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Name | Symbol | Market | Type |
---|---|---|---|
Federal Home Loan Mortgage Corporation (QB) | USOTC:FMCCG | OTCMarkets | Preference Share |
Price Change | % Change | Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|---|---|
0.19 | 2.62% | 7.44 | 7.03 | 7.80 | 7.44 | 7.44 | 7.44 | 2,034 | 21:00:00 |
☒ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934. |
☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934. |
Federally chartered | 52-0904874 | 8200 Jones Branch Drive | 22102-3110 | (703) | 903-2000 | |||||||||||||||||||||||||||||||||||||||
corporation | McLean, | Virginia | ||||||||||||||||||||||||||||||||||||||||||
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | (Address of principal executive offices) | (Zip Code) | (Registrant's telephone number, including area code) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||||||
None | N/A | N/A |
Large accelerated filer | ☒ | Accelerated filer | ☐ | |||||||||||||||||
Non-accelerated filer | ☐ | Smaller reporting company | ☐ | |||||||||||||||||
Emerging growth company | ☐ |
Table of Contents |
Page | |||||
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS | |||||
n Introduction | |||||
n Market Conditions and Economic Indicators | |||||
n Consolidated Results of Operations | |||||
n Consolidated Balance Sheets Analysis | |||||
n Our Portfolios | |||||
n Our Business Segments | |||||
n Risk Management | |||||
l Credit Risk | |||||
l Market Risk | |||||
n Liquidity and Capital Resources | |||||
n Critical Accounting Estimates | |||||
n Regulation and Supervision | |||||
n Forward-Looking Statements | |||||
FINANCIAL STATEMENTS | |||||
OTHER INFORMATION | |||||
CONTROLS AND PROCEDURES | |||||
EXHIBIT INDEX | |||||
SIGNATURES | |||||
FORM 10-Q INDEX |
Freddie Mac 2Q 2022 Form 10-Q | i |
Table of Contents |
Table | Description | Page | ||||||
1 | Summary of Consolidated Results of Operations | |||||||
2 | Components of Net Interest Income | |||||||
3 | Analysis of Net Interest Yield | |||||||
4 | Components of Guarantee Income | |||||||
5 | Investment Gains (Losses), Net | |||||||
6 | Benefit (Provision) for Credit Losses | |||||||
7 | Components of Legislative Assessments Expense | |||||||
8 | Summarized Condensed Consolidated Balance Sheets | |||||||
9 | Mortgage Portfolio | |||||||
10 | Guarantee Portfolio | |||||||
11 | Mortgage-Related Investments Portfolio | |||||||
12 | Other Investments Portfolio | |||||||
13 | Single-Family Segment Financial Results | |||||||
14 | Multifamily Segment Financial Results | |||||||
15 | Allowance for Credit Losses Activity | |||||||
16 | Allowance for Credit Losses Ratios | |||||||
17 | Single-Family New Business Activity | |||||||
18 | Single-Family Mortgage Portfolio CRT Issuance | |||||||
19 | Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding | |||||||
20 | Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio | |||||||
21 | Single-Family Credit Enhancement Receivables | |||||||
22 | Credit Quality Characteristics of Our Single-Family Mortgage Portfolio | |||||||
23 | Single-Family Mortgage Portfolio Attribute Combinations | |||||||
24 | Multifamily Mortgage Portfolio CRT Issuance | |||||||
25 | Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio | |||||||
26 | PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve | |||||||
27 | Duration Gap and PVS Results | |||||||
28 | PVS-L Results Before Derivatives and After Derivatives | |||||||
29 | Earnings Sensitivity to Changes in Interest Rates | |||||||
30 | Liquidity Sources | |||||||
31 | Funding Sources | |||||||
32 | Debt of Freddie Mac Activity | |||||||
33 | Maturity and Redemption Dates | |||||||
34 | Debt of Consolidated Trusts Activity | |||||||
35 | Net Worth Activity | |||||||
36 | Capital Metrics Under ERCF | |||||||
37 | Forecasted House Price Growth Rates |
Freddie Mac 2Q 2022 Form 10-Q | ii |
Management's Discussion and Analysis | Introduction |
Freddie Mac 2Q 2022 Form 10-Q | 1 |
Management's Discussion and Analysis | Introduction |
Freddie Mac 2Q 2022 Form 10-Q | 2 |
Management's Discussion and Analysis | Introduction |
Freddie Mac 2Q 2022 Form 10-Q | 3 |
Management's Discussion and Analysis | Market Conditions and Economic Indicators |
Freddie Mac 2Q 2022 Form 10-Q | 4 |
Management's Discussion and Analysis | Market Conditions and Economic Indicators |
Freddie Mac 2Q 2022 Form 10-Q | 5 |
Management's Discussion and Analysis | Market Conditions and Economic Indicators |
Freddie Mac 2Q 2022 Form 10-Q | 6 |
Management's Discussion and Analysis | Market Conditions and Economic Indicators |
Freddie Mac 2Q 2022 Form 10-Q | 7 |
Management's Discussion and Analysis | Market Conditions and Economic Indicators |
Freddie Mac 2Q 2022 Form 10-Q | 8 |
Management's Discussion and Analysis | Consolidated Results of Operations |
Change | Change | |||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 2Q 2022 | 2Q 2021 | $ | % | YTD 2022 | YTD 2021 | $ | % | ||||||||||||||||||||||||||||||
Net interest income | $4,759 | $4,767 | ($8) | — | % | $8,863 | $8,406 | $457 | 5 | % | ||||||||||||||||||||||||||||
Guarantee income | 205 | 356 | (151) | (42) | 275 | 604 | (329) | (54) | ||||||||||||||||||||||||||||||
Investment gains (losses), net | 321 | 636 | (315) | (50) | 1,834 | 1,844 | (10) | (1) | ||||||||||||||||||||||||||||||
Other income (loss) | 119 | 107 | 12 | 11 | 278 | 285 | (7) | (2) | ||||||||||||||||||||||||||||||
Net revenues | 5,404 | 5,866 | (462) | (8) | 11,250 | 11,139 | 111 | 1 | ||||||||||||||||||||||||||||||
Benefit (provision) for credit losses | (307) | 740 | (1,047) | (141) | 530 | 936 | (406) | (43) | ||||||||||||||||||||||||||||||
Salaries and employee benefits | (376) | (346) | (30) | (9) | (732) | (690) | (42) | (6) | ||||||||||||||||||||||||||||||
Credit enhancement expense | (558) | (369) | (189) | (51) | (1,017) | (704) | (313) | (44) | ||||||||||||||||||||||||||||||
Benefit for (decrease in) credit enhancement recoveries | (1) | (193) | 192 | 99 | (18) | (450) | 432 | 96 | ||||||||||||||||||||||||||||||
Legislative assessments expense | (748) | (696) | (52) | (7) | (1,507) | (1,387) | (120) | (9) | ||||||||||||||||||||||||||||||
Other expense | (337) | (365) | 28 | 8 | (678) | (726) | 48 | 7 | ||||||||||||||||||||||||||||||
Non-interest expense | (2,020) | (1,969) | (51) | (3) | (3,952) | (3,957) | 5 | — | ||||||||||||||||||||||||||||||
Income (loss) before income tax (expense) benefit | 3,077 | 4,637 | (1,560) | (34) | 7,828 | 8,118 | (290) | (4) | ||||||||||||||||||||||||||||||
Income tax (expense) benefit | (624) | (958) | 334 | 35 | (1,577) | (1,672) | 95 | 6 | ||||||||||||||||||||||||||||||
Net income (loss) | 2,453 | 3,679 | (1,226) | (33) | 6,251 | 6,446 | (195) | (3) | ||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | (66) | (68) | 2 | 3 | (186) | (457) | 271 | 59 | ||||||||||||||||||||||||||||||
Comprehensive income (loss) | $2,387 | $3,611 | ($1,224) | (34) | % | $6,065 | $5,989 | $76 | 1 | % |
Freddie Mac 2Q 2022 Form 10-Q | 9 |
Management's Discussion and Analysis | Consolidated Results of Operations |
Change | Change | |||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 2Q 2022 | 2Q 2021 | $ | % | YTD 2022 | YTD 2021 | $ | % | ||||||||||||||||||||||||||||||
Guarantee net interest income: | ||||||||||||||||||||||||||||||||||||||
Contractual net interest income(1) | $3,468 | $2,669 | $799 | 30 | % | $6,802 | $5,017 | $1,785 | 36 | % | ||||||||||||||||||||||||||||
Deferred fee income | 944 | 1,723 | (779) | (45) | 1,986 | 2,774 | (788) | (28) | ||||||||||||||||||||||||||||||
Total guarantee net interest income | 4,412 | 4,392 | 20 | — | 8,788 | 7,791 | 997 | 13 | ||||||||||||||||||||||||||||||
Investments net interest income | 693 | 827 | (134) | (16) | 1,272 | 1,776 | (504) | (28) | ||||||||||||||||||||||||||||||
Income (expense) from hedge accounting | (346) | (452) | 106 | 23 | (1,197) | (1,161) | (36) | (3) | ||||||||||||||||||||||||||||||
Net interest income | $4,759 | $4,767 | ($8) | — | % | $8,863 | $8,406 | $457 | 5 | % |
Freddie Mac 2Q 2022 Form 10-Q | 10 |
Management's Discussion and Analysis | Consolidated Results of Operations |
2Q 2022 | 2Q 2021 | |||||||||||||||||||||||||
(Dollars in millions) | Average Balance | Interest Income (Expense) | Average Rate | Average Balance | Interest Income (Expense) | Average Rate | ||||||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||||||||
Cash and cash equivalents | $14,628 | $16 | 0.42 | % | $120,325 | $1 | — | % | ||||||||||||||||||
Securities purchased under agreements to resell | 97,150 | 186 | 0.77 | 29,276 | 4 | 0.05 | ||||||||||||||||||||
Investment securities | 50,655 | 464 | 3.66 | 58,068 | 617 | 4.26 | ||||||||||||||||||||
Mortgage loans(1) | 2,953,930 | 19,324 | 2.62 | 2,568,878 | 14,590 | 2.27 | ||||||||||||||||||||
Other assets | 4,250 | 18 | 1.71 | 5,388 | 18 | 1.29 | ||||||||||||||||||||
Total interest-earning assets | 3,120,613 | 20,008 | 2.56 | 2,781,935 | 15,230 | 2.19 | ||||||||||||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||||||||
Debt of consolidated trusts | 2,903,912 | (14,595) | (2.01) | 2,479,641 | (10,032) | (1.62) | ||||||||||||||||||||
Debt of Freddie Mac | 174,018 | (654) | (1.50) | 255,905 | (431) | (0.67) | ||||||||||||||||||||
Total interest-bearing liabilities | 3,077,930 | (15,249) | (1.98) | 2,735,546 | (10,463) | (1.53) | ||||||||||||||||||||
Impact of net non-interest-bearing funding | 42,683 | — | 0.03 | 46,389 | — | 0.03 | ||||||||||||||||||||
Total funding of interest-earning assets | 3,120,613 | (15,249) | (1.95) | 2,781,935 | (10,463) | (1.50) | ||||||||||||||||||||
Net interest income/yield | $4,759 | 0.61 | % | $4,767 | 0.69 | % | ||||||||||||||||||||
YTD 2022 | YTD 2021 | |||||||||||||||||||||||||
(Dollars in millions) | Average Balance | Interest Income (Expense) | Average Rate | Average Balance | Interest Income (Expense) | Average Rate | ||||||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||||||||
