Federal Home Loan Mortgage (FMCC) 8-K Comprehensive Income of $5.6 Billion for Third Quarter 2012

Exhibit 99.2

FREDDIE MAC THIRD 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															Nine Months Ended
Line:		September 30, 2011			December 31, 2011			March 31, 2012			June 30, 2012			September 30, 2012			September 30, 2011			September 30, 2012
		(in millions, except share-related amounts)
	Interest income
	Mortgage loans:
1	Held by consolidated trusts	$	19,140		$	18,172		$	17,468		$	16,806		$	15,838		$	58,986		$	50,112
2	Unsecuritized		2,282			2,234			2,312			2,224			2,108			6,890			6,644
3	Total mortgage loans		21,422			20,406			19,780			19,030			17,946			65,876			56,756
4	Investments in securities		3,150			3,083			2,938			2,777			2,522			9,708			8,237
5	Other		8			7			13			21			26			60			60
6	Total interest income		24,580			23,496			22,731			21,828			20,494			75,644			65,053
	Interest expense
7	Debt securities of consolidated trusts		(16,715	)		(15,740	)		(15,253	)		(14,625	)		(13,584	)		(51,379	)		(43,462	)
8	Other debt		(3,072	)		(2,899	)		(2,816	)		(2,660	)		(2,493	)		(9,970	)		(7,969	)
9	Total interest expense		(19,787	)		(18,639	)		(18,069	)		(17,285	)		(16,077	)		(61,349	)		(51,431	)
10	Expense related to derivatives		(180	)		(174	)		(162	)		(157	)		(148	)		(581	)		(467	)
11	Net interest income		4,613			4,683			4,500			4,386			4,269			13,714			13,155
12	Provision for credit losses		(3,606	)		(2,578	)		(1,825	)		(155	)		(610)			(8,124	)		(2,590	)
13	Net interest income after provision for credit losses		1,007			2,105			2,675			4,231			3,659			5,590			10,565
	Non-interest income (loss)
14	Gains (losses) on extinguishment of debt securities of consolidated trusts		(310	)		(7	)		(4	)		(1	)		(34	)		(212	)		(39	)
15	Gains (losses) on retirement of other debt		19			10			(21	)		(45	)		11			34			(55	)
16	Gains (losses) on debt recorded at fair value		133			76			(17	)		62			(10	)		15			35
17	Derivative gains (losses)		(4,752	)		(766	)		(1,056	)		(882	)		(488	)		(8,986	)		(2,426	)
	Impairment of available-for-sale securities:
18	Total other-than-temporary impairment of available-for-sale securities		(459	)		(358	)		(475	)		(135	)		(332	)		(1,743	)		(942	)
19	Portion of other-than-temporary impairment recognized in AOCI		298			(237	)		(89	)		37			65			37			13
20	Net impairment of available-for-sale securities recognized in earnings		(161	)		(595	)		(564	)		(98	)		(267	)		(1,706	)		(929	)
21	Other gains (losses) on investment securities recognized in earnings		(541	)		(444	)		(288	)		(356	)		(330	)		(452	)		(974	)
22	Other income		814			755			434			569			558			1,400			1,561
23	Non-interest income (loss)		(4,798	)		(971	)		(1,516	)		(751	)		(560	)		(9,907	)		(2,827	)
	Non-interest expense
24	Salaries and employee benefits		(212	)		(194	)		(176	)		(227	)		(202	)		(638	)		(605	)
25	Professional services		(73	)		(77	)		(71	)		(81	)		(93	)		(193	)		(245	)
26	Occupancy expense		(14	)		(18	)		(14	)		(14	)		(15	)		(44	)		(43	)
27	Other administrative expenses		(82	)		(91	)		(76	)		(79	)		(91	)		(251	)		(246	)
28	Total administrative expenses		(381	)		(380	)		(337	)		(401	)		(401	)		(1,126	)		(1,139	)
29	Real estate owned operations income (expense)		(221	)		(80	)		(171	)		30			49			(505	)		(92	)
30	Other expenses		(85	)		(93	)		(88	)		(165	)		(121	)		(299	)		(374	)
31	Non-interest expense		(687	)		(553	)		(596	)		(536	)		(473	)		(1,930	)		(1,605	)
32	Income (loss) before income tax benefit		(4,478	)		581			563			2,944			2,626			(6,247	)		6,133
33	Income tax benefit		56			38			14			76			302			362			392
34	Net income (loss)		(4,422	)		619			577			3,020			2,928			(5,885	)		6,525
	Other comprehensive income (loss), net of taxes and reclassification adjustments:
35	Changes in unrealized gains (losses) related to available-for-sale securities		(80	)		701			1,147			(238	)		2,599			2,764			3,508
36	Changes in unrealized gains (losses) related to cash flow hedge relationships		124			118			111			107			102			391			320
37	Changes in defined benefit plans		2			68			(46	)		3			1			(6	)		(42	)
38	Total other comprehensive income (loss), net of taxes and reclassification adjustments		46			887			1,212			(128	)		2,702			3,149			3,786
39	Comprehensive income (loss)	$	(4,376	)	$	1,506		$	1,789		$	2,892		$	5,630		$	(2,736	)	$	10,311
40	Net income (loss)	$	(4,422	)	$	619		$	577		$	3,020		$	2,928		$	(5,885	)	$	6,525
41	Preferred stock dividends		(1,618	)		(1,658	)		(1,804	)		(1,808	)		(1,809	)		(4,840	)		(5,421	)
42	Net income (loss) attributable to common stockholders	$	(6,040	)	$	(1,039	)	$	(1,227	)	$	1,212		$	1,119		$	(10,725	)	$	1,104
	Net income (loss) per common share:
43	Basic	$	(1.86	)	$	(0.32	)	$	(0.38	)	$	0.37		$	0.35		$	(3.30	)	$	0.34
44	Diluted	$	(1.86	)	$	(0.32	)	$	(0.38	)	$	0.37		$	0.35		$	(3.30	)	$	0.34
	Weighted average common shares outstanding (in thousands):
45	Basic		3,244,496			3,243,183			3,241,502			3,239,711			3,239,477			3,245,473			3,240,241
46	Diluted		3,244,496			3,243,183			3,241,502			3,239,711			3,239,477			3,245,473			3,240,241

