Corporation and FHFA , filed on July 30, 2013; and Marneu Holdings, Co. vs. FHFA, Treasury, Federal National Mortgage Association and Federal Home Loan Mortgage Corporation , filed on September 18, 2013. (The Marneu case was also filed as a shareholder derivative lawsuit.) A consolidated amended complaint was filed in December 2013. In the consolidated amended complaint, plaintiffs allege, among other items, that the August 2012 amendment to the Purchase Agreement breached Freddie Mac's and Fannie Mae's respective contracts with the holders of junior preferred stock and common stock and the covenant of good faith and fair dealing inherent in such contracts. Plaintiffs sought unspecified damages, equitable and injunctive relief, and costs and expenses, including attorney and expert fees. The Cacciapelle and American European Insurance Company lawsuits were filed purportedly on behalf of a class of purchasers of junior preferred stock issued by Freddie Mac or Fannie Mae who held stock prior to, and as of, August 17, 2012. The Marneu lawsuit was filed purportedly on behalf of a class of purchasers of junior preferred stock and purchasers of common stock issued by Freddie Mac or Fannie Mae over a not-yet-defined period of time. Arrowood Indemnity Company vs. Federal National Mortgage Association, Federal Home Loan Mortgage Corporation, FHFA, and Treasury. This case was filed on September 20, 2013. The allegations and demands made by plaintiffs in this case were generally similar to those made by the plaintiffs in the In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations case described above. Plaintiffs in the Arrowood lawsuit also requested that, if injunctive relief were not granted, the Arrowood plaintiffs be awarded damages against the defendants in an amount to be determined including, but not limited to, the aggregate par value of their junior preferred stock, the total of which they stated to be approximately $42 million . American European Insurance Company, Cacciapelle, and Miller vs. Treasury and FHFA. This case was filed as a shareholder derivative lawsuit, purportedly on behalf of Freddie Mac as a "nominal" defendant, on July 30, 2014. The complaint alleged that, through the August 2012 amendment to the Purchase Agreement, Treasury and FHFA breached their respective fiduciary duties to Freddie Mac, causing Freddie Mac to suffer damages. The plaintiffs asked that Freddie Mac be awarded compensatory damages and disgorgement, as well as attorneys' fees, costs, and other expenses. FHFA, joined by Freddie Mac and Fannie Mae, moved to dismiss the In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations case and the other related cases in January 2014. Treasury filed a motion to dismiss the same day. In September 2014, the District Court granted the motions and dismissed the plaintiffs' claims. All plaintiffs appealed that decision, and on February 21, 2017, the U.S. Court of Appeals for the District of Columbia Circuit affirmed in part and remanded in part the decision granting the motions to dismiss. The Court of Appeals affirmed dismissal of all claims except certain claims seeking monetary damages for breach of contract and breach of implied duty of good faith and fair dealing. In March 2017, certain institutional and class plaintiffs filed petitions for panel rehearing with respect to certain claims. On July 17, 2017, the Court of Appeals granted the petitions for rehearing and issued a modified decision, which permitted the institutional plaintiffs to pursue the breach of contract and breach of implied duty of good faith and fair dealing claims that had been remanded. The Court of Appeals also removed language related to the standard to be applied to the implied duty claims, leaving that issue for the District Court to determine on remand. On October 16, 2017, certain institutional and class plaintiffs filed petitions for a writ of certiorari in the U.S. Supreme Court challenging whether HERA's prohibition on injunctive relief against FHFA bars judicial review of the net worth sweep dividend provisions of the August 2012 amendment to the Purchase Agreement, as well as whether HERA bars shareholders from pursuing derivative litigation where they allege the conservator faces a conflict of interest. The Supreme Court denied the petitions on February 20, 2018. On November 1, 2017, certain institutional and class plaintiffs and plaintiffs in another case in which Freddie Mac was not originally a defendant, Fairholme Funds, Inc. v. FHFA, Treasury, and Federal National Mortgage Association , filed proposed amended complaints in the District Court. Each of the proposed amended complaints names Freddie Mac as a defendant for breach of contract and breach of the covenant of good faith and fair dealing claims as well as for new claims alleging breach of fiduciary duty and breach of Virginia corporate law. On January 10, 2018, FHFA, Freddie Mac, and Fannie Mae moved to dismiss the amended complaints. On September 28, 2018, the District Court dismissed all of the claims except those alleging breach of the implied covenant of good faith and fair dealing. Discovery is ongoing. Angel vs. The Federal Home Loan Mortgage Corporation et al. This case was filed pro se on May 21, 2018 against Freddie Mac, Fannie Mae, certain current and former directors of Freddie Mac and Fannie Mae, and FHFA as a nominal defendant. The original complaint alleges, among other things, breach of contract, breach of the implied covenant of good faith and fair dealing, and that defendants aided and abetted the government's "avoidance" of plaintiff's dividend rights. On March 6, 2019, the U.S. District Court for the District of Columbia granted the defendants' motion to dismiss the case. On March 18, 2019, Mr. Angel filed a motion seeking to alter or amend the judgment and for leave to file an amended complaint. On May 24, 2019, the District Court denied Mr. Angel's motion, and on June 19, 2019, Mr. Angel filed a notice of appeal to the U.S. Court of Appeals for the District of Columbia Circuit. Litigation in the U.S. Court of Federal Claims Reid and Fisher vs. the United States of America and Federal Home Loan Mortgage Corporation. This case was filed as a derivative lawsuit, purportedly on behalf of Freddie Mac as a "nominal" defendant, on February 26, 2014. The complaint alleges, among other items, that the net worth sweep dividend provisions of the senior preferred stock constitute an unlawful taking of private property for public use without just compensation. The plaintiffs ask that Freddie Mac be awarded just compensation for the U.S. government's alleged taking of its property, attorneys' fees, costs, and other expenses. On March 8, 2018, the plaintiffs filed an amended complaint under seal, with a redacted copy filed on November 14, 2018. Defendants filed a motion to dismiss on August 1, 2018 and an amended motion to dismiss on October 1, 2018. Fairholme Funds, Inc., et al. vs. the United States of America, Federal National Mortgage Association, and Federal Home Loan Mortgage Corporation. This case was originally filed on July 9, 2013 against the United States of America. On March 8, 2018, plaintiffs filed an amended complaint under seal. A redacted public version was filed on May 11, 2018 and adds Freddie Mac and Fannie Mae as nominal defendants. The amended complaint alleges, among other items, that the net worth sweep dividend provisions of the senior preferred stock constitute an unlawful taking or exaction of private property for public use without just compensation, and that by enacting the net worth sweep, the government breached the fiduciary duty it owed to Freddie Mac and Fannie Mae, and implied-in-fact contracts between the United States on the one hand and Freddie Mac and Fannie Mae on the other. The plaintiffs ask that plaintiffs, Freddie Mac, and Fannie Mae be awarded (1) just compensation for the government's alleged taking or exaction of their property, (2) damages for the government's breach of fiduciary duties, and (3) damages for the government's breach of the alleged implied-in-fact contracts. In addition, plaintiffs seek pre- and post-judgment interest, attorneys' fees, costs, and other expenses. Defendants filed a motion to dismiss on August 1, 2018 and an amended motion to dismiss on October 1, 2018. On December 6, 2019, the Court dismissed the claims plaintiffs labeled as direct claims and denied defendants' motion to dismiss with respect to the claims plaintiffs labeled as derivative. Accordingly, derivative takings, exaction, breach of fiduciary duty, and breach of implied-in-fact contract claims remain. Perry Capital LLC vs. the United States of America, Federal National Mortgage Association, and Federal Home Loan Mortgage Corporation. This case was filed as a derivative lawsuit, purportedly on behalf of Freddie Mac and Fannie Mae as "nominal" defendants, on August 15, 2018. The complaint alleges, among other items, that the net worth sweep dividend provisions of the senior preferred stock constitute an unlawful taking of private property for public use without just compensation or an illegal exaction in violation of the Fifth Amendment, and that by enacting the net worth sweep, the government breached the fiduciary duty it owed to Freddie Mac and Fannie Mae, and implied-in-fact contracts between the United States on the one hand and Freddie Mac and Fannie Mae on the other. The plaintiffs ask that plaintiffs, Freddie Mac, and Fannie Mae be awarded just compensation for the government's alleged taking of their property or damages for the illegal exaction; damages for the government's breach of fiduciary duties; and damages for the government's breach of the alleged implied-in-fact contracts. The proceedings have been stayed pending a ruling on defendants' motion to dismiss in the Fairholme Funds, Inc. litigation. At present, it is not possible for us to predict the probable outcome of the lawsuits discussed above in the U.S. District Courts and the U.S. Court of Federal Claims (including the outcome of any appeal) or any potential effect on our business, financial condition, liquidity, or results of operations. In addition, we are unable to reasonably estimate the possible loss or range of possible loss in the event of an adverse judgment in the foregoing matters due to a number of factors, including the inherent uncertainty of pre-trial litigation. In addition, with respect to the In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations case, the plaintiffs have not demanded a stated amount of damages they believe are due, and the Court has not certified a class. |
Regulatory Capital
Regulatory Capital | 12 Months Ended |
Dec. 31, 2019 | |
Mortgage Banking [Abstract] | |
REGULATORY CAPITAL | Regulatory Capital In October 2008, FHFA announced that it was suspending capital classification of us during conservatorship in light of the Purchase Agreement. FHFA continues to monitor our capital levels, but the existing statutory and FHFA regulatory capital requirements are not binding during conservatorship. We continue to provide quarterly submissions to FHFA on minimum capital. During 2017, we and Fannie Mae worked with FHFA to develop an overall risk measurement framework for evaluating our risk management and business decisions during conservatorship, known as the CCF. We are required to submit quarterly reports to FHFA related to CCF requirements. Regulatory Capital Standards The GSE Act established minimum, critical, and risk-based capital standards for us. However, per guidance received from FHFA, we no longer are required to submit risk-based capital reports to FHFA. Prior to our entry into conservatorship, those standards determined the amounts of core capital that we were to maintain to meet regulatory capital requirements. Core capital consisted of the par value of outstanding common stock (common stock issued less common stock held in treasury), the par or stated value of outstanding non-cumulative, perpetual preferred stock, additional paid-in capital, and retained earnings (accumulated deficit), as determined in accordance with GAAP. Minimum Capital The minimum capital standard required us to hold an amount of core capital that was generally equal to the sum of 2.50% of aggregate on-balance sheet assets and approximately 0.45% of the sum of our guaranteed securities held by third parties and other aggregate off-balance sheet obligations. Pursuant to regulatory guidance from FHFA, our minimum capital requirement was not affected by adoption of amendments to the accounting guidance for transfers of financial assets and consolidation of VIEs effective January 1, 2010. Specifically, upon adoption of these amendments, FHFA directed us, for purposes of minimum capital, to continue reporting guaranteed securities held by third parties using a 0.45% capital requirement. FHFA reserves the authority under the GSE Act to raise the minimum capital requirement for any of our assets or activities. Critical Capital The critical capital standard required us to hold an amount of core capital that was generally equal to the sum of 1.25% of aggregate on-balance sheet assets and approximately 0.25% of the sum of our guaranteed securities held by third parties and other aggregate off-balance sheet obligations. Performance Against Regulatory Capital Standards The table below summarizes our minimum capital requirements and deficits and net worth. Table 17.1 - Net Worth and Minimum Capital (In millions) December 31, 2019 December 31, 2018 GAAP net worth (deficit) $9,122 $4,477 Core capital (deficit) (1)(2) (63,964 ) (68,036 ) Less: Minimum capital requirement (1) 19,123 17,553 Minimum capital surplus (deficit) (1) ($83,087 ) ($85,589 ) (1) Core capital and minimum capital figures are estimates and represent amounts submitted to FHFA. FHFA is the authoritative source for our regulatory capital. (2) Core capital excludes certain components of GAAP total equity (i.e., AOCI and the liquidation preference of the senior preferred stock) as these items do not meet the statutory definition of core capital. The Purchase Agreement provides that, if FHFA determines as of quarter end that our liabilities have exceeded our assets under GAAP, Treasury will contribute funds to us in an amount at least equal to the difference between such liabilities and assets. Under the GSE Act, FHFA must place us into receivership if FHFA determines that our assets are and have been less than our obligations for a period of 60 days . FHFA has notified us that the measurement period for any mandatory receivership determination with respect to our assets and obligations would commence no earlier than the SEC public filing deadline for our quarterly or annual financial statements and would continue for 60 calendar days after that date. FHFA has advised us that, if, during that 60-day period, we receive funds from Treasury in an amount at least equal to the deficiency amount under the Purchase Agreement, the Director of FHFA will not make a mandatory receivership determination. If funding has been requested under the Purchase Agreement to address a deficit in our net worth, and Treasury is unable to provide us with such funding within the 60-day period specified by FHFA, FHFA would be required to place us into receivership if our assets remain less than our obligations during that 60-day period. At December 31, 2019 , our assets exceeded our liabilities under GAAP; therefore, no draw is being requested from Treasury under the Purchase Agreement. As of December 31, 2019 , our aggregate funding received from Treasury under the Purchase Agreement was $71.6 billion . This aggregate funding amount does not include the initial $1.0 billion liquidation preference of senior preferred stock that we issued to Treasury in September 2008 as an initial commitment fee and for which no cash was received, the additional $3.0 billion increase in the liquidation preference pursuant to the December 2017 Letter Agreement, nor the increases in liquidation preference pursuant to the September 2019 Letter Agreement that are not draw-related. |
Selected Financial Statement Li
Selected Financial Statement Line Items | 12 Months Ended |
Dec. 31, 2019 | |
Selected Financial Statement Data [Abstract] | |
Selected Financial Statement Line Items | Selected Financial Statement Line Items The table below presents the significant components of other income (loss) on our consolidated statements of comprehensive income (loss). Table 18.1 - Significant Components of Other Income (Loss) Year Ended December 31, (In millions) 2019 2018 2017 Other income (loss): Non-agency mortgage-related securities settlement and judgment $26 $338 $4,532 All other 297 424 452 Total other income (loss) $323 $762 $4,984 The table below presents the significant components of investment gains (losses), net on our consolidated statements of comprehensive income (loss). Table 18.2 - Significant Components of Investment Gains (Losses), Net Year Ended December 31, (In millions) 2019 2018 2017 Investment gains (losses), net: Mortgage loans gains (losses) $4,744 $746 $2,062 Investment securities gains (losses) 389 (815 ) 935 Debt gains (losses) 201 720 151 Derivative gains (losses) (4,516 ) 1,270 (1,988 ) Investment gains (losses), net $818 $1,921 $1,160 The table below presents the significant components of other assets and other liabilities on our consolidated balance sheets. Table 18.3 - Significant Components of Other Assets and Other Liabilities As of December 31, (In millions) 2019 2018 Other assets: Real estate owned, net $555 $769 Accounts and other receivables (1) 10,780 2,447 Guarantee asset 4,426 3,633 Secured lending and other 5,158 1,805 All other 1,880 2,322 Total other assets $22,799 $10,976 Other liabilities: Guarantee obligation $4,292 $3,561 All other 3,750 2,837 Total other liabilities $8,042 $6,398 (1) Primarily consists of servicer receivables and other non-interest receivables. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2019 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The accompanying consolidated financial statements have been prepared in accordance with GAAP and include our accounts as well as the accounts of other entities in which we have a controlling financial interest. All intercompany balances and transactions have been eliminated. We are operating under the basis that we will realize assets and satisfy liabilities in the normal course of business as a going concern and in accordance with the authority provided by FHFA to our Board of Directors to oversee management's conduct of our business operations. We have reclassified certain amounts in our prior periods' consolidated financial statements to conform to the current presentation as follows: n Credit enhancement expense, which represents expenses incurred from freestanding credit enhancements, has been presented as a separate line item within non-interest expense, as the volume of freestanding credit enhancements has increased and become a more significant driver of our results of operations. In prior periods, freestanding credit enhancement expenses were recorded in other expenses; n Mortgage loans gains (losses), investment securities gains (losses), debt gains (losses), and derivative gains (losses) have been aggregated and presented as a single amount, investment gains (losses), net, to more clearly show the net effect of these activities on our results of operations, as certain gains and losses on our assets and debt are generally offset by certain gains and losses on the derivatives we use to hedge them. In prior periods, these amounts were shown separately as individual line items, and we continue to present the detail of each individual line item in Note 18 ; and n Certain other immaterial amounts have been reclassified between other income and guarantee fee income and other income and investment gains (losses), net to better align these amounts with the business drivers of the activity. These reclassifications did not have a material impact on our financial condition or results of operations. We evaluate the materiality of identified errors in the financial statements using both an income statement, or "rollover," and a balance sheet, or "iron curtain," approach, based on relevant quantitative and qualitative factors. The financial statements include certain adjustments to correct immaterial errors related to previously reported periods. |
Use of Estimates | Use of Estimates The preparation of financial statements requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues, expenses, gains, and losses during the reporting period. Management has made significant estimates in preparing the financial statements for establishing the allowance for credit losses and valuing financial instruments and other assets and liabilities. Actual results could be different from these estimates. |
Consolidation and Equity Method of Accounting | Consolidation and Equity Method Accounting For each entity with which we are involved, we determine whether the entity should be consolidated in our financial statements. We generally consolidate entities in which we have a controlling financial interest. The method for determining whether a controlling financial interest exists varies depending on whether the entity is a VIE. For entities that are not VIEs, we hold a controlling financial interest in entities where we hold a majority of the voting rights or a majority of a limited partnership's kick-out rights through voting interests. We do not currently consolidate any entities which are not VIEs. We use the equity method to account for our interests in entities in which we do not have a controlling financial interest, but over which we have significant influence. |
Cash and Cash Equivalents | Cash and Cash Equivalents |
Restricted Cash and Cash Equivalents | Cash collateral accepted from counterparties that we do not have the right to use for general corporate purposes is classified as restricted cash and cash equivalents on our consolidated balance sheets. Restricted cash and cash equivalents include cash remittances received from servicers of the underlying assets of our consolidated trusts which are deposited into a separate custodial account. We invest the cash held in the custodial account in short-term investments and are entitled to the interest income earned on these short-term investments, which is recorded as interest income, other on our consolidated statements of comprehensive income. |
Comprehensive Income | Comprehensive Income Comprehensive income includes all changes in equity during a period, except those resulting from investments by stockholders. We define comprehensive income as consisting of net income (loss) plus after-tax changes in: n Unrealized gains and losses on available-for-sale securities; n Unrealized gains and losses related to cash flow hedge relationships; and n Defined benefit plans. |
Recently Adopted or Issued Accounting Guidance | Recently Issued Accounting Guidance Recently Adopted Accounting Guidance Standard Description Date of Adoption Effect on Consolidated Financial Statements ASU 2016-02 , Leases (Topic 842) The amendment in this Update addresses the accounting for lease arrangements. January 1, 2019 The adoption of the amendment did not have a material effect on our consolidated financial statements or on our disclosures. ASU 2018-16 , Derivatives and Hedging (Topic 815): Inclusion of the Secured Overnight Financing Rate (SOFR) Overnight Index Swap (OIS) Rate as a Benchmark Interest Rate for Hedge Accounting Purpose The amendments in this Update permit the OIS rate based on SOFR, as an eligible U.S. benchmark interest rate for purposes of applying hedge accounting under Topic 815. January 1, 2019 The adoption of the amendments did not have a material effect on our consolidated financial statements or on our disclosures. ASU 2018-20 , Leases (Topic 842): Narrow-Scope Improvements for Lessors The amendments in this Update address certain ASU 2016-02 implementation issues including the recognition of taxes collected from lessees, lessor costs paid directly by a lessee, and recognition of variable payments for contracts with lease and non-lease components. January 1, 2019 The adoption of the amendments did not have a material effect on our consolidated financial statements or on our disclosures. Recently Issued Accounting Guidance, Not Yet Adopted Within Our Consolidated Financial Statements Standard Description Date of Planned Adoption Effect on Consolidated Financial Statements ASU 2016-13 , Financial Instruments—Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments The amendments in this Update replace the incurred loss impairment methodology in current GAAP with a methodology that reflects lifetime expected credit losses and requires consideration of a broader range of reasonable and supportable information to inform credit loss estimates. January 1, 2020 We have developed our models to estimate lifetime expected credit losses on our financial instruments measured at amortized cost primarily using a discounted cash flow methodology. We used these models to execute our process for estimating the allowance for credit losses under the new standard in parallel with our existing process for estimating the allowance for credit losses based on incurred losses and have developed an appropriate governance process for our estimate of expected credit losses under the new standard. The amendments will be applied through a cumulative effect adjustment to retained earnings as of January 1, 2020. Based on the composition of our portfolio as of January 1, 2020 and the economic conditions and forecasts at that time, we expect the transition impact to result in a decrease in retained earnings of $0.2 billion. The increase in the allowance for credit losses from incorporating lifetime losses is generally offset by recoveries and a positive impact from including forecasts of economic conditions. Recently Issued Accounting Guidance, Not Yet Adopted Within Our Consolidated Financial Statements Standard Description Date of Planned Adoption Effect on Consolidated Financial Statements ASU 2018-13 , Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement The amendments in this Update modify the disclosure requirements on fair value measurements in Topic 820, Fair Value Measurements, based on the concepts in the Concepts Statement, including the consideration of costs and benefits. Certain disclosure requirements were either removed, modified, or added. January 1, 2020 On October 1, 2018, we early adopted the amendments to remove or modify certain disclosures, which did not have a material effect on our consolidated financial statements. We are delaying adoption of the amendments to add certain disclosures until their effective date. We do not expect that the adoption of the additional disclosures will have a material effect on our consolidated financial statements. ASU 2018-15 , Intangibles - Goodwill and Other - Internal-Use Software (Subtopic 350-40): Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement That Is a Service Contract The amendments in this Update align the requirements for capitalizing implementation costs incurred in a hosting arrangement that is a service contract with the requirements for capitalizing implementation costs incurred to develop or obtain internal-use software (and hosting arrangements that include an internal-use software license). January 1, 2020 We do not expect that the adoption of these amendments will have a material effect on our consolidated financial statements. ASU 2018-17 , Consolidation (Topic 810): Targeted Improvements to Related Party Guidance for Variable Interest Entities The amendments in this Update require that indirect interests held through related parties under common control be considered on a proportional basis when determining whether fees paid to decision makers or service providers are variable interests. These amendments align with the determination of whether a reporting entity within a related party group is the primary beneficiary of a VIE. January 1, 2020 We do not expect that the adoption of these amendments will have a material effect on our consolidated financial statements. ASU 2019-01 , Leases (Topic 842): Narrow-Scope Improvements for Lessors The amendments in this Update provide guidance for the: (1) lessor's fair value determination of the lease's underlying asset; (2) lessor's statement of cash flows presentation of cash received from sales-type and direct financing leases; and (3) removal of interim transition disclosure requirements related to changes in accounting principles. January 1, 2020 We do not expect that the adoption of these amendments will have a material effect on our consolidated financial statements. ASU 2019-04 , Codification Improvements to Financial Instruments - Credit Losses (Topic 326), Derivatives and Hedging (Topic 815), and Financial Instruments (Topic 825 The amendments in this Update clarify certain aspects of Topic 326 guidance issued in ASU 2016-13 including the scope of the credit losses standard and issues related to accrued interest receivable balances, recoveries, variable interest rates and prepayments. The other amendments in this update clarify certain aspects of Topic 815 and Topic 825. January 1, 2020 The impact of adopting the Topic 326 amendments is included with the impact of adoption of ASU 2016-13. We do not expect that the adoption of these amendments will have a material effect on our consolidated financial statements. ASU 2019-05 , Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instrument The amendments in this Update provide entities with transition relief upon the adoption of ASU 2016-13 by providing an option to elect the fair value option on certain financial instruments measured at amortized cost. January 1, 2020 We do not expect to elect the fair value option for any financial instruments upon adoption of ASU 2016-13. ASU 2019-11 , Codification Improvements to Financial Instruments - Credit Losses (Topic 326) The amendments in this Update clarify certain aspects of Topic 326 guidance issued in ASU 2016-13 including guidance providing transition relief for TDRs. January 1, 2020 The impact of adopting these amendments is included with the impact of adoption of ASU 2016-13. ASU 2019-12 , Income Taxes (Topic 740): Simplifying the Accounting for Income Taxes The amendments in this Update simplify the accounting for income taxes by removing certain exceptions for investments, intraperiod allocations, and interim calculations, and add guidance to reduce the complexity of applying Topic 740. January 1, 2021 We do not expect that the adoption of these amendments will have a material effect on our consolidated financial statements. |
Consolidation, Variable Interest Entity, Policy | Securitization Activities and Consolidation Our primary business activities in our Single-family Guarantee and Multifamily segments involve the securitization of loans or other mortgage-related assets using trusts that are VIEs. These trusts issue beneficial interests in the loans or other mortgage-related assets that they own. We guarantee the principal and interest payments on some or all of the issued beneficial interests in substantially all of our securitization transactions. See Note 5 for additional information on our guarantee activities. We also use trusts that are VIEs in certain single-family credit risk transfer products. We consolidate VIEs when we have a controlling financial interest in the VIE and are therefore considered the primary beneficiary of the VIE. We are the primary beneficiary of a VIE when we have both the power to direct the activities of the VIE that most significantly impact its economic performance and exposure to losses or benefits of the VIE that could potentially be significant to the VIE. We evaluate whether we are the primary beneficiary of VIEs in which we have interests on an ongoing basis, and our primary beneficiary determination may change over time as our interest in the VIE changes. In SB Certificate transactions, we securitize multifamily small balance loans using a non-Freddie Mac SB Certificate trust that issues senior classes of securities that we guarantee, as well as subordinated classes of securities that we do not guarantee. Similar to our K Certificate transactions, we are not the primary beneficiary of and, therefore, do not consolidate our SB Certificate trusts, as we do not have the ability to direct loss mitigation activities of the underlying loans, which is the most significant activity affecting the economic performance of the VIE. Resecuritization Products We create resecuritization products primarily by using Level 1 Securitization Products or our previously issued resecuritization products (or similar TBA-eligible products issued and guaranteed by Fannie Mae) as the underlying collateral. In a typical resecuritization transaction, previously issued Level 1 Securitization Products or resecuritization products are transferred to a resecuritization trust that issues beneficial interests in the underlying collateral. We establish parameters that define eligibility standards for assets that may be used as collateral for each of our resecuritization programs. Resecuritization products can then be created based on the parameters that we have established. Similar to our Level 1 Securitization Products, we guarantee the full payment of principal and interest to the investors in our resecuritization products. However, because we (or Fannie Mae) have already guaranteed the underlying assets, we do not assume any incremental credit risk by issuing these securities. Upon implementation of Release 2 of the CSP and the Singe Security Initiative, we have the ability to commingle TBA-eligible Fannie Mae collateral in certain of our resecuritization products. When we resecuritize Fannie Mae securities in our commingled resecuritization products, our guarantee covers timely payment of principal and interest on such products from underlying Fannie Mae securities. If Fannie Mae were to fail to make a payment on a Fannie Mae security that we resecuritized, we would be responsible for making the payment. We do not charge an incremental guarantee fee to commingle Fannie Mae collateral in resecuritization transactions. The main types of resecuritization products we create are single-class resecuritization products (Supers, Giant MBS, and Giant PCs) and multiclass resecuritization products (REMICs and Strips). n Single-class resecuritization products - These securities are direct pass-throughs of the cash flows of the underlying collateral, which may be previously issued Level 1 Securitization Products or single-class resecuritization products (or similar TBA-eligible products issued and guaranteed by Fannie Mae). We do not consolidate these securities as their resecuritization does not result in any new or incremental risk to the holders of the securities issued by the resecuritization trust and because we are not exposed to any incremental rights to receive benefits or obligations to absorb losses that could be significant to the resecuritization trust. When we purchase a multiclass resecuritization product as an investment in our mortgage-related investments portfolio, we generally record the security as an investment in debt securities rather than extinguishment of debt since we are generally investing in the debt securities of a non-consolidated entity. We do not consolidate multiclass resecuritization trusts in which we hold variable interests, as we are not deemed to be the primary beneficiary of the trusts, unless we have the unilateral ability to collapse the trust. Similarly, sales of multiclass resecuritization products previously held as investments in our mortgage-related investments portfolio are accounted for as sales of investments in debt securities. See Note 7 for additional information on accounting for investments in debt securities. Multiclass resecuritization products - These securities are multiclass resecuritizations of the cash flows of the underlying collateral, which may be previously issued Level 1 Securitization Products, single-class resecuritization products, or multiclass resecuritization products (or similar TBA-eligible products issued and guaranteed by Fannie Mae). The activity that most significantly impacts the economic performance of our multiclass resecuritization trusts is typically the initial design and structuring of the trust. Substantially all multiclass resecuritization trusts are created as part of customer-driven transactions in which an investor or dealer participates in the decisions made during the design and establishment of the trust. As a result, we do not have the unilateral ability to direct the activities of our multiclass resecuritization trusts that most significantly impact the economic performance of those trusts. In addition, unless we retain a portion of the issued multiclass resecuritization products, we do not have the right to receive benefits or the obligation to absorb losses that could potentially be significant to the trusts because we have already provided a guarantee on the underlying assets. As a result, we have concluded that we are not the primary beneficiary of our multiclass resecuritization trusts and, therefore, do not consolidate those trusts. STACR Trust Notes Other Securitization Products We are the primary beneficiary of and, therefore, consolidate the trusts used to issue certain of our other securitization products because we have the ability to direct the activities that most significantly affect the economic performance of the trusts and we have the obligation to absorb credit losses through our guarantee of some or all of the issued securities. As a result, we consolidated trusts used in these other securitization products with underlying assets totaling $8.7 billion and $7.2 billion at December 31, 2019 and December 31, 2018 , respectively. Senior Subordinate Securitization Structures We are the primary beneficiary of and, therefore, consolidate our single-family senior subordinate securitization structures backed by recently originated loans because we have both the ability to direct the loss mitigation activities of the underlying loans and the obligation to absorb credit losses through our guarantee of the issued senior securities. As a result, we consolidated the trusts used in these senior subordinate securitization structures with underlying assets totaling $19.9 billion and $26.1 billion , at December 31, 2019 and December 31, 2018 , respectively. We do not consolidate our single-family senior subordinate securitization structures backed by seasoned loans because we do not have the ability to direct the loss mitigation activities of the underlying loans, which is the most significant activity affecting the economic performance of the VIE. For those securitizations that we do not consolidate where we sell loans to the VIE, we derecognize the transferred loans and account for our guarantee to the non-consolidated VIE. We account for our investments in the beneficial interests issued by the non-consolidated VIE as investments in debt securities. During 2019 and 2018 , we issued approximately $11.2 billion and $8.4 billion , respectively, of guaranteed securities in these senior subordinate securitization structures for which a guarantee asset and guarantee obligation were generally recognized. Other Securitization Products We are the primary beneficiary of and, therefore, consolidate the trusts used to issue our single-family other securitization products when we have the ability to direct the activities that most significantly affect the economic performance of the trusts and we have the obligation to absorb credit losses through our guarantee of some or all of the issued securities. As a result, we consolidated trusts used to issue these products with underlying assets totaling $2.8 billion and $3.4 billion at December 31, 2019 and December 31, 2018 , respectively. We do not consolidate the trusts used to issue our single-family other securitization products that do not meet these conditions. We have not entered into single-family other securitization products in several years. Multifamily K Certificates In a K Certificate transaction, we sell multifamily loans to a non-Freddie Mac securitization trust that issues senior, mezzanine, and subordinate securities, and simultaneously purchase and place the senior securities into a Freddie Mac securitization trust that issues guaranteed K Certificates. In these transactions, we guarantee the senior securities issued by the Freddie Mac securitization trust and do not issue or guarantee the mezzanine or subordinate securities issued by the non-Freddie Mac securitization trust. We receive a guarantee fee in exchange for our guarantee. We serve as guarantor of our K Certificate trusts and, from time to time, as master servicer. However, in contrast to single-family transactions, the rights to direct loss mitigation activities of the underlying loans and to purchase delinquent loans from the securitization trust are generally held by the investor in the most subordinate remaining securities issued by the non-Freddie Mac trust, and therefore we do not have any power to direct those activities unless we are the investor in the most subordinate remaining securities. The economic performance of our K Certificate trusts is most significantly affected by the performance of the underlying loans. Because our rights in a K Certificate transaction do not provide us with the power to direct the activities that most significantly affect the performance of the underlying loans and we do not hold the most subordinate remaining securities, we are not the primary beneficiary of our K Certificate trusts and, therefore, do not consolidate those trusts. Consolidated VIEs We consolidated the VIEs for which we are the primary beneficiary as discussed above. Our exposure on debt securities of consolidated trusts represents our liability to third parties that hold beneficial interests in our consolidated securitization trusts. When we consolidate a VIE, we recognize the assets and liabilities of the VIE on our consolidated balance sheets and account for those assets and liabilities based on the applicable GAAP for each specific type of asset or liability. Assets and liabilities that we transfer to a VIE at, after or shortly before the date we become the primary beneficiary of the VIE are initially measured at the same amounts that they would have been measured if they had not been transferred, and no gain or loss is recognized on these transfers. For all other VIEs that we consolidate, we recognize the assets and liabilities of the VIE at fair value, and we recognize a gain or loss for the difference between: n The sum of the fair value of the consideration paid, the fair value of any noncontrolling interests, and the reported amount of any previously held interests and n The net fair value of the assets and liabilities recognized. Guarantees to consolidated VIEs are eliminated in consolidation and are therefore not separately recognized on our consolidated balance sheets. We also obtain interests in various other VIEs created by third parties through the normal course of business, such as through our investments in certain non-Freddie Mac mortgage-related securities, purchases of multifamily loans, guarantees of multifamily housing revenue bonds, as a derivative counterparty or through other activities. To the extent that we were not involved in the design or creation of these VIEs, they are excluded from the table above. Our interests in these VIEs are generally passive in nature and are not expected to result in us obtaining a controlling financial interest in these VIEs in the future. As a result, we do not consolidate these VIEs and we account for our interests in these VIEs in the same manner that we account for our interests in other third-party transactions. See Note 7 for additional information regarding our investments in non-Freddie Mac mortgage-related securities. See Note 4 for more information regarding multifamily loans. |
