Federal Home Loan Mortgage (FMCC) 8-K Comprehensive Income of $2.9 Billion for Second Quarter 2012

Exhibit 99.2

FREDDIE MAC SECOND QUARTER 2012 FINANCIAL RESULTS FINANCIAL STATEMENTS AND CORE TABLES  

TABLE OF CONTENTS

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

FREDDIE MAC

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME

(unaudited)

		Three Months Ended															Six Months Ended
Line:		June 30, 2011			September 30, 2011			December 31, 2011			March 31, 2012			June 30, 2012			June 30, 2011			June 30, 2012
		(in millions, except share-related amounts)
	Interest income
	Mortgage loans:
1	Held by consolidated trusts	$	19,782		$	19,140		$	18,172		$	17,468		$	16,806		$	39,846		$	34,274
2	Unsecuritized		2,274			2,282			2,234			2,312			2,224			4,608			4,536
3	Total mortgage loans		22,056			21,422			20,406			19,780			19,030			44,454			38,810
4	Investments in securities		3,275			3,150			3,083			2,938			2,777			6,558			5,715
5	Other		18			8			7			13			21			52			34
6	Total interest income		25,349			24,580			23,496			22,731			21,828			51,064			44,559
	Interest expense
7	Debt securities of consolidated trusts		(17,261	)		(16,715	)		(15,740	)		(15,253	)		(14,625	)		(34,664	)		(29,878	)
8	Other debt		(3,333	)		(3,072	)		(2,899	)		(2,816	)		(2,660	)		(6,898	)		(5,476	)
9	Total interest expense		(20,594	)		(19,787	)		(18,639	)		(18,069	)		(17,285	)		(41,562	)		(35,354	)
10	Expense related to derivatives		(194	)		(180	)		(174	)		(162	)		(157	)		(401	)		(319	)
11	Net interest income		4,561			4,613			4,683			4,500			4,386			9,101			8,886
12	Provision for credit losses		(2,529	)		(3,606	)		(2,578	)		(1,825	)		(155	)		(4,518	)		(1,980	)
13	Net interest income after provision for credit losses		2,032			1,007			2,105			2,675			4,231			4,583			6,906
	Non-interest income (loss)
14	Gains (losses) on extinguishment of debt securities of consolidated trusts		(125	)		(310	)		(7	)		(4	)		(1	)		98			(5	)
15	Gains (losses) on retirement of other debt		3			19			10			(21	)		(45	)		15			(66	)
16	Gains (losses) on debt recorded at fair value		(37	)		133			76			(17	)		62			(118	)		45
17	Derivative gains (losses)		(3,807	)		(4,752	)		(766	)		(1,056	)		(882	)		(4,234	)		(1,938	)
	Impairment of available-for-sale securities:
18	Total other-than-temporary impairment of available-for-sale securities		(230	)		(459	)		(358	)		(475	)		(135	)		(1,284	)		(610	)
19	Portion of other-than-temporary impairment recognized in AOCI		(122	)		298			(237	)		(89	)		37			(261	)		(52	)
20	Net impairment of available-for-sale securities recognized in earnings		(352	)		(161	)		(595	)		(564	)		(98	)		(1,545	)		(662	)
21	Other gains (losses) on investment securities recognized in earnings		209			(541	)		(444	)		(288	)		(356	)		89			(644	)
22	Other income		252			814			755			434			569			586			1,003
23	Non-interest income (loss)		(3,857	)		(4,798	)		(971	)		(1,516	)		(751	)		(5,109	)		(2,267	)
	Non-interest expense
24	Salaries and employee benefits		(219	)		(212	)		(194	)		(176	)		(227	)		(426	)		(403	)
25	Professional services		(64	)		(73	)		(77	)		(71	)		(81	)		(120	)		(152	)
26	Occupancy expense		(15	)		(14	)		(18	)		(14	)		(14	)		(30	)		(28	)
27	Other administrative expenses		(86	)		(82	)		(91	)		(76	)		(79	)		(169	)		(155	)
28	Total administrative expenses		(384	)		(381	)		(380	)		(337	)		(401	)		(745	)		(738	)
29	Real estate owned operations income (expense)		(27	)		(221	)		(80	)		(171	)		30			(284	)		(141	)
30	Other expenses		(135	)		(85	)		(93	)		(88	)		(165	)		(214	)		(253	)
31	Non-interest expense		(546	)		(687	)		(553	)		(596	)		(536	)		(1,243	)		(1,132	)
32	Income (loss) before income tax benefit		(2,371	)		(4,478	)		581			563			2,944			(1,769	)		3,507
33	Income tax benefit		232			56			38			14			76	��		306			90
34	Net income (loss)		(2,139	)		(4,422	)		619			577			3,020			(1,463	)		3,597
	Other comprehensive income (loss), net of taxes and reclassification adjustments:
35	Changes in unrealized gains (losses) related to available-for-sale securities		903			(80	)		701			1,147			(238	)		2,844			909
36	Changes in unrealized gains (losses) related to cash flow hedge relationships		135			124			118			111			107			267			218
37	Changes in defined benefit plans		1			2			68			(46	)		3			(8	)		(43	)
38	Total other comprehensive income (loss), net of taxes and reclassification adjustments		1,039			46			887			1,212			(128	)		3,103			1,084
39	Comprehensive income (loss)	$	(1,100	)	$	(4,376	)	$	1,506		$	1,789		$	2,892		$	1,640		$	4,681
40	Net income (loss)	$	(2,139	)	$	(4,422	)	$	619		$	577		$	3,020		$	(1,463	)	$	3,597
41	Preferred stock dividends		(1,617	)		(1,618	)		(1,658	)		(1,804	)		(1,808	)		(3,222	)		(3,612	)
42	Net income (loss) attributable to common stockholders	$	(3,756	)	$	(6,040	)	$	(1,039	)	$	(1,227	)	$	1,212		$	(4,685	)	$	(15	)
	Net income (loss) per common share:
43	Basic	$	(1.16	)	$	(1.86	)	$	(0.32	)	$	(0.38	)	$	0.37		$	(1.44	)	$	—
44	Diluted	$	(1.16	)	$	(1.86	)	$	(0.32	)	$	(0.38	)	$	0.37		$	(1.44	)	$	—
	Weighted average common shares outstanding (in thousands):
45	Basic		3,244,967			3,244,496			3,243,183			3,241,502			3,239,711			3,245,970			3,240,627
46	Diluted		3,244,967			3,244,496			3,243,183			3,241,502			3,239,711			3,245,970			3,240,627