Cash and cash equivalents | $15,230 | $19 | 0.24 | % | $92,734 | $4 | 0.01 | % | ||||||||||||||||||
Securities purchased under agreements to resell | 92,913 | 209 | 0.45 | 54,778 | 21 | 0.07 | ||||||||||||||||||||
Investment securities | 50,514 | 848 | 3.36 | 57,374 | 1,227 | 4.28 | ||||||||||||||||||||
Mortgage loans(1) | 2,927,495 | 36,634 | 2.50 | 2,511,102 | 27,845 | 2.22 | ||||||||||||||||||||
Other assets | 4,892 | 38 | 1.53 | 5,495 | 35 | 1.28 | ||||||||||||||||||||
Total interest-earning assets | 3,091,044 | 37,748 | 2.44 | 2,721,483 | 29,132 | 2.14 | ||||||||||||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||||||||
Debt of consolidated trusts | 2,870,198 | (27,844) | (1.94) | 2,410,850 | (19,788) | (1.64) | ||||||||||||||||||||
Debt of Freddie Mac | 178,299 | (1,041) | (1.17) | 265,390 | (938) | (0.71) | ||||||||||||||||||||
Total interest-bearing liabilities | 3,048,497 | (28,885) | (1.89) | 2,676,240 | (20,726) | (1.55) | ||||||||||||||||||||
Impact of net non-interest-bearing funding | 42,547 | — | 0.03 | 45,243 | — | 0.03 | ||||||||||||||||||||
Total funding of interest-earning assets | 3,091,044 | (28,885) | (1.86) | 2,721,483 | (20,726) | (1.52) | ||||||||||||||||||||
Net interest income/yield | $8,863 | 0.58 | % | $8,406 | 0.62 | % |
Freddie Mac 2Q 2022 Form 10-Q | 11 |
Management's Discussion and Analysis | Consolidated Results of Operations |
Change | Change | |||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 2Q 2022 | 2Q 2021 | $ | % | YTD 2022 | YTD 2021 | $ | % | ||||||||||||||||||||||||||||||
Contractual guarantee fees | $322 | $304 | $18 | 6 | % | $640 | $589 | $51 | 9 | % | ||||||||||||||||||||||||||||
Guarantee obligation amortization | 306 | 288 | 18 | 6 | 605 | 560 | 45 | 8 | ||||||||||||||||||||||||||||||
Guarantee asset fair value changes | (423) | (236) | (187) | (79) | (970) | (545) | (425) | (78) | ||||||||||||||||||||||||||||||
Guarantee income | $205 | $356 | ($151) | (42) | % | $275 | $604 | ($329) | (54) | % |
Change | Change | |||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 2Q 2022 | 2Q 2021 | $ | % | YTD 2022 | YTD 2021 | $ | % | ||||||||||||||||||||||||||||||
Single-Family | $232 | $137 | $95 | 69 | % | $1,484 | $437 | $1,047 | 240 | % | ||||||||||||||||||||||||||||
Multifamily | 89 | 499 | (410) | (82) | 350 | 1,407 | (1,057) | (75) | ||||||||||||||||||||||||||||||
Investment gains (losses), net | $321 | $636 | ($315) | (50) | % | $1,834 | $1,844 | ($10) | (1) | % |
Change | Change | |||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 2Q 2022 | 2Q 2021 | $ | % | YTD 2022 | YTD 2021 | $ | % | ||||||||||||||||||||||||||||||
Single-Family | ($298) | $686 | ($984) | (143) | % | $533 | $832 | ($299) | (36) | % | ||||||||||||||||||||||||||||
Multifamily | (9) | 54 | (63) | (117) | (3) | 104 | (107) | (103) | ||||||||||||||||||||||||||||||
Benefit (provision) for credit losses | ($307) | $740 | ($1,047) | (141) | % | $530 | $936 | ($406) | (43) | % |
Freddie Mac 2Q 2022 Form 10-Q | 12 |
Management's Discussion and Analysis | Consolidated Results of Operations |
Change | Change | |||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 2Q 2022 | 2Q 2021 | $ | % | YTD 2022 | YTD 2021 | $ | % | ||||||||||||||||||||||||||||||
Legislated guarantee fees expense | ($684) | ($570) | ($114) | (20) | % | ($1,350) | ($1,104) | ($246) | (22) | % | ||||||||||||||||||||||||||||
Affordable housing funds allocation | (64) | (126) | 62 | 49 | (157) | (283) | 126 | 45 | ||||||||||||||||||||||||||||||
Legislative assessments expense | ($748) | ($696) | ($52) | (7) | % | ($1,507) | ($1,387) | ($120) | (9) | % |
Freddie Mac 2Q 2022 Form 10-Q | 13 |
Management's Discussion and Analysis | Consolidated Balance Sheets Analysis |
Change | ||||||||||||||||||||
(Dollars in millions) | June 30, 2022 | December 31, 2021 | $ | % | ||||||||||||||||
Assets: | ||||||||||||||||||||
Cash and cash equivalents | $5,257 | $10,150 | ($4,893) | (48) | % | |||||||||||||||
Securities purchased under agreements to resell | 86,496 | 71,203 | 15,293 | 21 | ||||||||||||||||
Subtotal | 91,753 | 81,353 | 10,400 | 13 | ||||||||||||||||
Investment securities, at fair value | 48,937 | 53,015 | (4,078) | (8) | ||||||||||||||||
Mortgage loans, net | 2,966,864 | 2,848,109 | 118,755 | 4 | ||||||||||||||||
Accrued interest receivable, net | 7,871 | 7,474 | 397 | 5 | ||||||||||||||||
Deferred tax assets, net | 5,552 | 6,214 | (662) | (11) | ||||||||||||||||
Other assets | 24,604 | 29,421 | (4,817) | (16) | ||||||||||||||||
Total assets | $3,145,581 | $3,025,586 | $119,995 | 4 | % | |||||||||||||||
Liabilities and Equity: | ||||||||||||||||||||
Liabilities: | ||||||||||||||||||||
Accrued interest payable | $6,594 | $6,268 | $326 | 5 | % | |||||||||||||||
Debt | 3,093,178 | 2,980,185 | 112,993 | 4 | ||||||||||||||||
Other liabilities | 11,711 | 11,100 | 611 | 6 | ||||||||||||||||
Total liabilities | 3,111,483 | 2,997,553 | 113,930 | 4 | ||||||||||||||||
Total equity | 34,098 | 28,033 | 6,065 | 22 | ||||||||||||||||
Total liabilities and equity | $3,145,581 | $3,025,586 | $119,995 | 4 | % |
Freddie Mac 2Q 2022 Form 10-Q | 14 |
Management's Discussion and Analysis | Our Portfolios |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||
Securitized mortgage loans: | ||||||||||||||||||||||||||
Held by consolidated trusts | $2,846,616 | $23,617 | $2,870,233 | $2,706,514 | $18,757 | $2,725,271 | ||||||||||||||||||||
Held by nonconsolidated trusts | 32,335 | 364,977 | 397,312 | 33,340 | 362,627 | 395,967 | ||||||||||||||||||||
Total securitized mortgage loans | 2,878,951 | 388,594 | 3,267,545 | 2,739,854 | 381,384 | 3,121,238 | ||||||||||||||||||||
Unsecuritized mortgage loans: | ||||||||||||||||||||||||||
Securitization pipeline and other loans | 13,658 | 16,270 | 29,928 | 21,189 | 22,771 | 43,960 | ||||||||||||||||||||
Seasoned loans | 25,359 | — | 25,359 | 20,594 | — | 20,594 | ||||||||||||||||||||
Total unsecuritized mortgage loans | 39,017 | 16,270 | 55,287 | 41,783 | 22,771 | 64,554 | ||||||||||||||||||||
Other | 9,961 | 10,191 | 20,152 | 10,587 | 10,508 | 21,095 | ||||||||||||||||||||
Total mortgage portfolio | $2,927,929 | $415,055 | $3,342,984 | $2,792,224 | $414,663 | $3,206,887 |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||
Guaranteed mortgage-related securities: | ||||||||||||||||||||||||||
Issued by consolidated trusts | $2,865,017 | $23,798 | $2,888,815 | $2,744,899 | $18,883 | $2,763,782 | ||||||||||||||||||||
Issued by nonconsolidated trusts | 26,508 | 321,811 | 348,319 | 27,538 | 318,756 | 346,294 | ||||||||||||||||||||
Total guaranteed mortgage-related securities | 2,891,525 | 345,609 | 3,237,134 | 2,772,437 | 337,639 | 3,110,076 | ||||||||||||||||||||
Other | 9,961 | 10,191 | 20,152 | 10,587 | 10,508 | 21,095 | ||||||||||||||||||||
Total guarantee portfolio | $2,901,486 | $355,800 | $3,257,286 | $2,783,024 | $348,147 | $3,131,171 |
Freddie Mac 2Q 2022 Form 10-Q | 15 |
Management's Discussion and Analysis | Our Portfolios |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||
Unsecuritized mortgage loans | $39,017 | $16,270 | $55,287 | $41,783 | $22,771 | $64,554 | ||||||||||||||||||||
Mortgage-related securities | 21,161 | 4,398 | 25,559 | 43,357 | 3,100 | 46,457 | ||||||||||||||||||||
Mortgage-related investments portfolio | $60,178 | $20,668 | $80,846 | $85,140 | $25,871 | $111,011 | ||||||||||||||||||||
10% of notional amount of interest-only securities | $22,668 | $12,517 | ||||||||||||||||||||||||
Mortgage-related investments portfolio for purposes of Purchase Agreement cap | 103,514 | 123,528 |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||
(In millions) | Liquidity and Contingency Operating Portfolio | Custodial Account | Other | Total Other Investments Portfolio (1) | Liquidity and Contingency Operating Portfolio | Custodial Account | Other | Total Other Investments Portfolio (1) | ||||||||||||||||||||||||
Cash and cash equivalents | $4,401 | $756 | $100 | $5,257 | $8,455 | $1,596 | $99 | $10,150 | ||||||||||||||||||||||||
Securities purchased under agreements to resell | 76,963 | 18,400 | 1,110 | 96,473 | 43,729 | 34,000 | 807 | 78,536 | ||||||||||||||||||||||||
Non-mortgage-related securities | 28,350 | — | 3,010 | 31,360 | 28,078 | — | 4,695 | 32,773 | ||||||||||||||||||||||||
Other assets | — | — | 6,780 | 6,780 | — | — | 8,194 | 8,194 | ||||||||||||||||||||||||
Other investments portfolio | $109,714 | $19,156 | $11,000 | $139,870 | $80,262 | $35,596 | $13,795 | $129,653 |
Freddie Mac 2Q 2022 Form 10-Q | 16 |
Management's Discussion and Analysis | Our Business Segments |
Segment | Description | ||||
Single-Family | Reflects results from our purchase, securitization, and guarantee of single-family loans, our investments in single-family loans and mortgage-related securities, the management of Single-Family mortgage credit risk and market risk, and any results of our treasury function that are not allocated to each segment. | ||||
Multifamily | Reflects results from our purchase, securitization, and guarantee of multifamily loans, our investments in multifamily loans and mortgage-related securities, and the management of Multifamily mortgage credit risk and market risk. | ||||
Freddie Mac 2Q 2022 Form 10-Q | 17 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
Freddie Mac 2Q 2022 Form 10-Q | 18 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
Freddie Mac 2Q 2022 Form 10-Q | 19 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
Freddie Mac 2Q 2022 Form 10-Q | 20 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
Freddie Mac 2Q 2022 Form 10-Q | 21 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
Change | Change | |||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 2Q 2022 | 2Q 2021 | $ | % | YTD 2022 | YTD 2021 | $ | % | ||||||||||||||||||||||||||||||
Net interest income | $4,535 | $4,460 | $75 | 2 | % | $8,341 | $7,768 | $573 | 7 | % | ||||||||||||||||||||||||||||
Non-interest income | 336 | 255 | 81 | 32 | 1,744 | 796 | 948 | 119 | ||||||||||||||||||||||||||||||