Transfers and Servicing of Financial Assets, Policy | Loans held by these trusts are recognized on our consolidated balance sheets as mortgage loans held-for-investment. The corresponding securities held by third parties are recognized on our consolidated balance sheets as debt, net. We extinguish the outstanding debt securities of the related consolidated trust and recognize gains or losses on debt extinguishment for the difference between the consideration paid and the debt carrying value when we purchase these securities as investments in our mortgage-related investments portfolio. Sales of these securities that were previously held as investments in our mortgage-related investments portfolio are accounted for as debt issuances. Upon implementation of the Single Security Initiative in June 2019, we began offering an optional exchange program for security holders to exchange certain existing 45-day payment delay PCs for corresponding UMBS and other applicable 55-day payment delay Freddie Mac securities. We make a one-time payment to exchanging security holders for the value of the 10 additional days of payment delay based on float compensation rates we calculate. When existing PCs are exchanged for UMBS or 55-day MBS under our exchange program, we account for the exchange as a debt modification, as the terms of the securities are not substantially different and the exchange does not result in a change in the creditor. The float compensation we pay in conjunction with the exchange is deferred as a basis adjustment to the debt and amortized into interest expense over the remaining life of the debt. See Note 4 and Note 8 for additional information on loans and debt securities of consolidated trusts. When we sell loans to a K Certificate trust, we derecognize the transferred loans and account for our guarantee to the non-consolidated K Certificate trust. We account for our investments in the beneficial interests issued by non-consolidated K Certificate trusts as investments in debt securities. In a typical SB Certificate transaction, we sell loans to a SB Certificate trust, derecognize the transferred loans and account for our guarantee to the non-consolidated SB Certificate trust. We account for our investments in the beneficial interests issued by non-consolidated SB Certificate trusts as investments in debt securities. |
Revenue from Contract with Customer | Because we (or Fannie Mae) have already guaranteed the underlying assets, we do not receive any incremental guarantee fees in exchange for our guarantee, and, accordingly, we do not recognize any additional guarantee assets, guarantee obligations or reserves for guarantee losses related to multiclass resecuritization trusts. Instead, we receive a one-time transaction fee which represents compensation for both the structuring and creation of the securities and for our ongoing administrative responsibilities to service the securities. We recognize the portion of the transaction fee related to creation of the securities immediately in earnings. We defer the portion of the fee related to ongoing administrative responsibilities and amortize it over the life of the associated trust. |
Mortgage Loans | We own both single-family loans, which are secured by one to four unit residential properties, and multifamily loans, which are secured by properties with five or more residential rental units. Our single-family loans are predominantly first lien, fixed-rate loans secured by the borrower's primary residence. Upon acquisition, we classify a loan as either held-for-investment or held-for-sale. Loans that we have the ability and intent to hold for the foreseeable future are classified as held-for-investment. Loans that we intend to securitize using an entity we will consolidate are classified as held-for-investment both prior to and subsequent to their securitization. Otherwise, they will be classified as held-for-sale. Held-for-investment loans are reported on our consolidated balance sheets at their outstanding UPB, net of deferred fees and other cost basis adjustments (including unamortized premiums and discounts, upfront fees, commitment-related derivative basis adjustments, and other pricing adjustments). Loans not classified as held-for-investment are classified as held-for-sale. Held-for-sale loans are reported at lower-of-cost-or-fair-value on our consolidated balance sheets, unless the fair value option is elected. Any excess of a held-for-sale loan's cost over its fair value is recognized as a valuation allowance in investment gains (losses), net on our consolidated statements of comprehensive income, with changes in this valuation allowance also being recorded in investment gains (losses), net. Premiums, discounts, and other cost basis adjustments (including lower-of-cost-or-fair-value adjustments) on single-family loans classified as held-for-sale are deferred and not amortized. We elected the fair value option for certain multifamily loans that we intend to securitize and sell to investors. Therefore, these multifamily loans are measured at fair value on a recurring basis, with subsequent gains or losses related to changes in fair value reported in investment gains (losses), net on our consolidated statements of comprehensive income. Cash flows related to loans originally classified as held-for-investment are classified as either investing activities (e.g., principal repayments) or operating activities (e.g., interest payments received from borrowers included within net income (loss)). Cash flows related to loans originally classified as held-for-sale are classified as operating activities. We have the option to purchase specified loans, including certain delinquent loans, from consolidated trusts at a purchase price equal to the current UPB of the loan, less any outstanding advances of principal that have been previously distributed. However, in order to maintain alignment with Fannie Mae under the Single Security Initiative, FHFA requires us to purchase loans out of consolidated trusts if they are delinquent for 120 days, and we have the option to purchase sooner under certain circumstances (e.g. imminent default and seller breaches of representations and warranties). Our practice generally has been to purchase loans from consolidated trusts when the loans have been delinquent for 120 days or more. |
Loans and Leases Receivable, Allowance for Loan Losses Policy | Allowance for Credit Losses The allowance for credit losses represents estimates of probable incurred credit losses which we recognize by recording a charge to the provision for credit losses on our consolidated statements of comprehensive income. The allowance for credit losses includes: n Our allowance for loan losses, which pertains to all single-family and multifamily loans classified as held-for-investment on our consolidated balance sheets and n Our reserve for guarantee losses, which pertains to our guarantees to unconsolidated securitization trusts and other mortgage-related guarantees. A significant number of unsecuritized single-family loans on our consolidated balance sheets include seriously delinquent and TDR loans that we previously purchased from consolidated trusts. These seriously delinquent and TDR loans historically have a higher associated allowance for loan losses than loans that remain in consolidated trusts. |
Non-Accrual Loans | We recognize interest income on an accrual basis except when we believe the collection of principal and interest in full is not reasonably assured, which generally occurs when a loan is three monthly payments or more past due, unless the loan is well secured and in the process of collection based upon an individual loan assessment. A loan is considered past due if a full payment of principal and interest is not received within one month of its due date. Cost basis adjustments on held-for-investment loans are amortized into interest income over the contractual lives of the loans using the effective interest method. A non-accrual loan may be returned to accrual status when the collectability of principal and interest in full is reasonably assured. For single-family loans, we determine that collectability is reasonably assured generally when the loan has become current. For multifamily loans, the collectability of principal and interest is considered reasonably assured based on an analysis of the factors specific to the loan being assessed. Upon a loan's return to accrual status, all previously reversed interest income is recognized and amortization of any basis adjustments into interest income is resumed. |
Impaired Loans | Multifamily Loans Multifamily impaired loans include TDRs, loans three monthly payments or more past due, and loans that are deemed impaired based on management judgment. Factors considered by management in determining whether a loan is impaired include the underlying property's operating performance as represented by its current DSCR, available credit enhancements, current LTV ratio, management of the underlying property, and the property's geographic location. Multifamily loans are generally measured individually for impairment based on the fair value of the underlying collateral, as reduced by estimated disposition costs, as the repayment of these loans is generally provided from the cash flows of the underlying collateral and any associated credit enhancement. Except for cases of fraud and certain other types of borrower defaults, most multifamily loans are non-recourse to the borrower. As a result, the cash flows of the underlying property (including any associated credit enhancements) serve as the source of funds for repayment of the loan. Interest income recognition on multifamily impaired loans is subject to our non-accrual policy as discussed in Interest Income above. |
Troubled Debt Restructurings | Troubled Debt Restructurings A modification to the contractual terms of a loan that results in granting a concession to a borrower experiencing financial difficulties is considered a TDR. A concession is deemed granted when, as a result of the restructuring, we do not expect to collect all amounts due, including interest accrued, at the original contractual interest rate. As appropriate, we also consider other qualitative factors in determining whether a concession is deemed granted, including whether the borrower's modified interest rate is consistent with that of a non-troubled borrower. We do not consider restructurings that result in an insignificant delay in payment to be a concession. We generally consider a delay in monthly amortizing payments of three months or less to be insignificant. A concession typically includes one or more of the following being granted to the borrower: n A trial period where the expected permanent modification will change our expectation of collecting all amounts due at the original contract rate; n A delay in payment that is more than insignificant; n A reduction in the contractual interest rate; n Interest forbearance for a period of time that is more than insignificant or forgiveness of accrued but uncollected interest amounts; n Principal forbearance that is more than insignificant; and n Discharge of the borrower's obligation in Chapter 7 bankruptcy. Single-Family Loans Impairment of a single-family loan having undergone a TDR is generally measured as the excess of our recorded investment in the loan over the present value of the expected future cash flows, discounted at the loan's effective interest rate for fixed-rate loans, or at the loan's effective interest rate prior to the restructuring for ARM loans. Our expectation of future cash flows incorporates, among other items, an estimated probability of default which is based on a number of market factors as well as the characteristics of the loan, such as past due status. Subsequent to the restructuring date, interest income is recognized at the modified interest rate, subject to our non-accrual policy as discussed in Interest Income above, with all other changes in the present value of expected future cash flows being recognized as a component of the provision for credit losses on our consolidated statements of comprehensive income. If we determine that foreclosure on the underlying collateral is probable, we measure impairment based upon the fair value of the collateral, as reduced by estimated disposition costs and adjusted for estimated proceeds from primary mortgage insurance and similar sources. The assessment as to whether a multifamily loan restructuring is considered a TDR contemplates the unique facts and circumstances of each loan. This assessment considers qualitative factors such as whether the borrower's modified interest rate is consistent with that of a non-troubled borrower having a similar credit profile at the time of modification. In certain cases, for maturing loans we may provide short-term loan extensions of up to one year with no changes to the effective borrowing rate. In other cases, we may make more significant modifications of terms for borrowers experiencing financial difficulty, such as reducing the interest rate, extending the maturity for longer than one year, providing principal forbearance, or some combination of these terms. |
Loan reclassifications charge off policy change | The new policy election did not affect our net income; however, it affected where the loan reclassifications from held-for-investment to held-for-sale were recorded on our consolidated statements of comprehensive income. Prior to the policy change, upon a loan reclassification from held-for-investment to held-for-sale, we reversed the related allowance for loan losses to the benefit (provision) for credit losses, recorded a valuation allowance for any difference between the loan's recorded investment and its fair value to investment gains (losses). Under the new policy, benefit (provision) for credit losses is the only line item affected when a transfer occurs. |
Guarantees, Indemnifications and Warranties Policies | Guarantee Activities We generate revenue through our guarantee activities by agreeing to absorb the credit risk associated with certain financial instruments that are owned or held by third parties. In exchange for providing this guarantee, we receive an ongoing guarantee fee that is commensurate with the risks assumed and that will, over the long-term, provide us with cash flows that are expected to exceed the credit-related and administrative expenses of the underlying financial instruments. The profitability of our guarantee activities may vary and will be dependent on our guarantee fee and the actual credit performance of the underlying financial instruments that we have guaranteed. Guarantees to consolidated entities are eliminated in consolidation and therefore are not separately recognized on our consolidated balance sheets. The accounting treatment for guarantees provided to non-consolidated entities or other third parties will depend on whether the guarantee contract qualifies as a financial guarantee. If the guarantee contract qualifies as a financial guarantee and exposes us to incremental credit risk, we will recognize both a guarantee obligation at fair value and the consideration we receive for providing the guarantee, which typically consists of a guarantee asset that represents the fair value of future guarantee fees. As a practical expedient, the measurement of the fair value of the guarantee obligation is set equal to the consideration we receive to provide the guarantee, and no gain or loss is recognized upon issuance of the guarantee. Subsequently, we recognize changes in the fair value of the guarantee asset in current period earnings and amortize the guarantee obligation into earnings as we are released from risk under the guarantee. We also recognize a reserve for guarantee losses when it is probable that a loss has been incurred under the guarantee. If the guarantee contract provided to non-consolidated entities does not qualify as a financial guarantee, that contract will generally be accounted for as a derivative and measured at fair value on our consolidated financial statements. |
Credit Enhancements | Accounting for Credit Enhancements Attached Credit Enhancements Attached credit enhancements are obtained contemporaneously with, and in contemplation of, the origination of a financial instrument, and effectively travel with the financial instrument upon sale. Attached credit enhancements include primary mortgage insurance, which provides us with loan-level protection up to a specified percentage, and, in connection with our securitization activity guarantees, subordination that we obtain through the creation of unguaranteed subordinated securities issued by unconsolidated securitization trusts that absorb first losses prior to us having to perform on our guarantee of the senior securities. Expected recoveries from attached credit enhancements are considered in determining the allowance for loan losses, resulting in a reduction in the recognized provision for credit losses by the amount of the expected recoveries. With respect to guarantees protected by subordination, we recognize a reserve for guarantee losses only when incurred losses exceed the amount of subordination. See Note 4 for additional information concerning the determination of our allowance for credit losses or reserve for guarantee losses. Freestanding Credit Enhancements Freestanding credit enhancements are contracts that are entered into separately and apart from any other financial instruments or entered into in conjunction with some other transaction and are legally detachable and separately exercisable. Freestanding credit enhancements include insurance/reinsurance transactions, STACR Trust notes, and lender risk-sharing transactions and are accounted for separately from the underlying mortgage loans or guarantees. Our primary insurance/reinsurance transactions are single-family ACIS transactions. ACIS transactions are insurance policies we purchase, generally underwritten by a group of insurers and reinsurers, that provide credit protection for certain specified credit events that occur on a reference pool of mortgage loans. Under the ACIS contracts, we pay insurers and reinsurers premiums for insurance coverage. Each month, we accrue for our obligation to make such payments for all tranches covered by the ACIS contracts. When specific credit events occur, we generally receive compensation from the insurance policy up to an aggregate limit based on actual losses. We require our counterparties to partially collateralize their exposure to reduce the risk that we will not be reimbursed for our claims under the policies. In addition to ACIS, our single-family insurance/reinsurance credit enhancements include AFRM, which is similar to ACIS but provides credit protection immediately upon acquisition of the loan, and IMAGIN, which provides loan level protection in lieu of traditional primary mortgage insurance. Our multifamily insurance/reinsurance credit enhancements include MCIP transactions, which are similar to ACIS transactions and provide credit protection for certain specified credit events that occur on a reference pool of multifamily mortgage assets. STACR Trust notes transfer credit risk on a reference pool of mortgage loans to investors through the issuance of notes linked to notional credit risk positions of the reference pool by a third-party trust. The trust issues the notes and makes periodic payments of principal and interest on the notes to investors. Under this structure, we make payments to the trust to support payment of the interest due on the notes, and we receive payments from the trust that otherwise would have been made to the noteholders as a result of defined credit events on the reference pool. Each month, we accrue for our obligation to make such payments to the trust. The note balances are reduced by the amount of the payments to us. This structure has been recently enhanced so that the notes issued qualify as interests in a REMIC. Lender risk-sharing transactions are agreements that require a lender to repurchase a loan upon default or to reimburse us for realized credit losses. These transactions are entered into as an alternative to requiring primary mortgage insurance or in exchange for a lower guarantee fee. The loss sharing amount may be fully or partially collateralized. We recognize the payments we make to transfer credit risk under freestanding credit enhancements in credit enhancement expense in our consolidated statements of comprehensive income when they are incurred. Expected recoveries for credit losses covered under freestanding credit enhancements are recognized separately in other assets on our consolidated balance sheets when realization of our claim for recovery is deemed probable, which typically occurs at the same time we recognize a provision for credit losses on the associated loan (or guarantee). For information about counterparty credit risk associated with mortgage insurers and other credit enhancement providers, see Note 14 . Debt with Embedded Credit Enhancements We also transfer credit risk after our acquisition or guarantee of mortgage assets by either issuing unsecured debt with embedded credit enhancements or recognizing debt of consolidated VIEs that includes subordination. For certain of our unsecured debt issuances, we create a reference pool of mortgage assets (generally loans) to which we currently have credit risk exposure and an associated securitization-like structure with notional credit risk positions. To the extent a specified credit event occurs on the mortgage assets in the reference pool, the outstanding balance of our debt obligations is written down, thereby reducing our future principal and interest payment obligations. The principal types of unsecured debt with embedded credit enhancements are single-family STACR debt notes and multifamily SCR notes. Most of our STACR debt notes are recorded as other debt on our consolidated balance sheets and accounted for at amortized cost. When the realized loss events (e.g., third-party foreclosure sale, short sale, or REO disposition) occur on the underlying loans in the reference pool, the STACR debt notes are written down and the benefits are recognized as investment gains (losses), net on our consolidated statements of comprehensive income. The structure of multifamily SCR notes is similar to STACR debt notes, although the mortgage assets within the reference pool may be loans or multifamily housing revenue bonds to which we have credit exposure. While our SCR notes are recorded as other debt on our consolidated balance sheets, these debt obligations are measured at fair value, as we elected the fair value option for them. Fair value changes are recorded in investment gains (losses), net on our consolidated statement of comprehensive income. Similar to our non-consolidated VIEs, we obtain credit enhancement on certain of our consolidated securitization products through the creation of unguaranteed subordinated securities. These unguaranteed subordinated securities will absorb first losses on the underlying loans prior to us performing pursuant to our guarantee obligation. The unguaranteed subordinated debt securities held by third parties are recorded as debt of consolidated trusts on our consolidated balance sheets and generally accounted for at amortized cost. When losses are realized on the loans underlying the securities, the subordinated debt is written down and the benefits are recognized as investment gains (losses), net on our consolidated statements of comprehensive income. |
Investments in Securities | We currently classify and account for our securities as either available-for-sale or trading. As of December 31, 2019 and December 31, 2018, we did not classify any securities as held-to-maturity, although we may elect to do so in the future. Securities classified as available-for-sale and trading are reported at fair value with changes in fair value included in AOCI, net of income taxes and investment gains (losses), net, respectively. See Note 15 for more information on how we determine the fair value of securities. We generally record purchases and sales of securities on the trade date when the related forward commitments are exempt from the accounting guidance for derivatives. Alternatively, we record purchases and sales of securities on the expected settlement date, with a corresponding derivative recorded on the trade date, when the related forward commitments are not exempt from the accounting guidance for derivatives. We include interest on securities on our consolidated statements of comprehensive income. For most of our securities, interest income is recognized using the effective interest method, which considers the contractual terms of the security. Deferred items, including premiums, discounts, and other basis adjustments, are amortized into interest income over the contractual lives of the securities. For certain securities, interest income is recognized using the prospective effective interest method. We apply this method to securities that: n Can contractually be prepaid or otherwise settled in such a way that we may not recover substantially all of our recorded investment; n Are not of high credit quality at acquisition; or n Have been determined to be other-than-temporarily impaired. Under this method, we recognize as interest income, over the expected life of the securities, the excess of the cash flows expected to be collected over the securities' carrying value. We update our estimates of expected cash flows periodically and recognize changes in the calculated effective interest rate on a prospective basis. For securities classified as trading or available-for-sale, we classify the cash flows as investing activities because we hold these securities for investment purposes. In cases where the transfer of a security represents a secured borrowing, we classify the related cash flows as financing activities. Impairment Recognition on Investments in Securities We evaluate available-for-sale securities in an unrealized loss position as of the end of each quarter to determine whether the decline in value is other-than-temporary. An unrealized loss exists when the fair value of an individual lot is less than its amortized cost basis. As discussed further below, certain other-than-temporary impairment losses are recognized in earnings. Other-than-temporary impairment is considered to have occurred if the fair value of the security lot is less than its amortized cost basis and we either intend to sell the security lot or more likely than not will be required to sell the security lot prior to recovery of its amortized cost basis. Under these circumstances, the security lot's entire decline in fair value is deemed to be other-than-temporary and is recorded within our consolidated statements of comprehensive income as investment gains (losses), net. If we do not intend to sell the security or we believe it is not more likely than not that we will be required to sell prior to recovery of the security's amortized cost basis, we recognize only the credit component of other-than-temporary impairment in earnings and the amounts attributable to all other factors are recorded in AOCI. The credit component represents the amount by which the present value of cash flows expected to be collected from the security is less than its amortized cost basis. The present value of cash flows expected to be collected represents our estimate of future contractual cash flows that we expect to collect, discounted at the security's original effective interest rate or, if applicable, the effective interest rate determined based on significantly improved cash flows subsequent to a prior other-than-temporary impairment. The evaluation of whether unrealized losses on available-for-sale securities are other-than-temporary requires significant management judgments, assumptions, and consideration of numerous factors. We perform an evaluation on a security lot basis considering all available information. The relative importance of this information varies based on the facts and circumstances surrounding each security, as well as the economic environment at the time of assessment. Realized Gains and Losses on Sales of Available-for-Sale Securities Gains and losses on the sale of securities are included in investment securities gains (losses), including those gains (losses) reclassified into earnings from AOCI. We use the specific identification method for determining the cost basis of a security in computing the gain or loss. |
Debt Securities Issued | With the exception of certain debt for which we elected the fair value option or designated in a qualifying fair value hedge relationship, our debt is reported at amortized cost. Deferred items, including premiums, discounts, issuance costs, and hedge accounting-related basis adjustments, are reported as a component of total debt, net. These items are amortized and reported through interest expense using the effective interest method over the contractual life of the related indebtedness. Amortization of premiums, discounts, and issuance costs begins at the time of debt issuance. Amortization of hedge accounting-related basis adjustments begins upon the discontinuation of the related hedge relationship. We elected the fair value option on debt that contains embedded derivatives, including certain STACR debt notes and SCR debt notes. For additional information on STACR debt notes and SCR debt notes, see Note 6 . Changes in the fair value of these debt obligations are recorded in investment gains (losses), net, with any upfront costs and fees incurred or received in exchange for the issuance of the debt being recognized in earnings as incurred and not deferred. Related interest expense continues to be reported as interest expense based on the stated terms of the debt securities. For additional information on our election of the fair value option, see Note 15 . When we repurchase or call outstanding debt securities, we recognize the difference between the amount paid to redeem the debt security and the carrying value in earnings as a component of investment gains (losses), net. Contemporaneous transfers of cash between us and a creditor in connection with the issuance of a new debt security and satisfaction of an existing debt security are accounted for as either an extinguishment or a modification of an existing debt security. If the debt securities have substantially different terms, the transaction is accounted for as an extinguishment of the existing debt security. The issuance of a new debt security is recorded at fair value, fees paid to the creditor are expensed as incurred, and fees paid to third parties are deferred and amortized into interest expense over the life of the new debt security using the effective interest method. If the terms of the existing debt security and the new debt security are not substantially different, the transaction is accounted for as a modification of the existing debt. Fees paid to the creditor are deferred and amortized into interest expense over the life of the modified debt security using the effective interest method and fees paid to third parties are expensed as incurred. We also engage in dollar roll transactions whereby we enter into an agreement to sell and subsequently repurchase (or purchase and subsequently resell) agency securities. When these transactions involve securities issued by consolidated entities, they are treated as issuances and extinguishments of debt. |
Derivatives | Derivatives are reported at their fair value on our consolidated balance sheets. Changes in fair value and interest accruals on derivatives not in qualifying fair value hedge relationships are recorded as investment gains (losses), net, on our consolidated statements of comprehensive income. Derivatives in a net asset position, including net derivative interest receivable or payable, are reported as derivative assets, net. Similarly, derivatives in a net liability position, including net derivative interest receivable or payable, are reported as derivative liabilities, net. We offset fair value amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral against fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting agreement. Non-cash collateral held is not recognized on our consolidated balance sheets as we do not obtain effective control over the collateral, and non-cash collateral posted is not de-recognized from our consolidated balance sheets as we do not relinquish effective control over the collateral. Therefore, non-cash collateral held or posted is not presented as an offset against derivative assets or derivative liabilities on our consolidated balance sheets. We evaluate whether financial instruments that we purchase or issue contain embedded derivatives. We generally elect to measure newly acquired or issued financial instruments that contain embedded derivatives at fair value, with changes in fair value recorded in earnings. On October 1, 2017, we adopted accounting guidance that modifies the presentation of hedge accounting results disclosed on our consolidated statements of comprehensive income and in the notes to the consolidated financial statements. For qualifying fair value hedge relationships, the modifications include presenting all changes in the fair value of the derivative hedging instrument in the same consolidated statements of comprehensive income line used to present the earnings effect of the hedged item. For qualifying fair value hedge relationships, the modifications also include separate disclosures of cumulative basis adjustments and their impact to the hedged item's carrying value. On our consolidated statements of cash flows, cash flows related to the acquisition and termination of derivatives, other than forward commitments, are generally classified in investing activities. Cash flows related to forward commitments are classified within the section of the consolidated statements of cash flows in accordance with the cash flows of the financial instruments to which they relate. |
Derivatives, Methods of Accounting, Hedging Derivatives [Policy Text Block] | Fair Value Hedges We apply fair value hedge accounting to certain single-family mortgage loans where we hedge the changes in fair value of these loans attributable to the designated benchmark interest rate (i.e., LIBOR), using LIBOR-based interest-rate swaps. The hedge period is one day, and we re-balance our hedge relationships on a daily basis. We also apply fair value hedge accounting to certain issuances of debt where we hedge the changes in fair value of the debt attributable to the designated benchmark interest rate (i.e., LIBOR), using LIBOR-based interest-rate swaps. Beginning in September 2019, we implemented a new fair value hedge accounting strategy for single-family mortgage loans that applies certain hedge accounting elections, including the last-of-layer method, allowable under amended hedge accounting guidance we adopted during 4Q 2017. Under the last-of-layer method, we hedge the changes in fair value of a portion of a closed pool of single-family mortgage loans that is not expected to be affected by prepayments, defaults, and other events affecting the timing and amount of cash flows. As part of this new strategy, we have also elected to measure the change in fair value of the hedged item on the basis of the benchmark rate component of the contractual coupon cash flows determined at the hedge inception and by assuming the hedged item has a term that reflects only the designated cash flows being hedged. We apply hedge accounting to qualifying hedge relationships. A qualifying hedge relationship exists when changes in the fair value of a derivative hedging instrument are expected to be highly effective in offsetting changes in the fair value of the hedged item attributable to the risk being hedged during the term of the hedge relationship. No amounts have been excluded from the assessment of hedge effectiveness. To assess hedge effectiveness, we use a statistical regression analysis. At inception of the hedge relationship, we prepare formal contemporaneous documentation of our risk management objective and strategies for undertaking the hedge. Beginning on October 1, 2017, due to the adoption of amended hedge accounting guidance, if a hedge relationship qualifies for fair value hedge accounting, all changes in fair value of the derivative hedging instrument, including interest accruals, are recognized in the same consolidated statements of comprehensive income line item used to present the earnings effect of the hedged item. Therefore, changes in the fair value of the hedged item, mortgage loans and debt, attributable to the risk being hedged are recognized in interest income - mortgage loans and interest expense, respectively, along with the changes in the fair value of the respective derivative hedging instruments. Prior to October 1, 2017, if the hedge relationship qualified for hedge accounting, changes in fair value of the derivative hedging instrument and changes in the fair value of the hedged item attributable to the risk being hedged were recognized in other income (loss) and interest accruals on the derivative hedging instrument were included in derivative gains (losses). Changes in the fair value of the hedged item attributable to the risk being hedged are recognized as a cumulative basis adjustment against the mortgage loans and debt. The cumulative basis adjustments are amortized to the same consolidated statements of comprehensive income line item used to present the changes in fair value of the hedged item using the effective interest method considering the contractual terms of the hedged item, with amortization beginning no later than the period in which hedge accounting was discontinued. |
Derivatives, Offsetting Fair Value Amounts, Policy | Offsetting of Financial Assets and Liabilities |
Repurchase and Resale Agreements and Dollar Roll Transactions | Securities Purchased Under Agreements to Resell As an investor, we enter into arrangements to purchase securities under agreements to subsequently resell the identical or substantially the same securities to our counterparty. Our counterparties to these transactions are required to pledge the purchased securities as collateral for their obligation to repurchase those securities at a later date. While such transactions involve the legal transfer of securities, they are accounted for as secured financings because the transferor does not relinquish effective control over the securities transferred. These agreements may allow us to repledge all or a portion of the collateral pledged to us, and we may repledge such collateral periodically, although it is not typically our practice to repledge collateral that has been pledged to us. We consider the types of securities being pledged to us as collateral when determining how much we lend in transactions involving securities purchased under agreements to resell. Additionally, we regularly review the market values of these securities compared to amounts loaned in an effort to manage our exposure to losses. Beginning in 2017, we began to utilize the GSD/FICC as a clearinghouse to transact many of our trades involving securities purchased under agreements to resell, securities sold under agreements to repurchase, and other non-mortgage related securities. As a clearing member of GSD/FICC, we are required to post initial and variation margin payments and are exposed to the counterparty credit risk of GSD/FICC (including its clearing members). Although our membership provides us with the right to offset certain of our open receivable and payable positions by collateral type, we have elected not to offset these positions within our consolidated balance sheets. In the event a clearing member fails and causes losses to the GSD/FICC clearing system, we could be subject to the loss of the margin that we have posted to the GSD/FICC. Moreover, our exposure could exceed that amount, as members are generally required to cover losses caused by defaulting members on a pro rata basis. It is difficult to estimate our maximum exposure under these transactions, as this would require an assessment of transactions that we and other members of the GSD/FICC may execute in the future. Securities Sold Under Agreements to Repurchase |
Stockholders' Equity | The previously deferred amount related to closed cash flow hedges remains in our AOCI balance and will be recognized into earnings over the expected time period for which the forecasted transactions affect earnings, unless it is deemed probable that the forecasted transactions will not occur. Over the next 12 months, we estimate that approximately $43 million , net of taxes, of the $0.2 billion of cash flow hedge losses in AOCI at December 31, 2019 will be reclassified into earnings. The maximum remaining length of time over which we have hedged the exposure related to the variability in future cash flows on forecasted transactions, primarily forecasted debt issuances, is 14 Treasury, as the holder of the senior preferred stock, is entitled to receive quarterly cash dividends, when, as and if declared by our Board of Directors. The dividends we have paid to Treasury on the senior preferred stock have been declared by, and paid at the direction of, the Conservator, acting as successor to the rights, titles, powers, and privileges of the Board. The dividend is presented in the period in which it is determinable for the senior preferred stock, as a reduction to net income (loss) available to common stockholders and net income (loss) per common share. The dividend is declared and paid in the following period and recorded as a reduction to equity in the period declared. Total dividends paid in cash during 2019 , 2018 , and 2017 at the direction of the Conservator were $3.1 billion , $4.1 billion , and $10.9 billion , respectively. See Note 2 for a discussion of our net worth sweep dividend. We account for the warrant in permanent equity. At issuance on September 7, 2008, we recognized the warrant at fair value, and we do not recognize subsequent changes in fair value while the warrant remains classified in equity. We recorded an aggregate fair value of $2.3 billion for the warrant as a component of additional paid-in-capital. We derived the fair value of the warrant using a modified Black-Scholes model. If the warrant is exercised, the stated value of the common stock issued will be reclassified to common stock on our consolidated balance sheets. The warrant was determined to be in-substance non-voting common stock, because the warrant's exercise price of $0.00001 per share is considered non-substantive (compared to the market price of our common stock). As a result, the shares associated with the warrant are included in the computation of basic and diluted earnings (loss) per share. The weighted average shares of common stock outstanding for the years ended December 31, 2019 , 2018 , and 2017 included shares of common stock that would be issuable upon full exercise of the warrant issued to Treasury. |
Stockholders' Equity Note, Redeemable Preferred Stock, Issue, Policy | Preferred Stock We have the option to redeem our preferred stock on specified dates, at their redemption price plus dividends accrued through the redemption date. However, without the consent of Treasury, we are restricted from making payments to purchase or redeem preferred stock as well as paying any preferred dividends, other than dividends on the senior preferred stock. All 24 classes of preferred stock are perpetual and non-cumulative, and carry no significant voting rights or rights to purchase additional Freddie Mac stock or securities. Costs incurred in connection with the issuance of preferred stock are charged to additional paid-in capital. |
Earnings Per Common Share | We have participating securities related to RSUs with dividend equivalent rights that receive dividends as declared on an equal basis with common shares but are not obligated to participate in undistributed net losses. These participating securities consist of vested RSUs that earn dividend equivalents at the same rate when and as declared on common stock. Consequently, in accordance with accounting guidance, we use the "two-class" method of computing earnings per common share. The "two-class" method is an earnings allocation formula that determines earnings per share for common stock and participating securities based on dividends declared and participation rights in undistributed earnings. Basic earnings per common share is computed as net income attributable to common stockholders divided by the weighted average common shares outstanding for the period. The weighted average common shares outstanding for the period includes the weighted average number of shares that are associated with the warrant for our common stock issued to Treasury pursuant to the Purchase Agreement. These shares are included since the warrant is unconditionally exercisable by the holder at a minimal cost. Diluted earnings per common share is computed as net income attributable to common stockholders divided by the weighted average common shares outstanding during the period adjusted for the dilutive effect of common equivalent shares outstanding. For periods with net income attributable to common stockholders, the calculation includes the effect of the weighted-average of RSUs. During periods in which a net loss attributable to common stockholders has been incurred, potential common equivalent shares outstanding are not included in the calculation because it would have an antidilutive effect. |