2

FREDDIE MAC

CONSOLIDATED BALANCE SHEETS

(unaudited)

Line:		September 30, 2011			December 31, 2011			March 31, 2012			June 30, 2012			September 30, 2012
		(in millions, except share-related amounts)
	Assets
1	Cash and cash equivalents (includes $1, $2, $1, $1, and $1, respectively, related to our consolidated VIEs)	$	18,174		$	28,442		$	8,569		$	19,182		$	7,783
2	Restricted cash and cash equivalents (includes $25,180, $27,675, $27,332, $9,905, and $8,247, respectively, related to our consolidated VIEs)		25,695			28,063			27,790			10,240			8,759
3	Federal funds sold and securities purchased under agreements to resell (includes $0, $0, $3,000, $18,250, and $21,000, respectively, related to our consolidated VIEs)		10,596			12,044			24,349			38,858			45,805
	Investments in securities:
4	Available-for-sale, at fair value (includes $224, $204, $187, $166, and $149, respectively, pledged as collateral that may be repledged)		216,584			210,659			202,422			194,098			183,504
5	Trading, at fair value		55,298			58,830			58,319			47,436			46,596
6	Total investments in securities		271,882			269,489			260,741			241,534			230,100
	Mortgage loans:
	Held-for-investment, at amortized cost:
7	By consolidated trusts (net of allowances for loan losses of $8,696, $8,351, $7,139, $6,258, and $5,788, respectively)		1,611,580			1,564,131			1,555,067			1,532,939			1,505,576
8	Unsecuritized (net of allowances for loan losses of $30,848, $30,912, $30,925, $29,298, and $27,729, respectively)		199,382			207,418			199,945			187,053			179,914
9	Total held-for-investment mortgage loans, net		1,810,962			1,771,549			1,755,012			1,719,992			1,685,490
10	Held-for-sale, at fair value (includes $6,275, $9,710, $11,337, $10,120, and $12,845 at fair value, respectively)		6,275			9,710			11,337			10,120			12,845
11	Total mortgage loans, net		1,817,237			1,781,259			1,766,349			1,730,112			1,698,335
12	Accrued interest receivable (includes $6,535, $6,242, $6,079, $5,867, and $5,631, respectively, related to our consolidated VIEs)		8,327			8,062			7,820			7,460			7,174
13	Derivative assets, net		295			118			182			168			765
14	Real estate owned, net (includes $64, $60, $67, $53, and $43, respectively, related to our consolidated VIEs)		5,630			5,680			5,454			4,809			4,502
15	Deferred tax assets, net		3,909			3,546			2,929			3,053			1,551
16	Other assets (includes $6,158, $6,083, $6,227, $6,637, and $7,310, respectively, related to our consolidated VIEs)		10,591			10,513			10,761			10,919			11,729
17	Total assets	$	2,172,336		$	2,147,216		$	2,114,944		$	2,066,335		$	2,016,503
	Liabilities and equity (deficit)
	Liabilities
18	Accrued interest payable (includes $6,120, $5,943, $5,832, $5,636, and $5,362, respectively, related to our consolidated VIEs)	$	8,603		$	8,898		$	8,129		$	8,322		$	7,528
	Debt, net:
19	Debt securities of consolidated trusts held by third parties		1,488,036			1,471,437			1,481,622			1,468,613			1,432,632
20	Other debt (includes $3,291, $3,015, $2,221, $2,158, and $2,168 at fair value, respectively)		674,421			660,546			618,629			581,743			565,036
21	Total debt, net		2,162,457			2,131,983			2,100,251			2,050,356			1,997,668
22	Derivative liabilities, net		329			435			296			336			287
23	Other liabilities (includes $293, $3, $2, $2, and $2, respectively, related to our consolidated VIEs)		6,938			6,046			6,286			6,235			6,113
24	Total liabilities		2,178,327			2,147,362			2,114,962			2,065,249			2,011,596
25	Commitments and contingencies
	Equity (deficit)
	Freddie Mac stockholders’ equity (deficit)
26	Senior preferred stock, at redemption value		66,179			72,171			72,317			72,336			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		2			3			—			1			1
30	Retained earnings (accumulated deficit)		(73,489	)		(74,525	)		(75,775	)		(74,564	)		(73,445	)
	Accumulated other comprehensive income (loss), or AOCI, net of taxes, related to:
31	Available-for-sale securities		(6,914	)		(6,213	)		(5,066	)		(5,304	)		(2,705	)
32	Cash flow hedge relationships		(1,848	)		(1,730	)		(1,619	)		(1,512	)		(1,410	)
33	Defined benefit plans		(120	)		(52	)		(98	)		(95	)		(94	)
34	Total AOCI, net of taxes		(8,882	)		(7,995	)		(6,783	)		(6,911	)		(4,209	)
35	Treasury stock, at cost		(3,910	)		(3,909	)		(3,886	)		(3,885	)		(3,885	)
36	Total equity (deficit)		(5,991	)		(146	)		(18	)		1,086			4,907
37	Total liabilities and equity (deficit)	$	2,172,336		$	2,147,216		$	2,114,944		$	2,066,335		$	2,016,503