Net revenues | 4,871 | 4,715 | 156 | 3 | 10,085 | 8,564 | 1,521 | 18 | ||||||||||||||||||||||||||||||
Benefit (provision) for credit losses | (298) | 686 | (984) | (143) | 533 | 832 | (299) | (36) | ||||||||||||||||||||||||||||||
Non-interest expense | (1,854) | (1,803) | (51) | (3) | (3,632) | (3,612) | (20) | (1) | ||||||||||||||||||||||||||||||
Income (loss) before income tax (expense) benefit | 2,719 | 3,598 | (879) | (24) | 6,986 | 5,784 | 1,202 | 21 | ||||||||||||||||||||||||||||||
Income tax (expense) benefit | (551) | (743) | 192 | 26 | (1,407) | (1,191) | (216) | (18) | ||||||||||||||||||||||||||||||
Net income (loss) | 2,168 | 2,855 | (687) | (24) | 5,579 | 4,593 | 986 | 21 | ||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | 5 | (74) | 79 | 107 | (7) | (402) | 395 | 98 | ||||||||||||||||||||||||||||||
Comprehensive income (loss) | $2,173 | $2,781 | ($608) | (22) | % | $5,572 | $4,191 | $1,381 | 33 | % |
Freddie Mac 2Q 2022 Form 10-Q | 22 |
Management's Discussion and Analysis | Our Business Segments | Multifamily |
Freddie Mac 2Q 2022 Form 10-Q | 23 |
Management's Discussion and Analysis | Our Business Segments | Multifamily |
Freddie Mac 2Q 2022 Form 10-Q | 24 |
Management's Discussion and Analysis | Our Business Segments | Multifamily |
Freddie Mac 2Q 2022 Form 10-Q | 25 |
Management's Discussion and Analysis | Our Business Segments | Multifamily |
Change | Change | |||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 2Q 2022 | 2Q 2021 | $ | % | YTD 2022 | YTD 2021 | $ | % | ||||||||||||||||||||||||||||||
Net interest income | $224 | $307 | ($83) | (27) | % | $522 | $638 | ($116) | (18) | % | ||||||||||||||||||||||||||||
Guarantee income | 170 | 346 | (176) | (51) | 210 | 505 | (295) | (58) | ||||||||||||||||||||||||||||||
Investment gains (losses), net | 89 | 499 | (410) | (82) | 350 | 1,407 | (1,057) | (75) | ||||||||||||||||||||||||||||||
Other income (loss) | 50 | (1) | 51 | 5,100 | 83 | 25 | 58 | 232 | ||||||||||||||||||||||||||||||
Net revenues | 533 | 1,151 | (618) | (54) | 1,165 | 2,575 | (1,410) | (55) | ||||||||||||||||||||||||||||||
Benefit (provision) for credit losses | (9) | 54 | (63) | (117) | (3) | 104 | (107) | (103) | ||||||||||||||||||||||||||||||
Non-interest expense | (166) | (166) | — | — | (320) | (345) | 25 | 7 | ||||||||||||||||||||||||||||||
Income (loss) before income tax (expense) benefit | 358 | 1,039 | (681) | (66) | 842 | 2,334 | (1,492) | (64) | ||||||||||||||||||||||||||||||
Income tax (expense) benefit | (73) | (215) | 142 | 66 | (170) | (481) | 311 | 65 | ||||||||||||||||||||||||||||||
Net income (loss) | 285 | 824 | (539) | (65) | 672 | 1,853 | (1,181) | (64) | ||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | (71) | 6 | (77) | (1,283) | (179) | (55) | (124) | (225) | ||||||||||||||||||||||||||||||
Comprehensive income (loss) | $214 | $830 | ($616) | (74) | % | $493 | $1,798 | ($1,305) | (73) | % |
Freddie Mac 2Q 2022 Form 10-Q | 26 |
Management's Discussion and Analysis | Risk Management |
2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | |||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | Single-Family | Multi-family | Total | Single-Family | Multi-family | Total | Single-Family | Multi-family | Total | Single-Family | Multi-family | Total | ||||||||||||||||||||||||||||||||
Allowance for credit losses: | ||||||||||||||||||||||||||||||||||||||||||||
Beginning balance | $4,849 | $72 | $4,921 | $6,130 | $150 | $6,280 | $5,440 | $78 | $5,518 | $6,353 | $200 | $6,553 | ||||||||||||||||||||||||||||||||
Provision (benefit) for credit losses | 298 | 9 | 307 | (686) | (54) | (740) | (533) | 3 | (530) | (832) | (104) | (936) | ||||||||||||||||||||||||||||||||
Charge-offs | (107) | — | (107) | (203) | — | (203) | (280) | — | (280) | (441) | — | (441) | ||||||||||||||||||||||||||||||||
Recoveries collected | 43 | — | 43 | 61 | — | 61 | 95 | — | 95 | 107 | — | 107 | ||||||||||||||||||||||||||||||||
Net charge-offs | (64) | — | (64) | (142) | — | (142) | (185) | — | (185) | (334) | — | (334) | ||||||||||||||||||||||||||||||||
Other(1) | 259 | — | 259 | 211 | — | 211 | 620 | — | 620 | 326 | — | 326 | ||||||||||||||||||||||||||||||||
Ending balance | $5,342 | $81 | $5,423 | $5,513 | $96 | $5,609 | $5,342 | $81 | $5,423 | $5,513 | $96 | $5,609 | ||||||||||||||||||||||||||||||||
Average loans outstanding during the period(2) | $2,917,015 | $29,805 | $2,946,820 | $2,544,845 | $22,644 | $2,567,489 | $2,892,734 | $28,942 | $2,921,676 | $2,483,190 | $22,632 | $2,505,822 | ||||||||||||||||||||||||||||||||
Net charge-offs to average loans outstanding | — | % | — | % | — | % | 0.01 | % | — | % | 0.01 | % | 0.01 | % | — | % | 0.01 | % | 0.01 | % | — | % | 0.01 | % | ||||||||||||||||||||
Components of ending balance of allowance for credit losses: | ||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-investment | $4,904 | $35 | $4,939 | $4,601 | $47 | $4,648 | ||||||||||||||||||||||||||||||||||||||
Advances of pre-foreclosure costs | 380 | — | 380 | 691 | — | 691 | ||||||||||||||||||||||||||||||||||||||
Accrued interest receivable on mortgage loans | 6 | — | 6 | 168 | — | 168 | ||||||||||||||||||||||||||||||||||||||
Off-balance sheet credit exposures | 52 | 46 | 98 | 53 | 49 | 102 | ||||||||||||||||||||||||||||||||||||||
Total ending balance | $5,342 | $81 | $5,423 | $5,513 | $96 | $5,609 | ||||||||||||||||||||||||||||||||||||||
Freddie Mac 2Q 2022 Form 10-Q | 27 |
Management's Discussion and Analysis | Risk Management |
June 30, 2022 | December 31, 2021 | ||||||||||||||||||||||
(Dollars in millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | |||||||||||||||||
Allowance for credit losses on mortgage loans held-for-investment | $4,904 | $35 | $4,939 | $4,913 | $34 | $4,947 | |||||||||||||||||
Total loans outstanding(1) | 2,928,818 | 30,645 | 2,959,463 | 2,806,535 | 26,743 | 2,833,278 | |||||||||||||||||
Non-accrual loans(1) | 12,018 | 42 | 12,060 | 18,650 | — | 18,650 | |||||||||||||||||
Allowance for credit losses(2) to total loans outstanding | 0.17 | % | 0.11 | % | 0.17 | % | 0.18 | % | 0.13 | % | 0.17 | % | |||||||||||
Non-accrual loans to total loans outstanding | 0.41 | 0.14 | 0.41 | 0.66 | — | 0.66 | |||||||||||||||||
Allowance for credit losses(3) to non-accrual loans | 40.81 | 83.33 | 40.95 | 26.34 | NM | 26.53 |
Freddie Mac 2Q 2022 Form 10-Q | 28 |
Management's Discussion and Analysis | Risk Management |
2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | |||||||||||||||||||||||||||||
(Dollars in millions) | Amount | % of Total | Amount | % of Total | Amount | % of Total | Amount | % of Total | ||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $124,910 | 91 | % | $241,604 | 84 | % | $306,887 | 89 | % | $552,014 | 85 | % | ||||||||||||||||||||
15-year or less, amortizing fixed-rate | 11,084 | 8 | 45,472 | 16 | 34,568 | 10 | 96,770 | 15 | ||||||||||||||||||||||||
Adjustable-rate | 1,671 | 1 | 1,391 | — | 3,298 | 1 | 1,499 | — | ||||||||||||||||||||||||
Total | $137,665 | 100 | % | $288,467 | 100 | % | $344,753 | 100 | % | $650,283 | 100 | % | ||||||||||||||||||||
Percentage of purchases | ||||||||||||||||||||||||||||||||
DTI ratio > 45% | 17 | % | 11 | % | 16 | % | 10 | % | ||||||||||||||||||||||||
Original LTV ratio > 90% | 19 | 11 | 16 | 9 | ||||||||||||||||||||||||||||
Transaction type: | ||||||||||||||||||||||||||||||||
Cash window | 30 | 46 | 27 | 55 | ||||||||||||||||||||||||||||
Guarantor swap | 70 | 53 | 73 | 45 | ||||||||||||||||||||||||||||
Other | — | 1 | — | — | ||||||||||||||||||||||||||||
Property type: | ||||||||||||||||||||||||||||||||
Detached single-family houses and townhouses | 92 | 92 | 93 | 93 | ||||||||||||||||||||||||||||
Condominium or co-op | 8 | 8 | 7 | 7 | ||||||||||||||||||||||||||||
Occupancy type: | ||||||||||||||||||||||||||||||||
Primary residence | 90 | 94 | 89 | 94 | ||||||||||||||||||||||||||||
Second home | 2 | 3 | 4 | 3 | ||||||||||||||||||||||||||||
Investment property | 8 | 3 | 7 | 3 | ||||||||||||||||||||||||||||
Loan purpose: | ||||||||||||||||||||||||||||||||
Purchase | 62 | 34 | 52 | 29 | ||||||||||||||||||||||||||||
Cash-out refinance | 28 | 23 | 31 | 21 | ||||||||||||||||||||||||||||
Other refinance | 10 | 43 | 17 | 50 |
2Q 2022 | 2Q 2021 | ||||||||||||||||
(In millions) | UPB(1) | Maximum Coverage(2) | UPB(1) | Maximum Coverage(2) | |||||||||||||
STACR | $111,412 | $4,783 | $101,136 | $1,500 | |||||||||||||
Insurance/reinsurance | 37,700 | 1,489 | 69,203 | 1,567 | |||||||||||||
Other | 1,551 | 248 | 3,232 | 409 | |||||||||||||
Total CRT issuance | $150,663 | $6,520 | $173,571 | $3,476 |
Freddie Mac 2Q 2022 Form 10-Q | 29 |
Management's Discussion and Analysis | Risk Management |
YTD 2022 | YTD 2021 | ||||||||||||||||
(In millions) | UPB(1) | Maximum Coverage(2) | UPB(1) | Maximum Coverage(2) | |||||||||||||
STACR | $234,974 | $9,871 | $277,843 | $5,044 | |||||||||||||
Insurance/reinsurance | 121,691 | 4,715 | 297,510 | 4,281 | |||||||||||||
Other | 1,697 | 394 | 3,403 | 580 | |||||||||||||
Less: UPB with more than one type of CRT | — | — | (159,835) | — | |||||||||||||
Total CRT issuance | $358,362 | $14,980 | $418,921 | $9,905 |
June 30, 2022 | ||||||||||||||
(Dollars in millions) | UPB(1) | % of Portfolio | Maximum Coverage(2) | |||||||||||
Primary mortgage insurance(3) | $577,678 | 20 | % | $145,351 | ||||||||||
STACR | 1,156,106 | 40 | 35,817 | |||||||||||
Insurance/reinsurance | 937,143 | 32 | 19,146 | |||||||||||
Other | 40,500 | 1 | 10,624 | |||||||||||
Less: UPB with multiple credit enhancements and other reconciling items(4) | (985,403) | (34) | — | |||||||||||
Single-Family mortgage portfolio - credit-enhanced | 1,726,024 | 59 | 210,938 | |||||||||||
Single-Family mortgage portfolio - non-credit-enhanced | 1,201,905 | 41 | N/A | |||||||||||
Total | $2,927,929 | 100 | % | $210,938 |
December 31, 2021 | ||||||||||||||
(Dollars in millions) | UPB(1) | % of Portfolio | Maximum Coverage(2) | |||||||||||
Primary mortgage insurance(3) | $545,293 | 20 | % | $135,330 | ||||||||||