2

FREDDIE MAC

CONSOLIDATED BALANCE SHEETS

(unaudited)

Line:		June 30, 2011			September 30, 2011			December 31, 2011			March 31, 2012			June 30, 2012
		(in millions, except share-related amounts)
	Assets
1	Cash and cash equivalents (includes $1, $1, $2, $1, and $1, respectively, related to our consolidated VIEs)	$	17,488		$	18,174		$	28,442		$	8,569		$	19,182
2	Restricted cash and cash equivalents (includes $1,850, $25,180, $27,675, $27,332, and $9,905, respectively, related to our consolidated VIEs)		2,333			25,695			28,063			27,790			10,240
3	Federal funds sold and securities purchased under agreements to resell (includes $13,950, $0, $0, $3,000,and $18,250, respectively, related to our consolidated VIEs)		33,609			10,596			12,044			24,349			38,858
	Investments in securities:
4	Available-for-sale, at fair value (includes $244, $224, $204, $187, and $166, respectively, pledged as collateral that may be repledged)		222,849			216,584			210,659			202,422			194,098
5	Trading, at fair value		54,764			55,298			58,830			58,319			47,436
6	Total investments in securities		277,613			271,882			269,489			260,741			241,534
	Mortgage loans:
	Held-for-investment, at amortized cost:
7	By consolidated trusts (net of allowances for loan losses of $8,948, $8,696, $8,351, $7,139, and $6,258, respectively)		1,634,773			1,611,580			1,564,131			1,555,067			1,532,939
8	Unsecuritized (net of allowances for loan losses of $29,919, $30,848, $30,912, $30,925, and $29,298, respectively)		198,568			199,382			207,418			199,945			187,053
9	Total held-for-investment mortgage loans, net		1,833,341			1,810,962			1,771,549			1,755,012			1,719,992
10	Held-for-sale, at lower-of-cost-or-fair-value (includes $4,463, $6,275, $9,710, $11,337, and $10,120 at fair value, respectively)		4,463			6,275			9,710			11,337			10,120
11	Total mortgage loans, net		1,837,804			1,817,237			1,781,259			1,766,349			1,730,112
12	Accrued interest receivable (includes $6,704, $6,535, $6,242, $6,079, and $5,867, respectively, related to our consolidated VIEs)		8,523			8,327			8,062			7,820			7,460
13	Derivative assets, net		246			295			118			182			168
14	Real estate owned, net (includes $83, $64, $60, $67, and $53, respectively, related to our consolidated VIEs)		5,932			5,630			5,680			5,454			4,809
15	Deferred tax assets, net		3,866			3,909			3,546			2,929			3,053
16	Other assets (includes $3,252, $6,158, $6,083, $6,227, and $6,637, respectively, related to our consolidated VIEs)		8,381			10,591			10,513			10,761			10,919
17	Total assets	$	2,195,795		$	2,172,336		$	2,147,216		$	2,114,944		$	2,066,335
	Liabilities and equity (deficit)
	Liabilities
18	Accrued interest payable (includes $6,241, $6,120, $5,943, $5,832, and $5,636, respectively, related to our consolidated VIEs)	$	9,542		$	8,603		$	8,898		$	8,129		$	8,322
	Debt, net:
19	Debt securities of consolidated trusts held by third parties		1,499,036			1,488,036			1,471,437			1,481,622			1,468,613
20	Other debt (includes $3,998, $3,291, $3,015, $2,221, and $2,158 at fair value, respectively)		681,087			674,421			660,546			618,629			581,743
21	Total debt, net		2,180,123			2,162,457			2,131,983			2,100,251			2,050,356
22	Derivative liabilities, net		408			329			435			296			336
23	Other liabilities (includes $400, $293, $3, $2, and $2, respectively, related to our consolidated VIEs)		7,200			6,938			6,046			6,286			6,235
24	Total liabilities		2,197,273			2,178,327			2,147,362			2,114,962			2,065,249
25	Commitments and contingencies
	Equity (deficit)
	Freddie Mac stockholders’ equity (deficit)
26	Senior preferred stock, at redemption value		64,700			66,179			72,171			72,317			72,336
27	Preferred stock, at redemption value		14,109			14,109			14,109			14,109			14,109
28	Common stock		—			—			—			—			—
29	Additional paid-in capital		1			2			3			—			1
30	Retained earnings (accumulated deficit)		(67,449	)		(73,489	)		(74,525	)		(75,775	)		(74,564	)
	Accumulated other comprehensive income (loss), or AOCI, net of taxes, related to:
31	Available-for-sale securities		(6,834	)		(6,914	)		(6,213	)		(5,066	)		(5,304	)
32	Cash flow hedge relationships		(1,972	)		(1,848	)		(1,730	)		(1,619	)		(1,512	)
33	Defined benefit plans		(122	)		(120	)		(52	)		(98	)		(95	)
34	Total AOCI, net of taxes		(8,928	)		(8,882	)		(7,995	)		(6,783	)		(6,911	)
35	Treasury stock, at cost		(3,911	)		(3,910	)		(3,909	)		(3,886	)		(3,885	)
36	Total equity (deficit)		(1,478	)		(5,991	)		(146	)		(18	)		1,086
37	Total liabilities and equity (deficit)	$	2,195,795		$	2,172,336		$	2,147,216		$	2,114,944		$	2,066,335