Segment Reporting | We have three reportable segments, which are based on the type of business activities each performs - Single-family Guarantee, Multifamily, and Capital Markets. The chart below provides a summary of our three reportable segments and the All Other category. Segment/Category Description Financial Performance Measurement Basis Single-family Guarantee The Single-family Guarantee segment reflects results from our purchase of single-family loans, our guarantee of principal and interest payments on securitized mortgage loans in exchange for guarantee fees, and the management of single-family mortgage credit risk. The Single-family Guarantee segment manages single-family mortgage credit risk through risk transfer transactions, performing loss mitigation activities, and managing foreclosure and REO activities. • Contribution to GAAP net income (loss) Multifamily The Multifamily segment reflects results from our purchase, sale, securitization, and guarantee of multifamily loans and securities, our investments in those loans and securities, and the management of multifamily mortgage credit risk and market risk. Our primary business model is to purchase multifamily loans for aggregation and then securitization through issuance of multifamily K Certificates and SB Certificates. We also issue and guarantee other securitization products, issue other credit risk transfer products, and provide other guarantee activities. • Contribution to GAAP comprehensive income (loss) Capital Markets The Capital Markets segment reflects results from managing the company's mortgage-related investments portfolio (excluding Multifamily segment investments, single-family seriously delinquent loans, and the credit risk of single-family performing and reperforming loans), single-family securitization activities, and treasury function, which includes interest-rate risk management for the company. • Contribution to GAAP comprehensive income (loss) All Other The All Other category consists of material corporate-level activities that are infrequent in nature and based on decisions outside the control of the management of our reportable segments. N/A |
Fair Value Measurements | The accounting guidance for fair value measurements and disclosures defines fair value, establishes a framework for measuring fair value and sets forth disclosure requirements regarding fair value measurements. This guidance applies whenever other accounting guidance requires or permits assets or liabilities to be measured at fair value. Fair value represents the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value measurement assumes that the transaction to sell the asset or transfer the liability takes place either in the principal market for the asset or liability, or, in the absence of a principal market, in the most advantageous market for the asset or liability. We use fair value measurements for the initial recording of certain assets and liabilities and periodic remeasurement of certain assets and liabilities on a recurring or non-recurring basis. Fair Value Measurements The accounting guidance for fair value measurements and disclosures establishes a three-level fair value hierarchy that prioritizes the inputs into the valuation techniques used to measure fair value. The levels of the fair value hierarchy are defined as follows in priority order: n Level 1 - inputs to the valuation techniques are based on quoted prices in active markets for identical assets or liabilities. n Level 2 - inputs to the valuation techniques are based on observable inputs other than quoted prices in active markets for identical assets or liabilities. n Level 3 - one or more inputs to the valuation technique are unobservable and significant to the fair value measurement. We use quoted market prices and valuation techniques that seek to maximize the use of observable inputs, where available, and minimize the use of unobservable inputs. Our inputs are based on the assumptions a market participant would use in valuing the asset or liability. Assets and liabilities are classified in their entirety within the fair value hierarchy based on the lowest level input that is significant to the fair value measurement. |
Income Taxes | Income Tax Expense Total income tax expense includes: n Current income tax expense, which represents the amount of federal tax currently payable to or receivable from the Internal Revenue Service, including interest and penalties and amounts accrued for unrecognized tax benefits, if any, and n Deferred income tax expense, which represents the net change in the deferred tax asset or liability balance during the year, including any change in the valuation allowance. Deferred Tax Assets, Net We use the asset and liability method of accounting for income taxes for financial reporting purposes. Under this method, deferred tax assets and liabilities are recognized based upon the expected future tax consequences of existing temporary differences between the financial reporting and the tax reporting basis of assets and liabilities using enacted statutory tax rates as well as tax net operating loss and tax credit carryforwards, if any. To the extent tax laws change, deferred tax assets and liabilities are adjusted in the period that the tax change is enacted. The realization of our net deferred tax assets is dependent upon the generation of sufficient taxable income. |
Securitization Activities and_2
Securitization Activities and Consolidation (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Table - Schedule of Various Interest Entities | The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on our consolidated balance sheets. Table 3.1 - Consolidated VIEs (In millions) As of December 31, 2019 As of December 31, 2018 Consolidated Balance Sheet Line Item Assets: Cash and cash equivalents (includes $869 and $566 of restricted cash and cash equivalent) $870 $567 Securities purchased under agreements to resell 23,137 12,125 Investments in securities, at fair value 597 — Mortgage loans held-for-investment 1,940,523 1,842,850 Accrued interest receivable 6,170 5,914 Other assets 9,824 1,631 Total assets of consolidated VIEs $1,981,121 $1,863,087 Liabilities: Accrued interest payable $5,536 $5,335 Debt, net 1,898,355 1,792,677 Other liabilities 1 — Total liabilities of consolidated VIEs $1,903,892 $1,798,012 Table 3.2 - Non-Consolidated VIEs (In millions) As of December 31, 2019 As of December 31, 2018 Assets and Liabilities Recorded on our Consolidated Balance Sheets (1) Assets: Investments in securities, at fair value $37,918 $44,020 Accrued interest receivable 212 235 Derivative assets, net 14 1 Other assets 3,951 3,119 Liabilities: Derivative liabilities, net 108 88 Other liabilities 3,761 3,049 Maximum Exposure to Loss 281,007 241,055 Total Assets of Non-Consolidated VIEs 335,562 284,724 (1) |
Mortgage Loans and Loan Loss _2
Mortgage Loans and Loan Loss Reserves (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Table - Mortgage Loans | The table below provides details of the loans on our consolidated balance sheets as of December 31, 2019 and December 31, 2018 . Table 4.1 - Mortgage Loans December 31, 2019 December 31, 2018 (In millions) Held by Freddie Mac Held by Total Held by Freddie Mac Held by Total Held-for-sale: Single-family $18,543 $— $18,543 $20,946 $— $20,946 Multifamily 18,954 — 18,954 23,959 — 23,959 Total UPB 37,497 — 37,497 44,905 — 44,905 Cost basis and fair value adjustments, net (2,209 ) — (2,209 ) (3,283 ) — (3,283 ) Total held-for-sale loans, net 35,288 — 35,288 41,622 — 41,622 Held-for-investment: Single-family 35,324 1,902,958 1,938,282 35,885 1,814,008 1,849,893 Multifamily 10,831 6,642 17,473 10,828 4,220 15,048 Total UPB 46,155 1,909,600 1,955,755 46,713 1,818,228 1,864,941 Cost basis adjustments (183 ) 33,574 33,391 (1,198 ) 27,752 26,554 Allowance for loan losses (1,583 ) (2,651 ) (4,234 ) (3,009 ) (3,130 ) (6,139 ) Total held-for-investment loans, net 44,389 1,940,523 1,984,912 42,506 1,842,850 1,885,356 Total loans, net $79,677 $1,940,523 $2,020,200 $84,128 $1,842,850 $1,926,978 The table below provides details of the UPB of loans we purchased, reclassified from held-for-investment to held-for-sale, and sold. Table 4.2 - Loans Purchased, Reclassified from Held-for-Investment to Held-for-Sale, and Sold (In billions) 2019 2018 2017 Single-family: Purchases Held-for-investment loans $451.2 $307.7 $343.0 Reclassified from held-for-investment to held-for-sale (1) 13.6 21.7 26.2 Sale of held-for-sale loans (2) 13.1 10.2 8.7 Multifamily: Purchases Held-for-investment loans 9.5 5.0 5.3 Held-for-sale loans 65.3 70.3 64.6 Reclassified from held-for-investment to held-for-sale (1) 1.9 1.8 1.6 Sale of held-for-sale loans (3) 71.3 68.1 61.9 (1) We reclassify loans from held-for-investment to held-for-sale when we no longer have the intent or ability to hold for the foreseeable future. For additional information regarding the fair value of our loans classified as held-for-sale, see Note 15. (2) Our sales of single-family loans reflect the sale of seasoned single-family loans. The sale of seasoned single-family mortgage loans is part of our strategy to mitigate and reduce our holdings of less liquid assets. (3) Our sales of multifamily loans occur primarily through the issuance of multifamily K Certificates and SB Certificates. See Note 3 for more information on our K Certificates and SB Certificates. |
Table - Recorded Investment of Held-For-Invstment Mortgage Loans, by LTV Ratio and Credit Classification | The table below presents the recorded investment of single-family held-for-investment loans by current LTV ratios. Our current LTV ratios are estimates based on available data through the end of each respective period presented. Table 4.3 - Recorded Investment of Single-Family Held-for-Investment Loans by Current LTV Ratios As of December 31, 2019 As of December 31, 2018 Current LTV Ratio Total Current LTV Ratio Total (In millions) ≤ 80 > 80 to 100 > 100 (1) ≤ 80 > 80 to 100 > 100 (1) 20- and 30-year or more, amortizing fixed-rate $1,405,562 $267,752 $3,954 $1,677,268 $1,336,310 $214,703 $6,654 $1,557,667 15-year amortizing fixed-rate 236,837 6,797 89 243,723 251,152 4,522 157 255,831 Adjustable-rate 35,478 1,425 6 36,909 42,117 1,883 7 44,007 Alt-A, interest-only, and option ARM 12,668 901 188 13,757 16,498 1,903 559 18,960 Total single-family loans $1,690,545 $276,875 $4,237 $1,971,657 $1,646,077 $223,011 $7,377 $1,876,465 (1) The serious delinquency rate for the total of single-family held-for-investment mortgage loans with current LTV ratios in excess of 100% was 4.51% and 7.24% as of December 31, 2019 and December 31, 2018 , respectively. For reporting purposes: n Loans within the Alt-A category continue to be presented in that category following modification, even though the borrower may have provided full documentation of assets and income to complete the modification and n Loans within the option ARM category continue to be presented in that category following modification, even though the modified loan no longer provides for optional payment provisions. The table below presents the recorded investment in our multifamily held-for-investment loans, by credit quality indicator based on available data through the end of each period presented. These indicators involve significant management judgment. Table 4.4 - Recorded Investment of Multifamily Held-for-Investment Loans by Credit Quality Indicator (In millions) As of December 31, 2019 As of December 31, 2018 Credit risk profile by internally assigned grade: (1) Pass $17,227 $14,648 Special mention 141 201 Substandard 121 181 Doubtful — — Total $17,489 $15,030 (1) A loan categorized as: "Pass" is current and adequately protected by the current financial strength and debt service capacity of the borrower; "Special mention" has administrative issues that may affect future repayment prospects but does not have current credit weaknesses; "Substandard" has a weakness that jeopardizes the timely full repayment; and "Doubtful" has a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions. |
Table - Payment Status of Mortgage Loans | The following tables present the recorded investment of our single-family and multifamily loans, held-for-investment, by payment status. Table 4.5 - Recorded Investment of Held-for-Investment Loans by Payment Status As of December 31, 2019 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure (1) Total Non-accrual Single-family: 20- and 30-year or more, amortizing fixed-rate $1,653,113 $15,481 $3,326 $5,348 $1,677,268 $5,822 15-year amortizing fixed-rate 242,177 1,131 175 240 243,723 252 Adjustable-rate 36,537 238 45 89 36,909 104 Alt-A, interest-only, and option ARM 12,690 489 161 417 13,757 205 Total single-family 1,944,517 17,339 3,707 6,094 1,971,657 6,383 Total multifamily 17,489 — — — 17,489 13 Total single-family and multifamily $1,962,006 $17,339 $3,707 $6,094 $1,989,146 $6,396 As of December 31, 2018 (In millions) Current One Two Three Months or (1) Total Non-accrual Single-family: 20- and 30-year or more, amortizing fixed-rate $1,532,499 $14,683 $3,602 $6,883 $1,557,667 $6,881 15-year amortizing fixed-rate 254,376 1,021 171 263 255,831 263 Adjustable-rate 43,549 287 58 113 44,007 113 Alt-A, interest-only, and option ARM 16,975 793 327 865 18,960 864 Total single-family 1,847,399 16,784 4,158 8,124 1,876,465 8,121 Total multifamily 15,030 — — — 15,030 17 Total single-family and multifamily $1,862,429 $16,784 $4,158 $8,124 $1,891,495 $8,138 (1) Includes $1.8 billion and $2.9 billion of loans that were in the process of foreclosure as of December 31, 2019 and December 31, 2018 , respectively. |
Table - Delinquency Rates | The table below summarizes the delinquency rates of loans within our single-family credit guarantee and multifamily mortgage portfolios. Table 4.6 - Delinquency Rates (Dollars in millions) December 31, 2019 December 31, 2018 Single-family: Non-credit-enhanced portfolio: Serious delinquency rate 0.70 % 0.83 % Total number of seriously delinquent loans 42,485 51,197 Credit-enhanced portfolio: (1) Primary mortgage insurance: Serious delinquency rate 0.79 % 0.86 % Total number of seriously delinquent loans 15,261 15,287 Other credit protection: (2) Serious delinquency rate 0.40 % 0.31 % Total number of seriously delinquent loans 18,143 12,920 Total single-family Serious delinquency rate 0.63 % 0.69 % Total number of seriously delinquent loans 70,162 75,649 Multifamily (3) Non-credit-enhanced portfolio: Delinquency rate — % — % UPB of delinquent loans $2 $2 Credit-enhanced portfolio: Delinquency rate 0.09 % 0.01 % UPB of delinquent loans $244 $28 Total multifamily Delinquency rate 0.08 % 0.01 % UPB of delinquent loans $246 $30 (1) The credit-enhanced categories are not mutually exclusive, as a single loan may be covered by both primary mortgage insurance and other credit protection. (2) Consists of single-family loans covered by financial arrangements (other than primary mortgage insurance) that are designed to reduce our credit risk exposure. See Note 6 for additional information on our credit enhancements. (3) |
Table - Detail of Loan Loss Reserves | The table below summarizes changes in our allowance for credit losses. Table 4.7 - Details of Allowance for Credit Losses Year Ended December 31, 2019 2018 2017 Allowance for Loan Losses Reserve for Total Allowance for Loan Losses Reserve for Total Allowance for Loan Losses Reserve for Total (In millions) Held by Freddie Mac Held By Held by Freddie Mac Held By Held by Freddie Mac Held By Consolidated Trusts Single-family: Beginning $3,003 $3,127 $46 $6,176 $5,251 $3,680 $48 $8,979 $10,443 $2,968 $52 $13,463 Provision (benefit) for credit losses (684 ) (70 ) 5 (749 ) (861 ) 145 4 (712 ) (1,447 ) 1,350 — (97 ) Charge-offs (1,676 ) (56 ) (5 ) (1,737 ) (2,823 ) (56 ) (6 ) (2,885 ) (4,939 ) (108 ) (4 ) (5,051 ) Recoveries 439 13 — 452 467 8 — 475 419 6 — 425 Transfers, (1) 372 (372 ) — — 676 (676 ) — — 540 (540 ) — — Other (2) 122 4 — 126 293 26 — 319 235 4 — 239 Ending $1,576 $2,646 $46 $4,268 $3,003 $3,127 $46 $6,176 $5,251 $3,680 $48 $8,979 Multifamily: Beginning $6 $3 $6 $15 $28 $7 $9 $44 $18 $2 $15 $35 Provision (benefit) for credit losses 2 1 — 3 (23 ) — (1 ) (24 ) 15 4 (6 ) 13 Charge-offs — — — — (6 ) — (2 ) (8 ) (4 ) — — (4 ) Recoveries — — — — 3 — — 3 — — — — Transfers, (1) (1 ) 1 — — 4 (4 ) — — (1 ) 1 — — Other (2) — — — — — — — — — — — — Ending $7 $5 $6 $18 $6 $3 $6 $15 $28 $7 $9 $44 Total: Beginning $3,009 $3,130 $52 $6,191 $5,279 $3,687 $57 $9,023 $10,461 $2,970 $67 $13,498 Provision (benefit) for credit losses (682 ) (69 ) 5 (746 ) (884 ) 145 3 (736 ) (1,432 ) 1,354 (6 ) (84 ) Charge-offs (1,676 ) (56 ) (5 ) (1,737 ) (2,829 ) (56 ) (8 ) (2,893 ) (4,943 ) (108 ) (4 ) (5,055 ) Recoveries 439 13 — 452 470 8 — 478 419 6 — 425 Transfers, (1) 371 (371 ) — — 680 (680 ) — — 539 (539 ) — — Other (2) 122 4 — 126 293 26 — 319 235 4 — 239 Ending $1,583 $2,651 $52 $4,286 $3,009 $3,130 $52 $6,191 $5,279 $3,687 $57 $9,023 (1) Relates to removal of delinquent loans from consolidated trusts and resecuritization after such removal. (2) |
Table - Net Investment in Mortgage Loans | The table below presents our allowance for loan losses and our recorded investment in loans, held-for-investment, by impairment evaluation methodology. Table 4.8 - Net Investment in Loans December 31, 2019 December 31, 2018 (In millions) Single-family Multifamily Total Single-family Multifamily Total Recorded investment: Collectively evaluated $1,936,208 $17,408 $1,953,616 $1,830,044 $14,945 $1,844,989 Individually evaluated 35,449 81 35,530 46,421 85 46,506 Total recorded investment 1,971,657 17,489 1,989,146 1,876,465 15,030 1,891,495 Ending balance of the allowance for loan losses: Collectively evaluated (1,350 ) (12 ) (1,362 ) (1,761 ) (9 ) (1,770 ) Individually evaluated (2,872 ) — (2,872 ) (4,369 ) — (4,369 ) Total ending balance of the allowance (4,222 ) (12 ) (4,234 ) (6,130 ) (9 ) (6,139 ) Net investment in loans $1,967,435 $17,477 $1,984,912 $1,870,335 $15,021 $1,885,356 |
Table - Individually Impaired Loans | The tables below present the UPB, recorded investment, the related allowance for loan losses, average recorded investment, and interest income recognized for individually impaired loans. Table 4.9 - Individually Impaired Loans Balance at December 31, 2019 Balance at December 31, 2018 (In millions) UPB Recorded Investment Associated Allowance UPB Recorded Investment Associated Allowance Single-family: With no allowance recorded: (1) 20- and 30-year or more, amortizing fixed-rate $2,431 $1,927 N/A $3,335 $2,666 N/A 15-year amortizing fixed-rate 21 20 N/A 23 22 N/A Adjustable-rate 169 169 N/A 227 226 N/A Alt-A, interest-only, and option ARM 847 727 N/A 1,286 1,083 N/A Total with no allowance recorded 3,468 2,843 N/A 4,871 3,997 N/A With an allowance recorded: (2) 20- and 30-year or more, amortizing fixed-rate 28,824 28,667 (2,416 ) 37,579 36,959 (3,660 ) 15-year amortizing fixed-rate 616 625 (13 ) 703 713 (19 ) Adjustable-rate 131 130 (7 ) 164 162 (8 ) Alt-A, interest-only, and option ARM 3,315 3,184 (436 ) 4,867 4,590 (682 ) Total with an allowance recorded 32,886 32,606 (2,872 ) 43,313 42,424 (4,369 ) Combined single-family: 20- and 30-year or more, amortizing fixed-rate 31,255 30,594 (2,416 ) 40,914 39,625 (3,660 ) 15-year amortizing fixed-rate 637 645 (13 ) 726 735 (19 ) Adjustable-rate 300 299 (7 ) 391 388 (8 ) Alt-A, interest-only, and option ARM 4,162 3,911 (436 ) 6,153 5,673 (682 ) Total single-family 36,354 35,449 (2,872 ) 48,184 46,421 (4,369 ) Multifamily : With no allowance recorded (1) 86 81 N/A 89 82 N/A With an allowance recorded — — — 3 3 — Total multifamily 86 81 — 92 85 — Total single-family and multifamily $36,440 $35,530 ($2,872 ) $48,276 $46,506 ($4,369 ) Referenced footnotes are included after the next table. Year Ended December 31, 2019 2018 2017 (In millions) Average Recorded Investment Interest Income Recognized Interest Income Recognized on Cash Basis (3) Average Recorded Investment Interest Income Recognized Interest Income Recognized on Cash Basis (3) Average Recorded Investment Interest Income Recognized Interest Income Recognized on Cash Basis (3) Single-family: With no allowance recorded: (1) 20- and 30-year or more, amortizing fixed-rate $2,450 $262 $7 $3,236 $346 $16 $3,556 $399 $16 15-year amortizing fixed-rate 20 1 — 21 3 — 25 1 — Adjustable rate 200 11 — 248 12 1 292 11 — Alt-A, interest-only, and option ARM 891 66 1 1,264 88 4 1,471 110 5 Total with no allowance recorded 3,561 340 8 4,769 449 21 5,344 521 21 With an allowance recorded: (2) 20- and 30-year or more, amortizing fixed-rate 32,960 1,805 156 44,055 2,156 274 44,057 2,513 248 15-year amortizing fixed-rate 653 22 4 798 28 9 599 32 6 Adjustable rate 135 6 2 197 6 3 261 9 3 Alt-A, interest-only, and option ARM 3,917 226 20 5,953 273 30 7,366 378 33 Total with an allowance recorded 37,665 2,059 182 51,003 2,463 316 52,283 2,932 290 Combined single-family: 20- and 30-year or more, amortizing fixed-rate 35,410 2,067 163 47,291 2,502 290 47,613 2,912 264 15-year amortizing fixed-rate 673 23 4 819 31 9 624 33 6 Adjustable rate 335 17 2 445 18 4 553 20 3 Alt-A, interest-only, and option ARM 4,808 292 21 7,217 361 34 8,837 488 38 Total single-family 41,226 2,399 190 55,772 2,912 337 57,627 3,453 311 Multifamily: With no allowance recorded (1) 83 5 1 131 6 2 286 9 3 With an allowance recorded — — — 3 — — 45 1 1 Total multifamily 83 5 1 134 6 2 331 10 4 Total single-family and multifamily $41,309 $2,404 $191 $55,906 $2,918 $339 $57,958 $3,463 $315 (1) Individually impaired loans with no allowance primarily represent those loans for which the collateral value is sufficiently in excess of the loan balance to result in recovery of the entire recorded investment if the property were foreclosed upon or otherwise subject to disposition. (2) Consists primarily of loans classified as TDRs. (3) Consists of income recognized during the period related to loans on non-accrual status. |
Table - TDR Activity, by Segment | The table below presents the volume of single-family and multifamily loans that were newly classified as TDRs during the years ended December 31, 2019 , December 31, 2018 , and December 31, 2017, based on the original product category of the loan before the loan was classified as a TDR. Loans classified as a TDR in one period may be subject to further action (such as a modification or remodification) in a subsequent period. In such cases, the subsequent action would not be reflected in the table below since the loan would already have been classified as a TDR. Table 4.10 - TDR Activity Year Ended December 31, 2019 2018 2017 (Dollars in millions) Number of Loans Post-TDR Recorded Investment Number of Loans Post-TDR Recorded Investment Number of Loans Post-TDR Recorded Investment Single-family: (1) 20- and 30-year or more, amortizing fixed-rate 25,924 $4,331 43,742 $7,084 33,745 $4,818 15-year amortizing fixed-rate 3,018 296 5,944 584 4,569 356 Adjustable-rate 529 86 902 140 892 128 Alt-A, interest-only, and option ARM 1,523 219 2,602 432 2,784 495 Total single-family 30,994 4,932 53,190 8,240 41,990 5,797 Multifamily — $— 1 $15 1 $— (1) The pre-TDR recorded investment for single-family loans initially classified as TDR during the years ended December 31, 2019 , December 31, 2018 , and December 31, 2017 was $4.9 billion , $8.3 billion , and $5.8 billion , respectively. |
Table - Payment Defaults of Completed TDR Modifications, by Segment | The table below presents the volume of our TDR modifications that experienced payment defaults (i.e., loans that became two months delinquent or completed a loss event) during the applicable periods and had completed a modification during the year preceding the payment default. The table presents loans based on their original product category before modification and includes loans that were reclassified from held-for-investment to held-for-sale after TDR modifications. Table 4.11 - Payment Defaults of Completed TDR Modifications Year Ended December 31, 2019 2018 2017 (Dollars in millions) Number of Loans Post-TDR Recorded Investment Number of Loans Post-TDR Recorded Investment Number of Loans Post-TDR Recorded Investment Single-family: 20- and 30-year or more, amortizing fixed-rate 13,428 $1,702 13,548 $1,847 13,973 $2,231 15-year amortizing fixed-rate 451 36 565 44 720 57 Adjustable-rate 132 15 176 25 225 33 Alt-A, interest-only, and option ARM 871 129 1,178 199 1,254 253 Total single-family 14,882 1,882 15,467 2,115 16,172 2,574 Multifamily — $— — $— — $— |
Guaranee Activities (Tables)
Guaranee Activities (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Guarantees [Abstract] | |
Table - Financial Guarantees | Table 5.1 - Financial Guarantees As of December 31, 2019 As of December 31, 2018 ( Dollars in millions , terms in years) Maximum (1) Recognized (2) Maximum Maximum (1) Recognized (2) Maximum Single-family: Securitization activity guarantees $26,818 $361 40 $17,783 $220 40 Other mortgage-related guarantees 7,492 182 30 6,139 167 30 Total single-family $34,310 $543 $23,922 $387 Multifamily: Securitization activity guarantees $252,167 $3,333 39 $221,245 $2,746 40 Other mortgage-related guarantees 9,989 416 34 9,779 428 35 Total multifamily $262,156 $3,749 $231,024 $3,174 Other guarantees measured at fair value $24,965 $253 30 $16,251 $242 30 (1) The maximum exposure represents the contractual amounts that could be lost if counterparties or borrowers defaulted, without consideration of possible recoveries under credit enhancements, such as recourse provisions, third-party insurance contracts or from collateral held or pledged. For other guarantees measured at fair value, this amount primarily represents the notional value if it relates to our market value guarantees or guarantees of third-party derivative instruments or the UPB if it relates to a guarantee of a mortgage-related asset. For certain of our other guarantees measured at fair value, our exposure may be unlimited and, as a result, the notional value is included. We generally reduce our exposure to these guarantees with unlimited exposure through separate contracts with third parties. (2) For securitization activity guarantees and other mortgage-related guarantees, this amount represents the guarantee obligation on our consolidated balance sheets. This amount excludes our reserve for guarantee losses, which totaled $52 million as of both December 31, 2019 and December 31, 2018 , respectively, and is included within other liabilities on our consolidated balance sheets. For other guarantees measured at fair value, this amount represents the fair value of the contract. |
Credit Enhancements (Tables)
Credit Enhancements (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Credit Enhancements [Abstract] | |
Single-Family Credit Enhancements | The table below presents the total current and protected UPB and maximum amounts of potential loss recovery related to our single-family credit enhancements. Table 6.1 - Single-Family Credit Enhancements December 31, 2019 December 31, 2018 (In millions) Credit Enhancement Accounting Treatment Total Current and Protected UPB (1) Maximum Coverage Total Current and Protected UPB (1) Maximum Coverage Primary mortgage insurance Attached $421,870 $107,690 $378,594 $96,996 STACR: (2) Trust notes Freestanding 288,323 9,739 161,152 5,026 Debt notes Debt 536,036 15,373 605,263 17,596 Insurance/reinsurance (3) Freestanding 863,149 10,157 808,484 9,278 Subordination: Non-consolidated VIEs (4) Attached 25,443 4,545 16,271 2,933 Consolidated VIEs (5) Debt 19,498 854 25,006 1,036 Lender risk-sharing Freestanding 24,078 5,657 17,458 5,170 Other Primarily attached 1,056 1,051 1,305 1,290 Total single-family credit enhancements $155,066 $139,325 (1) Underlying loans may be covered by more than one form of credit enhancement. (2) Total current and protected UPB represents the UPB of the assets included in the reference pool. Maximum coverage amount represents the outstanding balance held by third parties. (3) As of December 31, 2019 and December 31, 2018, our counterparties posted sufficient collateral on our ACIS transactions to meet the minimum collateral requirements of the ACIS program. Minimum collateral requirements are assessed on each deal based on a combination of factors, including counterparty credit risk of the reinsurer, as well as the structure and risk profile of the transaction. Other insurance/reinsurance transactions have similar collateral requirements. (4) Total current and protected UPB includes the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities, and the UPB of guarantor advances made to the holders of the guaranteed securities. Maximum coverage represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties. (5) Total current and protected UPB represents the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities. Maximum coverage amount represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties. |
MF mortgage Loan Credit Enhancements | The table below presents the total current and protected UPB and maximum amounts of potential loss recovery related to our multifamily credit enhancements. Table 6.2 - Multifamily Credit Enhancements December 31, 2019 December 31, 2018 (In millions) Credit Enhancement Accounting Treatment Total Current and Protected UPB (1) Maximum Coverage Total Current and Protected UPB (1) Maximum Coverage Subordination: Non-consolidated VIEs (2) Attached $251,008 $40,262 $220,733 $35,661 Consolidated VIEs (3) Debt 1,800 200 2,700 280 Insurance/reinsurance (4) Freestanding 2,769 127 915 43 SCR debt notes (5) Debt 2,470 123 2,667 133 Other (6) Primarily freestanding 2,996 848 2,349 815 Total multifamily credit enhancements $41,560 $36,932 (1) Underlying loans may be covered by more than one form of credit enhancement. (2) Total current and protected UPB includes the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities, and the UPB of guarantor advances made to the holders of the guaranteed securities. Maximum coverage represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties. (3) Total current and protected UPB represents the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities. Maximum coverage amount represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties. (4) As of December 31, 2019 and December 31, 2018, the counterparties to our insurance/reinsurance transactions have complied with the minimum collateral requirements. Minimum collateral requirements are assessed on each deal based on a combination of factors, including counterparty credit risk of the reinsurer, as well as the structure and risk profile of the transaction. (5) Total current and protected UPB represents the UPB of the assets included in the reference pool. Maximum coverage amount represents the outstanding balance of the SCR notes held by third parties. (6) Maximum coverage represents the remaining amount of loss recovery that is available subject to the terms of counterparty agreements. |
Investments in Securities (Tabl
Investments in Securities (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |
Table - Investments in Securities | The table below summarizes the fair values of our investments in debt securities by classification. Table 7.1 - Investments in Securities (In millions) As of December 31, 2019 As of December 31, 2018 Trading securities $49,537 $35,548 Available-for-sale securities 26,174 33,563 Total $75,711 $69,111 |
Table - Trading Securities | The table below presents the estimated fair values by major security type for our securities classified as trading. Our non-mortgage-related securities primarily consist of investments in U.S. Treasury securities. Table 7.2 - Trading Securities (In millions) As of December 31, 2019 As of December 31, 2018 Mortgage-related securities: Agency $22,481 $16,372 Non-agency 1 1 Total mortgage-related securities 22,482 16,373 Non-mortgage-related securities 27,055 19,175 Total fair value of trading securities $49,537 $35,548 |
Table - Available-For-Sale Securities | The tables below present the amortized cost, gross unrealized gains and losses, and fair value by major security type for our securities classified as available-for-sale. Table 7.3 - Available-for-Sale Securities As of December 31, 2019 Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value (In millions) Other-Than-Temporary Impairment (1) Temporary Impairment (2) Available-for-sale securities: Agency $24,390 $571 $— ($74 ) $24,887 Non-agency and other 1,004 283 — — 1,287 Total available-for-sale securities $25,394 $854 $— ($74 ) $26,174 As of December 31, 2018 Amortized Cost Gross Gross Unrealized Losses Fair Value (In millions) Other-Than-Temporary Impairment (1) Temporary Impairment (2) Available-for-sale securities: Agency $32,082 $358 $— ($535 ) $31,905 Non-agency and other 1,378 282 — (2 ) 1,658 Total available-for-sale securities $33,460 $640 $— ($537 ) $33,563 (1) Represents the gross unrealized losses for securities for which we have previously recognized other-than-temporary impairment in earnings. (2) Represents the gross unrealized losses for securities for which we have not previously recognized other-than-temporary impairment in earnings. |
Table - Available-For-Sale Securities in a Gross Unrealized Loss Position | The tables below present available-for-sale securities in a gross unrealized loss position, and whether such securities have been in a gross unrealized loss position for less than 12 months, or 12 months or greater. Table 7.4 - Available-for-Sale Securities in a Gross Unrealized Loss Position As of December 31, 2019 Less than 12 Months 12 Months or Greater (In millions) Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Available-for-sale securities: Agency $5,778 ($27 ) $2,934 ($47 ) Non-agency and other 1 — — — Total available-for-sale securities in a gross unrealized loss position $5,779 ($27 ) $2,934 ($47 ) As of December 31, 2018 Less than 12 Months 12 Months or Greater (In millions) Fair Gross Unrealized Losses Fair Gross Unrealized Losses Available-for-sale securities: Agency $4,610 ($39 ) $15,389 ($496 ) Non-agency and other 43 (1 ) 6 (1 ) Total available-for-sale securities in a gross unrealized loss position $4,653 ($40 ) $15,395 ($497 ) |
Table - Gross Realized Gains and Gross Realized Losses on Sales of Available-For-Sale Securities | The table below summarizes the gross realized gains and gross realized losses from the sale of available-for-sale securities. Table 7.5 - Gross Realized Gains and Gross Realized Losses from Sales of Available-for-Sale Securities Year Ended December 31, (In millions) 2019 2018 2017 Gross realized gains $219 $627 $1,792 Gross realized losses (49 ) (303 ) (66 ) Net realized gains $170 $324 $1,726 |
Debt Securities and Subordina_2
Debt Securities and Subordinated Borrowings (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Debt Disclosure [Abstract] | |
Table - Total Debt, Net | The table below summarizes the interest expense per our consolidated statements of comprehensive income and the balances of total debt, net per our consolidated balance sheets. Table 8.1 - Total Debt, Net Balance, Net Interest Expense As of December 31, For The Year Ended December 31, (In millions) 2019 2018 2019 2018 2017 Debt securities of consolidated trusts held by third parties $1,898,355 $1,792,677 $53,980 $51,529 $47,656 Other debt: Short-term debt 110,877 51,080 1,910 1,193 615 Long-term debt 170,296 201,193 5,157 5,311 5,372 Total other debt 281,173 252,273 7,067 6,504 5,987 Total debt, net $2,179,528 $2,044,950 $61,047 $58,033 $53,643 |
Table - Debt Securities of Consolidated Trusts Held by Third Parties | The table below summarizes the debt securities of consolidated trusts held by third parties based on underlying loan product type. Table 8.2 - Debt Securities of Consolidated Trusts Held by Third Parties As of December 31, 2019 As of December 31, 2018 (Dollars in millions) Contractual Maturity UPB Carrying Amount (1) Weighted Average Coupon (2) Contractual Maturity UPB Carrying Amount (1) Weighted Average Coupon (2) Single-family: 30-year or more, fixed-rate 2020 - 2057 $1,516,550 $1,554,095 3.63 % 2019 - 2057 $1,389,113 $1,426,060 3.72 % 20-year fixed-rate 2020 - 2040 70,901 72,558 3.37 % 2019 - 2039 70,547 72,354 3.43 % 15-year fixed-rate 2020 - 2035 225,501 229,133 2.87 % 2019 - 2034 240,310 244,587 2.89 % Adjustable-rate 2020 - 2050 30,183 30,756 3.25 % 2019 - 2049 38,361 39,153 3.12 % Interest-only 2026 - 2041 4,244 4,307 4.55 % 2026 - 2048 5,322 5,386 4.41 % FHA/VA 2020 - 2049 633 647 4.68 % 2019 - 2046 720 736 4.78 % Total Single-family 1,848,012 1,891,496 1,744,373 1,788,276 Multifamily 2021 - 2049 6,790 6,859 3.29 % 2019 - 2047 4,365 4,401 4.02 % Total debt securities of consolidated trusts held by third parties $1,854,802 $1,898,355 $1,748,738 $1,792,677 (1) Includes $209 million and $755 million at December 31, 2019 and December 31, 2018, respectively, of debt of consolidated trusts that represents the fair value of debt securities with the fair value option elected. (2) The effective rate for debt securities of consolidated trusts held by third parties was 2.79% and 3.07% as of December 31, 2019 and December 31, 2018, respectively. |
Table - Other Short-term Debt | The table below summarizes the balances and effective interest rates for other short-term debt. Table 8.3 - Other Short-Term Debt As of December 31, 2019 As of December 31, 2018 (Dollars in millions) Par Value Carrying Amount Weighted Average Effective Rate Par Value Carrying Amount Weighted Average Effective Rate Other short-term debt: Discount notes and Reference Bills $60,830 $60,629 1.67 % $28,787 $28,621 2.36 % Medium-term notes 40,407 40,405 2.31 16,440 16,440 2.10 Securities sold under agreements to repurchase 9,843 9,843 1.46 6,019 6,019 2.40 Total other short-term debt $111,080 $110,877 1.89 % $51,246 $51,080 2.28 % |
Table - Other Long-term Debt | The table below summarizes our other long-term debt. Table 8.4 - Other Long-Term Debt As of December 31, 2019 As of December 31, 2018 (Dollars in millions) Contractual Maturity Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Other long-term debt: Other senior debt: Fixed-rate: Medium-term notes — callable 2020 - 2037 $83,470 $83,433 2.01 % $78,810 $78,786 2.01 % Medium-term notes — non-callable 2020 - 2028 2,498 2,519 2.14 % 4,761 4,811 1.83 % Reference Notes securities — non-callable 2020 - 2032 39,124 39,176 2.71 % 65,362 65,385 2.39 % STACR and SCR 2031 - 2042 123 126 12.74 % 133 136 12.76 % Variable-rate: Medium-term notes — callable 2020 - 2034 10,682 10,668 2.18 % 26,396 26,364 2.33 % Medium-term notes — non-callable 2020 - 2026 15,727 15,724 2.45 % 5,325 5,325 1.47 % STACR 2023 - 2042 15,373 15,526 5.58 % 17,596 17,868 5.99 % Zero-coupon: Medium-term notes — non-callable 2020 - 2039 4,880 2,450 5.94 % 5,009 2,428 6.29 % Other 2047 - 2049 — 6 0.63 % — 2 0.63 % Hedging-related basis adjustments N/A 668 N/A (215 ) Total other senior debt 171,877 170,296 203,392 200,890 Other subordinated debt: Zero-coupon — — — % 332 303 10.51 % Total other subordinated debt — — 332 303 Total other long-term debt $171,877 $170,296 2.61 % $203,724 $201,193 2.58 % (1) Represents par value, net of associated discounts or premiums and issuance costs. Includes $3.7 billion and $4.4 billion at December 31, 2019 and December 31, 2018, respectively, of other long term-debt that represents the fair value of debt securities with the fair value option elected. (2) Based on carrying amount, excluding hedge-related basis adjustments. |
Table - Contractual Maturity of Other Long-term Debt and Debt Securities of Consolidated Trusts Held by Third Parties | The table below summarizes the contractual maturities of other long-term debt securities at December 31, 2019 . Table 8.5 - Contractual Maturities of Other Long-Term Debt and Debt Securities (In millions) Par Value Annual Maturities Other long-term debt (excluding STACR and SCR): 2020 $45,133 2021 30,069 2022 23,185 2023 13,413 2024 26,966 Thereafter 17,615 Debt securities of consolidated trusts held by third parties, STACR, and SCR (1) 1,870,298 Total 2,026,679 Net discounts, premiums, debt issuance costs, hedge-related, and other basis adjustments (2) 41,972 Total debt securities of consolidated trusts held by third parties, STACR, SCR and other long-term debt $2,068,651 (1) Contractual maturities of these debt securities are not presented because they are subject to prepayment risk, as their payments are based upon the performance of a pool of mortgage assets that may be prepaid by the related mortgage borrower at any time without penalty. (2) Other basis adjustments primarily represent changes in fair value on debt where we have elected the fair value option. |
Derivatives (Tables)
Derivatives (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Table - Derivative Assets and Liabilities at Fair Value | The table below presents the notional value and fair value of derivatives reported on our consolidated balance sheets. Table 9.1 - Derivative Assets and Liabilities at Fair Value As of December 31, 2019 As of December 31, 2018 Notional or Contractual Amount Derivatives at Fair Value Notional or Contractual Amount Derivatives at Fair Value (In millions) Assets Liabilities Assets Liabilities Not designated as hedges Interest-rate swaps: Receive-fixed $230,926 $1,990 ($6 ) $145,386 $1,380 ($181 ) Pay-fixed 251,392 10 (4,162 ) 170,899 476 (2,287 ) Basis (floating to floating) 5,924 — — 5,404 1 — Total interest-rate swaps 488,242 2,000 (4,168 ) 321,689 1,857 (2,468 ) Option-based: Call swaptions Purchased 75,325 2,717 — 43,625 2,007 — Written 3,375 — (42 ) 4,400 — (133 ) Put swaptions Purchased (1) 67,155 835 — 88,075 1,565 — Written 7,275 — (88 ) 1,750 — (4 ) Other option-based derivatives (2) 10,334 646 — 10,481 628 — Total option-based 163,464 4,198 (130 ) 148,331 4,200 (137 ) Futures 210,305 — — 161,185 — — Commitments 93,960 61 (126 ) 36,044 90 (179 ) CRT-related derivatives 12,362 15 (116 ) 7,514 — (74 ) Other 5,984 1 (28 ) 6,728 1 (64 ) Total derivatives not designated as hedges 974,317 6,275 (4,568 ) 681,491 6,148 (2,922 ) Designated as fair value hedges Interest-rate swaps: Receive-fixed 104,459 104 (75 ) 117,038 23 (935 ) Pay-fixed 87,907 — (639 ) 77,513 247 (571 ) Total derivatives designated as fair value hedges 192,366 104 (714 ) 194,551 270 (1,506 ) Derivative interest receivable (payable) (3) 887 (724 ) 889 (1,096 ) Netting adjustments (4) (6,422 ) 5,634 (6,972 ) 4,941 Total derivative portfolio, net $1,166,683 $844 ($372 ) $876,042 $335 ($583 ) (1) Includes swaptions on credit indices with a notional or contractual amount of $11.4 billion and $45.9 billion at December 31, 2019 and December 31, 2018, respectively, and a fair value of $3.0 million and $113.0 million at December 31, 2019 and December 31, 2018, respectively. (2) Primarily consists of purchased interest-rate caps and floors. (3) Includes other derivative receivables and payables. (4) |
Table - Gains and Losses on Derivatives | The table below presents the gains and losses on derivatives, including the accrual of periodic cash settlements, while not designated in qualifying hedge relationships and reported on our consolidated statements of comprehensive income as investment gains (losses), net. In addition, for the first three quarters of 2017, the table includes the accrual of periodic cash settlements on derivatives in qualifying hedge relationships. Table 9.2 - Gains and Losses on Derivatives Year Ended December 31, (In millions) 2019 2018 2017 Not designated as hedges Interest-rate swaps: Receive-fixed $4,444 ($2,457 ) ($1,343 ) Pay-fixed (7,543 ) 3,880 1,972 Basis (floating to floating) 14 (1 ) (3 ) Total interest-rate swaps (3,085 ) 1,422 626 Option based: Call swaptions Purchased 1,663 (791 ) (404 ) Written (296 ) 20 24 Put swaptions Purchased (1,258 ) 272 (673 ) Written 61 (2 ) 50 Other option-based derivatives (1) 18 (129 ) (38 ) Total option-based 188 (630 ) (1,041 ) Other: Futures (946 ) 57 144 Commitments (452 ) 606 (91 ) CRT-related derivatives (1 ) (38 ) (30 ) Other 52 (6 ) (6 ) Total other (1,347 ) 619 17 Accrual of periodic cash settlements: Receive-fixed interest-rate swaps 90 364 1,511 Pay-fixed interest-rate swaps (525 ) (584 ) (3,101 ) Other (2) 163 79 — Total accrual of periodic cash settlements (272 ) (141 ) (1,590 ) Total ($4,516 ) $1,270 ($1,988 ) (1) Primarily consists of purchased interest-rate caps and floors. (2) Includes interest on variation margin on cleared interest-rate swaps. |
