Federal Home Loan Mortgage (FMCC) 8-K Freddie Mac Reports Net Income of $11.0 Billion, Comprehensive

Exhibit 99.2

FREDDIE MAC 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																Year Ended
Line:		December 31, 2011			March 31, 2012			June 30, 2012				September 30, 2012			December 31, 2012			December 31, 2011			December 31, 2012
		(in millions)
	Interest income
	Mortgage loans:
1	Held by consolidated trusts	$	18,172		$	17,468		$	16,806			$	15,838		$	14,977		$	77,158		$	65,089
2	Unsecuritized		2,234			2,312			2,224				2,108			2,316			9,124			8,960
3	Total mortgage loans		20,406			19,780			19,030				17,946			17,293			86,282			74,049
4	Investments in securities		3,083			2,938			2,777				2,522			2,346			12,791			10,583
5	Other		7			13			21				26			26			67			86
6	Total interest income		23,496			22,731			21,828				20,494			19,665			99,140			84,718
	Interest expense
7	Debt securities of consolidated trusts		(15,740	)		(15,253	)		(14,625	)			(13,584	)		(12,647	)		(67,119	)		(56,109	)
8	Other debt		(2,899	)		(2,816	)		(2,660	)			(2,493	)		(2,424	)		(12,869	)		(10,393	)
9	Total interest expense		(18,639	)		(18,069	)		(17,285	)			(16,077	)		(15,071	)		(79,988	)		(66,502	)
10	Expense related to derivatives		(174	)		(162	)		(157	)			(148	)		(138	)		(755	)		(605	)
11	Net interest income		4,683			4,500			4,386				4,269			4,456			18,397			17,611
12	(Provision) benefit for credit losses		(2,578	)		(1,825	)		(155	)			(610)			700			(10,702	)		(1,890	)
13	Net interest income after (provision) benefit for credit losses		2,105			2,675			4,231				3,659			5,156			7,695			15,721
	Non-interest income (loss)
14	Gains (losses) on extinguishment of debt securities of consolidated trusts		(7	)		(4	)		(1	)			(34	)		(19	)		(219	)		(58	)
15	Gains (losses) on retirement of other debt		10			(21	)		(45	)			11			(22	)		44			(77	)
16	Gains (losses) on debt recorded at fair value		76			(17	)		62				(10	)		(19	)		91			16
17	Derivative gains (losses)		(766	)		(1,056	)		(882	)			(488	)		(22	)		(9,752	)		(2,448	)
	Impairment of available-for-sale securities:
18	Total other-than-temporary impairment of available-for-sale securities		(358	)		(475	)		(135	)			(332	)		(294	)		(2,101	)		(1,236	)
19	Portion of other-than-temporary impairment recognized in AOCI		(237	)		(89	)		37				65			(945	)		(200	)		(932	)
20	Net impairment of available-for-sale securities recognized in earnings		(595	)		(564	)		(98	)			(267	)		(1,239	)		(2,301	)		(2,168	)
21	Other gains (losses) on investment securities recognized in earnings		(444	)		(288	)		(356	)			(330	)		(548	)		(896	)		(1,522	)
22	Other income		755			434			569				558			613			2,155			2,174
23	Non-interest income (loss)		(971	)		(1,516	)		(751	)			(560	)		(1,256	)		(10,878	)		(4,083	)
	Non-interest expense
24	Salaries and employee benefits		(194	)		(176	)		(227	)			(202	)		(205	)		(832	)		(810	)
25	Professional services		(77	)		(71	)		(81	)			(93	)		(116	)		(270	)		(361	)
26	Occupancy expense		(18	)		(14	)		(14	)			(15	)		(14	)		(62	)		(57	)
27	Other administrative expenses		(91	)		(76	)		(79	)			(91	)		(87	)		(342	)		(333	)
28	Total administrative expenses		(380	)		(337	)		(401	)			(401	)		(422	)		(1,506	)		(1,561	)
29	Real estate owned operations income (expense)		(80	)		(171	)		30				49			33			(585	)		(59	)
30	Other expenses		(93	)		(88	)		(165	)			(121	)		(199	)		(392	)		(573	)
31	Non-interest expense		(553	)		(596	)		(536	)			(473	)		(588	)		(2,483	)		(2,193	)
32	Income (loss) before income tax benefit		581			563			2,944				2,626			3,312			(5,666	)		9,445
33	Income tax benefit		38			14			76		��		302			1,145			400			1,537
34	Net income (loss)		619			577			3,020				2,928			4,457			(5,266	)		10,982
	Other comprehensive income (loss), net of taxes and reclassification adjustments:
35	Changes in unrealized gains (losses) related to available-for-sale securities		701			1,147			(238	)			2,599			1,261			3,465			4,769
36	Changes in unrealized gains (losses) related to cash flow hedge relationships		118			111			107				102			94			509			414
37	Changes in defined benefit plans		68			(46	)		3				1			(84	)		62			(126	)
38	Total other comprehensive income (loss), net of taxes and reclassification adjustments		887			1,212			(128	)			2,702			1,271			4,036			5,057
39	Comprehensive income (loss)	$	1,506		$	1,789		$	2,892			$	5,630		$	5,728		$	(1,230	)	$	16,039
40	Net income (loss)	$	619		$	577		$	3,020			$	2,928		$	4,457		$	(5,266	)	$	10,982
41	Preferred stock dividends		(1,658	)		(1,804	)		(1,808	)			(1,809	)		(1,808	)		(6,498	)		(7,229	)
42	Preferred stock dividends — undistributed net worth sweep		—			—			—				—			(5,827	)		—			(5,827	)
43	Net income (loss) attributable to common stockholders	$	(1,039	)	$	(1,227	)	$	1,212			$	1,119		$	(3,178	)	$	(11,764	)	$	(2,074	)