3

FREDDIE MAC

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

																	Six Months Ended June 30,
		2Q 2011			3Q 2011			4Q 2011			1Q 2012			2Q 2012			2011			2012
	Net Interest Income:
1	Net interest income	$	4,561		$	4,613		$	4,683		$	4,500		$	4,386		$	9,101		$	8,886
	Average Balance:(1)
2	Cash and cash equivalents	$	33,660		$	51,225		$	59,077		$	51,029		$	32,039		$	35,611		$	41,535
3	Federal funds sold and securities purchased under agreements to resell		32,227			16,434			13,703			26,057			37,995			40,044			32,026
	Mortgage-related securities:
4	Mortgage-related securities(2)		450,575			443,135			418,454			383,227			358,279			453,773			370,753
5	Extinguishment of PCs held by Freddie Mac		(166,318	)		(166,356	)		(150,197	)		(125,363	)		(111,351	)		(166,923	)		(118,357	)
6	Total mortgage-related securities, net		284,257			276,779			268,257			257,864			246,928			286,850			252,396
7	Non-mortgage-related securities		26,078			18,175			24,788			28,464			24,779			27,694			26,621
8	Mortgage loans held by consolidated trusts(2)(3)		1,643,680			1,626,583			1,590,993			1,559,823			1,538,134			1,647,123			1,548,978
9	Unsecuritized mortgage loans(3)		242,471			243,162			250,346			254,877			240,693			241,514			247,785
10	Total interest-earning assets		2,262,373			2,232,358			2,207,164			2,178,114			2,120,568			2,278,836			2,149,341
	Debt securities of consolidated trusts:
11	Debt securities of consolidated trusts including PCs held by Freddie Mac(2)		1,656,150			1,641,905			1,612,091			1,580,749			1,560,470			1,660,879			1,570,609
12	Extinguishment of PCs held by Freddie Mac		(166,318	)		(166,356	)		(150,197	)		(125,363	)		(111,351	)		(166,923	)		(118,357	)
13	Total debt securities of consolidated trusts held by third parties		1,489,832			1,475,549			1,461,894			1,455,386			1,449,119			1,493,956			1,452,252
	Other debt:(2)
14	Short-term debt		194,153			188,004			168,238			149,130			128,860			194,488			138,995
15	Long-term debt		500,587			495,188			501,559			496,644			464,966			509,310			480,805
16	Total other debt		694,740			683,192			669,797			645,774			593,826			703,798			619,800
17	Total interest-bearing liabilities		2,184,572			2,158,741			2,131,691			2,101,160			2,042,945			2,197,754			2,072,052
18	Net non-interest-bearing funding		77,801			73,617			75,473			76,954			77,623			81,082			77,289
19	Total funding of interest-earning assets	$	2,262,373		$	2,232,358		$	2,207,164		$	2,178,114		$	2,120,568		$	2,278,836		$	2,149,341
	Yield/Cost:
20	Cash and cash equivalents		0.12	%		0.03	%		0.02	%		0.03	%		0.07	%		0.14	%		0.05	%
21	Federal funds sold and securities purchased under agreements to resell		0.09			0.08			0.10			0.14			0.16			0.13			0.15
	Mortgage-related securities:
22	Mortgage-related securities		4.63			4.56			4.57			4.55			4.51			4.64			4.53
23	Extinguishment of PCs held by Freddie Mac		(4.73	)		(4.61	)		(4.58	)		(4.60	)		(4.58	)		(4.83	)		(4.59	)
24	Total mortgage-related securities, net		4.57			4.53			4.56			4.53			4.48			4.53			4.50
25	Non-mortgage-related securities		0.39			0.40			0.41			0.23			0.22			0.40			0.23
26	Mortgage loans held by consolidated trusts		4.81			4.71			4.57			4.48			4.37			4.84			4.43
27	Unsecuritized mortgage loans		3.75			3.75			3.57			3.63			3.69			3.82			3.66
28	Yield on total interest-earning assets		4.48			4.41			4.26			4.18			4.12			4.48			4.15
	Debt securities of consolidated trusts:
29	Debt securities of consolidated trusts including PCs held by Freddie Mac		(4.64	)		(4.54	)		(4.33	)		(4.22	)		(4.08	)		(4.66	)		(4.15	)
30	Extinguishment of PCs held by Freddie Mac		4.73			4.61			4.58			4.60			4.58			4.83			4.59
31	Total debt securities of consolidated trusts held by third parties		(4.63	)		(4.53	)		(4.31	)		(4.19	)		(4.04	)		(4.64	)		(4.11	)
	Other debt:
32	Short-term debt		(0.19	)		(0.14	)		(0.12	)		(0.11	)		(0.13	)		(0.21	)		(0.12	)
33	Long-term debt		(2.59	)		(2.42	)		(2.27	)		(2.23	)		(2.25	)		(2.63	)		(2.24	)
34	Total other debt		(1.92	)		(1.79	)		(1.73	)		(1.74	)		(1.79	)		(1.96	)		(1.77	)
35	Cost of interest-bearing liabilities		(3.77	)		(3.67	)		(3.50	)		(3.44	)		(3.38	)		(3.78	)		(3.41	)
36	Expense related to derivatives		(0.03	)		(0.03	)		(0.03	)		(0.03	)		(0.03	)		(0.04	)		(0.03	)
37	Impact of net non-interest-bearing funding		0.13			0.12			0.12			0.12			0.12			0.14			0.12
38	Total funding of interest-earning assets		(3.67	)		(3.58	)		(3.41	)		(3.35	)		(3.29	)		(3.68	)		(3.32	)
39	Net interest yield (annualized)		0.81			0.83			0.85			0.83			0.83			0.80			0.83

