Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2021 | Apr. 13, 2021 | |
Cover [Abstract] | ||
Document Quarterly Report | true | |
Document Transition Report | false | |
Document Type | 10-Q | |
Document Period End Date | Mar. 31, 2021 | |
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 Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 650,059,553 | |
Entity Central Index Key | 0001026214 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income (Loss) - USD ($) shares in Millions, $ in Millions | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Net interest income | ||
Net interest income | $ 13,902 | $ 17,592 |
Interest Expense | (10,263) | (14,807) |
Net Interest Income (Expense) | 3,639 | 2,785 |
Non-interest income (loss) | ||
Guarantee fee income | 248 | 377 |
Gain (Loss) on Investments | 1,208 | (835) |
Other income (loss) | 178 | 95 |
Non-interest income (loss) | 1,634 | (363) |
Revenues, Net of Interest Expense | 5,273 | 2,422 |
Provision for Loan, Lease, and Other Losses | 196 | (1,233) |
Non-interest expense | ||
Salaries and employee benefits | (344) | (341) |
Professional services | (87) | (76) |
Other administrative expense | (208) | (170) |
Total administrative expense | (639) | (587) |
Credit enhancement expense | (335) | (231) |
Recoveries | (257) | 467 |
REO operations expense | (8) | (85) |
Temporary Payroll Tax Cut Continuation Act of 2011 expense | (534) | (432) |
Other expense | (215) | (103) |
Non-interest expense | (1,988) | (971) |
Income (loss) before income tax (expense) benefit | 3,481 | 218 |
Income tax (expense) benefit | (714) | (45) |
Net income (loss) | 2,767 | 173 |
Other comprehensive income (loss), net of taxes and reclassification adjustments | ||
Changes in unrealized gains (losses) related to available-for-sale securities | (395) | 438 |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 10 | 13 |
Changes in defined benefit plans | (4) | (2) |
Total other comprehensive income (loss), net of taxes and reclassification adjustments | (389) | 449 |
Comprehensive income (loss) | 2,378 | 622 |
Net income (loss) | 2,767 | 173 |
Future increase in senior preferred stock liquidation preference | (2,378) | (382) |
Net income (loss) attributable to common stockholders | $ 389 | $ (209) |
Net income (loss) per common share — basic and diluted | $ 0.12 | $ (0.06) |
Weighted average common shares outstanding (in millions) — basic and diluted | 3,234 | 3,234 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Assets | ||
Cash and cash equivalents (Notes 3, 16) (includes $61,962 and $17,379 of restricted cash and cash equivalents) | $ 100,979 | $ 23,889 |
Securities purchased under agreements to resell (Notes 3, 11, 16) | 15,140 | 105,003 |
Investments in securities, at fair value | 61,880 | 59,825 |
Mortgage loans held-for-sale (Notes 3, 4) (includes $8,093 and $14,199 at fair value) | 24,915 | 33,652 |
Mortgage loans held-for-investment (Notes 3, 4) (net of allowance for credit losses of $5,330 and $5,732) | 2,482,972 | 2,350,236 |
Accrued interest receivable (Notes 3, 4, 6, 11) (net of allowance of $213 and $140) | 7,662 | 7,754 |
Derivative assets, net (Notes 10, 11) | 2,085 | 1,205 |
Deferred Tax assets, net | 6,826 | 6,557 |
Other assets (Notes 3) (includes $5,894 and $5,775, at fair value) | 39,415 | 39,294 |
Total assets | 2,741,874 | 2,627,415 |
Liabilities | ||
Accrued interest payable (Note 3) | 5,954 | 6,210 |
Debt (Notes 3, 9) (includes $2,364 and $2,592 at fair value) | 2,704,270 | 2,592,546 |
Derivative liabilities, net (Notes 10, 11) | 950 | 954 |
Other liabilities (Notes 3) | 11,909 | 11,292 |
Total liabilities | 2,723,083 | 2,611,002 |
Commitments and contingencies (Notes 5, 10, 18) | ||
Equity (Note 12) | ||
Senior preferred stock (liquidation preference of $89,061 and $86,539) | 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 650,059,553 shares and 650,059,292 shares outstanding | 0 | 0 |
Additional paid-in capital | 0 | 0 |
Retained earnings (accumulated deficit) | (64,335) | (67,102) |
AOCI, net of taxes, related to: | ||
Available-for-sale securities | 415 | 810 |
Cash flow hedge relationships | (196) | (206) |
Defined benefit plans | 35 | 39 |
Total AOCI, net of taxes | 254 | 643 |
Treasury stock, at cost, 75,804,333 shares and 75,804,594 shares | (3,885) | (3,885) |
Total equity | 18,791 | 16,413 |
Total liabilities and equity | 2,741,874 | 2,627,415 |
Condensed Consolidated Balance Sheet Line Item (Note 3) | ||
Mortgage loans held-for-investment (Notes 3, 4) (net of allowance for credit losses of $5,330 and $5,732) | 2,482,972 | 2,350,236 |
Total assets | 2,741,874 | 2,627,415 |
Debt (Notes 3, 9) (includes $2,364 and $2,592 at fair value) | 2,704,270 | 2,592,546 |
Total liabilities | 2,723,083 | 2,611,002 |
Held by consolidated trusts | ||
Assets | ||
Cash and cash equivalents (Notes 3, 16) (includes $61,962 and $17,379 of restricted cash and cash equivalents) | 61,857 | 17,290 |
Securities purchased under agreements to resell (Notes 3, 11, 16) | 0 | 38,487 |
Investments in securities, at fair value | 1,383 | 591 |
Mortgage loans held-for-investment (Notes 3, 4) (net of allowance for credit losses of $5,330 and $5,732) | 2,395,707 | 2,273,347 |
Accrued interest receivable (Notes 3, 4, 6, 11) (net of allowance of $213 and $140) | 7,056 | 7,134 |
Other assets (Notes 3) (includes $5,894 and $5,775, at fair value) | 19,832 | 20,480 |
Total assets | 2,485,835 | 2,357,329 |
Liabilities | ||
Accrued interest payable (Note 3) | 5,591 | 5,610 |
Debt (Notes 3, 9) (includes $2,364 and $2,592 at fair value) | 2,445,829 | 2,308,176 |
Other liabilities (Notes 3) | 1 | 0 |
Total liabilities | 2,451,421 | 2,313,786 |
Condensed Consolidated Balance Sheet Line Item (Note 3) | ||
Mortgage loans held-for-investment (Notes 3, 4) (net of allowance for credit losses of $5,330 and $5,732) | 2,395,707 | 2,273,347 |
All other assets | 90,128 | 83,982 |
Total assets | 2,485,835 | 2,357,329 |
Debt (Notes 3, 9) (includes $2,364 and $2,592 at fair value) | 2,445,829 | 2,308,176 |
All other liabilities | 5,592 | 5,610 |
Total liabilities | $ 2,451,421 | $ 2,313,786 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) | Mar. 31, 2021 | Dec. 31, 2020 |
Statement of Financial Position [Abstract] | ||
Restricted Cash and Cash Equivalents | $ 61,962,000,000 | $ 17,379,000,000 |
Mortgages Held-for-sale, Fair Value Disclosure | 8,093,000,000 | 14,199,000,000 |
Allowance on accrued interest receivable | 213,000,000 | 140,000,000 |
Allowance for loan losses | 5,330,000,000 | 5,732,000,000 |
Other Assets, Fair Value Disclosure | 5,894,000,000 | 5,775,000,000 |
Debt instrument recorded at fair value | 2,364,000,000 | 2,592,000,000 |
Senior preferred stock | $ 89,061,000,000 | $ 86,539,000,000 |
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 | 650,059,553 | 650,059,292 |
Treasury Stock, Shares | 75,804,333 | 75,804,594 |
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 |
Comprehensive income: | ||||||||
Retained Earnings (Accumulated Deficit) | Accounting Standards Update 2016-13 | $ (240) | |||||||
Beginning balance at Dec. 31, 2019 | 9,122 | $ 72,648 | $ 14,109 | $ 0 | $ 0 | $ (74,188) | $ 438 | $ (3,885) |
Beginning balance, Shares at Dec. 31, 2019 | 1 | 464 | 650 | |||||
Comprehensive income: | ||||||||
Net income (loss) | 173 | 173 | ||||||
Other comprehensive income, net of taxes | 449 | 449 | ||||||
Comprehensive income (loss) | 622 | 173 | 449 | |||||
Ending balance at Mar. 31, 2020 | 9,504 | $ 72,648 | $ 14,109 | $ 0 | 0 | (74,255) | 887 | (3,885) |
Ending balance, Shares at Mar. 31, 2020 | 1 | 464 | 650 | |||||
Comprehensive income: | ||||||||
Retained Earnings (Accumulated Deficit) | (67,102) | |||||||
Beginning balance at Dec. 31, 2020 | 16,413 | $ 72,648 | $ 14,109 | $ 0 | 0 | (67,102) | 643 | (3,885) |
Beginning balance, Shares at Dec. 31, 2020 | 1 | 464 | 650 | |||||
Comprehensive income: | ||||||||
Net income (loss) | 2,767 | 2,767 | ||||||
Other comprehensive income, net of taxes | (389) | (389) | ||||||
Comprehensive income (loss) | 2,378 | 2,767 | (389) | |||||
Ending balance at Mar. 31, 2021 | 18,791 | $ 72,648 | $ 14,109 | $ 0 | $ 0 | $ (64,335) | $ 254 | $ (3,885) |
Ending balance, Shares at Mar. 31, 2021 | 1 | 464 | 650 | |||||
Comprehensive income: | ||||||||
Retained Earnings (Accumulated Deficit) | $ (64,335) |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Net Cash Provided by (Used in) Operating Activities | $ 10,382 | $ 2,791 |
Cash flows from investing activities | ||
Purchases of trading securities | (34,301) | (29,067) |
Proceeds from sales of trading securities | 31,425 | 24,252 |
Proceeds from maturities and repayments of trading securities | 2,487 | 4,992 |
Purchases of available-for-sale securities | (4,407) | (1,375) |
Proceeds from sales of available-for-sale securities | 14,571 | 2,072 |
Proceeds from maturities and repayments of available-for-sale securities | 502 | 865 |
Purchases of mortgage loans acquired as held-for-investment | (229,709) | (68,834) |
Proceeds from sales of mortgage loans acquired as held-for-investment | 1,019 | 2,464 |
Proceeds from repayments of mortgage loans acquired as held-for-investment | 229,285 | 107,876 |
Advances under secured lending arrangements | (54,777) | (17,047) |
Repayments of secured lending arrangements | 52 | 591 |
Net proceeds from dispositions of real estate owned and other recoveries | 71 | 260 |
Net (increase) decrease in securities purchased under agreements to resell | 81,933 | 5,688 |
Derivative premiums and terminations, swap collateral, and exchange settlement payments, net | 990 | (8,357) |
Other, net | (155) | (138) |
Net Cash Provided by (Used in) Investing Activities | 38,986 | 24,242 |
Cash flows from financing activities | ||
Net increase (decrease) in securities sold under agreements to repurchase | 7,930 | 4,463 |
Other, net | (1) | (25) |
Net Cash Provided by (Used in) Financing Activities | 27,722 | (7,898) |
Net increase (decrease) in cash and cash equivalents (includes restricted cash and cash equivalents) | 77,090 | 19,135 |
Cash and cash equivalents (includes restricted cash and cash equivalents) at beginning of year | 23,889 | 5,189 |
Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period | 100,979 | 24,324 |
Cash paid for: | ||
Debt interest | 17,373 | 17,962 |
Income taxes | 0 | 0 |
Held by Freddie Mac | ||
Cash flows from financing activities | ||
Proceeds from issuance of debt | 23,153 | 174,258 |
Repayments of debt | (47,019) | (159,391) |
Held by consolidated trusts | ||
Cash flows from financing activities | ||
Proceeds from issuance of debt | 267,096 | 73,626 |
Repayments of debt | (223,437) | $ (100,829) |
Cash and cash equivalents (includes restricted cash and cash equivalents) at beginning of year | 17,290 | |
Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period | $ 61,857 |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2021 | |
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 in this Form 10-Q and in our Annual Report on Form 10-K for the year ended December 31, 2020, or 2020 Annual Report. Throughout our unaudited condensed consolidated financial statements and related notes, we use certain acronyms and terms which are defined in the Glossary of our 2020 Annual Report. The accompanying unaudited condensed consolidated financial statements should be read in conjunction with the audited consolidated financial statements and related notes in our 2020 Annual Report. Basis of Presentation The accompanying unaudited condensed 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. In the opinion of management, our unaudited condensed consolidated financial statements contain all adjustments, which include only normal recurring adjustments, necessary for a fair statement of our results. During 1Q 2021, our chief operating decision maker began making decisions about allocating resources and assessing segment performance based on two reportable segments, Single-family and Multifamily. See Note 15 for additional information on the change in our segment reporting presentation. 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. Recently Issued Accounting Guidance Recently Adopted Accounting Guidance Standard Description Date of Adoption Effect on Condensed Consolidated Financial Statements ASU 2020-06, Debt - Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging -Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity The amendments in this Update simplify an issuer's January 1, 2021 The adoption of the amendments did not have a material effect on our condensed consolidated financial statements or on our disclosures. ASU 2020-08, Codification Improvements to Subtopic 310-20, Receivables -Nonrefundable Fees and Other Costs The amendments in this Update clarify the guidance January 1, 2021 The adoption of the amendments did not have a material effect on our condensed consolidated financial statements or on our disclosures. |
Conservatorship and Related Mat
Conservatorship and Related Matters | 3 Months Ended |
Mar. 31, 2021 | |
Conservatorship and Related Matters [Abstract] | |
Conservatorship And Related Matters [Text Block] | 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 of Directors 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. Purchase Agreement 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 of Directors. 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. Pursuant to the January 2021 Letter Agreement, the applicable Capital Reserve Amount from October 1, 2020 is the amount of adjusted total capital necessary to meet capital requirements and buffers set forth in the ERCF. This increased Capital Reserve Amount will remain in effect until the last day of the second fiscal quarter during which we have reached and maintained such level of capital (the Capital Reserve End Date). As a result, the company was not required to pay a dividend to Treasury on the senior preferred stock in March 2021, and we will not be required to pay a dividend on the senior preferred stock to Treasury until we have built sufficient capital to meet the capital requirements and buffers set forth in the ERCF. If for any reason we were not to pay our dividend requirements on the senior preferred stock in full in any future period until the Capital Reserve End Date, the unpaid amount would be added to the liquidation preference and the applicable Capital Reserve Amount would thereafter be zero. As the company builds capital during this period, the quarterly increases in our Net Worth Amount have been, and will continue to be, added to the liquidation preference of the senior preferred stock. As a result, the liquidation preference of the senior preferred stock increased from $86.5 billion as of December 31, 2020 to $89.1 billion on March 31, 2021 based on the $2.5 billion increase in our Net Worth Amount during 4Q 2020, and will increase to $91.4 billion on June 30, 2021 based on the $2.4 billion increase in our Net Worth Amount during 1Q 2021. The Purchase Agreement, as amended by the January 2021 Letter Agreement, includes significant restrictions on our ability to manage our business, including limits on our secondary market activities; the amount and type of single-family and multifamily loans we can acquire; the amount of indebtedness we can incur; the size of our mortgage-related investments portfolio; and our ability to pay dividends, transfer certain assets, raise capital, pay down the liquidation preference of the senior preferred stock, and exit conservatorship. We have accounted for the January 2021 Letter Agreement as a modification of the senior preferred stock recognized on our condensed consolidated balance sheet. 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 or under the limited circumstances specified in the Purchase Agreement as amended by the January 2021 Letter Agreement involving maintenance of certain capital and resolution of currently pending material litigation related to our conservatorship and the Purchase Agreement. Treasury has the right to exercise the warrant, in whole or in part, at any time on or before September 7, 2028. Impact of Conservatorship and Related Developments on the Mortgage-Related Investments Portfolio In February 2019, FHFA directed us to maintain our mortgage-related investments portfolio at or below $225 billion at all times. The amount of mortgage assets that we may own in this portfolio is also currently capped under the Purchase Agreement at $250 billion. The Purchase Agreement cap will be lowered from $250 billion to $225 billion at the end of 2022. In addition to UPB, the calculation of mortgage assets subject to the FHFA and Purchase Agreement caps includes 10% of the notional value of interest-only securities. The balance of the mortgage-related investments portfolio for the purposes of the FHFA and Purchase Agreement limits was $181.5 billion at March 31, 2021, including $7.0 billion representing 10% of the notional amount of the interest-only securities we held as of March 31, 2021. Our ability to acquire and sell mortgage assets continues to be significantly constrained by limitations imposed by the Purchase Agreement and FHFA. With respect to the composition of our mortgage-related investments portfolio, in August 2020, FHFA instructed us to: (1) reduce the amount of agency MBS to no more than $50 billion by June 30, 2021 and no more than $20 billion by June 30, 2022, with all dollar caps to be based on UPB; and (2) reduce the UPB of our existing portfolio of CMOs, which are also sometimes referred to as REMICs, to zero by June 30, 2021. We will have a holding period limit to sell any new CMO tranches created but not sold at issuance. CMOs do not include tranches initially retained from reperforming loans senior subordinate securitization structures. Government Support for Our Business We receive substantial support from Treasury and are dependent upon its continued support 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 December 31, 2020, 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 1Q 2021. The amount of available funding remaining under the Purchase Agreement is $140.2 billion and will be reduced by any future draws. See Note 9 and Note 12 for more information on the conservatorship and the Purchase Agreement. Related Parties As a Result of Conservatorship We are deemed related parties with Fannie Mae as both we and Fannie Mae have the same relationships with FHFA and Treasury. CSS was formed in 2013 as a limited liability company equally owned by Freddie Mac and Fannie Mae and is also deemed a related party. In connection with the formation of CSS, we entered into a limited liability company agreement with Fannie Mae. We and Fannie Mae have 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. 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 additional 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 CSS Board member to serve as Chair in January 2020, and FHFA subsequently appointed three additional CSS Board members, one in June 2020 and two in January 2021. As a result, 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 Chief Executive Officer of CSS, and admission of new members. We account for our investment in CSS using the equity method. We increase the carrying value of our investment in CSS when we contribute capital to CSS. We recognize our equity in the net earnings of CSS each period as a component of investment gains (losses), net on our condensed consolidated statements of comprehensive income (loss). During 1Q 2021, we contributed $27 million of capital to CSS, and we have contributed $685 million since we began making contributions in the fourth quarter of 2014. The carrying value of our investment in CSS was $20 million and $16 million as of March 31, 2021 and December 31, 2020, respectively, and was included in other assets on our condensed consolidated balance sheets. |
Securitization Activities and C
Securitization Activities and Consolidation | 3 Months Ended |
Mar. 31, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Variable Interest Entity Disclosure | Securitization Activities and Consolidation Our primary business activities in our Single-family 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. We consolidate VIEs when we have a controlling financial interest in the VIE and are therefore considered the primary beneficiary of the VIE. See Note 5 for additional information on our guarantee activities. We do not believe the maximum exposure to loss from our involvement with VIEs for which we are not the primary beneficiary discussed 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 8 for additional information on credit enhancements. Certain of our interest-rate risk-related guarantees to VIEs for which we are not the primary beneficiary may create exposure to loss that is unlimited. We account for these interest-rate risk-related guarantees at fair value as discussed further in Note 5 and generally reduce our exposure to these guarantees with unlimited interest rate exposure through separate derivative contracts with third parties. See Note 10 for additional information on derivatives. Securitization Activities Single-family Resecuritization Products With the exception of commingled securities, our investments in and guarantees of securities issued by resecuritization trusts for which we are not the primary beneficiary typically do not create any incremental exposure to loss because we already guarantee and consolidate the underlying collateral. The fair value of these investments in our resecuritization trusts for which we are not the primary beneficiary was $24.9 billion and $28.5 billion as of March 31, 2021 and December 31, 2020, respectively. While our guarantee of Fannie Mae securities underlying commingled resecuritization products creates incremental exposure to loss, we view the likelihood of being required to perform on our guarantee as remote 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. The UPB of Fannie Mae securities underlying commingled Freddie Mac resecuritization trusts for which we are not the primary beneficiary totaled $92.3 billion and $85.3 billion as of March 31, 2021 and December 31, 2020, respectively. See Note 5 for additional information on our guarantee of Fannie Mae securities. Senior Subordinate Securitization Structures 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. The maximum exposure to loss for our single-family senior subordinate securitization structures for which we are not the primary beneficiary totaled $26.9 billion and $28.1 billion at March 31, 2021 and December 31, 2020, respectively, and represents the guaranteed UPB of the assets held by these unconsolidated VIEs. The total assets of these unconsolidated VIEs totaled $32.5 billion and $33.7 billion at March 31, 2021 and December 31, 2020, respectively. Other Securitization Products We do not consolidate the trusts used to issue our single-family other securitization products when we are not the primary beneficiary. The maximum exposure to loss for these single-family securitizations for which we are not the primary beneficiary totaled $1.6 billion and $1.7 billion at March 31, 2021 and December 31, 2020, respectively. The total assets of these unconsolidated VIEs totaled $1.6 billion and $1.8 billion at March 31, 2021 and December 31, 2020, respectively. Multifamily K Certificates We do not consolidate our K Certificate securitization trusts that have subordination 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. The maximum exposure to loss for our K Certificate securitizations for which we are not the primary beneficiary totaled $265.2 billion and $253.0 billion at March 31, 2021 and December 31, 2020, respectively, and primarily represents the UPB of the beneficial interests that we have guaranteed. The total assets of these nonconsolidated VIEs totaled $304.3 billion and $291.3 billion at March 31, 2021 and December 31, 2020, respectively . SB Certificates Similar to K Certificate transactions, we are not the primary beneficiary of and, therefore, do not consolidate 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. The maximum exposure to loss for our SB Certificate securitizations for which we are not the primary beneficiary totaled $21.8 billion and $21.5 billion at March 31, 2021 and December 31, 2020, respectively, and primarily represents the UPB of the beneficial interests that we have guaranteed. The total assets of these nonconsolidated VIEs totaled $24.2 billion and $23.9 billion at March 31, 2021 and December 31, 2020, respectively. Other Securitization Products We do not consolidate the trusts used to issue our other securitization products when we are not the primary beneficiary. The maximum exposure to loss for our other securitization products for which we are not the primary beneficiary totaled $15.0 billion and $14.9 billion at March 31, 2021 and December 31, 2020, respectively, and primarily represents the UPB of the beneficial interests that we have guaranteed. The total assets of these nonconsolidated VIEs totaled $17.0 billion and $16.9 billion at March 31, 2021 and December 31, 2020, respectively. CRT Activities STACR Trust Notes We are not the primary beneficiary of and, therefore, do not consolidate the STACR Trusts used in the STACR Trust Note transactions. The maximum exposure to loss for our STACR Trust Notes for which we are not the primary beneficiary represents our recorded expected recovery receivable and totaled $350 million and $420 million at March 31, 2021 and December 31, 2020, respectively. The total assets of these nonconsolidated VIEs totaled $19.7 billion and $17.3 billion at March 31, 2021 and December 31, 2020, respectively. See Note 8 for additional information on the amount of available coverage. Consolidated VIEs The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on our condensed consolidated balance sheets. Table 3.1 - Consolidated VIEs (In millions) March 31, 2021 December 31, 2020 Condensed Consolidated Balance Sheet Line Item Assets: Cash and cash equivalents (includes $61,856 and $17,289 of restricted cash and cash equivalents) $61,857 $17,290 Securities purchased under agreements to resell — 38,487 Investment securities, at fair value 1,383 591 Mortgage loans held-for-investment, net 2,395,707 2,273,347 Accrued interest receivable, net 7,056 7,134 Other assets 19,832 20,480 Total assets of consolidated VIEs $2,485,835 $2,357,329 Liabilities: Accrued interest payable $5,591 $5,610 Debt 2,445,829 2,308,176 Other liabilities 1 — Total liabilities of consolidated VIEs $2,451,421 $2,313,786 Non-Consolidated VIEs The following table presents the carrying amounts and classification of the assets and liabilities recorded on our condensed consolidated balance sheets related to VIEs for which we are not the primary beneficiary and with which we were involved in the design and creation and have a significant continuing involvement. Our involvement with such VIEs primarily consists of investments in debt securities issued by resecuritization trusts and guarantees of senior securities issued by certain Multifamily securitization trusts. Table 3.2 - Non-Consolidated VIEs (In millions) March 31, 2021 December 31, 2020 Assets and Liabilities Recorded on our Condensed Consolidated Balance Sheets (1) Assets: Investment securities, at fair value $24,898 $28,459 Accrued interest receivable, net 232 239 Derivative assets, net 29 61 Other assets 5,651 5,553 Liabilities: Debt 89 — Derivative liabilities, net 72 47 Other liabilities 4,739 4,515 (1) Includes our variable interests in REMICs and Strips, commingled Supers, K Certificates, SB Certificates, certain senior subordinate securitization structures, and other securitization products that we do not consolidate. We also obtain interests in various other entities created by third parties through the normal course of business that may be VIEs, 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 6 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 | 3 Months Ended |
Mar. 31, 2021 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
MORTGAGE LOANS AND LOAN LOSS RESERVES | Mortgage Loans The table below provides details of the loans on our condensed consolidated balance sheets. Table 4.1 - Mortgage Loans March 31, 2021 December 31, 2020 (In millions) Single-family Multifamily Total Single-family Multifamily Total Held-for-sale UPB $10,850 $15,450 $26,300 $10,702 $23,789 $34,491 Cost basis and fair value adjustments, net (1,592) 207 (1,385) (1,637) 798 (839) Total held-for-sale loans, net 9,258 15,657 24,915 9,065 24,587 33,652 Held-for-investment UPB 2,403,981 22,738 2,426,719 2,271,576 21,923 2,293,499 Cost basis adjustments 61,527 56 61,583 62,415 54 62,469 Allowance for credit losses (5,253) (77) (5,330) (5,628) (104) (5,732) Total held-for-investment loans, net 2,460,255 22,717 2,482,972 2,328,363 21,873 2,350,236 Total mortgage loans, net $2,469,513 $38,374 $2,507,887 $2,337,428 $46,460 $2,383,888 The table below provides details of the UPB of loans we purchased and sold during the periods presented. Table 4.2 - Loans Purchased and Sold (In billions) 1Q 2021 1Q 2020 Single-family: Purchases Held-for-investment loans $360.6 $137.7 Sale of held-for-sale loans (1) — 2.2 Multifamily: Purchases Held-for-investment loans 1.6 1.2 Held-for-sale loans 12.3 8.2 Sale of held-for-sale loans (2) 21.1 10.7 (1) Our sales of single-family loans reflect the sale of seasoned single-family mortgage loans. (2) Our sales of multifamily loans occur primarily through the issuance of multifamily K Certificates and SB Certificates. See Note 3 Reclassifications We reclassify loans between held-for-investment and held-for-sale depending on our intent and ability to hold the loan for the foreseeable future. The table below presents the allowance for credit losses or valuation allowance that was reversed or established due to loan reclassifications between held-for-investment and held-for-sale during the period presented. Table 4.3 - Loan Reclassifications 1Q 2021 1Q 2020 (In millions) UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed Single-family reclassifications from: Held-for-investment to held-for-sale (1) $501 $7 $— $2,637 $214 $— Held-for-sale to held-for-investment (2) 35 3 — 1 — — Multifamily reclassifications from: Held-for-investment to held-for-sale 528 1 — 32 — — Held-for-sale to held-for-investment 9 — — 482 (1) — Referenced footnotes are on the next page. (1) Prior to reclassification from held-for-investment to held-for-sale, we charged-off $27 million and $79 million against the allowance for credit losses during 1Q 2021 and 1Q 2020, respectively. (2) Allowance for credit losses reversed upon reclassifications from held-for-sale to held-for-investment for loans that were previously charged off and the present values of expected future cash flows were in excess of the amortized cost basis upon reclassification. Interest Income The table below provides the amortized cost basis of non-accrual loans as of the beginning and the end of the periods presented, including the interest income recognized for the period that is related to the loans on non-accrual status as of the period end. Table 4.4 - Amortized Cost Basis of Held-for-Investment Loans on Non-accrual Non-accrual Amortized Cost Basis Interest Income Recognized (1) (In millions) January 1, 2021 March 31, 2021 1Q 2021 Single-family: 20- and 30-year or more, amortizing fixed-rate $12,151 $21,137 $36 15-year amortizing fixed-rate 696 1,031 1 Adjustable-rate 193 296 — Alt-A, interest-only, and option ARM 637 700 1 Total single-family 13,677 23,164 38 Total multifamily — — — Total single-family and multifamily $13,677 $23,164 $38 Non-accrual Amortized Cost Basis Interest Income Recognized (1) (In millions) January 1, 2020 March 31, 2020 1Q 2020 Single-family: 20- and 30-year or more, amortizing fixed-rate $5,598 $5,494 $4 15-year amortizing fixed-rate 242 241 — Adjustable-rate 91 83 — Alt-A, interest-only, and option ARM 439 389 2 Total single-family 6,370 6,207 6 Total multifamily 13 13 — Total single-family and multifamily $6,383 $6,220 $6 (1) Represents the amount of payments received during the period, including those received while the loans were on accrual status, for the held-for-investment loans on non-accrual status as of the period end. The table below provides the amount of accrued interest receivable, net presented on our condensed consolidated balance sheets and the amount of accrued interest receivable related to loans on non-accrual status at the end of the periods that is charged off. Table 4.5 - Accrued Interest Receivable, Net and Related Charge-offs Accrued Interest Receivable, Net Accrued Interest Receivable Related Charge-offs (In millions) March 31, 2021 December 31, 2020 1Q 2021 1Q 2020 Single-family loans $7,229 $7,292 ($166) ($29) Multifamily loans 120 139 — — 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 16 . The table below presents the amortized cost basis of single-family held-for-investment loans by current LTV ratio. Our current LTV ratios are estimates based on available data through the end of each period presented. 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. Table 4.6 - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratio and Vintage March 31, 2021 Year of Origination Total (In millions) 2021 2020 2019 2018 2017 Prior Current LTV Ratio: 20- and 30-year or more, amortizing fixed-rate ≤ 60 $51,100 $243,582 $53,075 $33,730 $63,245 $498,835 $943,567 > 60 to 80 112,096 466,621 125,253 51,535 43,041 61,433 859,979 > 80 to 100 52,066 182,963 28,503 4,226 1,292 3,529 272,579 > 100 (1) 92 93 5 20 49 812 1,071 Total 20- and 30-year or more, amortizing fixed-rate 215,354 893,259 206,836 89,511 107,627 564,609 2,077,196 15-year amortizing fixed-rate ≤ 60 18,098 90,471 17,571 9,263 17,916 103,499 256,818 > 60 to 80 16,388 64,103 8,417 1,237 506 211 90,862 > 80 to 100 2,650 5,156 135 10 9 20 7,980 > 100 (1) 9 7 — 2 3 8 29 Total 15-year amortizing fixed-rate 37,145 159,737 26,123 10,512 18,434 103,738 355,689 Adjustable-rate ≤ 60 29 1,422 772 655 2,205 13,493 18,576 > 60 to 80 34 1,221 692 382 715 597 3,641 > 80 to 100 7 146 56 14 17 7 247 > 100 (1) — — — — — 1 1 Total adjustable-rate 70 2,789 1,520 1,051 2,937 14,098 22,465 Alt-A, Interest-only, and option ARM ≤ 60 — — — — — 8,361 8,361 > 60 to 80 — — — — — 1,497 1,497 > 80 to 100 — — — — — 252 252 > 100 (1) — — — — — 48 48 Total Alt-A, interest-only, and option ARM — — — — — 10,158 10,158 Total single-family loans $252,569 $1,055,785 $234,479 $101,074 $128,998 $692,603 $2,465,508 Total for all loan product types by current LTV ratio: ≤ 60 $69,227 $335,475 $71,418 $43,648 $83,366 $624,188 $1,227,322 > 60 to 80 128,518 531,945 134,362 53,154 44,262 63,738 955,979 > 80 to 100 54,723 188,265 28,694 4,250 1,318 3,808 281,058 > 100 (1) 101 100 5 22 52 869 1,149 Total single-family loans $252,569 $1,055,785 $234,479 $101,074 $128,998 $692,603 $2,465,508 Referenced footnotes are included after the prior period table. December 31, 2020 Year of Origination Total (In millions) 2020 2019 2018 2017 2016 Prior Current LTV Ratio: 20- and 30-year or more, amortizing fixed-rate ≤ 60 $203,333 $52,820 $33,139 $64,834 $115,978 $431,406 $901,510 > 60 to 80 437,107 141,094 64,236 59,110 40,614 44,636 786,797 > 80 to 100 206,457 53,926 8,822 2,117 654 3,983 275,959 > 100 (1) 202 7 25 64 61 948 1,307 Total 20- and 30-year or more, amortizing fixed-rate 847,099 247,847 106,222 126,125 157,307 480,973 1,965,573 15-year amortizing fixed-rate ≤ 60 78,269 17,753 9,914 19,650 29,916 83,842 239,344 > 60 to 80 67,904 12,169 2,195 961 215 135 83,579 > 80 to 100 8,553 400 17 12 9 17 9,008 > 100 (1) 21 — 3 5 3 7 39 Total 15-year amortizing fixed-rate 154,747 30,322 12,129 20,628 30,143 84,001 331,970 Adjustable-rate ≤ 60 1,427 850 731 2,429 2,042 12,993 20,472 > 60 to 80 1,403 877 537 1,061 329 528 4,735 > 80 to 100 232 125 34 29 2 8 430 > 100 (1) — — — — — 1 1 Total adjustable-rate 3,062 1,852 1,302 3,519 2,373 13,530 25,638 Alt-A, Interest-only, and option ARM ≤ 60 — — — — — 8,620 8,620 > 60 to 80 — — — — — 1,818 1,818 > 80 to 100 — — — — — 314 314 > 100 (1) — — — — — 58 58 Total Alt-A, interest-only, and option ARM — — — — — 10,810 10,810 Total single-family loans $1,004,908 $280,021 $119,653 $150,272 $189,823 $589,314 $2,333,991 Total for all loan product types by Current LTV ratio: ≤ 60 $283,029 $71,423 $43,784 $86,913 $147,936 $536,861 $1,169,946 > 60 to 80 506,414 154,140 66,968 61,132 41,158 47,117 876,929 > 80 to 100 215,242 54,451 8,873 2,158 665 4,322 285,711 > 100 (1) 223 7 28 69 64 1,014 1,405 Total single-family loans $1,004,908 $280,021 $119,653 $150,272 $189,823 $589,314 $2,333,991 (1) The serious delinquency rate for the single-family held-for-investment mortgage loans with current LTV ratios in excess of 100% was 10.75% and 11.17% as of March 31, 2021 and December 31, 2020, respectively. Multifamily The table below presents the amortized cost basis of 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 and are defined as follows: n "Pass" is current and adequately protected by the current financial strength and debt service capacity of the borrower; n "Special mention" has administrative issues that may affect future repayment prospects but does not have current credit weaknesses. In addition, this category generally includes loans in forbearance; n "Substandard" has a weakness that jeopardizes the timely full repayment; and n "Doubtful" has a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions. Table 4.7 - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator by Vintage March 31, 2021 Year of Origination Total (In millions) 2021 2020 2019 2018 2017 Prior Revolving Loans Category: Pass $438 $8,169 $6,258 $1,160 $656 $3,191 $2,215 $22,087 Special mention — — 500 — — 107 — 607 Substandard — — 23 — 13 64 — 100 Doubtful — — — — — — — — Total $438 $8,169 $6,781 $1,160 $669 $3,362 $2,215 $22,794 December 31, 2020 Year of Origination Total (In millions) 2020 2019 2018 2017 2016 Prior Revolving Loans Category: Pass $7,486 $6,491 $1,075 $722 $590 $2,715 $2,024 $21,103 Special mention — 524 115 — 8 108 — 755 Substandard — — 6 41 — 72 — 119 Doubtful — — — — — — — — Total $7,486 $7,015 $1,196 $763 $598 $2,895 $2,024 $21,977 Past Due Status The table below presents the amortized cost basis of our single-family and multifamily loans, held-for-investment, by payment status. Table 4.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status March 31, 2021 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure (1) Total Three Months or More Past Due, and Accruing Non-accrual With No Allowance (2) Single-family: 20- and 30-year or more, amortizing fixed-rate $2,015,453 $11,184 $4,152 $46,407 $2,077,196 $25,654 $791 15-year amortizing fixed-rate 351,388 1,024 309 2,968 355,689 1,907 11 Adjustable-rate 21,474 151 80 760 22,465 464 10 Alt-A, interest-only, and option ARM 8,725 243 129 1,061 10,158 376 139 Total single-family 2,397,040 12,602 4,670 51,196 2,465,508 28,401 951 Total multifamily (3) 22,788 6 — — 22,794 — — Total single-family and multifamily $2,419,828 $12,608 $4,670 $51,196 $2,488,302 $28,401 $951 December 31, 2020 (In millions) Current One Two Three Months or (1) Total Three Months or More Past Due, and Accruing Non-accrual with No Allowance (2) Single-family: 20- and 30-year or more, amortizing fixed-rate $1,891,981 $15,798 $5,941 $51,853 $1,965,573 $40,162 $648 15-year amortizing fixed-rate 326,651 1,439 429 3,451 331,970 2,723 11 Adjustable-rate 24,483 192 79 884 25,638 690 5 Alt-A, interest-only, and option ARM 9,227 292 130 1,161 10,810 538 115 Total single-family 2,252,342 17,721 6,579 57,349 2,333,991 44,113 779 Total multifamily (3) 21,977 — — — 21,977 — — Total single-family and multifamily $2,274,319 $17,721 $6,579 $57,349 $2,355,968 $44,113 $779 (1) Includes $0.9 billion and $1.0 billion of single-family loans that were in the process of foreclosure as of March 31, 2021 and December 31, 2020, respectively. (2) Loans with no allowance for loan losses primarily represent those loans that were previously charged-off and therefore the collateral value is sufficiently in excess of the amortized cost to result in recovery of the entire amortized cost basis if the property were foreclosed upon or otherwise subject to disposition. The amounts of allowance for credit losses on accrued interest receivable and advances of pre-foreclosure costs related to these loans are excluded. (3) As of March 31, 2021 and December 31, 2020, includes $0.6 billion and $0.7 billion of multifamily loans in forbearance that are reported as current. The table below provides details of our single-family loan modifications that were classified as TDRs during the periods presented. Table 4.9 - Single-Family TDR Modification Metrics 1Q 2021 1Q 2020 Percentage of single-family loan modifications that were classified as TDRs with: Interest rate reductions and related term extensions 15 % 14 % Principal forbearance and related interest rate reductions and term extensions 34 19 Average coupon interest rate reduction 0.4 % 0.3 % Average months of term extension 153 187 The table below presents the volume of single-family and multifamily loans that were newly classified as TDRs. 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 1Q 2021 1Q 2020 (Dollars in millions) Number of Post-TDR Number of Post-TDR Single-family: (1)(2) 20- and 30-year or more, amortizing fixed-rate 3,782 $671 6,432 $1,127 15-year amortizing fixed-rate 472 47 729 72 Adjustable-rate 48 9 97 17 Alt-A, interest-only, and option ARM 151 19 166 24 Total single-family 4,453 746 7,424 1,240 Multifamily — — — — (1) The pre-TDR amortized cost basis for single-family loans initially classified as TDR during 1Q 2021 and 1Q 2020 was $0.7 billion and $1.2 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. Table 4.11 - Payment Defaults of Completed TDR Modifications 1Q 2021 1Q 2020 (Dollars in millions) Number of Loans Post-TDR Amortized Cost Basis Number of Loans Post-TDR Amortized Cost Basis Single-family: 20- and 30-year or more, amortizing fixed-rate 1,131 $198 2,504 $427 15-year amortizing fixed-rate 62 7 119 14 Adjustable-rate 15 3 29 4 Alt-A, interest-only, and option ARM 127 21 164 32 Total single-family 1,335 229 2,816 477 Multifamily — — — — In addition to modifications, loans may be classified as TDRs as a result of other loss mitigation activities (i.e., repayment plans, forbearance plans, or loans in modification trial periods). During 1Q 2021 and 1Q 2020, 831 and 1,026, respectively, of such loans (with a post-TDR amortized cost basis of $0.1 billion during both periods) experienced a payment default within a year after the loss mitigation activity occurred. |