2

FREDDIE MAC

CONSOLIDATED BALANCE SHEETS

(unaudited)

Line:		December 31, 2011			March 31, 2012			June 30, 2012			September 30, 2012			December 31, 2012
		(in millions)
	Assets
1	Cash and cash equivalents (includes $2, $1, $1, $1, and $1, respectively, related to our consolidated VIEs)	$	28,442		$	8,569		$	19,182		$	7,783		$	8,513
2	Restricted cash and cash equivalents (includes $27,675, $27,332, $9,905, $8,247, and $14,289, respectively, related to our consolidated VIEs)		28,063			27,790			10,240			8,759			14,592
3	Federal funds sold and securities purchased under agreements to resell (includes $0, $3,000, $18,250, $21,000, and $19,250, respectively, related to our consolidated VIEs)		12,044			24,349			38,858			45,805			37,563
	Investments in securities:
4	Available-for-sale, at fair value (includes $204, $187, $166, $149, and $132, respectively, pledged as collateral that may be repledged)		210,659			202,422			194,098			183,504			174,896
5	Trading, at fair value		58,830			58,319			47,436			46,596			41,492
6	Total investments in securities		269,489			260,741			241,534			230,100			216,388
	Mortgage loans:
	Held-for-investment, at amortized cost:
7	By consolidated trusts (net of allowances for loan losses of $8,351, $7,139, $6,258, $5,788, and $4,919, respectively)		1,564,131			1,555,067			1,532,939			1,505,576			1,495,932
8	Unsecuritized (net of allowances for loan losses of $30,912, $30,925, $29,298, $27,729, and $25,788, respectively)		207,418			199,945			187,053			179,914			176,177
9	Total held-for-investment mortgage loans, net		1,771,549			1,755,012			1,719,992			1,685,490			1,672,109
10	Held-for-sale, at fair value		9,710			11,337			10,120			12,845			14,238
11	Total mortgage loans, net		1,781,259			1,766,349			1,730,112			1,698,335			1,686,347
12	Accrued interest receivable (includes $6,242, $6,079, $5,867, $5,631, and $5,426, respectively, related to our consolidated VIEs)		8,062			7,820			7,460			7,174			6,875
13	Derivative assets, net		118			182			168			765			657
14	Real estate owned, net (includes $60, $67, $53, $43, and $45, respectively, related to our consolidated VIEs)		5,680			5,454			4,809			4,502			4,378
15	Deferred tax assets, net		3,546			2,929			3,053			1,551			778
16	Other assets (includes $6,083, $6,227, $6,637, $7,310, and $7,986, respectively, related to our consolidated VIEs)		10,513			10,761			10,919			11,729			13,765
17	Total assets	$	2,147,216		$	2,114,944		$	2,066,335		$	2,016,503		$	1,989,856
	Liabilities and equity (deficit)
	Liabilities
18	Accrued interest payable (includes $5,943, $5,832, $5,636, $5,362, and $5,142, respectively, related to our consolidated VIEs)	$	8,898		$	8,129		$	8,322		$	7,528		$	7,710
	Debt, net:
19	Debt securities of consolidated trusts held by third parties (includes $0, $0, $0, $0, and $70 at fair value, respectively)		1,471,437			1,481,622			1,468,613			1,432,632			1,419,524
20	Other debt (includes $3,015, $2,221, $2,158, $2,168, and $2,187 at fair value, respectively)		660,546			618,629			581,743			565,036			547,518
21	Total debt, net		2,131,983			2,100,251			2,050,356			1,997,668			1,967,042
22	Derivative liabilities, net		435			296			336			287			178
23	Other liabilities (includes $3, $2, $2, $2, and $1, respectively, related to our consolidated VIEs)		6,046			6,286			6,235			6,113			6,099
24	Total liabilities		2,147,362			2,114,962			2,065,249			2,011,596			1,981,029
25	Commitments and contingencies
	Equity (deficit)
	Freddie Mac stockholders’ equity (deficit)
26	Senior preferred stock, at redemption value		72,171			72,317			72,336			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		3			—			1			1			1
30	Retained earnings (accumulated deficit)		(74,525	)		(75,775	)		(74,564	)		(73,445	)		(70,796	)
	Accumulated other comprehensive income (loss), or AOCI, net of taxes, related to:
31	Available-for-sale securities		(6,213	)		(5,066	)		(5,304	)		(2,705	)		(1,444	)
32	Cash flow hedge relationships		(1,730	)		(1,619	)		(1,512	)		(1,410	)		(1,316	)
33	Defined benefit plans		(52	)		(98	)		(95	)		(94	)		(178	)
34	Total AOCI, net of taxes		(7,995	)		(6,783	)		(6,911	)		(4,209	)		(2,938	)
35	Treasury stock, at cost		(3,909	)		(3,886	)		(3,885	)		(3,885	)		(3,885	)
36	Total equity (deficit)		(146	)		(18	)		1,086			4,907			8,827
37	Total liabilities and equity (deficit)	$	2,147,216		$	2,114,944		$	2,066,335		$	2,016,503		$	1,989,856