3

FREDDIE MAC

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

																	Nine Months Ended September 30,
		3Q 2011			4Q 2011			1Q 2012			2Q 2012			3Q 2012			2011			2012
	Net Interest Income:
1	Net interest income	$	4,613		$	4,683		$	4,500		$	4,386		$	4,269		$	13,714		$	13,155
	Average Balance:(1)
2	Cash and cash equivalents	$	51,225		$	59,077		$	51,029		$	32,039		$	30,246		$	40,817		$	37,772
3	Federal funds sold and securities purchased under agreements to resell		16,434			13,703			26,057			37,995			48,062			32,174			37,371
	Mortgage-related securities:
4	Mortgage-related securities(2)		443,135			418,454			383,227			358,279			346,738			450,227			362,748
5	Extinguishment of PCs held by Freddie Mac		(166,356	)		(150,197	)		(125,363	)		(111,351	)		(117,146	)		(166,734	)		(117,953	)
6	Total mortgage-related securities, net		276,779			268,257			257,864			246,928			229,592			283,493			244,795
7	Non-mortgage-related securities		18,175			24,788			28,464			24,779			20,363			24,520			24,535
8	Mortgage loans held by consolidated trusts(2)(3)		1,626,583			1,590,993			1,559,823			1,538,134			1,517,472			1,640,276			1,538,476
9	Unsecuritized mortgage loans(3)		243,162			250,346			254,877			240,693			229,601			242,063			241,724
10	Total interest-earning assets		2,232,358			2,207,164			2,178,114			2,120,568			2,075,336			2,263,343			2,124,673
	Debt securities of consolidated trusts:
11	Debt securities of consolidated trusts including PCs held by Freddie Mac(2)		1,641,905			1,612,091			1,580,749			1,560,470			1,541,339			1,654,554			1,560,852
12	Extinguishment of PCs held by Freddie Mac		(166,356	)		(150,197	)		(125,363	)		(111,351	)		(117,146	)		(166,734	)		(117,953	)
13	Total debt securities of consolidated trusts held by third parties		1,475,549			1,461,894			1,455,386			1,449,119			1,424,193			1,487,820			1,442,899
	Other debt:(2)
14	Short-term debt		188,004			168,238			149,130			128,860			126,430			192,326			134,807
15	Long-term debt		495,188			501,559			496,644			464,966			447,067			504,603			469,559
16	Total other debt		683,192			669,797			645,774			593,826			573,497			696,929			604,366
17	Total interest-bearing liabilities		2,158,741			2,131,691			2,101,160			2,042,945			1,997,690			2,184,749			2,047,265
18	Net non-interest-bearing funding		73,617			75,473			76,954			77,623			77,646			78,594			77,408
19	Total funding of interest-earning assets	$	2,232,358		$	2,207,164		$	2,178,114		$	2,120,568		$	2,075,336		$	2,263,343		$	2,124,673
	Yield/Cost:
20	Cash and cash equivalents		0.03	%		0.02	%		0.03	%		0.07	%		0.07	%		0.10	%		0.05	%
21	Federal funds sold and securities purchased under agreements to resell		0.08			0.10			0.14			0.16			0.17			0.12			0.16
	Mortgage-related securities:
22	Mortgage-related securities		4.56			4.57			4.55			4.51			4.39			4.61			4.49
23	Extinguishment of PCs held by Freddie Mac		(4.61	)		(4.58	)		(4.60	)		(4.58	)		(4.44	)		(4.76	)		(4.54	)
24	Total mortgage-related securities, net		4.53			4.56			4.53			4.48			4.37			4.53			4.46
25	Non-mortgage-related securities		0.40			0.41			0.23			0.22			0.30			0.40			0.25
26	Mortgage loans held by consolidated trusts		4.71			4.57			4.48			4.37			4.17			4.79			4.34
27	Unsecuritized mortgage loans		3.75			3.57			3.63			3.69			3.67			3.80			3.67