STACR | 1,024,013 | 37 | 32,641 | |||||||||||
Insurance/reinsurance | 914,003 | 33 | 16,209 | |||||||||||
Other | 42,273 | 1 | 10,598 | |||||||||||
Less: UPB with multiple credit enhancements and other reconciling items(4) | (1,034,546) | (38) | — | |||||||||||
Single-Family mortgage portfolio - credit-enhanced | 1,491,036 | 53 | 194,778 | |||||||||||
Single-Family mortgage portfolio - non-credit-enhanced | 1,301,188 | 47 | N/A | |||||||||||
Total | $2,792,224 | 100 | % | $194,778 |
Freddie Mac 2Q 2022 Form 10-Q | 30 |
Management's Discussion and Analysis | Risk Management |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||
(% of portfolio based on UPB)(1) | % of Portfolio(2) | SDQ Rate | % of Portfolio(2) | SDQ Rate | ||||||||||||||||
Credit-enhanced: | ||||||||||||||||||||
Primary mortgage insurance | 20 | % | 1.22 | % | 20 | % | 1.79 | % | ||||||||||||
CRT and other | 53 | 0.77 | 47 | 1.24 | ||||||||||||||||
Non-credit-enhanced | 41 | 0.66 | 47 | 0.93 | ||||||||||||||||
Total | N/A | 0.76 | N/A | 1.12 |
(In millions) | June 30, 2022 | December 31, 2021 | |||||||||
Freestanding credit enhancement expected recovery receivables, net of allowance | $110 | $114 | |||||||||
Primary mortgage insurance receivables(1), net of allowance | 61 | 76 | |||||||||
Total credit enhancement receivables | $171 | $190 |
June 30, 2022 | |||||||||||||||||||||||
(Dollars in millions) | UPB | Original Credit Score (1) | Current Credit Score(1)(2) | Original LTV Ratio | Current LTV Ratio | Current LTV Ratio >100% | |||||||||||||||||
Single-Family mortgage portfolio year of origination: | |||||||||||||||||||||||
2022 | $254,434 | 744 | 743 | 74 | % | 70 | % | — | % | ||||||||||||||
2021 | 1,094,052 | 752 | 756 | 71 | 59 | — | |||||||||||||||||
2020 | 811,154 | 760 | 768 | 71 | 50 | — | |||||||||||||||||
2019 | 139,712 | 746 | 751 | 76 | 49 | — | |||||||||||||||||
2018 | 56,792 | 736 | 736 | 76 | 46 | — | |||||||||||||||||
2017 and prior | 571,785 | 737 | 751 | 75 | 34 | — | |||||||||||||||||
Total | $2,927,929 | 750 | 756 | 72 | 52 | — |
Freddie Mac 2Q 2022 Form 10-Q | 31 |
Management's Discussion and Analysis | Risk Management |
December 31, 2021 | |||||||||||||||||||||||
(Dollars in millions) | UPB | Original Credit Score (1) | Current Credit Score(1)(2) | Original LTV Ratio | Current LTV Ratio | Current LTV Ratio >100% | |||||||||||||||||
Single-Family mortgage portfolio year of origination: | |||||||||||||||||||||||
2021 | $1,059,299 | 752 | 751 | 71 | % | 66 | % | — | % | ||||||||||||||
2020 | 867,122 | 760 | 769 | 71 | 56 | — | |||||||||||||||||
2019 | 157,971 | 746 | 751 | 76 | 55 | — | |||||||||||||||||
2018 | 66,149 | 736 | 736 | 76 | 52 | — | |||||||||||||||||
2017 | 88,800 | 741 | 746 | 75 | 46 | — | |||||||||||||||||
2016 and prior | 552,883 | 737 | 752 | 75 | 36 | — | |||||||||||||||||
Total | $ | 2,792,224 | 751 | 756 | 72 | 55 | — |
June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CLTV ≤ 60 | CLTV > 60 to 80 | CLTV > 80 to 90 | CLTV > 90 to 100 | CLTV > 100 | All Loans | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Original credit score | % of Portfolio | SDQ Rate | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate | % Modified(2) | ||||||||||||||||||||||||||||||||||||||||||||||
< 620 | 0.8 | % | 6.18 | % | 0.1 | % | 11.06 | % | — | % | NM | — | % | NM | — | % | NM | 0.9 | % | 6.69 | % | 8.5 | % | ||||||||||||||||||||||||||||||||||||
620 to 679 | 5.1 | 2.31 | 1.9 | 2.09 | 0.2 | 2.01 | % | — | NM | — | NM | 7.2 | 2.26 | 3.6 | |||||||||||||||||||||||||||||||||||||||||||||
≥ 680 | 60.8 | 0.50 | 25.7 | 0.48 | 4.2 | 0.35 | 1.1 | 0.19 | % | — | NM | 91.8 | 0.49 | 0.6 | |||||||||||||||||||||||||||||||||||||||||||||
Not available | 0.1 | 5.59 | — | NM | — | NM | — | NM | — | NM | 0.1 | 5.64 | 19.6 | ||||||||||||||||||||||||||||||||||||||||||||||
Total | 66.8 | % | 0.79 | 27.7 | % | 0.67 | 4.4 | % | 0.51 | 1.1 | % | 0.42 | — | % | NM | 100.0 | % | 0.76 | 1.1 |
December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CLTV ≤ 60 | CLTV > 60 to 80 | CLTV > 80 to 90 | CLTV > 90 to 100 | CLTV > 100 | All Loans | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Original credit score | % of Portfolio | SDQ Rate | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate | % Modified(2) | ||||||||||||||||||||||||||||||||||||||||||||||
< 620 | 0.8 | % | 6.69 | % | 0.2 | % | 11.68 | % | — | % | NM | — | % | NM | — | % | NM | 1.0 | % | 7.50 | % | 8.5 | % | ||||||||||||||||||||||||||||||||||||
620 to 679 | 4.4 | 3.29 | 2.3 | 3.05 | 0.3 | 2.56 | % | 0.1 | 2.57 | % | — | NM | 7.1 | 3.22 | 3.7 | ||||||||||||||||||||||||||||||||||||||||||||
≥ 680 | 51.9 | 0.80 | 32.3 | 0.78 | 5.3 | 0.54 | 2.3 | 0.25 | — | NM | 91.8 | 0.78 | 0.6 | ||||||||||||||||||||||||||||||||||||||||||||||
Not available | 0.1 | 6.58 | — | NM | — | NM | — | NM | — | NM | 0.1 | 6.85 | 18.7 | ||||||||||||||||||||||||||||||||||||||||||||||
Total | 57.2 | % | 1.19 | 34.8 | % | 1.04 | 5.6 | % | 0.77 | 2.4 | % | 0.47 | — | % | NM | 100.0 | % | 1.12 | 1.0 |
Freddie Mac 2Q 2022 Form 10-Q | 32 |
Management's Discussion and Analysis | Risk Management |
Freddie Mac 2Q 2022 Form 10-Q | 33 |
Management's Discussion and Analysis | Risk Management |
2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | |||||||||||||||||||||||||||||||||||
(In millions) | UPB(1) | Maximum Coverage(2) | UPB(1) | Maximum Coverage(2) | UPB(1) | Maximum Coverage(2) | UPB(1) | Maximum Coverage(2) | ||||||||||||||||||||||||||||||
Subordination | $14,781 | $940 | $16,929 | $1,351 | $28,886 | $1,914 | $38,043 | $2,969 | ||||||||||||||||||||||||||||||
SCR | 5,982 | 141 | — | — | 5,982 | 141 | 4,852 | 277 | ||||||||||||||||||||||||||||||
Insurance/reinsurance | 5,982 | 200 | — | — | 5,982 | 200 | — | — | ||||||||||||||||||||||||||||||
Lender risk-sharing | 214 | 26 | — | — | 214 | 26 | — | — | ||||||||||||||||||||||||||||||
Less: UPB with more than one type of CRT | (5,982) | — | — | — | (5,982) | — | — | — | ||||||||||||||||||||||||||||||
Total CRT issuance | $20,977 | $1,307 | $16,929 | $1,351 | $35,082 | $2,281 | $42,895 | $3,246 | ||||||||||||||||||||||||||||||
June 30, 2022 | December 31, 2021 | |||||||||||||||||||
(Dollars in millions) | UPB | Delinquency Rate | UPB | Delinquency Rate | ||||||||||||||||
Credit-enhanced: | ||||||||||||||||||||
Subordination | $362,668 | 0.06 | % | $360,113 | 0.08 | % | ||||||||||||||
Other | 33,889 | 0.13 | 28,565 | 0.16 | ||||||||||||||||
Total credit-enhanced | 396,557 | 0.07 | 388,678 | 0.08 | ||||||||||||||||
Non-credit-enhanced | 18,498 | 0.14 | 25,985 | 0.05 | ||||||||||||||||
Total | $415,055 | 0.07 | $414,663 | 0.08 |
Freddie Mac 2Q 2022 Form 10-Q | 34 |
Management's Discussion and Analysis | Risk Management |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||
PVS-YC | PVS-L | PVS-YC | PVS-L | |||||||||||||||||||||||||||||
(In millions) | 25 bps | 50 bps | 100 bps | 25 bps | 50 bps | 100 bps | ||||||||||||||||||||||||||
Assuming shifts of the yield curve, (gains) losses on:(1) | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments | ($382) | ($3,384) | ($6,845) | $368 | $3,531 | $7,101 | ||||||||||||||||||||||||||
Guarantees(2) | 96 | 616 | 1,333 | (242) | (1,181) | (1,830) | ||||||||||||||||||||||||||
Total assets | (286) | (2,768) | (5,512) | 126 | 2,350 | 5,271 | ||||||||||||||||||||||||||
Liabilities | (33) | 2,109 | 4,204 | 18 | (2,385) | (4,870) | ||||||||||||||||||||||||||
Derivatives | 319 | 657 | 1,296 | (144) | 94 | (217) | ||||||||||||||||||||||||||
Total | $— | ($2) | ($12) | $— | $59 | $184 | ||||||||||||||||||||||||||
PVS | $— | $— | $— | $— | $59 | $184 |
Freddie Mac 2Q 2022 Form 10-Q | 35 |
Management's Discussion and Analysis | Risk Management |
2Q 2022 | 2Q 2021 | |||||||||||||||||||||||||
(Duration gap in months, dollars in millions) | Duration Gap | PVS-YC 25 bps | PVS-L 50 bps | Duration Gap | PVS-YC 25 bps | PVS-L 50 bps | ||||||||||||||||||||
Average | (0.1) | $7 | $6 | 0.3 | $7 | $17 | ||||||||||||||||||||
Minimum | (0.4) | — | — | (0.8) | — | — | ||||||||||||||||||||
Maximum | 0.1 | 18 | 29 | 1.0 | 24 | 93 | ||||||||||||||||||||
Standard deviation | 0.1 | 5 | 9 | 0.3 | 6 | 23 | ||||||||||||||||||||
YTD 2022 | YTD 2021 | |||||||||||||||||||||||||
(Duration gap in months, dollars in millions) | Duration Gap | PVS-YC 25 bps | PVS-L 50 bps | Duration Gap | PVS-YC 25 bps | PVS-L 50 bps | ||||||||||||||||||||
Average | — | $8 | $8 | 0.3 | $7 | $39 | ||||||||||||||||||||
Minimum | (0.4) | — | — | (0.8) | — | — | ||||||||||||||||||||
Maximum | 0.4 | 18 | 77 | 1.0 | 24 | 200 | ||||||||||||||||||||
Standard deviation | 0.2 | 5 | 15 | 0.3 | 6 | 49 |
PVS-L (50 bps) | |||||||||||||||||
(In millions) | Before Derivatives | After Derivatives | Effect of Derivatives | ||||||||||||||
June 30, 2022(1) | $670 | $— | ($670) | ||||||||||||||
December 31, 2021(2) | 508 | 59 | (449) |
Freddie Mac 2Q 2022 Form 10-Q | 36 |
Management's Discussion and Analysis | Risk Management |
(In millions) | June 30, 2022 | June 30, 2021 | ||||||||||||
Interest Rate Scenarios(1) | ||||||||||||||
Parallel yield curve shifts: | ||||||||||||||
+100 basis points | $76 | $19 | ||||||||||||
-100 basis points | (76) | (19) | ||||||||||||
Non-parallel yield curve shifts - long-term interest rates: | ||||||||||||||
+100 basis points | 114 | (179) | ||||||||||||
-100 basis points | (114) | 179 | ||||||||||||
Non-parallel yield curve shifts - short-term and medium-term interest rates: | ||||||||||||||
+100 basis points | (38) | 197 | ||||||||||||
-100 basis points | 38 | (197) |
Freddie Mac 2Q 2022 Form 10-Q | 37 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
(In millions) | June 30, 2022(1) | December 31, 2021(1) | Description | ||||||||
Other Investments Portfolio - Liquidity and Contingency Operating Portfolio | $109,714 | $80,262 | The liquidity and contingency operating portfolio, included within our other investments portfolio, is primarily used for short-term liquidity management. | ||||||||