Guarantees and Other Off-Balanc
Guarantees and Other Off-Balance Sheet Credit Exposures | 3 Months Ended |
Mar. 31, 2021 | |
Guarantees [Abstract] | |
GUARANTEE ACTIVITIES | Guarantees and Other Off-Balance Sheet Credit ExposuresWe 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 generally 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. The table below shows our maximum exposure, recognized liability, and maximum remaining term of our guarantees to non-consolidated VIEs and other third parties. This table does not include certain of 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 8 for additional information on our credit enhancements. Table 5.1 - Financial Guarantees March 31, 2021 December 31, 2020 ( Dollars in millions , terms in years) Maximum (1) Recognized (2) Maximum Maximum (1) Recognized (2) Maximum Single-family: Securitization activity guarantees $28,466 $387 39 $29,739 $401 39 Other mortgage-related guarantees 9,584 214 30 9,215 193 30 Total single-family $38,050 $601 $38,954 $594 Multifamily: Securitization activity guarantees $299,878 $4,267 39 $287,334 $4,031 39 Other mortgage-related guarantees 10,243 407 33 10,721 425 33 Total multifamily $310,121 $4,674 $298,055 $4,456 Other guarantees $62,729 $1,796 30 $47,703 $794 30 Fannie Mae securities backing Freddie Mac resecuritization products 93,726 — 40 85,841 — 41 (1) The maximum exposure represents the contractual amounts that could be lost if counterparties or borrowers defaulted, without consideration of proceeds from related collateral liquidation and possible recoveries under credit enhancements. For other guarantees, this amount primarily represents the notional amount or UPB of our interest-rate and market value guarantees and guarantees of third-party derivatives. For certain of our other guarantees, our exposure may be unlimited; however, we generally reduce our exposure through separate contracts with third parties. The table below shows the payment status of the mortgage loans underlying our guarantees that are not measured at fair value. Table 5.2 – UPB of Loans Underlying Our Guarantees by Payment Status March 31, 2021 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure Total (1) Single-family $36,577 $2,123 $811 $3,878 $43,389 Multifamily (2) 352,559 55 63 592 353,269 Total $389,136 $2,178 $874 $4,470 $396,658 December 31, 2020 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure Total (1) Single-family $37,187 $2,204 $945 $3,922 $44,258 Multifamily 339,614 87 62 557 340,320 Total $376,801 $2,291 $1,007 $4,479 $384,578 (1) Loan-level payment status is not available for certain guarantees totaling $0.6 billion and $0.7 billion as of March 31, 2021 and December 31, 2020, respectively, and therefore is not included in the table above. (2) As of March 31, 2021, includes $6.6 billion of multifamily loans in forbearance that are reported as current. Other Off-Balance Sheet Credit Exposures In addition to our guarantees, we enter into other agreements that expose us to off-balance sheet credit risk, primarily related to our multifamily business, including certain purchase commitments that are not accounted for as derivative instruments, liquidity guarantees, unfunded lending arrangements and other similar commitments. These agreements may require us to transfer cash before or upon settlement of our contractual obligation. We recognize an allowance for credit losses for those agreements not measured at fair value or otherwise recognized in the financial statements. The total notional value of off-balance sheet credit exposures was $14.8 billion and $15.4 billion at March 31, 2021 and December 31, 2020, respectively. See Note 7 for additional discussion of our allowance for credit losses on our off-balance sheet credit exposures. |
Investment Securities
Investment Securities | 3 Months Ended |
Mar. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
INVESTMENTS IN SECURITIES | Investment Securities The table below summarizes the fair values of our investments in debt securities by classification. Table 6.1 - Investment Securities (In millions) March 31, 2021 December 31, 2020 Trading securities $54,289 $44,458 Available-for-sale securities 7,591 15,367 Total fair value of investment securities $61,880 $59,825 As of March 31, 2021 and December 31, 2020, we did not classify any securities as held-to-maturity, although we may elect to do so in the future. Trading Securities The table below presents the estimated fair values of our trading securities by major security type. Our non-mortgage-related securities primarily consist of investments in U.S. Treasury securities. Table 6.2 - Trading Securities (In millions) March 31, 2021 December 31, 2020 Mortgage-related securities: Agency $23,015 $17,504 Non-agency 1 1 Total mortgage-related securities 23,016 17,505 Non-mortgage-related securities 31,273 26,953 Total fair value of trading securities $54,289 $44,458 For trading securities held at March 31, 2021 and 2020, we recorded net unrealized gains (losses) of ($506) million and $723 million during 1Q 2021 and 1Q 2020, respectively. Available-for-Sale Securities At March 31, 2021 and December 31, 2020, all available-for-sale securities were mortgage-related securities. We had no allowance for credit losses on our available-for-sale securities as of March 31, 2021 and December 31, 2020. The table below provides details of the securities classified as available-for-sale on our condensed consolidated balance sheets. Table 6.3 - Available-for-Sale Securities March 31, 2021 Amortized Basis Gross Unrealized Gains in Other Comprehensive Income Gross Unrealized Fair Value Accrued Interest Receivable (In millions) Available-for-sale securities: Agency $6,267 $294 ($6) $6,555 $16 Non-agency and other 802 234 — 1,036 4 Total available-for-sale securities $7,069 $528 ($6) $7,591 $20 December 31, 2020 Amortized Basis Gross Unrealized Gross Unrealized Fair Value Accrued Interest Receivable (In millions) Available-for-sale securities: Agency $13,514 $794 ($4) $14,304 $36 Non-agency and other 830 233 — 1,063 4 Total available-for-sale securities $14,344 $1,027 ($4) $15,367 $40 The fair value of our available-for-sale securities held at March 31, 2021 scheduled to contractually mature after ten years was $4.8 billion, with an additional $1.7 billion scheduled to contractually mature after five years through ten years. Available-for-Sale Securities in a Gross Unrealized Loss Position The table below presents available-for-sale securities in a gross unrealized loss position and whether such securities have been in an unrealized loss position for less than 12 months, or 12 months or greater. Table 6.4 - Available-for-Sale Securities in a Gross Unrealized Loss Position March 31, 2021 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 $617 ($3) $117 ($3) Non-agency and other 1 — 16 — Total available-for-sale securities in a gross unrealized loss position $618 ($3) $133 ($3) December 31, 2020 Less than 12 Months 12 Months or Greater (In millions) Fair Gross Unrealized Losses Fair Gross Unrealized Losses Available-for-sale securities: Agency $223 ($2) $144 ($2) Non-agency and other 17 — — — Total available-for-sale securities in a gross unrealized loss position $240 ($2) $144 ($2) At March 31, 2021, the gross unrealized losses relate to 43 securities. Realized Gains and 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 6.5 - Gross Realized Gains and Gross Realized Losses from Sales of Available-for-Sale Securities (In millions) 1Q 2021 1Q 2020 Gross realized gains $399 $33 Gross realized losses (31) (23) Net realized gains (losses) $368 $10 Non-Cash Investing and Financing Activities During 1Q 2021 and 1Q 2020, we recognized $13.3 billion and $3.5 billion, respectively, of investment securities in exchange for the issuance of debt securities of consolidated trusts through partial sales of commingled single-class securities that were previously consolidated. |
Allowance for Credit Losses
Allowance for Credit Losses | 3 Months Ended |
Mar. 31, 2021 | |
Credit Loss [Abstract] | |
Allowance for Credit Losses | Allowance for Credit Losses The table below summarizes changes in our allowance for credit losses. Table 7.1 - Details of the Allowance for Credit Losses 1Q 2021 1Q 2020 (In millions) Single-family Multifamily Total Single-family Multifamily Total Beginning balance $6,353 $200 $6,553 $5,233 $69 $5,302 Provision (benefit) for credit losses (146) (50) (196) 1,166 67 1,233 Charge-offs (238) — (238) (164) — (164) Recoveries collected 46 — 46 88 — 88 Other 115 — 115 24 — 24 Ending balance $6,130 $150 $6,280 $6,347 $136 $6,483 Components of ending balance of allowance for credit losses: Mortgage loans held-for-investment $5,253 $77 $5,330 $6,044 $77 $6,121 Advances of pre-foreclosure costs 615 — 615 254 — 254 Accrued interest receivable on mortgage loans 213 — 213 — — — Off-balance sheet credit exposures 49 73 122 49 59 108 Total $6,130 $150 $6,280 $6,347 $136 $6,483 Current Period Changes The change to a benefit for credit losses in 1Q 2021 from a provision for credit losses in 1Q 2020 was primarily driven by the following factors: n Expected credit losses related to COVID-19 - Our provision for credit losses increased significantly in 1Q 2020 due to the increase in expected credit losses related to the economic effects of the COVID-19 pandemic. Our estimate of expected credit losses related to the pandemic decreased in 1Q 2021 as economic conditions improved. n Portfolio growth - We recognize expected credit losses over the entire contractual term of the loan at the time of loan acquisition. Our single-family mortgage portfolio grew by $438 billion, or 22%, year-over-year, which partially offset the benefit for credit losses. n Changes in house prices and interest rates - The effect of changes in forecasted interest rates and changes related to house price growth rates had largely offsetting impacts in both periods. In addition, charge-offs increased year-over-year due to an increase in the number of loans we placed on non-accrual status and the related accrued interest receivable that was charged off. The decline in economic activity caused by the COVID-19 pandemic, and the corresponding government response, is unprecedented, and as a result, our estimate of expected credit losses is subject to significant uncertainty. |
Credit Enhancements
Credit Enhancements | 3 Months Ended |
Mar. 31, 2021 | |
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 condensed consolidated balance sheets or embedded in debt recognized on our condensed consolidated balance sheets. The table below presents details of our credit enhancement receivables. These amounts are recognized in other assets on our condensed consolidated balance sheets. Table 8.1 - Credit Enhancement Receivables (In millions) March 31, 2021 December 31, 2020 Freestanding credit enhancement expected recovery receivables, net of allowance $406 $677 Primary mortgage insurance receivables (1) , net of allowance 82 74 Total credit enhancement receivables $488 $751 (1) Excludes $433 million and $444 million of deferred payment obligations associated with unpaid claim amounts as of March 31, 2021 and December 31, 2020, respectively. We have reserved for substantially all these unpaid amounts as collectability is uncertain. For information about counterparty credit risk associated with mortgage insurers and other credit enhancement providers, see Note 16 . 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 8.2 - Single-Family Credit Enhancements March 31, 2021 December 31, 2020 (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 $485,593 $119,111 $472,881 $116,973 STACR: (2) Trust notes Freestanding 589,150 19,728 488,251 17,288 Debt notes Debt 316,378 11,954 365,482 12,377 Insurance/reinsurance (3) Freestanding 975,289 13,645 876,815 11,586 Subordination: (4) Non-consolidated VIEs Guarantee 27,774 5,686 29,039 5,718 Consolidated VIEs Debt 7,203 404 9,035 464 Lender risk-sharing Freestanding 5,177 4,587 5,731 4,831 Other Primarily attached 314 311 374 371 Total single-family credit enhancements $175,426 $169,608 (1) Underlying loans may be covered by more than one form of credit enhancement. For certain transactions, protected UPB may be different from the UPB of the underlying loans due to timing differences in reporting cycles between the transactions and the loans. (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 March 31, 2021 and December 31, 2020, substantially all of 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. For non-consolidated VIEs, the total current and protected UPB also includes 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. 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 8.3 - Multifamily Credit Enhancements March 31, 2021 December 31, 2020 (In millions) Credit Enhancement Accounting Treatment Total Current and Protected UPB (1) Maximum Coverage Total Current and Protected UPB (1) Maximum Coverage Subordination: (2) Non-consolidated VIEs Guarantee $298,965 $43,450 $286,199 $42,712 Consolidated VIEs Debt 1,800 200 1,800 200 Lender risk-sharing (3) Freestanding 3,127 597 3,321 598 Insurance/reinsurance (4) Freestanding 5,366 190 5,383 190 SCR: (5) Trust notes Freestanding 4,801 273 — — Debt notes Debt 2,149 107 2,217 111 Other (3) Attached 251 251 253 253 Total multifamily credit enhancements $45,068 $44,064 (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 master servicer advances made to the holders of the guaranteed and unguaranteed securities. For non-consolidated VIEs, the total current and protected UPB also includes 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) Maximum coverage represents the remaining amount of loss recovery that is available subject to the terms of counterparty agreements. (4) As of March 31, 2021 and December 31, 2020, 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. |
Debt
Debt | 3 Months Ended |
Mar. 31, 2021 | |
Debt Disclosure [Abstract] | |
DEBT SECURITIES AND SUBORDINATED BORROWINGS | DebtThe table below summarizes the balances of total debt per our condensed consolidated balance sheets Table 9.1 - Total Debt (In millions) March 31, 2021 December 31, 2020 Debt securities of consolidated trusts held by third parties $2,445,829 $2,308,176 Debt of Freddie Mac: Short-term debt 10,910 4,955 Long-term debt 247,531 279,415 Total Debt of Freddie Mac 258,441 284,370 Total debt $2,704,270 $2,592,546 As of March 31, 2021, our aggregate indebtedness was $262.7 billion, which was below the current $300.0 billion debt cap limit imposed by the Purchase Agreement. Our aggregate indebtedness calculation primarily includes the par value of short- and long-term debt. 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 9.2 - Debt Securities of Consolidated Trusts Held by Third Parties March 31, 2021 December 31, 2020 (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 2021 - 2060 $1,896,894 $1,953,618 2.89 % 2021 - 2060 $1,799,065 $1,855,438 3.07 % 20-year fixed-rate 2021 - 2041 107,510 110,680 2.67 2021 - 2041 97,520 100,498 2.84 15-year fixed-rate 2021 - 2036 332,355 340,820 2.34 2021 - 2036 303,142 310,612 2.46 Adjustable-rate 2021 - 2051 21,801 22,280 2.64 2021 - 2051 23,964 24,484 2.76 Interest-only 2026 - 2048 3,404 3,520 2.85 2026 - 2041 3,671 3,736 3.15 FHA/VA 2021 - 2050 759 774 4.02 2021 - 2050 752 769 4.04 Total single-family 2,362,723 2,431,692 2,228,114 2,295,537 Multifamily 2021-2050 13,968 14,137 2.34 2021-2050 12,488 12,639 2.43 Total debt of consolidated trusts held by third parties $2,376,691 $2,445,829 $2,240,602 $2,308,176 (1) Includes $262 million and $205 million at March 31, 2021 and December 31, 2020, respectively, of debt securities of consolidated trusts that represents the fair value of debt for which the fair value option was elected. (2) The effective interest rate for debt securities of consolidated trusts held by third parties was 1.58% and 1.76% as of March 31, 2021 and December 31, 2020, respectively. Table 9.3 - Total Debt of Freddie Mac March 31, 2021 December 31, 2020 (Dollars in millions) Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Short-term debt: Discount notes and Reference Bills $— $— — % $11 $11 0.69 % Medium-term notes 10,910 10,910 0.03 4,944 4,944 1.31 Securities sold under agreements to repurchase (3) 7,930 7,930 (0.05) — — — Total short-term debt 18,840 18,840 — 4,955 4,955 1.31 Long-term debt: Original maturities on or before December 31, 2021 35,488 35,484 0.71 43,422 43,417 0.95 2022 59,002 59,022 0.69 61,071 61,092 0.68 2023 54,049 53,980 0.45 61,998 61,920 0.45 2024 17,744 17,719 0.55 21,679 21,651 0.61 2025 36,587 36,207 0.83 44,342 43,944 0.84 Thereafter 36,617 34,881 2.62 36,386 34,583 2.64 STACR and SCR debt (4) 12,061 11,888 4.23 12,488 12,342 4.18 Hedging-related basis adjustments N/A (1,650) N/A 466 Total long-term debt 251,548 247,531 1.09 281,386 279,415 1.09 Total debt of Freddie Mac (5) $270,388 $266,371 $286,341 $284,370 (1) Represents par value, net of associated discounts or premiums and issuance cost. Includes $2.1 billion and $2.4 billion at March 31, 2021 and December 31, 2020, respectively, of long-term debt that represents the fair value of debt for which the fair value option was elected. (2) Based on carrying amount. (3) We offset payables related to securities sold under agreements to repurchase against receivables related to securities purchased under agreements to resell on our condensed consolidated balance sheets, when such amounts meet the conditions for offsetting in the accounting guidance. (4) 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, generally without penalty. (5) Carrying amount for debt of Freddie Mac includes callable debt of $112.4 billion and $124.0 billion at March 31, 2021 and December 31, 2020, respectively. |
Derivatives
Derivatives | 3 Months Ended |
Mar. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVES | Derivatives 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 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 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 refer to those interest-rate swaps that the CFTC 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-, Treasury-, and SOFR-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. Hedge Accounting We apply fair value hedge accounting to certain single-family mortgage loans and certain issuances of debt where we hedge the changes in fair value of these items attributable to the designated benchmark interest rate (i.e., LIBOR), using LIBOR-based interest-rate swaps. Derivative Assets and Liabilities at Fair Value The table below presents the notional value and fair value of derivatives reported on our condensed consolidated balance sheets. Table 10.1 - Derivative Assets and Liabilities at Fair Value March 31, 2021 December 31, 2020 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 risk management derivatives: Swaps $534,976 $1,947 ($4,140) $559,596 $2,639 ($7,091) Written options 30,830 — (1,714) 18,259 — (735) Purchased options (1) 242,260 5,107 — 169,995 5,265 — Futures 157,628 — — 181,702 — — Total interest-rate management derivatives 965,694 7,054 (5,854) 929,552 7,904 (7,826) Mortgage commitment derivatives: Forward contracts to purchase mortgage loans 38,152 5 (337) 37,122 183 — Forward contracts to purchase mortgage-related securities 55,805 19 (316) 45,185 203 — Forward contracts to sell mortgage-related securities 171,285 1,483 (34) 136,802 2 (759) Total mortgage commitment derivatives 265,242 1,507 (687) 219,109 388 (759) CRT-related derivatives 30,513 29 (57) 28,949 61 (47) Other 9,190 1 (30) 4,029 2 (16) Total derivatives not designated as hedges 1,270,639 8,591 (6,628) 1,181,639 8,355 (8,648) Designated as fair value hedges Interest-rate risk management derivatives: Swaps 238,120 149 (2,521) 180,686 224 (500) Total derivatives designated as fair value hedges 238,120 149 (2,521) 180,686 224 (500) Derivative interest receivable (payable) (2) 480 (485) 455 (523) Netting adjustments (3) (7,135) 8,684 (7,829) 8,717 Total derivative portfolio, net $1,508,759 $2,085 ($950) $1,362,325 $1,205 ($954) (1) Includes swaptions on credit indices with a notional or contractual amount of $14.3 billion and $16.8 billion at March 31, 2021 and December 31, 2020, respectively, and a fair value of $5.0 million and $9.0 million at March 31, 2021 and December 31, 2020, respectively. (2) Includes other derivative receivables and payables. (3) Represents counterparty netting and cash collateral netting. See Note 11 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 condensed consolidated statements of comprehensive income (loss) as investment gains (losses), net. Table 10.2 - Gains and Losses on Derivatives (In millions) 1Q 2021 1Q 2020 Not designated as hedges Interest-rate risk management derivatives: Swaps $615 ($4,863) Written options (461) (320) Purchased options (48) 4,542 Futures 286 (2,328) Total interest-rate risk management derivatives fair value gains (losses) 392 (2,969) Mortgage commitment derivatives 1,476 (726) CRT-related derivatives (42) 78 Other (3) 31 Total derivatives not designated as hedges fair value gains (losses) 1,823 (3,586) Accrual of periodic cash settlements (1) (452) (176) Total $1,371 ($3,762) Fair Value Hedges The table below presents the effects of fair value hedge accounting by condensed consolidated statements of comprehensive income (loss) line item, 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 10.3 - Gains and Losses on Fair Value Hedges 1Q 2021 1Q 2020 (In millions) Interest Income Interest Expense Interest Income Interest Expense Total amounts of income and expense line items presented in our condensed consolidated statements of comprehensive income in which the effects of fair value hedges are recorded: $13,902 ($10,263) $17,592 ($14,807) Interest contracts on mortgage loans held-for-investment: Gain (loss) on fair value hedging relationships: Hedged items (1,523) — 4,893 — Derivatives designated as hedging instruments 1,534 — (5,080) — Interest accruals on hedging instruments (114) — (63) — Discontinued hedge-related basis adjustments amortization (781) — (253) — Interest contracts on debt: Gain (loss) on fair value hedging relationships: Hedged items — 2,114 — (505) Derivatives designated as hedging instruments — (2,188) — 554 Interest accruals on hedging instruments — 255 — 100 Discontinued hedge-related basis adjustments amortization — 5 — 20 Cumulative Basis Adjustments Due to Fair Value Hedging The table below presents the cumulative basis adjustments and the carrying amounts of the hedged item by its respective balance sheet line item. Table 10.4 - Cumulative Basis Adjustments Due to Fair Value Hedging March 31, 2021 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustments 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 $417,644 $2,813 ($1,152) $3,965 $192,912 $9,507 Debt (158,646) 1,650 — (33) — — December 31, 2020 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustments 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 $478,077 $5,117 ($318) $5,435 $220,301 $9,112 Debt (176,512) (466) — (38) — — |
Collateral and Offsetting of As
Collateral and Offsetting of Assets and Liabilities | 3 Months Ended |
Mar. 31, 2021 | |
Offsetting [Abstract] | |
COLLATERAL AND OFFSETTING OF ASSETS AND LIABILITIES | Collateralized Agreements and Offsetting Arrangements Offsetting of Financial Assets and Liabilities 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 and collateral agreement. We also offset payables related to securities sold under agreements to repurchase against receivables related to securities purchased under agreements to resell when such amounts meet the conditions for balance sheet offsetting. The table below presents offsetting and collateral information related to derivatives, securities purchased under agreements to resell, and securities sold under agreements to repurchase which are subject to enforceable master netting agreements or similar arrangements. Table 11.1 - Offsetting and Collateral Information of Financial Assets and Liabilities March 31, 2021 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $7,614 ($5,681) ($1,497) $436 ($392) $44 Cleared and exchange-traded derivatives 69 — 43 112 — 112 Mortgage commitment derivatives 1,507 — — 1,507 — 1,507 Other 30 — — 30 — 30 Total derivatives 9,220 (5,681) (1,454) 2,085 (392) 1,693 Securities purchased under agreements to resell 23,070 (7,930) — 15,140 (15,140) — Total $32,290 ($13,611) ($1,454) $17,225 ($15,532) $1,693 Liabilities: Derivatives: OTC derivatives ($8,828) $5,681 $2,975 ($172) $— ($172) Cleared and exchange-traded derivatives (32) — 28 (4) 4 — Mortgage commitment derivatives (687) — — (687) — (687) Other (87) — — (87) — (87) Total derivatives (9,634) 5,681 3,003 (950) 4 (946) Securities sold under agreements to repurchase (7,930) 7,930 — — — — Total ($17,564) $13,611 $3,003 ($950) $4 ($946) Referenced footnotes are included after the next table. December 31, 2020 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $8,566 ($5,932) ($1,957) $677 ($648) $29 Cleared and exchange-traded derivatives 17 — 60 77 — 77 Mortgage commitment derivatives 388 — — 388 — 388 Other 63 — — 63 — 63 Total derivatives 9,034 (5,932) (1,897) 1,205 (648) 557 Securities purchased under agreements to resell 105,003 — — 105,003 (105,003) — Total $114,037 ($5,932) ($1,897) $106,208 ($105,651) $557 Liabilities: Derivatives: OTC derivatives ($8,812) $5,932 $2,759 ($121) $— ($121) Cleared and exchange-traded derivatives (37) — 26 (11) — (11) Mortgage commitment derivatives (759) — — (759) — (759) Other (63) — — (63) — (63) Total derivatives (9,671) 5,932 2,785 (954) — (954) Securities sold under agreements to repurchase — — — — — — Total ($9,671) $5,932 $2,785 ($954) $— ($954) (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 condensed consolidated balance sheets. Collateral Pledged Collateral Pledged to Freddie Mac We have cash pledged to us as collateral primarily related to OTC derivative transactions. We had $1.9 billion and $2.8 billion pledged to us as collateral that was invested as part of our liquidity and contingency operating portfolio as of March 31, 2021 and December 31, 2020, respectively. 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 March 31, 2021, and December 31, 2020, we had $22.3 billion and $85.8 billion, respectively, of securities pledged to us in these transactions. In addition, at March 31, 2021 and December 31, 2020, we had $0.7 billion and $0.8 billion, respectively, of securities pledged to us for transactions involving securities purchased under agreements to resell not executed with central clearing organizations that we had the right to repledge. The table below summarizes 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 11.2 - Collateral in the Form of Securities Pledged March 31, 2021 (In millions) Derivatives Securities Sold Under Agreements to Repurchase Other (3) Total Cash equivalents (1) $— $2,671 $— $2,671 Debt securities of consolidated trusts (2) — — 348 348 Trading securities 1,555 5,230 1,442 8,227 Total securities pledged $1,555 $7,901 $1,790 $11,246 December 31, 2020 (In millions) Derivatives Securities Sold Under Agreements to Repurchase Other (3) Total Debt securities of consolidated trusts (2) $121 $— $345 $466 Trading securities 1,920 — 1,163 3,083 Total securities pledged $2,041 $— $1,508 $3,549 (1) Represents U.S. Treasury securities accounted for as cash equivalents. (2) Represents debt securities of consolidated trusts held by us in our mortgage-related investments portfolio which are recorded as a reduction to debt securities of consolidated trusts held by third parties on our condensed 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 11.3 - Underlying Collateral Pledged March 31, 2021 (In millions) Overnight and Continuous 30 Days or Less After 30 Days Through 90 Days Greater Than 90 Days Total U.S. Treasury securities and other $2,453 $5,448 $— $— $7,901 |
Stockholders' Equity and Earnin
Stockholders' Equity and Earnings per Share | 3 Months Ended |
Mar. 31, 2021 | |
Stockholders' Equity Note [Abstract] | |
STOCKHOLDERS' EQUITY (DEFICIT) | Stockholders' Equity and Earnings Per Share Accumulated Other Comprehensive Income Table 12.1 - Changes in AOCI by Component, Net of Taxes 1Q 2021 (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 $810 ($206) $39 $643 Other comprehensive income before reclassifications (105) — (1) (106) Amounts reclassified from accumulated other comprehensive income (290) 10 (3) (283) Changes in AOCI by component (395) 10 (4) (389) Ending balance $415 ($196) $35 $254 1Q 2020 (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 $618 ($244) $64 $438 Other comprehensive income before reclassifications 446 — 2 448 Amounts reclassified from accumulated other comprehensive income (8) 13 (4) 1 Changes in AOCI by component 438 13 (2) 449 Ending balance $1,056 ($231) $62 $887 Reclassifications from AOCI to Net Income The table below presents reclassifications from AOCI to net income, including the affected line items in our condensed consolidated statements of comprehensive income (loss). Table 12.2 - Reclassifications from AOCI to Net Income (In millions) 1Q 2021 1Q 2020 AOCI related to available-for-sale securities Affected line items on the condensed consolidated statements of comprehensive income (loss): Investment gains (losses), net $368 $10 Income tax (expense) benefit (78) (2) Net of tax 290 8 AOCI related to cash flow hedge relationships Affected line items on the condensed consolidated statements of comprehensive income (loss): Interest expense (11) (16) Income tax (expense) benefit 1 3 Net of tax (10) (13) AOCI related to defined benefit plans Affected line items on the condensed consolidated statements of comprehensive income (loss): Salaries and employee benefits 4 5 Income tax (expense) benefit (1) (1) Net of tax 3 4 Total reclassifications in the period net of tax $283 ($1) Senior Preferred Stock As a result of changes to the terms of the senior preferred stock pursuant to the January 2021 Letter Agreement, the company will not be required to pay a dividend to Treasury until we have built sufficient capital to meet the capital requirements and buffers set forth in the ERCF. Accordingly, the company was not required to pay a dividend to Treasury on the senior preferred stock in March 2021. As the company builds capital during this period, the quarterly increases in our Net Worth Amount have been, and will continue to be, added to the aggregate liquidation preference of the senior preferred stock. As a result, the liquidation preference of the senior preferred stock increased from $86.5 billion as of December 31, 2020 to $89.1 billion on March 31, 2021 based on the $2.5 billion increase in the Net Worth Amount during 4Q 2020. The liquidation preference will increase to $91.4 billion on June 30, 2021 based on the $2.4 billion increase in our Net Worth Amount during 1Q 2021. See Note 2 for additional information. As of March 31, 2021, our assets exceeded our liabilities under GAAP; therefore, no draw is being requested from Treasury under the Purchase Agreement. The table below provides a summary of our senior preferred stock outstanding at March 31, 2021 . Table 12.3 - 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 March 31, 2020 — — — N/A 2,448 June 30, 2020 — — — N/A 382 September 30, 2020 — — — N/A 1,938 December 31, 2020 — — — N/A 2,449 March 31, 2021 — — — N/A 2,522 Total non-draw adjustments 1.00 1.00 1.00 17,413 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 $89,061 Stock Issuances and Repurchases We did not repurchase or issue any of our common shares or non-cumulative preferred stock during 1Q 2021, except for issuances of treasury stock relating to stock-based compensation granted prior to conservatorship. During 1Q 2021, the deferral period lapsed on 351 RSUs. At March 31, 2021, there were no RSUs outstanding. Dividends and Dividend Restrictions No common dividends were declared during 1Q 2021. As a result of the increase in the applicable Capital Reserve Amount pursuant to the January 2021 Letter Agreement, we did not declare or pay a dividend on the senior preferred stock during 1Q 2021. We also did not declare or pay dividends on any other series of Freddie Mac preferred stock outstanding during 1Q 2021. Our payment of dividends on Freddie Mac common stock or any series of Freddie Mac preferred stock (other than senior preferred stock) is subject to certain restrictions. |
Net Interest Income
Net Interest Income | 3 Months Ended |
Mar. 31, 2021 | |
Components of Net Interest Income [Abstract] | |
Interest Income and Interest Expense Disclosure | The table below presents the components of net interest income per our condensed consolidated statements of comprehensive income (loss). Table 13.1 - Components of Net Interest Income (In millions) March 31, 2021 March 31, 2020 Interest income Mortgage loans $13,255 $16,632 Investment securities 610 652 Other 37 308 Total interest income 13,902 17,592 Interest expense Debt securities of consolidated trusts held by third parties (9,756) (13,447) Debt of Freddie Mac: Short-term debt (2) (430) Long-term debt (505) (930) Total interest expense (10,263) (14,807) Net interest income 3,639 2,785 Benefit (provision) for credit losses 196 (1,233) Net interest income after benefit (provision) for credit losses $3,835 $1,552 |
Investment Gains (Losses), Net
Investment Gains (Losses), Net | 3 Months Ended |
Mar. 31, 2021 | |
Investment Gains (Losses), Net [Abstract] | |
Investment Gains (Losses), Net | The table below presents the components of investment gains (losses), net on our condensed consolidated statements of comprehensive income (loss). Table 14.1 - Components of Investment Gains (Losses), Net (In millions) 1Q 2021 1Q 2020 Investment gains (losses), net: Mortgage loans gains (losses) $206 $1,172 Investment securities gains (losses) (507) 1,055 Debt gains (losses) 138 700 Derivative gains (losses) 1,371 (3,762) Investment gains (losses), net $1,208 ($835) |
Segment Reporting
Segment Reporting | 3 Months Ended |
Mar. 31, 2021 | |
Segment Reporting [Abstract] | |