28	Yield on total interest-earning assets		4.41			4.26			4.18			4.12			3.95			4.46			4.09
	Debt securities of consolidated trusts:
29	Debt securities of consolidated trusts including PCs held by Freddie Mac		(4.54	)		(4.33	)		(4.22	)		(4.08	)		(3.86	)		(4.62	)		(4.06	)
30	Extinguishment of PCs held by Freddie Mac		4.61			4.58			4.60			4.58			4.44			4.76			4.54
31	Total debt securities of consolidated trusts held by third parties		(4.53	)		(4.31	)		(4.19	)		(4.04	)		(3.82	)		(4.60	)		(4.02	)
	Other debt:
32	Short-term debt		(0.14	)		(0.12	)		(0.11	)		(0.13	)		(0.15	)		(0.19	)		(0.13	)
33	Long-term debt		(2.42	)		(2.27	)		(2.23	)		(2.25	)		(2.19	)		(2.56	)		(2.22	)
34	Total other debt		(1.79	)		(1.73	)		(1.74	)		(1.79	)		(1.74	)		(1.91	)		(1.76	)
35	Cost of interest-bearing liabilities		(3.67	)		(3.50	)		(3.44	)		(3.38	)		(3.22	)		(3.74	)		(3.35	)
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		0.12			0.12			0.12			0.12			0.12			0.13			0.12
38	Total funding of interest-earning assets		(3.58	)		(3.41	)		(3.35	)		(3.29	)		(3.13	)		(3.65	)		(3.26	)
39	Net interest yield (annualized)		0.83			0.85			0.83			0.83			0.82			0.81			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 unless we are deemed to be the primary beneficiary. Interest income from the investments in debt securities is recognized as well as the interest income from the mortgage loans backing the PCs held by the trusts, which underlie multiclass REMICs and Other Structured Securities. Additionally, the interest expense from the unsecured debt issued to purchase the security is recognized along with the interest expense of the debt issued to third parties of the PC trusts we consolidate which underlie multiclass REMICs and Other Structured Securities.

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

4

FREDDIE MAC

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

																	Nine Months Ended September 30,
		3Q 2011			4Q 2011			1Q 2012			2Q 2012			3Q 2012			2011			2012
	Net Interest Income:
1	Contractual amounts of net interest income(1)	$	4,758		$	4,536		$	4,315		$	4,027		$	3,845		$	13,912		$	12,187
	Amortization income (expense), net:(2)
2	Accretion of impairments on available-for-sale securities(3)		18			37			52			65			57			78			174
	Asset-related amortization expense, net:
3	Mortgage loans held by consolidated trusts		(539	)		(834	)		(866	)		(903	)		(1,269	)		(1,108	)		(3,038	)
4	Unsecuritized mortgage loans		45			33			25			39			46			149			110
5	Mortgage-related securities		(83	)		(32	)		(21	)		(17	)		(25	)		(207	)		(63	)
6	Other assets		(31	)		(50	)		(75	)		(66	)		(59	)		(72	)		(200	)
7	Asset-related amortization expense, net		(608	)		(883	)		(937	)		(947	)		(1,307	)		(1,238	)		(3,191	)
	Debt-related amortization income (expense), net:
8	Debt securities of consolidated trusts		801			1,342			1,398			1,552			1,945			2,041			4,895
9	Other long-term debt securities		(176	)		(175	)		(166	)		(154	)		(123	)		(498	)		(443	)
10	Debt-related amortization income, net		625			1,167			1,232			1,398			1,822			1,543			4,452
11	Total amortization income, net		35			321			347			516			572			383			1,435
12	Expense related to derivatives(4)		(180	)		(174	)		(162	)		(157	)		(148	)		(581	)		(467	)
13	Net interest income	$	4,613		$	4,683		$	4,500		$	4,386		$	4,269		$	13,714		$	13,155