Table - Gains and Losses on Fair Value Hedge | The tables below present the effects of fair value hedge accounting by consolidated statements of comprehensive income line, including the gains and losses on derivatives and hedged items designated in qualifying hedge relationships and other components due to the application of hedge accounting. Table 9.3 - Gains and Losses on Fair Value Hedges Year Ended December 31, 2019 (In millions) Interest Income - Mortgage Loans Interest Expense Other Income (Loss) Total amounts of income and expense line items presented on our consolidated statements of comprehensive income in which the effects of fair value hedges are recorded: $68,583 ($61,047 ) $323 Interest contracts on mortgage loans held-for-investment: Gain or (loss) on fair value hedging relationships: Hedged items 4,569 — — Derivatives designated as hedging instruments (4,309 ) — — Interest accruals on hedging instruments (48 ) — — Discontinued hedge related basis adjustment amortization (446 ) — — Interest contracts on debt: Gain or (loss) on fair value hedging relationships: Hedged Items — (1,038 ) — Derivatives designated as hedging instruments — 1,231 — Interest accruals on hedging instruments — (184 ) — Discontinued hedge related basis adjustment amortization — 63 — Year Ended December 31, 2018 (In millions) Interest Income - Mortgage Loans Interest Expense Other Income (Loss) Total amounts of income and expense line items presented on our consolidated statements of comprehensive income in which the effects of fair value hedges are recorded: $66,037 ($58,033 ) $762 Interest contracts on mortgage loans held-for-investment: Gain or (loss) on fair value hedging relationships: Hedged items (1,776 ) — — Derivatives designated as hedging instruments 1,091 — — Interest accruals on hedging instruments (439 ) — — Discontinued hedge related basis adjustment amortization 133 — — Interest contracts on debt: Gain or (loss) on fair value hedging relationships: Hedged Items — 145 — Derivatives designated as hedging instruments — 155 — Interest accruals on hedging instruments — (313 ) — Discontinued hedge related basis adjustment amortization — (3 ) — Year Ended December 31, 2017 (In millions) Interest Income - Mortgage Loans Interest Expense Other Income (Loss) Total amounts of income and expense line items presented on our consolidated statements of comprehensive income in which the effects of fair value hedges are recorded: $63,735 ($53,643 ) $4,984 Interest contracts on mortgage loans held-for-investment: Gain or (loss) on fair value hedging relationships: (1) Hedged items (107 ) — 351 Derivatives designated as hedging instruments (2) 313 — (215 ) Interest accruals on hedging instruments (83 ) — — Discontinued hedge related basis adjustment amortization (16 ) — — Interest contracts on debt: Gain or (loss) on fair value hedging relationships: Hedged Items — 93 — Derivatives designated as hedging instruments — (53 ) — Interest accruals on hedging instruments — 8 — Discontinued hedge related basis adjustment amortization — — — (1) For the first three quarters of 2017, the gains or losses on derivatives and hedged items were recorded in other income (loss). Beginning in 4Q 2017, gains or losses are recorded in interest income - mortgage loans on our consolidated statements of comprehensive income due to adoption of amended hedge accounting guidance. (2) The gain or (loss) on fair value hedging relationships in 2017 excludes ($277) million |
Table - Cumulative Basis Adjustment on Fair Value Hedges | The tables below present the carrying amounts of the hedged items that have been in a qualifying fair value hedge by their respective balance sheet line item, as well as the hedged item's cumulative basis adjustments. The hedged item carrying amounts include both designated and discontinued hedges. Table 9.4 - Cumulative Basis Adjustments due to Fair Value Hedging December 31, 2019 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount Closed Portfolio Under the Last-of-Layer Method (In millions) Total Under the Last-of-Layer Method Discontinued - Hedge Related Total Amount by Amortized Cost Basis Designated Amount by UPB Mortgage loans held-for-investment $470,889 $2,886 ($943 ) $3,829 $273,346 $22,747 Debt (122,746 ) (668 ) — (93 ) — — December 31, 2018 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount Closed Portfolio Under the Last-of-Layer Method (In millions) Total Under the Last-of-Layer Method Discontinued - Hedge Related Total Amount by Amortized Cost Basis Designated Amount by UPB Mortgage loans held-for-investment $193,547 ($1,237 ) $— ($1,237 ) $— $— Debt (127,215 ) 216 — (8 ) — — |
Collateral and Offsetting of _2
Collateral and Offsetting of Assets and Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Offsetting [Abstract] | |
Table - Offsetting of Financial Assets and Liabilities | The tables below present offsetting and collateral information related to derivatives, securities purchased under agreements to resell, and securities sold under agreements to repurchase. Securities sold under agreements to repurchase are included in debt, net on our consolidated balance sheets. Table 10.1 - Offsetting and Collateral Information of Financial Assets and Liabilities As of December 31, 2019 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented on the Consolidated Balance Sheets Gross Amount Not Offset on the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $7,045 ($4,465 ) ($2,075 ) $505 ($485 ) $20 Cleared and exchange-traded derivatives 144 (5 ) 123 262 — 262 Other 77 — — 77 — 77 Total derivatives 7,266 (4,470 ) (1,952 ) 844 (485 ) 359 Securities purchased under agreements to resell (3) 66,114 — — 66,114 (66,114 ) — Total $73,380 ($4,470 ) ($1,952 ) $66,958 ($66,599 ) $359 Liabilities: Derivatives: OTC derivatives ($5,731 ) $4,465 $1,164 ($102 ) $— ($102 ) Cleared and exchange-traded derivatives (5 ) 5 — — — — Other (270 ) — — (270 ) — (270 ) Total derivatives (6,006 ) 4,470 1,164 (372 ) — (372 ) Securities sold under agreements to repurchase (3) (9,843 ) — — (9,843 ) 9,843 — Total ($15,849 ) $4,470 $1,164 ($10,215 ) $9,843 ($372 ) As of December 31, 2018 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented on the Consolidated Balance Sheets Gross Amount Not Offset on the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $7,213 ($4,544 ) ($2,448 ) $221 ($173 ) $48 Cleared and exchange-traded derivatives 3 — 20 23 — 23 Other 91 — — 91 — 91 Total derivatives 7,307 (4,544 ) (2,428 ) 335 (173 ) 162 Securities purchased under agreements to resell (3) 34,771 — — 34,771 (34,771 ) — Total $42,078 ($4,544 ) ($2,428 ) $35,106 ($34,944 ) $162 Liabilities: Derivatives: OTC derivatives ($4,963 ) $4,544 $296 ($123 ) $— ($123 ) Cleared and exchange-traded derivatives (244 ) — 101 (143 ) — (143 ) Other (317 ) — — (317 ) — (317 ) Total derivatives (5,524 ) 4,544 397 (583 ) — (583 ) Securities sold under agreements to repurchase (3) (6,019 ) — — (6,019 ) 6,019 — Total ($11,543 ) $4,544 $397 ($6,602 ) $6,019 ($583 ) (1) Excess cash collateral held is presented as a derivative liability, while excess cash collateral posted is presented as a derivative asset. (2) Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability, netted by counterparty, presented on the consolidated balance sheets. For cleared and exchange-traded derivatives, does not include non-cash collateral posted by us as initial margin with an aggregate fair value of $3.5 billion and $2.5 billion as of December 31, 2019 and December 31, 2018, respectively. (3) Does not include the impacts of netting by central clearing organizations. |
Table - Offsetting of Financial Assets and Liabilities | The tables below present offsetting and collateral information related to derivatives, securities purchased under agreements to resell, and securities sold under agreements to repurchase. Securities sold under agreements to repurchase are included in debt, net on our consolidated balance sheets. Table 10.1 - Offsetting and Collateral Information of Financial Assets and Liabilities As of December 31, 2019 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented on the Consolidated Balance Sheets Gross Amount Not Offset on the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $7,045 ($4,465 ) ($2,075 ) $505 ($485 ) $20 Cleared and exchange-traded derivatives 144 (5 ) 123 262 — 262 Other 77 — — 77 — 77 Total derivatives 7,266 (4,470 ) (1,952 ) 844 (485 ) 359 Securities purchased under agreements to resell (3) 66,114 — — 66,114 (66,114 ) — Total $73,380 ($4,470 ) ($1,952 ) $66,958 ($66,599 ) $359 Liabilities: Derivatives: OTC derivatives ($5,731 ) $4,465 $1,164 ($102 ) $— ($102 ) Cleared and exchange-traded derivatives (5 ) 5 — — — — Other (270 ) — — (270 ) — (270 ) Total derivatives (6,006 ) 4,470 1,164 (372 ) — (372 ) Securities sold under agreements to repurchase (3) (9,843 ) — — (9,843 ) 9,843 — Total ($15,849 ) $4,470 $1,164 ($10,215 ) $9,843 ($372 ) As of December 31, 2018 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented on the Consolidated Balance Sheets Gross Amount Not Offset on the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $7,213 ($4,544 ) ($2,448 ) $221 ($173 ) $48 Cleared and exchange-traded derivatives 3 — 20 23 — 23 Other 91 — — 91 — 91 Total derivatives 7,307 (4,544 ) (2,428 ) 335 (173 ) 162 Securities purchased under agreements to resell (3) 34,771 — — 34,771 (34,771 ) — Total $42,078 ($4,544 ) ($2,428 ) $35,106 ($34,944 ) $162 Liabilities: Derivatives: OTC derivatives ($4,963 ) $4,544 $296 ($123 ) $— ($123 ) Cleared and exchange-traded derivatives (244 ) — 101 (143 ) — (143 ) Other (317 ) — — (317 ) — (317 ) Total derivatives (5,524 ) 4,544 397 (583 ) — (583 ) Securities sold under agreements to repurchase (3) (6,019 ) — — (6,019 ) 6,019 — Total ($11,543 ) $4,544 $397 ($6,602 ) $6,019 ($583 ) (1) Excess cash collateral held is presented as a derivative liability, while excess cash collateral posted is presented as a derivative asset. (2) Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability, netted by counterparty, presented on the consolidated balance sheets. For cleared and exchange-traded derivatives, does not include non-cash collateral posted by us as initial margin with an aggregate fair value of $3.5 billion and $2.5 billion as of December 31, 2019 and December 31, 2018, respectively. (3) Does not include the impacts of netting by central clearing organizations. |
Table - Collateral in the Form of Securities Pledged | The tables below summarize the fair value of the securities pledged as collateral by us for derivatives and collateralized borrowing transactions, including securities that the secured party may repledge. Table 10.2 - Collateral in the Form of Securities Pledged As of December 31, 2019 (In millions) Derivatives Securities sold under agreements to repurchase Other (3) Total Debt securities of consolidated trusts (2) $562 $— $280 $842 Trading securities 2,894 9,346 49 12,289 Total securities pledged $3,456 $9,346 $329 $13,131 As of December 31, 2018 (In millions) Derivatives Securities sold under agreements to repurchase Other (3) Total Cash equivalents (1) $— $2,595 $— $2,595 Debt securities of consolidated trusts (2) 362 — 179 541 Available-for-sale securities — — 1 1 Trading securities 2,160 3,432 73 5,665 Total securities pledged $2,522 $6,027 $253 $8,802 (1) Represents U.S. Treasury securities accounted for as cash equivalents. (2) Represents Freddie Mac mortgage-related securities held by us in our Capital Markets segment mortgage investments portfolio which are recorded as a reduction to debt securities of consolidated trusts held by third parties on our consolidated balance sheets. (3) Includes other collateralized borrowings and collateral related to transactions with certain clearinghouses. |
Table - Contractual maturity of collateral pledged | The table below summarizes the underlying collateral pledged and the remaining contractual maturity of our gross obligations under securities sold under agreements to repurchase. Table 10.3 - Underlying Collateral Pledged As of December 31, 2019 (In millions) Overnight and continuous 30 days or less After 30 days through 90 days Greater than 90 days Total U.S. Treasury securities $— $9,081 $265 $— $9,346 |
Stockholders' Equity and Earn_2
Stockholders' Equity and Earnings per Share (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Stockholders' Equity Note [Abstract] | |
Table - Changes in AOCI by Component, Net of Tax | The tables below present changes in AOCI after the effects of our federal statutory tax rates of 21% for both 2019 and 2018 , related to available-for-sale securities, closed cash flow hedges, and our defined benefit plans. Table 11.1 - Changes in AOCI by Component, Net of Taxes Year Ended December 31, 2019 (In millions) AOCI Related to Available- For-Sale Securities AOCI Related to Cash Flow Hedge Relationships AOCI Related to Defined Benefit Plans Total Beginning balance $83 ($315 ) $97 ($135 ) Other comprehensive income before reclassifications 668 — (17 ) 651 Amounts reclassified from accumulated other comprehensive income (133 ) 71 (16 ) (78 ) Changes in AOCI by component 535 71 (33 ) 573 Ending balance $618 ($244 ) $64 $438 Year Ended December 31, 2018 (In millions) AOCI Related to Available- For-Sale Securities AOCI Related to Cash Flow Hedge Relationships AOCI Related to Defined Benefit Plans Total Beginning balance $662 ($356 ) $83 $389 Other comprehensive income before reclassifications (476 ) — 11 (465 ) Amounts reclassified from accumulated other comprehensive income (246 ) 114 (16 ) (148 ) Changes in AOCI by component (722 ) 114 (5 ) (613 ) Cumulative effect of change in accounting principle (1) 143 (73 ) 19 89 Ending balance $83 ($315 ) $97 ($135 ) Year Ended December 31, 2017 (In millions) AOCI Related to Available- For-Sale Securities AOCI Related to Cash Flow Hedge Relationships AOCI Related to Defined Benefit Plans Total Beginning balance $915 ($480 ) $21 $456 Other comprehensive income before reclassifications 857 — 63 920 Amounts reclassified from accumulated other comprehensive income (1,110 ) 124 (1 ) (987 ) Changes in AOCI by component (253 ) 124 62 (67 ) Ending balance $662 ($356 ) $83 $389 (1) Includes the effect of adopting the accounting guidance on reclassification of stranded tax effects of the Tax Cuts and Jobs Act in 1Q 2018. |
Table - Reclassifications from AOCI to Net Income | The table below presents reclassifications from AOCI to net income, including the affected line item on our consolidated statements of comprehensive income. Table 11.2 - Reclassifications from AOCI to Net Income Year Ended December 31, (In millions) 2019 2018 2017 AOCI related to available-for-sale securities Affected line items on the consolidated statements of comprehensive income: Investment securities gains (losses) $168 $312 $1,708 Income tax (expense) or benefit (35 ) (66 ) (598 ) Net of tax 133 246 1,110 AOCI related to cash flow hedge relationships Affected line items on the consolidated statements of comprehensive income: Interest expense (90 ) (133 ) (164 ) Income tax (expense) or benefit 19 19 40 Net of tax (71 ) (114 ) (124 ) AOCI related to defined benefit plans Affected line items on the consolidated statements of comprehensive income: Salaries and employee benefits 20 20 2 Income tax (expense) or benefit (4 ) (4 ) (1 ) Net of tax 16 16 1 Total reclassifications in the period net of tax $78 $148 $987 |
Table - Senior Preferred Stock | The table below provides a summary of our senior preferred stock outstanding at December 31, 2019 . Table 11.3 - Senior Preferred Stock ( In millions , except initial liquidation preference price per share) Shares Authorized Shares Outstanding Total Par Value Initial Liquidation Preference Price per Share Total Liquidation Preference Non-draw Adjustment Dates: September 8, 2008 1.00 1.00 $1.00 $1,000 $1,000 December 31, 2017 — — — N/A 3,000 September 30, 2019 — — — N/A 1,826 December 31, 2019 — — — N/A 1,848 Total non-draw adjustments 1.00 1.00 1.00 7,674 Draw Dates: November 24, 2008 — — — N/A 13,800 March 31, 2009 — — — N/A 30,800 June 30, 2009 — — — N/A 6,100 June 30, 2010 — — — N/A 10,600 September 30, 2010 — — — N/A 1,800 December 30, 2010 — — — N/A 100 March 31, 2011 — — — N/A 500 September 30, 2011 — — — N/A 1,479 December 30, 2011 — — — N/A 5,992 March 30, 2012 — — — N/A 146 June 29, 2012 — — — N/A 19 March 30, 2018 — — — N/A 312 Total draw adjustments — — — 71,648 Total senior preferred stock 1.00 1.00 $1.00 $79,322 |
Table - Preferred Stock | The table below provides a summary of our preferred stock outstanding at their redemption values at December 31, 2019 . Table 11.4 - Preferred Stock ( In millions , except redemption price per share) Issue Date Shares Authorized Shares Outstanding Total Par Value Redemption Price per Share Total Outstanding Balance Redeemable On or After OTCQB Symbol Preferred stock: 1996 Variable-rate (1) April 26, 1996 5.00 5.00 $5.00 $50.00 $250 June 30, 2001 FMCCI 5.81% October 27, 1997 3.00 3.00 3.00 50.00 150 October 27, 1998 (2) 5% March 23, 1998 8.00 8.00 8.00 50.00 400 March 31, 2003 FMCKK 1998 Variable-rate (3) September 23 and 29, 1998 4.40 4.40 4.40 50.00 220 September 30, 2003 FMCCG 5.10% September 23, 1998 8.00 8.00 8.00 50.00 400 September 30, 2003 FMCCH 5.30% October 28, 1998 4.00 4.00 4.00 50.00 200 October 30, 2000 (2) 5.10% March 19, 1999 3.00 3.00 3.00 50.00 150 March 31, 2004 (2) 5.79% July 21, 1999 5.00 5.00 5.00 50.00 250 June 30, 2009 FMCCK 1999 Variable-rate (4) November 5, 1999 5.75 5.75 5.75 50.00 287 December 31, 2004 FMCCL 2001 Variable-rate (5) January 26, 2001 6.50 6.50 6.50 50.00 325 March 31, 2003 FMCCM 2001 Variable-rate (6) March 23, 2001 4.60 4.60 4.60 50.00 230 March 31, 2003 FMCCN 5.81% March 23, 2001 3.45 3.45 3.45 50.00 173 March 31, 2011 FMCCO 6% May 30, 2001 3.45 3.45 3.45 50.00 173 June 30, 2006 FMCCP 2001 Variable-rate (7) May 30, 2001 4.02 4.02 4.02 50.00 201 June 30, 2003 FMCCJ 5.70% October 30, 2001 6.00 6.00 6.00 50.00 300 December 31, 2006 FMCKP 5.81% January 29, 2002 6.00 6.00 6.00 50.00 300 March 31, 2007 (2) 2006 Variable-rate (8) July 17, 2006 15.00 15.00 15.00 50.00 750 June 30, 2011 FMCCS 6.42% July 17, 2006 5.00 5.00 5.00 50.00 250 June 30, 2011 FMCCT 5.90% October 16, 2006 20.00 20.00 20.00 25.00 500 September 30, 2011 FMCKO 5.57% January 16, 2007 44.00 44.00 44.00 25.00 1,100 December 31, 2011 FMCKM 5.66% April 16, 2007 20.00 20.00 20.00 25.00 500 March 31, 2012 FMCKN 6.02% July 24, 2007 20.00 20.00 20.00 25.00 500 June 30, 2012 FMCKL 6.55% September 28, 2007 20.00 20.00 20.00 25.00 500 September 30, 2017 FMCKI 2007 Fixed-to-floating rate (9) December 4, 2007 240.00 240.00 240.00 25.00 6,000 December 31, 2012 FMCKJ Total, preferred stock 464.17 464.17 $464.17 $14,109 (1) Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 1% divided by 1.377, and is capped at 9.00%. (2) Issued through private placement. (3) Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 1% divided by 1.377, and is capped at 7.50%. (4) Dividend rate resets on January 1 every five years after January 1, 2005 based on a five-year Constant Maturity Treasury rate, and is capped at 11.00%. Optional redemption on December 31, 2004 and on December 31 every five years thereafter. (5) Dividend rate resets on April 1 every two years after April 1, 2003 based on the two-year Constant Maturity Treasury rate plus 0.10%, and is capped at 11.00%. Optional redemption on March 31, 2003 and on March 31 every two years thereafter. (6) Dividend rate resets on April 1 every year based on 12-month LIBOR minus 0.20%, and is capped at 11.00%. Optional redemption on March 31, 2003 and on March 31 every year thereafter. (7) Dividend rate resets on July 1 every two years after July 1, 2003 based on the two-year Constant Maturity Treasury rate plus 0.20%, and is capped at 11.00%. Optional redemption on June 30, 2003 and on June 30 every two years thereafter. (8) Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 0.50% but not less than 4.00%. (9) Dividend rate is set at an annual fixed rate of 8.375% from December 4, 2007 through December 31, 2012. For the period beginning on or after January 1, 2013, dividend rate resets quarterly and is equal to the higher of: (a) the sum of three-month LIBOR plus 4.16% per annum or (b) 7.875% per annum. Optional redemption on December 31, 2012 and on December 31 every five years thereafter. |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Income Tax Disclosure [Abstract] | |
Table - Federal Income Tax (Expense) Benefit | The table below presents the components of our federal income tax expense for the past three years. We are exempt from state and local income taxes. Table 12.1 - Federal Income Tax Expense Year Ended December 31, (In millions) 2019 2018 2017 Current income tax expense ($1,018 ) ($848 ) ($3,436 ) Deferred income tax expense (817 ) (1,391 ) (7,773 ) Total income tax expense ($1,835 ) ($2,239 ) ($11,209 ) |
Table - Reconciliation of Statutory to Effective Tax Rate | The table below presents the reconciliation between our federal statutory income tax rate and our effective tax rate for the past three years. Table 12.2 - Reconciliation of Federal Statutory Income Tax Rate to Effective Tax Rate Year Ended December 31, 2019 2018 2017 (Dollars in millions) Amount Percent Amount Percent Amount Percent Statutory corporate tax rate ($1,900 ) 21.0 % ($2,410 ) 21.0 % ($5,892 ) 35.0 % Tax-exempt interest 18 (0.2 ) 19 (0.2 ) 39 (0.2 ) Tax credits 48 (0.5 ) 56 (0.5 ) 135 (0.8 ) Valuation allowance 9 (0.1 ) (13 ) 0.1 (54 ) 0.3 Revaluation of deferred tax asset to enacted rate — — 184 (1.6 ) (5,405 ) 32.1 Other (10 ) 0.1 (75 ) 0.7 (32 ) 0.2 Effective tax rate ($1,835 ) 20.3 % ($2,239 ) 19.5 % ($11,209 ) 66.6 % |
Table - Deferred Tax Assets and Liabilities | The table below presents the balance of significant deferred tax assets and liabilities at December 31, 2019 and December 31, 2018 . The valuation allowance relates to capital loss carryforwards included in Other Items, net that we expect to expire unused. Table 12.3 - Deferred Tax Assets and Liabilities Year Ended December 31, (In millions) 2019 2018 Deferred tax assets: Deferred fees $3,529 $4,424 Basis differences related to derivative instruments 1,398 1,767 Credit related items and allowance for loan losses 79 177 Basis differences related to assets held for investment 921 569 Other items, net 56 20 Total deferred tax assets 5,983 6,957 Deferred tax liabilities: Unrealized gains related to available-for-sale securities (28 ) (23 ) Total deferred tax liabilities (28 ) (23 ) Valuation allowance (37 ) (46 ) Deferred tax assets, net $5,918 $6,888 |
Segment Reporting (Tables)
Segment Reporting (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Segment Reporting [Abstract] | |
Table - Segment Earnings | The table below presents Segment Earnings by segment. Table 13.1 - Segment Earnings Year Ended December 31, (In millions) 2019 2018 2017 Segment Earnings (loss), net of taxes: Single-family Guarantee $4,365 $3,908 $2,759 Multifamily 1,827 1,319 2,014 Capital Markets 1,022 4,008 6,257 All Other — — (5,405 ) Total Segment Earnings, net of taxes 7,214 9,235 5,625 Net income (loss) $7,214 $9,235 $5,625 Comprehensive income (loss) of segments: Single-family Guarantee $4,343 $3,905 $2,799 Multifamily 1,928 1,236 1,937 Capital Markets 1,516 3,481 6,227 All Other — — (5,405 ) Comprehensive income (loss) of segments 7,787 8,622 5,558 Comprehensive income (loss) $7,787 $8,622 $5,558 |
Table - Segment Earnings and Reconciliation to GAAP Financial Statements | The table below presents detailed reconciliations between our GAAP financial statements and Segment Earnings for our reportable segments and All Other. Table 13.2 - Segment Earnings and Reconciliations to GAAP Consolidated Statements of Comprehensive Income Year Ended December 31, 2019 Single-family Guarantee Multifamily Capital Markets All Other Total Segment Earnings (Loss) Reclassifications Total per Consolidated Statements of Comprehensive Income (In millions) Net interest income $— $1,069 $2,486 $— $3,555 $8,293 $11,848 Guarantee fee income 7,773 1,101 — — 8,874 (7,785 ) 1,089 Investment gains (losses), net 964 576 (36 ) — 1,504 (686 ) 818 Other income (loss) 391 108 (700 ) — (201 ) 524 323 Benefit (provision) for credit losses 418 (3 ) — — 415 331 746 Administrative expense (1,647 ) (503 ) (414 ) — (2,564 ) — (2,564 ) Credit enhancement expense (1,393 ) (15 ) — — (1,408 ) 700 (708 ) REO operations expense (245 ) — — — (245 ) 16 (229 ) Other expense (786 ) (41 ) (54 ) — (881 ) (1,393 ) (2,274 ) Income tax (expense) benefit (1,110 ) (465 ) (260 ) — (1,835 ) — (1,835 ) Net income (loss) 4,365 1,827 1,022 — 7,214 — 7,214 Changes in unrealized gains (losses) related to available-for-sale securities — 105 430 — 535 — 535 Changes in unrealized gains (losses) related to cash flow hedge relationships — — 71 — 71 — 71 Changes in defined benefit plans (22 ) (4 ) (7 ) — (33 ) — (33 ) Total other comprehensive income (loss), net of taxes (22 ) 101 494 — 573 — 573 Comprehensive income (loss) $4,343 $1,928 $1,516 $— $7,787 $— $7,787 Year Ended December 31, 2018 Single-family Guarantee Multifamily Capital Markets All Other Total Segment Earnings (Loss) Reclassifications Total per Consolidated Statements of Comprehensive Income (In millions) Net interest income $— $1,096 $3,217 $— $4,313 $7,708 $12,021 Guarantee fee income 6,581 861 — — 7,442 (6,576 ) 866 Investment gains (losses), net 307 16 1,803 — 2,126 (205 ) 1,921 Other income (loss) 841 129 340 — 1,310 (548 ) 762 Benefit (provision) for credit losses 448 24 — — 472 264 736 Administrative expense (1,491 ) (437 ) (365 ) — (2,293 ) — (2,293 ) Credit enhancement expense (1,077 ) (16 ) — — (1,093 ) 676 (417 ) REO operations expense (189 ) 1 — — (188 ) 19 (169 ) Other expense (568 ) (36 ) (11 ) — (615 ) (1,338 ) (1,953 ) Income tax (expense) benefit (944 ) (319 ) (976 ) — (2,239 ) — (2,239 ) Net income (loss) 3,908 1,319 4,008 — 9,235 — 9,235 Changes in unrealized gains (losses) related to available-for-sale securities — (82 ) (640 ) — (722 ) — (722 ) Changes in unrealized gains (losses) related to cash flow hedge relationships — — 114 — 114 — 114 Changes in defined benefit plans (3 ) (1 ) (1 ) — (5 ) — (5 ) Total other comprehensive income (loss), net of taxes (3 ) (83 ) (527 ) — (613 ) — (613 ) Comprehensive income (loss) $3,905 $1,236 $3,481 $— $8,622 $— $8,622 Year Ended December 31, 2017 Single-family Guarantee Multifamily Capital Markets All Other Total Segment Earnings (Loss) Reclassifications Total per Consolidated Statements of Comprehensive Income (In millions) Net interest income $— $1,206 $3,279 $— $4,485 $9,679 $14,164 Guarantee fee income 6,363 750 — — 7,113 (6,364 ) 749 Investment gains (losses), net 116 1,516 1,772 — 3,404 (2,244 ) 1,160 Other income (loss) 896 75 4,913 — 5,884 (900 ) 4,984 Benefit (provision) for credit losses (177 ) (13 ) — — (190 ) 274 84 Administrative expense (1,381 ) (395 ) (330 ) — (2,106 ) — (2,106 ) Credit enhancement expense (891 ) (17 ) — — (908 ) 628 (280 ) REO operations expense (203 ) — — — (203 ) 14 (189 ) Other expense (516 ) (48 ) (81 ) — (645 ) (1,087 ) (1,732 ) Income tax (expense) benefit (1,448 ) (1,060 ) (3,296 ) (5,405 ) (11,209 ) — (11,209 ) Net income (loss) 2,759 2,014 6,257 (5,405 ) 5,625 — 5,625 Changes in unrealized gains (losses) related to available-for-sale securities — (86 ) (167 ) — (253 ) — (253 ) Changes in unrealized gains (losses) related to cash flow hedge relationships — — 124 — 124 — 124 Changes in defined benefit plans 40 9 13 — 62 — 62 Total other comprehensive income (loss), net of taxes 40 (77 ) (30 ) — (67 ) — (67 ) Comprehensive income (loss) $2,799 $1,937 $6,227 ($5,405 ) $5,558 $— $5,558 |
Concentration of Credit and O_2
Concentration of Credit and Other Risks (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Risks and Uncertainties [Abstract] | |
Table - Concentration of Credit Risk | The table below summarizes the concentration by loan portfolio and geographic area of the approximately $2.0 trillion and $1.9 trillion UPB of our single-family credit guarantee portfolio at December 31, 2019 and December 31, 2018 , respectively. See Note 4 and Note 7 for more information about credit risk associated with loans and mortgage-related securities that we hold or guarantee. Table 14.1 - Concentration of Credit Risk of Our Single-Family Credit Guarantee Portfolio December 31, 2019 December 31, 2018 Percent of Credit Losses Percentage of Portfolio Serious Delinquency Rate Percentage of Portfolio Serious Delinquency Rate 2019 2018 Core single-family loan portfolio 85 % 0.26 % 82 % 0.22 % 18 % 10 % Legacy and relief refinance single-family loan portfolio 15 1.84 18 1.93 82 90 Total 100 % 0.63 100 % 0.69 100 % 100 % Region (1) West 30 % 0.36 30 % 0.38 12 % 17 % Northeast 24 0.87 24 0.96 36 39 North Central 16 0.61 16 0.63 20 19 Southeast 16 0.73 16 0.90 24 18 Southwest 14 0.54 14 0.57 8 7 Total 100 % 0.63 100 % 0.69 100 % 100 % State (2) Florida 6 % 0.77 6 % 1.01 14 % 10 % Illinois 4 0.85 5 0.86 10 9 New Jersey 3 1.08 3 1.24 9 9 California 17 0.34 18 0.35 8 11 New York 5 1.21 5 1.37 7 11 All other 65 0.59 63 0.64 52 50 Total 100 % 0.63 % 100 % 0.69 % 100 % 100 % (1) Region designation: West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA); Northeast (CT, DE, DC, MA, ME, MD, NH, NJ, NY, PA, RI, VT, VA, WV); North Central (IL, IN, IA, MI, MN, ND, OH, SD, WI); Southeast (AL, FL, GA, KY, MS, NC, PR, SC, TN, VI); Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY). (2) States presented based on those with the highest percentage of credit losses during the year ended December 31, 2019 . The table below summarizes the concentration of multifamily loans in our multifamily mortgage portfolio classified by legal structure, based on UPB. Table 14.3 - Concentration of Credit Risk of Our Multifamily Mortgage Portfolio As of December 31, 2019 As of December 31, 2018 (Dollars in billions) UPB Delinquency Rate (1) UPB Delinquency Rate (1) Unsecuritized loans $29.8 0.01 % $34.8 0.01 % Securitization-related products 260.3 0.09 226.9 0.01 Other mortgage-related guarantees 10.0 0.09 9.8 — Total $300.1 0.08 % $271.5 0.01 % (1) Based on loans two monthly payments or more delinquent or in foreclosure. The table below summarizes the concentration of mortgage insurer counterparties who provided 10% or more of our overall mortgage insurance coverage. On October 23, 2016, Genworth Financial, Inc. announced that it had entered into an agreement to be acquired by China Oceanwide Holdings Group Co., Ltd. Because Genworth Mortgage Insurance Corporation, a subsidiary of Genworth Financial, Inc., is an approved mortgage insurer, Freddie Mac evaluated the planned acquisition and approved China Oceanwide Holdings Group's control of Genworth Mortgage Insurance Corporation. In January 2020, Freddie Mac reapproved the acquisition. Regulatory and other approvals of the acquisition are still pending. Table 14.6 - Mortgage Insurer Concentration Mortgage Insurance Coverage (2) Mortgage Insurer Credit Rating (1) December 31, 2019 December 31, 2018 Arch Mortgage Insurance Company A- 22 % 24 % Radian Guaranty Inc. BBB+ 20 20 Mortgage Guaranty Insurance Corporation BBB+ 17 19 Genworth Mortgage Insurance Corporation BB+ 15 14 Essent Guaranty, Inc. BBB+ 15 14 Total 89 % 91 % (1) Ratings are for the corporate entity to which we have the greatest exposure. Latest rating available as of December 31, 2019. Represents the lower of S&P and Moody's credit ratings stated in terms of the S&P equivalent. (2) Coverage amounts may include coverage provided by affiliates and subsidiaries of the counterparty. Table 14.4 - Seller Concentration Single-family Sellers (1) 2019 2018 JPMorgan Chase Bank, N.A. 14 % 7 % Wells Fargo Bank, N.A. 8 12 Other top 10 sellers 34 31 Top 10 single-family sellers 56 % 50 % Multifamily Sellers (1) 2019 2018 CBRE Capital Markets, Inc. 15 % 18 % Berkadia Commercial Mortgage LLC 15 13 Other top 10 sellers 47 48 Top 10 multifamily sellers 77 % 79 % Table 14.5 - Servicer Concentration Single-family Servicers (1) December 31, 2019 (2) December 31, 2018 (2) Wells Fargo Bank, N.A. 15 % 17 % JPMorgan Chase Bank, N.A. 10 8 Other top 10 servicers 32 31 Top 10 single-family servicers 57 % 56 % Multifamily Servicers (1) December 31, 2019 December 31, 2018 CBRE Capital Markets, Inc. 17 % 17 % Berkadia Commercial Mortgage LLC 13 13 Walker & Dunlop, LLC 9 10 Other top 10 servicers 37 37 Top 10 multifamily servicers 76 % 77 % |
Certain Higher Risk Categories In The Single Family Credit Guarantee Portfolio [Table Text Block] | Presented below is a summary of the serious delinquency rates of certain higher-risk categories (based on characteristics of the loan at origination) of loans in our single-family credit guarantee portfolio. The table includes a presentation of each higher-risk category in isolation. A single loan may fall within more than one category (for example, an interest-only loan may also have an original LTV ratio greater than 90%). Loans with a combination of these attributes may have an even higher risk of delinquency than those with an individual attribute. Table 14.2 - Certain Higher Risk Categories in Our Single-Family Credit Guarantee Portfolio Percentage of Portfolio (1) Serious Delinquency Rate (1) (Percentage of portfolio based on UPB) December 31, 2019 December 31, 2018 December 31, 2019 December 31, 2018 Interest-only 1 % 1 % 2.72 % 3.43 % Alt-A 1 1 3.75 4.13 Original LTV ratio greater than 90% (2) 18 18 0.96 1.04 Lower credit scores at origination (less than 620) 2 2 4.52 4.59 (1) Excludes loans underlying certain other securitization products for which data was not available. (2) Includes HARP loans, which we purchased as part of our participation in the MHA Program. |
Fair Value Disclosures (Tables)
Fair Value Disclosures (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
Table - Assets and Liabilities on Our Consolidated Balance Sheets Measured at Fair Value on a Recurring Basis | Table 15.1 - Assets and Liabilities Measured at Fair Value on a Recurring Basis December 31, 2019 (In millions) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Investments in securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $— $22,927 $1,960 $— $24,887 Non-agency and other — 20 1,267 — 1,287 Total available-for-sale securities, at fair value — 22,947 3,227 — 26,174 Trading, at fair value: Mortgage-related securities: Agency — 19,772 2,709 — 22,481 Non-agency — — 1 — 1 Total mortgage-related securities — 19,772 2,710 — 22,482 Non-mortgage-related securities 25,108 1,947 — — 27,055 Total trading securities, at fair value 25,108 21,719 2,710 — 49,537 Total investments in securities 25,108 44,666 5,937 — 75,711 Mortgage loans: Held-for-sale, at fair value — 15,035 — — 15,035 Derivative assets, net: Interest-rate swaps — 2,104 — — 2,104 Option-based derivatives — 4,198 — — 4,198 Other — 61 16 — 77 Subtotal, before netting adjustments — 6,363 16 — 6,379 Netting adjustments (1) — — — (5,535 ) (5,535 ) Total derivative assets, net — 6,363 16 (5,535 ) 844 Other assets: Guarantee asset, at fair value — — 4,426 — 4,426 Non-derivative held-for-sale purchase commitments, at fair value — 81 — — 81 All other, at fair value — — 120 — 120 Total other assets — 81 4,546 — 4,627 Total assets carried at fair value on a recurring basis $25,108 $66,145 $10,499 ($5,535 ) $96,217 Liabilities: Debt securities of consolidated trusts held by third parties, at fair value $— $6 $203 $— $209 Other debt, at fair value — 3,600 129 — 3,729 Derivative liabilities, net: Interest-rate swaps — 4,882 — — 4,882 Option-based derivatives — 130 — — 130 Other — 233 37 — 270 Subtotal, before netting adjustments — 5,245 37 — 5,282 Netting adjustments (1) — — — (4,910 ) (4,910 ) Total derivative liabilities, net — 5,245 37 (4,910 ) 372 Other liabilities: Non-derivative held-for-sale purchase commitments, at fair value — 7 — — 7 All other, at fair value — — 1 — 1 Total other liabilities — 7 1 — 8 Total liabilities carried at fair value on a recurring basis $— $8,858 $370 ($4,910 ) $4,318 Referenced footnote is included after the next table. December 31, 2018 (In millions) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Investments in securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $— $27,770 $4,135 $— $31,905 Non-agency and other — 18 1,640 — 1,658 Total available-for-sale securities, at fair value — 27,788 5,775 — 33,563 Trading, at fair value: Mortgage-related securities: Agency — 13,079 3,293 — 16,372 Non-agency — — 1 — 1 Total mortgage-related securities — 13,079 3,294 — 16,373 Non-mortgage-related securities 15,885 3,290 — — 19,175 Total trading securities, at fair value 15,885 16,369 3,294 — 35,548 Total investments in securities 15,885 44,157 9,069 — 69,111 Mortgage loans: Held-for-sale, at fair value — 23,106 — — 23,106 Derivative assets, net: Interest-rate swaps — 2,127 — — 2,127 Option-based derivatives — 4,200 — — 4,200 Other — 90 1 — 91 Subtotal, before netting adjustments — 6,417 1 — 6,418 Netting adjustments (1) — — — (6,083 ) (6,083 ) Total derivative assets, net — 6,417 1 (6,083 ) 335 Other assets: Guarantee asset, at fair value — — 3,633 — 3,633 Non-derivative held-for-sale purchase commitments, at fair value — 159 — — 159 All other, at fair value — — 137 — 137 Total other assets — 159 3,770 — 3,929 Total assets carried at fair value on a recurring basis $15,885 $73,839 $12,840 ($6,083 ) $96,481 Liabilities: Debt securities of consolidated trusts held by third parties, at fair value $— $27 $728 $— $755 Other debt, at fair value — 4,223 134 — 4,357 Derivative liabilities, net: Interest-rate swaps — 3,974 — — 3,974 Option-based derivatives — 137 — — 137 Other — 225 92 — 317 Subtotal, before netting adjustments — 4,336 92 — 4,428 Netting adjustments (1) — — — (3,845 ) (3,845 ) Total derivative liabilities, net — 4,336 92 (3,845 ) 583 Other liabilities: Non-derivative held-for-sale purchase commitments, at fair value — 17 — — 17 Total liabilities carried at fair value on a recurring basis $— $8,603 $954 ($3,845 ) $5,712 (1) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable. |
Table - Assets and Liabilities on Our Consolidated Balance Sheets Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs | The tables below present a reconciliation of all assets and liabilities measured on our consolidated balance sheets at fair value on a recurring basis using significant unobservable inputs (Level 3), including transfers into and out of Level 3. The tables also present gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our consolidated statements of comprehensive income for Level 3 assets and liabilities. Table 15.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs Year Ended December 31, 2019 Balance, Realized and unrealized gains (losses) Purchases Issues Sales Settlements, Transfers (1) Transfers (1) Balance, Change in Unrealized Gains(Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2019 (3) (In millions) Included in Included in other Total Assets Investments in securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $4,135 $23 $108 $131 $— $— ($1,883 ) ($367 ) $2 ($58 ) $1,960 $2 Non-agency and other 1,640 82 (1 ) 81 — — (238 ) (216 ) — — 1,267 14 Total available-for-sale mortgage-related securities 5,775 105 107 212 — — (2,121 ) (583 ) 2 (58 ) 3,227 16 Trading, at fair value: Mortgage-related securities: Agency 3,293 (280 ) — (280 ) 596 — (616 ) (104 ) — (180 ) 2,709 (248 ) Non-agency 1 — — — — — — — — — 1 — Total trading mortgage-related securities 3,294 (280 ) — (280 ) 596 — (616 ) (104 ) — (180 ) 2,710 (248 ) Other assets: Guarantee asset 3,633 33 — 33 — 1,427 — (667 ) — — 4,426 33 All other, at fair value 137 (38 ) — (38 ) 85 36 (85 ) (15 ) — — 120 (70 ) Total other assets $3,770 ($5 ) $— ($5 ) $85 $1,463 ($85 ) ($682 ) $— $— $4,546 ($37 ) Balance, Realized and unrealized (gains) losses Purchases Issues Sales Settlements, Transfers (1) Transfers (1) Balance, Change in Unrealized Gains(Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2019 (3) Included in Included in Total Liabilities Debt securities of consolidated trusts held by third parties, at fair value $728 $5 $— $5 $— $— $— ($530 ) $— $— $203 $5 Other debt, at fair value 134 — — — — 4 — (9 ) — — 129 — Net derivatives (2) 91 (51 ) — (51 ) — — — (19 ) — — 21 (68 ) Other liabilities: All other, at fair value — (3 ) — (3 ) 6 — (2 ) — — — 1 (5 ) Referenced footnotes are included after the prior period tables. Year Ended December 31, 2018 Balance, January 1, 2018 Realized and unrealized gains (losses) Purchases Issues Sales Settlements, net Transfers into Level 3 (1) Transfers out of Level 3 (1) Balance, December 31, 2018 Change in Unrealized Gains(Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2018 (3) (In millions) Included in earnings Included in other comprehensive income Total Assets Investments in securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $6,797 ($31 ) ($214 ) ($245 ) $56 $— ($1,546 ) ($926 ) $— ($1 ) $4,135 ($7 ) Non-agency and other 4,291 948 (644 ) 304 — — (2,481 ) (474 ) — — 1,640 23 Total available-for-sale mortgage-related securities 11,088 917 (858 ) 59 56 — (4,027 ) (1,400 ) — (1 ) 5,775 16 Trading, at fair value: Mortgage-related securities: Agency 2,916 (517 ) — (517 ) 1,484 — (1,058 ) (79 ) 579 (32 ) 3,293 (449 ) Non-agency 1 — — — — — — — — — 1 — Total trading mortgage-related securities 2,917 (517 ) — (517 ) 1,484 — (1,058 ) (79 ) 579 (32 ) 3,294 (449 ) Other assets: Guarantee asset 3,171 (80 ) — (80 ) — 1,118 — (576 ) — — 3,633 (80 ) All other, at fair value 45 28 — 28 102 31 (57 ) (12 ) — — 137 25 Total other assets $3,216 ($52 ) $— ($52 ) $102 $1,149 ($57 ) ($588 ) $— $— $3,770 ($55 ) Balance, Realized and unrealized (gains) losses Purchases Issues Sales Settlements, net Transfers into Level 3 (1) Transfers out of Level 3 (1) Balance, Change in Unrealized Gains(Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2018 (3) Included in earnings Included in other comprehensive income Total Liabilities Debt securities of consolidated trusts held by third parties, at fair value $630 ($2 ) $— ($2 ) $— $100 $— $— $— $— $728 ($2 ) Other debt, at fair value 137 — — — — 2 — (5 ) — — 134 — Net derivatives (2) 57 37 — 37 — 15 — (18 ) — — 91 20 (1) Transfers out of Level 3 during 2019 and 2018 consisted primarily of certain mortgage-related securities due to an increased volume and level of activity in the market and availability of price quotes from dealers and third-party pricing services. Certain Agency securities are classified as Level 3 at issuance and generally are classified as Level 2 when they begin trading. Transfers into Level 3 during 2019 and 2018 consisted primarily of certain mortgage-related securities due to a decrease in market activity and the availability of relevant price quotes from dealers and third-party pricing services. (2) Amounts are the net of derivative assets and liabilities prior to counterparty netting, cash collateral netting, net trade/settle receivable or payable, and net derivative interest receivable or payable. (3) Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains and losses related to assets and liabilities classified as Level 3 that were still held at December 31, 2019 and December 31, 2018, respectively. This amount includes other-than temporary impairments recorded on available-for-sale securities and amortization of basis adjustment. |
Table - Assets and Liabilities on Our Consolidated Balance Sheets Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs | The tables below present a reconciliation of all assets and liabilities measured on our consolidated balance sheets at fair value on a recurring basis using significant unobservable inputs (Level 3), including transfers into and out of Level 3. The tables also present gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our consolidated statements of comprehensive income for Level 3 assets and liabilities. Table 15.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs Year Ended December 31, 2019 Balance, Realized and unrealized gains (losses) Purchases Issues Sales Settlements, Transfers (1) Transfers (1) Balance, Change in Unrealized Gains(Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2019 (3) (In millions) Included in Included in other Total Assets Investments in securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $4,135 $23 $108 $131 $— $— ($1,883 ) ($367 ) $2 ($58 ) $1,960 $2 Non-agency and other 1,640 82 (1 ) 81 — — (238 ) (216 ) — — 1,267 14 Total available-for-sale mortgage-related securities 5,775 105 107 212 — — (2,121 ) (583 ) 2 (58 ) 3,227 16 Trading, at fair value: Mortgage-related securities: Agency 3,293 (280 ) — (280 ) 596 — (616 ) (104 ) — (180 ) 2,709 (248 ) Non-agency 1 — — — — — — — — — 1 — Total trading mortgage-related securities 3,294 (280 ) — (280 ) 596 — (616 ) (104 ) — (180 ) 2,710 (248 ) Other assets: Guarantee asset 3,633 33 — 33 — 1,427 — (667 ) — — 4,426 33 All other, at fair value 137 (38 ) — (38 ) 85 36 (85 ) (15 ) — — 120 (70 ) Total other assets $3,770 ($5 ) $— ($5 ) $85 $1,463 ($85 ) ($682 ) $— $— $4,546 ($37 ) Balance, Realized and unrealized (gains) losses Purchases Issues Sales Settlements, Transfers (1) Transfers (1) Balance, Change in Unrealized Gains(Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2019 (3) Included in Included in Total Liabilities Debt securities of consolidated trusts held by third parties, at fair value $728 $5 $— $5 $— $— $— ($530 ) $— $— $203 $5 Other debt, at fair value 134 — — — — 4 — (9 ) — — 129 — Net derivatives (2) 91 (51 ) — (51 ) — — — (19 ) — — 21 (68 ) Other liabilities: All other, at fair value — (3 ) — (3 ) 6 — (2 ) — — — 1 (5 ) Referenced footnotes are included after the prior period tables. Year Ended December 31, 2018 Balance, January 1, 2018 Realized and unrealized gains (losses) Purchases Issues Sales Settlements, net Transfers into Level 3 (1) Transfers out of Level 3 (1) Balance, December 31, 2018 Change in Unrealized Gains(Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2018 (3) (In millions) Included in earnings Included in other comprehensive income Total Assets Investments in securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $6,797 ($31 ) ($214 ) ($245 ) $56 $— ($1,546 ) ($926 ) $— ($1 ) $4,135 ($7 ) Non-agency and other 4,291 948 (644 ) 304 — — (2,481 ) (474 ) — — 1,640 23 Total available-for-sale mortgage-related securities 11,088 917 (858 ) 59 56 — (4,027 ) (1,400 ) — (1 ) 5,775 16 Trading, at fair value: Mortgage-related securities: Agency 2,916 (517 ) — (517 ) 1,484 — (1,058 ) (79 ) 579 (32 ) 3,293 (449 ) Non-agency 1 — — — — — — — — — 1 — Total trading mortgage-related securities 2,917 (517 ) — (517 ) 1,484 — (1,058 ) (79 ) 579 (32 ) 3,294 (449 ) Other assets: Guarantee asset 3,171 (80 ) — (80 ) — 1,118 — (576 ) — — 3,633 (80 ) All other, at fair value 45 28 — 28 102 31 (57 ) (12 ) — — 137 25 Total other assets $3,216 ($52 ) $— ($52 ) $102 $1,149 ($57 ) ($588 ) $— $— $3,770 ($55 ) Balance, Realized and unrealized (gains) losses Purchases Issues Sales Settlements, net Transfers into Level 3 (1) Transfers out of Level 3 (1) Balance, Change in Unrealized Gains(Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2018 (3) Included in earnings Included in other comprehensive income Total Liabilities Debt securities of consolidated trusts held by third parties, at fair value $630 ($2 ) $— ($2 ) $— $100 $— $— $— $— $728 ($2 ) Other debt, at fair value 137 — — — — 2 — (5 ) — — 134 — Net derivatives (2) 57 37 — 37 — 15 — (18 ) — — 91 20 (1) Transfers out of Level 3 during 2019 and 2018 consisted primarily of certain mortgage-related securities due to an increased volume and level of activity in the market and availability of price quotes from dealers and third-party pricing services. Certain Agency securities are classified as Level 3 at issuance and generally are classified as Level 2 when they begin trading. Transfers into Level 3 during 2019 and 2018 consisted primarily of certain mortgage-related securities due to a decrease in market activity and the availability of relevant price quotes from dealers and third-party pricing services. (2) Amounts are the net of derivative assets and liabilities prior to counterparty netting, cash collateral netting, net trade/settle receivable or payable, and net derivative interest receivable or payable. (3) Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains and losses related to assets and liabilities classified as Level 3 that were still held at December 31, 2019 and December 31, 2018, respectively. This amount includes other-than temporary impairments recorded on available-for-sale securities and amortization of basis adjustment. |