SEGMENT REPORTING | Segment Reporting During 1Q 2021, our chief operating decision maker began making decisions about allocating resources and assessing segment performance based on two reportable segments, Single-family and Multifamily. In prior periods, we managed our business based on three reportable segments, Single-family Guarantee, Multifamily, and Capital Markets. As our mortgage-related investments portfolio has declined over time, our capital markets activities have become increasingly focused on supporting our single-family and multifamily businesses. As a result, we have determined that, effective in 1Q 2021, our Capital Markets segment should no longer be considered a separate reportable segment, and our chief operating decision maker no longer reviews separate financial results or discrete financial information for our capital markets activities. Substantially all of the revenues and expenses that were previously directly attributable to our Capital Markets segment are now included in our Single-family segment, while certain administrative expenses and other centrally-incurred costs previously allocated to the Capital Markets segment are now allocated between the Single-family and Multifamily segments using various methodologies depending on the nature of the expense. In connection with this change, we have also changed the measure of segment profit and loss for each segment to be based on net income and comprehensive income calculated using the same accounting policies we use to prepare our general purpose financial statements in conformity with generally accepted accounting principles. The financial results of each reportable segment include directly attributable revenue and expenses. We allocate interest expense and other debt funding and hedging-related costs to each reportable segment using a funds transfer pricing process. We fully allocate to each reportable segment the administrative expenses and other centrally-incurred costs that are not directly attributable to a particular segment using various methodologies depending on the nature of the expense. As a result, the sum of each income statement line item for the two reportable segments is equal to that same income statement line item for the consolidated entity. We have discontinued the reclassifications of certain activities between various line items that were included in our previous measure of segment profit and loss. Prior period information has been revised to conform to the current period presentation. Segment Description Single-family Reflects results from our purchase, sale, securitization, and guarantee of single-family loans and securities, our investments in those loans and securities, the management of single-family mortgage credit risk and market risk, and any results of our treasury function that are not allocated to each segment. Multifamily 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. Segment Allocations and Results The results of each reportable segment include directly attributable revenues and expenses. We allocate interest expense and other debt funding and hedging-related costs to each reportable segment using a funds transfer pricing process. We fully allocate to each reportable segment administrative expenses and other centrally-incurred costs that are not directly attributable to a particular segment using various methodologies depending on the nature of the expense. The table below presents the financial results for our Single-family and Multifamily segments. Table 15.1 - Segment Financial Results 1Q 2021 Single-family Multifamily Total (In millions) Net interest income $3,308 $331 $3,639 Non-interest income (loss) Guarantee fee income 89 159 248 Investment gains (losses), net 300 908 1,208 Other income (loss) 152 26 178 Non-interest income (loss) 541 1,093 1,634 Net revenues 3,849 1,424 5,273 Benefit (provision) for credit losses 146 50 196 Non-interest expense Administrative expense (488) (151) (639) Credit enhancement expense (325) (10) (335) Benefit for (decrease in) credit enhancement recoveries (245) (12) (257) REO operations expense (8) — (8) Temporary Payroll Tax Cut Continuation Act of 2011 expense (534) — (534) Other expense (209) (6) (215) Non-interest expense (1,809) (179) (1,988) Income (loss) before income tax (expense) benefit 2,186 1,295 3,481 Income tax (expense) benefit (448) (266) (714) Net income (loss) 1,738 1,029 2,767 Other comprehensive income (loss), net of taxes and reclassification adjustments Changes in unrealized gains (losses) related to available-for-sale securities (335) (60) (395) Changes in unrealized gains (losses) related to cash flow hedge relationships 10 — 10 Changes in defined benefit plans (3) (1) (4) Total other comprehensive income (loss), net of taxes and reclassification adjustments (328) (61) (389) Comprehensive income (loss) $1,410 $968 $2,378 1Q 2020 Single-family Multifamily Total (In millions) Net interest income $2,485 $300 $2,785 Non-interest income (loss) Guarantee fee income (13) 390 377 Investment gains (losses), net 24 (859) (835) Other income (loss) 58 37 95 Non-interest income (loss) 69 (432) (363) Net revenues 2,554 (132) 2,422 Benefit (provision) for credit losses (1,166) (67) (1,233) Non-interest expense Administrative expense (467) (120) (587) Credit enhancement expense (227) (4) (231) Benefit for (decrease in) credit enhancement recoveries 439 28 467 REO operations expense (85) — (85) Temporary Payroll Tax Cut Continuation Act of 2011 expense (432) — (432) Other expense (98) (5) (103) Non-interest expense (870) (101) (971) Income (loss) before income tax (expense) benefit 518 (300) 218 Income tax (expense) benefit (107) 62 (45) Net income (loss) 411 (238) 173 Other comprehensive income (loss), net of taxes and reclassification adjustments Changes in unrealized gains (losses) related to available-for-sale securities 374 64 438 Changes in unrealized gains (losses) related to cash flow hedge relationships 13 — 13 Changes in defined benefit plans (2) — (2) Total other comprehensive income (loss), net of taxes and reclassification adjustments 385 64 449 Comprehensive income (loss) $796 ($174) $622 We measure total assets for our reportable segments based on the mortgage portfolio for each segment. We operate our business in the U.S. 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 U.S. and its territories. The table below presents total assets for our Single-family and Multifamily segments. Table 15.2 - Segment Assets (In millions) March 31, 2021 December 31, 2020 Single-family $2,458,112 $2,326,426 Multifamily 393,677 388,347 Total segment assets 2,851,789 2,714,773 Reconciling items (1) (109,915) (87,358) Total assets per condensed consolidated balance sheets $2,741,874 $2,627,415 |
Concentration of Credit and Oth
Concentration of Credit and Other Risks | 3 Months Ended |
Mar. 31, 2021 | |
Risks and Uncertainties [Abstract] | |
CONCENTRATION OF CREDIT AND OTHER RISKS | Concentration of Credit and Other Risks Single-Family Mortgage Portfolio The table below summarizes the concentration by loan portfolio and geographic area of the approximately $2.5 trillion and $2.3 trillion UPB of our single-family mortgage portfolio as of March 31, 2021 and December 31, 2020, respectively. See Note 4, Note 6, and Note 7 for more information about credit risk associated with loans and mortgage-related securities that we hold or guarantee. Table 16.1 - Concentration of Credit Risk of Our Single-Family Mortgage Portfolio March 31, 2021 December 31, 2020 1Q 2021 (1) 1Q 2020 (1) (Dollars in billions) Portfolio UPB % of Portfolio SDQ Rate Portfolio UPB % of Portfolio SDQ Rate Credit Losses Amount % of Credit Losses (2) Credit Losses Amount % of Credit Losses Region: (3) West $770 31 % 2.11 % $720 31 % 2.41 % $— NM $— 8 % Northeast 581 24 2.82 549 24 3.16 — NM 0.1 36 North Central 371 15 1.88 357 15 2.06 — NM 0.1 29 Southeast 393 16 2.58 375 16 2.95 — NM — 18 Southwest 343 14 2.33 325 14 2.59 — NM — 9 Total $2,458 100 % 2.34 $2,326 100 % 2.64 $— NM $0.2 100 % State: California $455 19 % 2.29 $424 18 % 2.64 $— NM $— 5 % Texas 152 6 2.75 145 6 3.11 — NM — 3 Florida 142 6 3.14 135 6 3.70 — NM — 9 New York 108 4 4.07 103 4 4.56 — NM — 9 Illinois 99 4 2.83 96 4 2.96 — NM 0.1 16 All other 1,502 61 2.09 1,423 62 2.34 — NM 0.1 58 Total $2,458 100 % 2.34 $2,326 100 % 2.64 $— NM $0.2 100 % (1) Excludes credit losses related to charge-offs of accrued interest receivables. (2) NM - not meaningful due to the credit losses amount rounding to zero. (3) 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). 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 beginning March 1, 2009, 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 mortgage portfolio. The table presents 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 will have an even higher risk of delinquency than those with an individual attribute. Table 16.2 - Certain Higher Risk Categories in Our Single-Family Mortgage Portfolio % of Portfolio (1) SDQ Rate (1) (% of portfolio based on UPB) March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 Interest-only — % — % NM NM Alt-A 1 1 10.49 % 10.66 % Original LTV ratio greater than 90% (2) 14 15 4.01 4.25 Lower credit scores at origination (less than 620) 1 1 10.93 11.00 (1) Excludes $493 million and $505 million UPB of loans underlying certain other securitization products for which data was not available as of March 31, 2021 and December 31, 2020, respectively. (2) Includes HARP loans, which we purchased as part of our participation in the MHA Program. (3) NM - not meaningful due to the percentage of the portfolio rounding to zero. Sellers and Servicers We acquire a significant portion of our single-family and multifamily loan purchase and guarantee volume from several large sellers. The table below summarizes the concentration of single-family and multifamily sellers who provided 10% or more of our purchase and guarantee volume. Table 16.3 - Seller Concentration Single-family Sellers 1Q 2021 1Q 2020 JPMorgan Chase Bank, N.A. 4 % 12 % United Wholesale Mortgage, LLC (1) 5 10 Other top 10 sellers 39 33 Top 10 single-family sellers 48 % 55 % Multifamily Sellers 1Q 2021 1Q 2020 Berkadia Commercial Mortgage LLC 14 % 14 % CBRE Capital Markets, Inc. 14 17 JLL Real Estate Capital, LLC 10 4 Other top 10 sellers 43 43 Top 10 multifamily sellers 81 % 78 % (1) United Wholesale Mortgage, LLC was previously known as United Shore Financial Services, LLC. We purchase single-family loans from both depository and non-depository sellers. Non-depository institutions may not have the same financial strength or operational capacity, or be subject to the same level of regulatory oversight, as large depository institutions. Our top five non-depository sellers provided approximately 30% and 27% of our single-family purchase volume during 1Q 2021 and 1Q 2020, respectively. Significant portions of our single-family and multifamily loans are serviced by several large servicers. The table below summarizes the concentration of single-family and multifamily servicers who serviced 10% or more of our single-family mortgage portfolio and multifamily mortgage portfolio as of March 31, 2021 or December 31, 2020. Table 16.4 - Servicer Concentration Single-family Servicers March 31, 2021 (1) December 31, 2020 (1) Wells Fargo Bank, N.A. 10 % 11 % Other top 10 servicers 37 38 Top 10 single-family servicers 47 % 49 % Multifamily Servicers (2) March 31, 2021 December 31, 2020 CBRE Capital Markets, Inc. 17 % 17 % Berkadia Commercial Mortgage LLC 13 13 JLL Real Estate Capital LLC 11 11 Other top 10 servicers 40 39 Top 10 multifamily servicers 81 % 80 % (1) Percentage of servicing volume is based on the total single-family mortgage 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 mortgage portfolio. (2) Represents multifamily primary servicers. Single-family loans utilize both depository and non-depository servicers. Some of these non-depository servicers have grown in recent years and now service a large share of our loans. As of both March 31, 2021 and December 31, 2020, approximately 18% of our single-family mortgage portfolio, excluding loans for which 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. Multifamily loans utilize both primary and master servicers. Primary servicers service unsecuritized mortgage loans and are also typically engaged by master servicers to service on their behalf the mortgage loans underlying securitizations. For a majority of our K Certificate securitizations, we utilize one of three large financial depository institutions as master servicer. For SB Certificate securitizations and a smaller number of K Certificate securitizations, we serve as master servicer. Multifamily primary servicers included in the table above present potential operational risk and impact to the borrowers if the servicing needs to be transferred to another servicer. We also have exposure to the master servicers of our multifamily securitization transactions who bear responsibility to advance funds in the event of payment shortfalls, including principal and interest payments related to loans in forbearance. In instances where payment shortfalls occur, the master servicer is required to make advances as long as such advances have not been deemed unrecoverable. For multifamily loans purchased and held in our mortgage-related investments portfolio, the primary servicers are not required to advance funds in the event of payment shortfalls and therefore do not present significant counterparty credit risk. 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. See Note 8 for additional information on our credit enhancements. We evaluate the recovery and collectability from mortgage insurers as part of the estimate of our allowance for credit losses. See Note 7 for additional information. As of March 31, 2021, mortgage insurers provided coverage with maximum loss limits of $119.1 billion, for $485.6 billion of UPB, in connection with our single-family mortgage 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. Changes in our expectations related to recovery and collectability from our credit enhancement providers may affect our estimates of expected credit losses, perhaps significantly. 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. ("Genworth") announced that it had entered into an agreement to be acquired by China Oceanwide Holdings Group Co., Ltd. ("Oceanwide"). Because Genworth Mortgage Insurance Corporation, a subsidiary of Genworth, is an approved mortgage insurer, Freddie Mac evaluated the planned acquisition and approved Oceanwide's control of Genworth Mortgage Insurance Corporation. On April 6, 2021, Genworth announced that it had terminated its merger agreement with Oceanwide. Table 16.5 - Mortgage Insurer Concentration Mortgage Insurance Coverage (2) Mortgage Insurer Credit Rating (1) March 31, 2021 December 31, 2020 Arch Mortgage Insurance Company A- 20 % 20 % Radian Guaranty Inc. BBB+ 19 19 Mortgage Guaranty Insurance Corporation BBB+ 18 18 Essent Guaranty, Inc. BBB+ 16 16 Genworth Mortgage Insurance Corporation BB+ 15 15 National Mortgage Insurance Corporation BBB 11 10 Total 99 % 98 % (1) Ratings are for the corporate entity to which we have the greatest exposure. Latest rating available as of March 31, 2021. Represents the lower of S&P and Moody’s credit ratings stated in terms of the S&P equivalent. (2) Coverage amounts exclude coverage related to IMAGIN and may include coverage provided by affiliates and subsidiaries of the counterparty. 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. As of both March 31, 2021 and December 31, 2020, we had cumulative unpaid deferred payment obligations of $0.4 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. As part of our insurance/reinsurance CRT transactions, we regularly obtain insurance coverage from 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), many of our insurers and reinsurers in these transactions participate in multiple types of insurance business, which helps diversify their risk exposure. Other Investments 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 into 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 March 31, 2021 and December 31, 2020, including amounts related to our consolidated VIEs, the balance in our other investments portfolio was $164.8 billion and $163.1 billion, respectively. The balances consist 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 March 31, 2021, all of our securities purchased under agreements to resell were fully collateralized. As of March 31, 2021 and December 31, 2020, $0.7 billion and $0.8 billion, respectively, 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 risk of these institutions. |
Fair Value Disclosures
Fair Value Disclosures | 3 Months Ended |
Mar. 31, 2021 | |
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. Assets and Liabilities Measured at Fair Value on a Recurring Basis The table below presents our assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments where we have elected the fair value option. Table 17.1 - Assets and Liabilities Measured at Fair Value on a Recurring Basis March 31, 2021 (In millions) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $— $5,754 $801 $— $6,555 Non-agency and other — 1 1,035 — 1,036 Total available-for-sale securities, at fair value — 5,755 1,836 — 7,591 Trading, at fair value: Mortgage-related securities: Agency — 19,954 3,061 — 23,015 Non-agency — — 1 — 1 Total mortgage-related securities — 19,954 3,062 — 23,016 Non-mortgage-related securities 30,208 1,065 — — 31,273 Total trading securities, at fair value 30,208 21,019 3,062 — 54,289 Total investments in securities 30,208 26,774 4,898 — 61,880 Mortgage loans: Held-for-sale, at fair value — 8,093 — — 8,093 Derivative assets, net 30 8,680 30 — 8,740 Netting adjustments (1) — — — (6,655) (6,655) Total derivative assets, net 30 8,680 30 (6,655) 2,085 Other assets: Guarantee assets, at fair value — — 5,688 — 5,688 Non-derivative held-for-sale purchase commitments, at fair value — 91 — — 91 All other, at fair value — — 115 — 115 Total other assets — 91 5,803 — 5,894 Total assets carried at fair value on a recurring basis $30,238 $43,638 $10,731 ($6,655) $77,952 Liabilities: Debt securities of consolidated trusts held by third parties, at fair value $— $2 $260 $— $262 Debt of Freddie Mac, at fair value — 1,982 120 — 2,102 Derivative liabilities, net — 9,115 34 — 9,149 Netting adjustments (1) — — — (8,199) (8,199) Total derivative liabilities, net — 9,115 34 (8,199) 950 Other liabilities: Non-derivative held-for-sale purchase commitments, at fair value — 5 — — 5 All other, at fair value — — — — — Total other liabilities — 5 — — 5 Total liabilities carried at fair value on a recurring basis $— $11,104 $414 ($8,199) $3,319 Referenced footnote is included after the next table. December 31, 2020 (In millions) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $— $13,778 $526 $— $14,304 Non-agency and other — 1 1,062 — 1,063 Total available-for-sale securities, at fair value — 13,779 1,588 — 15,367 Trading, at fair value: Mortgage-related securities: Agency — 14,246 3,258 — 17,504 Non-agency — — 1 — 1 Total mortgage-related securities — 14,246 3,259 — 17,505 Non-mortgage-related securities 26,255 698 — — 26,953 Total trading securities, at fair value 26,255 14,944 3,259 — 44,458 Total investments in securities 26,255 28,723 4,847 — 59,825 Mortgage loans: Held-for-sale, at fair value — 14,199 — — 14,199 Derivative assets, net — 8,516 63 — 8,579 Netting adjustments (1) — — — (7,374) (7,374) Total derivative assets, net — 8,516 63 (7,374) 1,205 Other assets: Guarantee assets, at fair value — — 5,509 — 5,509 Non-derivative held-for-sale purchase commitments, at fair value — 158 — — 158 All other, at fair value — — 108 — 108 Total other assets — 158 5,617 — 5,775 Total assets carried at fair value on a recurring basis $26,255 $51,596 $10,527 ($7,374) $81,004 Liabilities: Debt securities of consolidated trusts held by third parties, at fair value $— $2 $203 $— $205 Debt of Freddie Mac, at fair value — 2,267 120 — 2,387 Derivative liabilities, net — 9,132 16 — 9,148 Netting adjustments (1) — — — (8,194) (8,194) Total derivative liabilities, net — 9,132 16 (8,194) 954 Other liabilities: Non-derivative held-for-sale purchase commitments, at fair value — 1 — — 1 All other, at fair value — — 3 — 3 Total other liabilities — 1 3 — 4 Total liabilities carried at fair value on a recurring basis $— $11,402 $342 ($8,194) $3,550 (1) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable. Level 3 Fair Value Measurements The table below presents a reconciliation of all assets and liabilities measured on our condensed 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 table also presents gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our condensed consolidated statements of comprehensive income (loss) for Level 3 assets and liabilities. Table 17.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs 1Q 2021 Balance, Total Realized/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 March 31, 2021 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2021 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $526 $— ($6) $432 $— ($130) ($21) $— $— $801 $— ($4) Non-agency and other 1,062 6 — — — — (33) — — 1,035 6 — Total available-for-sale mortgage-related securities 1,588 6 (6) 432 — (130) (54) — — 1,836 6 (4) Trading, at fair value: Mortgage-related securities: Agency 3,258 (174) — 445 — (269) (19) — (180) 3,061 (183) — Non-agency 1 — — — — — — — — 1 — — Total trading mortgage-related securities 3,259 (174) — 445 — (269) (19) — (180) 3,062 (183) — Derivative assets 63 (33) — — — — — — — 30 (33) — Other assets: Guarantee assets 5,509 (86) — — 488 — (223) — — 5,688 (86) — All other, at fair value 108 10 — (4) 6 — (5) — — 115 11 — Total other assets 5,617 (76) — (4) 494 — (228) — — 5,803 (75) — Balance, Total Realized/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 March 31, 2021 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2021 Included in Included in Other Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 $4 $— $— $53 $— $— $— $— $260 $4 $— Debt of Freddie Mac, at fair value 120 2 — — 1 — (3) — — 120 2 — Derivative liabilities 16 19 — — 2 — (3) — — 34 16 — All other, at fair value 3 (5) — 2 — — — — — — (4) — Referenced footnotes are included after the prior period table. 1Q 2020 Balance, Total Realized/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 March 31, 2020 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2020 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $1,960 $12 $38 $— $— ($208) ($57) $— ($1,095) $650 $— ($2) Non-agency and other 1,267 3 (126) — — — (43) — — 1,101 3 (100) Total available-for-sale mortgage-related securities 3,227 15 (88) — — (208) (100) — (1,095) 1,751 3 (102) Trading, at fair value: Mortgage-related securities: Agency 2,709 15 — 352 — (105) (31) — (396) 2,544 1 — Non-agency 1 — — — — — — — — 1 — — Total trading mortgage-related securities 2,710 15 — 352 — (105) (31) — (396) 2,545 1 — Derivative assets 16 47 — — — — — — — 63 47 — Other assets: Guarantee assets 4,426 99 — — 223 — (183) — — 4,565 99 — All other, at fair value 120 (7) — (1) 6 (8) (4) — — 106 (8) — Total other assets 4,546 92 — (1) 229 (8) (187) — — 4,671 91 — Balance, Total Realized/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 March 31, 2020 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2020 Included in Included in Other Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 ($4) $— $— $— $— $— $— $— $199 ($4) $— Debt of Freddie Mac, at fair value 129 (11) — — 1 — (1) 33 — 151 (11) — Derivative liabilities 37 (10) — — 1 — (4) — — 24 (14) — All other, at fair value 1 — — — — — — — — 1 — — B (1) Transfers out of Level 3 during 1Q 2021 and 1Q 2020 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 Freddie Mac securities are classified as Level 3 at issuance and generally are classified as Level 2 when they begin trading. Transfers into Level 3 during 1Q 2020 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) 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 March 31, 2021 and March 31, 2020, respectively. This amount includes any allowance for credit losses recorded on available-for-sale securities and amortization of basis adjustments. The table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis. Table 17.3 - Quantitative Information about Recurring Level 3 Fair Value Measurements March 31, 2021 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average (2) Assets Available-for-sale, at fair value Mortgage-related securities Agency $690 Discounted cash flows OAS 36 - 89 bps 66 bps 111 Other Non-agency and other 879 Median of external sources External pricing sources $66.2 - $79.3 $72.0 156 Other Trading, at fair value Mortgage-related securities Agency 2,360 Single external source External pricing sources $0.0 - $8,257.7 $970.5 364 Discounted cash flows OAS (811) - 56,028 bps 596 bps 337 Other Guarantee assets, at fair value 5,300 Discounted cash flows OAS 17 - 186 bps 45 bps 388 Other Insignificant Level 3 assets (1) 146 Total level 3 assets $10,731 Liabilities Debt securities of consolidated trusts held by third parties, at fair value $204 Single external source External pricing sources $99.8 - $106.9 $102.2 56 Other Insignificant Level 3 liabilities (1) 154 Total level 3 liabilities $414 Referenced footnote is included after the next table. December 31, 2020 Level 3 Predominant Unobservable Inputs (Dollars in millions, except for certain unobservable inputs as shown) Type Range Weighted Average (2) Assets Available-for-sale, at fair value Mortgage-related securities Agency $410 Discounted cash flows OAS 90 - 90 bps 90 bps 116 Other Non-agency and other 875 Median of external sources External pricing sources $67.1 - $79.1 $72.8 187 Other Trading, at fair value Mortgage-related securities Agency 2,204 Single external source External pricing sources $0.0 - $8,894.6 $947.8 472 Discounted cash flows OAS (951) - 2,910 bps 834 bps 583 Other Guarantee assets, at fair value 5,195 Discounted cash flows OAS 15 - 186 bps 38 bps 314 Other Insignificant Level 3 assets (1) 171 Total level 3 assets $10,527 Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 Single external source External pricing sources $97.3 - $ 107.0 $101.7 Insignificant Level 3 liabilities (1) 139 Total level 3 liabilities $342 (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. (2) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments. 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 condensed consolidated balance sheets at fair value on a non-recurring basis. Table 17.4 - Assets Measured at Fair Value on a Non-Recurring Basis March 31, 2021 December 31, 2020 (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) $— $11 $1,731 $1,742 $— $6 $2,241 $2,247 (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 table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets measured on our condensed consolidated balance sheets at fair value on a non-recurring basis. Table 17.5 - Quantitative Information About Non-Recurring Level 3 Fair Value Measurements March 31, 2021 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions, except for certain unobservable inputs as shown) Type Range Weighted Average (1) Non-recurring fair value measurements Mortgage loans $1,731 Internal model Historical sales proceeds $3,431 - $595,000 $209,549 Internal model Housing sales index 69 - 640 bps 122 bps Median of external sources External pricing sources $60.2 - $106.0 $94.5 December 31, 2020 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions, except for certain unobservable inputs as shown) Type Range Weighted Average (1) Non-recurring fair value measurements Mortgage loans $2,241 Internal model Historical sales proceeds $3,001 - $696,004 $202,539 Internal model Housing sales index 66 - 345 bps 119 bps Median of external sources External pricing sources $59.5 - $104.0 $92.1 (1) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments. Fair Value of Financial Instruments The table below presents 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 17.6 - Fair Value of Financial Instruments March 31, 2021 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 $100,979 $100,979 $— $— $— $100,979 Securities purchased under agreements to resell Amortized cost 15,140 — 23,070 — (7,930) 15,140 Investment securities: Available-for-sale, at fair value FV - OCI 7,591 — 5,755 1,836 — 7,591 Trading, at fair value FV - NI 54,289 30,208 21,019 3,062 — 54,289 Total investment securities 61,880 30,208 26,774 4,898 — 61,880 Mortgage loans: Loans held by consolidated trusts 2,395,707 — 2,174,999 258,491 — 2,433,490 Loans held by Freddie Mac 112,180 — 77,983 37,537 — 115,520 Total mortgage loans Various (3) 2,507,887 — 2,252,982 296,028 — 2,549,010 Derivative assets, net FV - NI 2,085 30 8,680 30 (6,655) 2,085 Guarantee assets FV - NI 5,688 — — 5,694 — 5,694 Non-derivative purchase commitments, at fair value FV - NI 91 — 192 — — 192 Advances to lenders Amortized cost 6,401 — — 6,401 — 6,401 Secured lending Amortized cost 1,632 — 1,430 49 — 1,479 Total financial assets $2,701,783 $131,217 $2,313,128 $313,100 ($14,585) $2,742,860 Financial Liabilities Debt: Debt securities of consolidated trusts held by third parties $2,445,829 $— $2,472,078 $855 $— $2,472,933 Debt of Freddie Mac 258,441 — 268,093 3,813 (7,930) 263,976 Total debt Various (4) 2,704,270 — 2,740,171 4,668 (7,930) 2,736,909 Derivative liabilities, net FV - NI 950 — 9,115 34 (8,199) 950 Guarantee obligations Amortized cost 5,275 — — 6,100 — 6,100 Non-derivative purchase commitments, at fair value FV - NI 29 — 5 167 — 172 Total financial liabilities $2,710,524 $— $2,749,291 $10,969 ($16,129) $2,744,131 (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 March 31, 2021, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $2.5 trillion, $16.8 billion, and $8.1 billion, respectively. (4) As of March 31, 2021, the GAAP carrying amounts measured at amortized cost and FV - NI were $2.7 trillion and $2.4 billion, respectively. December 31, 2020 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 $23,889 $23,889 $— $— $— $23,889 Securities purchased under agreements to resell Amortized cost 105,003 — 105,003 — — 105,003 Investment securities: Available-for-sale, at fair value FV - OCI 15,367 — 13,779 1,588 — 15,367 Trading, at fair value FV - NI 44,458 26,255 14,944 3,259 — 44,458 Total investment securities 59,825 26,255 28,723 4,847 — 59,825 Mortgage loans: Loans held by consolidated trusts 2,273,347 — 2,080,687 262,309 — 2,342,996 Loans held by Freddie Mac 110,541 — 76,917 36,578 — 113,495 Total mortgage loans Various (3) 2,383,888 — 2,157,604 298,887 — 2,456,491 Derivative assets, net FV - NI 1,205 — 8,516 63 (7,374) 1,205 Guarantee assets FV - NI 5,509 — — 5,515 — 5,515 Non-derivative purchase commitments, at fair value FV - NI 158 — 246 — — 246 Advances to lenders Amortized cost 4,162 — — 4,162 — 4,162 Secured lending Amortized cost 1,680 — 1,427 89 — 1,516 Total financial assets $2,585,319 $50,144 $2,301,519 $313,563 ($7,374) $2,657,852 Financial Liabilities Debt: Debt securities of consolidated trusts held by third parties $2,308,176 $— $2,382,157 $852 $— $2,383,009 Debt of Freddie Mac 284,370 — 286,634 4,088 — 290,722 Total debt Various (4) 2,592,546 — 2,668,791 4,940 — 2,673,731 Derivative liabilities, net FV - NI 954 — 9,132 16 (8,194) 954 Guarantee obligations Amortized cost 5,050 — — 5,378 — 5,378 Non-derivative purchase commitments, at fair value FV - NI 20 — 1 143 — 144 Total financial liabilities $2,598,570 $— $2,677,924 $10,477 ($8,194) $2,680,207 (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, 2020, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $2.4 trillion, $19.5 billion, and $14.2 billion, respectively. Table 17.7 - Difference between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected March 31, 2021 December 31, 2020 (In millions) Multifamily Held-For-Sale Loans Debt of Freddie Mac - Debt Securities of Consolidated Trusts Held by Third Parties Multifamily Held-For-Sale Loans Debt of Freddie Mac - Debt Securities of Consolidated Trusts Held by Third Parties Fair value $8,093 $1,915 $204 $14,199 $2,216 $203 UPB 7,884 1,896 200 13,400 2,189 200 Difference $209 $19 $4 $799 $27 $3 Changes in Fair Value Under the Fair Value Option Election The table below presents the changes in fair value included in non-interest income (loss) in our condensed consolidated statements of comprehensive income (loss), related to items for which we have elected the fair value option. Table 17.8 - Changes in Fair Value Under the Fair Value Option Election 1Q 2021 1Q 2020 (In millions) Gains (Losses) Multifamily held-for-sale loans ($451) $638 Multifamily held-for-sale loan purchase commitments 195 532 Debt of Freddie Mac - long term 8 548 Debt securities of consolidated trusts held by third parties (4) 4 Changes in fair value attributable to instrument-specific credit risk were not material for 1Q 2021 and 1Q 2020 for any assets or liabilities for which we elected the fair value option. |
Legal Contingencies
Legal Contingencies | 3 Months Ended |
Mar. 31, 2021 | |
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 Sixth Circuit 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 Sixth Circuit denied plaintiff's petition for leave to appeal that decision. On September 17, 2020, the District Court granted a request from the plaintiff for summary judgment and entered final judgment in favor of Freddie Mac and the other defendants. On October 9, 2020, the plaintiff filed a notice of appeal with the Sixth Circuit. On January 27, 2021, Freddie Mac filed a motion to dismiss the appeal. 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: the inherent uncertainty of the appellate process, and the inherent uncertainty of pre-trial litigation in the event the case is ultimately remanded to the District Court in whole or in part. In particular, while the District Court denied plaintiff's motion for class certification, this decision and the entry of final judgment in defendants' favor have been appealed. 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 alleged, 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 DC Circuit 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 DC Circuit 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 DC Circuit 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. 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. The United States filed a motion to dismiss on August 1, 2018 and an amended motion to dismiss on October 1, 2018. The Court denied the United States' motion to dismiss on May 8, 2020 and granted plaintiffs' motion to certify the decisions for interlocutory appeal on June 11, 2020. The Federal Circuit denied the petition for interlocutory appeal on August 21, 2020. These proceedings are stayed pending a ruling on the Fairholme Funds appeals. 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. The United States 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 defendant's 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. By order dated March 9, 2020, the Court granted unopposed motions by plaintiffs and defendant to certify the December 6 opinion for interlocutory review, modified its December 6 opinion to include the language necessary for an interlocutory appeal to the U.S. Court of Appeals for the Federal Circuit, and stayed further proceedings in the case pending the completion of the interlocutory appeal process. The Federal Circuit granted the petition for interlocutory appeal on June 18, 2020. 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 plaintiff asks that it, 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. These proceedings are stayed pending a ruling on the Fairholme Funds appeals. 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 | 3 Months Ended |
Mar. 31, 2021 | |
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 as required by FHFA. The table below summarizes our net worth and estimated core capital and minimum capital levels reported to FHFA. Table 19.1 - Net Worth and Minimum Capital (In millions) March 31, 2021 December 31, 2020 GAAP net worth (deficit) $18,791 $16,413 Core capital (deficit) (1)(2) (54,111) (56,878) Less: Minimum capital (1) 23,068 22,694 Minimum capital surplus (deficit) (1) ($77,179) ($79,572) (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 senior preferred stock) as these items do not meet the statutory definition of core capital. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2021 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The accompanying unaudited condensed 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. In the opinion of management, our unaudited condensed consolidated financial statements contain all adjustments, which include only normal recurring adjustments, necessary for a fair statement of our results. During 1Q 2021, our chief operating decision maker began making decisions about allocating resources and assessing segment performance based on two reportable segments, Single-family and Multifamily. See Note 15 for additional information on the change in our segment reporting presentation. |
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. |
Recently Adopted or Issued Accounting Guidance | Recently Issued Accounting Guidance Recently Adopted Accounting Guidance Standard Description Date of Adoption Effect on Condensed Consolidated Financial Statements ASU 2020-06, Debt - Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging -Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity The amendments in this Update simplify an issuer's January 1, 2021 The adoption of the amendments did not have a material effect on our condensed consolidated financial statements or on our disclosures. ASU 2020-08, Codification Improvements to Subtopic 310-20, Receivables -Nonrefundable Fees and Other Costs The amendments in this Update clarify the guidance January 1, 2021 The adoption of the amendments did not have a material effect on our condensed consolidated financial statements or on our disclosures. |
Consolidation, Variable Interest Entity, Policy | Securitization Activities and ConsolidationOur primary business activities in our Single-family 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. We consolidate VIEs when we have a controlling financial interest in the VIE and are therefore considered the primary beneficiary of the VIE. |
Guarantees, Indemnifications and Warranties Policies | 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 generally 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. |
Derivatives, Methods of Accounting, Hedging Derivatives | We apply fair value hedge accounting to certain single-family mortgage loans and certain issuances of debt where we hedge the changes in fair value of these items attributable to the designated benchmark interest rate (i.e., LIBOR), using LIBOR-based interest-rate swaps. |
Fair Value of Financial Instruments | 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. |
Securitization Activities and_2
Securitization Activities and Consolidation (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
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 condensed consolidated balance sheets. Table 3.1 - Consolidated VIEs (In millions) March 31, 2021 December 31, 2020 Condensed Consolidated Balance Sheet Line Item Assets: Cash and cash equivalents (includes $61,856 and $17,289 of restricted cash and cash equivalents) $61,857 $17,290 Securities purchased under agreements to resell — 38,487 Investment securities, at fair value 1,383 591 Mortgage loans held-for-investment, net 2,395,707 2,273,347 Accrued interest receivable, net 7,056 7,134 Other assets 19,832 20,480 Total assets of consolidated VIEs $2,485,835 $2,357,329 Liabilities: Accrued interest payable $5,591 $5,610 Debt 2,445,829 2,308,176 Other liabilities 1 — Total liabilities of consolidated VIEs $2,451,421 $2,313,786 Table 3.2 - Non-Consolidated VIEs (In millions) March 31, 2021 December 31, 2020 Assets and Liabilities Recorded on our Condensed Consolidated Balance Sheets (1) Assets: Investment securities, at fair value $24,898 $28,459 Accrued interest receivable, net 232 239 Derivative assets, net 29 61 Other assets 5,651 5,553 Liabilities: Debt 89 — Derivative liabilities, net 72 47 Other liabilities 4,739 4,515 |
Mortgage Loans and Loan Loss _2
Mortgage Loans and Loan Loss Reserves (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
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 condensed consolidated balance sheets. Table 4.1 - Mortgage Loans March 31, 2021 December 31, 2020 (In millions) Single-family Multifamily Total Single-family Multifamily Total Held-for-sale UPB $10,850 $15,450 $26,300 $10,702 $23,789 $34,491 Cost basis and fair value adjustments, net (1,592) 207 (1,385) (1,637) 798 (839) Total held-for-sale loans, net 9,258 15,657 24,915 9,065 24,587 33,652 Held-for-investment UPB 2,403,981 22,738 2,426,719 2,271,576 21,923 2,293,499 Cost basis adjustments 61,527 56 61,583 62,415 54 62,469 Allowance for credit losses (5,253) (77) (5,330) (5,628) (104) (5,732) Total held-for-investment loans, net 2,460,255 22,717 2,482,972 2,328,363 21,873 2,350,236 Total mortgage loans, net $2,469,513 $38,374 $2,507,887 $2,337,428 $46,460 $2,383,888 The table below provides details of the UPB of loans we purchased and sold during the periods presented. Table 4.2 - Loans Purchased and Sold (In billions) 1Q 2021 1Q 2020 Single-family: Purchases Held-for-investment loans $360.6 $137.7 Sale of held-for-sale loans (1) — 2.2 Multifamily: Purchases Held-for-investment loans 1.6 1.2 Held-for-sale loans 12.3 8.2 Sale of held-for-sale loans (2) 21.1 10.7 (1) Our sales of single-family loans reflect the sale of seasoned single-family mortgage loans. (2) Our sales of multifamily loans occur primarily through the issuance of multifamily K Certificates and SB Certificates. See Note 3 Table 4.3 - Loan Reclassifications 1Q 2021 1Q 2020 (In millions) UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed Single-family reclassifications from: Held-for-investment to held-for-sale (1) $501 $7 $— $2,637 $214 $— Held-for-sale to held-for-investment (2) 35 3 — 1 — — Multifamily reclassifications from: Held-for-investment to held-for-sale 528 1 — 32 — — Held-for-sale to held-for-investment 9 — — 482 (1) — Referenced footnotes are on the next page. (1) Prior to reclassification from held-for-investment to held-for-sale, we charged-off $27 million and $79 million against the allowance for credit losses during 1Q 2021 and 1Q 2020, respectively. (2) Allowance for credit losses reversed upon reclassifications from held-for-sale to held-for-investment for loans that were previously charged off and the present values of expected future cash flows were in excess of the amortized cost basis upon reclassification. |