(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)

																	Nine Months Ended September 30,
		3Q 2011			4Q 2011			1Q 2012			2Q 2012			3Q 2012			2011			2012
	Non-Interest Income (Loss):
1	Gains (losses) on extinguishment of debt securities of consolidated trusts	$	(310	)	$	(7	)	$	(4	)	$	(1	)	$	(34	)	$	(212	)	$	(39	)
2	Gains (losses) on retirement of other debt		19			10			(21	)		(45	)		11			34			(55	)
	Gains (losses) on debt recorded at fair value:
3	Translation gains (losses)		146			57			(19	)		55			(15	)		(17	)		21
4	Market value adjustments		(13	)		19			2			7			5			32			14
5	Total gains (losses) on debt recorded at fair value		133			76			(17	)		62			(10	)		15			35
	Derivative gains (losses):
	Foreign-currency denominated derivatives gains (losses):
6	Foreign-currency swaps gains (losses)		(141	)		(56	)		9			(56	)		12			15			(35	)
7	Receive-fixed swaps — foreign-currency denominated gains (losses)		3			(12	)		(5	)		(10	)		(7	)		(37	)		(22	)
8	U.S. dollar denominated derivative gains (losses)		(3,345	)		464			16			146			402			(5,094	)		564
9	Accrual of periodic settlements		(1,269	)		(1,162	)		(1,076	)		(962	)		(895	)		(3,870	)		(2,933	)
10	Total derivative gains (losses)		(4,752	)		(766	)		(1,056	)		(882	)		(488	)		(8,986	)		(2,426	)
	Impairment of available-for-sale securities:
11	Total other-than-temporary impairment of available-for-sale securities		(459	)		(358	)		(475	)		(135	)		(332	)		(1,743	)		(942	)
12	Portion of other-than-temporary impairment recognized in AOCI		298			(237	)		(89	)		37			65			37			13
13	Net impairment of available-for-sale securities recognized in earnings		(161	)		(595	)		(564	)		(98	)		(267	)		(1,706	)		(929	)
	Other gains (losses) on investment securities recognized in earnings:
14	Gains (losses) on trading securities		(547	)		(481	)		(377	)		(400	)		(338	)		(473	)		(1,115	)
15	Gains (losses) on sale of available-for-sale securities		6			37			89			44			8			21			141
16	Total other gains (losses) on investment securities recognized in earnings		(541	)		(444	)		(288	)		(356	)		(330	)		(452	)		(974	)
	Other income:
17	Gains (losses) on sale of mortgage loans		46			109			40			44			117			302			201
18	Gains (losses) on mortgage loans recorded at fair value		216			99			139			201			310			319			650
19	Recoveries on loans impaired upon purchase		119			97			89			87			101			376			277
20	Guarantee-related income		40			70			70			130			69			175			269
21	All other		393			380			96			107			(39	)		228			164
22	Total other income		814			755			434			569			558			1,400			1,561
23	Total non-interest income (loss)	$	(4,798	)	$	(971	)	$	(1,516	)	$	(751	)	$	(560	)	$	(9,907	)	$	(2,827	)