Table - Quantitative Information about Recurring Level 3 Fair Value Measurements | The tables below provide valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets and liabilities measured on our consolidated balance sheets at fair value on a recurring basis. Table 15.3 - Quantitative Information about Recurring Level 3 Fair Value Measurements December 31, 2019 Level 3 Predominant Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Assets Available-for-sale, at fair value Mortgage-related securities Agency $1,960 Discounted cash flows OAS 30 - 261 bps 80 bps Non-agency and other 886 Median of external sources External pricing sources $71.9 - $78.2 $75.0 381 Other Trading, at fair value Mortgage-related securities Agency 1,948 Single external source External pricing sources $0.0 - $100.7 $36.6 761 Discounted cash flows OAS (1,201) - 8,095 bps 611 bps Guarantee asset, at fair value 4,141 Discounted cash flows OAS 17 - 186 bps 40 bps 285 Other Insignificant Level 3 assets (1) 137 Total level 3 assets $10,499 Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 Single External Source External Pricing Sources $99.4 - $103.6 $101.4 Insignificant Level 3 liabilities (1) 167 Referenced footnotes are included after the next table. December 31, 2018 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average Assets Available-for-sale, at fair value Mortgage-related securities Agency $2,876 Discounted cash flows OAS 30 - 325 bps 81 bps 1,259 Single external source External pricing sources $96.1 - $104.1 $102.3 Non-agency and other 1,403 Median of external sources External pricing sources $64.3 - $71.1 $67.3 237 Single external source External pricing sources $93.1 - $110.7 $100.7 Trading, at fair value Mortgage-related securities Agency 1,594 Single external source External pricing sources $0.0 - $99.2 $56.6 1,178 Discounted cash flows OAS (21,945) - 6,639 bps 90 bps 521 Other Guarantee asset, at fair value 3,391 Discounted cash flows OAS 17 - 198 bps 49 bps 242 Other Insignificant Level 3 assets (1) 139 Total level 3 assets $12,840 Liabilities Debt securities of consolidated trusts held by third parties, at fair value $728 Single External Source External Pricing Sources $97.4 - $101.1 $99.6 Insignificant Level 3 liabilities (1) 226 (1) Represents the aggregate amount of Level 3 assets or liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant. |
Table - Asset Measured at Fair Value on a Non-Recurring Basis | The table below presents assets measured on our consolidated balance sheets at fair value on a non-recurring basis. Table 15.4 - Assets Measured at Fair Value on a Non-Recurring Basis December 31, 2019 December 31, 2018 (In millions) Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Assets measured at fair value on a non-recurring basis: Mortgage loans (1) $— $22 $4,059 $4,081 $— $24 $7,519 $7,543 (1) Includes loans that are classified as held-for-investment and have been measured for impairment based on the fair value of the underlying collateral and held-for-sale loans where the fair value is below cost. |
Table - Fair Value Assets Measured on Nonrecurring Basis Valuation Techniques | The tables below provide valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets and liabilities measured on our consolidated balance sheets at fair value on a non-recurring basis. Table 15.5 - Quantitative Information about Non-Recurring Level 3 Fair Value Measurements December 31, 2019 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average Non-recurring fair value measurements Mortgage loans $4,059 Internal model Historical sales proceeds $3,000 - $765,000 $186,234 Internal model Housing sales index 46 - 420 bps 112 bps Median of external sources External pricing sources $66.5 - $105.4 $95.0 December 31, 2018 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average Non-recurring fair value measurements Mortgage loans $7,519 Internal model Historical sales proceeds $3,000 - $750,500 $177,725 Internal model Housing sales index 44 - 480 bps 108 bps Median of external sources External pricing sources $36.2 - $94.6 $82.5 |
Table - Fair Value of Financial Instruments | The tables below present the carrying value and estimated fair value of our financial instruments. For certain types of financial instruments, such as cash and cash equivalents, securities purchased under agreements to resell, secured lending and other, and certain debt, the carrying value on our GAAP balance sheets approximates fair value, as these assets and liabilities are short-term in nature and have limited fair value volatility. Table 15.6 - Fair Value of Financial Instruments December 31, 2019 GAAP Measurement Category (1) GAAP Carrying Amount Fair Value (In millions) Level 1 Level 2 Level 3 Netting Adjustments (2) Total Financial Assets Cash and cash equivalents Amortized cost $5,189 $5,189 $— $— $— $5,189 Securities purchased under agreements to resell Amortized cost 66,114 — 66,114 — — 66,114 Investments in securities: Available-for-sale, at fair value FV - OCI 26,174 — 22,947 3,227 — 26,174 Trading, at fair value FV - NI 49,537 25,108 21,719 2,710 — 49,537 Total investments in securities 75,711 25,108 44,666 5,937 — 75,711 Mortgage loans: Loans held by consolidated trusts 1,940,523 — 1,732,434 244,500 — 1,976,934 Loans held by Freddie Mac 79,677 — 38,100 45,588 — 83,688 Total mortgage loans Various (3) 2,020,200 — 1,770,534 290,088 — 2,060,622 Derivative assets, net FV - NI 844 — 6,363 16 (5,535 ) 844 Guarantee asset FV - NI 4,426 — — 4,433 — 4,433 Non-derivative purchase commitments, at fair value FV - NI 81 — 90 72 — 162 Secured lending and other Amortized cost 4,186 — 1,874 2,131 — 4,005 Total financial assets $2,176,751 $30,297 $1,889,641 $302,677 ($5,535 ) $2,217,080 Financial Liabilities Debt, net: Debt securities of consolidated trusts held by third parties $1,898,355 $— $1,931,473 $1,277 $— $1,932,750 Other debt 281,173 — 282,431 3,619 — 286,050 Total debt, net Various (4) 2,179,528 — 2,213,904 4,896 — 2,218,800 Derivative liabilities, net FV - NI 372 — 5,245 37 (4,910 ) 372 Guarantee obligation Amortized cost 4,292 — — 4,527 — 4,527 Non-derivative purchase commitments, at fair value FV - NI 7 — 7 67 — 74 Total financial liabilities $2,184,199 $— $2,219,156 $9,527 ($4,910 ) $2,223,773 (1) FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income. (2) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable. (3) As of December 31, 2019, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value and FV - NI were $2.0 trillion , $20.3 billion and $15.0 billion , respectively. (4) As of December 31, 2019, the GAAP carrying amounts measured at amortized cost and FV - NI were $2.2 trillion and $3.9 billion , respectively. December 31, 2018 GAAP Measurement Category (1) GAAP Carrying Amount Fair Value (In millions) Level 1 Level 2 Level 3 Netting Adjustments (2) Total Financial Assets Cash and cash equivalents Amortized cost $7,273 $7,273 $— $— $— $7,273 Securities purchased under agreements to resell Amortized cost 34,771 — 34,771 — — 34,771 Investments in securities: Available-for-sale, at fair value FV - OCI 33,563 — 27,788 5,775 — 33,563 Trading, at fair value FV - NI 35,548 15,885 16,369 3,294 — 35,548 Total investments in securities 69,111 15,885 44,157 9,069 — 69,111 Mortgage loans: Loans held by consolidated trusts 1,842,850 — 1,605,874 209,542 — 1,815,416 Loans held by Freddie Mac 84,128 — 33,946 52,212 — 86,158 Total mortgage loans Various (3) 1,926,978 — 1,639,820 261,754 — 1,901,574 Derivative assets, net FV - NI 335 — 6,417 1 (6,083 ) 335 Guarantee asset FV - NI 3,633 — — 3,642 — 3,642 Non-derivative purchase commitments, at fair value FV - NI 159 — 159 2 — 161 Secured lending and other Amortized cost 1,805 — 195 873 — 1,068 Total financial assets $2,044,065 $23,158 $1,725,519 $275,341 ($6,083 ) $2,017,935 Financial Liabilities Debt, net: Debt securities of consolidated trusts held by third parties $1,792,677 $— $1,759,911 $2,698 $— $1,762,609 Other debt 252,273 — 251,543 3,629 — 255,172 Total debt, net Various (4) 2,044,950 — 2,011,454 6,327 — 2,017,781 Derivative liabilities, net FV - NI 583 — 4,336 92 (3,845 ) 583 Guarantee obligation Amortized cost 3,561 — — 4,146 — 4,146 Non-derivative purchase commitments, at fair value FV - NI 17 — 17 11 — 28 Total financial liabilities $2,049,111 $— $2,015,807 $10,576 ($3,845 ) $2,022,538 (1) FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income. (2) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable. (3) As of December 31, 2018, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value and FV - NI were $1.9 trillion , $18.5 billion and $23.1 billion , respectively. (4) As of December 31, 2018, the GAAP carrying amounts measured at amortized cost and FV - NI were $2.0 trillion and $5.1 billion |
Table - Difference between Fair Value and Unpaid Principal Balance for Certain Financial Instruments with Fair Value Option Elected | The table below presents the fair value and UPB related to certain loans and long-term debt for which we have elected the fair value option. This table does not include interest-only securities related to debt securities of consolidated trusts and other debt held by third parties with a fair value of $146 million and $26 million and multifamily held-for-sale loan purchase commitments with a fair value of $74 million and $142 million , as of December 31, 2019 and December 31, 2018, respectively. Table 15.7 - Difference between Fair Value and Unpaid Principal Balance for Certain Financial Instruments with Fair Value Option Elected December 31, 2019 December 31, 2018 (In millions) Multifamily Held-For-Sale Loans Other Debt - Long Term Debt Securities of Consolidated Trusts Held by Third Parties Multifamily Held-For-Sale Loans Other Debt - Long Term Debt Securities of Consolidated Trusts Held by Third Parties Fair value $15,035 $3,589 $203 $23,106 $4,357 $728 Unpaid principal balance 14,444 3,329 200 22,693 3,998 730 Difference $591 $260 $3 $413 $359 ($2 ) The table below presents the changes in fair value included in non-interest income (loss) on our consolidated statements of comprehensive income, related to items for which we have elected the fair value option. Table 15.8 - Changes in Fair Value under the Fair Value Option Election December 31, 2019 December 31, 2018 December 31, 2017 (In millions) Gains (Losses) Multifamily held-for-sale loans $853 ($745 ) $2 Multifamily held-for-sale loan purchase commitments 1,913 777 1,098 Other debt - long term 136 138 (212 ) Debt securities of consolidated trusts held by third parties (4 ) 5 22 |
Regulatory Capital (Tables)
Regulatory Capital (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Mortgage Banking [Abstract] | |
Table - Net Worth and Minimum Capital | The table below summarizes our minimum capital requirements and deficits and net worth. Table 17.1 - Net Worth and Minimum Capital (In millions) December 31, 2019 December 31, 2018 GAAP net worth (deficit) $9,122 $4,477 Core capital (deficit) (1)(2) (63,964 ) (68,036 ) Less: Minimum capital requirement (1) 19,123 17,553 Minimum capital surplus (deficit) (1) ($83,087 ) ($85,589 ) (1) Core capital and minimum capital figures are estimates and represent amounts submitted to FHFA. FHFA is the authoritative source for our regulatory capital. (2) Core capital excludes certain components of GAAP total equity (i.e., AOCI and the liquidation preference of the senior preferred stock) as these items do not meet the statutory definition of core capital. |
Selected Financial Statement _2
Selected Financial Statement Line Items (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Selected Financial Statement Data [Abstract] | |
Table - Significant Components of Other Income (Loss) | The table below presents the significant components of other income (loss) on our consolidated statements of comprehensive income (loss). Table 18.1 - Significant Components of Other Income (Loss) Year Ended December 31, (In millions) 2019 2018 2017 Other income (loss): Non-agency mortgage-related securities settlement and judgment $26 $338 $4,532 All other 297 424 452 Total other income (loss) $323 $762 $4,984 |
ComponentsofInvestmentGainLoss [Table Text Block] | The table below presents the significant components of investment gains (losses), net on our consolidated statements of comprehensive income (loss). Table 18.2 - Significant Components of Investment Gains (Losses), Net Year Ended December 31, (In millions) 2019 2018 2017 Investment gains (losses), net: Mortgage loans gains (losses) $4,744 $746 $2,062 Investment securities gains (losses) 389 (815 ) 935 Debt gains (losses) 201 720 151 Derivative gains (losses) (4,516 ) 1,270 (1,988 ) Investment gains (losses), net $818 $1,921 $1,160 |
Table - Significant Components of Other Assets and Other Liabilities | The table below presents the significant components of other assets and other liabilities on our consolidated balance sheets. Table 18.3 - Significant Components of Other Assets and Other Liabilities As of December 31, (In millions) 2019 2018 Other assets: Real estate owned, net $555 $769 Accounts and other receivables (1) 10,780 2,447 Guarantee asset 4,426 3,633 Secured lending and other 5,158 1,805 All other 1,880 2,322 Total other assets $22,799 $10,976 Other liabilities: Guarantee obligation $4,292 $3,561 All other 3,750 2,837 Total other liabilities $8,042 $6,398 (1) Primarily consists of servicer receivables and other non-interest receivables. |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Change in Accounting Estimate [Line Items] | ||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | $ 0 | |
Accounting Standards Update 2016-13 | ||
Change in Accounting Estimate [Line Items] | ||
New Accounting Pronouncement or Change in Accounting Principle, Effect of Adoption, Quantification | $ 200 |
Conservatorship and Related M_2
Conservatorship and Related Matters (Details) | Mar. 30, 2018USD ($) | Jun. 29, 2012USD ($) | Mar. 30, 2012USD ($) | Dec. 30, 2011USD ($) | Sep. 30, 2011USD ($) | Mar. 31, 2011USD ($) | Dec. 30, 2010USD ($) | Sep. 30, 2010USD ($) | Jun. 30, 2010USD ($) | Jun. 30, 2009USD ($) | Mar. 31, 2009USD ($) | Nov. 24, 2008USD ($) | Sep. 08, 2008USD ($)shares | Dec. 31, 2019USD ($)numberofstrategicgoals | Sep. 30, 2019USD ($) | Jun. 30, 2019USD ($) | Dec. 31, 2019USD ($)numberofstrategicgoals | Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) | Dec. 31, 2012 | Dec. 31, 2018USD ($) | Mar. 31, 2020USD ($) |
Conservatorship and related matters line items | ||||||||||||||||||||||
Number of strategic goals | numberofstrategicgoals | 3 | 3 | ||||||||||||||||||||
Applicable capital reserve amount | $ 20,000,000,000 | $ 20,000,000,000 | $ 20,000,000,000 | |||||||||||||||||||
Applicable capital reserve amount if we don't pay the full dividend requirement in a future period | 0 | 0 | ||||||||||||||||||||
Remaining funding available under Purchase Agreement | $ 140,200,000,000 | $ 140,200,000,000 | ||||||||||||||||||||
Initial liquidation preference of senior preferred stock | $ 1,000,000,000 | |||||||||||||||||||||
Common stock warrant, percentage of common stock shares that can be purchased | 79.90% | 79.90% | ||||||||||||||||||||
Cash Proceeds Received Upon Issuing The Senior Preferred Stock | $ 0 | $ 0 | ||||||||||||||||||||
Increase in liquidation preference | 0 | $ 312,000,000 | ||||||||||||||||||||
Preference Liquidation Maximum Increase | 17,000,000,000 | 17,000,000,000 | 17,000,000,000 | |||||||||||||||||||
Aggregate liquidation preference on senior preferred stock | 79,322,000,000 | 77,500,000,000 | 79,322,000,000 | 75,648,000,000 | $ 75,648,000,000 | |||||||||||||||||
Net Worth Increase | 2,400,000,000 | $ 1,800,000,000 | $ 1,800,000,000 | |||||||||||||||||||
Allowance of non-ordinary course asset sales | 250,000,000 | 250,000,000 | ||||||||||||||||||||
Maximum limit of the UPB of mortgage-related investments portfolio | 225,000,000,000 | 225,000,000,000 | 250,000,000,000 | 250,000,000,000 | ||||||||||||||||||
Debt cap under Purchase Agreement for the current year | 300,000,000,000 | 300,000,000,000 | ||||||||||||||||||||
UPB of mortgage-related investments portfolio | 212,700,000,000 | 212,700,000,000 | ||||||||||||||||||||
Aggregate dividend payments since conservatorship began | $ 119,700,000,000 | $ 119,700,000,000 | ||||||||||||||||||||
Basis points of each dollar of new business purchases required by GSE Act. | 0.042% | 0.042% | ||||||||||||||||||||
Subsequent Event | ||||||||||||||||||||||
Conservatorship and related matters line items | ||||||||||||||||||||||
Aggregate liquidation preference on senior preferred stock | $ 81,800,000,000 | |||||||||||||||||||||
U.S. Government | ||||||||||||||||||||||
Conservatorship and related matters line items | ||||||||||||||||||||||
Amount of related party transaction | $ 0 | $ 0 | $ 0 | |||||||||||||||||||
CSS | ||||||||||||||||||||||
Conservatorship and related matters line items | ||||||||||||||||||||||
Amount of related party transaction | 105,000,000 | $ 569,000,000 | ||||||||||||||||||||
Senior Preferred Stock | ||||||||||||||||||||||
Conservatorship and related matters line items | ||||||||||||||||||||||
Senior preferred stock, shares issued | shares | 1,000,000 | |||||||||||||||||||||
Initial liquidation preference of senior preferred stock | $ 1,000,000,000 | |||||||||||||||||||||
Senior Preferred Stock, Dividend Rate | 10.00% | |||||||||||||||||||||
Increase in liquidation preference | $ 312,000,000 | $ 19,000,000 | $ 146,000,000 | $ 5,992,000,000 | $ 1,479,000,000 | $ 500,000,000 | $ 100,000,000 | $ 1,800,000,000 | $ 10,600,000,000 | $ 6,100,000,000 | $ 30,800,000,000 | $ 13,800,000,000 | 71,648,000,000 | |||||||||
Aggregate liquidation preference on senior preferred stock | $ 79,322,000,000 | $ 79,322,000,000 |
Securitization Activities and_3
Securitization Activities and Consolidation (Details) - USD ($) $ in Billions | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Senior Subordinate Securitization Products | Single-family Guarantee | ||
Variable Interest Entity [Line Items] | ||
Consolidated UPB of VIE | $ 19.9 | $ 26.1 |
Variable Interest Entity, Not Primary Beneficiary [Member] | K Certificates | Multifamily | ||
Variable Interest Entity [Line Items] | ||
UPB of Issuances and Guarantees | 53.6 | 52.2 |
Variable Interest Entity, Not Primary Beneficiary [Member] | SB Certificate | Multifamily | ||
Variable Interest Entity [Line Items] | ||
UPB of Issuances and Guarantees | 6.2 | 6.3 |
Variable Interest Entity, Not Primary Beneficiary [Member] | Senior Subordinate Securitization Products | Single-family Guarantee | ||
Variable Interest Entity [Line Items] | ||
UPB of Issuances and Guarantees | 11.2 | 8.4 |
Variable Interest Entity, Not Primary Beneficiary [Member] | Other Securitization Products | Multifamily | ||
Variable Interest Entity [Line Items] | ||
UPB of Issuances and Guarantees | 3.1 | 3.4 |
Level 1 Securitization Products | Single-family Guarantee | ||
Variable Interest Entity [Line Items] | ||
Consolidated UPB of VIE | 1,900 | 1,800 |
UPB of Issuances and Guarantees | 440.2 | 309.9 |
Other Securitization Trust | Other Securitization Products | Single-family Guarantee | ||
Variable Interest Entity [Line Items] | ||
Consolidated UPB of VIE | 2.8 | 3.4 |
Other Securitization Trust | Other Securitization Products | Multifamily | ||
Variable Interest Entity [Line Items] | ||
Consolidated UPB of VIE | $ 8.7 | $ 7.2 |
Securitization Activities and_4
Securitization Activities and Consolidation - Consolidated VIEs (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 |
Variable Interest Entity, Consolidated, Carrying Amount, Assets [Abstract] | ||||
Cash and cash equivalents | $ 5,189 | $ 7,273 | $ 9,811 | $ 22,220 |
Restricted cash and cash equivalents | 991 | 596 | ||
Securities purchased under agreement to resell | 66,114 | 34,771 | ||
Investments in securities, at fair value | 75,711 | 69,111 | ||
Mortgage loans held-for-investment | 1,984,912 | 1,885,356 | ||
Accrued interest receivable | 6,848 | 6,728 | ||
Other assets | 22,799 | 10,976 | ||
Total assets | 2,203,623 | 2,063,060 | ||
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities [Abstract] | ||||
Accrued interest payable | 6,559 | 6,652 | ||
Debt, net | 2,179,528 | 2,044,950 | ||
Other Liabilities | 8,042 | 6,398 | ||
Total liabilities | 2,194,501 | 2,058,583 | ||
Held by consolidated trusts | ||||
Variable Interest Entity, Consolidated, Carrying Amount, Assets [Abstract] | ||||
Cash and cash equivalents | 870 | 567 | ||
Restricted cash and cash equivalents | 869 | 566 | ||
Securities purchased under agreement to resell | 23,137 | 12,125 | ||
Investments in securities, at fair value | 597 | 0 | ||
Mortgage loans held-for-investment | 1,940,523 | 1,842,850 | ||
Accrued interest receivable | 6,170 | 5,914 | ||
Other assets | 9,824 | 1,631 | ||
Total assets | 1,981,121 | 1,863,087 | ||
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities [Abstract] | ||||
Accrued interest payable | 5,536 | 5,335 | ||
Debt, net | 1,898,355 | 1,792,677 | ||
Other Liabilities | 1 | 0 | ||
Total liabilities | $ 1,903,892 | $ 1,798,012 |
Securitization Activities and_5
Securitization Activities and Consolidation - Non-Consolidated VIEs (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Assets [Abstract] | ||
Investments in securities, at fair value | $ 75,711 | $ 69,111 |
Accrued interest receivable | 6,848 | 6,728 |
Derivative Assets, net | 844 | 335 |
Other Assets | 22,799 | 10,976 |
Liabilities [Abstract] | ||
Derivative liability, net | 372 | 583 |
Other Liabilities | 8,042 | 6,398 |
Variable Interest Entity, Not Primary Beneficiary [Member] | ||
Assets [Abstract] | ||
Investments in securities, at fair value | 37,918 | 44,020 |
Accrued interest receivable | 212 | 235 |
Derivative Assets, net | 14 | 1 |
Other Assets | 3,951 | 3,119 |
Liabilities [Abstract] | ||
Derivative liability, net | 108 | 88 |
Other Liabilities | 3,761 | 3,049 |
Maximum Exposure to Loss | 281,007 | 241,055 |
Total Assets of Non-Consolidated VIEs | $ 335,562 | $ 284,724 |
Mortgage Loans and Loan Loss _3
Mortgage Loans and Loan Loss Reserves (Details) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019USD ($)numberofloans | Dec. 31, 2018USD ($)numberofloans | Dec. 31, 2017USD ($)numberofloans | |
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
Noncash acquisition, mortgage loans held-for-investment acquired | $ 238,400 | $ 164,000 | $ 229,200 |
Transfers from advances to lenders to loans HFI | 47,400 | 25,600 | 35,900 |
CredittoAdvancesToLenderCashPath | 2,600 | 200 | |
Real Estate Owned, Transfer to Real Estate Owned | $ 800 | $ 1,000 | $ 1,100 |
Held by Freddie Mac | |||
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
Allowance for loan losses as a percentage of recorded investment of mortgage loans, held for investment | 3.40% | 6.60% | 7.80% |
Held by consolidated trusts | |||
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
Allowance for loan losses as a percentage of recorded investment of mortgage loans, held for investment | 0.10% | 0.20% | 0.20% |
Other loss mitigation activities | |||
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
Number of Loans, Modifications, Subsequent Default | numberofloans | 5,158 | 8,488 | 7,090 |
Post-TDR Recorded Investment, Modifications, Subsequent Default | $ 600 | $ 1,000 | $ 900 |
Single-family | |||
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
SF UPB removed from Consolidated Trust | $ 5,600 | $ 7,800 | |
Number of Loans, Modifications, Subsequent Default | numberofloans | 14,882 | 15,467 | 16,172 |
Post-TDR Recorded Investment, Modifications, Subsequent Default | $ 1,882 | $ 2,115 | $ 2,574 |
Interest rate reduction and term extension types, percentage of completed modifications | 9.00% | 12.00% | 37.00% |
Principal forebearance and interest rate reductions and term extension types, percentage of completed modifications | 23.00% | 24.00% | 14.00% |
Average term extension, number of months of completed modifications | 180 months | 132 months | 176 months |
Average interest rate reduction, percentage of completed modifications | 0.10% | 0.20% | 0.60% |
Multifamily | |||
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
Number of Loans, Modifications, Subsequent Default | numberofloans | 0 | 0 | 0 |
Post-TDR Recorded Investment, Modifications, Subsequent Default | $ 0 | $ 0 | $ 0 |
Mortgage Loans and Loan Loss _4
Mortgage Loans and Loan Loss Reserves - Mortgage Loans (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
UPB of mortgage loans - HFS | $ 37,497 | $ 44,905 |
Cost basis and fair value adjustments, net HFS | (2,209) | (3,283) |
Total held-for-sale loans, net | 35,288 | 41,622 |
UPB of mortgage loans - HFI | 1,955,755 | 1,864,941 |
Cost basis adjustment HFI | 33,391 | 26,554 |
Allowance for loan losses on mortgage loans held-for-investment | (4,234) | (6,139) |
Total held-for-investment mortgage loans, net | 1,984,912 | 1,885,356 |
Total loans, net | 2,020,200 | 1,926,978 |
Single-family | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
UPB of mortgage loans - HFS | 18,543 | 20,946 |
UPB of mortgage loans - HFI | 1,938,282 | 1,849,893 |
Allowance for loan losses on mortgage loans held-for-investment | (4,222) | (6,130) |
Total held-for-investment mortgage loans, net | 1,967,435 | 1,870,335 |
Multifamily | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
UPB of mortgage loans - HFS | 18,954 | 23,959 |
UPB of mortgage loans - HFI | 17,473 | 15,048 |
Allowance for loan losses on mortgage loans held-for-investment | (12) | (9) |
Total held-for-investment mortgage loans, net | 17,477 | 15,021 |
Held by Freddie Mac | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
UPB of mortgage loans - HFS | 37,497 | 44,905 |
Cost basis and fair value adjustments, net HFS | (2,209) | (3,283) |
Total held-for-sale loans, net | 35,288 | 41,622 |
UPB of mortgage loans - HFI | 46,155 | 46,713 |
Cost basis adjustment HFI | (183) | (1,198) |
Allowance for loan losses on mortgage loans held-for-investment | (1,583) | (3,009) |
Total held-for-investment mortgage loans, net | 44,389 | 42,506 |
Total loans, net | 79,677 | 84,128 |
Held by Freddie Mac | Single-family | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
UPB of mortgage loans - HFS | 18,543 | 20,946 |
UPB of mortgage loans - HFI | 35,324 | 35,885 |
Held by Freddie Mac | Multifamily | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
UPB of mortgage loans - HFS | 18,954 | 23,959 |
UPB of mortgage loans - HFI | 10,831 | 10,828 |
Held by consolidated trusts | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
UPB of mortgage loans - HFS | 0 | 0 |
Cost basis and fair value adjustments, net HFS | 0 | 0 |
Total held-for-sale loans, net | 0 | 0 |
UPB of mortgage loans - HFI | 1,909,600 | 1,818,228 |
Cost basis adjustment HFI | 33,574 | 27,752 |
Allowance for loan losses on mortgage loans held-for-investment | (2,651) | (3,130) |
Total held-for-investment mortgage loans, net | 1,940,523 | 1,842,850 |
Total loans, net | 1,940,523 | 1,842,850 |
Held by consolidated trusts | Single-family | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
UPB of mortgage loans - HFS | 0 | 0 |
UPB of mortgage loans - HFI | 1,902,958 | 1,814,008 |
Held by consolidated trusts | Multifamily | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
UPB of mortgage loans - HFS | 0 | 0 |
UPB of mortgage loans - HFI | $ 6,642 | $ 4,220 |
Mortgage Loans and Loan Loss _5
Mortgage Loans and Loan Loss Reserves - Loans Purchased, Reclassified from Held-for-Investment to Held-for-Sale and Sold (Details) - USD ($) $ in Billions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Single-family | Held-for-Investment | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Financing Receivable, Purchase | $ 451.2 | $ 307.7 | $ 343 |
Financing Receivable, Reclassification to Held-for-sale | 13.6 | 21.7 | 26.2 |
Single-family | Held-for-Sale | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Financing Receivable, Sale | 13.1 | 10.2 | 8.7 |
Multifamily | Held-for-Investment | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Financing Receivable, Purchase | 9.5 | 5 | 5.3 |
Financing Receivable, Reclassification to Held-for-sale | 1.9 | 1.8 | 1.6 |
Multifamily | Held-for-Sale | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Financing Receivable, Purchase | 65.3 | 70.3 | 64.6 |
Financing Receivable, Sale | $ 71.3 | $ 68.1 | $ 61.9 |
Mortgage Loans and Loan Loss _6
Mortgage Loans and Loan Loss Reserves - Recorded Investment of Held-For-Investment Mortgage Loans, by LTV Ratio (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | $ 1,989,146 | $ 1,891,495 |
Single-Family serious delinquency rate | 0.63% | 0.69% |
Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | $ 1,677,268 | $ 1,557,667 |
Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 243,723 | 255,831 |
Single-family Adjustable-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 36,909 | 44,007 |
Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 13,757 | 18,960 |
Single Family Loans | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | $ 1,971,657 | $ 1,876,465 |
Single-Family serious delinquency rate | 0.63% | 0.69% |
Less Than Or Equal To 80 Estimated Current LTV Ratio | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | $ 1,405,562 | $ 1,336,310 |
Less Than Or Equal To 80 Estimated Current LTV Ratio | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 236,837 | 251,152 |
Less Than Or Equal To 80 Estimated Current LTV Ratio | Single-family Adjustable-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 35,478 | 42,117 |
Less Than Or Equal To 80 Estimated Current LTV Ratio | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 12,668 | 16,498 |
Less Than Or Equal To 80 Estimated Current LTV Ratio | Single Family Loans | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 1,690,545 | 1,646,077 |
Greater Than 80 Through 100 Estimated Current LTV Ratio | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 267,752 | 214,703 |
Greater Than 80 Through 100 Estimated Current LTV Ratio | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 6,797 | 4,522 |
Greater Than 80 Through 100 Estimated Current LTV Ratio | Single-family Adjustable-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 1,425 | 1,883 |
Greater Than 80 Through 100 Estimated Current LTV Ratio | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 901 | 1,903 |
Greater Than 80 Through 100 Estimated Current LTV Ratio | Single Family Loans | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 276,875 | 223,011 |
Greater Than 100 Estimated Current LTV Ratio | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 3,954 | 6,654 |
Greater Than 100 Estimated Current LTV Ratio | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 89 | 157 |
Greater Than 100 Estimated Current LTV Ratio | Single-family Adjustable-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 6 | 7 |
Greater Than 100 Estimated Current LTV Ratio | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 188 | 559 |
Greater Than 100 Estimated Current LTV Ratio | Single Family Loans | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | $ 4,237 | $ 7,377 |
Single-Family serious delinquency rate | 4.51% | 7.24% |
Mortgage Loans and Loan Loss _7
Mortgage Loans and Loan Loss Reserves - Recorded Investment of Multifamily Mortgage Loans, by Credit Quality Indicator (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | $ 1,989,146 | $ 1,891,495 |
Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 17,489 | 15,030 |
Pass | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 17,227 | 14,648 |
Special Mention | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 141 | 201 |
Substandard | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | 121 | 181 |
Doubtful | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Recorded investment of held-for-investment loans | $ 0 | $ 0 |
Mortgage Loans and Loan Loss _8
Mortgage Loans and Loan Loss Reserves - Recorded Investment of Held-for-Investment Loans by Payment Status (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Financing Receivable, Past Due [Line Items] | ||
Current | $ 1,962,006 | $ 1,862,429 |
Total recorded investment | 1,989,146 | 1,891,495 |
Non-Accrual | 6,396 | 8,138 |
Mortgage Loans in Process of Foreclosure, Amount | 1,800 | 2,900 |
Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Current | 1,653,113 | 1,532,499 |
Total recorded investment | 1,677,268 | 1,557,667 |
Non-Accrual | 5,822 | 6,881 |
Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Current | 242,177 | 254,376 |
Total recorded investment | 243,723 | 255,831 |
Non-Accrual | 252 | 263 |
Single-family Adjustable-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Current | 36,537 | 43,549 |
Total recorded investment | 36,909 | 44,007 |
Non-Accrual | 104 | 113 |
Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Past Due [Line Items] | ||
Current | 12,690 | 16,975 |
Total recorded investment | 13,757 | 18,960 |
Non-Accrual | 205 | 864 |
Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Current | 1,944,517 | 1,847,399 |
Total recorded investment | 1,971,657 | 1,876,465 |
Non-Accrual | 6,383 | 8,121 |
Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Current | 17,489 | 15,030 |
Total recorded investment | 17,489 | 15,030 |
Non-Accrual | 13 | 17 |
One month past due | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 17,339 | 16,784 |
One month past due | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 15,481 | 14,683 |
One month past due | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 1,131 | 1,021 |
One month past due | Single-family Adjustable-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 238 | 287 |
One month past due | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 489 | 793 |
One month past due | Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 17,339 | 16,784 |
One month past due | Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 0 | 0 |
Two months past due | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 3,707 | 4,158 |
Two months past due | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 3,326 | 3,602 |
Two months past due | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 175 | 171 |
Two months past due | Single-family Adjustable-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 45 | 58 |
Two months past due | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 161 | 327 |
Two months past due | Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 3,707 | 4,158 |
Two months past due | Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 0 | 0 |
Three months or more past due or in foreclosure | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 6,094 | 8,124 |
Three months or more past due or in foreclosure | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 5,348 | 6,883 |
Three months or more past due or in foreclosure | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 240 | 263 |
Three months or more past due or in foreclosure | Single-family Adjustable-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 89 | 113 |
Three months or more past due or in foreclosure | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 417 | 865 |
Three months or more past due or in foreclosure | Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 6,094 | 8,124 |
Three months or more past due or in foreclosure | Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | $ 0 | $ 0 |
Mortgage Loans and Loan Loss _9
Mortgage Loans and Loan Loss Reserves - Delinquency Rates (Details) $ in Millions | Dec. 31, 2019USD ($)numberofloans | Dec. 31, 2018USD ($)numberofloans |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Serious delinquency rate | 0.63% | 0.69% |
Delinquency Rate | 0.08% | 0.01% |
Single-family | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Serious delinquency rate | 0.63% | 0.69% |
Total number of seriously delinquent loans | 70,162 | 75,649 |
Single-family | Non-credit-enhanced portfolio | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Serious delinquency rate | 0.70% | 0.83% |
Total number of seriously delinquent loans | 42,485 | 51,197 |
Single-family | Credit-enhanced portfolio | Primary mortgage insurance | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Serious delinquency rate | 0.79% | 0.86% |
Total number of seriously delinquent loans | 15,261 | 15,287 |
Single-family | Credit-enhanced portfolio | Other credit protection | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Serious delinquency rate | 0.40% | 0.31% |
Total number of seriously delinquent loans | 18,143 | 12,920 |
Multifamily | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Delinquency Rate | 0.08% | 0.01% |
UPB of delinquent loans | $ | $ 246 | $ 30 |
Multifamily | Non-credit-enhanced portfolio | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Delinquency Rate | 0.00% | 0.00% |
UPB of delinquent loans | $ | $ 2 | $ 2 |
Multifamily | Credit-enhanced portfolio | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Delinquency Rate | 0.09% | 0.01% |
UPB of delinquent loans | $ | $ 244 | $ 28 |
Mortgage Loans and Loan Loss_10
Mortgage Loans and Loan Loss Reserves - Detail of Allowance for Credit Losses (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Rollforward of Allowance for Loan Losses | |||
Beginning balance | $ 6,191 | $ 9,023 | $ 13,498 |
Provision (benefit) for credit losses | (746) | (736) | (84) |
Charge-offs | (1,737) | (2,893) | (5,055) |
Recoveries | 452 | 478 | 425 |
Transfers, net | 0 | 0 | 0 |
Other | 126 | 319 | 239 |
Ending balance | 4,286 | 6,191 | 9,023 |
Reserve for guarantee losses | |||
Rollforward of Allowance for Loan Losses | |||
Beginning balance | 52 | 57 | 67 |
Provision (benefit) for credit losses | 5 | 3 | (6) |
Charge-offs | (5) | (8) | (4) |
Recoveries | 0 | 0 | 0 |
Transfers, net | 0 | 0 | 0 |
Other | 0 | 0 | 0 |
Ending balance | 52 | 52 | 57 |
Held by Freddie Mac | Allowance for loan losses | |||
Rollforward of Allowance for Loan Losses | |||
Beginning balance | 3,009 | 5,279 | 10,461 |
Provision (benefit) for credit losses | (682) | (884) | (1,432) |
Charge-offs | (1,676) | (2,829) | (4,943) |
Recoveries | 439 | 470 | 419 |
Transfers, net | 371 | 680 | 539 |
Other | 122 | 293 | 235 |
Ending balance | 1,583 | 3,009 | 5,279 |
Held by consolidated trusts | Allowance for loan losses | |||
Rollforward of Allowance for Loan Losses | |||
Beginning balance | 3,130 | 3,687 | 2,970 |
Provision (benefit) for credit losses | (69) | 145 | 1,354 |
Charge-offs | (56) | (56) | (108) |
Recoveries | 13 | 8 | 6 |
Transfers, net | (371) | (680) | (539) |
Other | 4 | 26 | 4 |
Ending balance | 2,651 | 3,130 | 3,687 |
Single-family | |||
Rollforward of Allowance for Loan Losses | |||
Beginning balance | 6,176 | 8,979 | 13,463 |
Provision (benefit) for credit losses | (749) | (712) | (97) |
Charge-offs | (1,737) | (2,885) | (5,051) |
Recoveries | 452 | 475 | 425 |
Transfers, net | 0 | 0 | 0 |
Other | 126 | 319 | 239 |
Ending balance | 4,268 | 6,176 | 8,979 |
Single-family | Reserve for guarantee losses | |||
Rollforward of Allowance for Loan Losses | |||
Beginning balance | 46 | 48 | 52 |
Provision (benefit) for credit losses | 5 | 4 | 0 |
Charge-offs | (5) | (6) | (4) |
Recoveries | 0 | 0 | 0 |
Transfers, net | 0 | 0 | 0 |
Other | 0 | 0 | 0 |
Ending balance | 46 | 46 | 48 |
Single-family | Held by Freddie Mac | Allowance for loan losses | |||
Rollforward of Allowance for Loan Losses | |||
Beginning balance | 3,003 | 5,251 | 10,443 |
Provision (benefit) for credit losses | (684) | (861) | (1,447) |
Charge-offs | (1,676) | (2,823) | (4,939) |
Recoveries | 439 | 467 | 419 |
Transfers, net | 372 | 676 | 540 |
Other | 122 | 293 | 235 |
Ending balance | 1,576 | 3,003 | 5,251 |
Single-family | Held by consolidated trusts | Allowance for loan losses | |||
Rollforward of Allowance for Loan Losses | |||
Beginning balance | 3,127 | 3,680 | 2,968 |
Provision (benefit) for credit losses | (70) | 145 | 1,350 |
Charge-offs | (56) | (56) | (108) |
Recoveries | 13 | 8 | 6 |
Transfers, net | (372) | (676) | (540) |
Other | 4 | 26 | 4 |
Ending balance | 2,646 | 3,127 | 3,680 |
Multifamily | |||
Rollforward of Allowance for Loan Losses | |||
Beginning balance | 15 | 44 | 35 |
Provision (benefit) for credit losses | 3 | (24) | 13 |
Charge-offs | 0 | (8) | (4) |
Recoveries | 0 | 3 | 0 |
Transfers, net | 0 | 0 | 0 |
Other | 0 | 0 | 0 |
Ending balance | 18 | 15 | 44 |
Multifamily | Reserve for guarantee losses | |||
Rollforward of Allowance for Loan Losses | |||
Beginning balance | 6 | 9 | 15 |
Provision (benefit) for credit losses | 0 | (1) | (6) |
Charge-offs | 0 | (2) | 0 |
Recoveries | 0 | 0 | 0 |
Transfers, net | 0 | 0 | 0 |
Other | 0 | 0 | 0 |
Ending balance | 6 | 6 | 9 |
Multifamily | Held by Freddie Mac | Allowance for loan losses | |||
Rollforward of Allowance for Loan Losses | |||
Beginning balance | 6 | 28 | 18 |
Provision (benefit) for credit losses | 2 | (23) | 15 |
Charge-offs | 0 | (6) | (4) |
Recoveries | 0 | 3 | 0 |
Transfers, net | (1) | 4 | (1) |
Other | 0 | 0 | 0 |
Ending balance | 7 | 6 | 28 |
Multifamily | Held by consolidated trusts | Allowance for loan losses | |||
Rollforward of Allowance for Loan Losses | |||
Beginning balance | 3 | 7 | 2 |
Provision (benefit) for credit losses | 1 | 0 | 4 |
Charge-offs | 0 | 0 | 0 |
Recoveries | 0 | 0 | 0 |
Transfers, net | 1 | (4) | 1 |
Other | 0 | 0 | 0 |
Ending balance | $ 5 | $ 3 | $ 7 |
Mortgage Loans and Loan Loss_11
Mortgage Loans and Loan Loss Reserves - Net Investment in Loans (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Recorded investment, collectively evaluated | $ 1,953,616 | $ 1,844,989 |
Recorded investment, individually evaluated | 35,530 | 46,506 |
Total recorded investment | 1,989,146 | 1,891,495 |
Allowance for loan losses, collectively evaluated | (1,362) | (1,770) |
Allowance for loan losses, individually evaluated | (2,872) | (4,369) |
Total ending balance of the allowance | (4,234) | (6,139) |
Total held-for-investment mortgage loans, net | 1,984,912 | 1,885,356 |
Single-family | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Recorded investment, collectively evaluated | 1,936,208 | 1,830,044 |
Recorded investment, individually evaluated | 35,449 | 46,421 |
Total recorded investment | 1,971,657 | 1,876,465 |
Allowance for loan losses, collectively evaluated | (1,350) | (1,761) |
Allowance for loan losses, individually evaluated | (2,872) | (4,369) |
Total ending balance of the allowance | (4,222) | (6,130) |
Total held-for-investment mortgage loans, net | 1,967,435 | 1,870,335 |