Table - Amortized Cost Basis of Held-for-Investment Loans on Non-accrual | The table below provides the amortized cost basis of non-accrual loans as of the beginning and the end of the periods presented, including the interest income recognized for the period that is related to the loans on non-accrual status as of the period end. Table 4.4 - Amortized Cost Basis of Held-for-Investment Loans on Non-accrual Non-accrual Amortized Cost Basis Interest Income Recognized (1) (In millions) January 1, 2021 March 31, 2021 1Q 2021 Single-family: 20- and 30-year or more, amortizing fixed-rate $12,151 $21,137 $36 15-year amortizing fixed-rate 696 1,031 1 Adjustable-rate 193 296 — Alt-A, interest-only, and option ARM 637 700 1 Total single-family 13,677 23,164 38 Total multifamily — — — Total single-family and multifamily $13,677 $23,164 $38 Non-accrual Amortized Cost Basis Interest Income Recognized (1) (In millions) January 1, 2020 March 31, 2020 1Q 2020 Single-family: 20- and 30-year or more, amortizing fixed-rate $5,598 $5,494 $4 15-year amortizing fixed-rate 242 241 — Adjustable-rate 91 83 — Alt-A, interest-only, and option ARM 439 389 2 Total single-family 6,370 6,207 6 Total multifamily 13 13 — Total single-family and multifamily $6,383 $6,220 $6 (1) Represents the amount of payments received during the period, including those received while the loans were on accrual status, for the held-for-investment loans on non-accrual status as of the period end. |
Table - Recorded Investment of Held-For-Investment Mortgage Loans, by LTV Ratio and Credit Quality Indicator | The table below presents the amortized cost basis of single-family held-for-investment loans by current LTV ratio. Our current LTV ratios are estimates based on available data through the end of each period presented. 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. Table 4.6 - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratio and Vintage March 31, 2021 Year of Origination Total (In millions) 2021 2020 2019 2018 2017 Prior Current LTV Ratio: 20- and 30-year or more, amortizing fixed-rate ≤ 60 $51,100 $243,582 $53,075 $33,730 $63,245 $498,835 $943,567 > 60 to 80 112,096 466,621 125,253 51,535 43,041 61,433 859,979 > 80 to 100 52,066 182,963 28,503 4,226 1,292 3,529 272,579 > 100 (1) 92 93 5 20 49 812 1,071 Total 20- and 30-year or more, amortizing fixed-rate 215,354 893,259 206,836 89,511 107,627 564,609 2,077,196 15-year amortizing fixed-rate ≤ 60 18,098 90,471 17,571 9,263 17,916 103,499 256,818 > 60 to 80 16,388 64,103 8,417 1,237 506 211 90,862 > 80 to 100 2,650 5,156 135 10 9 20 7,980 > 100 (1) 9 7 — 2 3 8 29 Total 15-year amortizing fixed-rate 37,145 159,737 26,123 10,512 18,434 103,738 355,689 Adjustable-rate ≤ 60 29 1,422 772 655 2,205 13,493 18,576 > 60 to 80 34 1,221 692 382 715 597 3,641 > 80 to 100 7 146 56 14 17 7 247 > 100 (1) — — — — — 1 1 Total adjustable-rate 70 2,789 1,520 1,051 2,937 14,098 22,465 Alt-A, Interest-only, and option ARM ≤ 60 — — — — — 8,361 8,361 > 60 to 80 — — — — — 1,497 1,497 > 80 to 100 — — — — — 252 252 > 100 (1) — — — — — 48 48 Total Alt-A, interest-only, and option ARM — — — — — 10,158 10,158 Total single-family loans $252,569 $1,055,785 $234,479 $101,074 $128,998 $692,603 $2,465,508 Total for all loan product types by current LTV ratio: ≤ 60 $69,227 $335,475 $71,418 $43,648 $83,366 $624,188 $1,227,322 > 60 to 80 128,518 531,945 134,362 53,154 44,262 63,738 955,979 > 80 to 100 54,723 188,265 28,694 4,250 1,318 3,808 281,058 > 100 (1) 101 100 5 22 52 869 1,149 Total single-family loans $252,569 $1,055,785 $234,479 $101,074 $128,998 $692,603 $2,465,508 Referenced footnotes are included after the prior period table. December 31, 2020 Year of Origination Total (In millions) 2020 2019 2018 2017 2016 Prior Current LTV Ratio: 20- and 30-year or more, amortizing fixed-rate ≤ 60 $203,333 $52,820 $33,139 $64,834 $115,978 $431,406 $901,510 > 60 to 80 437,107 141,094 64,236 59,110 40,614 44,636 786,797 > 80 to 100 206,457 53,926 8,822 2,117 654 3,983 275,959 > 100 (1) 202 7 25 64 61 948 1,307 Total 20- and 30-year or more, amortizing fixed-rate 847,099 247,847 106,222 126,125 157,307 480,973 1,965,573 15-year amortizing fixed-rate ≤ 60 78,269 17,753 9,914 19,650 29,916 83,842 239,344 > 60 to 80 67,904 12,169 2,195 961 215 135 83,579 > 80 to 100 8,553 400 17 12 9 17 9,008 > 100 (1) 21 — 3 5 3 7 39 Total 15-year amortizing fixed-rate 154,747 30,322 12,129 20,628 30,143 84,001 331,970 Adjustable-rate ≤ 60 1,427 850 731 2,429 2,042 12,993 20,472 > 60 to 80 1,403 877 537 1,061 329 528 4,735 > 80 to 100 232 125 34 29 2 8 430 > 100 (1) — — — — — 1 1 Total adjustable-rate 3,062 1,852 1,302 3,519 2,373 13,530 25,638 Alt-A, Interest-only, and option ARM ≤ 60 — — — — — 8,620 8,620 > 60 to 80 — — — — — 1,818 1,818 > 80 to 100 — — — — — 314 314 > 100 (1) — — — — — 58 58 Total Alt-A, interest-only, and option ARM — — — — — 10,810 10,810 Total single-family loans $1,004,908 $280,021 $119,653 $150,272 $189,823 $589,314 $2,333,991 Total for all loan product types by Current LTV ratio: ≤ 60 $283,029 $71,423 $43,784 $86,913 $147,936 $536,861 $1,169,946 > 60 to 80 506,414 154,140 66,968 61,132 41,158 47,117 876,929 > 80 to 100 215,242 54,451 8,873 2,158 665 4,322 285,711 > 100 (1) 223 7 28 69 64 1,014 1,405 Total single-family loans $1,004,908 $280,021 $119,653 $150,272 $189,823 $589,314 $2,333,991 (1) The serious delinquency rate for the single-family held-for-investment mortgage loans with current LTV ratios in excess of 100% was 10.75% and 11.17% as of March 31, 2021 and December 31, 2020, respectively. The table below presents the amortized cost basis of 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 and are defined as follows: n "Pass" is current and adequately protected by the current financial strength and debt service capacity of the borrower; n "Special mention" has administrative issues that may affect future repayment prospects but does not have current credit weaknesses. In addition, this category generally includes loans in forbearance; n "Substandard" has a weakness that jeopardizes the timely full repayment; and n "Doubtful" has a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions. Table 4.7 - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator by Vintage March 31, 2021 Year of Origination Total (In millions) 2021 2020 2019 2018 2017 Prior Revolving Loans Category: Pass $438 $8,169 $6,258 $1,160 $656 $3,191 $2,215 $22,087 Special mention — — 500 — — 107 — 607 Substandard — — 23 — 13 64 — 100 Doubtful — — — — — — — — Total $438 $8,169 $6,781 $1,160 $669 $3,362 $2,215 $22,794 December 31, 2020 Year of Origination Total (In millions) 2020 2019 2018 2017 2016 Prior Revolving Loans Category: Pass $7,486 $6,491 $1,075 $722 $590 $2,715 $2,024 $21,103 Special mention — 524 115 — 8 108 — 755 Substandard — — 6 41 — 72 — 119 Doubtful — — — — — — — — Total $7,486 $7,015 $1,196 $763 $598 $2,895 $2,024 $21,977 |
Table - TDR Activity | The table below presents the volume of single-family and multifamily loans that were newly classified as TDRs. 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 1Q 2021 1Q 2020 (Dollars in millions) Number of Post-TDR Number of Post-TDR Single-family: (1)(2) 20- and 30-year or more, amortizing fixed-rate 3,782 $671 6,432 $1,127 15-year amortizing fixed-rate 472 47 729 72 Adjustable-rate 48 9 97 17 Alt-A, interest-only, and option ARM 151 19 166 24 Total single-family 4,453 746 7,424 1,240 Multifamily — — — — (1) The pre-TDR amortized cost basis for single-family loans initially classified as TDR during 1Q 2021 and 1Q 2020 was $0.7 billion and $1.2 billion, respectively. (2) Includes certain bankruptcy events and forbearance plans, repayment plans, payment deferrals, and modification activities that do not qualify for the temporary relief related to TDR provided by the CARES Act based on servicer reporting at the time of the TDR event. |
Table - Payment Defaults of Completed TDR Modifications | 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. Table 4.11 - Payment Defaults of Completed TDR Modifications 1Q 2021 1Q 2020 (Dollars in millions) Number of Loans Post-TDR Amortized Cost Basis Number of Loans Post-TDR Amortized Cost Basis Single-family: 20- and 30-year or more, amortizing fixed-rate 1,131 $198 2,504 $427 15-year amortizing fixed-rate 62 7 119 14 Adjustable-rate 15 3 29 4 Alt-A, interest-only, and option ARM 127 21 164 32 Total single-family 1,335 229 2,816 477 Multifamily — — — — |
Table - Payment Status of Mortgage Loans | Past Due Status The table below presents the amortized cost basis of our single-family and multifamily loans, held-for-investment, by payment status. Table 4.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status March 31, 2021 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure (1) Total Three Months or More Past Due, and Accruing Non-accrual With No Allowance (2) Single-family: 20- and 30-year or more, amortizing fixed-rate $2,015,453 $11,184 $4,152 $46,407 $2,077,196 $25,654 $791 15-year amortizing fixed-rate 351,388 1,024 309 2,968 355,689 1,907 11 Adjustable-rate 21,474 151 80 760 22,465 464 10 Alt-A, interest-only, and option ARM 8,725 243 129 1,061 10,158 376 139 Total single-family 2,397,040 12,602 4,670 51,196 2,465,508 28,401 951 Total multifamily (3) 22,788 6 — — 22,794 — — Total single-family and multifamily $2,419,828 $12,608 $4,670 $51,196 $2,488,302 $28,401 $951 December 31, 2020 (In millions) Current One Two Three Months or (1) Total Three Months or More Past Due, and Accruing Non-accrual with No Allowance (2) Single-family: 20- and 30-year or more, amortizing fixed-rate $1,891,981 $15,798 $5,941 $51,853 $1,965,573 $40,162 $648 15-year amortizing fixed-rate 326,651 1,439 429 3,451 331,970 2,723 11 Adjustable-rate 24,483 192 79 884 25,638 690 5 Alt-A, interest-only, and option ARM 9,227 292 130 1,161 10,810 538 115 Total single-family 2,252,342 17,721 6,579 57,349 2,333,991 44,113 779 Total multifamily (3) 21,977 — — — 21,977 — — Total single-family and multifamily $2,274,319 $17,721 $6,579 $57,349 $2,355,968 $44,113 $779 (1) Includes $0.9 billion and $1.0 billion of single-family loans that were in the process of foreclosure as of March 31, 2021 and December 31, 2020, respectively. (2) Loans with no allowance for loan losses primarily represent those loans that were previously charged-off and therefore the collateral value is sufficiently in excess of the amortized cost to result in recovery of the entire amortized cost basis if the property were foreclosed upon or otherwise subject to disposition. The amounts of allowance for credit losses on accrued interest receivable and advances of pre-foreclosure costs related to these loans are excluded. (3) As of March 31, 2021 and December 31, 2020, includes $0.6 billion and $0.7 billion of multifamily loans in forbearance that are reported as current. |
Table- Single-Family TDR Modification Metrics | The table below provides details of our single-family loan modifications that were classified as TDRs during the periods presented. Table 4.9 - Single-Family TDR Modification Metrics 1Q 2021 1Q 2020 Percentage of single-family loan modifications that were classified as TDRs with: Interest rate reductions and related term extensions 15 % 14 % Principal forbearance and related interest rate reductions and term extensions 34 19 Average coupon interest rate reduction 0.4 % 0.3 % Average months of term extension 153 187 |
Table - Accrued Interest Receivable, Net and Related Charge-offs | The table below provides the amount of accrued interest receivable, net presented on our condensed consolidated balance sheets and the amount of accrued interest receivable related to loans on non-accrual status at the end of the periods that is charged off. Table 4.5 - Accrued Interest Receivable, Net and Related Charge-offs Accrued Interest Receivable, Net Accrued Interest Receivable Related Charge-offs (In millions) March 31, 2021 December 31, 2020 1Q 2021 1Q 2020 Single-family loans $7,229 $7,292 ($166) ($29) Multifamily loans 120 139 — — |
Guarantees and Other Off-Bala_2
Guarantees and Other Off-Balance Sheet Credit Exposures (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Guarantees [Abstract] | |
Table - Financial Guarantees | The table below shows our maximum exposure, recognized liability, and maximum remaining term of our guarantees to non-consolidated VIEs and other third parties. This table does not include certain of 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 8 for additional information on our credit enhancements. Table 5.1 - Financial Guarantees March 31, 2021 December 31, 2020 ( Dollars in millions , terms in years) Maximum (1) Recognized (2) Maximum Maximum (1) Recognized (2) Maximum Single-family: Securitization activity guarantees $28,466 $387 39 $29,739 $401 39 Other mortgage-related guarantees 9,584 214 30 9,215 193 30 Total single-family $38,050 $601 $38,954 $594 Multifamily: Securitization activity guarantees $299,878 $4,267 39 $287,334 $4,031 39 Other mortgage-related guarantees 10,243 407 33 10,721 425 33 Total multifamily $310,121 $4,674 $298,055 $4,456 Other guarantees $62,729 $1,796 30 $47,703 $794 30 Fannie Mae securities backing Freddie Mac resecuritization products 93,726 — 40 85,841 — 41 (1) The maximum exposure represents the contractual amounts that could be lost if counterparties or borrowers defaulted, without consideration of proceeds from related collateral liquidation and possible recoveries under credit enhancements. For other guarantees, this amount primarily represents the notional amount or UPB of our interest-rate and market value guarantees and guarantees of third-party derivatives. For certain of our other guarantees, our exposure may be unlimited; however, we generally reduce our exposure through separate contracts with third parties. The table below shows the payment status of the mortgage loans underlying our guarantees that are not measured at fair value. Table 5.2 – UPB of Loans Underlying Our Guarantees by Payment Status March 31, 2021 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure Total (1) Single-family $36,577 $2,123 $811 $3,878 $43,389 Multifamily (2) 352,559 55 63 592 353,269 Total $389,136 $2,178 $874 $4,470 $396,658 December 31, 2020 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure Total (1) Single-family $37,187 $2,204 $945 $3,922 $44,258 Multifamily 339,614 87 62 557 340,320 Total $376,801 $2,291 $1,007 $4,479 $384,578 (1) Loan-level payment status is not available for certain guarantees totaling $0.6 billion and $0.7 billion as of March 31, 2021 and December 31, 2020, respectively, and therefore is not included in the table above. (2) As of March 31, 2021, includes $6.6 billion of multifamily loans in forbearance that are reported as current. |
Investment Securities (Tables)
Investment Securities (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Table - Investment Securities | The table below summarizes the fair values of our investments in debt securities by classification. Table 6.1 - Investment Securities (In millions) March 31, 2021 December 31, 2020 Trading securities $54,289 $44,458 Available-for-sale securities 7,591 15,367 Total fair value of investment securities $61,880 $59,825 |
Table - Trading Securities | The table below presents the estimated fair values of our trading securities by major security type. Our non-mortgage-related securities primarily consist of investments in U.S. Treasury securities. Table 6.2 - Trading Securities (In millions) March 31, 2021 December 31, 2020 Mortgage-related securities: Agency $23,015 $17,504 Non-agency 1 1 Total mortgage-related securities 23,016 17,505 Non-mortgage-related securities 31,273 26,953 Total fair value of trading securities $54,289 $44,458 |
Table - Available-For-Sale Securities | The table below provides details of the securities classified as available-for-sale on our condensed consolidated balance sheets. Table 6.3 - Available-for-Sale Securities March 31, 2021 Amortized Basis Gross Unrealized Gains in Other Comprehensive Income Gross Unrealized Fair Value Accrued Interest Receivable (In millions) Available-for-sale securities: Agency $6,267 $294 ($6) $6,555 $16 Non-agency and other 802 234 — 1,036 4 Total available-for-sale securities $7,069 $528 ($6) $7,591 $20 December 31, 2020 Amortized Basis Gross Unrealized Gross Unrealized Fair Value Accrued Interest Receivable (In millions) Available-for-sale securities: Agency $13,514 $794 ($4) $14,304 $36 Non-agency and other 830 233 — 1,063 4 Total available-for-sale securities $14,344 $1,027 ($4) $15,367 $40 |
Table - Available-For-Sale Securities in a Gross Unrealized Loss Position | The table below presents available-for-sale securities in a gross unrealized loss position and whether such securities have been in an unrealized loss position for less than 12 months, or 12 months or greater. Table 6.4 - Available-for-Sale Securities in a Gross Unrealized Loss Position March 31, 2021 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 $617 ($3) $117 ($3) Non-agency and other 1 — 16 — Total available-for-sale securities in a gross unrealized loss position $618 ($3) $133 ($3) December 31, 2020 Less than 12 Months 12 Months or Greater (In millions) Fair Gross Unrealized Losses Fair Gross Unrealized Losses Available-for-sale securities: Agency $223 ($2) $144 ($2) Non-agency and other 17 — — — Total available-for-sale securities in a gross unrealized loss position $240 ($2) $144 ($2) |
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 6.5 - Gross Realized Gains and Gross Realized Losses from Sales of Available-for-Sale Securities (In millions) 1Q 2021 1Q 2020 Gross realized gains $399 $33 Gross realized losses (31) (23) Net realized gains (losses) $368 $10 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Credit Loss [Abstract] | |
Table - Amortized Cost Basis of Held-for-Investment Loans on Nonaccrual | The table below summarizes changes in our allowance for credit losses. Table 7.1 - Details of the Allowance for Credit Losses 1Q 2021 1Q 2020 (In millions) Single-family Multifamily Total Single-family Multifamily Total Beginning balance $6,353 $200 $6,553 $5,233 $69 $5,302 Provision (benefit) for credit losses (146) (50) (196) 1,166 67 1,233 Charge-offs (238) — (238) (164) — (164) Recoveries collected 46 — 46 88 — 88 Other 115 — 115 24 — 24 Ending balance $6,130 $150 $6,280 $6,347 $136 $6,483 Components of ending balance of allowance for credit losses: Mortgage loans held-for-investment $5,253 $77 $5,330 $6,044 $77 $6,121 Advances of pre-foreclosure costs 615 — 615 254 — 254 Accrued interest receivable on mortgage loans 213 — 213 — — — Off-balance sheet credit exposures 49 73 122 49 59 108 Total $6,130 $150 $6,280 $6,347 $136 $6,483 |
Credit Enhancements (Tables)
Credit Enhancements (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Credit Enhancements [Abstract] | |
Credit Enhancement Receivables | The table below presents details of our credit enhancement receivables. These amounts are recognized in other assets on our condensed consolidated balance sheets. Table 8.1 - Credit Enhancement Receivables (In millions) March 31, 2021 December 31, 2020 Freestanding credit enhancement expected recovery receivables, net of allowance $406 $677 Primary mortgage insurance receivables (1) , net of allowance 82 74 Total credit enhancement receivables $488 $751 (1) Excludes $433 million and $444 million of deferred payment obligations associated with unpaid claim amounts as of March 31, 2021 and December 31, 2020, respectively. We have reserved for substantially all these unpaid amounts as collectability is uncertain. |
Table- 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 8.2 - Single-Family Credit Enhancements March 31, 2021 December 31, 2020 (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 $485,593 $119,111 $472,881 $116,973 STACR: (2) Trust notes Freestanding 589,150 19,728 488,251 17,288 Debt notes Debt 316,378 11,954 365,482 12,377 Insurance/reinsurance (3) Freestanding 975,289 13,645 876,815 11,586 Subordination: (4) Non-consolidated VIEs Guarantee 27,774 5,686 29,039 5,718 Consolidated VIEs Debt 7,203 404 9,035 464 Lender risk-sharing Freestanding 5,177 4,587 5,731 4,831 Other Primarily attached 314 311 374 371 Total single-family credit enhancements $175,426 $169,608 (1) Underlying loans may be covered by more than one form of credit enhancement. For certain transactions, protected UPB may be different from the UPB of the underlying loans due to timing differences in reporting cycles between the transactions and the loans. (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 March 31, 2021 and December 31, 2020, substantially all of 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. For non-consolidated VIEs, the total current and protected UPB also includes 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. |
Table - 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 8.3 - Multifamily Credit Enhancements March 31, 2021 December 31, 2020 (In millions) Credit Enhancement Accounting Treatment Total Current and Protected UPB (1) Maximum Coverage Total Current and Protected UPB (1) Maximum Coverage Subordination: (2) Non-consolidated VIEs Guarantee $298,965 $43,450 $286,199 $42,712 Consolidated VIEs Debt 1,800 200 1,800 200 Lender risk-sharing (3) Freestanding 3,127 597 3,321 598 Insurance/reinsurance (4) Freestanding 5,366 190 5,383 190 SCR: (5) Trust notes Freestanding 4,801 273 — — Debt notes Debt 2,149 107 2,217 111 Other (3) Attached 251 251 253 253 Total multifamily credit enhancements $45,068 $44,064 (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 master servicer advances made to the holders of the guaranteed and unguaranteed securities. For non-consolidated VIEs, the total current and protected UPB also includes 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) Maximum coverage represents the remaining amount of loss recovery that is available subject to the terms of counterparty agreements. (4) As of March 31, 2021 and December 31, 2020, 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. |
Debt (Tables)
Debt (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Debt Disclosure [Abstract] | |
Table - Total Debt | The table below summarizes the balances of total debt per our condensed consolidated balance sheets Table 9.1 - Total Debt (In millions) March 31, 2021 December 31, 2020 Debt securities of consolidated trusts held by third parties $2,445,829 $2,308,176 Debt of Freddie Mac: Short-term debt 10,910 4,955 Long-term debt 247,531 279,415 Total Debt of Freddie Mac 258,441 284,370 Total debt $2,704,270 $2,592,546 |
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 9.2 - Debt Securities of Consolidated Trusts Held by Third Parties March 31, 2021 December 31, 2020 (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 2021 - 2060 $1,896,894 $1,953,618 2.89 % 2021 - 2060 $1,799,065 $1,855,438 3.07 % 20-year fixed-rate 2021 - 2041 107,510 110,680 2.67 2021 - 2041 97,520 100,498 2.84 15-year fixed-rate 2021 - 2036 332,355 340,820 2.34 2021 - 2036 303,142 310,612 2.46 Adjustable-rate 2021 - 2051 21,801 22,280 2.64 2021 - 2051 23,964 24,484 2.76 Interest-only 2026 - 2048 3,404 3,520 2.85 2026 - 2041 3,671 3,736 3.15 FHA/VA 2021 - 2050 759 774 4.02 2021 - 2050 752 769 4.04 Total single-family 2,362,723 2,431,692 2,228,114 2,295,537 Multifamily 2021-2050 13,968 14,137 2.34 2021-2050 12,488 12,639 2.43 Total debt of consolidated trusts held by third parties $2,376,691 $2,445,829 $2,240,602 $2,308,176 (1) Includes $262 million and $205 million at March 31, 2021 and December 31, 2020, respectively, of debt securities of consolidated trusts that represents the fair value of debt for which the fair value option was elected. (2) The effective interest rate for debt securities of consolidated trusts held by third parties was 1.58% and 1.76% as of March 31, 2021 and December 31, 2020, respectively. |
Table - Other Debt | The table below summarizes the balances and effective interest rates for debt of Freddie Mac. Table 9.3 - Total Debt of Freddie Mac March 31, 2021 December 31, 2020 (Dollars in millions) Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Short-term debt: Discount notes and Reference Bills $— $— — % $11 $11 0.69 % Medium-term notes 10,910 10,910 0.03 4,944 4,944 1.31 Securities sold under agreements to repurchase (3) 7,930 7,930 (0.05) — — — Total short-term debt 18,840 18,840 — 4,955 4,955 1.31 Long-term debt: Original maturities on or before December 31, 2021 35,488 35,484 0.71 43,422 43,417 0.95 2022 59,002 59,022 0.69 61,071 61,092 0.68 2023 54,049 53,980 0.45 61,998 61,920 0.45 2024 17,744 17,719 0.55 21,679 21,651 0.61 2025 36,587 36,207 0.83 44,342 43,944 0.84 Thereafter 36,617 34,881 2.62 36,386 34,583 2.64 STACR and SCR debt (4) 12,061 11,888 4.23 12,488 12,342 4.18 Hedging-related basis adjustments N/A (1,650) N/A 466 Total long-term debt 251,548 247,531 1.09 281,386 279,415 1.09 Total debt of Freddie Mac (5) $270,388 $266,371 $286,341 $284,370 (1) Represents par value, net of associated discounts or premiums and issuance cost. Includes $2.1 billion and $2.4 billion at March 31, 2021 and December 31, 2020, respectively, of long-term debt that represents the fair value of debt for which the fair value option was elected. (2) Based on carrying amount. (3) We offset payables related to securities sold under agreements to repurchase against receivables related to securities purchased under agreements to resell on our condensed consolidated balance sheets, when such amounts meet the conditions for offsetting in the accounting guidance. (4) 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, generally without penalty. (5) Carrying amount for debt of Freddie Mac includes callable debt of $112.4 billion and $124.0 billion at March 31, 2021 and December 31, 2020, respectively. |
Derivatives (Tables)
Derivatives (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
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 condensed consolidated balance sheets. Table 10.1 - Derivative Assets and Liabilities at Fair Value March 31, 2021 December 31, 2020 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 risk management derivatives: Swaps $534,976 $1,947 ($4,140) $559,596 $2,639 ($7,091) Written options 30,830 — (1,714) 18,259 — (735) Purchased options (1) 242,260 5,107 — 169,995 5,265 — Futures 157,628 — — 181,702 — — Total interest-rate management derivatives 965,694 7,054 (5,854) 929,552 7,904 (7,826) Mortgage commitment derivatives: Forward contracts to purchase mortgage loans 38,152 5 (337) 37,122 183 — Forward contracts to purchase mortgage-related securities 55,805 19 (316) 45,185 203 — Forward contracts to sell mortgage-related securities 171,285 1,483 (34) 136,802 2 (759) Total mortgage commitment derivatives 265,242 1,507 (687) 219,109 388 (759) CRT-related derivatives 30,513 29 (57) 28,949 61 (47) Other 9,190 1 (30) 4,029 2 (16) Total derivatives not designated as hedges 1,270,639 8,591 (6,628) 1,181,639 8,355 (8,648) Designated as fair value hedges Interest-rate risk management derivatives: Swaps 238,120 149 (2,521) 180,686 224 (500) Total derivatives designated as fair value hedges 238,120 149 (2,521) 180,686 224 (500) Derivative interest receivable (payable) (2) 480 (485) 455 (523) Netting adjustments (3) (7,135) 8,684 (7,829) 8,717 Total derivative portfolio, net $1,508,759 $2,085 ($950) $1,362,325 $1,205 ($954) (1) Includes swaptions on credit indices with a notional or contractual amount of $14.3 billion and $16.8 billion at March 31, 2021 and December 31, 2020, respectively, and a fair value of $5.0 million and $9.0 million at March 31, 2021 and December 31, 2020, respectively. (2) Includes other derivative receivables and payables. (3) Represents counterparty netting and cash collateral netting. |
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 condensed consolidated statements of comprehensive income (loss) as investment gains (losses), net. Table 10.2 - Gains and Losses on Derivatives (In millions) 1Q 2021 1Q 2020 Not designated as hedges Interest-rate risk management derivatives: Swaps $615 ($4,863) Written options (461) (320) Purchased options (48) 4,542 Futures 286 (2,328) Total interest-rate risk management derivatives fair value gains (losses) 392 (2,969) Mortgage commitment derivatives 1,476 (726) CRT-related derivatives (42) 78 Other (3) 31 Total derivatives not designated as hedges fair value gains (losses) 1,823 (3,586) Accrual of periodic cash settlements (1) (452) (176) Total $1,371 ($3,762) (1) Includes interest on variation margin on cleared interest-rate swaps. |
Table - Gains and Losses on Fair Value Hedge | The table below presents the effects of fair value hedge accounting by condensed consolidated statements of comprehensive income (loss) line item, 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 10.3 - Gains and Losses on Fair Value Hedges 1Q 2021 1Q 2020 (In millions) Interest Income Interest Expense Interest Income Interest Expense Total amounts of income and expense line items presented in our condensed consolidated statements of comprehensive income in which the effects of fair value hedges are recorded: $13,902 ($10,263) $17,592 ($14,807) Interest contracts on mortgage loans held-for-investment: Gain (loss) on fair value hedging relationships: Hedged items (1,523) — 4,893 — Derivatives designated as hedging instruments 1,534 — (5,080) — Interest accruals on hedging instruments (114) — (63) — Discontinued hedge-related basis adjustments amortization (781) — (253) — Interest contracts on debt: Gain (loss) on fair value hedging relationships: Hedged items — 2,114 — (505) Derivatives designated as hedging instruments — (2,188) — 554 Interest accruals on hedging instruments — 255 — 100 Discontinued hedge-related basis adjustments amortization — 5 — 20 |
Cumulative Basis Adjustment on Fair Value Hedge [Table Text Block] | The table below presents the cumulative basis adjustments and the carrying amounts of the hedged item by its respective balance sheet line item. Table 10.4 - Cumulative Basis Adjustments Due to Fair Value Hedging March 31, 2021 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustments 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 $417,644 $2,813 ($1,152) $3,965 $192,912 $9,507 Debt (158,646) 1,650 — (33) — — December 31, 2020 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustments 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 $478,077 $5,117 ($318) $5,435 $220,301 $9,112 Debt (176,512) (466) — (38) — — |
Collateral and Offsetting of _2
Collateral and Offsetting of Assets and Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Offsetting [Abstract] | |
Table - Offsetting of Financial Assets and Liabilities | The table below presents offsetting and collateral information related to derivatives, securities purchased under agreements to resell, and securities sold under agreements to repurchase which are subject to enforceable master netting agreements or similar arrangements. Table 11.1 - Offsetting and Collateral Information of Financial Assets and Liabilities March 31, 2021 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $7,614 ($5,681) ($1,497) $436 ($392) $44 Cleared and exchange-traded derivatives 69 — 43 112 — 112 Mortgage commitment derivatives 1,507 — — 1,507 — 1,507 Other 30 — — 30 — 30 Total derivatives 9,220 (5,681) (1,454) 2,085 (392) 1,693 Securities purchased under agreements to resell 23,070 (7,930) — 15,140 (15,140) — Total $32,290 ($13,611) ($1,454) $17,225 ($15,532) $1,693 Liabilities: Derivatives: OTC derivatives ($8,828) $5,681 $2,975 ($172) $— ($172) Cleared and exchange-traded derivatives (32) — 28 (4) 4 — Mortgage commitment derivatives (687) — — (687) — (687) Other (87) — — (87) — (87) Total derivatives (9,634) 5,681 3,003 (950) 4 (946) Securities sold under agreements to repurchase (7,930) 7,930 — — — — Total ($17,564) $13,611 $3,003 ($950) $4 ($946) Referenced footnotes are included after the next table. December 31, 2020 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $8,566 ($5,932) ($1,957) $677 ($648) $29 Cleared and exchange-traded derivatives 17 — 60 77 — 77 Mortgage commitment derivatives 388 — — 388 — 388 Other 63 — — 63 — 63 Total derivatives 9,034 (5,932) (1,897) 1,205 (648) 557 Securities purchased under agreements to resell 105,003 — — 105,003 (105,003) — Total $114,037 ($5,932) ($1,897) $106,208 ($105,651) $557 Liabilities: Derivatives: OTC derivatives ($8,812) $5,932 $2,759 ($121) $— ($121) Cleared and exchange-traded derivatives (37) — 26 (11) — (11) Mortgage commitment derivatives (759) — — (759) — (759) Other (63) — — (63) — (63) Total derivatives (9,671) 5,932 2,785 (954) — (954) Securities sold under agreements to repurchase — — — — — — Total ($9,671) $5,932 $2,785 ($954) $— ($954) (1) Excess cash collateral held is presented as a derivative liability, while excess cash collateral posted is presented as a derivative asset. |
Table - Offsetting of Financial Assets and Liabilities | The table below presents offsetting and collateral information related to derivatives, securities purchased under agreements to resell, and securities sold under agreements to repurchase which are subject to enforceable master netting agreements or similar arrangements. Table 11.1 - Offsetting and Collateral Information of Financial Assets and Liabilities March 31, 2021 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $7,614 ($5,681) ($1,497) $436 ($392) $44 Cleared and exchange-traded derivatives 69 — 43 112 — 112 Mortgage commitment derivatives 1,507 — — 1,507 — 1,507 Other 30 — — 30 — 30 Total derivatives 9,220 (5,681) (1,454) 2,085 (392) 1,693 Securities purchased under agreements to resell 23,070 (7,930) — 15,140 (15,140) — Total $32,290 ($13,611) ($1,454) $17,225 ($15,532) $1,693 Liabilities: Derivatives: OTC derivatives ($8,828) $5,681 $2,975 ($172) $— ($172) Cleared and exchange-traded derivatives (32) — 28 (4) 4 — Mortgage commitment derivatives (687) — — (687) — (687) Other (87) — — (87) — (87) Total derivatives (9,634) 5,681 3,003 (950) 4 (946) Securities sold under agreements to repurchase (7,930) 7,930 — — — — Total ($17,564) $13,611 $3,003 ($950) $4 ($946) Referenced footnotes are included after the next table. December 31, 2020 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $8,566 ($5,932) ($1,957) $677 ($648) $29 Cleared and exchange-traded derivatives 17 — 60 77 — 77 Mortgage commitment derivatives 388 — — 388 — 388 Other 63 — — 63 — 63 Total derivatives 9,034 (5,932) (1,897) 1,205 (648) 557 Securities purchased under agreements to resell 105,003 — — 105,003 (105,003) — Total $114,037 ($5,932) ($1,897) $106,208 ($105,651) $557 Liabilities: Derivatives: OTC derivatives ($8,812) $5,932 $2,759 ($121) $— ($121) Cleared and exchange-traded derivatives (37) — 26 (11) — (11) Mortgage commitment derivatives (759) — — (759) — (759) Other (63) — — (63) — (63) Total derivatives (9,671) 5,932 2,785 (954) — (954) Securities sold under agreements to repurchase — — — — — — Total ($9,671) $5,932 $2,785 ($954) $— ($954) (1) Excess cash collateral held is presented as a derivative liability, while excess cash collateral posted is presented as a derivative asset. |
Table - Collateral in the Form of Securities Pledged | The table below summarizes 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 11.2 - Collateral in the Form of Securities Pledged March 31, 2021 (In millions) Derivatives Securities Sold Under Agreements to Repurchase Other (3) Total Cash equivalents (1) $— $2,671 $— $2,671 Debt securities of consolidated trusts (2) — — 348 348 Trading securities 1,555 5,230 1,442 8,227 Total securities pledged $1,555 $7,901 $1,790 $11,246 December 31, 2020 (In millions) Derivatives Securities Sold Under Agreements to Repurchase Other (3) Total Debt securities of consolidated trusts (2) $121 $— $345 $466 Trading securities 1,920 — 1,163 3,083 Total securities pledged $2,041 $— $1,508 $3,549 (1) Represents U.S. Treasury securities accounted for as cash equivalents. (2) Represents debt securities of consolidated trusts held by us in our mortgage-related investments portfolio which are recorded as a reduction to debt securities of consolidated trusts held by third parties on our condensed consolidated balance sheets. (3) Includes other collateralized borrowings and collateral related to transactions with certain clearinghouses. |
Table - Underlying 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 11.3 - Underlying Collateral Pledged March 31, 2021 (In millions) Overnight and Continuous 30 Days or Less After 30 Days Through 90 Days Greater Than 90 Days Total U.S. Treasury securities and other $2,453 $5,448 $— $— $7,901 |
Stockholders' Equity and Earn_2
Stockholders' Equity and Earnings per Share (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Stockholders' Equity Note [Abstract] | |
Table - Changes in AOCI by Component, Net of Tax | The table below presents changes in AOCI after the effects of our federal statutory tax rate of 21% for the periods presented, related to available-for-sale securities, cash flow hedges, and our defined benefit plans. Table 12.1 - Changes in AOCI by Component, Net of Taxes 1Q 2021 (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 $810 ($206) $39 $643 Other comprehensive income before reclassifications (105) — (1) (106) Amounts reclassified from accumulated other comprehensive income (290) 10 (3) (283) Changes in AOCI by component (395) 10 (4) (389) Ending balance $415 ($196) $35 $254 1Q 2020 (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 $618 ($244) $64 $438 Other comprehensive income before reclassifications 446 — 2 448 Amounts reclassified from accumulated other comprehensive income (8) 13 (4) 1 Changes in AOCI by component 438 13 (2) 449 Ending balance $1,056 ($231) $62 $887 |
Table - Reclassifications from AOCI to Net Income | The table below presents reclassifications from AOCI to net income, including the affected line items in our condensed consolidated statements of comprehensive income (loss). Table 12.2 - Reclassifications from AOCI to Net Income (In millions) 1Q 2021 1Q 2020 AOCI related to available-for-sale securities Affected line items on the condensed consolidated statements of comprehensive income (loss): Investment gains (losses), net $368 $10 Income tax (expense) benefit (78) (2) Net of tax 290 8 AOCI related to cash flow hedge relationships Affected line items on the condensed consolidated statements of comprehensive income (loss): Interest expense (11) (16) Income tax (expense) benefit 1 3 Net of tax (10) (13) AOCI related to defined benefit plans Affected line items on the condensed consolidated statements of comprehensive income (loss): Salaries and employee benefits 4 5 Income tax (expense) benefit (1) (1) Net of tax 3 4 Total reclassifications in the period net of tax $283 ($1) |