Mortgage Loans and Mortgage-Related Securities | 22,770 | 43,393 | The liquid portion of our mortgage-related investments portfolio can be pledged or sold for liquidity purposes. The amount of cash we may be able to successfully raise may be substantially less than the balance. |
Freddie Mac 2Q 2022 Form 10-Q | 38 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
(In millions) | June 30, 2022(1) | December 31, 2021(1) | Description | ||||||||
Debt of Freddie Mac | $159,063 | $177,131 | Debt of Freddie Mac is used to fund our business activities. | ||||||||
Debt of Consolidated Trusts | 2,934,115 | 2,803,054 | Debt of consolidated trusts is used primarily to fund our Single-Family guarantee activities. This type of debt is principally repaid by the cash flows of the associated mortgage loans. As a result, our repayment obligation is limited to amounts paid pursuant to our guarantee of principal and interest and to purchase modified or seriously delinquent loans from the trusts. |
2Q 2022 | 2Q 2021 | |||||||||||||||||||
(Dollars in millions) | Par Value | Average Rate(1) | Par Value | Average Rate(1) | ||||||||||||||||
Short-term: | ||||||||||||||||||||
Beginning balance | $3,300 | 0.25 | % | $10,910 | 0.03 | % | ||||||||||||||
Issuances | 2,165 | 1.45 | — | — | ||||||||||||||||
Repayments | — | — | (10,910) | 0.03 | ||||||||||||||||
Maturities | (2,350) | 0.17 | — | — | ||||||||||||||||
Ending balance | 3,115 | 1.14 | — | — | ||||||||||||||||
Securities sold under agreements to repurchase | 9,977 | 1.06 | 4,620 | (0.03) | ||||||||||||||||
Offsetting arrangements | (9,977) | (4,620) | ||||||||||||||||||
Securities sold under agreements to repurchase, net | — | — | — | — | ||||||||||||||||
Total short-term debt | 3,115 | 1.14 | — | — | ||||||||||||||||
Long-term: | ||||||||||||||||||||
Beginning balance | 164,876 | 1.21 | 251,548 | 1.13 | ||||||||||||||||
Issuances | 15,262 | 3.28 | — | — | ||||||||||||||||
Repayments | (71) | 4.36 | (11,806) | 0.55 | ||||||||||||||||
Maturities | (14,634) | 0.42 | (9,266) | 0.87 | ||||||||||||||||
Total long-term debt | 165,433 | 1.52 | 230,476 | 1.17 | ||||||||||||||||
Total debt of Freddie Mac, net | $168,548 | 1.52 | % | $230,476 | 1.17 | % |
Freddie Mac 2Q 2022 Form 10-Q | 39 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
YTD 2022 | YTD 2021 | |||||||||||||||||||
(Dollars in millions) | Par Value | Average Rate(1) | Par Value | Average Rate(1) | ||||||||||||||||
Short-term: | ||||||||||||||||||||
Beginning balance | $— | — | % | $4,955 | 1.31 | % | ||||||||||||||
Issuances | 7,718 | 0.51 | 22,050 | 0.04 | ||||||||||||||||
Repayments | — | — | (24,570) | 0.15 | ||||||||||||||||
Maturities | (4,603) | 0.09 | (2,435) | 1.48 | ||||||||||||||||
Ending balance | 3,115 | 1.14 | — | — | ||||||||||||||||
Securities sold under agreements to repurchase | 9,977 | 1.06 | 4,620 | (0.03) | ||||||||||||||||
Offsetting arrangements | (9,977) | (4,620) | ||||||||||||||||||
Securities sold under agreements to repurchase, net | — | — | — | — | ||||||||||||||||
Total short-term debt | 3,115 | 1.14 | — | — | ||||||||||||||||
Long-term: | ||||||||||||||||||||
Beginning balance | 181,613 | 1.11 | 281,386 | 1.12 | ||||||||||||||||
Issuances | 17,072 | 3.17 | 1,090 | 0.60 | ||||||||||||||||
Repayments | (1,905) | 3.03 | (37,016) | 0.75 | ||||||||||||||||
Maturities | (31,347) | 0.26 | (14,984) | 1.40 | ||||||||||||||||
Total long-term debt | 165,433 | 1.52 | 230,476 | 1.17 | ||||||||||||||||
Total debt of Freddie Mac, net | $168,548 | 1.52 | % | $230,476 | 1.17 | % |
As of June 30, 2022 | As of December 31, 2021 | |||||||||||||||||||
(Par value in millions) | Contractual Maturity Date | Earliest Redemption Date | Contractual Maturity Date | Earliest Redemption Date | ||||||||||||||||
Debt of Freddie Mac(1): | ||||||||||||||||||||
1 year or less | $48,910 | $123,997 | $55,958 | $118,436 | ||||||||||||||||
1 year through 2 years | 34,191 | 23,256 | 38,688 | 35,724 | ||||||||||||||||
2 years through 3 years | 20,921 | 3,972 | 13,274 | 1,745 | ||||||||||||||||
3 years through 4 years | 31,937 | 9,198 | 35,436 | 12,076 | ||||||||||||||||
4 years through 5 years | 5,145 | 46 | 4,717 | 87 | ||||||||||||||||
Thereafter | 31,089 | 11,724 | 31,736 | 11,741 | ||||||||||||||||
STACR and SCR debt(2) | 6,332 | 6,332 | 9,139 | 9,139 | ||||||||||||||||
Total debt of Freddie Mac | $178,525 | $178,525 | $188,948 | $188,948 |
Freddie Mac 2Q 2022 Form 10-Q | 40 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
(In millions) | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | ||||||||||||||||
Beginning balance | $2,835,071 | $2,376,691 | $2,732,056 | $2,240,602 | ||||||||||||||||
Issuances | 203,919 | 394,018 | 499,166 | 804,141 | ||||||||||||||||
Repayments and extinguishments | (161,268) | (264,375) | (353,500) | (538,409) | ||||||||||||||||
Ending balance | 2,877,722 | 2,506,334 | 2,877,722 | 2,506,334 | ||||||||||||||||
Unamortized premiums and discounts | 56,393 | 69,319 | 56,393 | 69,319 | ||||||||||||||||
Debt of consolidated trusts | $2,934,115 | $2,575,653 | $2,934,115 | $2,575,653 |
Freddie Mac 2Q 2022 Form 10-Q | 41 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
(In millions) | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | ||||||||||||||||
Beginning balance | $31,711 | $18,791 | $28,033 | $16,413 | ||||||||||||||||
Comprehensive income (loss) | 2,387 | 3,611 | 6,065 | 5,989 | ||||||||||||||||
Capital draw from Treasury | — | — | — | — | ||||||||||||||||
Senior preferred stock dividends declared | — | — | — | — | ||||||||||||||||
Total equity / net worth | $34,098 | $22,402 | $34,098 | $22,402 | ||||||||||||||||
Remaining Treasury funding commitment | $140,162 | $140,162 | $140,162 | $140,162 | ||||||||||||||||
Aggregate draws under Purchase Agreement | 71,648 | 71,648 | 71,648 | 71,648 | ||||||||||||||||
Aggregate cash dividends paid to Treasury | 119,680 | 119,680 | 119,680 | 119,680 | ||||||||||||||||
Liquidation preference of the senior preferred stock | 104,359 | 91,439 | 104,359 | 91,439 |
Freddie Mac 2Q 2022 Form 10-Q | 42 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
(In billions) | June 30, 2022 | ||||||||||||||||||||||
Adjusted total assets | $3,655 | ||||||||||||||||||||||
Risk-weighted assets (standardized approach) | 845 | ||||||||||||||||||||||
(In billions) | June 30, 2022 | ||||||||||||||||||||||
Stress capital buffer | $27 | ||||||||||||||||||||||
Stability capital buffer | 23 | ||||||||||||||||||||||
Countercyclical capital buffer | — | ||||||||||||||||||||||
PCCBA | $50 | ||||||||||||||||||||||
PLBA | $11 | ||||||||||||||||||||||
June 30, 2022 | |||||||||||||||||||||||
(Dollars in billions) | Minimum Capital Requirement | Applicable Buffer(1) | Capital Requirement (Including Buffer) | Available Capital (Deficit) | Capital Shortfall | ||||||||||||||||||
Risk-based capital amounts: | |||||||||||||||||||||||
Total capital (statutory)(2) | $68 | N/A | $68 | ($33) | ($101) | ||||||||||||||||||
CET1 capital(3) | 38 | $50 | 88 | (58) | (146) | ||||||||||||||||||
Tier 1 capital(3) | 50 | 50 | 100 | (44) | (144) | ||||||||||||||||||
Adjusted total capital(3) | 67 | 50 | 117 | (44) | (161) | ||||||||||||||||||
Risk-based capital ratios(4): | |||||||||||||||||||||||
Total capital (statutory) | 8.0 | % | N/A | 8.0 | % | (3.9) | % | (11.9) | % | ||||||||||||||
CET1 capital | 4.5 | 5.9 | % | 10.4 | (6.9) | (17.3) | |||||||||||||||||
Tier 1 capital | 6.0 | 5.9 | 11.9 | (5.2) | (17.1) | ||||||||||||||||||
Adjusted total capital | 8.0 | 5.9 | 13.9 | (5.2) | (19.1) | ||||||||||||||||||
Leverage capital amounts: | |||||||||||||||||||||||
Core capital (statutory)(5) | $92 | N/A | $92 | ($39) | ($131) | ||||||||||||||||||
Tier 1 capital(3) | 92 | $11 | 103 | (44) | (147) | ||||||||||||||||||
Leverage capital ratios(6): | |||||||||||||||||||||||
Core capital (statutory) | 2.5 | % | N/A | 2.5 | % | (1.1) | % | (3.6) | % | ||||||||||||||
Tier 1 capital | 2.5 | 0.3 | % | 2.8 | (1.2) | (4.0) |
Freddie Mac 2Q 2022 Form 10-Q | 43 |
Management's Discussion and Analysis | Critical Accounting Estimates |
2022 | 2023 | ||||||||||
June 30, 2022(1) | 12.8 | % | 4.0 | % | |||||||
March 31, 2022(1) | 10.4 | 5.0 | |||||||||
December 31, 2021 | 6.2 | 2.5 |
Freddie Mac 2Q 2022 Form 10-Q | 44 |
Management's Discussion and Analysis | Regulation and Supervision |
Freddie Mac 2Q 2022 Form 10-Q | 45 |
Management's Discussion and Analysis | Forward-Looking Statements |
Freddie Mac 2Q 2022 Form 10-Q | 46 |
Management's Discussion and Analysis | Forward-Looking Statements |
Freddie Mac 2Q 2022 Form 10-Q | 47 |
Financial Statements |
Financial Statements |
Freddie Mac 2Q 2022 Form 10-Q | 48 |
Financial Statements | Condensed Consolidated Statements of Operations and Comprehensive Income |
(In millions, except share-related amounts) | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | ||||||||||||||||
Net interest income | ||||||||||||||||||||
Interest income | $20,008 | $15,230 | $37,748 | $29,132 | ||||||||||||||||
Interest expense | (15,249) | (10,463) | (28,885) | (20,726) | ||||||||||||||||
Net interest income | 4,759 | 4,767 | 8,863 | 8,406 | ||||||||||||||||
Non-interest income (loss) | ||||||||||||||||||||
Guarantee income | 205 | 356 | 275 | 604 | ||||||||||||||||
Investment gains (losses), net | 321 | 636 | 1,834 | 1,844 | ||||||||||||||||
Other income (loss) | 119 | 107 | 278 | 285 | ||||||||||||||||
Non-interest income (loss) | 645 | 1,099 | 2,387 | 2,733 | ||||||||||||||||
Net revenues | 5,404 | 5,866 | 11,250 | 11,139 | ||||||||||||||||
Benefit (provision) for credit losses | (307) | 740 | 530 | 936 | ||||||||||||||||
Non-interest expense | ||||||||||||||||||||
Salaries and employee benefits | (376) | (346) | (732) | (690) | ||||||||||||||||
Credit enhancement expense | (558) | (369) | (1,017) | (704) | ||||||||||||||||
Benefit for (decrease in) credit enhancement recoveries | (1) | (193) | (18) | (450) | ||||||||||||||||
Legislative assessments expense | (748) | (696) | (1,507) | (1,387) | ||||||||||||||||