(1) We calculate average balances based on amortized cost. For most components of the average balances, a daily weighted average balance was calculated for the periods. When daily weighted average balance information was not available, a simple monthly average balance was calculated.

(2) When we purchase multiclass REMICs and Other Structured Securities, we record them as investments in debt securities. Interest income from the investments in debt securities is recognized as well as the interest income from the mortgage loans backing the PCs held by the trusts, which underlie multiclass REMICs and Other Structured Securities. Additionally, the interest expense from the unsecured debt issued to purchase the security is recognized along with the interest expense of the debt issued to third parties of the PC trusts we consolidate which underlie multiclass REMICs and Other Structured Securities.

(3) Non-performing loans, where interest income is generally recognized when collected, are included in average balances.

4

FREDDIE MAC

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

																	Six Months Ended June 30,
		2Q 2011			3Q 2011			4Q 2011			1Q 2012			2Q 2012			2011			2012
	Net Interest Income:
1	Contractual amounts of net interest income(1)	$	4,675		$	4,758		$	4,536		$	4,315		$	4,027		$	9,154		$	8,342
	Amortization income (expense), net:(2)
2	Accretion of impairments on available-for-sale securities(3)		31			18			37			52			65			60			117
	Asset-related amortization expense, net:
3	Mortgage loans held by consolidated trusts		(297	)		(539	)		(834	)		(866	)		(903	)		(569	)		(1,769	)
4	Unsecuritized mortgage loans		48			45			33			25			39			104			64
5	Mortgage-related securities		(83	)		(83	)		(32	)		(21	)		(17	)		(124	)		(38	)
6	Other assets		(27	)		(31	)		(50	)		(75	)		(66	)		(41	)		(141	)
7	Asset-related amortization expense, net		(359	)		(608	)		(883	)		(937	)		(947	)		(630	)		(1,884	)
	Debt-related amortization income (expense), net:
8	Debt securities of consolidated trusts		573			801			1,342			1,398			1,552			1,240			2,950
9	Other long-term debt securities		(165	)		(176	)		(175	)		(166	)		(154	)		(322	)		(320	)
10	Debt-related amortization income, net		408			625			1,167			1,232			1,398			918			2,630
11	Total amortization income, net		80			35			321			347			516			348			863
12	Expense related to derivatives(4)		(194	)		(180	)		(174	)		(162	)		(157	)		(401	)		(319	)
13	Net interest income	$	4,561		$	4,613		$	4,683		$	4,500		$	4,386		$	9,101		$	8,886

(1) Includes the reversal of interest income accrued, net of interest received on a cash basis related to mortgage loans that are on non-accrual status.

(2) Represents amortization related to premiums, discounts, deferred fees and other adjustments to the carrying value of our financial instruments and the reclassification of previously deferred balances from AOCI for certain derivatives in closed cash flow hedge relationships related to individual debt issuances and mortgage purchase transactions.

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

(4) Represents changes in fair value of derivatives in closed cash flow hedge relationships that were previously deferred in AOCI and have been reclassified to earnings as the associated hedged forecasted issuance of debt affects earnings.