6

FREDDIE MAC

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

																	Nine Months Ended September 30,
		3Q 2011			4Q 2011			1Q 2012			2Q 2012			3Q 2012			2011			2012
	Credit Enhancements:
1	Credit-enhanced percentage of mortgage loan portfolio purchases		10	%		7	%		9	%		11	%		13	%		8	%		11	%
2	Credit-enhanced percentage of mortgage loan portfolio(1)		14	%		14	%		13	%		13	%		13	%		14	%		13	%
	Delinquencies Rates: at period end(2)(3)
	Single-family:
3	Non-credit-enhanced		2.77	%		2.84	%		2.80	%		2.76	%		2.71	%		2.77	%		2.71	%
4	Credit-enhanced		7.70	%		8.03	%		8.02	%		7.85	%		7.62	%		7.70	%		7.62	%
5	Total Single-family		3.51	%		3.58	%		3.51	%		3.45	%		3.37	%		3.51	%		3.37	%
	Multifamily
6	Non-credit-enhanced		0.18	%		0.11	%		0.16	%		0.19	%		0.18	%		0.18	%		0.18	%
7	Credit-enhanced		0.77	%		0.52	%		0.39	%		0.44	%		0.45	%		0.77	%		0.45	%
8	Total Multifamily		0.33	%		0.22	%		0.23	%		0.27	%		0.27	%		0.33	%		0.27	%
	Single-family loan workouts(4)(number of units):
9	Loan modifications		23,919			19,048			13,677			15,142			20,864			90,126			49,683
10	Repayment plans		8,333			8,008			10,575			8,712			7,099			25,413			26,386
11	Forbearance agreements		4,262			3,867			3,656			4,738			2,190			15,649			10,584
12	Short sales and deed-in-lieu transactions		11,744			12,675			12,245			12,531			14,383			33,488			39,159
13	Total single-family loan workouts		48,258			43,598			40,153			41,123			44,536			164,676			125,812
	Non-performing assets(3)(at period end):
14	Non-performing mortgage loans(5)	$	122,273		$	123,472		$	122,497		$	121,419		$	133,998		$	122,273		$	133,998
15	REO assets, net		5,630			5,680			5,454			4,809			4,502			5,630			4,502
16	Total non-performing assets	$	127,903		$	129,152		$	127,951		$	126,228		$	138,500		$	127,903		$	138,500
	REO Operations Income (Expense):
17	Single-family	$	(226	)	$	(78	)	$	(172	)	$	34		$	40			(518	)		(98	)
18	Multifamily		5			(2	)		1			(4	)		9			13			6
19	Total	$	(221	)	$	(80	)	$	(171	)	$	30		$	49		$	(505	)	$	(92	)
	Loan Loss Reserves:(6)
20	Beginning balance	$	39,095		$	39,744		$	39,461		$	38,296		$	35,794		$	39,926		$	39,461
21	Provision for credit losses(7)		3,606			2,578			1,825			155			610			8,124			2,590
22	Charge-offs — single-family, net		(3,114	)		(3,026	)		(3,162	)		(2,818	)		(2,906	)		(8,945	)		(8,886	)
23	Charge-offs — multifamily, net		(8	)		(25	)		(1	)		(7	)		(3	)		(49	)		(11	)
24	Transfers, net		165			190			173			168			256			688			597
25	Ending balance	$	39,744		$	39,461		$	38,296		$	35,794		$	33,751		$	39,744		$	33,751
	Total Credit Losses:(8)
26	Total credit losses	$	3,451		$	3,236		$	3,435		$	2,869		$	2,930		$	9,816		$	9,234
27	Annualized credit losses / average mortgage loan portfolio(9)		72.1 bps			68.5 bps			73.6 bps			62.5 bps			64.8 bps			68.0 bps			67.0 bps

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

(2) 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. These categories are not mutually exclusive and a loan in the category may also be included within another category. 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) In the third quarter of 2012, we changed the treatment of single-family loans discharged in Chapter 7 bankruptcy to classify these loans as TDRs (unless they were already classified as TDRs for other reasons), regardless of the borrowers’ payment status. As a result, we newly classified loans representing approximately $19.5 billion in UPB discharged in Chapter 7 bankruptcy as TDRs. The majority of these loans were not seriously delinquent as of September 30, 2012.

(6) 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).

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

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

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

7

FREDDIE MAC

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

																	Nine Months Ended September 30,
		3Q 2011			4Q 2011			1Q 2012			2Q 2012			3Q 2012			2011			2012
	Segment Earnings, net of taxes:
1	Investments segment	$	(1,079	)	$	2,298		$	1,628		$	2,468		$	2,472		$	1,068		$	6,568
2	Single-family Guarantee segment		(3,545	)		(2,249	)		(1,675	)		241			(163	)		(7,751	)		(1,597	)
3	Multifamily segment		205			555			624			318			710			764			1,652
4	All Other		(3	)		15			—			(7	)		(91	)		34			(98	)
5	Total Segment Earnings (loss), net of taxes	$	(4,422	)	$	619		$	577		$	3,020		$	2,928		$	(5,885	)	$	6,525
	Comprehensive Income (Loss) of Segments:
6	Investments segment	$	268		$	2,299		$	1,963		$	2,495		$	4,487		$	4,174		$	8,945
7	Single-family Guarantee segment		(3,545	)		(2,216	)		(1,698	)		242			(162	)		(7,754	)		(1,618	)
8	Multifamily segment		(1,096	)		1,408			1,524			162			1,396			810			3,082
9	All Other		(3	)		15			—			(7	)		(91	)		34			(98	)
10	Total comprehensive income (loss) of segments	$	(4,376	)	$	1,506		$	1,789		$	2,892		$	5,630		$	(2,736	)	$	10,311
	Net interest yield - Segment Earnings (annualized):
11	Investments segment		134 bps			138 bps			129 bps			124 bps			112 bps			123 bps			122 bps
12	Multifamily segment		87 bps			85 bps			90 bps			96 bps			99 bps			82 bps			95 bps
	Management and guarantee income - Segment Earnings (annualized):
13	Single-family Guarantee segment		20.3 bps			23.0 bps			23.2 bps			24.1 bps			26.5 bps			19.4 bps			24.6 bps
14	Multifamily segment		41.5 bps			39.7 bps			38.7 bps			36.2 bps			34.1 bps			43.5 bps			36.2 bps
	Credit losses - Segment Earnings (annualized):
15	Single-family Guarantee segment		76.3 bps			72.4 bps			78.6 bps			66.7 bps			69.8 bps			71.9 bps			71.8 bps
16	Multifamily segment		4.0 bps			9.1 bps			— bps			3.8 bps			(1.7) bps			5.3 bps			0.6 bps