Other expense | (337) | (365) | (678) | (726) | ||||||||||||||||
Non-interest expense | (2,020) | (1,969) | (3,952) | (3,957) | ||||||||||||||||
Income (loss) before income tax (expense) benefit | 3,077 | 4,637 | 7,828 | 8,118 | ||||||||||||||||
Income tax (expense) benefit | (624) | (958) | (1,577) | (1,672) | ||||||||||||||||
Net income (loss) | 2,453 | 3,679 | 6,251 | 6,446 | ||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | (66) | (68) | (186) | (457) | ||||||||||||||||
Comprehensive income (loss) | $2,387 | $3,611 | $6,065 | $5,989 | ||||||||||||||||
Net income (loss) | $2,453 | $3,679 | $6,251 | $6,446 | ||||||||||||||||
Future increase in senior preferred stock liquidation preference | (2,387) | (3,611) | (6,065) | (5,989) | ||||||||||||||||
Net income (loss) attributable to common stockholders | $66 | $68 | $186 | $457 | ||||||||||||||||
Net income (loss) per common share | $0.02 | $0.02 | $0.06 | $0.14 | ||||||||||||||||
Weighted average common shares outstanding (in millions) | 3,234 | 3,234 | 3,234 | 3,234 |
Freddie Mac 2Q 2022 Form 10-Q | 49 |
Financial Statements | Condensed Consolidated Balance Sheets |
June 30, | December 31, | ||||||||||
(In millions, except share-related amounts) | 2022 | 2021 | |||||||||
Assets | |||||||||||
Cash and cash equivalents (includes $855 and $1,695 of restricted cash and cash equivalents) | $5,257 | $10,150 | |||||||||
Securities purchased under agreements to resell | 86,496 | 71,203 | |||||||||
Investment securities, at fair value | 48,937 | 53,015 | |||||||||
Mortgage loans held-for-sale (includes $5,670 and $10,498 at fair value) | 12,340 | 19,778 | |||||||||
Mortgage loans held-for-investment (net of allowance for credit losses of $4,939 and $4,947) | 2,954,524 | 2,828,331 | |||||||||
Accrued interest receivable, net | 7,871 | 7,474 | |||||||||
Deferred tax assets, net | 5,552 | 6,214 | |||||||||
Other assets (includes $6,419 and $6,594 at fair value) | 24,604 | 29,421 | |||||||||
Total assets | $3,145,581 | $3,025,586 | |||||||||
Liabilities and equity | |||||||||||
Liabilities | |||||||||||
Accrued interest payable | $6,594 | $6,268 | |||||||||
Debt (includes $3,605 and $2,478 at fair value) | 3,093,178 | 2,980,185 | |||||||||
Other liabilities (includes $1,079 and $287 at fair value) | 11,711 | 11,100 | |||||||||
Total liabilities | 3,111,483 | 2,997,553 | |||||||||
Commitments and contingencies (Notes 4, 8, 14) | |||||||||||
Equity | |||||||||||
Senior preferred stock (liquidation preference of $104,359 and $97,959) | 72,648 | 72,648 | |||||||||
Preferred stock, at redemption value | 14,109 | 14,109 | |||||||||
Common stock, $0.00 par value, 4,000,000,000 shares authorized, 725,863,886 shares issued and 650,059,553 shares outstanding | — | — | |||||||||
Retained earnings (accumulated deficit) | (48,742) | (54,993) | |||||||||
AOCI, net of taxes, related to: | |||||||||||
Available-for-sale securities | 107 | 297 | |||||||||
Other | (139) | (143) | |||||||||
AOCI, net of taxes | (32) | 154 | |||||||||
Treasury stock, at cost, 75,804,333 shares | (3,885) | (3,885) | |||||||||
Total equity | 34,098 | 28,033 | |||||||||
Total liabilities and equity | $3,145,581 | $3,025,586 |
June 30, | December 31, | ||||||||||
(In millions) | 2022 | 2021 | |||||||||
Assets: | |||||||||||
Cash and cash equivalents (includes $755 and $1,595 of restricted cash and cash equivalents) | $756 | $1,596 | |||||||||
Securities purchased under agreements to resell | 18,400 | 34,000 | |||||||||
Investment securities, at fair value | 148 | 420 | |||||||||
Mortgage loans held-for-investment, net | 2,913,414 | 2,784,626 | |||||||||
Accrued interest receivable, net | 7,410 | 7,019 | |||||||||
Other assets | 7,469 | 11,265 | |||||||||
Total assets of consolidated VIEs | $2,947,597 | $2,838,926 | |||||||||
Liabilities: | |||||||||||
Accrued interest payable | $6,175 | $5,823 | |||||||||
Debt | 2,934,115 | 2,803,054 | |||||||||
Total liabilities of consolidated VIEs | $2,940,290 | $2,808,877 |
Freddie Mac 2Q 2022 Form 10-Q | 50 |
Financial Statements | Condensed Consolidated Statements of Equity |
Shares Outstanding | Senior Preferred Stock | Preferred Stock, at Redemption Value | Common Stock, at Par Value | Retained Earnings (Accumulated Deficit) | AOCI, Net of Tax | Treasury Stock, at Cost | Total Equity | ||||||||||||||||||||||||||||
(In millions) | Senior Preferred Stock | Preferred Stock | Common Stock | ||||||||||||||||||||||||||||||||
Balance at March 31, 2022 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($51,195) | $34 | ($3,885) | $31,711 | |||||||||||||||||||||||||
Comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Net income (loss) | — | — | — | — | — | — | 2,453 | — | — | 2,453 | |||||||||||||||||||||||||
Other comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $19 million) | — | — | — | — | — | — | — | (71) | — | (71) | |||||||||||||||||||||||||
Reclassification adjustment for gains on available-for-sale securities included in net income (net of taxes of $1 million) | — | — | — | — | — | — | — | 3 | — | 3 | |||||||||||||||||||||||||
Other (net of taxes of $1 million) | — | — | — | — | — | — | — | 2 | — | 2 | |||||||||||||||||||||||||
Comprehensive income (loss) | — | — | — | — | — | — | 2,453 | (66) | — | 2,387 | |||||||||||||||||||||||||
Ending balance at June 30, 2022 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($48,742) | ($32) | ($3,885) | $34,098 | |||||||||||||||||||||||||
Balance at March 31, 2021 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($64,335) | $254 | ($3,885) | $18,791 | |||||||||||||||||||||||||
Comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Net income (loss) | — | — | — | — | — | — | 3,679 | — | — | 3,679 | |||||||||||||||||||||||||
Other comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $2 million) | — | — | — | — | — | — | — | 6 | — | 6 | |||||||||||||||||||||||||
Reclassification adjustment for gains on available-for-sale securities included in net income (net of taxes of $20 million) | — | — | — | — | — | — | — | (79) | — | (79) | |||||||||||||||||||||||||
Other (net of taxes of $1 million) | — | — | — | — | — | — | — | 5 | — | 5 | |||||||||||||||||||||||||
Comprehensive income (loss) | — | — | — | — | — | — | 3,679 | (68) | — | 3,611 | |||||||||||||||||||||||||
Ending balance at June 30, 2021 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($60,656) | $186 | ($3,885) | $22,402 |
Shares Outstanding | Senior Preferred Stock | Preferred Stock, at Redemption Value | Common Stock, at Par Value | Retained Earnings (Accumulated Deficit) | AOCI, Net of Tax | Treasury Stock, at Cost | Total Equity | ||||||||||||||||||||||||||||
(In millions) | Senior Preferred Stock | Preferred Stock | Common Stock | ||||||||||||||||||||||||||||||||
Balance at December 31, 2021 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($54,993) | $154 | ($3,885) | $28,033 | |||||||||||||||||||||||||
Comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Net income (loss) | — | — | — | — | — | — | 6,251 | — | — | 6,251 | |||||||||||||||||||||||||
Other comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $52 million) | — | — | — | — | — | — | — | (194) | — | (194) | |||||||||||||||||||||||||
Reclassification adjustment for gains on available-for-sale securities included in net income (net of taxes of $1 million) | — | — | — | — | — | — | — | 4 | — | 4 | |||||||||||||||||||||||||
Other (net of taxes of $1 million) | — | — | — | — | — | — | — | 4 | — | 4 | |||||||||||||||||||||||||
Comprehensive income (loss) | — | — | — | — | — | — | 6,251 | (186) | — | 6,065 | |||||||||||||||||||||||||
Ending balance at June 30, 2022 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($48,742) | ($32) | ($3,885) | $34,098 | |||||||||||||||||||||||||
Balance at December 31, 2020 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($67,102) | $643 | ($3,885) | $16,413 | |||||||||||||||||||||||||
Comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Net income (loss) | — | — | — | — | — | — | 6,446 | — | — | 6,446 | |||||||||||||||||||||||||
Other comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $26 million) | — | — | — | — | — | — | — | (99) | — | (99) | |||||||||||||||||||||||||
Reclassification adjustment for gains on available-for-sale securities included in net income (net of taxes of $98 million) | — | — | — | — | — | — | — | (369) | — | (369) | |||||||||||||||||||||||||
Other (net of taxes of $1 million) | — | — | — | — | — | — | — | 11 | — | 11 | |||||||||||||||||||||||||
Comprehensive income (loss) | — | — | — | — | — | — | 6,446 | (457) | — | 5,989 | |||||||||||||||||||||||||
Ending balance at June 30, 2021 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($60,656) | $186 | ($3,885) | $22,402 |
Freddie Mac 2Q 2022 Form 10-Q | 51 |
Financial Statements | Condensed Consolidated Statements of Cash Flows |
(In millions) | YTD 2022 | YTD 2021 | |||||||||
Net cash provided by (used in) operating activities | $7,783 | $16,070 | |||||||||
Cash flows from investing activities | |||||||||||
Purchases of investment securities | (80,629) | (70,102) | |||||||||
Proceeds from sales of investment securities | 74,416 | 88,885 | |||||||||
Proceeds from maturities and repayments of investment securities | 7,993 | 3,879 | |||||||||
Purchases of mortgage loans acquired as held-for-investment | (96,257) | (367,336) | |||||||||
Proceeds from sales of mortgage loans acquired as held-for-investment | 2,159 | 5,199 | |||||||||
Proceeds from repayments of mortgage loans acquired as held-for-investment | 211,698 | 414,680 | |||||||||
Advances under secured lending arrangements | (104,516) | (112,980) | |||||||||
Repayments of secured lending arrangements | 363 | 92 | |||||||||
Net proceeds from dispositions of real estate owned and other recoveries | 130 | 144 | |||||||||
Net (increase) decrease in securities purchased under agreements to resell | (17,889) | (13,314) | |||||||||