Multifamily | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Recorded investment, collectively evaluated | 17,408 | 14,945 |
Recorded investment, individually evaluated | 81 | 85 |
Total recorded investment | 17,489 | 15,030 |
Allowance for loan losses, collectively evaluated | (12) | (9) |
Allowance for loan losses, individually evaluated | 0 | 0 |
Total ending balance of the allowance | (12) | (9) |
Total held-for-investment mortgage loans, net | $ 17,477 | $ 15,021 |
Mortgage Loans and Loan Loss_12
Mortgage Loans and Loan Loss Reserves - Individually Impaired Loans (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Individually Impaired Mortgage Loans [Abstract] | |||
UPB | $ 36,440 | $ 48,276 | |
Recorded Investment | 35,530 | 46,506 | |
Associated Allowance | (2,872) | (4,369) | |
Average Recorded Investment | 41,309 | 55,906 | $ 57,958 |
Interest Income Recognized | 2,404 | 2,918 | 3,463 |
Interest Income Recognized On Cash Basis | 191 | 339 | 315 |
Single-family 20 and 30-year or more, amortizing fixed-rate | |||
With no specific allowance recorded [Abstract] | |||
UPB | 2,431 | 3,335 | |
Recorded Investment | 1,927 | 2,666 | |
Average Recorded Investment | 2,450 | 3,236 | 3,556 |
Interest Income Recognized | 262 | 346 | 399 |
Interest Income Recognized On Cash Basis | 7 | 16 | 16 |
With specific allowance recorded [Abstract] | |||
UPB | 28,824 | 37,579 | |
Recorded Investment | 28,667 | 36,959 | |
Average Recorded Investment | 32,960 | 44,055 | 44,057 |
Interest Income Recognized | 1,805 | 2,156 | 2,513 |
Interest Income Recognized On Cash Basis | 156 | 274 | 248 |
Individually Impaired Mortgage Loans [Abstract] | |||
UPB | 31,255 | 40,914 | |
Recorded Investment | 30,594 | 39,625 | |
Associated Allowance | (2,416) | (3,660) | |
Average Recorded Investment | 35,410 | 47,291 | 47,613 |
Interest Income Recognized | 2,067 | 2,502 | 2,912 |
Interest Income Recognized On Cash Basis | 163 | 290 | 264 |
Single-family 15-year amortizing fixed-rate | |||
With no specific allowance recorded [Abstract] | |||
UPB | 21 | 23 | |
Recorded Investment | 20 | 22 | |
Average Recorded Investment | 20 | 21 | 25 |
Interest Income Recognized | 1 | 3 | 1 |
Interest Income Recognized On Cash Basis | 0 | 0 | 0 |
With specific allowance recorded [Abstract] | |||
UPB | 616 | 703 | |
Recorded Investment | 625 | 713 | |
Average Recorded Investment | 653 | 798 | 599 |
Interest Income Recognized | 22 | 28 | 32 |
Interest Income Recognized On Cash Basis | 4 | 9 | 6 |
Individually Impaired Mortgage Loans [Abstract] | |||
UPB | 637 | 726 | |
Recorded Investment | 645 | 735 | |
Associated Allowance | (13) | (19) | |
Average Recorded Investment | 673 | 819 | 624 |
Interest Income Recognized | 23 | 31 | 33 |
Interest Income Recognized On Cash Basis | 4 | 9 | 6 |
Single-family Adjustable-rate | |||
With no specific allowance recorded [Abstract] | |||
UPB | 169 | 227 | |
Recorded Investment | 169 | 226 | |
Average Recorded Investment | 200 | 248 | 292 |
Interest Income Recognized | 11 | 12 | 11 |
Interest Income Recognized On Cash Basis | 0 | 1 | 0 |
With specific allowance recorded [Abstract] | |||
UPB | 131 | 164 | |
Recorded Investment | 130 | 162 | |
Average Recorded Investment | 135 | 197 | 261 |
Interest Income Recognized | 6 | 6 | 9 |
Interest Income Recognized On Cash Basis | 2 | 3 | 3 |
Individually Impaired Mortgage Loans [Abstract] | |||
UPB | 300 | 391 | |
Recorded Investment | 299 | 388 | |
Associated Allowance | (7) | (8) | |
Average Recorded Investment | 335 | 445 | 553 |
Interest Income Recognized | 17 | 18 | 20 |
Interest Income Recognized On Cash Basis | 2 | 4 | 3 |
Single-family Alt-A, interest-only, and option ARM | |||
With no specific allowance recorded [Abstract] | |||
UPB | 847 | 1,286 | |
Recorded Investment | 727 | 1,083 | |
Average Recorded Investment | 891 | 1,264 | 1,471 |
Interest Income Recognized | 66 | 88 | 110 |
Interest Income Recognized On Cash Basis | 1 | 4 | 5 |
With specific allowance recorded [Abstract] | |||
UPB | 3,315 | 4,867 | |
Recorded Investment | 3,184 | 4,590 | |
Average Recorded Investment | 3,917 | 5,953 | 7,366 |
Interest Income Recognized | 226 | 273 | 378 |
Interest Income Recognized On Cash Basis | 20 | 30 | 33 |
Individually Impaired Mortgage Loans [Abstract] | |||
UPB | 4,162 | 6,153 | |
Recorded Investment | 3,911 | 5,673 | |
Associated Allowance | (436) | (682) | |
Average Recorded Investment | 4,808 | 7,217 | 8,837 |
Interest Income Recognized | 292 | 361 | 488 |
Interest Income Recognized On Cash Basis | 21 | 34 | 38 |
Single-family | |||
With no specific allowance recorded [Abstract] | |||
UPB | 3,468 | 4,871 | |
Recorded Investment | 2,843 | 3,997 | |
Average Recorded Investment | 3,561 | 4,769 | 5,344 |
Interest Income Recognized | 340 | 449 | 521 |
Interest Income Recognized On Cash Basis | 8 | 21 | 21 |
With specific allowance recorded [Abstract] | |||
UPB | 32,886 | 43,313 | |
Recorded Investment | 32,606 | 42,424 | |
Average Recorded Investment | 37,665 | 51,003 | 52,283 |
Interest Income Recognized | 2,059 | 2,463 | 2,932 |
Interest Income Recognized On Cash Basis | 182 | 316 | 290 |
Individually Impaired Mortgage Loans [Abstract] | |||
UPB | 36,354 | 48,184 | |
Recorded Investment | 35,449 | 46,421 | |
Associated Allowance | (2,872) | (4,369) | |
Average Recorded Investment | 41,226 | 55,772 | 57,627 |
Interest Income Recognized | 2,399 | 2,912 | 3,453 |
Interest Income Recognized On Cash Basis | 190 | 337 | 311 |
Multifamily | |||
With no specific allowance recorded [Abstract] | |||
UPB | 86 | 89 | |
Recorded Investment | 81 | 82 | |
Average Recorded Investment | 83 | 131 | 286 |
Interest Income Recognized | 5 | 6 | 9 |
Interest Income Recognized On Cash Basis | 1 | 2 | 3 |
With specific allowance recorded [Abstract] | |||
UPB | 0 | 3 | |
Recorded Investment | 0 | 3 | |
Average Recorded Investment | 0 | 3 | 45 |
Interest Income Recognized | 0 | 0 | 1 |
Interest Income Recognized On Cash Basis | 0 | 0 | 1 |
Individually Impaired Mortgage Loans [Abstract] | |||
UPB | 86 | 92 | |
Recorded Investment | 81 | 85 | |
Associated Allowance | 0 | 0 | |
Average Recorded Investment | 83 | 134 | 331 |
Interest Income Recognized | 5 | 6 | 10 |
Interest Income Recognized On Cash Basis | $ 1 | $ 2 | $ 4 |
Mortgage Loans and Loan Loss_13
Mortgage Loans and Loan Loss Reserves - TDR Activity (Details) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019USD ($)numberofloans | Dec. 31, 2018USD ($)numberofloans | Dec. 31, 2017USD ($)numberofloans | |
Single-family 20 and 30-year or more, amortizing fixed-rate | |||
Financing Receivable, Troubled Debt Restructuring [Line Items] | |||
Number of Loans | numberofloans | 25,924 | 43,742 | 33,745 |
Post TDR Recorded Investments | $ 4,331 | $ 7,084 | $ 4,818 |
Single-family 15-year amortizing fixed-rate | |||
Financing Receivable, Troubled Debt Restructuring [Line Items] | |||
Number of Loans | numberofloans | 3,018 | 5,944 | 4,569 |
Post TDR Recorded Investments | $ 296 | $ 584 | $ 356 |
Single-family Adjustable-rate | |||
Financing Receivable, Troubled Debt Restructuring [Line Items] | |||
Number of Loans | numberofloans | 529 | 902 | 892 |
Post TDR Recorded Investments | $ 86 | $ 140 | $ 128 |
Single-family Alt-A, interest-only, and option ARM | |||
Financing Receivable, Troubled Debt Restructuring [Line Items] | |||
Number of Loans | numberofloans | 1,523 | 2,602 | 2,784 |
Post TDR Recorded Investments | $ 219 | $ 432 | $ 495 |
Single-family | |||
Financing Receivable, Troubled Debt Restructuring [Line Items] | |||
Number of Loans | numberofloans | 30,994 | 53,190 | 41,990 |
Post TDR Recorded Investments | $ 4,932 | $ 8,240 | $ 5,797 |
Pre-TDR Recorded Investments | $ 4,900 | $ 8,300 | $ 5,800 |
Multifamily | |||
Financing Receivable, Troubled Debt Restructuring [Line Items] | |||
Number of Loans | numberofloans | 0 | 1 | 1 |
Post TDR Recorded Investments | $ 0 | $ 15 | $ 0 |
Mortgage Loans and Loan Loss_14
Mortgage Loans and Loan Loss Reserves - Payment Defaults of Completed TDR Modifications (Details) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019USD ($)numberofloans | Dec. 31, 2018USD ($)numberofloans | Dec. 31, 2017USD ($)numberofloans | |
Single-family 20 and 30-year or more, amortizing fixed-rate | |||
Financing Receivable, Modifications and Other Loss Mitigation Activities | |||
Number of Loans, Modifications, Subsequent Default | numberofloans | 13,428 | 13,548 | 13,973 |
Post-TDR Recorded Investment, Modifications, Subsequent Default | $ | $ 1,702 | $ 1,847 | $ 2,231 |
Single-family 15-year amortizing fixed-rate | |||
Financing Receivable, Modifications and Other Loss Mitigation Activities | |||
Number of Loans, Modifications, Subsequent Default | numberofloans | 451 | 565 | 720 |
Post-TDR Recorded Investment, Modifications, Subsequent Default | $ | $ 36 | $ 44 | $ 57 |
Single-family Adjustable-rate | |||
Financing Receivable, Modifications and Other Loss Mitigation Activities | |||
Number of Loans, Modifications, Subsequent Default | numberofloans | 132 | 176 | 225 |
Post-TDR Recorded Investment, Modifications, Subsequent Default | $ | $ 15 | $ 25 | $ 33 |
Single-family Alt-A, interest-only, and option ARM | |||
Financing Receivable, Modifications and Other Loss Mitigation Activities | |||
Number of Loans, Modifications, Subsequent Default | numberofloans | 871 | 1,178 | 1,254 |
Post-TDR Recorded Investment, Modifications, Subsequent Default | $ | $ 129 | $ 199 | $ 253 |
Single-family | |||
Financing Receivable, Modifications and Other Loss Mitigation Activities | |||
Number of Loans, Modifications, Subsequent Default | numberofloans | 14,882 | 15,467 | 16,172 |
Post-TDR Recorded Investment, Modifications, Subsequent Default | $ | $ 1,882 | $ 2,115 | $ 2,574 |
Multifamily | |||
Financing Receivable, Modifications and Other Loss Mitigation Activities | |||
Number of Loans, Modifications, Subsequent Default | numberofloans | 0 | 0 | 0 |
Post-TDR Recorded Investment, Modifications, Subsequent Default | $ | $ 0 | $ 0 | $ 0 |
Guaranee Activities (Details)
Guaranee Activities (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Guarantor Obligations [Line Items] | ||
Cash Advances Related To Multifamily Liquidity Guarantees | $ 0 | $ 0 |
Investments in securities, at fair value | 75,711,000,000 | 69,111,000,000 |
MortgageBackedSecuritiesIssuedByUSGovernmentSponsoredEnterprisesExcludingFreddieMac [Member] | Freddie Mac resecuritization trust [Member] | ||
Guarantor Obligations [Line Items] | ||
Investments in securities, at fair value | 27,400,000,000 | |
Single-family long-term standby commitments | ||
Guarantor Obligations [Line Items] | ||
UPB of issuances and guarantees | 2,300,000,000 | 500,000,000 |
Multifamily housing revenue bonds | ||
Guarantor Obligations [Line Items] | ||
UPB of issuances and guarantees | $ 900,000,000 | $ 600,000,000 |
Guarantee Activities - Financia
Guarantee Activities - Financial Guarantees (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Guarantor Obligations [Line Items] | ||||
Recognized Liability | $ 4,292 | $ 3,561 | ||
Reserve for guarantee losses | 4,286 | 6,191 | $ 9,023 | $ 13,498 |
Payment Guarantee | ||||
Guarantor Obligations [Line Items] | ||||
Maximum Exposure | 24,965 | 16,251 | ||
Recognized Liability | $ 253 | $ 242 | ||
Maximum Remaining Term | 30 years | 30 years | ||
Single-family | ||||
Guarantor Obligations [Line Items] | ||||
Maximum Exposure | $ 34,310 | $ 23,922 | ||
Recognized Liability | 543 | 387 | ||
Reserve for guarantee losses | 4,268 | 6,176 | 8,979 | 13,463 |
Single-family | Securitization activity guarantees | ||||
Guarantor Obligations [Line Items] | ||||
Maximum Exposure | 26,818 | 17,783 | ||
Recognized Liability | $ 361 | $ 220 | ||
Maximum Remaining Term | 40 years | 40 years | ||
Single-family | Other mortgage-related guarantees | ||||
Guarantor Obligations [Line Items] | ||||
Maximum Exposure | $ 7,492 | $ 6,139 | ||
Recognized Liability | $ 182 | $ 167 | ||
Maximum Remaining Term | 30 years | 30 years | ||
Multifamily | ||||
Guarantor Obligations [Line Items] | ||||
Maximum Exposure | $ 262,156 | $ 231,024 | ||
Recognized Liability | 3,749 | 3,174 | ||
Reserve for guarantee losses | 18 | 15 | 44 | 35 |
Multifamily | Securitization activity guarantees | ||||
Guarantor Obligations [Line Items] | ||||
Maximum Exposure | 252,167 | 221,245 | ||
Recognized Liability | $ 3,333 | $ 2,746 | ||
Maximum Remaining Term | 39 years | 40 years | ||
Multifamily | Other mortgage-related guarantees | ||||
Guarantor Obligations [Line Items] | ||||
Maximum Exposure | $ 9,989 | $ 9,779 | ||
Recognized Liability | $ 416 | $ 428 | ||
Maximum Remaining Term | 34 years | 35 years | ||
Reserve for guarantee losses | ||||
Guarantor Obligations [Line Items] | ||||
Reserve for guarantee losses | $ 52 | $ 52 | 57 | 67 |
Reserve for guarantee losses | Single-family | ||||
Guarantor Obligations [Line Items] | ||||
Reserve for guarantee losses | 46 | 46 | 48 | 52 |
Reserve for guarantee losses | Multifamily | ||||
Guarantor Obligations [Line Items] | ||||
Reserve for guarantee losses | $ 6 | $ 6 | $ 9 | $ 15 |
Credit Enhancements - Single Fa
Credit Enhancements - Single Family Credit Enhancements (Details) - SF Mortgage loan credit enhancements - Single-family - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Credit Enhancement [Line Items] | ||
Maximum coverage | $ 155,066 | $ 139,325 |
Primary mortgage insurance | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 421,870 | 378,594 |
Maximum coverage | 107,690 | 96,996 |
STACR Trust | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 288,323 | 161,152 |
Maximum coverage | 9,739 | 5,026 |
STACR Debt | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 536,036 | 605,263 |
Maximum coverage | 15,373 | 17,596 |
Insurance/reinsurance | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 863,149 | 808,484 |
Maximum coverage | 10,157 | 9,278 |
Non-consolidated VIE subordination | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 25,443 | 16,271 |
Maximum coverage | 4,545 | 2,933 |
Consolidated VIE subordination | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 19,498 | 25,006 |
Maximum coverage | 854 | 1,036 |
Lender-Risk Sharing | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 24,078 | 17,458 |
Maximum coverage | 5,657 | 5,170 |
Other | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 1,056 | 1,305 |
Maximum coverage | $ 1,051 | $ 1,290 |
Credit Enhancements - Multifami
Credit Enhancements - Multifamily Credit Enhancements (Details) - MF Mortgage Loan credit enhancements - Multifamily - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Credit Enhancement [Line Items] | ||
Maximum coverage | $ 41,560 | $ 36,932 |
Non-consolidated VIE subordination | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 251,008 | 220,733 |
Maximum coverage | 40,262 | 35,661 |
Consolidated VIE subordination | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 1,800 | 2,700 |
Maximum coverage | 200 | 280 |
Insurance/reinsurance | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 2,769 | 915 |
Maximum coverage | 127 | 43 |
SCR notes | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 2,470 | 2,667 |
Maximum coverage | 123 | 133 |
Other | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 2,996 | 2,349 |
Maximum coverage | $ 848 | $ 815 |
Investments in Securities (Deta
Investments in Securities (Details) | 12 Months Ended | ||
Dec. 31, 2019USD ($)numberofsecurities | Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) | |
Debt Securities, Available-for-sale [Line Items] | |||
Held-to-maturity securities | $ 0 | $ 0 | |
Net unrealized losses on trading securities held at balance sheets date | 8,000,000 | 479,000,000 | $ 365,000,000 |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value | 21,400,000,000 | ||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Fair Value | $ 4,400,000,000 | ||
Separate securities in gross unrealized loss position | numberofsecurities | 179 | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Credit Losses on Debt Securities Held | $ 600,000,000 | 800,000,000 | 1,100,000,000 |
Transfer to Investments | 0 | $ 100,000,000 | $ 3,800,000,000 |
Investments in Securities Acquired and PC Debt Issued via Non-Cash Transaction | $ 10,900,000,000 |
Investments in Securities - Inv
Investments in Securities - Investments in Securities (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Investments, Debt and Equity Securities [Abstract] | ||
Trading Securities | $ 49,537 | $ 35,548 |
Available-for-sale, at fair value | 26,174 | 33,563 |
Total | $ 75,711 | $ 69,111 |
Investments in Securities - Tra
Investments in Securities - Trading Securities (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Trading Securities [Line Items] | ||
Trading, at fair value | $ 49,537 | $ 35,548 |
Mortage-related securities | ||
Trading Securities [Line Items] | ||
Trading, at fair value | 22,482 | 16,373 |
Agency | ||
Trading Securities [Line Items] | ||
Trading, at fair value | 22,481 | 16,372 |
Non-agency | ||
Trading Securities [Line Items] | ||
Trading, at fair value | 1 | 1 |
Non-mortgage-related securities | ||
Trading Securities [Line Items] | ||
Trading, at fair value | $ 27,055 | $ 19,175 |
Investments in Securities - Ava
Investments in Securities - Available-For-Sale Securities (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 25,394 | $ 33,460 |
Gross Unrealized Gains | 854 | 640 |
Available-for-sale, at fair value | 26,174 | 33,563 |
Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | 24,390 | 32,082 |
Gross Unrealized Gains | 571 | 358 |
Available-for-sale, at fair value | 24,887 | 31,905 |
Non agency and other | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | 1,004 | 1,378 |
Gross Unrealized Gains | 283 | 282 |
Available-for-sale, at fair value | 1,287 | 1,658 |
Other-than-temporary impairment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Losses | 0 | 0 |
Other-than-temporary impairment | Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Losses | 0 | 0 |
Other-than-temporary impairment | Non agency and other | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Losses | 0 | 0 |
Temporary impairment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Losses | (74) | (537) |
Temporary impairment | Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Losses | (74) | (535) |
Temporary impairment | Non agency and other | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Losses | $ 0 | $ (2) |
Investments in Securities - A_2
Investments in Securities - Available-For-Sale Securities in a Gross Unrealized Loss Position (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months Fair Value | $ 5,779 | $ 4,653 |
Less than 12 Months Gross Unrealized Losses | (27) | (40) |
12 Months or Greater Fair Value | 2,934 | 15,395 |
12 Months or Greater Gross Unrealized Losses | (47) | (497) |
Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months Fair Value | 5,778 | 4,610 |
Less than 12 Months Gross Unrealized Losses | (27) | (39) |
12 Months or Greater Fair Value | 2,934 | 15,389 |
12 Months or Greater Gross Unrealized Losses | (47) | (496) |
Non agency and other | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months Fair Value | 1 | 43 |
Less than 12 Months Gross Unrealized Losses | 0 | (1) |
12 Months or Greater Fair Value | 0 | 6 |
12 Months or Greater Gross Unrealized Losses | $ 0 | $ (1) |
Investments in Securities - Gro
Investments in Securities - Gross Realized Gains and Gross Realized Losses on Sales of Available-For-Sale Securities (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |||
Gross realized gains | $ 219 | $ 627 | $ 1,792 |
Net realized gains (losses) | (49) | (303) | (66) |
Gross realized losses | $ 170 | $ 324 | $ 1,726 |
Debt Securities and Subordina_3
Debt Securities and Subordinated Borrowings (Details) $ in Billions | 12 Months Ended |
Dec. 31, 2019USD ($) | |
Debt Disclosure [Abstract] | |
Debt limit as percentage of mortgage assets | 120.00% |
Debt cap under Purchase Agreement for the current year | $ 300 |
Debt cap aggregate indebtedness | 283.2 |
Issuance Of Debt As Part Of Non-Cash Transaction | $ 0.7 |
Debt Securities and Subordina_4
Debt Securities and Subordinated Borrowings - Total Debt, Net (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Debt Instrument [Line Items] | |||
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Credit Losses on Debt Securities Held | $ 600 | $ 800 | $ 1,100 |
Debt Net [Abstract] | |||
Long-term Debt Balance, Net | 2,068,651 | ||
Total Debt, Net | 2,179,528 | 2,044,950 | |
Interest Expense [Abstract] | |||
Interest Expense, Total | 61,047 | 58,033 | 53,643 |
Held by Freddie Mac | |||
Debt Net [Abstract] | |||
Short-term Debt Balance Net | 110,877 | 51,080 | |
Long-term Debt Balance, Net | 170,296 | 201,193 | |
Total Debt, Net | 281,173 | 252,273 | |
Interest Expense [Abstract] | |||
Interest Expense, Short-term Borrowings | 1,910 | 1,193 | 615 |
Interest Expense, Long-term Debt | 5,157 | 5,311 | 5,372 |
Interest Expense, Total | 7,067 | 6,504 | 5,987 |
Held by consolidated trusts | |||
Debt Net [Abstract] | |||
Total Debt, Net | 1,898,355 | 1,792,677 | |
Interest Expense [Abstract] | |||
Interest Expense, Total | $ 53,980 | $ 51,529 | $ 47,656 |
Debt Securities and Subordina_5
Debt Securities and Subordinated Borrowings - Debt Securities of Consolidated Trusts Held by Third Parties (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Debt Instrument [Line Items] | ||
Debt, Net | $ 2,179,528 | $ 2,044,950 |
Debt securities recorded at fair value | 3,938 | 5,112 |
Held by consolidated trusts | ||
Debt Instrument [Line Items] | ||
UPB | 1,854,802 | 1,748,738 |
Debt, Net | $ 1,898,355 | $ 1,792,677 |
Effective rate for debt securities of consolidated trusts held by third parties | 2.79% | 3.07% |
Debt securities recorded at fair value | $ 209 | $ 755 |
Held by consolidated trusts | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | 1,848,012 | 1,744,373 |
Debt, Net | 1,891,496 | 1,788,276 |
Held by consolidated trusts | Multifamily | ||
Debt Instrument [Line Items] | ||
UPB | 6,790 | 4,365 |
Debt, Net | $ 6,859 | $ 4,401 |
Weighted Average Coupon | 3.29% | 4.02% |
Held by consolidated trusts | Single-family 30-year or more, fixed-rate | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 1,516,550 | $ 1,389,113 |
Debt, Net | $ 1,554,095 | $ 1,426,060 |
Weighted Average Coupon | 3.63% | 3.72% |
Held by consolidated trusts | Single-family 20-year fixed-rate | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 70,901 | $ 70,547 |
Debt, Net | $ 72,558 | $ 72,354 |
Weighted Average Coupon | 3.37% | 3.43% |
Held by consolidated trusts | Single-family 15-year fixed-rate | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 225,501 | $ 240,310 |
Debt, Net | $ 229,133 | $ 244,587 |
Weighted Average Coupon | 2.87% | 2.89% |
Held by consolidated trusts | Single-family Adjustable-rate | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 30,183 | $ 38,361 |
Debt, Net | $ 30,756 | $ 39,153 |
Weighted Average Coupon | 3.25% | 3.12% |
Held by consolidated trusts | Single-family Interest-only | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 4,244 | $ 5,322 |
Debt, Net | $ 4,307 | $ 5,386 |
Weighted Average Coupon | 4.55% | 4.41% |
Held by consolidated trusts | FHA/VA | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 633 | $ 720 |
Debt, Net | $ 647 | $ 736 |
Weighted Average Coupon | 4.68% | 4.78% |
Debt Securities and Subordina_6
Debt Securities and Subordinated Borrowings - Other Short-Term Debt (Details) - Held by Freddie Mac - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Short-term Debt [Line Items] | ||
Other short-term debt par value | $ 111,080 | $ 51,246 |
Other short-term debt carrying amount | $ 110,877 | $ 51,080 |
Other short-term debt weighted average effective rate | 1.89% | 2.28% |
Discount notes and Reference Bills | ||
Short-term Debt [Line Items] | ||
Other short-term debt par value | $ 60,830 | $ 28,787 |
Other short-term debt carrying amount | $ 60,629 | $ 28,621 |
Other short-term debt weighted average effective rate | 1.67% | 2.36% |
Medium-term notes | ||
Short-term Debt [Line Items] | ||
Other short-term debt par value | $ 40,407 | $ 16,440 |
Other short-term debt carrying amount | $ 40,405 | $ 16,440 |
Other short-term debt weighted average effective rate | 2.31% | 2.10% |
Securities Sold under Agreements to Repurchase | ||
Short-term Debt [Line Items] | ||
Other short-term debt par value | $ 9,843 | $ 6,019 |
Other short-term debt carrying amount | $ 9,843 | $ 6,019 |
Other short-term debt weighted average effective rate | 1.46% | 2.40% |
Debt Securities and Subordina_7
Debt Securities and Subordinated Borrowings - Other Long-Term Debt (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Debt Instrument [Line Items] | ||
Other long-term debt carrying amount | $ 2,068,651 | |
Debt securities recorded at fair value | 3,938 | $ 5,112 |
Held by Freddie Mac | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | 171,877 | 203,724 |
Other long-term debt carrying amount | $ 170,296 | $ 201,193 |
Other long-term debt weighted average effective rate | 2.61% | 2.58% |
Debt securities recorded at fair value | $ 3,700 | $ 4,400 |
Held by Freddie Mac | Other senior debt: | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | 171,877 | 203,392 |
Other long-term debt carrying amount | 170,296 | 200,890 |
Held by Freddie Mac | Hedging-related basis adjustment | ||
Debt Instrument [Line Items] | ||
Other long-term debt carrying amount | 668 | (215) |
Held by Freddie Mac | Other | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | 0 | 0 |
Other long-term debt carrying amount | $ 6 | $ 2 |
Other long-term debt weighted average effective rate | 0.63% | 0.63% |
Held by Freddie Mac | Other subordinated debt: | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | $ 0 | $ 332 |
Other long-term debt carrying amount | 0 | 303 |
Held by Freddie Mac | Fixed-rate | Medium-term notes - callable | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | 83,470 | 78,810 |
Other long-term debt carrying amount | $ 83,433 | $ 78,786 |
Other long-term debt weighted average effective rate | 2.01% | 2.01% |
Held by Freddie Mac | Fixed-rate | Medium-term notes - non-callable | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | $ 2,498 | $ 4,761 |
Other long-term debt carrying amount | $ 2,519 | $ 4,811 |
Other long-term debt weighted average effective rate | 2.14% | 1.83% |
Held by Freddie Mac | Fixed-rate | Reference Notes securities - non-callable | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | $ 39,124 | $ 65,362 |
Other long-term debt carrying amount | $ 39,176 | $ 65,385 |
Other long-term debt weighted average effective rate | 2.71% | 2.39% |
Held by Freddie Mac | Fixed-rate | STACR and SCR | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | $ 123 | $ 133 |
Other long-term debt carrying amount | $ 126 | $ 136 |
Other long-term debt weighted average effective rate | 12.74% | 12.76% |
Held by Freddie Mac | Variable-rate | Medium-term notes - callable | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | $ 10,682 | $ 26,396 |
Other long-term debt carrying amount | $ 10,668 | $ 26,364 |
Other long-term debt weighted average effective rate | 2.18% | 2.33% |
Held by Freddie Mac | Variable-rate | Medium-term notes - non-callable | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | $ 15,727 | $ 5,325 |
Other long-term debt carrying amount | $ 15,724 | $ 5,325 |
Other long-term debt weighted average effective rate | 2.45% | 1.47% |
Held by Freddie Mac | Variable-rate | STACR and SCR | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | $ 15,373 | $ 17,596 |
Other long-term debt carrying amount | $ 15,526 | $ 17,868 |
Other long-term debt weighted average effective rate | 5.58% | 5.99% |
Held by Freddie Mac | Zero-coupon | Medium-term notes - non-callable | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | $ 4,880 | $ 5,009 |
Other long-term debt carrying amount | $ 2,450 | $ 2,428 |
Other long-term debt weighted average effective rate | 5.94% | 6.29% |
Held by Freddie Mac | Zero-coupon | Other subordinated debt: | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | $ 0 | $ 332 |
Other long-term debt carrying amount | $ 0 | $ 303 |
Other long-term debt weighted average effective rate | 0.00% | 10.51% |
Debt Securities and Subordina_8
Debt Securities and Subordinated Borrowings - Contractual Maturity of Other Long-term Debt and Debt Securities (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Contractual maturities of long term debt and debt securities of consolidated trusts held by third parties | ||
Debt securities of consolidated trusts held by third parties, STACR and SCR | $ 1,870,298 | |
Total | 2,026,679 | |
Net discounts, premiums, hedge-related and other basis adjustments | 41,972 | |
Long-term Debt | 2,068,651 | |
Held by Freddie Mac | ||
Contractual maturities of long term debt and debt securities of consolidated trusts held by third parties | ||
Other long-term debt - 2020 | 45,133 | |
Other long-term debt - 2021 | 30,069 | |
Other long-term debt - 2022 | 23,185 | |
Other long-term debt - 2023 | 13,413 | |
Other long-term debt - 2024 | 26,966 | |
Long-term Debt, Maturities, Repayments of Principal after Year Five | 17,615 | |
Long-term Debt | $ 170,296 | $ 201,193 |
Derivatives (Details)
Derivatives (Details) $ in Millions | 12 Months Ended | |
Dec. 31, 2019USD ($)category | Dec. 31, 2018USD ($) | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Number of derivative categories | category | 3 | |
Derivative Instruments, Losses Reclassified from Accumulated OCI into Income, Effective Portion, Net | $ | $ (90) | $ (133) |
Derivatives - Derivative Assets
Derivatives - Derivative Assets and Liabilities at Fair Value (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Derivative [Line Items] | ||
Notional or contractual amount | $ 1,166,683 | $ 876,042 |
Derivative interest receivable | 887 | 889 |
Netting adjustments to derivative assets | (6,422) | (6,972) |
Derivative Assets, net | 844 | 335 |
Derivative interest payable | (724) | (1,096) |
Netting adjustments to derivative liabilities | 5,634 | 4,941 |
Derivative liabilities, net | (372) | (583) |
Commitments | ||
Derivative [Line Items] | ||
Derivative assets at fair value | 61 | 90 |
Other | ||
Derivative [Line Items] | ||
Derivative Assets, net | 77 | 91 |
Derivative liabilities, net | (270) | (317) |
Not Designated as Hedging Instrument, Economic Hedge | ||
Derivative [Line Items] | ||
Notional or contractual amount | 974,317 | 681,491 |
Derivative assets at fair value | 6,275 | 6,148 |
Derivative liabilities at fair value | (4,568) | (2,922) |
Not Designated as Hedging Instrument, Economic Hedge | CDX Swaption | ||
Derivative [Line Items] | ||
Notional or contractual amount | 11,400 | 45,900 |
Derivative assets at fair value | 3 | 113 |
Not Designated as Hedging Instrument, Economic Hedge | Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional or contractual amount | 488,242 | 321,689 |
Derivative assets at fair value | 2,000 | 1,857 |
Derivative liabilities at fair value | (4,168) | (2,468) |
Not Designated as Hedging Instrument, Economic Hedge | Receive-fixed | ||
Derivative [Line Items] | ||
Notional or contractual amount | 230,926 | 145,386 |
Derivative assets at fair value | 1,990 | 1,380 |
Derivative liabilities at fair value | (6) | (181) |
Not Designated as Hedging Instrument, Economic Hedge | Pay-fixed | ||
Derivative [Line Items] | ||
Notional or contractual amount | 251,392 | 170,899 |
Derivative assets at fair value | 10 | 476 |
Derivative liabilities at fair value | (4,162) | (2,287) |
Not Designated as Hedging Instrument, Economic Hedge | Basis (floating to floating) | ||
Derivative [Line Items] | ||
Notional or contractual amount | 5,924 | 5,404 |
Derivative assets at fair value | 0 | 1 |
Derivative liabilities at fair value | 0 | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Option-based | ||
Derivative [Line Items] | ||
Notional or contractual amount | 163,464 | 148,331 |
Derivative assets at fair value | 4,198 | 4,200 |
Derivative liabilities at fair value | (130) | (137) |
Not Designated as Hedging Instrument, Economic Hedge | Call swaptions | Purchased | ||
Derivative [Line Items] | ||
Notional or contractual amount | 75,325 | 43,625 |
Derivative assets at fair value | 2,717 | 2,007 |
Derivative liabilities at fair value | 0 | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Call swaptions | Written | ||
Derivative [Line Items] | ||
Notional or contractual amount | 3,375 | 4,400 |
Derivative assets at fair value | 0 | 0 |
Derivative liabilities at fair value | (42) | (133) |
Not Designated as Hedging Instrument, Economic Hedge | Put swaptions | Purchased | ||
Derivative [Line Items] | ||
Notional or contractual amount | 67,155 | 88,075 |
Derivative assets at fair value | 835 | 1,565 |
Derivative liabilities at fair value | 0 | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Put swaptions | Written | ||
Derivative [Line Items] | ||
Notional or contractual amount | 7,275 | 1,750 |
Derivative assets at fair value | 0 | 0 |
Derivative liabilities at fair value | (88) | (4) |
Not Designated as Hedging Instrument, Economic Hedge | Other option-based derivatives | ||
Derivative [Line Items] | ||
Notional or contractual amount | 10,334 | 10,481 |
Derivative assets at fair value | 646 | 628 |
Derivative liabilities at fair value | 0 | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Futures | ||
Derivative [Line Items] | ||
Notional or contractual amount | 210,305 | 161,185 |
Derivative assets at fair value | 0 | 0 |
Derivative liabilities at fair value | 0 | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Commitments | ||
Derivative [Line Items] | ||
Notional or contractual amount | 93,960 | 36,044 |
Derivative assets at fair value | 61 | 90 |
Derivative liabilities at fair value | (126) | (179) |
Not Designated as Hedging Instrument, Economic Hedge | Credit risk transfer | ||
Derivative [Line Items] | ||
Notional or contractual amount | 12,362 | 7,514 |
Derivative assets at fair value | 15 | 0 |
Derivative liabilities at fair value | (116) | (74) |
Not Designated as Hedging Instrument, Economic Hedge | Other | ||
Derivative [Line Items] | ||
Notional or contractual amount | 5,984 | 6,728 |
Derivative assets at fair value | 1 | 1 |
Derivative liabilities at fair value | (28) | (64) |
Designated as Hedging Instrument | Fair Value Hedging | ||
Derivative [Line Items] | ||
Notional or contractual amount | 192,366 | 194,551 |
Derivative assets at fair value | 104 | 270 |
Derivative liabilities at fair value | (714) | (1,506) |
Designated as Hedging Instrument | Fair Value Hedging | Receive-fixed | ||
Derivative [Line Items] | ||
Notional or contractual amount | 104,459 | 117,038 |
Derivative assets at fair value | 104 | 23 |
Derivative liabilities at fair value | (75) | (935) |
Designated as Hedging Instrument | Fair Value Hedging | Pay-fixed | ||
Derivative [Line Items] | ||
Notional or contractual amount | 87,907 | 77,513 |
Derivative assets at fair value | 0 | 247 |
Derivative liabilities at fair value | $ (639) | $ (571) |
Derivatives - Gains and Losses
Derivatives - Gains and Losses on Derivatives (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | $ (4,516) | $ 1,270 | $ (1,988) |
Accrual of periodic settlements | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | (272) | (141) | (1,590) |
Accrual of periodic settlements | Receive-fixed | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | 90 | 364 | 1,511 |
Accrual of periodic settlements | Pay-fixed | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | (525) | (584) | (3,101) |
Accrual of periodic settlements | Other | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | 163 | 79 | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Interest Rate Swaps | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | (3,085) | 1,422 | 626 |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Receive-fixed | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | 4,444 | (2,457) | (1,343) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Pay-fixed | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | (7,543) | 3,880 | 1,972 |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Basis (floating to floating) | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | 14 | (1) | (3) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Option-based | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | 188 | (630) | (1,041) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Call swaptions | Purchased | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | 1,663 | (791) | (404) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Call swaptions | Written | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | (296) | 20 | 24 |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Put swaptions | Purchased | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | (1,258) | 272 | (673) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Put swaptions | Written | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | 61 | (2) | 50 |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Other option-based derivatives | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | 18 | (129) | (38) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Other Derivatives | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | (1,347) | 619 | 17 |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Futures | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | (946) | 57 | 144 |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Commitments | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | (452) | 606 | (91) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Credit risk transfer | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | (1) | (38) | (30) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Other | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | $ 52 | $ (6) | $ (6) |
Derivatives - Gains and Losse_2
Derivatives - Gains and Losses on Fair Value Hedge (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Interest Income, Mortgage Loans | $ 68,583 | $ 66,037 | $ 63,735 |
Interest Expense | (61,047) | (58,033) | (53,643) |
Other income (loss) | 323 | 762 | 4,984 |
Interest rate risk on held-for-investment mortgage loan [Member] | Interest income | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 4,569 | (1,776) | (107) |
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (4,309) | 1,091 | 313 |
Interest accrual on fair value hedging derivatives for held-for-investment loan | (48) | (439) | (83) |
Discontinued hedge related basis adjustment amortization | (446) | 133 | (16) |
Interest rate risk on held-for-investment mortgage loan [Member] | Other income (loss) | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 351 | ||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (215) | ||
Interest accrual on fair value hedging derivatives for held-for-investment loan | 0 | ||
Discontinued hedge related basis adjustment amortization | 0 | ||
Interest rate risk on held-for-investment mortgage loan [Member] | Gain (Loss) on Derivative Instruments [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Interest accrual on fair value hedging derivatives for held-for-investment loan | (277) | ||
Interest rate risk on debt [Member] [Member] | Interest expense | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (1,038) | 145 | 93 |
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 1,231 | 155 | (53) |
Discontinued hedge related basis adjustment amortization | 63 | (3) | 0 |
Interest accruals on fair value hedging derivatives for debt | $ (184) | $ (313) | $ 8 |
Derivatives - Cumulative Basis
Derivatives - Cumulative Basis Adjustment on Fair Value Hedges (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Carrying amount mortgage loans held-for-investment hedged asset | $ 470,889 | $ 193,547 |
Carrying amount debt hedged liability | (122,746) | (127,215) |
Total basis adjustment cumulative amount for hedged asset | 2,886 | (1,237) |
Total basis adjustment cumulative amount for hedged liability | (668) | 216 |
Hedged Asset, Fair Value Hedge, Last-of-Layer, Cumulative Increase (Decrease) | (943) | 0 |
Basis adjustment amount for hedged asset - discontinued hedge | 3,829 | (1,237) |
Basis adjustment amount for hedged liability - discontinued hedge | (93) | (8) |
Closed Portfolio and Beneficial Interest, Last-of-Layer, Amortized Cost | 273,346 | 0 |
Hedged Asset, Fair Value Hedge, Last-of-Layer, Amount | $ 22,747 | $ 0 |
Collateral and Offsetting of _3
Collateral and Offsetting of Assets and Liabilities (Details) $ in Millions | Dec. 31, 2019USD ($)numberofcounterparties | Dec. 31, 2018USD ($) |
Offsetting Assets [Line Items] | ||
Maximum loss after applying netting agreements and collateral | $ 359 | $ 162 |
Commitments | ||
Offsetting Assets [Line Items] | ||
Total exposure on our commitments | 61 | 90 |
OTC derivatives | ||
Offsetting Assets [Line Items] | ||
Maximum loss after applying netting agreements and collateral | 20 | 48 |
Derivatives in a net liability position | 1,700 | |
Collateral already posted, aggregate fair value | 1,700 | |
Additional Collateral, Aggregate Fair Value | 100 | |
Cash pledged to us as collateral that was invested as part of our liquidity and contingency operating portfolio | $ 2,600 | 3,000 |
OTC derivatives | Net uncollateralized exposure to derivative counterparties | SP Equivalent Investment Grade Rating [Member] | ||
Offsetting Assets [Line Items] | ||
Number of counterparties | numberofcounterparties | 2 | |
Federal Funds Sold and Securities Borrowed or Purchased under Agreements to Resell | ||
Offsetting Assets [Line Items] | ||
Securities Held as Collateral, at Fair Value | $ 52,400 | 20,100 |
Securities purchased under agreements to resell not executed with clearinghouse | ||
Offsetting Assets [Line Items] | ||
Securities Held as Collateral, at Fair Value | $ 2,400 | $ 2,500 |
Collateral and Offsetting of _4
Collateral and Offsetting of Assets and Liabilities - Offsetting of Financial Assets (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Derivative Assets | ||
Gross Amount Recognized | $ 7,266 | $ 7,307 |
Counterparty netting | (4,470) | (4,544) |
Cash Collateral netting | (1,952) | (2,428) |
Derivative Assets, net | 844 | 335 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (485) | (173) |
Net Amount | 359 | 162 |
Securities Purchased under Agreements to Resell | ||
Gross Amount Recognized | 66,114 | 34,771 |
Counterparty netting | 0 | 0 |
Net Amount Presented in the Consolidated Balance Sheets | 66,114 | 34,771 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (66,114) | (34,771) |
Net Amount | 0 | 0 |
Total | ||
Gross Amount Recognized | 73,380 | 42,078 |
Counterparty netting | (4,470) | (4,544) |
Cash Collateral netting | (1,952) | (2,428) |
Net Amount Presented in the Consolidated Balance Sheets | 66,958 | 35,106 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (66,599) | (34,944) |
Net Amount | 359 | 162 |
Other | ||
Derivative Assets | ||
Gross Amount Recognized | 77 | 91 |
Counterparty netting | 0 | 0 |
Cash Collateral netting | 0 | 0 |
Derivative Assets, net | 77 | 91 |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 77 | 91 |
OTC derivatives | ||
Derivative Assets | ||
Gross Amount Recognized | 7,045 | 7,213 |
Counterparty netting | (4,465) | (4,544) |
Cash Collateral netting | (2,075) | (2,448) |
Derivative Assets, net | 505 | 221 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (485) | (173) |
Net Amount | 20 | 48 |
Federal Funds Sold and Securities Borrowed or Purchased under Agreements to Resell | ||
Securities Purchased under Agreements to Resell | ||
Cash Collateral netting | 0 | 0 |
Cleared and exchange-traded derivatives | ||
Derivative Assets | ||
Gross Amount Recognized | 144 | 3 |
Counterparty netting | (5) | 0 |
Cash Collateral netting | 123 | 20 |
Derivative Assets, net | 262 | 23 |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | $ 262 | $ 23 |
Collateral and Offsetting of _5
Collateral and Offsetting of Assets and Liabilities - Offsetting of Financial Liabilities (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Derivative Liabilities: | ||
Gross Amount Recognized | $ (6,006) | $ (5,524) |
Counterparty netting | 4,470 | 4,544 |
Cash collateral netting | 1,164 | 397 |
Derivative liabilities, net | (372) | (583) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | (372) | (583) |
Securities Sold under Agreements to Repurchase [Abstract] | ||
Gross Amount Recognized | (9,843) | (6,019) |
Counterparty netting | 0 | 0 |
Net Amount Presented in the Consolidated Balance Sheets | (9,843) | (6,019) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 9,843 | 6,019 |
Net Amount | 0 | 0 |
Offsetting Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned [Abstract] | ||
Gross Amount Recognized | (15,849) | (11,543) |
Counterparty netting | 4,470 | 4,544 |
Cash collateral netting | 1,164 | 397 |
Net Amount Presented in the Consolidated Balance Sheets | (10,215) | (6,602) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 9,843 | 6,019 |
Net Amount | (372) | (583) |
Other | ||
Derivative Liabilities: | ||
Gross Amount Recognized | (270) | (317) |