Table - Senior Preferred Stock | The table below provides a summary of our senior preferred stock outstanding at March 31, 2021 . Table 12.3 - 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 March 31, 2020 — — — N/A 2,448 June 30, 2020 — — — N/A 382 September 30, 2020 — — — N/A 1,938 December 31, 2020 — — — N/A 2,449 March 31, 2021 — — — N/A 2,522 Total non-draw adjustments 1.00 1.00 1.00 17,413 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 $89,061 |
Net Interest Income (Tables)
Net Interest Income (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Components of Net Interest Income [Abstract] | |
Interest Income and Interest Expense Disclosure | Table 13.1 - Components of Net Interest Income (In millions) March 31, 2021 March 31, 2020 Interest income Mortgage loans $13,255 $16,632 Investment securities 610 652 Other 37 308 Total interest income 13,902 17,592 Interest expense Debt securities of consolidated trusts held by third parties (9,756) (13,447) Debt of Freddie Mac: Short-term debt (2) (430) Long-term debt (505) (930) Total interest expense (10,263) (14,807) Net interest income 3,639 2,785 Benefit (provision) for credit losses 196 (1,233) Net interest income after benefit (provision) for credit losses $3,835 $1,552 |
Investment Gains (Losses), Net
Investment Gains (Losses), Net (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Investment Gains (Losses), Net [Abstract] | |
Table - Components of Investment Gains (Losses) | The table below presents the components of investment gains (losses), net on our condensed consolidated statements of comprehensive income (loss). Table 14.1 - Components of Investment Gains (Losses), Net (In millions) 1Q 2021 1Q 2020 Investment gains (losses), net: Mortgage loans gains (losses) $206 $1,172 Investment securities gains (losses) (507) 1,055 Debt gains (losses) 138 700 Derivative gains (losses) 1,371 (3,762) Investment gains (losses), net $1,208 ($835) |
Segment Reporting (Tables)
Segment Reporting (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Segment Reporting [Abstract] | |
Table - Segment Earnings and Reconciliation to GAAP Condensed Consolidated Statements of Comprehensive Income | The table below presents the financial results for our Single-family and Multifamily segments. Table 15.1 - Segment Financial Results 1Q 2021 Single-family Multifamily Total (In millions) Net interest income $3,308 $331 $3,639 Non-interest income (loss) Guarantee fee income 89 159 248 Investment gains (losses), net 300 908 1,208 Other income (loss) 152 26 178 Non-interest income (loss) 541 1,093 1,634 Net revenues 3,849 1,424 5,273 Benefit (provision) for credit losses 146 50 196 Non-interest expense Administrative expense (488) (151) (639) Credit enhancement expense (325) (10) (335) Benefit for (decrease in) credit enhancement recoveries (245) (12) (257) REO operations expense (8) — (8) Temporary Payroll Tax Cut Continuation Act of 2011 expense (534) — (534) Other expense (209) (6) (215) Non-interest expense (1,809) (179) (1,988) Income (loss) before income tax (expense) benefit 2,186 1,295 3,481 Income tax (expense) benefit (448) (266) (714) Net income (loss) 1,738 1,029 2,767 Other comprehensive income (loss), net of taxes and reclassification adjustments Changes in unrealized gains (losses) related to available-for-sale securities (335) (60) (395) Changes in unrealized gains (losses) related to cash flow hedge relationships 10 — 10 Changes in defined benefit plans (3) (1) (4) Total other comprehensive income (loss), net of taxes and reclassification adjustments (328) (61) (389) Comprehensive income (loss) $1,410 $968 $2,378 1Q 2020 Single-family Multifamily Total (In millions) Net interest income $2,485 $300 $2,785 Non-interest income (loss) Guarantee fee income (13) 390 377 Investment gains (losses), net 24 (859) (835) Other income (loss) 58 37 95 Non-interest income (loss) 69 (432) (363) Net revenues 2,554 (132) 2,422 Benefit (provision) for credit losses (1,166) (67) (1,233) Non-interest expense Administrative expense (467) (120) (587) Credit enhancement expense (227) (4) (231) Benefit for (decrease in) credit enhancement recoveries 439 28 467 REO operations expense (85) — (85) Temporary Payroll Tax Cut Continuation Act of 2011 expense (432) — (432) Other expense (98) (5) (103) Non-interest expense (870) (101) (971) Income (loss) before income tax (expense) benefit 518 (300) 218 Income tax (expense) benefit (107) 62 (45) Net income (loss) 411 (238) 173 Other comprehensive income (loss), net of taxes and reclassification adjustments Changes in unrealized gains (losses) related to available-for-sale securities 374 64 438 Changes in unrealized gains (losses) related to cash flow hedge relationships 13 — 13 Changes in defined benefit plans (2) — (2) Total other comprehensive income (loss), net of taxes and reclassification adjustments 385 64 449 Comprehensive income (loss) $796 ($174) $622 |
Reconciliation of Assets from Segment to Consolidated | The table below presents total assets for our Single-family and Multifamily segments. Table 15.2 - Segment Assets (In millions) March 31, 2021 December 31, 2020 Single-family $2,458,112 $2,326,426 Multifamily 393,677 388,347 Total segment assets 2,851,789 2,714,773 Reconciling items (1) (109,915) (87,358) Total assets per condensed consolidated balance sheets $2,741,874 $2,627,415 |
Concentration of Credit and O_2
Concentration of Credit and Other Risks (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Risks and Uncertainties [Abstract] | |
Table - Concentration of Credit Risk | The table below summarizes the concentration by loan portfolio and geographic area of the approximately $2.5 trillion and $2.3 trillion UPB of our single-family mortgage portfolio as of March 31, 2021 and December 31, 2020, respectively. See Note 4, Note 6, and Note 7 for more information about credit risk associated with loans and mortgage-related securities that we hold or guarantee. Table 16.1 - Concentration of Credit Risk of Our Single-Family Mortgage Portfolio March 31, 2021 December 31, 2020 1Q 2021 (1) 1Q 2020 (1) (Dollars in billions) Portfolio UPB % of Portfolio SDQ Rate Portfolio UPB % of Portfolio SDQ Rate Credit Losses Amount % of Credit Losses (2) Credit Losses Amount % of Credit Losses Region: (3) West $770 31 % 2.11 % $720 31 % 2.41 % $— NM $— 8 % Northeast 581 24 2.82 549 24 3.16 — NM 0.1 36 North Central 371 15 1.88 357 15 2.06 — NM 0.1 29 Southeast 393 16 2.58 375 16 2.95 — NM — 18 Southwest 343 14 2.33 325 14 2.59 — NM — 9 Total $2,458 100 % 2.34 $2,326 100 % 2.64 $— NM $0.2 100 % State: California $455 19 % 2.29 $424 18 % 2.64 $— NM $— 5 % Texas 152 6 2.75 145 6 3.11 — NM — 3 Florida 142 6 3.14 135 6 3.70 — NM — 9 New York 108 4 4.07 103 4 4.56 — NM — 9 Illinois 99 4 2.83 96 4 2.96 — NM 0.1 16 All other 1,502 61 2.09 1,423 62 2.34 — NM 0.1 58 Total $2,458 100 % 2.34 $2,326 100 % 2.64 $— NM $0.2 100 % (1) Excludes credit losses related to charge-offs of accrued interest receivables. (2) NM - not meaningful due to the credit losses amount rounding to zero. (3) 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). Table 16.3 - Seller Concentration Single-family Sellers 1Q 2021 1Q 2020 JPMorgan Chase Bank, N.A. 4 % 12 % United Wholesale Mortgage, LLC (1) 5 10 Other top 10 sellers 39 33 Top 10 single-family sellers 48 % 55 % Multifamily Sellers 1Q 2021 1Q 2020 Berkadia Commercial Mortgage LLC 14 % 14 % CBRE Capital Markets, Inc. 14 17 JLL Real Estate Capital, LLC 10 4 Other top 10 sellers 43 43 Top 10 multifamily sellers 81 % 78 % (1) United Wholesale Mortgage, LLC was previously known as United Shore Financial Services, LLC. Table 16.4 - Servicer Concentration Single-family Servicers March 31, 2021 (1) December 31, 2020 (1) Wells Fargo Bank, N.A. 10 % 11 % Other top 10 servicers 37 38 Top 10 single-family servicers 47 % 49 % Multifamily Servicers (2) March 31, 2021 December 31, 2020 CBRE Capital Markets, Inc. 17 % 17 % Berkadia Commercial Mortgage LLC 13 13 JLL Real Estate Capital LLC 11 11 Other top 10 servicers 40 39 Top 10 multifamily servicers 81 % 80 % (1) Percentage of servicing volume is based on the total single-family mortgage 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 mortgage portfolio. Table 16.5 - Mortgage Insurer Concentration Mortgage Insurance Coverage (2) Mortgage Insurer Credit Rating (1) March 31, 2021 December 31, 2020 Arch Mortgage Insurance Company A- 20 % 20 % Radian Guaranty Inc. BBB+ 19 19 Mortgage Guaranty Insurance Corporation BBB+ 18 18 Essent Guaranty, Inc. BBB+ 16 16 Genworth Mortgage Insurance Corporation BB+ 15 15 National Mortgage Insurance Corporation BBB 11 10 Total 99 % 98 % (1) Ratings are for the corporate entity to which we have the greatest exposure. Latest rating available as of March 31, 2021. Represents the lower of S&P and Moody’s credit ratings stated in terms of the S&P equivalent. |
Table - Certain Higher Risk Categories In Our Single Family Credit Guarantee Portfolio | 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 mortgage portfolio. The table presents 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 will have an even higher risk of delinquency than those with an individual attribute. Table 16.2 - Certain Higher Risk Categories in Our Single-Family Mortgage Portfolio % of Portfolio (1) SDQ Rate (1) (% of portfolio based on UPB) March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 Interest-only — % — % NM NM Alt-A 1 1 10.49 % 10.66 % Original LTV ratio greater than 90% (2) 14 15 4.01 4.25 Lower credit scores at origination (less than 620) 1 1 10.93 11.00 (1) Excludes $493 million and $505 million UPB of loans underlying certain other securitization products for which data was not available as of March 31, 2021 and December 31, 2020, respectively. (2) Includes HARP loans, which we purchased as part of our participation in the MHA Program. (3) NM - not meaningful due to the percentage of the portfolio rounding to zero. |
Fair Value Disclosures (Tables)
Fair Value Disclosures (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Table - Assets and Liabilities Measured at Fair Value on a Recurring Basis | The table below presents our assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments where we have elected the fair value option. Table 17.1 - Assets and Liabilities Measured at Fair Value on a Recurring Basis March 31, 2021 (In millions) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $— $5,754 $801 $— $6,555 Non-agency and other — 1 1,035 — 1,036 Total available-for-sale securities, at fair value — 5,755 1,836 — 7,591 Trading, at fair value: Mortgage-related securities: Agency — 19,954 3,061 — 23,015 Non-agency — — 1 — 1 Total mortgage-related securities — 19,954 3,062 — 23,016 Non-mortgage-related securities 30,208 1,065 — — 31,273 Total trading securities, at fair value 30,208 21,019 3,062 — 54,289 Total investments in securities 30,208 26,774 4,898 — 61,880 Mortgage loans: Held-for-sale, at fair value — 8,093 — — 8,093 Derivative assets, net 30 8,680 30 — 8,740 Netting adjustments (1) — — — (6,655) (6,655) Total derivative assets, net 30 8,680 30 (6,655) 2,085 Other assets: Guarantee assets, at fair value — — 5,688 — 5,688 Non-derivative held-for-sale purchase commitments, at fair value — 91 — — 91 All other, at fair value — — 115 — 115 Total other assets — 91 5,803 — 5,894 Total assets carried at fair value on a recurring basis $30,238 $43,638 $10,731 ($6,655) $77,952 Liabilities: Debt securities of consolidated trusts held by third parties, at fair value $— $2 $260 $— $262 Debt of Freddie Mac, at fair value — 1,982 120 — 2,102 Derivative liabilities, net — 9,115 34 — 9,149 Netting adjustments (1) — — — (8,199) (8,199) Total derivative liabilities, net — 9,115 34 (8,199) 950 Other liabilities: Non-derivative held-for-sale purchase commitments, at fair value — 5 — — 5 All other, at fair value — — — — — Total other liabilities — 5 — — 5 Total liabilities carried at fair value on a recurring basis $— $11,104 $414 ($8,199) $3,319 Referenced footnote is included after the next table. December 31, 2020 (In millions) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $— $13,778 $526 $— $14,304 Non-agency and other — 1 1,062 — 1,063 Total available-for-sale securities, at fair value — 13,779 1,588 — 15,367 Trading, at fair value: Mortgage-related securities: Agency — 14,246 3,258 — 17,504 Non-agency — — 1 — 1 Total mortgage-related securities — 14,246 3,259 — 17,505 Non-mortgage-related securities 26,255 698 — — 26,953 Total trading securities, at fair value 26,255 14,944 3,259 — 44,458 Total investments in securities 26,255 28,723 4,847 — 59,825 Mortgage loans: Held-for-sale, at fair value — 14,199 — — 14,199 Derivative assets, net — 8,516 63 — 8,579 Netting adjustments (1) — — — (7,374) (7,374) Total derivative assets, net — 8,516 63 (7,374) 1,205 Other assets: Guarantee assets, at fair value — — 5,509 — 5,509 Non-derivative held-for-sale purchase commitments, at fair value — 158 — — 158 All other, at fair value — — 108 — 108 Total other assets — 158 5,617 — 5,775 Total assets carried at fair value on a recurring basis $26,255 $51,596 $10,527 ($7,374) $81,004 Liabilities: Debt securities of consolidated trusts held by third parties, at fair value $— $2 $203 $— $205 Debt of Freddie Mac, at fair value — 2,267 120 — 2,387 Derivative liabilities, net — 9,132 16 — 9,148 Netting adjustments (1) — — — (8,194) (8,194) Total derivative liabilities, net — 9,132 16 (8,194) 954 Other liabilities: Non-derivative held-for-sale purchase commitments, at fair value — 1 — — 1 All other, at fair value — — 3 — 3 Total other liabilities — 1 3 — 4 Total liabilities carried at fair value on a recurring basis $— $11,402 $342 ($8,194) $3,550 (1) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable. |
Table - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs | The table below presents a reconciliation of all assets and liabilities measured on our condensed 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 table also presents gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our condensed consolidated statements of comprehensive income (loss) for Level 3 assets and liabilities. Table 17.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs 1Q 2021 Balance, Total Realized/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 March 31, 2021 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2021 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $526 $— ($6) $432 $— ($130) ($21) $— $— $801 $— ($4) Non-agency and other 1,062 6 — — — — (33) — — 1,035 6 — Total available-for-sale mortgage-related securities 1,588 6 (6) 432 — (130) (54) — — 1,836 6 (4) Trading, at fair value: Mortgage-related securities: Agency 3,258 (174) — 445 — (269) (19) — (180) 3,061 (183) — Non-agency 1 — — — — — — — — 1 — — Total trading mortgage-related securities 3,259 (174) — 445 — (269) (19) — (180) 3,062 (183) — Derivative assets 63 (33) — — — — — — — 30 (33) — Other assets: Guarantee assets 5,509 (86) — — 488 — (223) — — 5,688 (86) — All other, at fair value 108 10 — (4) 6 — (5) — — 115 11 — Total other assets 5,617 (76) — (4) 494 — (228) — — 5,803 (75) — Balance, Total Realized/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 March 31, 2021 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2021 Included in Included in Other Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 $4 $— $— $53 $— $— $— $— $260 $4 $— Debt of Freddie Mac, at fair value 120 2 — — 1 — (3) — — 120 2 — Derivative liabilities 16 19 — — 2 — (3) — — 34 16 — All other, at fair value 3 (5) — 2 — — — — — — (4) — Referenced footnotes are included after the prior period table. 1Q 2020 Balance, Total Realized/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 March 31, 2020 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2020 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $1,960 $12 $38 $— $— ($208) ($57) $— ($1,095) $650 $— ($2) Non-agency and other 1,267 3 (126) — — — (43) — — 1,101 3 (100) Total available-for-sale mortgage-related securities 3,227 15 (88) — — (208) (100) — (1,095) 1,751 3 (102) Trading, at fair value: Mortgage-related securities: Agency 2,709 15 — 352 — (105) (31) — (396) 2,544 1 — Non-agency 1 — — — — — — — — 1 — — Total trading mortgage-related securities 2,710 15 — 352 — (105) (31) — (396) 2,545 1 — Derivative assets 16 47 — — — — — — — 63 47 — Other assets: Guarantee assets 4,426 99 — — 223 — (183) — — 4,565 99 — All other, at fair value 120 (7) — (1) 6 (8) (4) — — 106 (8) — Total other assets 4,546 92 — (1) 229 (8) (187) — — 4,671 91 — Balance, Total Realized/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 March 31, 2020 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2020 Included in Included in Other Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 ($4) $— $— $— $— $— $— $— $199 ($4) $— Debt of Freddie Mac, at fair value 129 (11) — — 1 — (1) 33 — 151 (11) — Derivative liabilities 37 (10) — — 1 — (4) — — 24 (14) — All other, at fair value 1 — — — — — — — — 1 — — B (1) Transfers out of Level 3 during 1Q 2021 and 1Q 2020 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 Freddie Mac securities are classified as Level 3 at issuance and generally are classified as Level 2 when they begin trading. Transfers into Level 3 during 1Q 2020 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) 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 March 31, 2021 and March 31, 2020, respectively. This amount includes any allowance for credit losses recorded on available-for-sale securities and amortization of basis adjustments. |
Table - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs | The table below presents a reconciliation of all assets and liabilities measured on our condensed 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 table also presents gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our condensed consolidated statements of comprehensive income (loss) for Level 3 assets and liabilities. Table 17.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs 1Q 2021 Balance, Total Realized/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 March 31, 2021 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2021 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $526 $— ($6) $432 $— ($130) ($21) $— $— $801 $— ($4) Non-agency and other 1,062 6 — — — — (33) — — 1,035 6 — Total available-for-sale mortgage-related securities 1,588 6 (6) 432 — (130) (54) — — 1,836 6 (4) Trading, at fair value: Mortgage-related securities: Agency 3,258 (174) — 445 — (269) (19) — (180) 3,061 (183) — Non-agency 1 — — — — — — — — 1 — — Total trading mortgage-related securities 3,259 (174) — 445 — (269) (19) — (180) 3,062 (183) — Derivative assets 63 (33) — — — — — — — 30 (33) — Other assets: Guarantee assets 5,509 (86) — — 488 — (223) — — 5,688 (86) — All other, at fair value 108 10 — (4) 6 — (5) — — 115 11 — Total other assets 5,617 (76) — (4) 494 — (228) — — 5,803 (75) — Balance, Total Realized/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 March 31, 2021 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2021 Included in Included in Other Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 $4 $— $— $53 $— $— $— $— $260 $4 $— Debt of Freddie Mac, at fair value 120 2 — — 1 — (3) — — 120 2 — Derivative liabilities 16 19 — — 2 — (3) — — 34 16 — All other, at fair value 3 (5) — 2 — — — — — — (4) — Referenced footnotes are included after the prior period table. 1Q 2020 Balance, Total Realized/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 March 31, 2020 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2020 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $1,960 $12 $38 $— $— ($208) ($57) $— ($1,095) $650 $— ($2) Non-agency and other 1,267 3 (126) — — — (43) — — 1,101 3 (100) Total available-for-sale mortgage-related securities 3,227 15 (88) — — (208) (100) — (1,095) 1,751 3 (102) Trading, at fair value: Mortgage-related securities: Agency 2,709 15 — 352 — (105) (31) — (396) 2,544 1 — Non-agency 1 — — — — — — — — 1 — — Total trading mortgage-related securities 2,710 15 — 352 — (105) (31) — (396) 2,545 1 — Derivative assets 16 47 — — — — — — — 63 47 — Other assets: Guarantee assets 4,426 99 — — 223 — (183) — — 4,565 99 — All other, at fair value 120 (7) — (1) 6 (8) (4) — — 106 (8) — Total other assets 4,546 92 — (1) 229 (8) (187) — — 4,671 91 — Balance, Total Realized/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 March 31, 2020 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2020 Included in Included in Other Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 ($4) $— $— $— $— $— $— $— $199 ($4) $— Debt of Freddie Mac, at fair value 129 (11) — — 1 — (1) 33 — 151 (11) — Derivative liabilities 37 (10) — — 1 — (4) — — 24 (14) — All other, at fair value 1 — — — — — — — — 1 — — B (1) Transfers out of Level 3 during 1Q 2021 and 1Q 2020 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 Freddie Mac securities are classified as Level 3 at issuance and generally are classified as Level 2 when they begin trading. Transfers into Level 3 during 1Q 2020 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) 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 March 31, 2021 and March 31, 2020, respectively. This amount includes any allowance for credit losses recorded on available-for-sale securities and amortization of basis adjustments. |
Table - Quantitative Information about Recurring Level 3 Fair Value Measurements | The table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis. Table 17.3 - Quantitative Information about Recurring Level 3 Fair Value Measurements March 31, 2021 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average (2) Assets Available-for-sale, at fair value Mortgage-related securities Agency $690 Discounted cash flows OAS 36 - 89 bps 66 bps 111 Other Non-agency and other 879 Median of external sources External pricing sources $66.2 - $79.3 $72.0 156 Other Trading, at fair value Mortgage-related securities Agency 2,360 Single external source External pricing sources $0.0 - $8,257.7 $970.5 364 Discounted cash flows OAS (811) - 56,028 bps 596 bps 337 Other Guarantee assets, at fair value 5,300 Discounted cash flows OAS 17 - 186 bps 45 bps 388 Other Insignificant Level 3 assets (1) 146 Total level 3 assets $10,731 Liabilities Debt securities of consolidated trusts held by third parties, at fair value $204 Single external source External pricing sources $99.8 - $106.9 $102.2 56 Other Insignificant Level 3 liabilities (1) 154 Total level 3 liabilities $414 Referenced footnote is included after the next table. December 31, 2020 Level 3 Predominant Unobservable Inputs (Dollars in millions, except for certain unobservable inputs as shown) Type Range Weighted Average (2) Assets Available-for-sale, at fair value Mortgage-related securities Agency $410 Discounted cash flows OAS 90 - 90 bps 90 bps 116 Other Non-agency and other 875 Median of external sources External pricing sources $67.1 - $79.1 $72.8 187 Other Trading, at fair value Mortgage-related securities Agency 2,204 Single external source External pricing sources $0.0 - $8,894.6 $947.8 472 Discounted cash flows OAS (951) - 2,910 bps 834 bps 583 Other Guarantee assets, at fair value 5,195 Discounted cash flows OAS 15 - 186 bps 38 bps 314 Other Insignificant Level 3 assets (1) 171 Total level 3 assets $10,527 Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 Single external source External pricing sources $97.3 - $ 107.0 $101.7 Insignificant Level 3 liabilities (1) 139 Total level 3 liabilities $342 (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. (2) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments. |
Table - Assets Measured at Fair Value on a Nonrecurring Basis | The table below presents assets measured on our condensed consolidated balance sheets at fair value on a non-recurring basis. Table 17.4 - Assets Measured at Fair Value on a Non-Recurring Basis March 31, 2021 December 31, 2020 (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) $— $11 $1,731 $1,742 $— $6 $2,241 $2,247 (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 table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets measured on our condensed consolidated balance sheets at fair value on a non-recurring basis. Table 17.5 - Quantitative Information About Non-Recurring Level 3 Fair Value Measurements March 31, 2021 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions, except for certain unobservable inputs as shown) Type Range Weighted Average (1) Non-recurring fair value measurements Mortgage loans $1,731 Internal model Historical sales proceeds $3,431 - $595,000 $209,549 Internal model Housing sales index 69 - 640 bps 122 bps Median of external sources External pricing sources $60.2 - $106.0 $94.5 December 31, 2020 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions, except for certain unobservable inputs as shown) Type Range Weighted Average (1) Non-recurring fair value measurements Mortgage loans $2,241 Internal model Historical sales proceeds $3,001 - $696,004 $202,539 Internal model Housing sales index 66 - 345 bps 119 bps Median of external sources External pricing sources $59.5 - $104.0 $92.1 (1) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments. |
Table - Fair Value of Financial Instruments | The table below presents 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 17.6 - Fair Value of Financial Instruments March 31, 2021 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 $100,979 $100,979 $— $— $— $100,979 Securities purchased under agreements to resell Amortized cost 15,140 — 23,070 — (7,930) 15,140 Investment securities: Available-for-sale, at fair value FV - OCI 7,591 — 5,755 1,836 — 7,591 Trading, at fair value FV - NI 54,289 30,208 21,019 3,062 — 54,289 Total investment securities 61,880 30,208 26,774 4,898 — 61,880 Mortgage loans: Loans held by consolidated trusts 2,395,707 — 2,174,999 258,491 — 2,433,490 Loans held by Freddie Mac 112,180 — 77,983 37,537 — 115,520 Total mortgage loans Various (3) 2,507,887 — 2,252,982 296,028 — 2,549,010 Derivative assets, net FV - NI 2,085 30 8,680 30 (6,655) 2,085 Guarantee assets FV - NI 5,688 — — 5,694 — 5,694 Non-derivative purchase commitments, at fair value FV - NI 91 — 192 — — 192 Advances to lenders Amortized cost 6,401 — — 6,401 — 6,401 Secured lending Amortized cost 1,632 — 1,430 49 — 1,479 Total financial assets $2,701,783 $131,217 $2,313,128 $313,100 ($14,585) $2,742,860 Financial Liabilities Debt: Debt securities of consolidated trusts held by third parties $2,445,829 $— $2,472,078 $855 $— $2,472,933 Debt of Freddie Mac 258,441 — 268,093 3,813 (7,930) 263,976 Total debt Various (4) 2,704,270 — 2,740,171 4,668 (7,930) 2,736,909 Derivative liabilities, net FV - NI 950 — 9,115 34 (8,199) 950 Guarantee obligations Amortized cost 5,275 — — 6,100 — 6,100 Non-derivative purchase commitments, at fair value FV - NI 29 — 5 167 — 172 Total financial liabilities $2,710,524 $— $2,749,291 $10,969 ($16,129) $2,744,131 (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 March 31, 2021, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $2.5 trillion, $16.8 billion, and $8.1 billion, respectively. (4) As of March 31, 2021, the GAAP carrying amounts measured at amortized cost and FV - NI were $2.7 trillion and $2.4 billion, respectively. December 31, 2020 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 $23,889 $23,889 $— $— $— $23,889 Securities purchased under agreements to resell Amortized cost 105,003 — 105,003 — — 105,003 Investment securities: Available-for-sale, at fair value FV - OCI 15,367 — 13,779 1,588 — 15,367 Trading, at fair value FV - NI 44,458 26,255 14,944 3,259 — 44,458 Total investment securities 59,825 26,255 28,723 4,847 — 59,825 Mortgage loans: Loans held by consolidated trusts 2,273,347 — 2,080,687 262,309 — 2,342,996 Loans held by Freddie Mac 110,541 — 76,917 36,578 — 113,495 Total mortgage loans Various (3) 2,383,888 — 2,157,604 298,887 — 2,456,491 Derivative assets, net FV - NI 1,205 — 8,516 63 (7,374) 1,205 Guarantee assets FV - NI 5,509 — — 5,515 — 5,515 Non-derivative purchase commitments, at fair value FV - NI 158 — 246 — — 246 Advances to lenders Amortized cost 4,162 — — 4,162 — 4,162 Secured lending Amortized cost 1,680 — 1,427 89 — 1,516 Total financial assets $2,585,319 $50,144 $2,301,519 $313,563 ($7,374) $2,657,852 Financial Liabilities Debt: Debt securities of consolidated trusts held by third parties $2,308,176 $— $2,382,157 $852 $— $2,383,009 Debt of Freddie Mac 284,370 — 286,634 4,088 — 290,722 Total debt Various (4) 2,592,546 — 2,668,791 4,940 — 2,673,731 Derivative liabilities, net FV - NI 954 — 9,132 16 (8,194) 954 Guarantee obligations Amortized cost 5,050 — — 5,378 — 5,378 Non-derivative purchase commitments, at fair value FV - NI 20 — 1 143 — 144 Total financial liabilities $2,598,570 $— $2,677,924 $10,477 ($8,194) $2,680,207 (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, 2020, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $2.4 trillion, $19.5 billion, and $14.2 billion, respectively. |
Table - Difference between Fair Value and UPB 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 debt of Freddie Mac held by third parties with a fair value of $245 million and $173 million and multifamily held-for-sale loan purchase commitments with a net fair value of $86 million and $157 million, as of March 31, 2021 and December 31, 2020, respectively. Table 17.7 - Difference between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected March 31, 2021 December 31, 2020 (In millions) Multifamily Held-For-Sale Loans Debt of Freddie Mac - Debt Securities of Consolidated Trusts Held by Third Parties Multifamily Held-For-Sale Loans Debt of Freddie Mac - Debt Securities of Consolidated Trusts Held by Third Parties Fair value $8,093 $1,915 $204 $14,199 $2,216 $203 UPB 7,884 1,896 200 13,400 2,189 200 Difference $209 $19 $4 $799 $27 $3 The table below presents the changes in fair value included in non-interest income (loss) in our condensed consolidated statements of comprehensive income (loss), related to items for which we have elected the fair value option. Table 17.8 - Changes in Fair Value Under the Fair Value Option Election 1Q 2021 1Q 2020 (In millions) Gains (Losses) Multifamily held-for-sale loans ($451) $638 Multifamily held-for-sale loan purchase commitments 195 532 Debt of Freddie Mac - long term 8 548 Debt securities of consolidated trusts held by third parties (4) 4 |
Regulatory Capital (Tables)
Regulatory Capital (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Mortgage Banking [Abstract] | |
Table - Net Worth and Minimum Capital | The table below summarizes our net worth and estimated core capital and minimum capital levels reported to FHFA. Table 19.1 - Net Worth and Minimum Capital (In millions) March 31, 2021 December 31, 2020 GAAP net worth (deficit) $18,791 $16,413 Core capital (deficit) (1)(2) (54,111) (56,878) Less: Minimum capital (1) 23,068 22,694 Minimum capital surplus (deficit) (1) ($77,179) ($79,572) (1) Core capital and minimum capital figures are estimates and represent amounts submitted to FHFA. FHFA is the authoritative source for our regulatory capital. (2) Core capital excludes certain components of GAAP total equity (i.e., AOCI and senior preferred stock) as these items do not meet the statutory definition of core capital. |
Conservatorship and Related M_2
Conservatorship and Related Matters (Details) - USD ($) | 3 Months Ended | 78 Months Ended | ||||
Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2021 | Dec. 31, 2023 | Jun. 30, 2022 | Jun. 30, 2021 | |
Related Party Transaction [Line Items] | ||||||
Senior preferred stock | $ 89,061,000,000 | $ 86,539,000,000 | $ 89,061,000,000 | |||
Net worth increase | 2,400,000,000 | 2,500,000,000 | ||||
Maximum limit of the UPB of mortgage-related investments portfolio | 225,000,000,000 | 225,000,000,000 | ||||
Mortgage Related Investments Portfolio Limit Under Purchase Agreement | 250,000,000,000 | 250,000,000,000 | ||||
UPB of mortgage-related investments portfolio | 181,500,000,000 | 181,500,000,000 | ||||
Ten percent of notional amount of IO securities | 7,000,000,000 | 7,000,000,000 | ||||
Funding available under Purchase Agreement | 140,200,000,000 | 140,200,000,000 | ||||
CSS | ||||||
Related Party Transaction [Line Items] | ||||||
Payments to Acquire Equity Method Investments | 27,000,000 | 685,000,000 | ||||
Equity Method Investments | $ 20,000,000 | $ 16,000,000 | $ 20,000,000 | |||
Subsequent Event [Member] | ||||||
Related Party Transaction [Line Items] | ||||||
Senior preferred stock | $ 91,400,000,000 | |||||
Mortgage Related Investments Portfolio Limit Under Purchase Agreement | $ 225,000,000,000 | |||||
Agency MBS Maximum | $ 20,000,000,000 | 50,000,000,000 | ||||
CMO Maximum | $ 0 |
Securitization Activities and_3
Securitization Activities and Consolidation (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Variable Interest Entity [Line Items] | ||
Investments in securities, at fair value | $ 61,880 | $ 59,825 |
Total assets | 2,741,874 | 2,627,415 |
Fannie Mae securities backing Freddie Mac resecuritization trust | ||
Variable Interest Entity [Line Items] | ||
Maximum Exposure | 93,726 | 85,841 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Investments in securities, at fair value | 24,900 | 28,500 |
Variable Interest Entity, Not Primary Beneficiary | Fannie Mae securities backing Freddie Mac resecuritization trust | ||
Variable Interest Entity [Line Items] | ||
Maximum Exposure | 92,300 | 85,300 |
Variable Interest Entity, Not Primary Beneficiary | K Certificates | Multifamily | ||
Variable Interest Entity [Line Items] | ||
Maximum Exposure to Loss | 265,200 | 253,000 |
Total assets | 304,300 | 291,300 |
Variable Interest Entity, Not Primary Beneficiary | SB Certificate | Multifamily | ||
Variable Interest Entity [Line Items] | ||
Maximum Exposure to Loss | 21,800 | 21,500 |
Total assets | 24,200 | 23,900 |
Variable Interest Entity, Not Primary Beneficiary | Senior Subordinate Securitization Products | Single Family Guarantee | ||
Variable Interest Entity [Line Items] | ||
Maximum Exposure to Loss | 26,900 | 28,100 |
Total assets | 32,500 | 33,700 |
Variable Interest Entity, Not Primary Beneficiary | Other Securitization Product | Single Family Guarantee | ||
Variable Interest Entity [Line Items] | ||
Maximum Exposure to Loss | 1,600 | 1,700 |
Total assets | 1,600 | 1,800 |
Variable Interest Entity, Not Primary Beneficiary | Other Securitization Product | Multifamily | ||
Variable Interest Entity [Line Items] | ||
Maximum Exposure to Loss | 15,000 | 14,900 |
Total assets | 17,000 | 16,900 |
Variable Interest Entity, Not Primary Beneficiary | STACR | Single Family Guarantee | ||
Variable Interest Entity [Line Items] | ||
Maximum Exposure to Loss | 350 | 420 |
Total assets | $ 19,700 | $ 17,300 |
Securitization Activities and_4
Securitization Activities and Consolidation - Consolidated VIEs (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | Dec. 31, 2019 |
Variable Interest Entity [Line Items] | ||||
Cash and cash equivalents | $ 100,979 | $ 23,889 | $ 24,324 | $ 5,189 |
Restricted cash and cash equivalents | 61,962 | 17,379 | ||
Securities purchased under agreement to resell | 15,140 | 105,003 | ||
Investments in securities, at fair value | 61,880 | 59,825 | ||
Mortgage loans held-for-investment | 2,482,972 | 2,350,236 | ||
Accrued interest receivable, net | 7,662 | 7,754 | ||
Other assets | 39,415 | 39,294 | ||
Total assets | 2,741,874 | 2,627,415 | ||
Accrued interest payable | 5,954 | 6,210 | ||
Debt | 2,704,270 | 2,592,546 | ||
Other Liabilities | 11,909 | 11,292 | ||
Total liabilities | 2,723,083 | 2,611,002 | ||
Held by consolidated trusts | ||||
Variable Interest Entity [Line Items] | ||||
Cash and cash equivalents | 61,857 | 17,290 | ||
Restricted cash and cash equivalents | 61,856 | 17,289 | ||
Securities purchased under agreement to resell | 0 | 38,487 | ||
Investments in securities, at fair value | 1,383 | 591 | ||
Mortgage loans held-for-investment | 2,395,707 | 2,273,347 | ||
Accrued interest receivable, net | 7,056 | 7,134 | ||
Other assets | 19,832 | 20,480 | ||
Total assets | 2,485,835 | 2,357,329 | ||
Accrued interest payable | 5,591 | 5,610 | ||
Debt | 2,445,829 | 2,308,176 | ||
Other Liabilities | 1 | 0 | ||
Total liabilities | $ 2,451,421 | $ 2,313,786 |
Securitization Activities and_5
Securitization Activities and Consolidation - Non-Consolidated VIEs (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Assets [Abstract] | ||
Investments in securities, at fair value | $ 61,880 | $ 59,825 |
Accrued interest receivable, net | 7,662 | 7,754 |
Derivative Assets, net | 2,085 | 1,205 |
Other assets | 39,415 | 39,294 |
Liabilities [Abstract] | ||
Derivative Liabilities, net | 950 | 954 |
Other Liabilities | 11,909 | 11,292 |
Total assets | 2,741,874 | 2,627,415 |
Variable Interest Entity, Not Primary Beneficiary | ||
Assets [Abstract] | ||
Investments in securities, at fair value | 24,898 | 28,459 |
Accrued interest receivable, net | 232 | 239 |
Derivative Assets, net | 29 | 61 |
Other assets | 5,651 | 5,553 |
Liabilities [Abstract] | ||
Debt | 89 | 0 |
Derivative Liabilities, net | 72 | 47 |
Other Liabilities | $ 4,739 | $ 4,515 |
Mortgage Loans and Loan Loss _3
Mortgage Loans and Loan Loss Reserves (Details) $ in Millions | 3 Months Ended | |
Mar. 31, 2021USD ($)numberofloans | Mar. 31, 2020USD ($)numberofloans | |
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
Noncash acquisition, mortgage loans held-for-investment acquired in exchange for issuance of debt securities of consolidated trusts | $ 139,500 | $ 73,200 |
Transfers from advances to lenders to loans HFI | $ 52,500 | $ 15,600 |
Other loss mitigation activities | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
Financing Receivable, Troubled Debt Restructuring, Subsequent Default, Number of Contracts | numberofloans | 831 | 1,026 |
Financing Receivable, Troubled Debt Restructuring, Subsequent Default | $ 100 | $ 100 |
Single Family | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
Financing Receivable, Troubled Debt Restructuring, Subsequent Default, Number of Contracts | numberofloans | 1,335 | 2,816 |
Financing Receivable, Troubled Debt Restructuring, Subsequent Default | $ 229 | $ 477 |
Multifamily | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
Financing Receivable, Troubled Debt Restructuring, Subsequent Default, Number of Contracts | numberofloans | 0 | 0 |
Financing Receivable, Troubled Debt Restructuring, Subsequent Default | $ 0 | $ 0 |
Mortgage Loans and Loan Loss _4
Mortgage Loans and Loan Loss Reserves - Mortgage Loans (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
UPB of mortgage loans - HFS | $ 26,300 | $ 34,491 |
Cost basis and fair value adjustments, net HFS | (1,385) | (839) |
Total held-for-sale loans, net | 24,915 | 33,652 |
UPB of mortgage loans - HFI | 2,426,719 | 2,293,499 |
Cost basis adjustment HFI | 61,583 | 62,469 |
Allowance for credit losses | (5,330) | (5,732) |
Total held-for-investment mortgage loans, net | 2,482,972 | 2,350,236 |
Total mortgage loans, net | 2,507,887 | 2,383,888 |
Single-family | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
UPB of mortgage loans - HFS | 10,850 | 10,702 |
Cost basis and fair value adjustments, net HFS | (1,592) | (1,637) |
Total held-for-sale loans, net | 9,258 | 9,065 |
UPB of mortgage loans - HFI | 2,403,981 | 2,271,576 |
Cost basis adjustment HFI | 61,527 | 62,415 |
Allowance for credit losses | (5,253) | (5,628) |
Total held-for-investment mortgage loans, net | 2,460,255 | 2,328,363 |
Total mortgage loans, net | 2,469,513 | 2,337,428 |