Derivative premiums and terminations, swap collateral, and exchange settlement payments, net | 3,424 | 1,113 | |||||||||
Other, net | (367) | (303) | |||||||||
Net cash provided by (used in) investing activities | 525 | (50,043) | |||||||||
Cash flows from financing activities | |||||||||||
Proceeds from issuance of debt of consolidated trusts | 231,938 | 501,890 | |||||||||
Repayments and redemptions of debt of consolidated trusts | (234,680) | (429,404) | |||||||||
Proceeds from issuance of debt of Freddie Mac | 24,803 | 23,153 | |||||||||
Repayments of debt of Freddie Mac | (37,903) | (79,001) | |||||||||
Net increase (decrease) in securities sold under agreements to repurchase | 2,644 | 4,620 | |||||||||
Other, net | (3) | (3) | |||||||||
Net cash provided by (used in) financing activities | (13,201) | 21,255 | |||||||||
Net increase (decrease) in cash and cash equivalents (includes restricted cash and cash equivalents) | (4,893) | (12,718) | |||||||||
Cash and cash equivalents (includes restricted cash and cash equivalents) at beginning of year | 10,150 | 23,889 | |||||||||
Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period | $5,257 | $11,171 | |||||||||
Supplemental cash flow information | |||||||||||
Cash paid for: | |||||||||||
Debt interest | $36,287 | $34,301 | |||||||||
Income taxes | 1,500 | 2,590 | |||||||||
Non-cash investing and financing activities (Note 3 and 6) |
Freddie Mac 2Q 2022 Form 10-Q | 52 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 1 |
Freddie Mac 2Q 2022 Form 10-Q | 53 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 1 |
Recently Adopted Accounting Guidance | |||||||||||
Standard | Description | Date of Adoption | Effect on Consolidated Financial Statements | ||||||||
ASU 2021-04, Earnings Per Share (Topic 260), Debt-Modifications and Extinguishments (Subtopic 470-50), Compensation-Stock Compensation (Topic 718), and Derivatives and Hedging-Contracts in Entity's Own Equity (Subtopic 815-40): Issuer's Accounting for Certain Modifications or Exchanges of Freestanding Equity-Classified Written Call Options | The amendments in this Update require issuers to account for modifications or exchanges of freestanding equity-classified written call options based on the reason for the modification or exchange, to issue equity, to issue or modify debt, or for other reasons. | January 1, 2022 | The adoption of the amendments did not have a material effect on our consolidated financial statements. | ||||||||
ASU 2022-02, Financial Instruments—Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures | The amendments in this Update eliminate the recognition and measurement guidance related to TDRs in ASC Subtopic 310-40 for entities that have adopted ASC Topic 326. The amendments in this Update also require disclosure of current period gross write-offs by year of origination for financing receivables within the scope of ASC Subtopic 326-20. | January 1, 2022 for the amendments related to the elimination of the recognition and measurement of TDRs; January 1, 2023 for the amendments related to disclosure of gross write-offs by year of origination. | We elected to early adopt the amendments related to the elimination of the recognition and measurement of TDRs on January 1, 2022 on a prospective basis. This change did not have a material effect on our consolidated financial statements. See Note 3 for additional information on the adoption of these amendments and the new required disclosures. We do not expect the adoption of the amendments related to disclosure of gross write-offs by year of origination to have a material effect on our consolidated financial statements. |
Freddie Mac 2Q 2022 Form 10-Q | 54 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 2 |
(In millions) | June 30, 2022 | December 31, 2021 | |||||||||
Assets and Liabilities Recorded on our Condensed Consolidated Balance Sheets(1) | |||||||||||
Assets: | |||||||||||
Investment securities, at fair value | $15,781 | $16,506 | |||||||||
Accrued interest receivable, net | 217 | 220 | |||||||||
Other assets(2) | 5,378 | 5,589 | |||||||||
Liabilities: | |||||||||||
Debt | 128 | 67 | |||||||||
Other liabilities(2) | 5,677 | 5,172 |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||
(In millions) | Total Assets | Maximum Exposure(2) | Total Assets | Maximum Exposure(2) | ||||||||||||||||
Securitization Activities | ||||||||||||||||||||
Single-Family: | ||||||||||||||||||||
Other securitization products(3) | $32,554 | $26,883 | $33,603 | $27,975 | ||||||||||||||||
Multifamily: | ||||||||||||||||||||
K Certificates | 324,365 | 285,991 | 321,149 | 281,910 | ||||||||||||||||
SB Certificates | 24,750 | 22,166 | 24,944 | 22,389 | ||||||||||||||||
Other securitization products | 15,704 | 13,846 | 16,683 | 14,772 | ||||||||||||||||
CRT Activities | 30,521 | 19 | 23,605 | 44 | ||||||||||||||||
Freddie Mac 2Q 2022 Form 10-Q | 55 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 2 |
Freddie Mac 2Q 2022 Form 10-Q | 56 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||
Held-for-sale UPB | $4,086 | $9,302 | $13,388 | $5,446 | $14,871 | $20,317 | ||||||||||||||||||||
Cost basis and fair value adjustments, net | (713) | (335) | (1,048) | (813) | 274 | (539) | ||||||||||||||||||||
Total held-for-sale loans, net | 3,373 | 8,967 | 12,340 | 4,633 | 15,145 | 19,778 | ||||||||||||||||||||
Held-for-investment UPB | 2,881,547 | 30,585 | 2,912,132 | 2,742,851 | 26,657 | 2,769,508 | ||||||||||||||||||||
Cost basis adjustments | 47,271 | 60 | 47,331 | 63,684 | 86 | 63,770 | ||||||||||||||||||||
Allowance for credit losses | (4,904) | (35) | (4,939) | (4,913) | (34) | (4,947) | ||||||||||||||||||||
Total held-for-investment loans, net | 2,923,914 | 30,610 | 2,954,524 | 2,801,622 | 26,709 | 2,828,331 | ||||||||||||||||||||
Total mortgage loans, net | $2,927,287 | $39,577 | $2,966,864 | $2,806,255 | $41,854 | $2,848,109 |
(In millions) | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | ||||||||||||||||
Single-Family: | ||||||||||||||||||||
Purchases: | ||||||||||||||||||||
Held-for-investment loans | $137,665 | $287,096 | $344,600 | $647,668 | ||||||||||||||||
Sale of held-for-sale loans(1) | 1,429 | 3,037 | 1,444 | 3,037 | ||||||||||||||||
Multifamily: | ||||||||||||||||||||
Purchases: | ||||||||||||||||||||
Held-for-investment loans | 2,957 | 1,299 | 5,522 | 2,920 | ||||||||||||||||
Held-for-sale loans | 11,372 | 11,543 | 23,639 | 23,836 | ||||||||||||||||
Sale of held-for-sale loans(2) | 14,899 | 17,718 | 29,191 | 38,831 |
2Q 2022 | 2Q 2021 | ||||||||||||||||||||||
(In millions) | UPB | Allowance for Credit Losses Reversed or (Established) | Valuation Allowance (Established) or Reversed | UPB | Allowance for Credit Losses Reversed or (Established) | Valuation Allowance (Established) or Reversed | |||||||||||||||||
Single-Family reclassifications from: | |||||||||||||||||||||||
Held-for-investment to held-for-sale | $325 | $10 | $— | $469 | $28 | $— | |||||||||||||||||
Held-for-sale to held-for-investment(1) | 75 | (4) | 3 | 67 | 6 | — | |||||||||||||||||
Multifamily reclassifications from: | |||||||||||||||||||||||
Held-for-investment to held-for-sale | 386 | 1 | — | 1,202 | 5 | — | |||||||||||||||||
Held-for-sale to held-for-investment | 39 | — | — | 12 | — | — |
Freddie Mac 2Q 2022 Form 10-Q | 57 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
YTD 2022 | YTD 2021 | ||||||||||||||||||||||
(In millions) | UPB | Allowance for Credit Losses Reversed or (Established) | Valuation Allowance (Established) or Reversed | UPB | Allowance for Credit Losses Reversed or (Established) | Valuation Allowance (Established) or Reversed | |||||||||||||||||
Single-family reclassifications from: | |||||||||||||||||||||||
Held-for-investment to held-for-sale | $573 | $10 | $— | $970 | $35 | $— | |||||||||||||||||
Held-for-sale to held-for-investment(1) | 137 | (7) | 3 | 102 | 9 | — | |||||||||||||||||
Multifamily reclassifications from: | |||||||||||||||||||||||
Held-for-investment to held-for-sale | 701 | 1 | — | 1,730 | 6 | — | |||||||||||||||||
Held-for-sale to held-for-investment | 285 | — | — | 21 | — | — |
Non-Accrual Amortized Cost Basis | Interest Income Recognized(1) | |||||||||||||||||||
(In millions) | March 31, 2022 | June 30, 2022 | 2Q 2022 | YTD 2022 | ||||||||||||||||
Single-Family: | ||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $13,831 | $11,021 | $40 | $80 | ||||||||||||||||
15-year or less, amortizing fixed-rate | 684 | 562 | 1 | 3 | ||||||||||||||||
Adjustable-rate and other | 580 | 435 | 1 | 3 | ||||||||||||||||
Total Single-Family | 15,095 | 12,018 | 42 | 86 | ||||||||||||||||
Total Multifamily | 42 | 42 | — | — | ||||||||||||||||
Total Single-Family and Multifamily | $15,137 | $12,060 | $42 | $86 |
Non-Accrual Amortized Cost Basis | Interest Income Recognized(1) | |||||||||||||||||||
(In millions) | March 31, 2021 | June 30, 2021 | 2Q 2021 | YTD 2021 | ||||||||||||||||
Single-Family: | ||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $21,137 | $19,431 | $35 | $70 | ||||||||||||||||
15-year or less, amortizing fixed-rate | 1,031 | 914 | 1 | 3 | ||||||||||||||||
Adjustable-rate and other | 996 | 879 | 1 | 3 | ||||||||||||||||
Total Single-Family | 23,164 | 21,224 | 37 | 76 | ||||||||||||||||
Total Multifamily | — | — | — | — | ||||||||||||||||
Total Single-Family and Multifamily | $23,164 | $21,224 | $37 | $76 |
Accrued Interest Receivable, Net | Accrued Interest Receivable Related Charge-Offs | ||||||||||||||||||||||||||||
(In millions) | June 30, 2022 | December 31, 2021 | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | |||||||||||||||||||||||
Single-Family loans | $7,458 | $7,065 | ($58) | ($119) | ($145) | ($285) | |||||||||||||||||||||||
Multifamily loans | 122 | 125 | — | — | — | — |
Freddie Mac 2Q 2022 Form 10-Q | 58 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
June 30, 2022 | ||||||||||||||||||||||||||
Year of Origination | Total | |||||||||||||||||||||||||
(In millions) | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | ||||||||||||||||||||