3

FREDDIE MAC

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

																	Full Year
		4Q 2011			1Q 2012			2Q 2012			3Q 2012			4Q 2012			2011			2012
	Net Interest Income:
1	Net interest income	$	4,683		$	4,500		$	4,386		$	4,269		$	4,456		$	18,397		$	17,611
	Average Balance:(1)
2	Cash and cash equivalents	$	59,077		$	51,029		$	32,039		$	30,246		$	28,591		$	45,381		$	35,476
3	Federal funds sold and securities purchased under agreements to resell		13,703			26,057			37,995			48,062			43,664			27,557			38,944
	Mortgage-related securities:
4	Mortgage-related securities(2)		418,454			383,227			358,279			346,738			340,544			442,284			357,197
5	Extinguishment of PCs held by Freddie Mac		(150,197	)		(125,363	)		(111,351	)		(117,146	)		(122,863	)		(162,600	)		(119,181	)
6	Total mortgage-related securities, net		268,257			257,864			246,928			229,592			217,681			279,684			238,016
7	Non-mortgage-related securities		24,788			28,464			24,779			20,363			21,444			24,587			23,763
8	Mortgage loans held by consolidated trusts(2)(3)		1,590,993			1,559,823			1,538,134			1,517,472			1,501,424			1,627,956			1,529,213
9	Unsecuritized mortgage loans(3)		250,346			254,877			240,693			229,601			226,595			244,134			237,942
10	Total interest-earning assets		2,207,164			2,178,114			2,120,568			2,075,336			2,039,399			2,249,299			2,103,354
	Debt securities of consolidated trusts:
11	Debt securities of consolidated trusts including PCs held by Freddie Mac(2)		1,612,091			1,580,749			1,560,470			1,541,339			1,526,272			1,643,939			1,552,207
12	Extinguishment of PCs held by Freddie Mac		(150,197	)		(125,363	)		(111,351	)		(117,146	)		(122,863	)		(162,600	)		(119,181	)
13	Total debt securities of consolidated trusts held by third parties		1,461,894			1,455,386			1,449,119			1,424,193			1,403,409			1,481,339			1,433,026
	Other debt:(2)
14	Short-term debt		168,238			149,130			128,860			126,430			113,595			186,304			129,504
15	Long-term debt		501,559			496,644			464,966			447,067			444,556			503,842			463,308
16	Total other debt		669,797			645,774			593,826			573,497			558,151			690,146			592,812
17	Total interest-bearing liabilities		2,131,691			2,101,160			2,042,945			1,997,690			1,961,560			2,171,485			2,025,838
18	Net non-interest-bearing funding		75,473			76,954			77,623			77,646			77,839			77,814			77,516
19	Total funding of interest-earning assets	$	2,207,164		$	2,178,114		$	2,120,568		$	2,075,336		$	2,039,399		$	2,249,299		$	2,103,354
	Yield/Cost:
20	Cash and cash equivalents		0.02	%		0.03	%		0.07	%		0.07	%		0.06	%		0.07	%		0.06	%
21	Federal funds sold and securities purchased under agreements to resell		0.10			0.14			0.16			0.17			0.19			0.12			0.17
	Mortgage-related securities:
22	Mortgage-related securities		4.57			4.55			4.51			4.39			4.28			4.60			4.44
23	Extinguishment of PCs held by Freddie Mac		(4.58	)		(4.60	)		(4.58	)		(4.44	)		(4.27	)		(4.71	)		(4.47	)