Multifamily | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
UPB of mortgage loans - HFS | 15,450 | 23,789 |
Cost basis and fair value adjustments, net HFS | 207 | 798 |
Total held-for-sale loans, net | 15,657 | 24,587 |
UPB of mortgage loans - HFI | 22,738 | 21,923 |
Cost basis adjustment HFI | 56 | 54 |
Allowance for credit losses | (77) | (104) |
Total held-for-investment mortgage loans, net | 22,717 | 21,873 |
Total mortgage loans, net | $ 38,374 | $ 46,460 |
Mortgage Loans and Loan Loss _5
Mortgage Loans and Loan Loss Reserves - Loans Purchased and Sold (Details) - USD ($) $ in Billions | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Single-family | Held-for-Investment | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Purchase | $ 360.6 | $ 137.7 |
Single-family | Held-for-Sale | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Sale | 0 | 2.2 |
Multifamily | Held-for-Investment | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Purchase | 1.6 | 1.2 |
Multifamily | Held-for-Sale | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Purchase | 12.3 | 8.2 |
Sale | $ 21.1 | $ 10.7 |
Mortgage Loans and Loan Loss _6
Mortgage Loans and Loan Loss Reserves Mortgage Loans and Loan Loss Reserves - Loan Reclassifications (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Financing Receivable, Allowance for Credit Loss, Writeoff | $ 27 | $ 79 |
Held-for-Sale | Single Family | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Mortgage Loans Unpaid Principal Balance Reclassified from HFS to HFI | 35 | 1 |
Allowance for Credit Losses Reversed or Established | 3 | 0 |
Valuation Allowance Established or Reversed | 0 | 0 |
Held-for-Sale | Multifamily | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Mortgage Loans Unpaid Principal Balance Reclassified from HFS to HFI | 9 | 482 |
Allowance for Credit Losses Reversed or Established | 0 | (1) |
Valuation Allowance Established or Reversed | 0 | 0 |
Held-for-Investment | Single Family | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Mortgage Loans Unpaid Principal Balance Reclassified from HFI to HFS | 501 | 2,637 |
Allowance for Credit Losses Reversed or Established | 7 | 214 |
Valuation Allowance Established or Reversed | 0 | 0 |
Held-for-Investment | Multifamily | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Mortgage Loans Unpaid Principal Balance Reclassified from HFI to HFS | 528 | 32 |
Allowance for Credit Losses Reversed or Established | 1 | 0 |
Valuation Allowance Established or Reversed | $ 0 | $ 0 |
Mortgage Loans and Loan Loss _7
Mortgage Loans and Loan Loss Reserves - Amortized Cost Basis of Held-for-Investment Loans on Nonaccrual (Details) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2021 | Mar. 31, 2020 | Jan. 01, 2021 | Jan. 01, 2020 | |
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Nonaccrual, Amortized Cost Basis | $ 23,164 | $ 6,220 | $ 13,677 | $ 6,383 |
Interest Income Recognized | 38 | 6 | ||
Single Family | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Nonaccrual, Amortized Cost Basis | 23,164 | 6,207 | 13,677 | 6,370 |
Interest Income Recognized | 38 | 6 | ||
Multifamily | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Nonaccrual, Amortized Cost Basis | 0 | 13 | 0 | 13 |
Interest Income Recognized | 0 | 0 | ||
Single-family 20 and 30-year or more, amortizing fixed-rate | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Nonaccrual, Amortized Cost Basis | 21,137 | 5,494 | 12,151 | 5,598 |
Interest Income Recognized | 36 | 4 | ||
Single-family 15-year amortizing fixed-rate | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Nonaccrual, Amortized Cost Basis | 1,031 | 241 | 696 | 242 |
Interest Income Recognized | 1 | 0 | ||
Single-family Adjustable-rate | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Nonaccrual, Amortized Cost Basis | 296 | 83 | 193 | 91 |
Interest Income Recognized | 0 | 0 | ||
Single-family Alt-A, interest-only, and option ARM | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Nonaccrual, Amortized Cost Basis | 700 | 389 | $ 637 | $ 439 |
Interest Income Recognized | $ 1 | $ 2 |
Mortgage Loans and Loan Loss _8
Mortgage Loans and Loan Loss Reserves Mortgage Loans and Loan Loss Reserves - Accrued Interest Receivable and Related Charge-Offs (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2021 | Mar. 31, 2020 | Dec. 31, 2020 | |
Single Family | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Interest Receivable | $ 7,229 | $ 7,292 | |
Accrued Interest Receivable Related Charge-Offs | (166) | $ (29) | |
Multifamily | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Interest Receivable | 120 | $ 139 | |
Accrued Interest Receivable Related Charge-Offs | $ 0 | $ 0 |
Mortgage Loans and Loan Loss _9
Mortgage Loans and Loan Loss Reserves - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratios and Vintage (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Single-Family serious delinquency rate | 2.34% | 2.64% |
Financing Receivable 1 | $ 2,488,302 | $ 2,355,968 |
Single Family 20 And 30 Year Or More Amortizing Fixed Rate [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 157,307 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 215,354 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 893,259 | 847,099 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 206,836 | 247,847 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 89,511 | 106,222 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 107,627 | 126,125 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 564,609 | 480,973 |
Financing Receivable 1 | 2,077,196 | 1,965,573 |
Single Family 15 Year Amortizing Fixed Rate [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 30,143 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 37,145 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 159,737 | 154,747 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 26,123 | 30,322 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 10,512 | 12,129 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 18,434 | 20,628 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 103,738 | 84,001 |
Financing Receivable 1 | 355,689 | 331,970 |
Single family Adjustable Rate [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 2,373 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 70 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 2,789 | 3,062 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 1,520 | 1,852 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 1,051 | 1,302 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 2,937 | 3,519 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 14,098 | 13,530 |
Financing Receivable 1 | 22,465 | 25,638 |
Single Family Alta Interest Only And Option Arm [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 0 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 0 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 10,158 | 10,810 |
Financing Receivable 1 | 10,158 | 10,810 |
Single Family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 189,823 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 252,569 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 1,055,785 | 1,004,908 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 234,479 | 280,021 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 101,074 | 119,653 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 128,998 | 150,272 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 692,603 | 589,314 |
Financing Receivable 1 | 2,465,508 | 2,333,991 |
Debt-to-Value Ratio, Less than 60 Perent | Single Family 20 And 30 Year Or More Amortizing Fixed Rate [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 115,978 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 51,100 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 243,582 | 203,333 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 53,075 | 52,820 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 33,730 | 33,139 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 63,245 | 64,834 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 498,835 | 431,406 |
Financing Receivable 1 | 943,567 | 901,510 |
Debt-to-Value Ratio, Less than 60 Perent | Single Family 15 Year Amortizing Fixed Rate [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 29,916 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 18,098 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 90,471 | 78,269 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 17,571 | 17,753 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 9,263 | 9,914 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 17,916 | 19,650 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 103,499 | 83,842 |
Financing Receivable 1 | 256,818 | 239,344 |
Debt-to-Value Ratio, Less than 60 Perent | Single family Adjustable Rate [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 2,042 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 29 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 1,422 | 1,427 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 772 | 850 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 655 | 731 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 2,205 | 2,429 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 13,493 | 12,993 |
Financing Receivable 1 | 18,576 | 20,472 |
Debt-to-Value Ratio, Less than 60 Perent | Single Family Alta Interest Only And Option Arm [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 0 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 0 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 8,361 | 8,620 |
Financing Receivable 1 | 8,361 | 8,620 |
Debt-to-Value Ratio, Less than 60 Perent | Single Family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 147,936 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 69,227 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 335,475 | 283,029 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 71,418 | 71,423 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 43,648 | 43,784 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 83,366 | 86,913 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 624,188 | 536,861 |
Financing Receivable 1 | 1,227,322 | 1,169,946 |
Less Than Or Equal To 80 Estimated Current LTV Ratio | Single Family 20 And 30 Year Or More Amortizing Fixed Rate [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 40,614 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 112,096 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 466,621 | 437,107 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 125,253 | 141,094 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 51,535 | 64,236 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 43,041 | 59,110 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 61,433 | 44,636 |
Financing Receivable 1 | 859,979 | 786,797 |
Less Than Or Equal To 80 Estimated Current LTV Ratio | Single Family 15 Year Amortizing Fixed Rate [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 215 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 16,388 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 64,103 | 67,904 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 8,417 | 12,169 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 1,237 | 2,195 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 506 | 961 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 211 | 135 |
Financing Receivable 1 | 90,862 | 83,579 |
Less Than Or Equal To 80 Estimated Current LTV Ratio | Single family Adjustable Rate [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 329 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 34 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 1,221 | 1,403 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 692 | 877 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 382 | 537 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 715 | 1,061 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 597 | 528 |
Financing Receivable 1 | 3,641 | 4,735 |
Less Than Or Equal To 80 Estimated Current LTV Ratio | Single Family Alta Interest Only And Option Arm [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 0 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 0 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 1,497 | 1,818 |
Financing Receivable 1 | 1,497 | 1,818 |
Less Than Or Equal To 80 Estimated Current LTV Ratio | Single Family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 41,158 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 128,518 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 531,945 | 506,414 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 134,362 | 154,140 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 53,154 | 66,968 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 44,262 | 61,132 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 63,738 | 47,117 |
Financing Receivable 1 | 955,979 | 876,929 |
Greater Than 80 Through 100 Estimated Current LTV Ratio | Single Family 20 And 30 Year Or More Amortizing Fixed Rate [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 654 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 52,066 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 182,963 | 206,457 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 28,503 | 53,926 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 4,226 | 8,822 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 1,292 | 2,117 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 3,529 | 3,983 |
Financing Receivable 1 | 272,579 | 275,959 |
Greater Than 80 Through 100 Estimated Current LTV Ratio | Single Family 15 Year Amortizing Fixed Rate [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 9 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 2,650 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 5,156 | 8,553 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 135 | 400 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 10 | 17 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 9 | 12 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 20 | 17 |
Financing Receivable 1 | 7,980 | 9,008 |
Greater Than 80 Through 100 Estimated Current LTV Ratio | Single family Adjustable Rate [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 2 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 7 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 146 | 232 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 56 | 125 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 14 | 34 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 17 | 29 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 7 | 8 |
Financing Receivable 1 | 247 | 430 |
Greater Than 80 Through 100 Estimated Current LTV Ratio | Single Family Alta Interest Only And Option Arm [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 0 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 0 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 252 | 314 |
Financing Receivable 1 | 252 | 314 |
Greater Than 80 Through 100 Estimated Current LTV Ratio | Single Family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 665 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 54,723 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 188,265 | 215,242 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 28,694 | 54,451 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 4,250 | 8,873 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 1,318 | 2,158 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 3,808 | 4,322 |
Financing Receivable 1 | 281,058 | 285,711 |
Greater Than 100 Loan To Value Ratio [Member] | Single Family 20 And 30 Year Or More Amortizing Fixed Rate [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 61 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 92 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 93 | 202 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 5 | 7 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 20 | 25 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 49 | 64 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 812 | 948 |
Financing Receivable 1 | 1,071 | 1,307 |
Greater Than 100 Loan To Value Ratio [Member] | Single Family 15 Year Amortizing Fixed Rate [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 3 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 9 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 7 | 21 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 2 | 3 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 3 | 5 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 8 | 7 |
Financing Receivable 1 | 29 | 39 |
Greater Than 100 Loan To Value Ratio [Member] | Single family Adjustable Rate [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 0 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 0 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 1 | 1 |
Financing Receivable 1 | 1 | 1 |
Greater Than 100 Loan To Value Ratio [Member] | Single Family Alta Interest Only And Option Arm [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 0 | |
Financing Receivable, Year One, Originated, Current Fiscal Year | 0 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 48 | 58 |
Financing Receivable 1 | $ 48 | 58 |
Greater Than 100 Loan To Value Ratio [Member] | Single Family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | $ 64 | |
Single-Family serious delinquency rate | 10.75% | 11.17% |
Financing Receivable, Year One, Originated, Current Fiscal Year | $ 101 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 100 | $ 223 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 5 | 7 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 22 | 28 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 52 | 69 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 869 | 1,014 |
Financing Receivable 1 | $ 1,149 | $ 1,405 |
Mortgage Loans and Loan Loss_10
Mortgage Loans and Loan Loss Reserves - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator by Vintage (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Amortized Cost Basis of held-for-investment loans | $ 2,488,302 | $ 2,355,968 |
Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 438 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 8,169 | 7,486 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 6,781 | 7,015 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 1,160 | 1,196 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 669 | 763 |
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 598 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 3,362 | 2,895 |
Financing Receivable, Revolving Loans Converted to Term Loans | 2,215 | 2,024 |
Amortized Cost Basis of held-for-investment loans | 22,794 | 21,977 |
Pass | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 438 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 8,169 | 7,486 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 6,258 | 6,491 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 1,160 | 1,075 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 656 | 722 |
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 590 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 3,191 | 2,715 |
Financing Receivable, Revolving Loans Converted to Term Loans | 2,215 | 2,024 |
Amortized Cost Basis of held-for-investment loans | 22,087 | 21,103 |
Special Mention | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 0 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 500 | 524 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | 115 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 8 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 107 | 108 |
Financing Receivable, Revolving Loans Converted to Term Loans | 0 | 0 |
Amortized Cost Basis of held-for-investment loans | 607 | 755 |
Substandard | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 0 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 23 | 0 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | 6 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 13 | 41 |
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 0 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 64 | 72 |
Financing Receivable, Revolving Loans Converted to Term Loans | 0 | 0 |
Amortized Cost Basis of held-for-investment loans | 100 | 119 |
Doubtful | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 0 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Six, Originated, Five Years before Current Fiscal Year | 0 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Revolving Loans Converted to Term Loans | 0 | 0 |
Amortized Cost Basis of held-for-investment loans | $ 0 | $ 0 |
Mortgage Loans and Loan Loss_11
Mortgage Loans and Loan Loss Reserves - Amortized Cost Basis of Held-for-Investment Loans by Payment Status (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Financing Receivable, Past Due [Line Items] | ||
Current | $ 2,419,828 | $ 2,274,319 |
Total amortized cost basis | 2,488,302 | 2,355,968 |
Non-Accrual with no allowance | 951 | 779 |
Mortgage Loans in Process of Foreclosure, Amount | 900 | 1,000 |
Loans compliant with forbearance agreement | 600 | 700 |
Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Current | 2,015,453 | 1,891,981 |
Total amortized cost basis | 2,077,196 | 1,965,573 |
Non-Accrual with no allowance | 791 | 648 |
Three months or more past due and accruing | 25,654 | 40,162 |
Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Current | 351,388 | 326,651 |
Total amortized cost basis | 355,689 | 331,970 |
Non-Accrual with no allowance | 11 | 11 |
Three months or more past due and accruing | 1,907 | 2,723 |
Single-family Adjustable-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Current | 21,474 | 24,483 |
Total amortized cost basis | 22,465 | 25,638 |
Non-Accrual with no allowance | 10 | 5 |
Three months or more past due and accruing | 464 | 690 |
Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Past Due [Line Items] | ||
Current | 8,725 | 9,227 |
Total amortized cost basis | 10,158 | 10,810 |
Non-Accrual with no allowance | 139 | 115 |
Three months or more past due and accruing | 376 | 538 |
Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Current | 2,397,040 | 2,252,342 |
Total amortized cost basis | 2,465,508 | 2,333,991 |
Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Current | 22,788 | 21,977 |
Total amortized cost basis | 22,794 | 21,977 |
Non-Accrual with no allowance | 0 | 0 |
Three months or more past due and accruing | 0 | 0 |
One month past due | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 12,608 | 17,721 |
One month past due | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 11,184 | 15,798 |
One month past due | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 1,024 | 1,439 |
One month past due | Single-family Adjustable-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 151 | 192 |
One month past due | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 243 | 292 |
One month past due | Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 12,602 | 17,721 |
One month past due | Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 6 | 0 |
Two months past due | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 4,670 | 6,579 |
Two months past due | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 4,152 | 5,941 |
Two months past due | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 309 | 429 |
Two months past due | Single-family Adjustable-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 80 | 79 |
Two months past due | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 129 | 130 |
Two months past due | Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 4,670 | 6,579 |
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 | 51,196 | 57,349 |
Three months or more past due and accruing | 28,401 | 44,113 |
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 | 46,407 | 51,853 |
Three months or more past due or in foreclosure | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 2,968 | 3,451 |
Three months or more past due or in foreclosure | Single-family Adjustable-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 760 | 884 |
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 | 1,061 | 1,161 |
Three months or more past due or in foreclosure | Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 51,196 | 57,349 |
Non-Accrual with no allowance | 951 | 779 |
Three months or more past due and accruing | 28,401 | 44,113 |
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_12
Mortgage Loans and Loan Loss Reserves Single-Family TDR Modification Metrics (Details) - Single Family | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Interest Rate Reduction And Term Extension Percentage Of Completed Modifications | 15.00% | 14.00% |
Average Interest Rate Reduction Percentage Of Completed Modifications | 0.40% | 0.30% |
Principal Forebearance And Interest Rate Reduction And Term Extension Percentage Of Completed Modifications | 34.00% | 19.00% |
Average Term Extension Number Of Months Of Completed Modifications | 153 months | 187 months |
Mortgage Loans and Loan Loss_13
Mortgage Loans and Loan Loss Reserves - TDR Activity (Details) $ in Millions | 3 Months Ended | |
Mar. 31, 2021USD ($)numberofloans | Mar. 31, 2020USD ($)numberofloans | |
Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Number of Loans | numberofloans | 3,782 | 6,432 |
Post TDR Amortized Cost Basis | $ 671 | $ 1,127 |
Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Number of Loans | numberofloans | 472 | 729 |
Post TDR Amortized Cost Basis | $ 47 | $ 72 |
Single-family Adjustable-rate | ||
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Number of Loans | numberofloans | 48 | 97 |
Post TDR Amortized Cost Basis | $ 9 | $ 17 |
Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Number of Loans | numberofloans | 151 | 166 |
Post TDR Amortized Cost Basis | $ 19 | $ 24 |
Single-family | ||
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Number of Loans | numberofloans | 4,453 | 7,424 |
Post TDR Amortized Cost Basis | $ 746 | $ 1,240 |
Pre-TDR Amortized Cost Basis | $ 700 | $ 1,200 |
Multifamily | ||
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Number of Loans | numberofloans | 0 | 0 |
Post TDR Amortized Cost Basis | $ 0 | $ 0 |
Mortgage Loans and Loan Loss_14
Mortgage Loans and Loan Loss Reserves - Payment Defaults of Completed TDR Modifications (Details) $ in Millions | 3 Months Ended | |
Mar. 31, 2021USD ($)numberofloans | Mar. 31, 2020USD ($)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 | 1,131 | 2,504 |
Post-TDR Amortized Cost Basis, Modifications, Subsequent Default | $ | $ 198 | $ 427 |
Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Modifications and Other Loss Mitigation Activities | ||
Number of Loans, Modifications, Subsequent Default | numberofloans | 62 | 119 |
Post-TDR Amortized Cost Basis, Modifications, Subsequent Default | $ | $ 7 | $ 14 |
Single-family Adjustable-rate | ||
Financing Receivable, Modifications and Other Loss Mitigation Activities | ||
Number of Loans, Modifications, Subsequent Default | numberofloans | 15 | 29 |
Post-TDR Amortized Cost Basis, Modifications, Subsequent Default | $ | $ 3 | $ 4 |
Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Modifications and Other Loss Mitigation Activities | ||
Number of Loans, Modifications, Subsequent Default | numberofloans | 127 | 164 |
Post-TDR Amortized Cost Basis, Modifications, Subsequent Default | $ | $ 21 | $ 32 |
Single-family | ||
Financing Receivable, Modifications and Other Loss Mitigation Activities | ||
Number of Loans, Modifications, Subsequent Default | numberofloans | 1,335 | 2,816 |
Post-TDR Amortized Cost Basis, Modifications, Subsequent Default | $ | $ 229 | $ 477 |
Multifamily | ||
Financing Receivable, Modifications and Other Loss Mitigation Activities | ||
Number of Loans, Modifications, Subsequent Default | numberofloans | 0 | 0 |
Post-TDR Amortized Cost Basis, Modifications, Subsequent Default | $ | $ 0 | $ 0 |
Guarantees and Other Off-Bala_3
Guarantees and Other Off-Balance Sheet Credit Exposures (Details) - USD ($) $ in Billions | Mar. 31, 2021 | Dec. 31, 2020 |
Guarantor Obligations [Line Items] | ||
Notional Of off-Balance Sheet Credit Exposure | $ 14.8 | $ 15.4 |
MF purchase commitments which has no allowance | $ 5.2 | $ 5.5 |
Financial Guarantees (Details)
Financial Guarantees (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2021 | Dec. 31, 2020 | |
Payment Guarantee | ||
Guarantor Obligations [Line Items] | ||
Maximum Exposure | $ 62,729 | $ 47,703 |
Recognized Liability | $ 1,796 | $ 794 |
Maximum Remaining Term | 30 years | 30 years |
Fannie Mae securities backing Freddie Mac resecuritization trust | ||
Guarantor Obligations [Line Items] | ||
Maximum Exposure | $ 93,726 | $ 85,841 |
Recognized Liability | $ 0 | $ 0 |
Maximum Remaining Term | 40 years | 41 years |
Single-family | ||
Guarantor Obligations [Line Items] | ||
Maximum Exposure | $ 38,050 | $ 38,954 |
Recognized Liability | 601 | 594 |
Single-family | Securitization activity guarantees | ||
Guarantor Obligations [Line Items] | ||
Maximum Exposure | 28,466 | 29,739 |
Recognized Liability | $ 387 | $ 401 |
Maximum Remaining Term | 39 years | 39 years |
Single-family | Other mortgage-related guarantees | ||
Guarantor Obligations [Line Items] | ||
Maximum Exposure | $ 9,584 | $ 9,215 |
Recognized Liability | $ 214 | $ 193 |
Maximum Remaining Term | 30 years | 30 years |
Multifamily | ||
Guarantor Obligations [Line Items] | ||
Maximum Exposure | $ 310,121 | $ 298,055 |
Recognized Liability | 4,674 | 4,456 |
Multifamily | Securitization activity guarantees | ||
Guarantor Obligations [Line Items] | ||
Maximum Exposure | 299,878 | 287,334 |
Recognized Liability | $ 4,267 | $ 4,031 |
Maximum Remaining Term | 39 years | 39 years |
Multifamily | Other mortgage-related guarantees | ||
Guarantor Obligations [Line Items] | ||
Maximum Exposure | $ 10,243 | $ 10,721 |
Recognized Liability | $ 407 | $ 425 |
Maximum Remaining Term | 33 years | 33 years |
UPB of Unconsolidated Loans by
UPB of Unconsolidated Loans by Payment Status (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Guarantor Obligations [Line Items] | ||
Current | $ 389,136 | $ 376,801 |
One Month Past Due | 2,178 | 2,291 |
Two Months Past Due | 874 | 1,007 |
Three Months or More Past Due, or in Foreclosure | 4,470 | 4,479 |
Total | 396,658 | 384,578 |
UPB of loan-level payment status unavailable | 600 | 700 |
Loans in forbearance | 6,600 | |
Single Family | ||
Guarantor Obligations [Line Items] | ||
Current | 36,577 | 37,187 |
One Month Past Due | 2,123 | 2,204 |
Two Months Past Due | 811 | 945 |
Three Months or More Past Due, or in Foreclosure | 3,878 | 3,922 |
Total | 43,389 | 44,258 |
Multifamily | ||
Guarantor Obligations [Line Items] | ||
Current | 352,559 | 339,614 |
One Month Past Due | 55 | 87 |
Two Months Past Due | 63 | 62 |
Three Months or More Past Due, or in Foreclosure | 592 | 557 |
Total | $ 353,269 | $ 340,320 |
Investment Securities (Details)
Investment Securities (Details) $ in Millions | 3 Months Ended | ||
Mar. 31, 2021USD ($)numberofsecurities | Mar. 31, 2020USD ($) | Dec. 31, 2020USD ($) | |
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Allowance for Credit Loss | $ 0 | ||
Net unrealized gains (losses) on trading securities held at balance sheets date | $ (506) | $ 723 | |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value | 4,800 | ||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Fair Value | $ 1,700 | ||
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | numberofsecurities | 43 | ||
Investment Securities Acquired and PC Debt Issued via Non-Cash Transaction | $ 13,300 | $ 3,500 |
Investment Securities - Investm
Investment Securities - Investment Securities (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Investments, Debt and Equity Securities [Abstract] | ||
Trading securities | $ 54,289 | $ 44,458 |
Available-for-sale, at fair value | 7,591 | 15,367 |
Total fair value of investments in securities | $ 61,880 | $ 59,825 |
Investment Securities - Trading
Investment Securities - Trading Securities (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Trading Securities [Line Items] | ||
Trading, at fair value | $ 54,289 | $ 44,458 |
Mortage-related securities | ||
Trading Securities [Line Items] | ||
Trading, at fair value | 23,016 | 17,505 |
Agency | ||
Trading Securities [Line Items] | ||
Trading, at fair value | 23,015 | 17,504 |
Non-agency | ||
Trading Securities [Line Items] | ||
Trading, at fair value | 1 | 1 |
Non-mortgage-related securities | ||
Trading Securities [Line Items] | ||
Trading, at fair value | $ 31,273 | $ 26,953 |
Investment Securities - Availab
Investment Securities - Available-For-Sale Securities (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 7,069 | $ 14,344 |
Gross Unrealized Gains | 528 | 1,027 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | (6) | (4) |
Debt Securities, Available-for-sale | 7,591 | 15,367 |
Accrued Interest Receivable | 20 | 40 |
Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | 6,267 | 13,514 |
Gross Unrealized Gains | 294 | 794 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | (6) | (4) |
Debt Securities, Available-for-sale | 6,555 | 14,304 |
Accrued Interest Receivable | 16 | 36 |
nonagencyother [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | 802 | 830 |
Gross Unrealized Gains | 234 | 233 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 0 |
Debt Securities, Available-for-sale | 1,036 | 1,063 |
Accrued Interest Receivable | $ 4 | $ 4 |
Investment Securities - Avail_2
Investment Securities - Available-For-Sale Securities in a Gross Unrealized Loss Position (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months Fair Value | $ 618 | $ 240 |
Less than 12 Months Gross Unrealized Losses | (3) | (2) |
12 Months or Greater Fair Value | 133 | 144 |
12 Months or Greater Gross Unrealized Losses | (3) | (2) |
Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months Fair Value | 617 | 223 |
Less than 12 Months Gross Unrealized Losses | (3) | (2) |
12 Months or Greater Fair Value | 117 | 144 |
12 Months or Greater Gross Unrealized Losses | (3) | (2) |
Non-agency and other | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months Fair Value | 1 | 17 |
Less than 12 Months Gross Unrealized Losses | 0 | 0 |
12 Months or Greater Fair Value | 16 | 0 |
12 Months or Greater Gross Unrealized Losses | $ 0 | $ 0 |
Investment Securities - Gross R
Investment Securities - Gross Realized Gains and Gross Realized Losses on Sales of Available-For-Sale Securities (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | ||
Debt Securities, Available-for-sale, Realized Gain | $ 399 | $ 33 |
Gross realized losses | (31) | (23) |
Debt Securities, Available-for-sale, Realized Loss, Excluding Other-than-temporary Impairment | $ 368 | $ 10 |
Allowance for Credit Losses (De
Allowance for Credit Losses (Details) $ in Millions | Mar. 31, 2021USD ($) |
Financing Receivable, Allowance for Credit Loss [Line Items] | |
Concentration Risk, Unpaid Principal Balance | $ 438,000 |
Percent of Portfolio | 22.00% |
Detail of the Allowance for Cre
Detail of the Allowance for Credit Losses (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Charge-offs | $ (27) | $ (79) |
Ending balance | 6,280 | 6,483 |
Allowance For Credit Loss | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Beginning Balance | 6,553 | 5,302 |
Provision (benefit) for credit losses | (196) | 1,233 |
Charge-offs | (238) | (164) |
Recoveries collected | 46 | 88 |
Other | 115 | 24 |
Held-for-Investment | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Ending balance | 5,330 | 6,121 |
Allowance For Pre-Foreclosure Costs | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Ending balance | 615 | 254 |
Allowance For Accrued Interest Receivable | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Ending balance | 213 | 0 |
Off-balance sheet credit exposures | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Ending balance | 122 | 108 |
Single Family | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Ending balance | 6,130 | 6,347 |
Single Family | Allowance For Credit Loss | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Beginning Balance | 6,353 | 5,233 |
Provision (benefit) for credit losses | (146) | 1,166 |
Charge-offs | (238) | (164) |
Recoveries collected | 46 | 88 |
Other | 115 | 24 |
Single Family | Held-for-Investment | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Ending balance | 5,253 | 6,044 |
Single Family | Allowance For Pre-Foreclosure Costs | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Ending balance | 615 | 254 |
Single Family | Allowance For Accrued Interest Receivable | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Ending balance | 213 | 0 |
Single Family | Off-balance sheet credit exposures | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Ending balance | 49 | 49 |
Multifamily | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Ending balance | 150 | 136 |
Multifamily | Allowance For Credit Loss | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Beginning Balance | 200 | 69 |
Provision (benefit) for credit losses | (50) | 67 |
Charge-offs | 0 | 0 |
Recoveries collected | 0 | 0 |
Other | 0 | 0 |
Multifamily | Held-for-Investment | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Ending balance | 77 | 77 |
Multifamily | Allowance For Pre-Foreclosure Costs | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Ending balance | 0 | 0 |
Multifamily | Allowance For Accrued Interest Receivable | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Ending balance | 0 | 0 |
Multifamily | Off-balance sheet credit exposures | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Ending balance | $ 73 | $ 59 |
Credit Enhancements Receivables
Credit Enhancements Receivables (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Credit Enhancement [Line Items] | ||
Credit Enhancement Recovery Receivables | $ 406 | $ 677 |
Total Credit Enhancement Assets | 488 | 751 |
Mortgage Insurers | ||
Credit Enhancement [Line Items] | ||
Receivables Outstanding, Net of reserves, from Mortgage Insurers | 82 | 74 |
Receivables Outstanding From Mortgage Insurers | $ 433 | $ 444 |
Credit Enhancements - Single Fa
Credit Enhancements - Single Family Credit Enhancements (Details) - SF Mortgage Loan Credit Enhancements - Single-family - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Credit Enhancement [Line Items] | ||
Maximum coverage | $ 175,426 | $ 169,608 |
Primary mortgage insurance | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 485,593 | 472,881 |
Maximum coverage | 119,111 | 116,973 |
STACR Trust | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 589,150 | 488,251 |
Maximum coverage | 19,728 | 17,288 |
STACR Debt | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 316,378 | 365,482 |
Maximum coverage | 11,954 | 12,377 |
Insurance/reinsurance | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 975,289 | 876,815 |
Maximum coverage | 13,645 | 11,586 |
Non-consolidated VIE subordination | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 27,774 | 29,039 |
Maximum coverage | 5,686 | 5,718 |
Consolidated VIE subordination | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 7,203 | 9,035 |
Maximum coverage | 404 | 464 |
Lender-Risk Sharing | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 5,177 | 5,731 |
Maximum coverage | 4,587 | 4,831 |
Other | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 314 | 374 |
Maximum coverage | $ 311 | $ 371 |
Credit Enhancements -Multifamil
Credit Enhancements -Multifamily Credit Enhancements (Details) - MF Mortgage Loans Credit Enhancements - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Credit Enhancement [Line Items] | ||