5

FREDDIE MAC

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

																	Six Months Ended June 30,
		2Q 2011			3Q 2011			4Q 2011			1Q 2012			2Q 2012			2011			2012
	Non-Interest Income (Loss):
1	Gains (losses) on extinguishment of debt securities of consolidated trusts	$	(125	)	$	(310	)	$	(7	)	$	(4	)	$	(1	)	$	98		$	(5	)
2	Gains (losses) on retirement of other debt		3			19			10			(21	)		(45	)		15			(66	)
	Gains (losses) on debt recorded at fair value:
3	Translation gains (losses)		(46	)		146			57			(19	)		55			(163	)		36
4	Market value adjustments		9			(13	)		19			2			7			45			9
5	Total gains (losses) on debt recorded at fair value		(37	)		133			76			(17	)		62			(118	)		45
	Derivative gains (losses):
	Foreign-currency denominated derivatives gains (losses):
6	Foreign-currency swaps gains (losses)		47			(141	)		(56	)		9			(56	)		156			(47	)
7	Receive-fixed swaps — foreign-currency denominated gains (losses)		(3	)		3			(12	)		(5	)		(10	)		(40	)		(15	)
8	U.S. dollar denominated derivative gains (losses)		(2,499	)		(3,345	)		464			16			146			(1,749	)		162
9	Accrual of periodic settlements		(1,352	)		(1,269	)		(1,162	)		(1,076	)		(962	)		(2,601	)		(2,038	)
10	Total derivative gains (losses)		(3,807	)		(4,752	)		(766	)		(1,056	)		(882	)		(4,234	)		(1,938	)
	Impairment of available-for-sale securities:
11	Total other-than-temporary impairment of available-for-sale securities		(230	)		(459	)		(358	)		(475	)		(135	)		(1,284	)		(610	)
12	Portion of other-than-temporary impairment recognized in AOCI		(122	)		298			(237	)		(89	)		37			(261	)		(52	)
13	Net impairment of available-for-sale securities recognized in earnings		(352	)		(161	)		(595	)		(564	)		(98	)		(1,545	)		(662	)
	Other gains (losses) on investment securities recognized in earnings:
14	Gains (losses) on trading securities		274			(547	)		(481	)		(377	)		(400	)		74			(777	)
15	Gains (losses) on sale of available-for-sale securities		(65	)		6			37			89			44			15			133
16	Total other gains (losses) on investment securities recognized in earnings		209			(541	)		(444	)		(288	)		(356	)		89			(644	)
	Other income:
17	Gains (losses) on sale of mortgage loans		161			46			109			40			44			256			84
18	Gains (losses) on mortgage loans recorded at fair value		136			216			99			139			201			103			340
19	Recoveries on loans impaired upon purchase		132			119			97			89			87			257			176
20	Guarantee-related income		81			40			70			70			130			135			200
21	All other		(258	)		393			380			96			107			(165	)		203
22	Total other income		252			814			755			434			569			586			1,003
23	Total non-interest income (loss)	$	(3,857	)	$	(4,798	)	$	(971	)	$	(1,516	)	$	(751	)	$	(5,109	)	$	(2,267	)

6

FREDDIE MAC

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

																	Six Months Ended June 30,
		2Q 2011			3Q 2011			4Q 2011			1Q 2012			2Q 2012			2011			2012
	Credit Enhancements:
1	Credit-enhanced percentage of mortgage loan portfolio purchases		9	%		10	%		7	%		9	%		11	%		8	%		10	%
2	Credit-enhanced percentage of mortgage loan portfolio(1)		15	%		14	%		14	%		13	%		13	%		15	%		13	%
	Delinquencies Rates: at period end(2)(3)
	Single-family:
3	Non-credit-enhanced		2.75	%		2.77	%		2.84	%		2.80	%		2.76	%		2.75	%		2.76	%
4	Credit-enhanced		7.67	%		7.70	%		8.03	%		8.02	%		7.85	%		7.67	%		7.85	%
5	Total Single-family		3.50	%		3.51	%		3.58	%		3.51	%		3.45	%		3.50	%		3.45	%
	Multifamily
6	Non-credit-enhanced		0.19	%		0.18	%		0.11	%		0.16	%		0.19	%		0.19	%		0.19	%
7	Credit-enhanced		0.70	%		0.77	%		0.52	%		0.39	%		0.44	%		0.70	%		0.44	%
8	Total Multifamily		0.31	%		0.33	%		0.22	%		0.23	%		0.27	%		0.31	%		0.27	%
	Single-family loan workouts(4) (number of units):
9	Loan modifications		31,049			23,919			19,048			13,677			15,142			66,207			28,819
10	Repayment plans		7,981			8,333			8,008			10,575			8,712			17,080			19,287
11	Forbearance agreements		3,709			4,262			3,867			3,656			4,738			11,387			8,394
12	Short sales and deed-in-lieu transactions		11,038			11,744			12,675			12,245			12,531			21,744			24,776
13	Total single-family loan workouts		53,777			48,258			43,598			40,153			41,123			116,418			81,276
	Non-performing assets(3) (at period end):
14	Non-performing mortgage loans	$	117,929		$	122,273		$	123,472		$	122,497		$	121,419		$	117,929		$	121,419
15	REO assets, net		5,932			5,630			5,680			5,454			4,809			5,932			4,809
16	Total non-performing assets	$	123,861		$	127,903		$	129,152		$	127,951		$	126,228		$	123,861		$	126,228
	REO Operations Income (Expense):
17	Single-family	$	(35	)	$	(226	)	$	(78	)	$	(172	)	$	34			(292	)		(138	)
18	Multifamily		8			5			(2	)		1			(4	)		8			(3	)
19	Total	$	(27	)	$	(221	)	$	(80	)	$	(171	)	$	30		$	(284	)	$	(141	)
	Loan Loss Reserves:(5)
20	Beginning balance	$	39,305		$	39,095		$	39,744		$	39,461		$	38,296		$	39,926		$	39,461
21	Provision for credit losses(6)		2,529			3,606			2,578			1,825			155			4,518			1,980
22	Charge-offs — single-family, net		(2,968	)		(3,114	)		(3,026	)		(3,162	)		(2,818	)		(5,831	)		(5,980	)
23	Charge-offs — multifamily, net		(29	)		(8	)		(25	)		(1	)		(7	)		(41	)		(8	)
24	Transfers, net		258			165			190			173			168			523			341
25	Ending balance	$	39,095		$	39,744		$	39,461		$	38,296		$	35,794		$	39,095		$	35,794
	Total Credit Losses:(7)
26	Total credit losses	$	3,127		$	3,451		$	3,236		$	3,435		$	2,869		$	6,365		$	6,304
27	Annualized credit losses / average mortgage loan portfolio(8)		64.9 bps			72.1 bps			68.5 bps			73.6 bps			62.5 bps			66.0 bps			68.1 bps