(1) See “NOTE 13: SEGMENT REPORTING” in our Form 10-Q for the quarter ended September 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)

																	Nine Months Ended September 30,
		3Q 2011			4Q 2011			1Q 2012			2Q 2012			3Q 2012			2011			2012
	Segment Earnings, net of taxes:
1	Net interest income	$	1,905		$	1,955		$	1,763		$	1,559		$	1,368		$	5,384		$	4,690
	Non-interest income (loss):
2	Net impairment of available-for-sale securities recognized in earnings		(116	)		(549	)		(496	)		(14	)		(180	)		(1,284	)		(690	)
3	Derivative gains (losses)		(3,144	)		600			200			236			557			(4,197	)		993
4	Gains (losses) on trading securities		(525	)		(490	)		(398	)		(413	)		(364	)		(503	)		(1,175	)
5	Gains (losses) on sale of mortgage loans		—			12			(14	)		6			7			16			(1	)
6	Gains (losses) on mortgage loans recorded at fair value		358			59			(38	)		257			105			442			324
7	Other non-interest income (loss)		345			564			513			673			494			702			1,680
8	Total non-interest income (loss)		(3,082	)		196			(233	)		745			619			(4,824	)		1,131
	Non-interest expense:
9	Administrative expenses		(97	)		(105	)		(92	)		(108	)		(110	)		(293	)		(310	)
10	Other non-interest expense		(1	)		—			—			—			(1	)		(2	)		(1	)
11	Total non-interest expense		(98	)		(105	)		(92	)		(108	)		(111	)		(295	)		(311	)
12	Segment adjustments		137			195			155			164			191			466			510
13	Segment Earnings (loss) before income tax benefit		(1,138	)		2,241			1,593			2,360			2,067			731			6,020
14	Income tax benefit		59			57			35			108			405			337			548
15	Segment Earnings (loss), net of taxes		(1,079	)		2,298			1,628			2,468			2,472			1,068			6,568
16	Total other comprehensive income, net of taxes		1,347			1			335			27			2,015			3,106			2,377
17	Comprehensive income — Investments segment	$	268		$	2,299		$	1,963		$	2,495		$	4,487		$	4,174		$	8,945
18	Net interest yield — Segment Earnings (annualized)		134 bps			138 bps			129 bps			124 bps			112 bps			123 bps			122 bps

(1) See “NOTE 13: SEGMENT REPORTING” in our Form 10-Q for the quarter ended September 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)