Maximum coverage | $ 45,068 | $ 44,064 |
Multifamily | Non-consolidated VIE subordination | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 298,965 | 286,199 |
Maximum coverage | 43,450 | 42,712 |
Multifamily | Consolidated VIE subordination | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 1,800 | 1,800 |
Maximum coverage | 200 | 200 |
Multifamily | Lender-Risk Sharing | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 3,127 | 3,321 |
Maximum coverage | 597 | 598 |
Multifamily | Insurance/reinsurance | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 5,366 | 5,383 |
Maximum coverage | 190 | 190 |
Multifamily | SCR Trust Notes | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 4,801 | 0 |
Maximum coverage | 273 | 0 |
Multifamily | SCR debt notes | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 2,149 | 2,217 |
Maximum coverage | 107 | 111 |
Multifamily | Other | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 251 | 253 |
Maximum coverage | $ 251 | $ 253 |
Debt Text (Details)
Debt Text (Details) $ in Billions | Mar. 31, 2021USD ($) |
Debt Instrument [Line Items] | |
Debt cap under Purchase Agreement for the current year | $ 300 |
Debt Cap Aggregate indebtedness | $ 262.7 |
Debt - Total Debt (Details)
Debt - Total Debt (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Debt Net [Abstract] | ||
Total Debt | $ 2,704,270 | $ 2,592,546 |
Held by consolidated trusts | ||
Debt Net [Abstract] | ||
Total Debt | 2,445,829 | 2,308,176 |
Held by Freddie Mac | ||
Debt Net [Abstract] | ||
Short-term Debt Balance Net | 10,910 | 4,955 |
Long-term Debt Balance, Net | 247,531 | 279,415 |
Total Debt | $ 258,441 | $ 284,370 |
Debt - Debt Securities of Conso
Debt - Debt Securities of Consolidated Trusts Held by Third Parties (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Debt | $ 2,704,270 | $ 2,592,546 |
Debt instrument recorded at fair value | 2,364 | 2,592 |
Held by Freddie Mac | ||
Debt Instrument [Line Items] | ||
UPB | 2,376,691 | 2,240,602 |
Debt | $ 2,445,829 | $ 2,308,176 |
Effective rate for debt securities of consolidated trusts held by third parties | 1.58% | 1.76% |
Debt instrument recorded at fair value | $ 262 | $ 205 |
Held by Freddie Mac | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | 2,362,723 | 2,228,114 |
Debt | 2,431,692 | 2,295,537 |
Held by Freddie Mac | Multifamily | ||
Debt Instrument [Line Items] | ||
UPB | 13,968 | 12,488 |
Debt | $ 14,137 | $ 12,639 |
Weighted Average Coupon | 2.34% | 2.43% |
Held by Freddie Mac | Single-family 30-year or more, fixed-rate | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 1,896,894 | $ 1,799,065 |
Debt | $ 1,953,618 | $ 1,855,438 |
Weighted Average Coupon | 2.89% | 3.07% |
Held by Freddie Mac | Single-family 20-year fixed-rate | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 107,510 | $ 97,520 |
Debt | $ 110,680 | $ 100,498 |
Weighted Average Coupon | 2.67% | 2.84% |
Held by Freddie Mac | Single-family 15-year fixed-rate | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 332,355 | $ 303,142 |
Debt | $ 340,820 | $ 310,612 |
Weighted Average Coupon | 2.34% | 2.46% |
Held by Freddie Mac | Single-family Adjustable-rate | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 21,801 | $ 23,964 |
Debt | $ 22,280 | $ 24,484 |
Weighted Average Coupon | 2.64% | 2.76% |
Held by Freddie Mac | Single-family Interest-only | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 3,404 | $ 3,671 |
Debt | $ 3,520 | $ 3,736 |
Weighted Average Coupon | 2.85% | 3.15% |
Held by Freddie Mac | FHA/VA | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 759 | $ 752 |
Debt | $ 774 | $ 769 |
Weighted Average Coupon | 4.02% | 4.04% |
Debt - Total Debt of Freddie Ma
Debt - Total Debt of Freddie Mac (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Long-term Debt [Abstract] | ||
Debt instrument recorded at fair value | $ 2,364 | $ 2,592 |
Held by Freddie Mac | ||
Short-term Debt [Abstract] | ||
Short-term debt par value | 18,840 | 4,955 |
Short-term debt carrying amount | $ 18,840 | $ 4,955 |
Short-term debt weighted average effective rate | 0.00% | 1.31% |
Long-term Debt [Abstract] | ||
Long-term debt par value | $ 251,548 | $ 281,386 |
Debt | $ 247,531 | $ 279,415 |
Other long-term debt weighted average effective rate | 1.09% | 1.09% |
Total par value | $ 270,388 | $ 286,341 |
Total debt of Freddie Mac | 266,371 | 284,370 |
Debt instrument recorded at fair value | 2,100 | 2,400 |
Balance Net Of Callable Long Term Debt | 112,400 | 124,000 |
Held by Freddie Mac | Long-term debt | Long-term debt - 2021 | ||
Long-term Debt [Abstract] | ||
Long-term debt par value | 35,488 | 43,422 |
Debt | $ 35,484 | $ 43,417 |
Other long-term debt weighted average effective rate | 0.71% | 0.95% |
Held by Freddie Mac | Long-term debt | Long-term debt - 2022 | ||
Long-term Debt [Abstract] | ||
Long-term debt par value | $ 59,002 | $ 61,071 |
Debt | $ 59,022 | $ 61,092 |
Other long-term debt weighted average effective rate | 0.69% | 0.68% |
Held by Freddie Mac | Long-term debt | Long-term debt - 2023 | ||
Long-term Debt [Abstract] | ||
Long-term debt par value | $ 54,049 | $ 61,998 |
Debt | $ 53,980 | $ 61,920 |
Other long-term debt weighted average effective rate | 0.45% | 0.45% |
Held by Freddie Mac | Long-term debt | Long-term debt - 2024 | ||
Long-term Debt [Abstract] | ||
Long-term debt par value | $ 17,744 | $ 21,679 |
Debt | $ 17,719 | $ 21,651 |
Other long-term debt weighted average effective rate | 0.55% | 0.61% |
Held by Freddie Mac | Long-term debt | Long-term debt - 2025 | ||
Long-term Debt [Abstract] | ||
Long-term debt par value | $ 36,587 | $ 44,342 |
Debt | $ 36,207 | $ 43,944 |
Other long-term debt weighted average effective rate | 0.83% | 0.84% |
Held by Freddie Mac | Long-term debt | Long-term debt - Thereafter | ||
Long-term Debt [Abstract] | ||
Long-term debt par value | $ 36,617 | $ 36,386 |
Debt | $ 34,881 | $ 34,583 |
Other long-term debt weighted average effective rate | 2.62% | 2.64% |
Held by Freddie Mac | STACR and SCR debt | ||
Long-term Debt [Abstract] | ||
Long-term debt par value | $ 12,061 | $ 12,488 |
Debt | $ 11,888 | $ 12,342 |
Other long-term debt weighted average effective rate | 4.23% | 4.18% |
Held by Freddie Mac | Hedging-Related Basis Adjustments | ||
Long-term Debt [Abstract] | ||
Debt | $ (1,650) | $ 466 |
Held by Freddie Mac | Discount notes and Reference Bills | ||
Short-term Debt [Abstract] | ||
Short-term debt par value | 0 | 11 |
Short-term debt carrying amount | $ 0 | $ 11 |
Short-term debt weighted average effective rate | 0.00% | 0.69% |
Held by Freddie Mac | Medium-term notes | ||
Short-term Debt [Abstract] | ||
Short-term debt par value | $ 10,910 | $ 4,944 |
Short-term debt carrying amount | $ 10,910 | $ 4,944 |
Short-term debt weighted average effective rate | 0.03% | 1.31% |
Held by Freddie Mac | Securities Sold under Agreements to Repurchase | ||
Short-term Debt [Abstract] | ||
Short-term debt par value | $ 7,930 | $ 0 |
Short-term debt carrying amount | $ 7,930 | $ 0 |
Short-term debt weighted average effective rate | (0.05%) | 0.00% |
Derivatives (Details)
Derivatives (Details) | 3 Months Ended |
Mar. 31, 2021category | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Number of Derivative Categories | 3 |
Derivatives - Derivative Assets
Derivatives - Derivative Assets and Liabilities at Fair Value (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Derivative [Line Items] | ||
Notional or contractual amount | $ 1,508,759 | $ 1,362,325 |
Derivative interest receivable and other | 480 | 455 |
Netting adjustments to derivative assets | (7,135) | (7,829) |
Derivative Assets, net | 2,085 | 1,205 |
Derivative interest payable and other | (485) | (523) |
Netting adjustments to derivative liabilities | 8,684 | 8,717 |
Derivative liabilities, net | (950) | (954) |
Other | ||
Derivative [Line Items] | ||
Derivative Assets, net | 30 | 63 |
Derivative liabilities, net | (87) | (63) |
Not Designated as Hedging Instrument, Economic Hedge | ||
Derivative [Line Items] | ||
Notional or contractual amount | 1,270,639 | 1,181,639 |
Derivative assets at fair value | 8,591 | 8,355 |
Derivative liabilities at fair value | (6,628) | (8,648) |
Not Designated as Hedging Instrument, Economic Hedge | CDX swaption | ||
Derivative [Line Items] | ||
Notional or contractual amount | 14,300 | 16,800 |
Derivative assets at fair value | 5 | 9 |
Not Designated as Hedging Instrument, Economic Hedge | Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional or contractual amount | 965,694 | 929,552 |
Derivative assets at fair value | 7,054 | 7,904 |
Derivative liabilities at fair value | (5,854) | (7,826) |
Not Designated as Hedging Instrument, Economic Hedge | Futures | ||
Derivative [Line Items] | ||
Notional or contractual amount | 157,628 | 181,702 |
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 | 265,242 | 219,109 |
Derivative assets at fair value | 1,507 | 388 |
Derivative liabilities at fair value | (687) | (759) |
Not Designated as Hedging Instrument, Economic Hedge | Credit risk transfer | ||
Derivative [Line Items] | ||
Notional or contractual amount | 30,513 | 28,949 |
Derivative assets at fair value | 29 | 61 |
Derivative liabilities at fair value | (57) | (47) |
Not Designated as Hedging Instrument, Economic Hedge | Other | ||
Derivative [Line Items] | ||
Notional or contractual amount | 9,190 | 4,029 |
Derivative assets at fair value | 1 | 2 |
Derivative liabilities at fair value | (30) | (16) |
Not Designated as Hedging Instrument, Economic Hedge | Written Option | Written | ||
Derivative [Line Items] | ||
Notional or contractual amount | 30,830 | 18,259 |
Derivative assets at fair value | 0 | 0 |
Derivative liabilities at fair value | (1,714) | (735) |
Not Designated as Hedging Instrument, Economic Hedge | Purchased Options | Purchased | ||
Derivative [Line Items] | ||
Notional or contractual amount | 242,260 | 169,995 |
Derivative assets at fair value | 5,107 | 5,265 |
Derivative liabilities at fair value | 0 | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Forward contracts to purchase mortgage loans | ||
Derivative [Line Items] | ||
Notional or contractual amount | 38,152 | 37,122 |
Derivative assets at fair value | 5 | 183 |
Derivative liabilities at fair value | (337) | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Forward contracts to purchase mortgage-related securities | ||
Derivative [Line Items] | ||
Notional or contractual amount | 55,805 | 45,185 |
Derivative assets at fair value | 19 | 203 |
Derivative liabilities at fair value | (316) | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Forward contracts to sell mortgage-related securities | ||
Derivative [Line Items] | ||
Notional or contractual amount | 171,285 | 136,802 |
Derivative assets at fair value | 1,483 | 2 |
Derivative liabilities at fair value | (34) | (759) |
Not Designated as Hedging Instrument, Economic Hedge | Swap | ||
Derivative [Line Items] | ||
Notional or contractual amount | 534,976 | 559,596 |
Derivative assets at fair value | 1,947 | 2,639 |
Derivative liabilities at fair value | (4,140) | (7,091) |
Designated as Hedging Instrument | Fair Value Hedging | ||
Derivative [Line Items] | ||
Notional or contractual amount | 238,120 | 180,686 |
Derivative assets at fair value | 149 | 224 |
Derivative liabilities at fair value | (2,521) | (500) |
Designated as Hedging Instrument | Fair Value Hedging | Swap | ||
Derivative [Line Items] | ||
Notional or contractual amount | 238,120 | 180,686 |
Derivative assets at fair value | 149 | 224 |
Derivative liabilities at fair value | $ (2,521) | $ (500) |
Derivatives - Derivative Gains
Derivatives - Derivative Gains and Losses (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | $ 1,371 | $ (3,762) |
Accrual of periodic settlements | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | (452) | (176) |
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) | 392 | (2,969) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Swap | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | 615 | (4,863) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Written Option | Written | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | (461) | (320) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Purchased Options | Purchased | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | (48) | 4,542 |
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) | 286 | (2,328) |
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) | 1,823 | (3,586) |
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) | 1,476 | (726) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | CRT-Related Derivatives | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | (42) | 78 |
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) | $ (3) | $ 31 |
Derivatives Derivatives - Gains
Derivatives Derivatives - Gains and Losses on Fair Value Hedge (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Interest Expense | $ (10,263) | $ (14,807) |
Interest Income | 13,902 | 17,592 |
Interest rate risk on held-for-investment mortgage loans | Interest income | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 1,534 | (5,080) |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (1,523) | 4,893 |
Interest accrual on fair value hedging derivatives for held-for-investment loans | (114) | (63) |
Discontinued hedge related basis adjustment amortization | (781) | (253) |
Interest rate risk on debt | Interest expense | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (2,188) | 554 |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 2,114 | (505) |
Interest accrual on fair value hedging derivatives for debt | 255 | 100 |
Discontinued hedge related basis adjustment amortization | $ 5 | $ 20 |
Derivatives Derivatives - Cumul
Derivatives Derivatives - Cumulative Basis Adjustment due to Fair Value Hedges (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Carrying amount mortgage loans held-for-investment hedged asset | $ 417,644 | $ 478,077 |
Carrying amount debt hedged liability | (158,646) | (176,512) |
Total basis adjustment cumulative amount for hedged asset | 2,813 | 5,117 |
Total basis adjustment cumulative amount for hedged liability | 1,650 | (466) |
Hedged Asset, Fair Value Hedge, Last-of-Layer, Cumulative Increase (Decrease) | (1,152) | (318) |
Basis adjustment amount for hedged asset - discontinued hedge | 3,965 | 5,435 |
Basis adjustment amount for hedged liability - discontinued hedge | (33) | (38) |
Total Amount by Amortized Cost Basis Under the Last-of-Layer Method | 192,912 | 220,301 |
Designated Amount by UPB | $ 9,507 | $ 9,112 |
Collateral and Offsetting of _3
Collateral and Offsetting of Assets and Liabilities (Details) - USD ($) $ in Billions | Mar. 31, 2021 | Dec. 31, 2020 |
OTC derivatives | ||
Offsetting Assets [Line Items] | ||
Cash pledged to us as collateral that was invested as part of our liquidity and contingency operating portfolio | $ 1.9 | $ 2.8 |
Securities Purchased under Agreements to Resell | ||
Offsetting Assets [Line Items] | ||
Securities Held as Collateral, at Fair Value | 22.3 | 85.8 |
Securities purchased under agreements to resell not executed with clearinghouse | ||
Offsetting Assets [Line Items] | ||
Securities Held as Collateral, at Fair Value | 0.7 | 0.8 |
Commitment securities | ||
Offsetting Assets [Line Items] | ||
Aggregate fair value of securities posted | $ 0.2 | $ 1.3 |
Collateral and Offsetting of _4
Collateral and Offsetting of Assets and Liabilities - Offsetting of Financial Assets (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Derivative Assets: | ||
Gross Amount Recognized | $ 9,220 | $ 9,034 |
Counterparty netting | (5,681) | (5,932) |
Cash Collateral netting | (1,454) | (1,897) |
Derivative Assets, net | 2,085 | 1,205 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (392) | (648) |
Net Amount | 1,693 | 557 |
Securities purchased under agreements to resell: | ||
Gross Amount Recognized | 23,070 | 105,003 |
Counterparty netting | (7,930) | 0 |
Net Amount Presented in the Consolidated Balance Sheets | 15,140 | 105,003 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (15,140) | (105,003) |
Net Amount | 0 | 0 |
Total: | ||
Gross Amount Recognized | 32,290 | 114,037 |
Counterparty netting | (13,611) | (5,932) |
Cash collateral netting | (1,454) | (1,897) |
Net Amount Presented in the Consolidated Balance Sheets | 17,225 | 106,208 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (15,532) | (105,651) |
Net Amount | 1,693 | 557 |
Other | ||
Derivative Assets: | ||
Gross Amount Recognized | 30 | 63 |
Counterparty netting | 0 | 0 |
Cash Collateral netting | 0 | 0 |
Derivative Assets, net | 30 | 63 |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 30 | 63 |
OTC derivatives | ||
Derivative Assets: | ||
Gross Amount Recognized | 7,614 | 8,566 |
Counterparty netting | (5,681) | (5,932) |
Cash Collateral netting | (1,497) | (1,957) |
Derivative Assets, net | 436 | 677 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (392) | (648) |
Net Amount | 44 | 29 |
Cleared and exchange-traded derivatives | ||
Derivative Assets: | ||
Gross Amount Recognized | 69 | 17 |
Counterparty netting | 0 | 0 |
Cash Collateral netting | 43 | 60 |
Derivative Assets, net | 112 | 77 |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 112 | 77 |
Commitments | ||
Derivative Assets: | ||
Gross Amount Recognized | 1,507 | 388 |
Counterparty netting | 0 | 0 |
Cash Collateral netting | 0 | 0 |
Derivative Assets, net | 1,507 | 388 |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 1,507 | 388 |
Securities Purchased under Agreements to Resell | ||
Securities purchased under agreements to resell: | ||
Cash Collateral Netting | $ 0 | $ 0 |
Collateral and Offsetting of _5
Collateral and Offsetting of Assets and Liabilities - Offsetting of Financial Liabilities (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Derivative Liabilities: | ||
Gross Amount Recognized | $ (9,634) | $ (9,671) |
Counterparty netting | 5,681 | 5,932 |
Cash collateral netting | 3,003 | 2,785 |
Derivative liabilities, net | (950) | (954) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 4 | 0 |
Net Amount | (946) | (954) |
Securities Sold under Agreements to Repurchase [Abstract] | ||
Gross Amount Recognized | (7,930) | 0 |
Counterparty netting | 7,930 | 0 |
Net Amount Presented in the Consolidated Balance Sheets | 0 | 0 |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 0 | 0 |
Offsetting Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned [Abstract] | ||
Gross Amount Recognized | (17,564) | (9,671) |
Counterparty netting | 13,611 | 5,932 |
Cash collateral netting | 3,003 | 2,785 |
Net Amount Presented in the Consolidated Balance Sheets | (950) | (954) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 4 | 0 |
Net Amount | (946) | (954) |
Other | ||
Derivative Liabilities: | ||
Gross Amount Recognized | (87) | (63) |
Counterparty netting | 0 | 0 |
Cash collateral netting | 0 | 0 |
Derivative liabilities, net | (87) | (63) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | (87) | (63) |
OTC derivatives | ||
Derivative Liabilities: | ||
Gross Amount Recognized | (8,828) | (8,812) |
Counterparty netting | 5,681 | 5,932 |
Cash collateral netting | 2,975 | 2,759 |
Derivative liabilities, net | (172) | (121) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | (172) | (121) |
Cleared and exchange-traded derivatives | ||
Derivative Liabilities: | ||
Gross Amount Recognized | (32) | (37) |
Counterparty netting | 0 | 0 |
Cash collateral netting | 28 | 26 |
Derivative liabilities, net | (4) | (11) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 4 | 0 |
Net Amount | 0 | (11) |
Commitments | ||
Derivative Liabilities: | ||
Gross Amount Recognized | (687) | (759) |
Counterparty netting | 0 | 0 |
Cash collateral netting | 0 | 0 |
Derivative liabilities, net | (687) | (759) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | (687) | (759) |
Commitment securities | ||
Offsetting Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned [Abstract] | ||
Aggregate fair value of securities posted | 200 | 1,300 |
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 | Mar. 31, 2021 | Dec. 31, 2020 |
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | $ 11,246 | $ 3,549 |
Derivatives | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 1,555 | 2,041 |
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 | 7,901 | 0 |
Other | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 1,790 | 1,508 |
Cash and Cash Equivalents | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 2,671 | |
Cash and Cash Equivalents | 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 | 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 | 2,671 | |
Cash and Cash Equivalents | 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 | 348 | 466 |
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 | 0 | 121 |
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 | 348 | 345 |
Trading securities | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 8,227 | 3,083 |
Trading securities | Derivatives | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 1,555 | 1,920 |
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 | 5,230 | 0 |
Trading securities | Other | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | $ 1,442 | $ 1,163 |
Collateral and Offsetting of _7
Collateral and Offsetting of Assets and Liabilities - Underlying Collateral Pledged (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | $ 11,246 | $ 3,549 |
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 | 7,901 | $ 0 |
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 | 2,453 | |
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 | 5,448 | |
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 | 0 | |
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) - USD ($) | 3 Months Ended | |||
Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | Jun. 30, 2021 | |
Stockholders Equity Text [Line Items] | ||||
Federal statutory tax rate | 21.00% | 21.00% | ||
Senior preferred stock | $ 89,061,000,000 | $ 86,539,000,000 | ||
Net worth increase | 2,400,000,000 | 2,500,000,000 | ||
Expected draw request from Treasury | $ 0 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | 351 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 0 | |||
Common dividends declared | $ 0 | |||
Cash dividends paid on senior preferred stock | 0 | |||
Dividends declared on preferred stock | 0 | |||
Common shares or non-cumulative preferred stock repurchased | 0 | |||
Common shares or non-cumulative preferred stock issued | 0 | |||
Dividends paid on preferred stock | 0 | |||
Dividend Requirement Amount Under Purchase Agreement | 0 | |||
Cash flow hedge relationships | $ (196,000,000) | $ (206,000,000) | $ (200,000,000) | |
Stock options outstanding | 0 | |||
Subsequent Event [Member] | ||||
Stockholders Equity Text [Line Items] | ||||
Senior preferred stock | $ 91,400,000,000 |
Stockholders' Equity and Earn_4
Stockholders' Equity and Earnings per Share - Changes in AOCI by Component, Net of Tax (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | $ 16,413 | $ 9,122 |
Total other comprehensive income (loss), net of taxes and reclassification adjustments | (389) | 449 |
Ending balance | 18,791 | 9,504 |
Total | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | 643 | 438 |
Other comprehensive income (loss) before reclassifications | (106) | 448 |
Amounts reclassified from accumulated other comprehensive income | (283) | 1 |
Total other comprehensive income (loss), net of taxes and reclassification adjustments | (389) | 449 |
Ending balance | 254 | 887 |
AOCI related to available-for-sale securities | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | 810 | 618 |
Other comprehensive income (loss) before reclassifications | (105) | 446 |
Amounts reclassified from accumulated other comprehensive income | (290) | (8) |
Total other comprehensive income (loss), net of taxes and reclassification adjustments | (395) | 438 |
Ending balance | 415 | 1,056 |
AOCI related to cash flow hedge relationships | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | (206) | (244) |
Other comprehensive income (loss) before reclassifications | 0 | 0 |
Amounts reclassified from accumulated other comprehensive income | 10 | 13 |
Total other comprehensive income (loss), net of taxes and reclassification adjustments | 10 | 13 |
Ending balance | (196) | (231) |
AOCI related to defined benefit plans | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | 39 | 64 |
Other comprehensive income (loss) before reclassifications | (1) | 2 |
Amounts reclassified from accumulated other comprehensive income | (3) | (4) |
Total other comprehensive income (loss), net of taxes and reclassification adjustments | (4) | (2) |
Ending balance | $ 35 | $ 62 |
Stockholders' Equity and Earn_5
Stockholders' Equity and Earnings per Share - Reclassifications from AOCI to Net Income (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Reclassification Adjustment Out Of Accumulated Other Comprehensive Income [Line Items] | ||
Investment securities gains (losses) | $ 1,208 | $ (835) |
Interest Expense | (10,263) | (14,807) |
Salaries and employee benefits | (344) | (341) |
Income before income tax (expense) benefit | 3,481 | 218 |
Income tax (expense) benefit | (714) | (45) |
Net income (loss) | 2,767 | 173 |
Total reclassifications in the period | ||
Reclassification Adjustment Out Of Accumulated Other Comprehensive Income [Line Items] | ||
Net income (loss) | 283 | (1) |
AOCI related to available-for-sale securities | Total reclassifications in the period | ||
Reclassification Adjustment Out Of Accumulated Other Comprehensive Income [Line Items] | ||
Investment securities gains (losses) | 368 | 10 |
Income tax (expense) benefit | (78) | (2) |
Net income (loss) | 290 | 8 |
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 | 1 | 3 |
Net income (loss) | (10) | (13) |
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 | (11) | (16) |
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 | 4 | 5 |
Income tax (expense) benefit | (1) | (1) |
Net income (loss) | $ 3 | $ 4 |
Stockholders' Equity and Earn_6
Stockholders' Equity and Earnings per Share - Senior Preferred Stock (Details) - USD ($) $ / shares in Units, shares in Thousands | 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 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Dec. 31, 2017 | Sep. 08, 2008 |
Class of Stock [Line Items] | |||||||||||||||||||||
Non draw adjustment | $ 17,413,000,000 | ||||||||||||||||||||
Aggregate liquidation preference on senior preferred stock | $ 89,061,000,000 | $ 86,539,000,000 | |||||||||||||||||||
Senior Preferred Stock | |||||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||||
Shares Authorized | 1,000 | ||||||||||||||||||||
Shares Outstanding | 1,000 | ||||||||||||||||||||
Total Par Value | $ 1,000,000 | ||||||||||||||||||||
Initial Liquidation Preference Of Senior Preferred Stock | $ 1,000,000,000 | ||||||||||||||||||||
Initial Liquidation Preference Price Per Share | $ 1,000 | ||||||||||||||||||||
Increase in Senior Preferred Stock | $ 3,000,000,000 | ||||||||||||||||||||
Increase in liquidation preference due to net worth increase | $ 2,522,000,000 | $ 2,449,000,000 | $ 1,938,000,000 | $ 382,000,000 | $ 2,448,000,000 | $ 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 | $ 89,061,000,000 |
Components of Net Interest Inco
Components of Net Interest Income (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Components of Net Interest Income [Line Items] | ||
Interest Income - Mortgage Loans | $ 13,255 | $ 16,632 |
Interest and Dividend Income, Securities, Operating | 610 | 652 |
Other Interest and Dividend Income | 37 | 308 |
Interest Income | 13,902 | 17,592 |
Provision for Loan, Lease, and Other Losses | 196 | (1,233) |
Interest Expense | (10,263) | (14,807) |
Net interest Income | 3,639 | 2,785 |
Net interest income after benefit (provision) for credit losses | 3,835 | 1,552 |
Held by consolidated trusts | ||
Components of Net Interest Income [Line Items] | ||
Interest expense of debt securities | (9,756) | (13,447) |
Held by Freddie Mac | ||
Components of Net Interest Income [Line Items] | ||
Interest Expense, Short-term Borrowings | (2) | (430) |
Interest Expense, Long-term Debt | $ (505) | $ (930) |
Investment Gains (Losses), Ne_2
Investment Gains (Losses), Net (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Investment Gains (Losses), Net [Abstract] | ||
Mortgage loans gains (losses) | $ 206 | $ 1,172 |
Investment securities gain loss | (507) | 1,055 |
Debt gain (loss) | 138 | 700 |
Derivative gains (losses) | 1,371 | (3,762) |
Gain (Loss) on Investments | $ 1,208 | $ (835) |
Segment Reporting (Details)
Segment Reporting (Details) | 3 Months Ended |
Mar. 31, 2021numberofreportablesegments | |
Segment Reporting Information [Line Items] | |
Number of Reportable Segments | 2 |
Segment Reporting - Segment Ear
Segment Reporting - Segment Earnings (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Segment Reporting Information [Line Items] | ||
Net income (loss) | $ 2,767 | $ 173 |
Comprehensive income (loss) | 2,378 | 622 |
Single-family Guarantee | Operating segments | ||
Segment Reporting Information [Line Items] | ||
Net income (loss) | 1,738 | 411 |
Comprehensive income (loss) | 1,410 | 796 |
Multifamily | Operating segments | ||
Segment Reporting Information [Line Items] | ||
Net income (loss) | 1,029 | (238) |
Comprehensive income (loss) | $ 968 | $ (174) |
Segment Reporting - Segment E_2
Segment Reporting - Segment Earnings and Reconciliation to GAAP Condensed Consolidated Statements of Comprehensive Income (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | ||
Net interest Income | $ 3,639 | $ 2,785 |
Guarantee fee income | 248 | 377 |
Non-interest income (loss) | ||
Investment securities gains (losses) | 1,208 | (835) |
Other income (loss) | 178 | 95 |
Noninterest Income | 1,634 | (363) |
Revenues, Net of Interest Expense | 5,273 | 2,422 |
Provision for Loan, Lease, and Other Losses | 196 | (1,233) |
Non-interest expense | ||
Administrative expense | (639) | (587) |
Credit enhancement expense | (335) | (231) |
Recoveries | (257) | 467 |
REO operations (expense) income | (8) | (85) |
Temporary Payroll Tax Cut Continuation Act of 2011 expense | (534) | (432) |
Other non interest (expense) income | (215) | (103) |
Non-interest expense | (1,988) | (971) |
Income before income tax (expense) benefit | 3,481 | 218 |
Income tax (expense) benefit | (714) | (45) |
Net income (loss) | 2,767 | 173 |
Changes in unrealized gains (losses) related to available-for-sale securities | (395) | 438 |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 10 | 13 |
Changes in defined benefit plans | (4) | (2) |
Total other comprehensive income (loss), net of taxes | (389) | 449 |
Comprehensive income (loss) | 2,378 | 622 |
Single Family Guarantee | Operating segments | ||
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | ||
Net interest Income | 3,308 | 2,485 |
Guarantee fee income | 89 | (13) |
Non-interest income (loss) | ||
Investment securities gains (losses) | 300 | 24 |
Other income (loss) | 152 | 58 |
Noninterest Income | 541 | 69 |
Revenues, Net of Interest Expense | 3,849 | 2,554 |
Provision for Loan, Lease, and Other Losses | 146 | (1,166) |
Non-interest expense | ||
Administrative expense | (488) | (467) |
Credit enhancement expense | (325) | (227) |
Recoveries | (245) | 439 |
REO operations (expense) income | (8) | (85) |
Temporary Payroll Tax Cut Continuation Act of 2011 expense | (534) | (432) |
Other non interest (expense) income | (209) | (98) |
Non-interest expense | (1,809) | (870) |
Income before income tax (expense) benefit | 2,186 | 518 |
Income tax (expense) benefit | (448) | (107) |
Net income (loss) | 1,738 | 411 |
Changes in unrealized gains (losses) related to available-for-sale securities | (335) | 374 |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 10 | 13 |
Changes in defined benefit plans | (3) | (2) |
Total other comprehensive income (loss), net of taxes | (328) | 385 |
Comprehensive income (loss) | 1,410 | 796 |
Multifamily | Operating segments | ||
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | ||
Net interest Income | 331 | 300 |
Guarantee fee income | 159 | 390 |
Non-interest income (loss) | ||
Investment securities gains (losses) | 908 | (859) |
Other income (loss) | 26 | 37 |
Noninterest Income | 1,093 | (432) |
Revenues, Net of Interest Expense | 1,424 | (132) |
Provision for Loan, Lease, and Other Losses | 50 | (67) |
Non-interest expense | ||
Administrative expense | (151) | (120) |
Credit enhancement expense | (10) | (4) |
Recoveries | (12) | 28 |
REO operations (expense) income | 0 | 0 |
Temporary Payroll Tax Cut Continuation Act of 2011 expense | 0 | 0 |
Other non interest (expense) income | (6) | (5) |
Non-interest expense | (179) | (101) |
Income before income tax (expense) benefit | 1,295 | (300) |
Income tax (expense) benefit | (266) | 62 |
Net income (loss) | 1,029 | (238) |
Changes in unrealized gains (losses) related to available-for-sale securities | (60) | 64 |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 0 | 0 |
Changes in defined benefit plans | (1) | 0 |
Total other comprehensive income (loss), net of taxes | (61) | 64 |
Comprehensive income (loss) | $ 968 | $ (174) |
Segment Reporting - Segment Ass
Segment Reporting - Segment Assets (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Segment Reporting, Asset Reconciling Item [Line Items] | ||
Total assets | $ 2,741,874 | $ 2,627,415 |
Reclassifications | ||
Segment Reporting, Asset Reconciling Item [Line Items] | ||
Total assets | (109,915) | (87,358) |
Single Family Guarantee | Operating segments | ||
Segment Reporting, Asset Reconciling Item [Line Items] | ||
Total assets | 2,458,112 | 2,326,426 |
Multifamily | Operating segments | ||
Segment Reporting, Asset Reconciling Item [Line Items] | ||
Total assets | 393,677 | 388,347 |
Operating segments and All Other | Operating segments | ||
Segment Reporting, Asset Reconciling Item [Line Items] | ||
Total assets | $ 2,851,789 | $ 2,714,773 |
Concentration of Credit and O_3
Concentration of Credit and Other Risks (Details) - USD ($) $ in Billions | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | Dec. 31, 2020 | |
Concentration Risk [Line Items] | |||
Unpaid principal balance related to single-family credit guarantee portfolio | $ 2,500 | $ 2,300 | |
Securities purchased under agreements to resell used to provide financing to investors | $ 0.7 | $ 0.8 | |
Single-Family serious delinquency rate | 2.34% | 2.64% | |
Single-family UPB | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 100.00% | 100.00% | 100.00% |
Top five non-depository seller | Single-family loan purchase volume | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 30.00% | 27.00% | |
Five largest non-depository servicers | Single-family UPB | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 18.00% | 18.00% | |
Mortgage Insurers | |||
Concentration Risk [Line Items] | |||
Unpaid principal balance of single family credit guarantee portfolio With mortgage insurance coverage | $ 485.6 | ||
Credit protection coverage from mortgage insurers for single family credit guarantee portfolio | 119.1 | ||
Amount of cumulative unpaid deferred payment obligation | 0.4 | $ 0.4 | |
Cash And Other Investment Counterparties | |||
Concentration Risk [Line Items] | |||
Cash and other non-mortgage investments | $ 164.8 | $ 163.1 |
Concentration of Credit and O_4
Concentration of Credit and Other Risks - Concentration of Credit Risk - Single-Family Credit Guarantee Portfolio (Details) - USD ($) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | Dec. 31, 2020 | |
Concentration Risk [Line Items] | |||
Single-Family serious delinquency rate | 2.34% | 2.64% | |
Concentration Risk, Unpaid Principal Balance | $ 438,000,000,000 | ||
West | |||
Concentration Risk [Line Items] | |||
Single-Family serious delinquency rate | 2.11% | 2.41% | |
Northeast | |||
Concentration Risk [Line Items] | |||
Single-Family serious delinquency rate | 2.82% | 3.16% | |
North Central | |||
Concentration Risk [Line Items] | |||
Single-Family serious delinquency rate | 1.88% | 2.06% | |
Southeast | |||
Concentration Risk [Line Items] | |||
Single-Family serious delinquency rate | 2.58% | 2.95% | |
Southwest | |||
Concentration Risk [Line Items] | |||
Single-Family serious delinquency rate | 2.33% | 2.59% | |
CALIFORNIA | |||
Concentration Risk [Line Items] | |||
Single-Family serious delinquency rate | 2.29% | 2.64% | |
TEXAS | |||
Concentration Risk [Line Items] | |||
Single-Family serious delinquency rate | 2.75% | 3.11% | |
FLORIDA | |||
Concentration Risk [Line Items] | |||
Single-Family serious delinquency rate | 3.14% | 3.70% | |
NEW YORK | |||
Concentration Risk [Line Items] | |||
Single-Family serious delinquency rate | 4.07% | 4.56% | |
ILLINOIS | |||
Concentration Risk [Line Items] | |||
Single-Family serious delinquency rate | 2.83% | 2.96% | |
All Other | |||
Concentration Risk [Line Items] | |||
Single-Family serious delinquency rate | 2.09% | 2.34% | |
Single-family UPB | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 100.00% | 100.00% | 100.00% |
Concentration Risk, Unpaid Principal Balance | $ 2,458,000,000,000 | $ 2,326,000,000,000 | |
Concentration risk, credit loss amount | $ 0 | $ 200,000,000 | |
Single-family UPB | West | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 31.00% | 31.00% | |
Concentration Risk, Unpaid Principal Balance | $ 770,000,000,000 | $ 720,000,000,000 | |
Concentration risk, credit loss amount | $ 0 | 0 | |
Single-family UPB | Northeast | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 24.00% | 24.00% | |
Concentration Risk, Unpaid Principal Balance | $ 581,000,000,000 | $ 549,000,000,000 | |
Concentration risk, credit loss amount | $ 0 | 100,000,000 | |
Single-family UPB | North Central | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 15.00% | 15.00% | |
Concentration Risk, Unpaid Principal Balance | $ 371,000,000,000 | $ 357,000,000,000 | |
Concentration risk, credit loss amount | $ 0 | 100,000,000 | |
Single-family UPB | Southeast | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 16.00% | 16.00% | |
Concentration Risk, Unpaid Principal Balance | $ 393,000,000,000 | $ 375,000,000,000 | |
Concentration risk, credit loss amount | $ 0 | 0 | |
Single-family UPB | Southwest | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 14.00% | 14.00% | |
Concentration Risk, Unpaid Principal Balance | $ 343,000,000,000 | $ 325,000,000,000 | |
Concentration risk, credit loss amount | $ 0 | $ 0 | |
Single-family UPB | CALIFORNIA | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 19.00% | 18.00% | |
Concentration Risk, Unpaid Principal Balance | $ 455,000,000,000 | 424,000,000,000 | |
Concentration risk, credit loss amount | $ 0 | $ 0 | |
Single-family UPB | TEXAS | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 6.00% | 6.00% | |
Concentration Risk, Unpaid Principal Balance | $ 152,000,000,000 | 145,000,000,000 | |
Concentration risk, credit loss amount | $ 0 | $ 0 | |
Single-family UPB | FLORIDA | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 6.00% | 6.00% | |
Concentration Risk, Unpaid Principal Balance | $ 142,000,000,000 | 135,000,000,000 | |
Concentration risk, credit loss amount | $ 0 | $ 0 | |
Single-family UPB | NEW YORK | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 4.00% | 4.00% | |
Concentration Risk, Unpaid Principal Balance | $ 108,000,000,000 | 103,000,000,000 | |
Concentration risk, credit loss amount | $ 0 | $ 0 | |