(1) Based on the total mortgage portfolio, excluding non-Freddie Mac mortgage-related securities and that portion of REMICs and Other Structured Securities that is backed by Ginnie Mae Certificates.

(2) Single-family delinquencies are based on the number of loans three monthly payments or more past due or in foreclosure while multifamily delinquencies are based on UPB of loans two monthly payments or more past due or in foreclosure. Delinquencies exclude loans whose original contractual terms have been modified under an agreement with the borrower as long as the borrower complies with the modified contractual terms. See “MD&A — RISK MANAGEMENT — Credit Risk —Mortgage Credit Risk” in our 2011 Form 10-K for the year ended December 31, 2011, for further information about our reported delinquency rates.

(3) Based on loans held by us on our consolidated balance sheets as well as those underlying Freddie Mac issued mortgage-related securities and other guarantee commitments.

(4) Represents completed activities and excludes those modification, repayment and forbearance activities for which the borrower has started the required process, but the actions have not been made permanent, or effective, such as loans in modification trial periods. These categories are not mutually exclusive and a loan in the category may also be included within another category. Many borrowers complete a short-term forbearance agreement before one of the other alternatives is pursued or completed. We only report activity for a single loan in the forbearance category once during each quarterly period; however a single loan may be included under separate forbearance agreements in separate periods. Forbearance agreements exclude loans with long-term forbearance under a completed loan modification. For more information on our loan workout activities see “MD&A — CREDIT RISKS —Single-Family Mortgage Credit Risk — Single-Family Loan Workouts and the MHA Program” in our 2011 Form 10-K for the year ended December 31, 2011.

(5) Loan loss reserves equals the sum of allowance for loan losses (consolidated balance sheets — Lines 7 and 8) and reserve for guarantee losses, which is a component of Other liabilities (Line 23).

(6) Provision for credit losses includes our provision for losses incurred on our loans held for investment and our provision for guarantee losses incurred on loans underlying non-consolidated Freddie Mac issued mortgage-related securities and other guarantee commitments.

(7) Equal to charge-offs, and REO operations income (expense), net of recoveries

(8) Calculated based on the average total mortgage portfolio, excluding non-Freddie Mac mortgage-related securities and that portion of REMICs and Other Structured Securities that is backed by Ginnie Mae Certificates.