Counterparty netting | 0 | 0 |
Cash collateral netting | 0 | 0 |
Derivative liabilities, net | (270) | (317) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | (270) | (317) |
OTC derivatives | ||
Derivative Liabilities: | ||
Gross Amount Recognized | (5,731) | (4,963) |
Counterparty netting | 4,465 | 4,544 |
Cash collateral netting | 1,164 | 296 |
Derivative liabilities, net | (102) | (123) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | (102) | (123) |
Cleared and exchange-traded derivatives | ||
Derivative Liabilities: | ||
Gross Amount Recognized | (5) | (244) |
Counterparty netting | 5 | 0 |
Cash collateral netting | 0 | 101 |
Derivative liabilities, net | 0 | (143) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 0 | (143) |
Offsetting Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned [Abstract] | ||
Aggregate fair value of securities posted | 3,500 | 2,500 |
Securities Sold under Agreements to Repurchase | ||
Offsetting Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned [Abstract] | ||
Cash collateral netting | $ 0 | $ 0 |
Collateral and Offsetting of _6
Collateral and Offsetting of Assets and Liabilities - Collateral in the Form of Securities Pledged (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | $ 13,131 | $ 8,802 |
Derivatives | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 3,456 | 2,522 |
Securities Sold under Agreements to Repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 9,346 | 6,027 |
Other | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 329 | 253 |
Cash and Cash Equivalents [Member] | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 2,595 | |
Cash and Cash Equivalents [Member] | Derivatives | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 0 | |
Cash and Cash Equivalents [Member] | Securities Sold under Agreements to Repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 2,595 | |
Cash and Cash Equivalents [Member] | Other | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 0 | |
Debt Securities Of Consolidated Trusts | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 842 | 541 |
Debt Securities Of Consolidated Trusts | Derivatives | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 562 | 362 |
Debt Securities Of Consolidated Trusts | Securities Sold under Agreements to Repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 0 | 0 |
Debt Securities Of Consolidated Trusts | Other | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 280 | 179 |
Available-for-sale Securities [Member] | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 1 | |
Available-for-sale Securities [Member] | Derivatives | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 0 | |
Available-for-sale Securities [Member] | Securities Sold under Agreements to Repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 0 | |
Available-for-sale Securities [Member] | Other | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 1 | |
Trading securities | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 12,289 | 5,665 |
Trading securities | Derivatives | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 2,894 | 2,160 |
Trading securities | Securities Sold under Agreements to Repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 9,346 | 3,432 |
Trading securities | Other | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | $ 49 | $ 73 |
Collateral and Offsetting of _7
Collateral and Offsetting of Assets and Liabilities - Underlying Collateral Pledged (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | $ 13,131 | $ 8,802 |
Securities Sold under Agreements to Repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 9,346 | $ 6,027 |
Securities Sold under Agreements to Repurchase | Overnight and continuous | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 0 | |
Securities Sold under Agreements to Repurchase | 30 days or less | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 9,081 | |
Securities Sold under Agreements to Repurchase | After 30 days through 90 days | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 265 | |
Securities Sold under Agreements to Repurchase | Greater than 90 days | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | $ 0 |
Stockholders' Equity and Earn_3
Stockholders' Equity and Earnings per Share (Details) | Sep. 08, 2008USD ($)shares | Dec. 31, 2019USD ($)numberofsecurities$ / sharesshares | Sep. 30, 2019USD ($) | Jun. 30, 2019USD ($) | Mar. 31, 2019USD ($) | Dec. 31, 2019USD ($)numberofsecurities$ / sharesshares | Dec. 31, 2018USD ($)shares | Dec. 31, 2017USD ($)shares | Mar. 31, 2020USD ($) | Jul. 08, 2010numberofsecurities |
Stockholders Equity Text [Line Items] | ||||||||||
Federal statutory tax rate | 21.00% | 21.00% | 35.00% | |||||||
Total AOCI related to derivatives designated as cash flow hedges | $ (244,000,000) | $ (244,000,000) | $ (315,000,000) | |||||||
Cash flow hedge gain (loss) to be reclassified over the next 12 months | $ (43,000,000) | |||||||||
Maximum remaining length of time hedged in cash flow hedge | 14 years | |||||||||
Initial Liquidation Preference Of Senior Preferred Stock | $ 1,000,000,000 | |||||||||
Increase in Senior Preferred Stock | 3,000,000,000 | $ 3,000,000,000 | ||||||||
Preference Liquidation Maximum Increase | 17,000,000,000 | $ 17,000,000,000 | $ 17,000,000,000 | |||||||
Cash dividends paid on senior preferred stock | $ 1,700,000,000 | $ 1,500,000,000 | 3,142,000,000 | 4,145,000,000 | $ 10,945,000,000 | |||||
Net Worth Increase | 2,400,000,000 | 1,800,000,000 | $ 1,800,000,000 | |||||||
Senior preferred stock, at redemption value | 79,322,000,000 | 77,500,000,000 | 79,322,000,000 | 75,648,000,000 | ||||||
Applicable capital reserve amount from July 1, 2019 and thereafter | $ 20,000,000,000 | $ 20,000,000,000 | $ 20,000,000,000 | |||||||
Common stock warrant, exercise price per share | $ / shares | $ 0.00001 | $ 0.00001 | ||||||||
Common stock warrant, amount outstanding | $ 2,300,000,000 | $ 2,300,000,000 | ||||||||
Number of preferred stock classes | numberofsecurities | 24 | 24 | ||||||||
Applicable capital reserve amount if we don't pay the full dividend requirement in a future period | $ 0 | $ 0 | ||||||||
Number of senior preferred stock class | numberofsecurities | 1 | 1 | ||||||||
Common shares or non-cumulative preferred stock repurchased | $ 0 | 0 | ||||||||
Common shares or non-cumulative preferred stock issued | $ 0 | $ 0 | ||||||||
Antidilutive potential common shares | shares | 0 | 0 | 0 | |||||||
Common dividends declared | $ 0 | $ 0 | ||||||||
Dividends declared on preferred stock | 0 | |||||||||
Dividends paid on preferred stock | $ 0 | |||||||||
Number of preferred stock classes delisted | numberofsecurities | 20 | |||||||||
Subsequent Event | ||||||||||
Stockholders Equity Text [Line Items] | ||||||||||
Senior preferred stock, at redemption value | $ 81,800,000,000 | |||||||||
Preferred Stock | ||||||||||
Stockholders Equity Text [Line Items] | ||||||||||
Preferred Stock, Shares Outstanding | shares | 464,170,000 | 464,170,000 | ||||||||
Senior Preferred Stock | ||||||||||
Stockholders Equity Text [Line Items] | ||||||||||
Senior preferred stock, shares issued | shares | 1,000,000 | |||||||||
Senior preferred stock, par value per share | $ / shares | $ 1 | $ 1 | ||||||||
Initial Liquidation Preference Of Senior Preferred Stock | $ 1,000,000,000 | |||||||||
Initial Liquidation Preference Price Per Share | $ / shares | $ 1,000 | $ 1,000 | ||||||||
Increase in Senior Preferred Stock | $ 3,000,000,000 | |||||||||
Senior preferred stock, at redemption value | $ 79,322,000,000 | $ 79,322,000,000 | ||||||||
Preferred Stock, Shares Outstanding | shares | 1,000,000 | 1,000,000 | ||||||||
Common Stock | ||||||||||
Stockholders Equity Text [Line Items] | ||||||||||
OTCQB Symbol | FMCC | |||||||||
Restricted Stock Units (RSUs) | ||||||||||
Stockholders Equity Text [Line Items] | ||||||||||
Restricted stock units lapsed | shares | 351 | |||||||||
Restricted stock outstanding | shares | 702 | 702 | ||||||||
Restricted stock | ||||||||||
Stockholders Equity Text [Line Items] | ||||||||||
Restricted stock outstanding | shares | 41,160 | 41,160 | 41,160 | |||||||
Stock options | ||||||||||
Stockholders Equity Text [Line Items] | ||||||||||
Stock options outstanding | shares | 0 | 0 |
Stockholders' Equity and Earn_4
Stockholders' Equity and Earnings per Share - Changes in AOCI by Component, Net of Tax (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||
Beginning balance | $ 4,477 | $ (312) | $ 5,075 |
Total other comprehensive income (loss), net of taxes and reclassification adjustments | 573 | (613) | (67) |
Ending balance | 9,122 | 4,477 | (312) |
Total | |||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||
Beginning balance | (135) | 389 | 456 |
Other comprehensive income (loss) before reclassifications | 651 | (465) | 920 |
Amounts reclassified from accumulated other comprehensive income | (78) | (148) | (987) |
Total other comprehensive income (loss), net of taxes and reclassification adjustments | 573 | (613) | (67) |
Cumulative effect of change in accounting principle | 89 | ||
Ending balance | 438 | (135) | 389 |
AOCI related to available-for-sale securities | |||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||
Beginning balance | 83 | 662 | 915 |
Other comprehensive income (loss) before reclassifications | 668 | (476) | 857 |
Amounts reclassified from accumulated other comprehensive income | (133) | (246) | (1,110) |
Total other comprehensive income (loss), net of taxes and reclassification adjustments | 535 | (722) | (253) |
Cumulative effect of change in accounting principle | 143 | ||
Ending balance | 618 | 83 | 662 |
AOCI related to cash flow hedge relationships | |||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||
Beginning balance | (315) | (356) | (480) |
Other comprehensive income (loss) before reclassifications | 0 | 0 | 0 |
Amounts reclassified from accumulated other comprehensive income | 71 | 114 | 124 |
Total other comprehensive income (loss), net of taxes and reclassification adjustments | 71 | 114 | 124 |
Cumulative effect of change in accounting principle | (73) | ||
Ending balance | (244) | (315) | (356) |
AOCI related to defined benefit plans | |||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||
Beginning balance | 97 | 83 | 21 |
Other comprehensive income (loss) before reclassifications | (17) | 11 | 63 |
Amounts reclassified from accumulated other comprehensive income | (16) | (16) | (1) |
Total other comprehensive income (loss), net of taxes and reclassification adjustments | (33) | (5) | 62 |
Cumulative effect of change in accounting principle | 19 | ||
Ending balance | $ 64 | $ 97 | $ 83 |
Stockholders' Equity and Earn_5
Stockholders' Equity and Earnings per Share - Reclassifications from AOCI to Net Income (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Reclassification Adjustment Out Of Accumulated Other Comprehensive Income [Line Items] | |||
Investment gains (losses), net | $ 818 | $ 1,921 | $ 1,160 |
Interest expense | (61,047) | (58,033) | (53,643) |
Salaries and employee benefits | (1,434) | (1,227) | (1,098) |
Income tax (expense) benefit | (1,835) | (2,239) | (11,209) |
Net income (loss) | 7,214 | 9,235 | 5,625 |
Held by Freddie Mac | |||
Reclassification Adjustment Out Of Accumulated Other Comprehensive Income [Line Items] | |||
Interest expense | (7,067) | (6,504) | (5,987) |
Total reclassifications in the period | |||
Reclassification Adjustment Out Of Accumulated Other Comprehensive Income [Line Items] | |||
Net income (loss) | 78 | 148 | 987 |
AOCI related to available-for-sale securities | Total reclassifications in the period | |||
Reclassification Adjustment Out Of Accumulated Other Comprehensive Income [Line Items] | |||
Investment gains (losses), net | 168 | 312 | 1,708 |
Income tax (expense) benefit | (35) | (66) | (598) |
Net income (loss) | 133 | 246 | 1,110 |
AOCI related to cash flow hedge relationships | Total reclassifications in the period | |||
Reclassification Adjustment Out Of Accumulated Other Comprehensive Income [Line Items] | |||
Income tax (expense) benefit | 19 | 19 | 40 |
Net income (loss) | (71) | (114) | (124) |
AOCI related to cash flow hedge relationships | Total reclassifications in the period | Held by Freddie Mac | |||
Reclassification Adjustment Out Of Accumulated Other Comprehensive Income [Line Items] | |||
Interest expense | (90) | (133) | (164) |
AOCI related to defined benefit plans | Total reclassifications in the period | |||
Reclassification Adjustment Out Of Accumulated Other Comprehensive Income [Line Items] | |||
Salaries and employee benefits | 20 | 20 | 2 |
Income tax (expense) benefit | (4) | (4) | (1) |
Net income (loss) | $ 16 | $ 16 | $ 1 |
Stockholders' Equity and Earn_6
Stockholders' Equity and Earnings per Share - Senior Preferred Stock (Details) - USD ($) | Mar. 30, 2018 | Jun. 29, 2012 | Mar. 30, 2012 | Dec. 30, 2011 | Sep. 30, 2011 | Mar. 31, 2011 | Dec. 30, 2010 | Sep. 30, 2010 | Jun. 30, 2010 | Jun. 30, 2009 | Mar. 31, 2009 | Nov. 24, 2008 | Dec. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | Sep. 30, 2019 | Dec. 31, 2017 | Sep. 08, 2008 |
Class of Stock [Line Items] | ||||||||||||||||||
Initial Liquidation Preference Of Senior Preferred Stock | $ 1,000,000,000 | |||||||||||||||||
Increase in Senior Preferred Stock | $ 3,000,000,000 | $ 3,000,000,000 | ||||||||||||||||
Non draw adjustment | $ 7,674,000,000 | $ 7,674,000,000 | ||||||||||||||||
Increase in liquidation preference | 0 | 312,000,000 | ||||||||||||||||
Aggregate liquidation preference on senior preferred stock | $ 79,322,000,000 | $ 79,322,000,000 | $ 75,648,000,000 | $ 77,500,000,000 | ||||||||||||||
Senior Preferred Stock | ||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||
Shares Authorized | 1,000,000 | 1,000,000 | ||||||||||||||||
Shares Outstanding | 1,000,000 | 1,000,000 | ||||||||||||||||
Total Par Value | $ 1,000,000 | $ 1,000,000 | ||||||||||||||||
Initial Liquidation Preference Of Senior Preferred Stock | $ 1,000,000,000 | |||||||||||||||||
Initial Liquidation Preference Price Per Share | $ 1,000 | $ 1,000 | ||||||||||||||||
Increase in Senior Preferred Stock | $ 3,000,000,000 | |||||||||||||||||
Increase in liquidation preference due to net worth increase | $ 1,848,000,000 | $ 1,848,000,000 | $ 1,826,000,000 | |||||||||||||||
Increase in liquidation preference | $ 312,000,000 | $ 19,000,000 | $ 146,000,000 | $ 5,992,000,000 | $ 1,479,000,000 | $ 500,000,000 | $ 100,000,000 | $ 1,800,000,000 | $ 10,600,000,000 | $ 6,100,000,000 | $ 30,800,000,000 | $ 13,800,000,000 | 71,648,000,000 | |||||
Aggregate liquidation preference on senior preferred stock | $ 79,322,000,000 | $ 79,322,000,000 |
Stockholders' Equity and Earn_7
Stockholders' Equity and Earnings per Share - Preferred Stock (Details) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019USD ($)$ / sharesshares | Dec. 31, 2012 | Dec. 31, 2018USD ($) | |
Class of Stock [Line Items] | |||
Total Outstanding Balance | $ 14,109,000 | $ 14,109,000 | |
Preferred Stock | |||
Class of Stock [Line Items] | |||
Shares Authorized | shares | 464,170,000 | ||
Shares Outstanding | shares | 464,170,000 | ||
Total Par Value | $ 464,170 | ||
Total Outstanding Balance | $ 14,109,000 | ||
Class 1 - 1996 Variable-rate | |||
Class of Stock [Line Items] | |||
Shares Authorized | shares | 5,000,000 | ||
Shares Outstanding | shares | 5,000,000 | ||
Total Par Value | $ 5,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 250,000 | ||
OTCQB Symbol | FMCCI | ||
Preferred Stock, Dividend Payment Terms | Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 1% divided by 1.377, and is capped at 9.00%. | ||
Percentage added to benchmark rate in dividend rate reset calculation | 1.00% | ||
Denominator amount in dividend rate reset calculation | 1.377 | ||
Class 1 - 1996 Variable-rate | Maximum | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 9.00% | ||
Class 2 - 5.81% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.81% | ||
Shares Authorized | shares | 3,000,000 | ||
Shares Outstanding | shares | 3,000,000 | ||
Total Par Value | $ 3,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 150,000 | ||
Class 3 - 5% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.00% | ||
Shares Authorized | shares | 8,000,000 | ||
Shares Outstanding | shares | 8,000,000 | ||
Total Par Value | $ 8,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 400,000 | ||
OTCQB Symbol | FMCKK | ||
Class 4 - 1998 Variable-rate | |||
Class of Stock [Line Items] | |||
Shares Authorized | shares | 4,400,000 | ||
Shares Outstanding | shares | 4,400,000 | ||
Total Par Value | $ 4,400 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 220,000 | ||
OTCQB Symbol | FMCCG | ||
Preferred Stock, Dividend Payment Terms | Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 1% divided by 1.377, and is capped at 7.50%. | ||
Percentage added to benchmark rate in dividend rate reset calculation | 1.00% | ||
Denominator amount in dividend rate reset calculation | 1.377 | ||
Class 4 - 1998 Variable-rate | Maximum | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 7.50% | ||
Class 5 - 5.10% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.10% | ||
Shares Authorized | shares | 8,000,000 | ||
Shares Outstanding | shares | 8,000,000 | ||
Total Par Value | $ 8,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 400,000 | ||
OTCQB Symbol | FMCCH | ||
Class 6 - 5.30% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.30% | ||
Shares Authorized | shares | 4,000,000 | ||
Shares Outstanding | shares | 4,000,000 | ||
Total Par Value | $ 4,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 200,000 | ||
Class 7 - 5.10% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.10% | ||
Shares Authorized | shares | 3,000,000 | ||
Shares Outstanding | shares | 3,000,000 | ||
Total Par Value | $ 3,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 150,000 | ||
Class 8 - 5.79% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.79% | ||
Shares Authorized | shares | 5,000,000 | ||
Shares Outstanding | shares | 5,000,000 | ||
Total Par Value | $ 5,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 250,000 | ||
OTCQB Symbol | FMCCK | ||
Class 9 - 1999 Variable-rate | |||
Class of Stock [Line Items] | |||
Shares Authorized | shares | 5,750,000 | ||
Shares Outstanding | shares | 5,750,000 | ||
Total Par Value | $ 5,750 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 287,000 | ||
OTCQB Symbol | FMCCL | ||
Preferred Stock, Dividend Payment Terms | Dividend rate resets on January 1 every five years after January 1, 2005 based on a five-year Constant Maturity Treasury rate, and is capped at 11.00%. | ||
Preferred Stock, Redemption Terms | Optional redemption on December 31, 2004 and on December 31 every five years thereafter. | ||
Preferred stock dividend rate reset period | 5 years | ||
Class 9 - 1999 Variable-rate | Maximum | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 11.00% | ||
Class 10 - 2001 Variable-rate | |||
Class of Stock [Line Items] | |||
Shares Authorized | shares | 6,500,000 | ||
Shares Outstanding | shares | 6,500,000 | ||
Total Par Value | $ 6,500 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 325,000 | ||
OTCQB Symbol | FMCCM | ||
Preferred Stock, Dividend Payment Terms | Dividend rate resets on April 1 every two years after April 1, 2003 based on the two-year Constant Maturity Treasury rate plus 0.10%, and is capped at 11.00%. | ||
Preferred Stock, Redemption Terms | Optional redemption on March 31, 2003 and on March 31 every two years thereafter. | ||
Percentage added to benchmark rate in dividend rate reset calculation | 0.10% | ||
Preferred stock dividend rate reset period | 2 years | ||
Class 10 - 2001 Variable-rate | Maximum | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 11.00% | ||
Class 11 - 2001 Variable-rate | |||
Class of Stock [Line Items] | |||
Shares Authorized | shares | 4,600,000 | ||
Shares Outstanding | shares | 4,600,000 | ||
Total Par Value | $ 4,600 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 230,000 | ||
OTCQB Symbol | FMCCN | ||
Preferred Stock, Dividend Payment Terms | Dividend rate resets on April 1 every year based on 12-month LIBOR minus 0.20%, and is capped at 11.00%. | ||
Preferred Stock, Redemption Terms | Optional redemption on March 31, 2003 and on March 31 every year thereafter. | ||
Percentage deducted from benchmark rate in dividend rate reset calculation | 0.20% | ||
Class 11 - 2001 Variable-rate | Maximum | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 11.00% | ||
Class 12 - 5.81% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.81% | ||
Shares Authorized | shares | 3,450,000 | ||
Shares Outstanding | shares | 3,450,000 | ||
Total Par Value | $ 3,450 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 173,000 | ||
OTCQB Symbol | FMCCO | ||
Class 13 - 6% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 6.00% | ||
Shares Authorized | shares | 3,450,000 | ||
Shares Outstanding | shares | 3,450,000 | ||
Total Par Value | $ 3,450 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 173,000 | ||
OTCQB Symbol | FMCCP | ||
Class 14 - 2001 Variable-rate | |||
Class of Stock [Line Items] | |||
Shares Authorized | shares | 4,020,000 | ||
Shares Outstanding | shares | 4,020,000 | ||
Total Par Value | $ 4,020 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 201,000 | ||
OTCQB Symbol | FMCCJ | ||
Preferred Stock, Dividend Payment Terms | Dividend rate resets on July 1 every two years after July 1, 2003 based on the two-year Constant Maturity Treasury rate plus 0.20%, and is capped at 11.00%. | ||
Preferred Stock, Redemption Terms | Optional redemption on June 30, 2003 and on June 30 every two years thereafter. | ||
Percentage added to benchmark rate in dividend rate reset calculation | 0.20% | ||
Preferred stock dividend rate reset period | 2 years | ||
Class 14 - 2001 Variable-rate | Maximum | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 11.00% | ||
Class 15 - 5.70% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.70% | ||
Shares Authorized | shares | 6,000,000 | ||
Shares Outstanding | shares | 6,000,000 | ||
Total Par Value | $ 6,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 300,000 | ||
OTCQB Symbol | FMCKP | ||
Class 16 - 5.81% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.81% | ||
Shares Authorized | shares | 6,000,000 | ||
Shares Outstanding | shares | 6,000,000 | ||
Total Par Value | $ 6,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 300,000 | ||
Class 17 - 2006 Variable-rate | |||
Class of Stock [Line Items] | |||
Shares Authorized | shares | 15,000,000 | ||
Shares Outstanding | shares | 15,000,000 | ||
Total Par Value | $ 15,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 750,000 | ||
OTCQB Symbol | FMCCS | ||
Preferred Stock, Dividend Payment Terms | Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 0.50% but not less than 4.00%. | ||
Percentage added to benchmark rate in dividend rate reset calculation | 0.50% | ||
Class 17 - 2006 Variable-rate | Minimum | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 4.00% | ||
Class 18 - 6.42% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 6.42% | ||
Shares Authorized | shares | 5,000,000 | ||
Shares Outstanding | shares | 5,000,000 | ||
Total Par Value | $ 5,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 250,000 | ||
OTCQB Symbol | FMCCT | ||
Class 19 - 5.90% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.90% | ||
Shares Authorized | shares | 20,000,000 | ||
Shares Outstanding | shares | 20,000,000 | ||
Total Par Value | $ 20,000 | ||
Redemption Price Per Share | $ / shares | $ 25 | ||
Total Outstanding Balance | $ 500,000 | ||
OTCQB Symbol | FMCKO | ||
Class 20 - 5.57% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.57% | ||
Shares Authorized | shares | 44,000,000 | ||
Shares Outstanding | shares | 44,000,000 | ||
Total Par Value | $ 44,000 | ||
Redemption Price Per Share | $ / shares | $ 25 | ||
Total Outstanding Balance | $ 1,100,000 | ||
OTCQB Symbol | FMCKM | ||
Class 21 - 5.66% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.66% | ||
Shares Authorized | shares | 20,000,000 | ||
Shares Outstanding | shares | 20,000,000 | ||
Total Par Value | $ 20,000 | ||
Redemption Price Per Share | $ / shares | $ 25 | ||
Total Outstanding Balance | $ 500,000 | ||
OTCQB Symbol | FMCKN | ||
Class 22 - 6.02% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 6.02% | ||
Shares Authorized | shares | 20,000,000 | ||
Shares Outstanding | shares | 20,000,000 | ||
Total Par Value | $ 20,000 | ||
Redemption Price Per Share | $ / shares | $ 25 | ||
Total Outstanding Balance | $ 500,000 | ||
OTCQB Symbol | FMCKL | ||
Class 23 - 6.55% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 6.55% | ||
Shares Authorized | shares | 20,000,000 | ||
Shares Outstanding | shares | 20,000,000 | ||
Total Par Value | $ 20,000 | ||
Redemption Price Per Share | $ / shares | $ 25 | ||
Total Outstanding Balance | $ 500,000 | ||
OTCQB Symbol | FMCKI | ||
Class 24 - 2007 Fixed-to-floating rate | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 8.375% | ||
Shares Authorized | shares | 240,000,000 | ||
Shares Outstanding | shares | 240,000,000 | ||
Total Par Value | $ 240,000 | ||
Redemption Price Per Share | $ / shares | $ 25 | ||
Total Outstanding Balance | $ 6,000,000 | ||
OTCQB Symbol | FMCKJ | ||
Preferred Stock, Dividend Payment Terms | Dividend rate is set at an annual fixed rate of 8.375% from December 4, 2007 through December 31, 2012. For the period beginning on or after January 1, 2013, dividend rate resets quarterly and is equal to the higher of: (a) the sum of three-month LIBOR plus 4.16% per annum or (b) 7.875% per annum. Optional redemption on December 31, 2012 and on December 31 every five years thereafter. | ||
Preferred Stock, Redemption Terms | Optional redemption on December 31, 2012, and on December 31 every five years thereafter. | ||
Percentage added to benchmark rate in dividend rate reset calculation | 4.16% | ||
Class 24 - 2007 Fixed-to-floating rate | Maximum | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 7.875% |
Income Taxes (Details)
Income Taxes (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Income Tax Disclosure [Abstract] | |||
Federal statutory tax rate | 21.00% | 21.00% | 35.00% |
Tax Cuts and Jobs Act, Change in Tax Rate, Deferred Tax Asset, Income Tax Expense | $ 5,400,000,000 | ||
Deferred Tax Assets, Valuation Allowance | $ 37,000,000 | $ 46,000,000 | |
Unrecognized Tax Benefits | $ 0 |
Income Taxes - Federal Income T
Income Taxes - Federal Income Tax Expense (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Income Tax Disclosure [Abstract] | |||
Current Income Tax (Expense) Benefit | $ (1,018) | $ (848) | $ (3,436) |
Deferred Income Tax (Expense) Benefit | (817) | (1,391) | (7,773) |
Income Tax (Expense) benefit | $ (1,835) | $ (2,239) | $ (11,209) |
Income Taxes - Reconciliation o
Income Taxes - Reconciliation of Statutory to Effective Tax Rate (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Income Tax Expense (Benefit), Continuing Operations, Income Tax Reconciliation [Abstract] | |||
Income Tax Benefit (Expense), at Statutory Corporate Tax Rate | $ (1,900) | $ (2,410) | $ (5,892) |
Tax-Exempt Interest | 18 | 19 | 39 |
Tax Credits | 48 | 56 | 135 |
Effective Income Tax Rate Reconciliation, Change in Deferred Tax Assets Valuation Allowance, Amount | 9 | (13) | (54) |
Effective Income Tax Rate Reconciliation, Change in Enacted Tax Rate, Amount | 0 | 184 | (5,405) |
Other | (10) | (75) | (32) |
Income Tax (Expense) benefit | $ (1,835) | $ (2,239) | $ (11,209) |
Effective Income Tax Rate, Continuing Operations, Tax Rate Reconciliation [Abstract] | |||
Federal statutory tax rate | 21.00% | 21.00% | 35.00% |
Tax-Exempt Interest (Percent) | (0.20%) | (0.20%) | (0.20%) |
Tax Credits (Percent) | (0.50%) | (0.50%) | (0.80%) |
Effective Income Tax Rate Reconciliation, Change in Deferred Tax Assets Valuation Allowance, Percent | (0.10%) | 0.10% | 0.30% |
Effective Income Tax Rate Reconciliation, Change in Enacted Tax Rate, Percent | 0 | (0.016) | 0.321 |
Other (Percent) | 0.10% | 0.70% | 0.20% |
Effective Tax Rate | 20.30% | 19.50% | 66.60% |
Income Taxes - Deferred Tax Ass
Income Taxes - Deferred Tax Assets and Liabilities (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Deferred Tax Assets, Gross [Abstract] | ||
Deferred fees | $ 3,529 | $ 4,424 |
Basis differences related to derivative instruments | 1,398 | 1,767 |
Credit related items and allowance for loan losses | 79 | 177 |
Basis differences related to assets held for investment | 921 | 569 |
Other items, net | 56 | 20 |
Total deferred tax assets | 5,983 | 6,957 |
Deferred Tax Liabilities [Abstract] | ||
Unrealized gains related to Available-for-Sale Securities | (28) | (23) |
Total deferred tax liabilities | (28) | (23) |
Deferred Tax Assets, Valuation Allowance | (37) | (46) |
Deferred tax assets, net | $ 5,918 | $ 6,888 |
Segment Reporting (Details)
Segment Reporting (Details) | 12 Months Ended |
Dec. 31, 2019 | |
Segment Reporting Information [Line Items] | |
Number of reportable segments | 3 |
Segment Reporting - Segment Ear
Segment Reporting - Segment Earnings (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Segment Reporting Information [Line Items] | |||
Net income (loss) | $ 7,214 | $ 9,235 | $ 5,625 |
Comprehensive income (loss) | 7,787 | 8,622 | 5,558 |
All Other | |||
Segment Reporting Information [Line Items] | |||
Net income (loss) | 0 | 0 | (5,405) |
Comprehensive income (loss) | 0 | 0 | (5,405) |
Single-family Guarantee | Operating segments | |||
Segment Reporting Information [Line Items] | |||
Net income (loss) | 4,365 | 3,908 | 2,759 |
Comprehensive income (loss) | 4,343 | 3,905 | 2,799 |
Multifamily | Operating segments | |||
Segment Reporting Information [Line Items] | |||
Net income (loss) | 1,827 | 1,319 | 2,014 |
Comprehensive income (loss) | 1,928 | 1,236 | 1,937 |
Capital Markets | Operating segments | |||
Segment Reporting Information [Line Items] | |||
Net income (loss) | 1,022 | 4,008 | 6,257 |
Comprehensive income (loss) | 1,516 | 3,481 | 6,227 |
Operating segments and All Other | |||
Segment Reporting Information [Line Items] | |||
Net income (loss) | 7,214 | 9,235 | 5,625 |
Comprehensive income (loss) | $ 7,787 | $ 8,622 | $ 5,558 |
Segment Reporting - Segment E_2
Segment Reporting - Segment Earnings and Reconciliation to GAAP Financial Statements (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | |||
Net interest income | $ 11,848 | $ 12,021 | $ 14,164 |
Guarantee fee income | 1,089 | 866 | 749 |
Non-interest income (loss) | |||
Investment gains (losses), net | 818 | 1,921 | 1,160 |
Other income (loss) | 323 | 762 | 4,984 |
Benefit (provision) for credit losses | 746 | 736 | 84 |
Non-interest expense | |||
Administrative expense | (2,564) | (2,293) | (2,106) |
Credit enhancement expense, net | (708) | (417) | (280) |
REO operations (expense) income | (229) | (169) | (189) |
Other expense | (2,274) | (1,953) | (1,732) |
Income tax (expense) benefit | (1,835) | (2,239) | (11,209) |
Net income (loss) | 7,214 | 9,235 | 5,625 |
Changes in unrealized gains (losses) related to available-for-sale securities | 535 | (722) | (253) |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 71 | 114 | 124 |
Changes in defined benefit plans | (33) | (5) | 62 |
Total other comprehensive income (loss), net of tax | 573 | (613) | (67) |
Comprehensive income (loss) | 7,787 | 8,622 | 5,558 |
All Other | |||
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | |||
Net interest income | 0 | 0 | 0 |
Guarantee fee income | 0 | 0 | 0 |
Non-interest income (loss) | |||
Investment gains (losses), net | 0 | 0 | 0 |
Other income (loss) | 0 | 0 | 0 |
Benefit (provision) for credit losses | 0 | 0 | 0 |
Non-interest expense | |||
Administrative expense | 0 | 0 | 0 |
Credit enhancement expense, net | 0 | 0 | 0 |
REO operations (expense) income | 0 | 0 | 0 |
Other expense | 0 | 0 | 0 |
Income tax (expense) benefit | 0 | 0 | (5,405) |
Net income (loss) | 0 | 0 | (5,405) |
Changes in unrealized gains (losses) related to available-for-sale securities | 0 | 0 | 0 |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 0 | 0 | 0 |
Changes in defined benefit plans | 0 | 0 | 0 |
Total other comprehensive income (loss), net of tax | 0 | 0 | 0 |
Comprehensive income (loss) | 0 | 0 | (5,405) |
Reclassifications | |||
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | |||
Net interest income | 8,293 | 7,708 | 9,679 |
Guarantee fee income | (7,785) | (6,576) | (6,364) |
Non-interest income (loss) | |||
Investment gains (losses), net | (686) | (205) | (2,244) |
Other income (loss) | 524 | (548) | (900) |
Benefit (provision) for credit losses | 331 | 264 | 274 |
Non-interest expense | |||
Administrative expense | 0 | 0 | 0 |
Credit enhancement expense, net | 700 | 676 | 628 |
REO operations (expense) income | 16 | 19 | 14 |
Other expense | (1,393) | (1,338) | (1,087) |
Income tax (expense) benefit | 0 | 0 | 0 |
Net income (loss) | 0 | 0 | 0 |
Changes in unrealized gains (losses) related to available-for-sale securities | 0 | 0 | 0 |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 0 | 0 | 0 |
Changes in defined benefit plans | 0 | 0 | 0 |
Total other comprehensive income (loss), net of tax | 0 | 0 | 0 |
Comprehensive income (loss) | 0 | 0 | 0 |
Single-family Guarantee | Operating segments | |||
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | |||
Net interest income | 0 | 0 | 0 |
Guarantee fee income | 7,773 | 6,581 | 6,363 |
Non-interest income (loss) | |||
Investment gains (losses), net | 964 | 307 | 116 |
Other income (loss) | 391 | 841 | 896 |
Benefit (provision) for credit losses | 418 | 448 | (177) |
Non-interest expense | |||
Administrative expense | (1,647) | (1,491) | (1,381) |
Credit enhancement expense, net | (1,393) | (1,077) | (891) |
REO operations (expense) income | (245) | (189) | (203) |
Other expense | (786) | (568) | (516) |
Income tax (expense) benefit | (1,110) | (944) | (1,448) |
Net income (loss) | 4,365 | 3,908 | 2,759 |
Changes in unrealized gains (losses) related to available-for-sale securities | 0 | 0 | 0 |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 0 | 0 | 0 |
Changes in defined benefit plans | (22) | (3) | 40 |
Total other comprehensive income (loss), net of tax | (22) | (3) | 40 |
Comprehensive income (loss) | 4,343 | 3,905 | 2,799 |
Multifamily | Operating segments | |||
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | |||
Net interest income | 1,069 | 1,096 | 1,206 |
Guarantee fee income | 1,101 | 861 | 750 |
Non-interest income (loss) | |||
Investment gains (losses), net | 576 | 16 | 1,516 |
Other income (loss) | 108 | 129 | 75 |
Benefit (provision) for credit losses | (3) | 24 | (13) |
Non-interest expense | |||
Administrative expense | (503) | (437) | (395) |
Credit enhancement expense, net | (15) | (16) | (17) |
REO operations (expense) income | 0 | 1 | 0 |
Other expense | (41) | (36) | (48) |
Income tax (expense) benefit | (465) | (319) | (1,060) |
Net income (loss) | 1,827 | 1,319 | 2,014 |
Changes in unrealized gains (losses) related to available-for-sale securities | 105 | (82) | (86) |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 0 | 0 | 0 |
Changes in defined benefit plans | (4) | (1) | 9 |
Total other comprehensive income (loss), net of tax | 101 | (83) | (77) |
Comprehensive income (loss) | 1,928 | 1,236 | 1,937 |
Capital Markets | Operating segments | |||
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | |||
Net interest income | 2,486 | 3,217 | 3,279 |
Guarantee fee income | 0 | 0 | 0 |
Non-interest income (loss) | |||
Investment gains (losses), net | (36) | 1,803 | 1,772 |
Other income (loss) | (700) | 340 | 4,913 |
Benefit (provision) for credit losses | 0 | 0 | 0 |
Non-interest expense | |||
Administrative expense | (414) | (365) | (330) |
Credit enhancement expense, net | 0 | 0 | 0 |
REO operations (expense) income | 0 | 0 | 0 |
Other expense | (54) | (11) | (81) |
Income tax (expense) benefit | (260) | (976) | (3,296) |
Net income (loss) | 1,022 | 4,008 | 6,257 |
Changes in unrealized gains (losses) related to available-for-sale securities | 430 | (640) | (167) |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 71 | 114 | 124 |
Changes in defined benefit plans | (7) | (1) | 13 |
Total other comprehensive income (loss), net of tax | 494 | (527) | (30) |
Comprehensive income (loss) | 1,516 | 3,481 | 6,227 |
Operating segments and All Other | |||
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | |||
Net interest income | 3,555 | 4,313 | 4,485 |
Guarantee fee income | 8,874 | 7,442 | 7,113 |
Non-interest income (loss) | |||
Investment gains (losses), net | 1,504 | 2,126 | 3,404 |
Other income (loss) | (201) | 1,310 | 5,884 |
Benefit (provision) for credit losses | 415 | 472 | (190) |
Non-interest expense | |||
Administrative expense | (2,564) | (2,293) | (2,106) |
Credit enhancement expense, net | (1,408) | (1,093) | (908) |
REO operations (expense) income | (245) | (188) | (203) |
Other expense | (881) | (615) | (645) |
Income tax (expense) benefit | (1,835) | (2,239) | (11,209) |
Net income (loss) | 7,214 | 9,235 | 5,625 |
Changes in unrealized gains (losses) related to available-for-sale securities | 535 | (722) | (253) |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 71 | 114 | 124 |
Changes in defined benefit plans | (33) | (5) | 62 |
Total other comprehensive income (loss), net of tax | 573 | (613) | (67) |
Comprehensive income (loss) | $ 7,787 | $ 8,622 | $ 5,558 |
Concentration of Credit and O_3
Concentration of Credit and Other Risks (Details) $ in Millions | 12 Months Ended | ||||
Dec. 31, 2019USD ($)numberofproperties | Dec. 31, 2018USD ($)numberofproperties | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Concentration Risk [Line Items] | |||||
Real estate owned, net | $ 555 | $ 769 | |||
UPB of single-family credit guarantee portfolio | 2,000,000 | 1,900,000 | |||
Securities purchased under agreements to resell used to provide financing to investors | $ 2,400 | $ 2,500 | |||
Single-family UPB | |||||
Concentration Risk [Line Items] | |||||
Concentration risk percentage | 100.00% | 100.00% | |||
Single-family Credit Losses | |||||
Concentration Risk [Line Items] | |||||
Concentration risk percentage | 100.00% | 100.00% | |||
PMI | |||||
Concentration Risk [Line Items] | |||||
Percent of Subsequent Partial Claim Payment Cash | 70.00% | 67.00% | |||
Percent of Subsequent Partial Claim Payment Deferred Payment Obligation | 30.00% | 33.00% | |||
Percent of partial claim payment previously made in cash | 67.00% | 55.00% | |||
Triad | |||||
Concentration Risk [Line Items] | |||||
Percent of Subsequent Partial Claim Payment Cash | 75.00% | ||||
Percent of Subsequent Partial Claim Payment Deferred Payment Obligation | 25.00% | ||||
Percent of partial claim payment previously made in cash | 60.00% | ||||
RMIC | |||||
Concentration Risk [Line Items] | |||||
Percent of claim payment in cash | 100.00% | ||||
Percent of partial claim payment previously made in cash | 60.00% | ||||
Percent of partial claim payment previously made in deferred payment obligations | 40.00% | ||||
PMI and Triad | |||||
Concentration Risk [Line Items] | |||||
Amount Of Cumulative Unpaid Deferred Payment Obligation | $ 500 | $ 500 | |||
Seller/Servicers | |||||
Concentration Risk [Line Items] | |||||
UPB of loans subject to repurchase requests issued to Single-family Seller/Servicers | 300 | 400 | |||
UPB of loans related to recovered losses from repurchase requests to Single-family Seller/Servicer | $ 400 | $ 300 | |||
2013 to current | Single-family UPB | |||||
Concentration Risk [Line Items] | |||||
Concentration risk percentage | 80.00% | ||||
Top five non-depository seller | Single-family loan purchase volume | |||||
Concentration Risk [Line Items] | |||||
Concentration risk percentage | 26.00% | 22.00% | |||
Five largest non-depository servicers | Single-family UPB | |||||
Concentration Risk [Line Items] | |||||
Concentration risk percentage | 18.00% | 16.00% | |||
Mortgage Insurers | |||||
Concentration Risk [Line Items] | |||||
UPB of single-family credit guarantee portfolio with mortgage insurance coverage | $ 421,900 | ||||
Maximum loss limit from mortgage insurers for single-family credit guarantee portfolio | 107,700 | ||||
Cash proceeds received from mortgage insurers | 200 | $ 200 | |||
Receivables outstanding from mortgage Insurers | 100 | 100 | |||
Receivables outstanding, net of reserves, from mortgage insurers | 100 | 100 | |||
Cash and Other Investment Counterparties | |||||
Concentration Risk [Line Items] | |||||
Cash and other non-mortgage investments | 103,600 | 63,100 | |||
Single-family | |||||
Concentration Risk [Line Items] | |||||
Real estate owned, net | $ 600 | $ 800 | |||
Real Estate Acquired Through Foreclosure Number Of Properties | numberofproperties | 4,989 | 7,100 | |||
Multifamily | |||||
Concentration Risk [Line Items] | |||||
Real estate owned, net | $ 0 | $ 0 |
Concentration of Credit and O_4
Concentration of Credit and Other Risks - Concentration of Credit Risk - Single-Family Credit Guarantee Portfolio (Details) | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Concentration Risk [Line Items] | ||
Serious delinquency rate | 0.63% | 0.69% |
West | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 0.36% | 0.38% |
Northeast | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 0.87% | 0.96% |
North Central | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 0.61% | 0.63% |
Southeast | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 0.73% | 0.90% |
Southwest | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 0.54% | 0.57% |
FLORIDA | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 0.77% | 1.01% |
ILLINOIS | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 0.85% | 0.86% |
NEW JERSEY | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 1.08% | 1.24% |
CALIFORNIA | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 0.34% | 0.35% |
NEW YORK | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 1.21% | 1.37% |
All Other | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 0.59% | 0.64% |
Core single-family loan portfolio | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 0.26% | 0.22% |
Legacy and relief refinance single-family loan portfolio | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 1.84% | 1.93% |
Single-family UPB | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
Single-family UPB | West | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 30.00% | 30.00% |
Single-family UPB | Northeast | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 24.00% | 24.00% |
Single-family UPB | North Central | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 16.00% | 16.00% |
Single-family UPB | Southeast | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 16.00% | 16.00% |
Single-family UPB | Southwest | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 14.00% | 14.00% |
Single-family UPB | FLORIDA | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 6.00% | 6.00% |
Single-family UPB | ILLINOIS | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 4.00% | 5.00% |
Single-family UPB | NEW JERSEY | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 3.00% | 3.00% |
Single-family UPB | CALIFORNIA | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 17.00% | 18.00% |
Single-family UPB | NEW YORK | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 5.00% | 5.00% |
Single-family UPB | All Other | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 65.00% | 63.00% |
Single-family UPB | Core single-family loan portfolio | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 85.00% | 82.00% |
Single-family UPB | Legacy and relief refinance single-family loan portfolio | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 15.00% | 18.00% |
Single-family Credit Losses | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
Single-family Credit Losses | West | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 12.00% | 17.00% |
Single-family Credit Losses | Northeast | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 36.00% | 39.00% |
Single-family Credit Losses | North Central | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 20.00% | 19.00% |
Single-family Credit Losses | Southeast | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 24.00% | 18.00% |
Single-family Credit Losses | Southwest | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 8.00% | 7.00% |
Single-family Credit Losses | FLORIDA | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 14.00% | 10.00% |
Single-family Credit Losses | ILLINOIS | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 10.00% | 9.00% |
Single-family Credit Losses | NEW JERSEY | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 9.00% | 9.00% |
Single-family Credit Losses | CALIFORNIA | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 8.00% | 11.00% |
Single-family Credit Losses | NEW YORK | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 7.00% | 11.00% |
Single-family Credit Losses | All Other | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 52.00% | 50.00% |