24	Total mortgage-related securities, net		4.56			4.53			4.48			4.37			4.29			4.54			4.42
25	Non-mortgage-related securities		0.41			0.23			0.22			0.30			0.24			0.40			0.25
26	Mortgage loans held by consolidated trusts		4.57			4.48			4.37			4.17			3.99			4.74			4.26
27	Unsecuritized mortgage loans		3.57			3.63			3.69			3.67			4.09			3.74			3.77
28	Yield on total interest-earning assets		4.26			4.18			4.12			3.95			3.85			4.41			4.03
	Debt securities of consolidated trusts:
29	Debt securities of consolidated trusts including PCs held by Freddie Mac		(4.33	)		(4.22	)		(4.08	)		(3.86	)		(3.66	)		(4.55	)		(3.96	)
30	Extinguishment of PCs held by Freddie Mac		4.58			4.60			4.58			4.44			4.27			4.71			4.47
31	Total debt securities of consolidated trusts held by third parties		(4.31	)		(4.19	)		(4.04	)		(3.82	)		(3.60	)		(4.53	)		(3.92	)
	Other debt:
32	Short-term debt		(0.12	)		(0.11	)		(0.13	)		(0.15	)		(0.16	)		(0.18	)		(0.14	)
33	Long-term debt		(2.27	)		(2.23	)		(2.25	)		(2.19	)		(2.14	)		(2.49	)		(2.21	)
34	Total other debt		(1.73	)		(1.74	)		(1.79	)		(1.74	)		(1.74	)		(1.86	)		(1.75	)
35	Cost of interest-bearing liabilities		(3.50	)		(3.44	)		(3.38	)		(3.22	)		(3.07	)		(3.68	)		(3.28	)
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		(3.41	)		(3.35	)		(3.29	)		(3.13	)		(2.98	)		(3.59	)		(3.19	)
39	Net interest yield (annualized)		0.85			0.83			0.83			0.82			0.87			0.82			0.84

(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)

																	Full Year
		4Q 2011			1Q 2012			2Q 2012			3Q 2012			4Q 2012			2011			2012
	Net Interest Income:
1	Contractual amounts of net interest income(1)	$	4,536		$	4,315		$	4,027		$	3,845		$	3,975		$	18,448		$	16,162
	Amortization income (expense), net:(2)
2	Accretion of impairments on available-for-sale securities(3)		37			52			65			57			40			115			214
	Asset-related amortization expense, net:
3	Mortgage loans held by consolidated trusts		(834	)		(866	)		(903	)		(1,269	)		(1,498	)		(1,942	)		(4,536	)
4	Unsecuritized mortgage loans		33			25			39			46			46			182			156
5	Mortgage-related securities		(32	)		(21	)		(17	)		(25	)		4			(239	)		(59	)
6	Other assets		(50	)		(75	)		(66	)		(59	)		(81	)		(122	)		(281	)
7	Asset-related amortization expense, net		(883	)		(937	)		(947	)		(1,307	)		(1,529	)		(2,121	)		(4,720	)
	Debt-related amortization income (expense), net:
8	Debt securities of consolidated trusts		1,342			1,398			1,552			1,945			2,217			3,383			7,112
9	Other long-term debt securities		(175	)		(166	)		(154	)		(123	)		(109	)		(673	)		(552	)
10	Debt-related amortization income, net		1,167			1,232			1,398			1,822			2,108			2,710			6,560
11	Total amortization income, net		321			347			516			572			619			704			2,054
12	Expense related to derivatives(4)		(174	)		(162	)		(157	)		(148	)		(138	)		(755	)		(605	)
13	Net interest income	$	4,683		$	4,500		$	4,386		$	4,269		$	4,456		$	18,397		$	17,611

(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 is recognized as net interest income.