7

FREDDIE MAC

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

																	Six Months Ended June 30,
		2Q 2011			3Q 2011			4Q 2011			1Q 2012			2Q 2012			2011			2012
	Segment Earnings, net of taxes:
1	Investments segment	$	10		$	(1,079	)	$	2,298		$	1,628		$	2,468		$	2,147		$	4,096
2	Single-family Guarantee segment		(2,386	)		(3,545	)		(2,249	)		(1,675	)		241			(4,206	)		(1,434	)
3	Multifamily segment		200			205			555			624			318			559			942
4	All Other		37			(3	)		15			—			(7	)		37			(7	)
5	Total Segment Earnings (loss), net of taxes	$	(2,139	)	$	(4,422	)	$	619		$	577		$	3,020		$	(1,463	)	$	3,597
	Comprehensive Income (Loss) of Segments:
6	Investments segment	$	643		$	268		$	2,299		$	1,963		$	2,495		$	3,906		$	4,458
7	Single-family Guarantee segment		(2,385	)		(3,545	)		(2,216	)		(1,698	)		242			(4,209	)		(1,456	)
8	Multifamily segment		605			(1,096	)		1,408			1,524			162			1,906			1,686
9	All Other		37			(3	)		15			—			(7	)		37			(7	)
10	Total comprehensive income (loss) of segments	$	(1,100	)	$	(4,376	)	$	1,506		$	1,789		$	2,892		$	1,640		$	4,681
	Net interest yield - Segment Earnings (annualized):
11	Investments segment		126 bps			134 bps			138 bps			129 bps			124 bps			118 bps			127 bps
12	Multifamily segment		83 bps			87 bps			85 bps			90 bps			96 bps			79 bps			93 bps
	Management and guarantee income - Segment Earnings (annualized):
13	Single-family Guarantee segment		18.7 bps			20.3 bps			23.0 bps			23.2 bps			24.1 bps			18.9 bps			23.6 bps
14	Multifamily segment		43.0 bps			41.5 bps			39.7 bps			38.7 bps			36.2 bps			44.7 bps			37.4 bps
	Credit losses - Segment Earnings (annualized):
15	Single-family Guarantee segment		68.4 bps			76.3 bps			72.4 bps			78.6 bps			66.7 bps			69.7 bps			72.7 bps
16	Multifamily segment		7.6 bps			4.0 bps			9.1 bps			— bps			3.8 bps			5.9 bps			1.9 bps

(1) See “NOTE 13: SEGMENT REPORTING” in our Form 10-Q for the quarter ended June 30, 2012 for more information regarding Segment Earnings.

(2) The sum of Segment Earnings for each segment and the All Other category equals GAAP net income (loss). Likewise, the sum of total comprehensive income (loss) for each segment and the All Other category equals GAAP total comprehensive income (loss).

8

FREDDIE MAC

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

																	Six Months Ended June 30,
		2Q 2011			3Q 2011			4Q 2011			1Q 2012			2Q 2012			2011			2012
	Segment Earnings, net of taxes:
1	Net interest income	$	1,826		$	1,905		$	1,955		$	1,763		$	1,559		$	3,479		$	3,322
	Non-interest income (loss):
2	Net impairment of available-for-sale securities recognized in earnings		(139	)		(116	)		(549	)		(496	)		(14	)		(1,168	)		(510	)
3	Derivative gains (losses)		(2,156	)		(3,144	)		600			200			236			(1,053	)		436
4	Gains (losses) on trading securities		256			(525	)		(490	)		(398	)		(413	)		22			(811	)
5	Gains (losses) on sale of mortgage loans		4			—			12			(14	)		6			16			(8	)
6	Gains (losses) on mortgage loans recorded at fair value		167			358			59			(38	)		257			84			219
7	Other non-interest income (loss)		(184	)		345			564			513			673			357			1,186
8	Total non-interest income (loss)		(2,052	)		(3,082	)		196			(233	)		745			(1,742	)		512
	Non-interest expense:
9	Administrative expenses		(101	)		(97	)		(105	)		(92	)		(108	)		(196	)		(200	)
10	Other non-interest expense		(1	)		(1	)		—			—			—			(1	)		—
11	Total non-interest expense		(102	)		(98	)		(105	)		(92	)		(108	)		(197	)		(200	)
12	Segment adjustments		126			137			195			155			164			329			319
13	Segment Earnings (loss) before income tax benefit		(202	)		(1,138	)		2,241			1,593			2,360			1,869			3,953
14	Income tax benefit		212			59			57			35			108			278			143
15	Segment Earnings (loss), net of taxes		10			(1,079	)		2,298			1,628			2,468			2,147			4,096
16	Total other comprehensive income, net of taxes		633			1,347			1			335			27			1,759			362
17	Comprehensive income — Investments segment	$	643		$	268		$	2,299		$	1,963		$	2,495		$	3,906		$	4,458
18	Net interest yield — Segment Earnings (annualized)		126 bps			134 bps			138 bps			129 bps			124 bps			118 bps			127 bps

(1) See “NOTE 13: SEGMENT REPORTING” in our Form 10-Q for the quarter ended June 30, 2012 for more information regarding Segment Earnings.

(2) Segment Earnings for the Investments segment equals GAAP net income (loss) for the Investments segment.