Single-family Credit Losses | Core single-family loan portfolio | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 18.00% | 10.00% |
Single-family Credit Losses | Legacy and relief refinance single-family loan portfolio | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 82.00% | 90.00% |
Concentration of Credit and O_5
Concentration of Credit and Other Risks - Certain Higher-Risk Categories in the Single-Family Credit Guarantee Portfolio (Details) | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Concentration Risk [Line Items] | ||
Serious delinquency rate | 0.63% | 0.69% |
Interest-only | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 2.72% | 3.43% |
Alt-A | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 3.75% | 4.13% |
Original LTV ratio greater than 90% | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 0.96% | 1.04% |
Lower credit scores at origination (less than 620) | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 4.52% | 4.59% |
Single-family UPB | ||
Concentration Risk [Line Items] | ||
Percentage of Portfolio | 100.00% | 100.00% |
Single-family UPB | Interest-only | ||
Concentration Risk [Line Items] | ||
Percentage of Portfolio | 1.00% | 1.00% |
Single-family UPB | Alt-A | ||
Concentration Risk [Line Items] | ||
Percentage of Portfolio | 1.00% | 1.00% |
Single-family UPB | Original LTV ratio greater than 90% | ||
Concentration Risk [Line Items] | ||
Percentage of Portfolio | 18.00% | 18.00% |
Single-family UPB | Lower credit scores at origination (less than 620) | ||
Concentration Risk [Line Items] | ||
Percentage of Portfolio | 2.00% | 2.00% |
Concentration of Credit and O_6
Concentration of Credit and Other Risks - Concentration of Credit Risk - Multifamily Mortgage Portfolio (Details) - USD ($) $ in Billions | Dec. 31, 2019 | Dec. 31, 2018 |
Concentration Risk [Line Items] | ||
Multifamily Mortgage Portfolio UPB | $ 300.1 | $ 271.5 |
Multifamily Delinquency Rate | 0.08% | 0.01% |
Unsecuritized Loans | ||
Concentration Risk [Line Items] | ||
Multifamily Mortgage Portfolio UPB | $ 29.8 | $ 34.8 |
Multifamily Delinquency Rate | 0.01% | 0.01% |
Securitization related products | ||
Concentration Risk [Line Items] | ||
Multifamily Mortgage Portfolio UPB | $ 260.3 | $ 226.9 |
Multifamily Delinquency Rate | 0.09% | 0.01% |
Other mortgage-related guarantees | ||
Concentration Risk [Line Items] | ||
Multifamily Mortgage Portfolio UPB | $ 10 | $ 9.8 |
Multifamily Delinquency Rate | 0.09% | 0.00% |
Concentration of Credit and O_7
Concentration of Credit and Other Risks - Seller Concentration (Details) | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Top ten Single-family sellers | Single-family loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 56.00% | 50.00% |
JPMorgan Chase Bank, N.A. | Single-family loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 14.00% | 7.00% |
Wells Fargo Bank, N.A. | Single-family loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 8.00% | 12.00% |
Other top 10 sellers | Single-family loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 34.00% | 31.00% |
Top ten multifamily sellers | Multifamily loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 77.00% | 79.00% |
CBRE Capital Market, Inc. | Multifamily loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 15.00% | 18.00% |
Berkadia Commercial Mortgage LLC | Multifamily loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 15.00% | 13.00% |
Other top 10 sellers | Multifamily loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 47.00% | 48.00% |
Concentration of Credit and O_8
Concentration of Credit and Other Risks - Servicer Concentration (Details) | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Single-family loan serviced | Top ten Single-family servicers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 57.00% | 56.00% |
Single-family loan serviced | Wells Fargo Bank, N.A. | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 15.00% | 17.00% |
Single-family loan serviced | JPMorgan Chase Bank, N.A. | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 10.00% | 8.00% |
Single-family loan serviced | Other top 10 servicers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 32.00% | 31.00% |
Multifamily loan serviced | Top ten multifamily servicers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 76.00% | 77.00% |
Multifamily loan serviced | CBRE Capital Markets, Inc. | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 17.00% | 17.00% |
Multifamily loan serviced | Berkadia Commercial Mortgage LLC | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 13.00% | 13.00% |
Multifamily loan serviced | Walker & Dunlop, LLC | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 9.00% | 10.00% |
Multifamily loan serviced | Other top 10 servicers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 37.00% | 37.00% |
Concentration of Credit and O_9
Concentration of Credit and Other Risks - Mortgage Insurer Concentration (Details) - Mortgage insurance coverage | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Arch Mortgage Insurance Company | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 22.00% | 24.00% |
Radian Guaranty Inc. | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 20.00% | 20.00% |
Mortgage Guaranty Insurance Corporation | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 17.00% | 19.00% |
Genworth Mortgage Insurance Corporation | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 15.00% | 14.00% |
Essent Guaranty Inc. [Member] | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 15.00% | 14.00% |
Total | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 89.00% | 91.00% |
Fair Value Disclosures - Assets
Fair Value Disclosures - Assets and Liabilities on Our Consolidated Balance Sheets Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | $ 26,174 | $ 33,563 |
Mortgage Loans [Abstract] | ||
Mortgage loans, held for sale, at fair value | 15,035 | 23,106 |
Derivative Assets Net [Abstract] | ||
Derivative Assets, net | 844 | 335 |
Other Assets [Abstract] | ||
Total other assets | 4,627 | 3,929 |
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt securities recorded at fair value | 3,938 | 5,112 |
Derivative Liabilities Net [Abstract] | ||
Total Derivative Liabilities, net | 372 | 583 |
Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt securities recorded at fair value | 3,700 | 4,400 |
Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt securities recorded at fair value | 209 | 755 |
Other | ||
Derivative Assets Net [Abstract] | ||
Derivative Assets, net | 77 | 91 |
Derivative Liabilities Net [Abstract] | ||
Total Derivative Liabilities, net | 270 | 317 |
Agency | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 24,887 | 31,905 |
Non agency and other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 1,287 | 1,658 |
Fair Value, Measurements, Recurring | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 26,174 | 33,563 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 49,537 | 35,548 |
Total investments in securities | 75,711 | 69,111 |
Mortgage Loans [Abstract] | ||
Mortgage loans, held for sale, at fair value | 15,035 | 23,106 |
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 6,379 | 6,418 |
Netting Adjustment | (5,535) | (6,083) |
Derivative Assets, net | 844 | 335 |
Other Assets [Abstract] | ||
Guarantee Assets | 4,426 | 3,633 |
Non Derivative Purchase Commitments Assets | 81 | 159 |
All Other Assets Fair Value Disclosure | 120 | 137 |
Total other assets | 4,627 | 3,929 |
Total Assets at Fair value | 96,217 | 96,481 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 5,282 | 4,428 |
Netting Adjustment | (4,910) | (3,845) |
Total Derivative Liabilities, net | 372 | 583 |
Other Liabilities [Abstract] | ||
Non Derivative Purchase Commitment Liabilities | 7 | 17 |
All Other Liabilities at Fair Value | 1 | |
Other Liabilities, Fair Value Disclosure | 8 | |
Total liabilities carried at fair value on a recurring basis | 4,318 | 5,712 |
Fair Value, Measurements, Recurring | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt securities recorded at fair value | 3,729 | 4,357 |
Fair Value, Measurements, Recurring | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt securities recorded at fair value | 209 | 755 |
Fair Value, Measurements, Recurring | Interest Rate Swap [Member] | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 2,104 | 2,127 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 4,882 | 3,974 |
Fair Value, Measurements, Recurring | Option-Based Derivatives [Member] | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 4,198 | 4,200 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 130 | 137 |
Fair Value, Measurements, Recurring | Other | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 77 | 91 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 270 | 317 |
Fair Value, Measurements, Recurring | Mortage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 22,482 | 16,373 |
Fair Value, Measurements, Recurring | Agency | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 24,887 | 31,905 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 22,481 | 16,372 |
Fair Value, Measurements, Recurring | Non agency and other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 1,287 | 1,658 |
Fair Value, Measurements, Recurring | Non-agency | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 1 | 1 |
Fair Value, Measurements, Recurring | Non-mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 27,055 | 19,175 |
Fair Value, Measurements, Recurring | Level 1 | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 0 | 0 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 25,108 | 15,885 |
Total investments in securities | 25,108 | 15,885 |
Mortgage Loans [Abstract] | ||
Mortgage loans, held for sale, at fair value | 0 | 0 |
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 0 | 0 |
Derivative Assets, net | 0 | 0 |
Other Assets [Abstract] | ||
Guarantee Assets | 0 | 0 |
Non Derivative Purchase Commitments Assets | 0 | 0 |
All Other Assets Fair Value Disclosure | 0 | 0 |
Total other assets | 0 | 0 |
Total Assets at Fair value | 25,108 | 15,885 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 0 | 0 |
Total Derivative Liabilities, net | 0 | 0 |
Other Liabilities [Abstract] | ||
Non Derivative Purchase Commitment Liabilities | 0 | 0 |
All Other Liabilities at Fair Value | 0 | |
Other Liabilities, Fair Value Disclosure | 0 | |
Total liabilities carried at fair value on a recurring basis | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt securities recorded at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt securities recorded at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Interest Rate Swap [Member] | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 0 | 0 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Option-Based Derivatives [Member] | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 0 | 0 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Other | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 0 | 0 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Mortage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Agency | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 0 | 0 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Non agency and other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Non-agency | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Non-mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 25,108 | 15,885 |
Fair Value, Measurements, Recurring | Level 2 | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 22,947 | 27,788 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 21,719 | 16,369 |
Total investments in securities | 44,666 | 44,157 |
Mortgage Loans [Abstract] | ||
Mortgage loans, held for sale, at fair value | 15,035 | 23,106 |
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 6,363 | 6,417 |
Derivative Assets, net | 6,363 | 6,417 |
Other Assets [Abstract] | ||
Guarantee Assets | 0 | 0 |
Non Derivative Purchase Commitments Assets | 81 | 159 |
All Other Assets Fair Value Disclosure | 0 | 0 |
Total other assets | 81 | 159 |
Total Assets at Fair value | 66,145 | 73,839 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 5,245 | 4,336 |
Total Derivative Liabilities, net | 5,245 | 4,336 |
Other Liabilities [Abstract] | ||
Non Derivative Purchase Commitment Liabilities | 7 | 17 |
All Other Liabilities at Fair Value | 0 | |
Other Liabilities, Fair Value Disclosure | 7 | |
Total liabilities carried at fair value on a recurring basis | 8,858 | 8,603 |
Fair Value, Measurements, Recurring | Level 2 | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt securities recorded at fair value | 3,600 | 4,223 |
Fair Value, Measurements, Recurring | Level 2 | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt securities recorded at fair value | 6 | 27 |
Fair Value, Measurements, Recurring | Level 2 | Interest Rate Swap [Member] | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 2,104 | 2,127 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 4,882 | 3,974 |
Fair Value, Measurements, Recurring | Level 2 | Option-Based Derivatives [Member] | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 4,198 | 4,200 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 130 | 137 |
Fair Value, Measurements, Recurring | Level 2 | Other | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 61 | 90 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 233 | 225 |
Fair Value, Measurements, Recurring | Level 2 | Mortage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 19,772 | 13,079 |
Fair Value, Measurements, Recurring | Level 2 | Agency | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 22,927 | 27,770 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 19,772 | 13,079 |
Fair Value, Measurements, Recurring | Level 2 | Non agency and other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 20 | 18 |
Fair Value, Measurements, Recurring | Level 2 | Non-agency | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 0 | 0 |
Fair Value, Measurements, Recurring | Level 2 | Non-mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 1,947 | 3,290 |
Fair Value, Measurements, Recurring | Level 3 | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 3,227 | 5,775 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 2,710 | 3,294 |
Total investments in securities | 5,937 | 9,069 |
Mortgage Loans [Abstract] | ||
Mortgage loans, held for sale, at fair value | 0 | 0 |
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 16 | 1 |
Derivative Assets, net | 16 | 1 |
Other Assets [Abstract] | ||
Guarantee Assets | 4,426 | 3,633 |
Non Derivative Purchase Commitments Assets | 0 | 0 |
All Other Assets Fair Value Disclosure | 120 | 137 |
Total other assets | 4,546 | 3,770 |
Total Assets at Fair value | 10,499 | 12,840 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 37 | 92 |
Total Derivative Liabilities, net | 37 | 92 |
Other Liabilities [Abstract] | ||
Non Derivative Purchase Commitment Liabilities | 0 | 0 |
All Other Liabilities at Fair Value | 1 | |
Other Liabilities, Fair Value Disclosure | 1 | |
Total liabilities carried at fair value on a recurring basis | 370 | 954 |
Fair Value, Measurements, Recurring | Level 3 | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt securities recorded at fair value | 129 | 134 |
Fair Value, Measurements, Recurring | Level 3 | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt securities recorded at fair value | 203 | 728 |
Fair Value, Measurements, Recurring | Level 3 | Interest Rate Swap [Member] | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 0 | 0 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 3 | Option-Based Derivatives [Member] | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 0 | 0 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 3 | Other | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 16 | 1 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 37 | 92 |
Fair Value, Measurements, Recurring | Level 3 | Mortage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 2,710 | 3,294 |
Fair Value, Measurements, Recurring | Level 3 | Agency | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 1,960 | 4,135 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 2,709 | 3,293 |
Fair Value, Measurements, Recurring | Level 3 | Non agency and other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 1,267 | 1,640 |
Fair Value, Measurements, Recurring | Level 3 | Non-agency | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 1 | 1 |
Fair Value, Measurements, Recurring | Level 3 | Non-mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | $ 0 | $ 0 |
Fair Value Disclosures - Asse_2
Fair Value Disclosures - Assets and Liabilities on Our Consolidated Balance Sheets Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Debt | Held by Freddie Mac | ||
Liabilities: | ||
Begining Balance | $ 134 | $ 137 |
Included in Earnings | 0 | 0 |
Included in Other Comprehensive Income | 0 | 0 |
Total realized and unrealized (gains) losses | 0 | 0 |
Purchases | 0 | 0 |
Issues | 4 | 2 |
Sales | 0 | 0 |
Settlements, Net | (9) | (5) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 129 | 134 |
Unrealized (Gains) Losses Still Held - Liabilities | 0 | 0 |
Debt | Held by consolidated trusts | ||
Liabilities: | ||
Begining Balance | 728 | 630 |
Included in Earnings | 5 | (2) |
Included in Other Comprehensive Income | 0 | 0 |
Total realized and unrealized (gains) losses | 5 | (2) |
Purchases | 0 | 0 |
Issues | 0 | 100 |
Sales | 0 | 0 |
Settlements, Net | (530) | 0 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 203 | 728 |
Unrealized (Gains) Losses Still Held - Liabilities | 5 | (2) |
Net Derivatives | ||
Net Derivative Liability | ||
Beginning Balance | 91 | 57 |
Included in Earnings | (51) | 37 |
Included in Other Comprehensive Income | 0 | 0 |
Total realized and unrealized (gains) losses | (51) | 37 |
Purchases | 0 | 0 |
Issues | 0 | 15 |
Sales | 0 | 0 |
Settlements, Net | (19) | (18) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 21 | 91 |
Unrealized (Gains) Losses Still Held - Net Derivative Liability | (68) | 20 |
All Other Liabilities | ||
Liabilities: | ||
Begining Balance | 0 | |
Included in Earnings | (3) | |
Included in Other Comprehensive Income | 0 | |
Total realized and unrealized (gains) losses | (3) | |
Purchases | 6 | |
Issues | 0 | |
Sales | (2) | |
Settlements, Net | 0 | |
Transfers into Level 3 | 0 | |
Transfers out of Level 3 | 0 | |
Ending Balance | 1 | 0 |
Unrealized (Gains) Losses Still Held - Liabilities | (5) | |
Available-for-sale securities | ||
Assets: | ||
Beginning Balance | 5,775 | 11,088 |
Included in Earnings | 105 | 917 |
Included in Other Comprehensive Income | 107 | (858) |
Total realized and unrealized gains (losses) | 212 | 59 |
Purchases | 0 | 56 |
Issues | 0 | 0 |
Sales | (2,121) | (4,027) |
Settlements, net | (583) | (1,400) |
Transfers into Level 3 | 2 | 0 |
Transfers out of Level 3 | (58) | (1) |
Ending Balance | 3,227 | 5,775 |
Unrealized Gains (Losses) Still Held - Assets | 16 | 16 |
Available-for-sale securities | Agency | ||
Assets: | ||
Beginning Balance | 4,135 | 6,797 |
Included in Earnings | 23 | (31) |
Included in Other Comprehensive Income | 108 | (214) |
Total realized and unrealized gains (losses) | 131 | (245) |
Purchases | 0 | 56 |
Issues | 0 | 0 |
Sales | (1,883) | (1,546) |
Settlements, net | (367) | (926) |
Transfers into Level 3 | 2 | 0 |
Transfers out of Level 3 | (58) | (1) |
Ending Balance | 1,960 | 4,135 |
Unrealized Gains (Losses) Still Held - Assets | 2 | (7) |
Available-for-sale securities | Non agency and other | ||
Assets: | ||
Beginning Balance | 1,640 | 4,291 |
Included in Earnings | 82 | 948 |
Included in Other Comprehensive Income | (1) | (644) |
Total realized and unrealized gains (losses) | 81 | 304 |
Purchases | 0 | 0 |
Issues | 0 | 0 |
Sales | (238) | (2,481) |
Settlements, net | (216) | (474) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 1,267 | 1,640 |
Unrealized Gains (Losses) Still Held - Assets | 14 | 23 |
Trading securities | ||
Assets: | ||
Beginning Balance | 3,294 | 2,917 |
Included in Earnings | (280) | (517) |
Included in Other Comprehensive Income | 0 | 0 |
Total realized and unrealized gains (losses) | (280) | (517) |
Purchases | 596 | 1,484 |
Issues | 0 | 0 |
Sales | (616) | (1,058) |
Settlements, net | (104) | (79) |
Transfers into Level 3 | 0 | 579 |
Transfers out of Level 3 | (180) | (32) |
Ending Balance | 2,710 | 3,294 |
Unrealized Gains (Losses) Still Held - Assets | (248) | (449) |
Trading securities | Agency | ||
Assets: | ||
Beginning Balance | 3,293 | 2,916 |
Included in Earnings | (280) | (517) |
Included in Other Comprehensive Income | 0 | 0 |
Total realized and unrealized gains (losses) | (280) | (517) |
Purchases | 596 | 1,484 |
Issues | 0 | 0 |
Sales | (616) | (1,058) |
Settlements, net | (104) | (79) |
Transfers into Level 3 | 0 | 579 |
Transfers out of Level 3 | (180) | (32) |
Ending Balance | 2,709 | 3,293 |
Unrealized Gains (Losses) Still Held - Assets | (248) | (449) |
Trading securities | Non-agency | ||
Assets: | ||
Beginning Balance | 1 | 1 |
Included in Earnings | 0 | 0 |
Included in Other Comprehensive Income | 0 | 0 |
Total realized and unrealized gains (losses) | 0 | 0 |
Purchases | 0 | 0 |
Issues | 0 | 0 |
Sales | 0 | 0 |
Settlements, net | 0 | 0 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 1 | 1 |
Unrealized Gains (Losses) Still Held - Assets | 0 | 0 |
Other Asset [Member] | ||
Assets: | ||
Beginning Balance | 3,770 | 3,216 |
Included in Earnings | (5) | (52) |
Included in Other Comprehensive Income | 0 | 0 |
Total realized and unrealized gains (losses) | (5) | (52) |
Purchases | 85 | 102 |
Issues | 1,463 | 1,149 |
Sales | (85) | (57) |
Settlements, net | (682) | (588) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 4,546 | 3,770 |
Unrealized Gains (Losses) Still Held - Assets | (37) | (55) |
Guarantee Asset | ||
Assets: | ||
Beginning Balance | 3,633 | 3,171 |
Included in Earnings | 33 | (80) |
Included in Other Comprehensive Income | 0 | 0 |
Total realized and unrealized gains (losses) | 33 | (80) |
Purchases | 0 | 0 |
Issues | 1,427 | 1,118 |
Sales | 0 | 0 |
Settlements, net | (667) | (576) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 4,426 | 3,633 |
Unrealized Gains (Losses) Still Held - Assets | 33 | (80) |
All Other Assets | ||
Assets: | ||
Beginning Balance | 137 | 45 |
Included in Earnings | (38) | 28 |
Included in Other Comprehensive Income | 0 | 0 |
Total realized and unrealized gains (losses) | (38) | 28 |
Purchases | 85 | 102 |
Issues | 36 | 31 |
Sales | (85) | (57) |
Settlements, net | (15) | (12) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 120 | 137 |
Unrealized Gains (Losses) Still Held - Assets | $ (70) | $ 25 |
Fair Value Disclosures - Quanti
Fair Value Disclosures - Quantitative Information about Recurring Level 3 Fair Value Measurements for Assets and Liabilities Measured on Our Consolidated Balance Sheets at Fair Value (Details) $ in Millions | 12 Months Ended | |
Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | |
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | $ 26,174 | $ 33,563 |
Liabilities [Abstract] | ||
Debt securities recorded at fair value | 3,938 | 5,112 |
Agency | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 24,887 | 31,905 |
Non agency and other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 1,287 | 1,658 |
Fair Value, Measurements, Recurring | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 26,174 | 33,563 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 49,537 | 35,548 |
Other assets: | ||
Guarantee Assets Fair Value Disclosure | 4,426 | 3,633 |
Investments, Fair Value Disclosure | 75,711 | 69,111 |
Fair Value, Measurements, Recurring | Mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 22,482 | 16,373 |
Fair Value, Measurements, Recurring | Agency | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 24,887 | 31,905 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 22,481 | 16,372 |
Fair Value, Measurements, Recurring | Non agency and other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 1,287 | 1,658 |
Fair Value, Measurements, Recurring | Level 3 | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 3,227 | 5,775 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 2,710 | 3,294 |
Other assets: | ||
Guarantee Assets Fair Value Disclosure | 4,426 | 3,633 |
Insignificant level3 assets | 137 | 139 |
Investments, Fair Value Disclosure | 5,937 | 9,069 |
Total Level3 assets | 10,499 | 12,840 |
Liabilities [Abstract] | ||
Insignificant level3 liabilities | 167 | 226 |
Fair Value, Measurements, Recurring | Level 3 | Mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 2,710 | 3,294 |
Fair Value, Measurements, Recurring | Level 3 | Agency | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 1,960 | 4,135 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 2,709 | 3,293 |
Fair Value, Measurements, Recurring | Level 3 | Agency | Single External Source | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 1,259 | |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 1,948 | 1,594 |
Fair Value, Measurements, Recurring | Level 3 | Agency | Discounted Cash Flows | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 1,960 | 2,876 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 761 | 1,178 |
Fair Value, Measurements, Recurring | Level 3 | Agency | Other | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 521 | |
Fair Value, Measurements, Recurring | Level 3 | Non agency and other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 1,267 | 1,640 |
Fair Value, Measurements, Recurring | Level 3 | Non agency and other | Median of External Sources | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | 886 | 1,403 |
Fair Value, Measurements, Recurring | Level 3 | Non agency and other | Single External Source | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | $ 237 | |
Fair Value, Measurements, Recurring | Level 3 | Non agency and other | Other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale Securities, Fair Value Disclosure | $ 381 | |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Agency | Minimum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 96.1 | |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Agency | Minimum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 0.30% | 0.30% |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Agency | Weighted Average | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 102.3 | |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Agency | Weighted Average | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 0.80% | 0.81% |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Agency | Maximum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 104.1 | |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Agency | Maximum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 2.61% | 3.25% |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Non agency and other | Minimum | Median of External Sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 71.9 | 64.3 |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Non agency and other | Minimum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 93.1 | |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Non agency and other | Weighted Average | Median of External Sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 75 | 67.3 |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Non agency and other | Weighted Average | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 100.7 | |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Non agency and other | Maximum | Median of External Sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 78.2 | 71.1 |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Non agency and other | Maximum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 110.7 | |
Fair Value, Measurements, Recurring | Level 3 | Trading securities | Agency | Minimum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 0 | 0 |
Fair Value, Measurements, Recurring | Level 3 | Trading securities | Agency | Minimum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | (12.01%) | (219.45%) |
Fair Value, Measurements, Recurring | Level 3 | Trading securities | Agency | Weighted Average | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 36.6 | 56.6 |
Fair Value, Measurements, Recurring | Level 3 | Trading securities | Agency | Weighted Average | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 6.11% | 0.90% |
Fair Value, Measurements, Recurring | Level 3 | Trading securities | Agency | Maximum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 100.7 | 99.2 |
Fair Value, Measurements, Recurring | Level 3 | Trading securities | Agency | Maximum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 80.95% | 66.39% |
Fair Value, Measurements, Recurring | Level 3 | Guarantee Asset | Discounted Cash Flows | ||
Other assets: | ||
Guarantee Assets Fair Value Disclosure | $ 4,141 | $ 3,391 |
Fair Value, Measurements, Recurring | Level 3 | Guarantee Asset | Other | ||
Other assets: | ||
Guarantee Assets Fair Value Disclosure | $ 285 | $ 242 |
Fair Value, Measurements, Recurring | Level 3 | Guarantee Asset | Minimum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 0.17% | 0.17% |
Fair Value, Measurements, Recurring | Level 3 | Guarantee Asset | Weighted Average | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 0.40% | 0.49% |
Fair Value, Measurements, Recurring | Level 3 | Guarantee Asset | Maximum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 1.86% | 1.98% |
Held by consolidated trusts | ||
Liabilities [Abstract] | ||
Debt securities recorded at fair value | $ 209 | $ 755 |
Held by consolidated trusts | Fair Value, Measurements, Recurring | ||
Liabilities [Abstract] | ||
Debt securities recorded at fair value | 209 | 755 |
Held by consolidated trusts | Fair Value, Measurements, Recurring | Level 3 | ||
Liabilities [Abstract] | ||
Debt securities recorded at fair value | 203 | 728 |
Held by consolidated trusts | Fair Value, Measurements, Recurring | Level 3 | Single External Source | ||
Liabilities [Abstract] | ||
Debt securities recorded at fair value | $ 203 | $ 728 |
Held by consolidated trusts | Fair Value, Measurements, Recurring | Level 3 | Weighted Average | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 101.4 | 99.6 |
Held by consolidated trusts | Fair Value, Measurements, Recurring | Level 3 | Debt | Minimum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 99.4 | 97.4 |
Held by consolidated trusts | Fair Value, Measurements, Recurring | Level 3 | Debt | Maximum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 103.6 | 101.1 |
Fair Value Disclosures - Asse_3
Fair Value Disclosures - Assets on Our Consolidated Balance Sheets Measured at Fair Value on a Non-Recurring Basis (Details) - Fair Value, Measurements, Nonrecurring - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage loans | $ 4,081 | $ 7,543 |
Level 1 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage loans | 0 | 0 |
Level 2 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage loans | 22 | 24 |
Level 3 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage loans | $ 4,059 | $ 7,519 |
Fair Value Disclosures - Quan_2
Fair Value Disclosures - Quantitative Information about Non-Recurring Level 3 Fair Value Measurements for Assets and Liabilities Measured on Our Consolidated Balance Sheets at Fair Value (Details) - Fair Value, Measurements, Nonrecurring | 12 Months Ended | |
Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | |
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage Loans Fair Value Disclosure | $ 4,081,000,000 | $ 7,543,000,000 |
Level 3 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage Loans Fair Value Disclosure | 4,059,000,000 | 7,519,000,000 |
Minimum | Internal model | Mortgage loans | Level 3 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Fair Value Inputs Historical Sale Proceeds | $ 3,000 | $ 3,000 |
Housing Sales Index | 0.46% | 0.44% |
Minimum | Median of External Sources | Mortgage loans | Level 3 | ||
Assets, Fair Value Disclosure [Abstract] | ||
External Pricing Source(s) | 66.5 | 36.2 |
Maximum | Internal model | Mortgage loans | Level 3 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Fair Value Inputs Historical Sale Proceeds | $ 765,000 | $ 750,500 |
Housing Sales Index | 4.20% | 4.80% |
Maximum | Median of External Sources | Mortgage loans | Level 3 | ||
Assets, Fair Value Disclosure [Abstract] | ||
External Pricing Source(s) | 105.4 | 94.6 |
Weighted Average | Internal model | Mortgage loans | Level 3 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Fair Value Inputs Historical Sale Proceeds | $ 186,234 | $ 177,725 |
Housing Sales Index | 1.12% | 1.08% |
Weighted Average | Median of External Sources | Mortgage loans | Level 3 | ||
Assets, Fair Value Disclosure [Abstract] | ||
External Pricing Source(s) | 95 | 82.5 |
Fair Value Disclosures - Fair V
Fair Value Disclosures - Fair Value of Financial Instruments (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Financial Assets | ||
Securities purchased under agreement to resell | $ 66,114 | $ 34,771 |
Investments in Securities [Abstract] | ||
Available-for-sale, at fair value | 26,174 | 33,563 |
Mortgage Loans [Abstract] | ||
Derivative Assets, net | 844 | 335 |
Secured lending and other | 5,158 | 1,805 |
Debt, net | ||
Debt, net | 3,938 | 5,112 |
Derivative liability, net | 372 | 583 |
Held by Freddie Mac | ||
Debt, net | ||
Debt, net | 3,700 | 4,400 |
Held by consolidated trusts | ||
Financial Assets | ||
Securities purchased under agreement to resell | 23,137 | 12,125 |
Debt, net | ||
Debt, net | 209 | 755 |
GAAP Carrying Amount | ||
Financial Assets | ||
Cash and Cash Equivalents | 5,189 | 7,273 |
Securities purchased under agreement to resell | 66,114 | 34,771 |
Investments in Securities [Abstract] | ||
Available-for-sale, at fair value | 26,174 | 33,563 |
Trading, at fair value | 49,537 | 35,548 |
Total investments in securities | 75,711 | 69,111 |
Mortgage Loans [Abstract] | ||
Mortgage loans | 2,020,200 | 1,926,978 |
Derivative Assets, net | 844 | 335 |
Guarantee Assets | 4,426 | 3,633 |
Non Derivative Purchase Commitments Assets | 81 | 159 |
Secured lending and other | 4,186 | 1,805 |
Total Assets at Fair value | 2,176,751 | 2,044,065 |
Debt, net | ||
Debt, net | 2,179,528 | 2,044,950 |
Derivative liability, net | 372 | 583 |
Guarantee obligation | 4,292 | 3,561 |
Non Derivative Purchase Commitment Liabilities | 7 | 17 |
Total Financial Liabilities | 2,184,199 | 2,049,111 |
GAAP Carrying Amount | Held by Freddie Mac | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 79,677 | 84,128 |
Debt, net | ||
Debt, net | 281,173 | 252,273 |
GAAP Carrying Amount | Held by consolidated trusts | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 1,940,523 | 1,842,850 |
Debt, net | ||
Debt, net | 1,898,355 | 1,792,677 |
GAAP Carrying Amount | AmortizedCost | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 2,000,000 | 1,900,000 |
Debt, net | ||
Debt, net | 2,200,000 | 2,000,000 |
GAAP Carrying Amount | LowerOfCostOrFairValue | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 20,300 | 18,500 |
GAAP Carrying Amount | FV - NI | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 15,000 | 23,100 |
Debt, net | ||
Debt, net | 3,900 | 5,100 |
Fair Value | ||
Financial Assets | ||
Cash and Cash Equivalents | 5,189 | 7,273 |
Securities purchased under agreement to resell | 66,114 | 34,771 |
Investments in Securities [Abstract] | ||
Available-for-sale, at fair value | 26,174 | 33,563 |
Trading, at fair value | 49,537 | 35,548 |
Total investments in securities | 75,711 | 69,111 |
Mortgage Loans [Abstract] | ||
Mortgage loans | 2,060,622 | 1,901,574 |
Derivative Assets, net | 844 | 335 |
Netting Adjustment | (5,535) | (6,083) |
Guarantee Assets | 4,433 | 3,642 |
Non Derivative Purchase Commitments Assets | 162 | 161 |
Secured lending and other | 4,005 | 1,068 |
Total Assets at Fair value | 2,217,080 | 2,017,935 |
Debt, net | ||
Debt, net | 2,218,800 | 2,017,781 |
Derivative liability, net | 372 | 583 |
Netting Adjustment | (4,910) | (3,845) |
Guarantee obligation | 4,527 | 4,146 |
Non Derivative Purchase Commitment Liabilities | 74 | 28 |
Total Financial Liabilities | 2,223,773 | 2,022,538 |
Fair Value | Held by Freddie Mac | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 83,688 | 86,158 |
Debt, net | ||
Debt, net | 286,050 | 255,172 |
Fair Value | Held by consolidated trusts | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 1,976,934 | 1,815,416 |
Debt, net | ||
Debt, net | 1,932,750 | 1,762,609 |
Fair Value | Level 1 | ||
Financial Assets | ||
Cash and Cash Equivalents | 5,189 | 7,273 |
Securities purchased under agreement to resell | 0 | 0 |
Investments in Securities [Abstract] | ||
Available-for-sale, at fair value | 0 | 0 |
Trading, at fair value | 25,108 | 15,885 |
Total investments in securities | 25,108 | 15,885 |
Mortgage Loans [Abstract] | ||
Mortgage loans | 0 | 0 |
Derivative assets at fair value | 0 | 0 |
Guarantee Assets | 0 | 0 |
Non Derivative Purchase Commitments Assets | 0 | 0 |
Secured lending and other | 0 | 0 |
Total Assets at Fair value | 30,297 | 23,158 |
Debt, net | ||
Debt, net | 0 | 0 |
Derivative liabilities at fair value | 0 | 0 |
Guarantee obligation | 0 | 0 |
Non Derivative Purchase Commitment Liabilities | 0 | 0 |
Total Financial Liabilities | 0 | 0 |
Fair Value | Level 1 | Held by Freddie Mac | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 0 | 0 |
Debt, net | ||
Debt, net | 0 | 0 |
Fair Value | Level 1 | Held by consolidated trusts | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 0 | 0 |
Debt, net | ||
Debt, net | 0 | 0 |
Fair Value | Level 2 | ||
Financial Assets | ||
Cash and Cash Equivalents | 0 | 0 |
Securities purchased under agreement to resell | 66,114 | 34,771 |
Investments in Securities [Abstract] | ||
Available-for-sale, at fair value | 22,947 | 27,788 |
Trading, at fair value | 21,719 | 16,369 |
Total investments in securities | 44,666 | 44,157 |
Mortgage Loans [Abstract] | ||
Mortgage loans | 1,770,534 | 1,639,820 |
Derivative assets at fair value | 6,363 | 6,417 |
Guarantee Assets | 0 | 0 |
Non Derivative Purchase Commitments Assets | 90 | 159 |
Secured lending and other | 1,874 | 195 |
Total Assets at Fair value | 1,889,641 | 1,725,519 |
Debt, net | ||
Debt, net | 2,213,904 | 2,011,454 |
Derivative liabilities at fair value | 5,245 | 4,336 |
Guarantee obligation | 0 | 0 |
Non Derivative Purchase Commitment Liabilities | 7 | 17 |
Total Financial Liabilities | 2,219,156 | 2,015,807 |
Fair Value | Level 2 | Held by Freddie Mac | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 38,100 | 33,946 |
Debt, net | ||
Debt, net | 282,431 | 251,543 |
Fair Value | Level 2 | Held by consolidated trusts | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 1,732,434 | 1,605,874 |
Debt, net | ||
Debt, net | 1,931,473 | 1,759,911 |
Fair Value | Level 3 | ||
Financial Assets | ||
Cash and Cash Equivalents | 0 | 0 |
Securities purchased under agreement to resell | 0 | 0 |
Investments in Securities [Abstract] | ||
Available-for-sale, at fair value | 3,227 | 5,775 |
Trading, at fair value | 2,710 | 3,294 |
Total investments in securities | 5,937 | 9,069 |
Mortgage Loans [Abstract] | ||
Mortgage loans | 290,088 | 261,754 |
Derivative assets at fair value | 16 | 1 |
Guarantee Assets | 4,433 | 3,642 |
Non Derivative Purchase Commitments Assets | 72 | 2 |
Secured lending and other | 2,131 | 873 |
Total Assets at Fair value | 302,677 | 275,341 |
Debt, net | ||
Debt, net | 4,896 | 6,327 |
Derivative liabilities at fair value | 37 | 92 |
Guarantee obligation | 4,527 | 4,146 |
Non Derivative Purchase Commitment Liabilities | 67 | 11 |
Total Financial Liabilities | 9,527 | 10,576 |
Fair Value | Level 3 | Held by Freddie Mac | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 45,588 | 52,212 |
Debt, net | ||
Debt, net | 3,619 | 3,629 |
Fair Value | Level 3 | Held by consolidated trusts | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 244,500 | 209,542 |
Debt, net | ||
Debt, net | $ 1,277 | $ 2,698 |
Fair Value Disclosures - Differ
Fair Value Disclosures - Difference between Fair Value and Unpaid Principal Balance for Certain Financial Instruments with Fair Value Option Elected (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Loans Held For Sale, Fair Value | $ 15,035 | $ 23,106 |
Loans Held For Sale, Unpaid Principal Balance, With Fair Value Option Elected | 14,444 | 22,693 |
Fair Value, Option, Aggregate Differences, Loans and Long-term Receivables | 591 | 413 |
NonDerivativeHFSPurchaseCommitmentnet | 74 | 142 |
Held by Freddie Mac | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-Term Debt, Unpaid Principal Balance, with Fair Value Option Elected | 3,329 | 3,998 |
Fair Value, Option, Aggregate Differences, Long-term Debt Instruments | 260 | 359 |
Held by consolidated trusts | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-Term Debt, Fair Value | 203 | 728 |
Long-Term Debt, Unpaid Principal Balance, with Fair Value Option Elected | 200 | 730 |
Fair Value, Option, Aggregate Differences, Long-term Debt Instruments | 3 | (2) |
Interest-Only-Strip | Held by consolidated trusts | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-Term Debt, Fair Value | 146 | 26 |
Debt | Held by Freddie Mac | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-Term Debt, Fair Value | $ 3,589 | $ 4,357 |
Fair Value Disclosures - Change
Fair Value Disclosures - Changes in Fair Value under the FVO option (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Held by Freddie Mac | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ 136 | $ 138 | $ (212) |
Held by consolidated trusts | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | (4) | 5 | 22 |
Loans Receivable | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 853 | (745) | 2 |
HFS loan purchase commitments | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ 1,913 | $ 777 | $ 1,098 |
Legal Contingencies (Details)
Legal Contingencies (Details) $ in Millions | Mar. 14, 2013numberofdefendants | Sep. 20, 2013USD ($) |
LIBOR Lawsuit | ||
Loss Contingencies [Line Items] | ||
Number of defendants | numberofdefendants | 16 | |
Arrowood lawsuit | Arrowood Indemnity Company | ||
Loss Contingencies [Line Items] | ||
Preferred Stock, Value, Outstanding | $ | $ 42 |
Regulatory Capital (Details)
Regulatory Capital (Details) - USD ($) | 12 Months Ended | |||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Sep. 08, 2008 | |
Mortgage Banking [Abstract] | ||||
Capital Requirement For On Balance Sheet Assets | 2.50% | |||
Capital Requirement For Off Balance Sheet Obligations | 0.45% | |||
Critical Capital Requirement For On Balance Sheet Assets | 1.25% | |||
Critical Capital Requirement For Off Balance Sheet Obligations | 0.25% | |||
Number of days of net worth deficit requiring FHFA to place us into receivership | 60 days | |||
Aggregate Funding Received From Treasury Under Purchase Agreement | $ 71,600,000,000 | |||
Cash amount received as a result of issuing the initial liquidation preference | $ 0 | |||
Initial liquidation preference of senior preferred stock | $ 1,000,000,000 | |||
Increase in Senior Preferred Stock | $ 3,000,000,000 | $ 3,000,000,000 |
Regulatory Capital - Net Worth
Regulatory Capital - Net Worth and Minimum Capital (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 |
Net Worth and Minimum Capital [Abstract] | ||||
GAAP net worth (deficit) | $ 9,122 | $ 4,477 | $ (312) | $ 5,075 |
Core capital (deficit) | (63,964) | (68,036) | ||
Minimum capital requirement | 19,123 | 17,553 | ||
Minimum capital surplus (deficit) | $ (83,087) | $ (85,589) |
Selected Financial Statement _3
Selected Financial Statement Line Items - Significant Components of Other Income (Loss) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Other income (loss): | |||
Non-agency mortgage-related securities settlement and judgment | $ 26 | $ 338 | $ 4,532 |
All other | 297 | 424 | 452 |
Other income (loss) | $ 323 | $ 762 | $ 4,984 |
Selected Financial Statement _4
Selected Financial Statement Line Items - Components of Investment Gain (Loss) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Selected Financial Statement Data [Abstract] | |||
Mortgage loans gains (losses) | $ 4,744 | $ 746 | $ 2,062 |
Investment securities gains (losses) | 389 | (815) | 935 |
Debt gains (losses) | 201 | 720 | 151 |
Derivative gains (losses) | (4,516) | 1,270 | (1,988) |
Investment gains (losses), net | $ 818 | $ 1,921 | $ 1,160 |
Selected Financial Statement _5
Selected Financial Statement Line Items - Significant Components of Other Assets and Other Liabilities (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Other assets: | ||
Real estate owned, net | $ 555 | $ 769 |
Accounts and other receivables | 10,780 | 2,447 |
Guarantee asset | 4,426 | 3,633 |
Secured lending and other | 5,158 | 1,805 |
All other | 1,880 | 2,322 |
Total other assets | 22,799 | 10,976 |
Other liabilities: | ||
Guarantee obligation | 4,292 | 3,561 |
All other | 3,750 | 2,837 |
Other liabilities | $ 8,042 | $ 6,398 |