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

5

FREDDIE MAC

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

																	Full Year
		4Q 2011			1Q 2012			2Q 2012			3Q 2012			4Q 2012			2011			2012
	Non-Interest Income (Loss):
1	Gains (losses) on extinguishment of debt securities of consolidated trusts	$	(7	)	$	(4	)	$	(1	)	$	(34	)	$	(19	)	$	(219	)	$	(58	)
2	Gains (losses) on retirement of other debt		10			(21	)		(45	)		11			(22	)		44			(77	)
	Gains (losses) on debt recorded at fair value:
3	Translation gains (losses)		57			(19	)		55			(15	)		(28	)		40			(7	)
4	Market value adjustments		19			2			7			5			9			51			23
5	Total gains (losses) on debt recorded at fair value		76			(17	)		62			(10	)		(19	)		91			16
	Derivative gains (losses):
	Foreign-currency denominated derivatives gains (losses):
6	Foreign-currency swaps gains (losses)		(56	)		9			(56	)		12			27			(41	)		(8	)
7	Receive-fixed swaps — foreign-currency denominated gains (losses)		(12	)		(5	)		(10	)		(7	)		(11	)		(49	)		(33	)
8	U.S. dollar denominated derivative gains (losses)		464			16			146			402			831			(4,630	)		1,395
9	Accrual of periodic settlements		(1,162	)		(1,076	)		(962	)		(895	)		(869	)		(5,032	)		(3,802	)
10	Total derivative gains (losses)		(766	)		(1,056	)		(882	)		(488	)		(22	)		(9,752	)		(2,448	)
	Impairment of available-for-sale securities:
11	Total other-than-temporary impairment of available-for-sale securities		(358	)		(475	)		(135	)		(332	)		(294	)		(2,101	)		(1,236	)
12	Portion of other-than-temporary impairment recognized in AOCI		(237	)		(89	)		37			65			(945	)		(200	)		(932	)
13	Net impairment of available-for-sale securities recognized in earnings		(595	)		(564	)		(98	)		(267	)		(1,239	)		(2,301	)		(2,168	)
	Other gains (losses) on investment securities recognized in earnings:
14	Gains (losses) on trading securities		(481	)		(377	)		(400	)		(338	)		(559	)		(954	)		(1,674	)
15	Gains (losses) on sale of available-for-sale securities		37	��		89			44			8			11			58			152
16	Total other gains (losses) on investment securities recognized in earnings		(444	)		(288	)		(356	)		(330	)		(548	)		(896	)		(1,522	)
	Other income:
17	Gains (losses) on sale of mortgage loans		109			40			44			117			74			411			275
18	Gains (losses) on mortgage loans recorded at fair value		99			139			201			310			85			418			735
19	Recoveries on loans impaired upon purchase		97			89			87			101			103			473			380
20	Guarantee-related income		70			70			130			69			74			245			343
21	All other		380			96			107			(39	)		277			608			441
22	Total other income		755			434			569			558			613			2,155			2,174
23	Total non-interest income (loss)	$	(971	)	$	(1,516	)	$	(751	)	$	(560	)	$	(1,256	)	$	(10,878	)	$	(4,083	)