9

FREDDIE MAC

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

																	Six Months Ended June 30,
		2Q 2011			3Q 2011			4Q 2011			1Q 2012			2Q 2012			2011			2012
	Segment Earnings, net of taxes:
1	Net interest income (expense)	$	(30	)	$	(98	)	$	5		$	(32	)	$	(1	)	$	70		$	(33	)
2	Provision for credit losses		(2,886	)		(4,008	)		(3,116	)		(2,184	)		(462	)		(5,170	)		(2,646	)
	Non-interest income:
3	Management and guarantee income		848			913			1,016			1,011			1,026			1,718			2,037
4	Other non-interest income		208			331			466			181			171			419			352
5	Total non-interest income		1,056			1,244			1,482			1,192			1,197			2,137			2,389
	Non-interest expense:
6	Administrative expenses		(228	)		(227	)		(218	)		(193	)		(232	)		(443	)		(425	)
7	REO operations income (expense)		(35	)		(226	)		(78	)		(172	)		34			(292	)		(138	)
8	Other non-interest expense		(106	)		(69	)		(80	)		(73	)		(82	)		(172	)		(155	)
9	Total non-interest expense		(369	)		(522	)		(376	)		(438	)		(280	)		(907	)		(718	)
10	Segment adjustments		(143	)		(161	)		(210	)		(196	)		(192	)		(328	)		(388	)
11	Segment Earnings (loss) before income tax (expense) benefit		(2,372	)		(3,545	)		(2,215	)		(1,658	)		262			(4,198	)		(1,396	)
12	Income tax (expense) benefit		(14	)		—			(34	)		(17	)		(21	)		(8	)		(38	)
13	Segment Earnings (loss), net of taxes		(2,386	)		(3,545	)		(2,249	)		(1,675	)		241			(4,206	)		(1,434	)
14	Total other comprehensive income (loss), net of taxes		1			—			33			(23	)		1			(3	)		(22	)
15	Comprehensive income (loss) — Single-family Guarantee segment	$	(2,385	)	$	(3,545	)	$	(2,216	)	$	(1,698	)	$	242		$	(4,209	)	$	(1,456	)
	Management and guarantee income — Segment Earnings:
16	Contractual management and guarantee fees (annualized rate)		13.7 bps			13.8 bps			14.1 bps			14.3 bps			14.8 bps			13.6 bps			14.5 bps
17	Amortization of delivery fees (annualized rate)		5.0 bps			6.5 bps			8.9 bps			8.9 bps			9.3 bps			5.3 bps			9.1 bps
18	Segment Earnings management and guarantee income (annualized rate)		18.7 bps			20.3 bps			23.0 bps			23.2 bps			24.1 bps			18.9 bps			23.6 bps
	Credit losses — Segment Earnings:
19	Annualized credit losses/average single-family credit guarantee portfolio and HFA-related guarantees		68.4 bps			76.3 bps			72.4 bps			78.6 bps			66.7 bps			69.7 bps			72.7 bps

(1) See “NOTE 13: SEGMENT REPORTING” in our Form 10-Q for the quarter ended June 30, 2012 for more information regarding Segment Earnings.

(2) Segment Earnings for the Single-family Guarantee segment equals GAAP net income (loss) for the Single-family Guarantee segment.

10

FREDDIE MAC

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

																		Six Months Ended June 30,
		2Q 2011				3Q 2011			4Q 2011			1Q 2012			2Q 2012			2011			2012
	Segment Earnings, net of taxes:
1	Net interest income	$	304			$	314		$	303		$	318		$	330		$	583		$	648
2	(Provision) benefit for credit losses		13				37			86			19			22			73			41
	Non-interest income (loss):
3	Management and guarantee income		30				32			37			33			36			58			69
4	Net impairment of available-for-sale securities recognized in earnings		(182	)			(27	)		(9	)		(16	)		(19	)		(317	)		(35	)
5	Gains (losses) on sale of mortgage loans		157				46			97			54			38			240			92
6	Gains (losses) on mortgage loans recorded at fair value		(31	)	��		(142	)		40			177			(56	)		19			121
7	Other non-interest income (loss)		(13	)			12			73			109			119			43			228
8	Total non-interest income (loss)		(39	)			(79	)		238			357			118			43			475
	Non-interest expense:
9	Administrative expenses		(55	)			(57	)		(57	)		(52	)		(61	)		(106	)		(113	)
10	REO operations income (expense)		8				5			(2	)		1			(4	)		8			(3	)
11	Other non-interest expense		(28	)			(15	)		(13	)		(15	)		(83	)		(41	)		(98	)
12	Total non-interest expense		(75	)			(67	)		(72	)		(66	)		(148	)		(139	)		(214	)
13	Segment Earnings before income tax benefit (expense)		203				205			555			628			322			560			950
14	Income tax benefit (expense)		(3	)			—			—			(4	)		(4	)		(1	)		(8	)
15	Segment Earnings, net of taxes		200				205			555			624			318			559			942
16	Total other comprehensive income, net of taxes		405				(1,301	)		853			900			(156	)		1,347			744
17	Comprehensive income — Multifamily segment	$	605			$	(1,096	)	$	1,408		$	1,524		$	162		$	1,906		$	1,686
18	Net interest yield — Segment Earnings (annualized)		83 bps				87 bps			85 bps			90 bps			96 bps			79 bps			93 bps
	Management and guarantee income — Segment Earnings:
19	Average contractual rate (annualized)(3)		43.0 bps				41.5 bps			39.7 bps			38.7 bps			36.2 bps			44.7 bps			37.4 bps
	Credit losses — Segment Earnings:
20	Annualized credit losses/average multifamily mortgage portfolio and HFA-related guarantees		7.6 bps				4.0 bps			9.1 bps			— bps			3.8 bps			5.9 bps			1.9 bps

(1) See “NOTE 13: SEGMENT REPORTING” in our Form 10-Q for the quarter ended June 30, 2012 for more information regarding Segment Earnings.

(2) Segment Earnings for the Multifamily segment equals GAAP net income for the Multifamily segment.

(3) Excludes prepayment and certain other fees.

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