Single-family UPB | ILLINOIS | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 4.00% | 4.00% | |
Concentration Risk, Unpaid Principal Balance | $ 99,000,000,000 | 96,000,000,000 | |
Concentration risk, credit loss amount | $ 0 | $ 100,000,000 | |
Single-family UPB | All Other | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 61.00% | 62.00% | |
Concentration Risk, Unpaid Principal Balance | $ 1,502,000,000,000 | $ 1,423,000,000,000 | |
Concentration risk, credit loss amount | $ 0 | $ 100,000,000 | |
Single-family Credit Losses | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 100.00% | ||
Single-family Credit Losses | West | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 8.00% | ||
Single-family Credit Losses | Northeast | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 36.00% | ||
Single-family Credit Losses | North Central | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 29.00% | ||
Single-family Credit Losses | Southeast | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 18.00% | ||
Single-family Credit Losses | Southwest | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 9.00% | ||
Single-family Credit Losses | CALIFORNIA | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 5.00% | ||
Single-family Credit Losses | TEXAS | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 3.00% | ||
Single-family Credit Losses | FLORIDA | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 9.00% | ||
Single-family Credit Losses | NEW YORK | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 9.00% | ||
Single-family Credit Losses | ILLINOIS | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 16.00% | ||
Single-family Credit Losses | All Other | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 58.00% |
Concentration of Credit and O_5
Concentration of Credit and Other Risks - Certain Higher-Risk Categories in the Single-Family Credit Guarantee Portfolio (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | Dec. 31, 2020 | |
Concentration Risk [Line Items] | |||
Single-Family serious delinquency rate | 2.34% | 2.64% | |
UPB of Single-Family loans for which data was not available | $ 493 | $ 505 | |
Alt-A | |||
Concentration Risk [Line Items] | |||
Single-Family serious delinquency rate | 10.49% | 10.66% | |
Original LTV ratio greater than 90% | |||
Concentration Risk [Line Items] | |||
Single-Family serious delinquency rate | 4.01% | 4.25% | |
Lower credit scores at origination (less than 620) | |||
Concentration Risk [Line Items] | |||
Single-Family serious delinquency rate | 10.93% | 11.00% | |
Single-family UPB | |||
Concentration Risk [Line Items] | |||
Percentage of Portfolio | 100.00% | 100.00% | 100.00% |
Single-family UPB | Interest-only | |||
Concentration Risk [Line Items] | |||
Percentage of Portfolio | 0.00% | 0.00% | |
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 | 14.00% | 15.00% | |
Single-family UPB | Lower credit scores at origination (less than 620) | |||
Concentration Risk [Line Items] | |||
Percentage of Portfolio | 1.00% | 1.00% |
Concentration of Credit and O_6
Concentration of Credit and Other Risks - Seller Concentration (Details) | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Top ten Single-family sellers | Single-family loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 48.00% | 55.00% |
JPMorgan Chase Bank, National Association | Single-family loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 4.00% | 12.00% |
United Shore Financial Services, LLC | Single-family loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 5.00% | 10.00% |
Other top 10 sellers | Single-family loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 39.00% | 33.00% |
Top ten multifamily sellers | Multifamily loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 81.00% | 78.00% |
Berkadia Commercial Mortgage LLC | Multifamily loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 14.00% | 14.00% |
CBRE Capital Markets, Inc. | Multifamily loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 14.00% | 17.00% |
JLL Real Estate Capital, LLC | Multifamily loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 10.00% | 4.00% |
Other top 10 sellers | Multifamily loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 43.00% | 43.00% |
Concentration of Credit and O_7
Concentration of Credit and Other Risks - Servicer Concentration (Details) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2021 | Dec. 31, 2020 | |
Single-family loan serviced | Top ten Single-family servicers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 47.00% | 49.00% |
Single-family loan serviced | Wells Fargo Bank, N.A. | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 10.00% | 11.00% |
Single-family loan serviced | Other top 10 sellers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 37.00% | 38.00% |
Multifamily loan serviced | Top ten multifamily servicers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 81.00% | 80.00% |
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 | JLL Real Estate Capital LLC | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 11.00% | 11.00% |
Multifamily loan serviced | Other top 10 servicers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 40.00% | 39.00% |
Concentration of Credit and O_8
Concentration of Credit and Other Risks - Mortgage Insurer Concentration (Details) - Mortgage insurance coverage | 3 Months Ended | 12 Months Ended |
Mar. 31, 2021 | Dec. 31, 2020 | |
Arch Mortgage Insurance Company | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 20.00% | 20.00% |
Radian Guaranty Inc. | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 19.00% | 19.00% |
Mortgage Guaranty Insurance Corporation | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 18.00% | 18.00% |
Essent Guaranty, Inc. | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 16.00% | 16.00% |
Genworth Mortgage Insurance Corporation | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 15.00% | 15.00% |
National Mortgage Insurance Corporation | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 11.00% | 10.00% |
Total | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 99.00% | 98.00% |
Fair Value Disclosures - Assets
Fair Value Disclosures - Assets and Liabilities Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | $ 7,591 | $ 15,367 |
Mortgage Loans [Abstract] | ||
Mortgage loans, held for sale, at fair value | 8,093 | 14,199 |
Derivative Assets Net [Abstract] | ||
Derivative Assets, net | 2,085 | 1,205 |
Other Assets [Abstract] | ||
Total Other Assets | 5,894 | 5,775 |
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 2,364 | 2,592 |
Derivative Liabilities Net [Abstract] | ||
Derivative Liabilities | 950 | 954 |
Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 2,100 | 2,400 |
Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 262 | 205 |
Agency | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 6,555 | 14,304 |
Non-agency and other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 1,036 | 1,063 |
Fair Value, Measurements, Recurring | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 7,591 | 15,367 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 54,289 | 44,458 |
Total investments in securities | 61,880 | 59,825 |
Mortgage Loans [Abstract] | ||
Mortgage loans, held for sale, at fair value | 8,093 | 14,199 |
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 8,740 | 8,579 |
Netting Adjustment | (6,655) | (7,374) |
Derivative Assets, net | 2,085 | 1,205 |
Other Assets [Abstract] | ||
Guarantee Assets | 5,688 | 5,509 |
Non-derivative held-for-sale purchase commitments, at fair value | 91 | 158 |
All Other Assets Fair Value Disclosure | 115 | 108 |
Total Other Assets | 5,894 | 5,775 |
Total Assets at Fair value | 77,952 | 81,004 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 9,149 | 9,148 |
Netting Adjustment | (8,199) | (8,194) |
Derivative Liabilities | 950 | 954 |
Other Liabilities [Abstract] | ||
Non Derivative HFS Purchase Commitment Liabilities | 5 | 1 |
Other Liabilities, Fair Value Disclosure | 0 | 3 |
All Other Liabilities Fair Value Disclosure | 5 | 4 |
Total liabilities carried at fair value on a recurring basis | 3,319 | 3,550 |
Fair Value, Measurements, Recurring | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 2,102 | 2,387 |
Fair Value, Measurements, Recurring | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 262 | 205 |
Fair Value, Measurements, Recurring | Mortage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 23,016 | 17,505 |
Fair Value, Measurements, Recurring | Agency | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 6,555 | 14,304 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 23,015 | 17,504 |
Fair Value, Measurements, Recurring | Non-agency and other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 1,036 | 1,063 |
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 | 31,273 | 26,953 |
Fair Value, Measurements, Recurring | Level 1 | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 0 | 0 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 30,208 | 26,255 |
Total investments in securities | 30,208 | 26,255 |
Mortgage Loans [Abstract] | ||
Mortgage loans, held for sale, at fair value | 0 | 0 |
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 30 | 0 |
Derivative Assets, net | 30 | 0 |
Other Assets [Abstract] | ||
Guarantee Assets | 0 | 0 |
Non-derivative held-for-sale purchase commitments, at fair value | 0 | 0 |
All Other Assets Fair Value Disclosure | 0 | 0 |
Total Other Assets | 0 | 0 |
Total Assets at Fair value | 30,238 | 26,255 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 0 | 0 |
Derivative Liabilities | 0 | 0 |
Other Liabilities [Abstract] | ||
Non Derivative HFS Purchase Commitment Liabilities | 0 | 0 |
Other Liabilities, Fair Value Disclosure | 0 | 0 |
All Other Liabilities Fair Value Disclosure | 0 | 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 instrument recorded at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded 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, at fair value | 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, at fair value | 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 | 30,208 | 26,255 |
Fair Value, Measurements, Recurring | Level 2 | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 5,755 | 13,779 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 21,019 | 14,944 |
Total investments in securities | 26,774 | 28,723 |
Mortgage Loans [Abstract] | ||
Mortgage loans, held for sale, at fair value | 8,093 | 14,199 |
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 8,680 | 8,516 |
Derivative Assets, net | 8,680 | 8,516 |
Other Assets [Abstract] | ||
Guarantee Assets | 0 | 0 |
Non-derivative held-for-sale purchase commitments, at fair value | 91 | 158 |
All Other Assets Fair Value Disclosure | 0 | 0 |
Total Other Assets | 91 | 158 |
Total Assets at Fair value | 43,638 | 51,596 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 9,115 | 9,132 |
Derivative Liabilities | 9,115 | 9,132 |
Other Liabilities [Abstract] | ||
Non Derivative HFS Purchase Commitment Liabilities | 5 | 1 |
Other Liabilities, Fair Value Disclosure | 0 | 0 |
All Other Liabilities Fair Value Disclosure | 5 | 1 |
Total liabilities carried at fair value on a recurring basis | 11,104 | 11,402 |
Fair Value, Measurements, Recurring | Level 2 | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 1,982 | 2,267 |
Fair Value, Measurements, Recurring | Level 2 | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 2 | 2 |
Fair Value, Measurements, Recurring | Level 2 | Mortage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 19,954 | 14,246 |
Fair Value, Measurements, Recurring | Level 2 | Agency | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 5,754 | 13,778 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 19,954 | 14,246 |
Fair Value, Measurements, Recurring | Level 2 | Non-agency and other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 1 | 1 |
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 | 1,065 | 698 |
Fair Value, Measurements, Recurring | Level 3 | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 1,836 | 1,588 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 3,062 | 3,259 |
Total investments in securities | 4,898 | 4,847 |
Mortgage Loans [Abstract] | ||
Mortgage loans, held for sale, at fair value | 0 | 0 |
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 30 | 63 |
Derivative Assets, net | 30 | 63 |
Other Assets [Abstract] | ||
Guarantee Assets | 5,688 | 5,509 |
Non-derivative held-for-sale purchase commitments, at fair value | 0 | 0 |
All Other Assets Fair Value Disclosure | 115 | 108 |
Total Other Assets | 5,803 | 5,617 |
Total Assets at Fair value | 10,731 | 10,527 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 34 | 16 |
Derivative Liabilities | 34 | 16 |
Other Liabilities [Abstract] | ||
Non Derivative HFS Purchase Commitment Liabilities | 0 | 0 |
Other Liabilities, Fair Value Disclosure | 0 | 3 |
All Other Liabilities Fair Value Disclosure | 0 | 3 |
Total liabilities carried at fair value on a recurring basis | 414 | 342 |
Fair Value, Measurements, Recurring | Level 3 | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 120 | 120 |
Fair Value, Measurements, Recurring | Level 3 | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 260 | 203 |
Fair Value, Measurements, Recurring | Level 3 | Mortage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 3,062 | 3,259 |
Fair Value, Measurements, Recurring | Level 3 | Agency | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 801 | 526 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 3,061 | 3,258 |
Fair Value, Measurements, Recurring | Level 3 | Non-agency and other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 1,035 | 1,062 |
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 - Fair V
Fair Value Disclosures - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Debt | Held by Freddie Mac | ||
Liabilities: | ||
Begining Balance | $ 120 | $ 129 |
Included in Earnings | 2 | (11) |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 0 | 0 |
Issues | 1 | 1 |
Sales | 0 | 0 |
Settlements, Net | (3) | (1) |
Transfers into Level 3 | 0 | 33 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 120 | 151 |
Unrealized Gains (Losses) Still Held - Liabilities | 2 | (11) |
Unrealized Gains (Losses) Still Held, Liabilities, OCI | 0 | 0 |
Debt | Held by consolidated trusts | ||
Liabilities: | ||
Begining Balance | 203 | 203 |
Included in Earnings | 4 | (4) |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 0 | 0 |
Issues | 53 | 0 |
Sales | 0 | 0 |
Settlements, Net | 0 | 0 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 260 | 199 |
Unrealized Gains (Losses) Still Held - Liabilities | 4 | (4) |
Unrealized Gains (Losses) Still Held, Liabilities, OCI | 0 | 0 |
Derivative Liabilities | ||
Liabilities: | ||
Begining Balance | 16 | 37 |
Included in Earnings | 19 | (10) |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 0 | 0 |
Issues | 2 | 1 |
Sales | 0 | 0 |
Settlements, Net | (3) | (4) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 34 | 24 |
Unrealized Gains (Losses) Still Held - Liabilities | 16 | (14) |
Unrealized Gains (Losses) Still Held, Liabilities, OCI | 0 | 0 |
All Other Liabilities | ||
Liabilities: | ||
Begining Balance | 3 | 1 |
Included in Earnings | (5) | 0 |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 2 | 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 | 0 | 1 |
Unrealized Gains (Losses) Still Held - Liabilities | (4) | 0 |
Unrealized Gains (Losses) Still Held, Liabilities, OCI | 0 | 0 |
Available-for-sale securities | ||
Assets: | ||
Beginning Balance | 1,588 | 3,227 |
Included in Earnings | 6 | 15 |
Included in Other Comprehensive Income | (6) | (88) |
Purchases | 432 | 0 |
Issues | 0 | 0 |
Sales | (130) | (208) |
Settlements, net | (54) | (100) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | (1,095) |
Ending Balance | 1,836 | 1,751 |
Unrealized Gains (Losses) Still Held - Assets | 6 | 3 |
Unrealized Gains (Losses) Still Held, Assets, OCI | (4) | (102) |
Available-for-sale securities | Agency | ||
Assets: | ||
Beginning Balance | 526 | 1,960 |
Included in Earnings | 0 | 12 |
Included in Other Comprehensive Income | (6) | 38 |
Purchases | 432 | 0 |
Issues | 0 | 0 |
Sales | (130) | (208) |
Settlements, net | (21) | (57) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | (1,095) |
Ending Balance | 801 | 650 |
Unrealized Gains (Losses) Still Held - Assets | 0 | 0 |
Unrealized Gains (Losses) Still Held, Assets, OCI | (4) | (2) |
Available-for-sale securities | Non-agency and other | ||
Assets: | ||
Beginning Balance | 1,062 | 1,267 |
Included in Earnings | 6 | 3 |
Included in Other Comprehensive Income | 0 | (126) |
Purchases | 0 | 0 |
Issues | 0 | 0 |
Sales | 0 | 0 |
Settlements, net | (33) | (43) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 1,035 | 1,101 |
Unrealized Gains (Losses) Still Held - Assets | 6 | 3 |
Unrealized Gains (Losses) Still Held, Assets, OCI | 0 | (100) |
Trading securities | ||
Assets: | ||
Beginning Balance | 3,259 | 2,710 |
Included in Earnings | (174) | 15 |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 445 | 352 |
Issues | 0 | 0 |
Sales | (269) | (105) |
Settlements, net | (19) | (31) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | (180) | (396) |
Ending Balance | 3,062 | 2,545 |
Unrealized Gains (Losses) Still Held - Assets | (183) | 1 |
Unrealized Gains (Losses) Still Held, Assets, OCI | 0 | 0 |
Trading securities | Agency | ||
Assets: | ||
Beginning Balance | 3,258 | 2,709 |
Included in Earnings | (174) | 15 |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 445 | 352 |
Issues | 0 | 0 |
Sales | (269) | (105) |
Settlements, net | (19) | (31) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | (180) | (396) |
Ending Balance | 3,061 | 2,544 |
Unrealized Gains (Losses) Still Held - Assets | (183) | 1 |
Unrealized Gains (Losses) Still Held, Assets, OCI | 0 | 0 |
Trading securities | Non-agency | ||
Assets: | ||
Beginning Balance | 1 | 1 |
Included in Earnings | 0 | 0 |
Included in Other Comprehensive Income | 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 |
Unrealized Gains (Losses) Still Held, Assets, OCI | 0 | 0 |
Derivative Assets | ||
Assets: | ||
Beginning Balance | 63 | 16 |
Included in Earnings | (33) | 47 |
Included in Other Comprehensive Income | 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 | 30 | 63 |
Unrealized Gains (Losses) Still Held - Assets | (33) | 47 |
Unrealized Gains (Losses) Still Held, Assets, OCI | 0 | 0 |
Other Asset | ||
Assets: | ||
Beginning Balance | 5,617 | 4,546 |
Included in Earnings | (76) | 92 |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | (4) | (1) |
Issues | 494 | 229 |
Sales | 0 | (8) |
Settlements, net | (228) | (187) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 5,803 | 4,671 |
Unrealized Gains (Losses) Still Held - Assets | (75) | 91 |
Unrealized Gains (Losses) Still Held, Assets, OCI | 0 | 0 |
All Other, at fair value | ||
Assets: | ||
Beginning Balance | 108 | 120 |
Included in Earnings | 10 | (7) |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | (4) | (1) |
Issues | 6 | 6 |
Sales | 0 | (8) |
Settlements, net | (5) | (4) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 115 | 106 |
Unrealized Gains (Losses) Still Held - Assets | 11 | (8) |
Unrealized Gains (Losses) Still Held, Assets, OCI | 0 | 0 |
Guarantee Asset | ||
Assets: | ||
Beginning Balance | 5,509 | 4,426 |
Included in Earnings | (86) | 99 |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 0 | 0 |
Issues | 488 | 223 |
Sales | 0 | 0 |
Settlements, net | (223) | (183) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 5,688 | 4,565 |
Unrealized Gains (Losses) Still Held - Assets | (86) | 99 |
Unrealized Gains (Losses) Still Held, Assets, OCI | $ 0 | $ 0 |
Fair Value Disclosures - Quanti
Fair Value Disclosures - Quantitative Information about Recurring Level 3 Fair Value Measurements (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2021 | Dec. 31, 2020 | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | $ 7,591 | $ 15,367 |
Liabilities [Abstract] | ||
Debt instrument recorded at fair value | 2,364 | 2,592 |
Held by consolidated trusts | ||
Liabilities [Abstract] | ||
Debt instrument recorded at fair value | 262 | 205 |
Agency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 6,555 | 14,304 |
Non-agency and other | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 1,036 | 1,063 |
Fair Value, Measurements, Recurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 7,591 | 15,367 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 54,289 | 44,458 |
Other assets: | ||
Guarantee Assets Fair Value Disclosure | 5,688 | 5,509 |
Total Assets carried at fair value on a recurring basis | 77,952 | 81,004 |
Liabilities [Abstract] | ||
Total liabilities carried at fair value on a recurring basis | 3,319 | 3,550 |
Fair Value, Measurements, Recurring | Held by consolidated trusts | ||
Liabilities [Abstract] | ||
Debt instrument recorded at fair value | 262 | 205 |
Fair Value, Measurements, Recurring | Mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 23,016 | 17,505 |
Fair Value, Measurements, Recurring | Agency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 6,555 | 14,304 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 23,015 | 17,504 |
Fair Value, Measurements, Recurring | Non-agency and other | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 1,036 | 1,063 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 1,836 | 1,588 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 3,062 | 3,259 |
Other assets: | ||
Guarantee Assets Fair Value Disclosure | 5,688 | 5,509 |
Insignificant level3 assets | 146 | 171 |
Total Assets carried at fair value on a recurring basis | 10,731 | 10,527 |
Liabilities [Abstract] | ||
Insignificant level3 liabilities | 154 | 139 |
Total liabilities carried at fair value on a recurring basis | 414 | 342 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Discounted Cash Flows | ||
Other assets: | ||
Guarantee Assets Fair Value Disclosure | 5,300 | 5,195 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Other | ||
Other assets: | ||
Guarantee Assets Fair Value Disclosure | 388 | 314 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Held by consolidated trusts | ||
Liabilities [Abstract] | ||
Debt instrument recorded at fair value | 260 | 203 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Held by consolidated trusts | Single External Source | ||
Liabilities [Abstract] | ||
Debt instrument recorded at fair value | 204 | 203 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Held by consolidated trusts | Other | ||
Liabilities [Abstract] | ||
Debt instrument recorded at fair value | 56 | |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 3,062 | 3,259 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Agency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 801 | 526 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 3,061 | 3,258 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Agency | Single External Source | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 2,360 | 2,204 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Agency | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 690 | 410 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 364 | 472 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Agency | Other | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 111 | 116 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 337 | 583 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Non-agency and other | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 1,035 | 1,062 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Non-agency and other | Median of external sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 879 | 875 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Non-agency and other | Other | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | $ 156 | $ 187 |
Fair Value, Measurements, Recurring | Debt | Fair Value, Inputs, Level 3 | Held by consolidated trusts | Weighted Average | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 102.2 | 101.7 |
Fair Value, Measurements, Recurring | Debt | Fair Value, Inputs, Level 3 | Held by consolidated trusts | Minimum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 99.8 | 97.3 |
Fair Value, Measurements, Recurring | Debt | Fair Value, Inputs, Level 3 | Held by consolidated trusts | Maximum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 106.9 | 107 |
Fair Value, Measurements, Recurring | Available-for-sale securities | Fair Value, Inputs, Level 3 | Agency | Weighted Average | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 0.66% | 0.90% |
Fair Value, Measurements, Recurring | Available-for-sale securities | Fair Value, Inputs, Level 3 | Agency | Minimum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 0.36% | 0.90% |
Fair Value, Measurements, Recurring | Available-for-sale securities | Fair Value, Inputs, Level 3 | Agency | Maximum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 0.89% | 0.90% |
Fair Value, Measurements, Recurring | Available-for-sale securities | Fair Value, Inputs, Level 3 | Non-agency and other | Weighted Average | Median of external sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 72 | 72.8 |
Fair Value, Measurements, Recurring | Available-for-sale securities | Fair Value, Inputs, Level 3 | Non-agency and other | Minimum | Median of external sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 66.2 | 67.1 |
Fair Value, Measurements, Recurring | Available-for-sale securities | Fair Value, Inputs, Level 3 | Non-agency and other | Maximum | Median of external sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 79.3 | 79.1 |
Fair Value, Measurements, Recurring | Trading securities | Fair Value, Inputs, Level 3 | Agency | Weighted Average | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 970.5 | 947.8 |
Fair Value, Measurements, Recurring | Trading securities | Fair Value, Inputs, Level 3 | Agency | Weighted Average | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 5.96% | 8.34% |
Fair Value, Measurements, Recurring | Trading securities | Fair Value, Inputs, Level 3 | Agency | Minimum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 0 | 0 |
Fair Value, Measurements, Recurring | Trading securities | Fair Value, Inputs, Level 3 | Agency | Minimum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | (8.11%) | (9.51%) |
Fair Value, Measurements, Recurring | Trading securities | Fair Value, Inputs, Level 3 | Agency | Maximum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 8,257.7 | 8,894.6 |
Fair Value, Measurements, Recurring | Trading securities | Fair Value, Inputs, Level 3 | Agency | Maximum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 560.28% | 29.10% |
Fair Value, Measurements, Recurring | Guarantee Asset | Fair Value, Inputs, Level 3 | Weighted Average | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 0.45% | 0.38% |
Fair Value, Measurements, Recurring | Guarantee Asset | Fair Value, Inputs, Level 3 | Minimum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 0.17% | 0.15% |
Fair Value, Measurements, Recurring | Guarantee Asset | Fair Value, Inputs, Level 3 | Maximum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 1.86% | 1.86% |
Fair Value Disclosures - Asse_2
Fair Value Disclosures - Assets Measured at Fair Value on a Non-Recurring Basis (Details) - Fair Value, Measurements, Nonrecurring - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage loans | $ 1,742 | $ 2,247 |
Level 1 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage loans | 0 | 0 |
Level 2 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage loans | 11 | 6 |
Level 3 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage loans | $ 1,731 | $ 2,241 |
Fair Value Disclosures - Fair_2
Fair Value Disclosures - Fair Value Assets Measured on Nonrecurring Basis Valuation Techniques (Details) - Fair Value, Measurements, Nonrecurring - USD ($) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2021 | Dec. 31, 2020 | |
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage Loans Fair Value Disclosure | $ 1,742,000,000 | $ 2,247,000,000 |
Level 3 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage Loans Fair Value Disclosure | 1,731,000,000 | 2,241,000,000 |
Level 3 | Mortgage loans | Minimum | Internal model | ||
Assets, Fair Value Disclosure [Abstract] | ||
Fair Value Inputs Historical Sale Proceeds | $ 3,431 | $ 3,001 |
Housing Sales Index | 0.69% | 0.66% |
Level 3 | Mortgage loans | Minimum | Median of external sources | ||
Assets, Fair Value Disclosure [Abstract] | ||
External Pricing Source(s) | 60.2 | 59.5 |
Level 3 | Mortgage loans | Maximum | Internal model | ||
Assets, Fair Value Disclosure [Abstract] | ||
Fair Value Inputs Historical Sale Proceeds | $ 595,000 | $ 696,004 |
Housing Sales Index | 6.40% | 3.45% |
Level 3 | Mortgage loans | Maximum | Median of external sources | ||
Assets, Fair Value Disclosure [Abstract] | ||
External Pricing Source(s) | 106 | 104 |
Level 3 | Mortgage loans | Weighted Average | Internal model | ||
Assets, Fair Value Disclosure [Abstract] | ||
Fair Value Inputs Historical Sale Proceeds | $ 209,549 | $ 202,539 |
Housing Sales Index | 1.22% | 1.19% |
Level 3 | Mortgage loans | Weighted Average | Median of external sources | ||
Assets, Fair Value Disclosure [Abstract] | ||
External Pricing Source(s) | 94.5 | 92.1 |
Fair Value Disclosures - Fair_3
Fair Value Disclosures - Fair Value of Financial Instruments (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Financial Assets | ||
Securities purchased under agreement to resell | $ 15,140 | $ 105,003 |
Counterparty netting | (7,930) | 0 |
Investments in Securities [Abstract] | ||
Available-for-sale, at fair value | 7,591 | 15,367 |
Mortgage Loans [Abstract] | ||
Derivative Assets, net | 2,085 | 1,205 |
Other Assets | 5,894 | 5,775 |
Financial Liabilities | ||
Debt, net | 2,364 | 2,592 |
Counterparty netting | (7,930) | 0 |
Derivative Liabilities, net | 950 | 954 |
Other Liabilities | 11,909 | 11,292 |
Held by Freddie Mac | ||
Financial Liabilities | ||
Debt, net | 2,100 | 2,400 |
Held by consolidated trusts | ||
Financial Assets | ||
Securities purchased under agreement to resell | 0 | 38,487 |
Financial Liabilities | ||
Debt, net | 262 | 205 |
Other Liabilities | 1 | 0 |
GAAP Carrying Amount | ||
Financial Assets | ||
Cash and Cash Equivalents | 100,979 | 23,889 |
Securities purchased under agreement to resell | 15,140 | 105,003 |
Investments in Securities [Abstract] | ||
Available-for-sale, at fair value | 7,591 | 15,367 |
Trading, at fair value | 54,289 | 44,458 |
Total investments in securities | 61,880 | 59,825 |
Mortgage Loans [Abstract] | ||
Mortgage loans | 2,507,887 | 2,383,888 |
Derivative Assets, net | 2,085 | 1,205 |
Guarantee Assets | 5,688 | 5,509 |
Non Derivative Purchase Commitments Assets | 91 | 158 |
Advances to lenders | 6,401 | 4,162 |
Secured Lending and Other | 1,632 | 1,680 |
Total Assets at Fair value | 2,701,783 | 2,585,319 |
Financial Liabilities | ||
Debt, net | 2,704,270 | 2,592,546 |
Derivative Liabilities, net | 950 | 954 |
Guarantee obligation | 5,275 | 5,050 |
Non Derivative HFS Purchase Commitment Liabilities | 29 | 20 |
Total Financial Liabilities | 2,710,524 | 2,598,570 |
GAAP Carrying Amount | Held by Freddie Mac | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 112,180 | 110,541 |
Financial Liabilities | ||
Debt, net | 258,441 | 284,370 |
GAAP Carrying Amount | Held by consolidated trusts | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 2,395,707 | 2,273,347 |
Financial Liabilities | ||
Debt, net | 2,445,829 | 2,308,176 |
GAAP Carrying Amount | AmortizedCost | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 2,500,000 | 2,400,000 |
Financial Liabilities | ||
Debt, net | 2,700,000 | 2,600,000 |
GAAP Carrying Amount | LowerOfCostOrFairValue | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 16,800 | 19,500 |
GAAP Carrying Amount | FV - NI | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 8,100 | 14,200 |
Financial Liabilities | ||
Debt, net | 2,400 | 2,600 |
Fair Value | ||
Financial Assets | ||
Cash and Cash Equivalents | 100,979 | 23,889 |
Securities purchased under agreement to resell | 15,140 | 105,003 |
Counterparty netting | (7,930) | 0 |
Investments in Securities [Abstract] | ||
Available-for-sale, at fair value | 7,591 | 15,367 |
Trading, at fair value | 54,289 | 44,458 |
Total investments in securities | 61,880 | 59,825 |
Mortgage Loans [Abstract] | ||
Mortgage loans | 2,549,010 | 2,456,491 |
Derivative Assets, net | 2,085 | 1,205 |
Netting Adjustment | (6,655) | (7,374) |
Guarantee Assets | 5,694 | 5,515 |
Non Derivative Purchase Commitments Assets | 192 | 246 |
Advances to lenders | 6,401 | 4,162 |
Secured Lending and Other | 1,479 | 1,516 |
Total Asset Netting Adjustment | (14,585) | (7,374) |
Total Assets at Fair value | 2,742,860 | 2,657,852 |
Financial Liabilities | ||
Debt, net | 2,736,909 | 2,673,731 |
Counterparty netting | (7,930) | 0 |
Derivative Liabilities, net | 950 | 954 |
Netting Adjustment | (8,199) | (8,194) |
Guarantee obligation | 6,100 | 5,378 |
Non Derivative HFS Purchase Commitment Liabilities | 172 | 144 |
Total Liability Netting Adjustment | (16,129) | (8,194) |
Total Financial Liabilities | 2,744,131 | 2,680,207 |
Fair Value | Held by Freddie Mac | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 115,520 | 113,495 |
Financial Liabilities | ||
Debt, net | 263,976 | 290,722 |
Fair Value | Held by consolidated trusts | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 2,433,490 | 2,342,996 |
Financial Liabilities | ||
Debt, net | 2,472,933 | 2,383,009 |
Fair Value | Level 1 | ||
Financial Assets | ||
Cash and Cash Equivalents | 100,979 | 23,889 |
Securities purchased under agreement to resell | 0 | 0 |
Investments in Securities [Abstract] | ||
Available-for-sale, at fair value | 0 | 0 |
Trading, at fair value | 30,208 | 26,255 |
Total investments in securities | 30,208 | 26,255 |
Mortgage Loans [Abstract] | ||
Mortgage loans | 0 | 0 |
Derivative assets at fair value | 30 | 0 |
Guarantee Assets | 0 | 0 |
Non Derivative Purchase Commitments Assets | 0 | 0 |
Advances to lenders | 0 | 0 |
Secured Lending and Other | 0 | 0 |
Total Assets at Fair value | 131,217 | 50,144 |
Financial Liabilities | ||
Debt, net | 0 | 0 |
Derivative liabilities at fair value | 0 | 0 |
Guarantee obligation | 0 | 0 |
Non Derivative HFS 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 |
Financial Liabilities | ||
Debt, net | 0 | 0 |
Fair Value | Level 1 | Held by consolidated trusts | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 0 | 0 |
Financial Liabilities | ||
Debt, net | 0 | 0 |
Fair Value | Level 2 | ||
Financial Assets | ||
Cash and Cash Equivalents | 0 | 0 |
Securities purchased under agreement to resell | 23,070 | 105,003 |
Investments in Securities [Abstract] | ||
Available-for-sale, at fair value | 5,755 | 13,779 |
Trading, at fair value | 21,019 | 14,944 |
Total investments in securities | 26,774 | 28,723 |
Mortgage Loans [Abstract] | ||
Mortgage loans | 2,252,982 | 2,157,604 |
Derivative assets at fair value | 8,680 | 8,516 |
Guarantee Assets | 0 | 0 |
Non Derivative Purchase Commitments Assets | 192 | 246 |
Advances to lenders | 0 | 0 |
Secured Lending and Other | 1,430 | 1,427 |
Total Assets at Fair value | 2,313,128 | 2,301,519 |
Financial Liabilities | ||
Debt, net | 2,740,171 | 2,668,791 |
Derivative liabilities at fair value | 9,115 | 9,132 |
Guarantee obligation | 0 | 0 |
Non Derivative HFS Purchase Commitment Liabilities | 5 | 1 |
Total Financial Liabilities | 2,749,291 | 2,677,924 |
Fair Value | Level 2 | Held by Freddie Mac | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 77,983 | 76,917 |
Financial Liabilities | ||
Debt, net | 268,093 | 286,634 |
Fair Value | Level 2 | Held by consolidated trusts | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 2,174,999 | 2,080,687 |
Financial Liabilities | ||
Debt, net | 2,472,078 | 2,382,157 |
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 | 1,836 | 1,588 |
Trading, at fair value | 3,062 | 3,259 |
Total investments in securities | 4,898 | 4,847 |
Mortgage Loans [Abstract] | ||
Mortgage loans | 296,028 | 298,887 |
Derivative assets at fair value | 30 | 63 |
Guarantee Assets | 5,694 | 5,515 |
Non Derivative Purchase Commitments Assets | 0 | 0 |
Advances to lenders | 6,401 | 4,162 |
Secured Lending and Other | 49 | 89 |
Total Assets at Fair value | 313,100 | 313,563 |
Financial Liabilities | ||
Debt, net | 4,668 | 4,940 |
Derivative liabilities at fair value | 34 | 16 |
Guarantee obligation | 6,100 | 5,378 |
Non Derivative HFS Purchase Commitment Liabilities | 167 | 143 |
Total Financial Liabilities | 10,969 | 10,477 |
Fair Value | Level 3 | Held by Freddie Mac | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 37,537 | 36,578 |
Financial Liabilities | ||
Debt, net | 3,813 | 4,088 |
Fair Value | Level 3 | Held by consolidated trusts | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 258,491 | 262,309 |
Financial Liabilities | ||
Debt, net | $ 855 | $ 852 |
Fair Value Disclosures - Differ
Fair Value Disclosures - Difference between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Loans Held For Sale, Fair Value | $ 8,093 | $ 14,199 |
Loans Held For Sale, Unpaid Principal Balance, With Fair Value Option Elected | 7,884 | 13,400 |
Fair Value, Option, Aggregate Differences, Loans and Long-term Receivables | 209 | 799 |
NonDerivativeHFSPurchaseCommitmentnet | 86 | 157 |
Held by Freddie Mac | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-Term Debt, Fair Value | 1,915 | 2,216 |
Long-Term Debt, Unpaid Principal Balance, with Fair Value Option Elected | 1,896 | 2,189 |
Fair Value, Option, Aggregate Differences, Long-term Debt Instruments | 19 | 27 |
Held by consolidated trusts | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-Term Debt, Fair Value | 204 | 203 |
Long-Term Debt, Unpaid Principal Balance, with Fair Value Option Elected | 200 | 200 |
Fair Value, Option, Aggregate Differences, Long-term Debt Instruments | 4 | 3 |
Interest-Only | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-Term Debt, Fair Value | $ 245 | $ 173 |
Fair Value Disclosures Fair Val
Fair Value Disclosures Fair Value Disclosures - Changes in Fair Value under the FVO option (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Loans Receivable | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ (451) | $ 638 |
HFS loan purchase commitments | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 195 | 532 |
Long-term Debt | Held by Freddie Mac | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 8 | 548 |
Long-term Debt | Held by consolidated trusts | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ (4) | $ 4 |
Legal Contingencies (Details)
Legal Contingencies (Details) $ in Millions | Mar. 14, 2013numberofloans | Sep. 20, 2013USD ($) |
LIBOR Lawsuit | ||
Loss Contingencies [Line Items] | ||
Number of defendants | numberofloans | 16 | |
Arrowood lawsuit | Arrowood Indemnity Company | ||
Loss Contingencies [Line Items] | ||
Preferred Stock, Value, Outstanding | $ | $ 42 |
Regulatory Capital Regulatory C
Regulatory Capital Regulatory Capital - Net Worth and Minimum Capital (Details) - USD ($) $ in Millions | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | Dec. 31, 2019 |
Net Worth and Minimum Capital [Abstract] | ||||
GAAP net worth (deficit) | $ 18,791 | $ 16,413 | $ 9,504 | $ 9,122 |
Core capital (deficit) | (54,111) | (56,878) | ||
Minimum capital requirement | 23,068 | 22,694 | ||
Minimum capital surplus (deficit) | $ (77,179) | $ (79,572) |