6

FREDDIE MAC

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

																	Full Year
		4Q 2011			1Q 2012			2Q 2012			3Q 2012			4Q 2012			2011			2012
	Credit Enhancements:
1	Credit-enhanced percentage of mortgage loan portfolio purchases		7	%		9	%		11	%		13	%		12	%		8	%		11	%
2	Credit-enhanced percentage of mortgage loan portfolio(1)		14	%		13	%		13	%		13	%		13	%		14	%		13	%
	Delinquency Rates (at period end):(2)(3)
	Single-family:
3	Non-credit-enhanced		2.84	%		2.80	%		2.76	%		2.71	%		2.66	%		2.84	%		2.66	%
4	Credit-enhanced		8.03	%		8.02	%		7.85	%		7.62	%		7.34	%		8.03	%		7.34	%
5	Total Single-family		3.58	%		3.51	%		3.45	%		3.37	%		3.25	%		3.58	%		3.25	%
	Multifamily
6	Non-credit-enhanced		0.11	%		0.16	%		0.19	%		0.18	%		0.10	%		0.11	%		0.10	%
7	Credit-enhanced		0.52	%		0.39	%		0.44	%		0.45	%		0.36	%		0.52	%		0.36	%
8	Total Multifamily		0.22	%		0.23	%		0.27	%		0.27	%		0.19	%		0.22	%		0.19	%
	Single-family Loan Workouts(4) (number of units):
9	Loan modifications		19,048			13,677			15,142			20,864			19,898			109,174			69,581
10	Repayment plans		8,008			10,575			8,712			7,099			6,964			33,421			33,350
11	Forbearance agreements		3,867			3,656			4,738			2,190			2,442			19,516			13,026
12	Short sales and deed-in-lieu transactions		12,675			12,245			12,531			14,383			13,849			46,163			53,008
13	Total single-family loan workouts		43,598			40,153			41,123			44,536			43,153			208,274			168,965
	Non-performing assets(3) (at period end):
14	Non-performing mortgage loans(5)	$	123,472		$	122,497		$	121,419		$	133,998		$	131,299		$	123,472		$	131,299
15	REO assets, net		5,680			5,454			4,809			4,502			4,378			5,680			4,378
16	Total non-performing assets	$	129,152		$	127,951		$	126,228		$	138,500		$	135,677		$	129,152		$	135,677
	REO Operations Income (Expense):
17	Single-family	$	(78	)	$	(172	)	$	34		$	40		$	36		$	(596	)	$	(62	)
18	Multifamily		(2	)		1			(4	)		9			(3	)		11			3
19	Total	$	(80	)	$	(171	)	$	30		$	49		$	33		$	(585	)	$	(59	)
	Loan Loss Reserves:(6)
20	Beginning balance	$	39,744		$	39,461		$	38,296		$	35,794		$	33,751		$	39,926		$	39,461
21	Provision (benefit) for credit losses(7)		2,578			1,825			155			610			(700	)		10,702			1,890
22	Charge-offs — single-family, net		(3,026	)		(3,162	)		(2,818	)		(2,906	)		(2,372	)		(11,971	)		(11,258	)
23	Charge-offs — multifamily, net		(25	)		(1	)		(7	)		(3	)		(23	)		(74	)		(34	)
24	Transfers, net		190			173			168			256			234			878			831
25	Ending balance	$	39,461		$	38,296		$	35,794		$	33,751		$	30,890		$	39,461		$	30,890
	Total Credit Losses:(8)
26	Total credit losses	$	3,236		$	3,435		$	2,869		$	2,930		$	2,425		$	13,052		$	11,659
27	Annualized credit losses / average mortgage loan portfolio(9)		68.5 bps			73.6 bps			62.5 bps			64.8 bps			54.1 bps			68.1 bps			63.8 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 Form 10-K for the year ended December 31, 2012, 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 non-consolidated 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 — RISK MANAGEMENT — Credit Risk — Single-Family Mortgage Credit Risk —Single-Family Loan Workouts and the MHA Program” in our Form 10-K for the year ended December 31, 2012.

(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 in the third quarter of 2012, and the majority of these loans were not seriously delinquent.

(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)

																Full Year
		4Q 2011			1Q 2012			2Q 2012			3Q 2012			4Q 2012		2011			2012
	Segment Earnings, net of taxes:
1	Investments segment	$	2,298		$	1,628		$	2,468		$	2,472		$	1,644	$	3,366		$	8,212
2	Single-family Guarantee segment		(2,249	)		(1,675	)		241			(163	)		1,433		(10,000	)		(164	)
3	Multifamily segment		555			624			318			710			494		1,319			2,146
4	All Other		15			—			(7	)		(91	)		886		49			788
5	Total Segment Earnings (loss), net of taxes	$	619		$	577		$	3,020		$	2,928		$	4,457	$	(5,266	)	$	10,982
	Comprehensive Income (Loss) of Segments:
6	Investments segment	$	2,299		$	1,963		$	2,495		$	4,487		$	2,452	$	6,473		$	11,397
7	Single-family Guarantee segment		(2,216	)		(1,698	)		242			(162	)		1,391		(9,970	)		(227	)
8	Multifamily segment		1,408			1,524			162			1,396			999		2,218			4,081
9	All Other		15			—			(7	)		(91	)		886		49			788
10	Total comprehensive income (loss) of segments	$	1,506		$	1,789		$	2,892		$	5,630		$	5,728	$	(1,230	)	$	16,039
	Net interest yield - Segment Earnings (annualized):
11	Investments segment		138 bps			129 bps			124 bps			112 bps			117 bps		127 bps			121 bps
12	Multifamily segment		85 bps			90 bps			96 bps			99 bps			94 bps		83 bps			95 bps
	Management and guarantee income - Segment Earnings (annualized):
13	Single-family Guarantee segment		23.0 bps			23.2 bps			24.1 bps			26.5 bps			30.2 bps		20.2 bps			25.9 bps
14	Multifamily segment		39.7 bps			38.7 bps			36.2 bps			34.1 bps			34.2 bps		42.4 bps			35.6 bps
	Credit losses - Segment Earnings (annualized):
15	Single-family Guarantee segment		72.4 bps			78.6 bps			66.7 bps			69.8 bps			57.5 bps		72.0 bps			68.3 bps
16	Multifamily segment		9.1 bps			— bps			3.8 bps			(1.7) bps			9.1 bps		6.3 bps			2.8 bps