																	Nine Months Ended September 30,
		3Q 2011			4Q 2011			1Q 2012			2Q 2012			3Q 2012			2011			2012
	Segment Earnings, net of taxes:
1	Net interest income (expense)	$	(98	)	$	5		$	(32	)	$	(1	)	$	(61	)	$	(28	)	$	(94	)
2	Provision for credit losses		(4,008	)		(3,116	)		(2,184	)		(462	)		(931	)		(9,178	)		(3,577	)
	Non-interest income:
3	Management and guarantee income		913			1,016			1,011			1,026			1,108			2,631			3,145
4	Other non-interest income		331			466			181			171			219			750			571
5	Total non-interest income		1,244			1,482			1,192			1,197			1,327			3,381			3,716
	Non-interest expense:
6	Administrative expenses		(227	)		(218	)		(193	)		(232	)		(228	)		(670	)		(653	)
7	REO operations income (expense)		(226	)		(78	)		(172	)		34			40			(518	)		(98	)
8	Other non-interest expense		(69	)		(80	)		(73	)		(82	)		(111	)		(241	)		(266	)
9	Total non-interest expense		(522	)		(376	)		(438	)		(280	)		(299	)		(1,429	)		(1,017	)
10	Segment adjustments		(161	)		(210	)		(196	)		(192	)		(189	)		(489	)		(577	)
11	Segment Earnings (loss) before income tax (expense) benefit		(3,545	)		(2,215	)		(1,658	)		262			(153	)		(7,743	)		(1,549	)
12	Income tax (expense) benefit		—			(34	)		(17	)		(21	)		(10	)		(8	)		(48	)
13	Segment Earnings (loss), net of taxes		(3,545	)		(2,249	)		(1,675	)		241			(163	)		(7,751	)		(1,597	)
14	Total other comprehensive income (loss), net of taxes		—			33			(23	)		1			1			(3	)		(21	)
15	Comprehensive income (loss) — Single-family Guarantee segment	$	(3,545	)	$	(2,216	)	$	(1,698	)	$	242		$	(162	)	$	(7,754	)	$	(1,618	)
	Management and guarantee income — Segment Earnings:
16	Contractual management and guarantee fees (annualized rate)		13.8 bps			14.1 bps			14.3 bps			14.8 bps			15.7 bps			13.7 bps			14.9 bps
17	Amortization of delivery fees (annualized rate)		6.5 bps			8.9 bps			8.9 bps			9.3 bps			10.8 bps			5.7 bps			9.7 bps
18	Segment Earnings management and guarantee income (annualized rate)		20.3 bps			23.0 bps			23.2 bps			24.1 bps			26.5 bps			19.4 bps			24.6 bps
	Credit losses — Segment Earnings:
19	Annualized credit losses/average single-family credit guarantee portfolio and HFA-related guarantees		76.3 bps			72.4 bps			78.6 bps			66.7 bps			69.8 bps			71.9 bps			71.8 bps

(1) See “NOTE 13: SEGMENT REPORTING” in our Form 10-Q for the quarter ended September 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)

																	Nine Months Ended September 30,
		3Q 2011			4Q 2011			1Q 2012			2Q 2012			3Q 2012			2011			2012
	Segment Earnings, net of taxes:
1	Net interest income	$	314		$	303		$	318		$	330		$	334		$	897		$	982
2	(Provision) benefit for credit losses		37			86			19			22			40			110			81
	Non-interest income (loss):
3	Management and guarantee income		32			37			33			36			38			90			107
4	Net impairment of available-for-sale securities recognized in earnings		(27	)		(9	)		(16	)		(19	)		(29	)		(344	)		(64	)
5	Gains (losses) on sale of mortgage loans		46			97			54			38			110			286			202
6	Gains (losses) on mortgage loans recorded at fair value		(142	)		40			177			(56	)		205			(123	)		326
7	Other non-interest income (loss)		12			73			109			119			77			55			305
8	Total non-interest income (loss)		(79	)		238			357			118			401			(36	)		876
	Non-interest expense:
9	Administrative expenses		(57	)		(57	)		(52	)		(61	)		(63	)		(163	)		(176	)
10	REO operations income (expense)		5			(2	)		1			(4	)		9			13			6
11	Other non-interest expense		(15	)		(13	)		(15	)		(83	)		(9	)		(56	)		(107	)
12	Total non-interest expense		(67	)		(72	)		(66	)		(148	)		(63	)		(206	)		(277	)
13	Segment Earnings before income tax benefit (expense)		205			555			628			322			712			765			1,662
14	Income tax benefit (expense)		—			—			(4	)		(4	)		(2	)		(1	)		(10	)
15	Segment Earnings, net of taxes		205			555			624			318			710			764			1,652
16	Total other comprehensive income, net of taxes		(1,301	)		853			900			(156	)		686			46			1,430
17	Comprehensive income — Multifamily segment	$	(1,096	)	$	1,408		$	1,524		$	162		$	1,396		$	810		$	3,082
18	Net interest yield — Segment Earnings (annualized)		87 bps			85 bps			90 bps			96 bps			99 bps			82 bps			95 bps
	Management and guarantee income — Segment Earnings:
19	Average contractual rate (annualized)(3)		41.5 bps			39.7 bps			38.7 bps			36.2 bps			34.1 bps			43.5 bps			36.2 bps
	Credit losses — Segment Earnings:
20	Annualized credit losses/average multifamily mortgage portfolio and HFA-related guarantees		4.0 bps			9.1 bps			— bps			3.8 bps			(1.7) bps			5.3 bps			0.6 bps

(1) See “NOTE 13: SEGMENT REPORTING” in our Form 10-Q for the quarter ended September 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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