(1) See “NOTE 13: SEGMENT REPORTING” in our Form 10-K for the year ended December 31, 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)

																	Full Year
		4Q 2011			1Q 2012			2Q 2012			3Q 2012			4Q 2012			2011			2012
	Segment Earnings, net of taxes:
1	Net interest income	$	1,955		$	1,763		$	1,559		$	1,368		$	1,420		$	7,339		$	6,110
	Non-interest income (loss):
2	Net impairment of available-for-sale securities recognized in earnings		(549	)		(496	)		(14	)		(180	)		(1,141	)		(1,833	)		(1,831	)
3	Derivative gains (losses)		600			200			236			557			977			(3,597	)		1,970
4	Gains (losses) on trading securities		(490	)		(398	)		(413	)		(364	)		(580	)		(993	)		(1,755	)
5	Gains (losses) on sale of mortgage loans		12			(14	)		6			7			7			28			6
6	Gains (losses) on mortgage loans recorded at fair value		59			(38	)		257			105			(27	)		501			297
7	Other non-interest income (loss)		564			513			673			494			677			1,266			2,357
8	Total non-interest income (loss)		196			(233	)		745			619			(87	)		(4,628	)		1,044
	Non-interest expense:
9	Administrative expenses		(105	)		(92	)		(108	)		(110	)		(120	)		(398	)		(430	)
10	Other non-interest expense		—			—			—			(1	)		—			(2	)		(1	)
11	Total non-interest expense		(105	)		(92	)		(108	)		(111	)		(120	)		(400	)		(431	)
12	Segment adjustments		195			155			164			191			289			661			799
13	Segment Earnings before income tax benefit		2,241			1,593			2,360			2,067			1,502			2,972			7,522
14	Income tax benefit		57			35			108			405			142			394			690
15	Segment Earnings, net of taxes		2,298			1,628			2,468			2,472			1,644			3,366			8,212
16	Total other comprehensive income, net of taxes		1			335			27			2,015			808			3,107			3,185
17	Comprehensive income — Investments segment	$	2,299		$	1,963		$	2,495		$	4,487		$	2,452		$	6,473		$	11,397
18	Net interest yield — Segment Earnings (annualized)		138 bps			129 bps			124 bps			112 bps			117 bps			127 bps			121 bps

(1) See “NOTE 13: SEGMENT REPORTING” in our Form 10-K for the year ended December 31, 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)

																	Full Year
		4Q 2011			1Q 2012			2Q 2012			3Q 2012			4Q 2012			2011			2012
	Segment Earnings (Loss), net of taxes:
1	Net interest income (expense)	$	5		$	(32	)	$	(1	)	$	(61	)	$	(53	)	$	(23	)	$	(147	)
2	(Provision) benefit for credit losses		(3,116	)		(2,184	)		(462	)		(931	)		409			(12,294	)		(3,168	)
	Non-interest income:
3	Management and guarantee income		1,016			1,011			1,026			1,108			1,244			3,647			4,389
4	Other non-interest income		466			181			171			219			360			1,216			931
5	Total non-interest income		1,482			1,192			1,197			1,327			1,604			4,863			5,320
	Non-interest expense:
6	Administrative expenses		(218	)		(193	)		(232	)		(228	)		(237	)		(888	)		(890	)
7	REO operations income (expense)		(78	)		(172	)		34			40			36			(596	)		(62	)
8	Other non-interest expense		(80	)		(73	)		(82	)		(111	)		(127	)		(321	)		(393	)
9	Total non-interest expense		(376	)		(438	)		(280	)		(299	)		(328	)		(1,805	)		(1,345	)
10	Segment adjustments		(210	)		(196	)		(192	)		(189	)		(255	)		(699	)		(832	)
11	Segment Earnings (loss) before income tax (expense) benefit		(2,215	)		(1,658	)		262			(153	)		1,377			(9,958	)		(172	)
12	Income tax (expense) benefit		(34	)		(17	)		(21	)		(10	)		56			(42	)		8
13	Segment Earnings (loss), net of taxes		(2,249	)		(1,675	)		241			(163	)		1,433			(10,000	)		(164	)
14	Total other comprehensive income (loss), net of taxes		33			(23	)		1			1			(42	)		30			(63	)
15	Comprehensive income (loss) — Single-family Guarantee segment	$	(2,216	)	$	(1,698	)	$	242		$	(162	)	$	1,391		$	(9,970	)	$	(227	)
	Management and guarantee income — Segment Earnings:
16	Contractual management and guarantee fees (annualized rate)		14.1 bps			14.3 bps			14.8 bps			15.7 bps			14.1 bps			13.7 bps			14.7 bps
17	Amortization of delivery fees (annualized rate)		8.9 bps			8.9 bps			9.3 bps			10.8 bps			16.1 bps			6.5 bps			11.2 bps
18	Segment Earnings management and guarantee income (annualized rate)		23.0 bps			23.2 bps			24.1 bps			26.5 bps			30.2 bps			20.2 bps			25.9 bps
	Credit losses — Segment Earnings:
19	Annualized credit losses/average single-family credit guarantee portfolio and HFA-related guarantees		72.4 bps			78.6 bps			66.7 bps			69.8 bps			57.5 bps			72.0 bps			68.3 bps

(1) See “NOTE 13: SEGMENT REPORTING” in our Form 10-K for the year ended December 31, 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)

																	Full Year
		4Q 2011			1Q 2012			2Q 2012			3Q 2012			4Q 2012			2011			2012
	Segment Earnings, net of taxes:
1	Net interest income	$	303		$	318		$	330		$	334		$	309		$	1,200		$	1,291
2	(Provision) benefit for credit losses		86			19			22			40			42			196			123
	Non-interest income:
3	Management and guarantee income		37			33			36			38			44			127			151
4	Net impairment of available-for-sale securities recognized in earnings		(9	)		(16	)		(19	)		(29	)		(59	)		(353	)		(123	)
5	Gains (losses) on sale of mortgage loans		97			54			38			110			67			383			269
6	Gains (losses) on mortgage loans recorded at fair value		40			177			(56	)		205			112			(83	)		438
7	Other non-interest income		73			109			119			77			58			128			363
8	Total non-interest income		238			357			118			401			222			202			1,098
	Non-interest expense:
9	Administrative expenses		(57	)		(52	)		(61	)		(63	)		(65	)		(220	)		(241	)
10	REO operations income (expense)		(2	)		1			(4	)		9			(3	)		11			3
11	Other non-interest expense		(13	)		(15	)		(83	)		(9	)		(22	)		(69	)		(129	)
12	Total non-interest expense		(72	)		(66	)		(148	)		(63	)		(90	)		(278	)		(367	)
13	Segment Earnings before income tax benefit (expense)		555			628			322			712			483			1,320			2,145
14	Income tax benefit (expense)		—			(4	)		(4	)		(2	)		11			(1	)		1
15	Segment Earnings, net of taxes		555			624			318			710			494			1,319			2,146
16	Total other comprehensive income, net of taxes		853			900			(156	)		686			505			899			1,935
17	Comprehensive income — Multifamily segment	$	1,408		$	1,524		$	162		$	1,396		$	999		$	2,218		$	4,081
18	Net interest yield — Segment Earnings (annualized)		85 bps			90 bps			96 bps			99 bps			94 bps			83 bps			95 bps
	Management and guarantee income — Segment Earnings:
19	Average contractual rate (annualized)(3)		39.7 bps			38.7 bps			36.2 bps			34.1 bps			34.2 bps			42.4 bps			35.6 bps
	Credit losses — Segment Earnings:
20	Annualized credit losses (gains)/average multifamily mortgage portfolio and HFA-related guarantees		9.1 bps			— bps			3.8 bps			(1.7) bps			9.1 bps			6.3 bps			2.8 bps

(1) See “NOTE 13: SEGMENT REPORTING” in our Form 10-K for the year ended December 31, 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.

11