Current LTV ratio: | ||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | ||||||||||||||||||||||||||
≤ 60 | $47,446 | $426,668 | $526,497 | $94,360 | $42,009 | $434,009 | $1,570,989 | |||||||||||||||||||
> 60 to 80 | 108,231 | 432,622 | 183,489 | 29,468 | 8,160 | 11,300 | 773,270 | |||||||||||||||||||
> 80 to 90 | 36,712 | 88,209 | 3,088 | 497 | 135 | 548 | 129,189 | |||||||||||||||||||
> 90 to 100 | 29,808 | 1,700 | 227 | 25 | 14 | 194 | 31,968 | |||||||||||||||||||
> 100 | 14 | 1 | — | 1 | 4 | 210 | 230 | |||||||||||||||||||
Total 20- and 30-year or more, amortizing fixed-rate | 222,211 | 949,200 | 713,301 | 124,351 | 50,322 | 446,261 | 2,505,646 | |||||||||||||||||||
15-year or less, amortizing fixed-rate | ||||||||||||||||||||||||||
≤ 60 | 13,108 | 121,324 | 116,182 | 15,904 | 6,189 | 78,186 | 350,893 | |||||||||||||||||||
> 60 to 80 | 9,712 | 28,266 | 3,872 | 218 | 26 | 27 | 42,121 | |||||||||||||||||||
> 80 to 90 | 817 | 654 | 9 | — | 1 | 3 | 1,484 | |||||||||||||||||||
> 90 to 100 | 252 | 7 | — | — | — | 2 | 261 | |||||||||||||||||||
> 100 | — | — | — | — | — | 2 | 2 | |||||||||||||||||||
Total 15-year or less, amortizing fixed-rate | 23,889 | 150,251 | 120,063 | 16,122 | 6,216 | 78,220 | 394,761 | |||||||||||||||||||
Adjustable-rate and other | ||||||||||||||||||||||||||
≤ 60 | 817 | 3,052 | 1,661 | 711 | 481 | 16,911 | 23,633 | |||||||||||||||||||
> 60 to 80 | 1,211 | 2,002 | 214 | 75 | 31 | 454 | 3,987 | |||||||||||||||||||
> 80 to 90 | 350 | 168 | 2 | 1 | 1 | 37 | 559 | |||||||||||||||||||
> 90 to 100 | 206 | 4 | — | — | — | 13 | 223 | |||||||||||||||||||
> 100 | — | — | — | — | — | 9 | 9 | |||||||||||||||||||
Total adjustable-rate and other | 2,584 | 5,226 | 1,877 | 787 | 513 | 17,424 | 28,411 | |||||||||||||||||||
Total Single-Family loans | $248,684 | $1,104,677 | $835,241 | $141,260 | $57,051 | $541,905 | $2,928,818 | |||||||||||||||||||
Total for all loan product types by current LTV ratio: | ||||||||||||||||||||||||||
≤ 60 | $61,371 | $551,044 | $644,340 | $110,975 | $48,679 | $529,106 | $1,945,515 | |||||||||||||||||||
> 60 to 80 | 119,154 | 462,890 | 187,575 | 29,761 | 8,217 | 11,781 | 819,378 | |||||||||||||||||||
> 80 to 90 | 37,879 | 89,031 | 3,099 | 498 | 137 | 588 | 131,232 | |||||||||||||||||||
> 90 to 100 | 30,266 | 1,711 | 227 | 25 | 14 | 209 | 32,452 | |||||||||||||||||||
> 100 | 14 | 1 | — | 1 | 4 | 221 | 241 | |||||||||||||||||||
Total Single-Family loans | $248,684 | $1,104,677 | $835,241 | $141,260 | $57,051 | $541,905 | $2,928,818 |
Freddie Mac 2Q 2022 Form 10-Q | 59 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
December 31, 2021 | ||||||||||||||||||||||||||
Year of Origination | Total | |||||||||||||||||||||||||
(In millions) | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | ||||||||||||||||||||
Current LTV ratio: | ||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | ||||||||||||||||||||||||||
≤ 60 | $260,244 | $397,680 | $77,812 | $39,143 | $61,434 | $405,467 | $1,241,780 | |||||||||||||||||||
> 60 to 80 | 467,193 | 334,560 | 60,570 | 18,914 | 12,715 | 17,354 | 911,306 | |||||||||||||||||||
> 80 to 90 | 124,074 | 28,944 | 2,034 | 482 | 208 | 818 | 156,560 | |||||||||||||||||||
> 90 to 100 | 66,851 | 1,083 | 126 | 45 | 29 | 309 | 68,443 | |||||||||||||||||||
> 100 | 75 | 2 | 4 | 8 | 18 | 328 | 435 | |||||||||||||||||||
Total 20- and 30-year or more, amortizing fixed-rate | 918,437 | 762,269 | 140,546 | 58,592 | 74,404 | 424,276 | 2,378,524 | |||||||||||||||||||
15-year or less, amortizing fixed-rate | ||||||||||||||||||||||||||
≤ 60 | 93,732 | 111,899 | 17,335 | 7,161 | 13,602 | 78,001 | 321,730 | |||||||||||||||||||
> 60 to 80 | 52,521 | 18,834 | 1,136 | 137 | 54 | 36 | 72,718 | |||||||||||||||||||
> 80 to 90 | 3,785 | 168 | 6 | 2 | 2 | 3 | 3,966 | |||||||||||||||||||
> 90 to 100 | 598 | 2 | 1 | 1 | 1 | 2 | 605 | |||||||||||||||||||
> 100 | 4 | — | — | 1 | 1 | 3 | 9 | |||||||||||||||||||
Total 15-year or less, amortizing fixed-rate | 150,640 | 130,903 | 18,478 | 7,302 | 13,660 | 78,045 | 399,028 | |||||||||||||||||||
Adjustable-rate and other | ||||||||||||||||||||||||||
≤ 60 | 2,054 | 1,554 | 727 | 543 | 1,657 | 17,517 | 24,052 | |||||||||||||||||||
> 60 to 80 | 2,435 | 535 | 209 | 90 | 190 | 795 | 4,254 | |||||||||||||||||||
> 80 to 90 | 417 | 16 | 6 | 3 | 4 | 66 | 512 | |||||||||||||||||||
> 90 to 100 | 116 | — | — | — | — | 30 | 146 | |||||||||||||||||||
> 100 | 1 | — | — | — | — | 18 | 19 | |||||||||||||||||||
Total adjustable-rate and other | 5,023 | 2,105 | 942 | 636 | 1,851 | 18,426 | 28,983 | |||||||||||||||||||
Total Single-Family loans | $1,074,100 | $895,277 | $159,966 | $66,530 | $89,915 | $520,747 | $2,806,535 | |||||||||||||||||||
Total for all loan product types by current LTV ratio: | ||||||||||||||||||||||||||
≤ 60 | $356,030 | $511,133 | $95,874 | $46,847 | $76,693 | $500,985 | $1,587,562 | |||||||||||||||||||
> 60 to 80 | 522,149 | 353,929 | 61,915 | 19,141 | 12,959 | 18,185 | 988,278 | |||||||||||||||||||
> 80 to 90 | 128,276 | 29,128 | 2,046 | 487 | 214 | 887 | 161,038 | |||||||||||||||||||
> 90 to 100 | 67,565 | 1,085 | 127 | 46 | 30 | 341 | 69,194 | |||||||||||||||||||
> 100 | 80 | 2 | 4 | 9 | 19 | 349 | 463 | |||||||||||||||||||
Total Single-Family loans | $1,074,100 | $895,277 | $159,966 | $66,530 | $89,915 | $520,747 | $2,806,535 |
Freddie Mac 2Q 2022 Form 10-Q | 60 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
June 30, 2022 | |||||||||||||||||||||||||||||
Year of Origination | Total | ||||||||||||||||||||||||||||
(In millions) | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | Revolving Loans | ||||||||||||||||||||||
Category: | |||||||||||||||||||||||||||||
Pass | $4,153 | $8,006 | $6,651 | $5,196 | $957 | $3,056 | $1,857 | $29,876 | |||||||||||||||||||||
Special mention | — | — | 40 | 397 | 7 | 63 | — | 507 | |||||||||||||||||||||
Substandard | — | — | 32 | 141 | 4 | 85 | — | 262 | |||||||||||||||||||||
Doubtful | — | — | — | — | — | — | — | — | |||||||||||||||||||||
Total | $4,153 | $8,006 | $6,723 | $5,734 | $968 | $3,204 | $1,857 | $30,645 |
December 31, 2021 | |||||||||||||||||||||||||||||
Year of Origination | Total | ||||||||||||||||||||||||||||
(In millions) | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | Revolving Loans | ||||||||||||||||||||||
Category: | |||||||||||||||||||||||||||||
Pass | $6,955 | $7,116 | $5,273 | $979 | $610 | $2,795 | $2,275 | $26,003 | |||||||||||||||||||||
Special mention | — | 40 | 372 | — | 3 | 42 | — | 457 | |||||||||||||||||||||
Substandard | — | 62 | 171 | 4 | 2 | 44 | — | 283 | |||||||||||||||||||||
Doubtful | — | — | — | — | — | — | — | — | |||||||||||||||||||||
Total | $6,955 | $7,218 | $5,816 | $983 | $615 | $2,881 | $2,275 | $26,743 |
June 30, 2022 | ||||||||||||||||||||||||||
(In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due, or in Foreclosure(1) | Total | Three Months or More Past Due, and Accruing Interest | Non-accrual With No Allowance(2) | |||||||||||||||||||
Single-Family: | ||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $2,472,518 | $15,884 | $3,318 | $13,926 | $2,505,646 | $3,319 | $717 | |||||||||||||||||||
15-year or less, amortizing fixed-rate | 392,419 | 1,373 | 221 | 748 | 394,761 | 201 | 14 | |||||||||||||||||||
Adjustable-rate and other | 27,539 | 303 | 73 | 496 | 28,411 | 35 | 93 | |||||||||||||||||||
Total Single-Family | 2,892,476 | 17,560 | 3,612 | 15,170 | 2,928,818 | 3,555 | 824 | |||||||||||||||||||
Total Multifamily | 30,603 | — | — | 42 | 30,645 | — | 42 | |||||||||||||||||||
Total Single-Family and Multifamily | $2,923,079 | $17,560 | $3,612 | $15,212 | $2,959,463 | $3,555 | $866 |
December 31, 2021 | ||||||||||||||||||||||||||
(In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due, or in Foreclosure(1) | Total | Three Months or More Past Due, and Accruing Interest | Non-accrual with No Allowance(2) | |||||||||||||||||||
Single-Family: | ||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $2,338,076 | $14,833 | $3,214 | $22,401 | $2,378,524 | $5,784 | $857 | |||||||||||||||||||
15-year or less, amortizing fixed-rate | 396,030 | 1,550 | 230 | 1,218 | 399,028 | 392 | 13 | |||||||||||||||||||
Adjustable-rate and other | 27,752 | 280 | 89 | 862 | 28,983 | 95 | 102 | |||||||||||||||||||
Total Single-Family | 2,761,858 | 16,663 | 3,533 | 24,481 | 2,806,535 | 6,271 | 972 | |||||||||||||||||||
Total Multifamily | 26,743 | — | — | — | 26,743 | — | — | |||||||||||||||||||
Total Single-Family and Multifamily | $2,788,601 | $16,663 | $3,533 | $24,481 | $2,833,278 | $6,271 | $972 |
Freddie Mac 2Q 2022 Form 10-Q | 61 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
Freddie Mac 2Q 2022 Form 10-Q | 62 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
2Q 2022 | ||||||||||||||||||||
(Dollars in millions) | Payment Delay(2) | Payment Delay and Term Extension(3) | Payment Delay, Term Extension, and Interest Rate Reduction(3) | Total | Total as % of Class of Financing Receivable(4) | |||||||||||||||
Single-Family: | ||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $6,832 | $520 | $2,476 | $9,828 | 0.4 | % | ||||||||||||||
15-year or less, amortizing fixed-rate | 429 | 15 | 16 | 460 | 0.1 | |||||||||||||||
Adjustable-rate and other | 139 | 14 | 50 | 203 | 0.7 | |||||||||||||||
Total Single-Family loan restructurings | $7,400 | $549 | $2,542 | $10,491 | 0.4 |
YTD 2022 | ||||||||||||||||||||
(Dollars in millions) | Payment Delay(2) | Payment Delay and Term Extension(3) | Payment Delay, Term Extension, and Interest Rate Reduction(3) | Total | Total as % of Class of Financing Receivable(4) | |||||||||||||||
Single-Family: | ||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $14,268 | $1,172 | $5,361 | $20,801 | 0.8 | % | ||||||||||||||
15-year or less, amortizing fixed-rate | 910 | 28 | 69 | 1,007 | 0.3 | |||||||||||||||
Adjustable-rate and other | 314 | 29 | 126 | 469 | 1.6 | |||||||||||||||
Total Single-Family loan restructurings | $15,492 | $1,229 | $5,556 | $22,277 | 0.8 |
2Q 2022 | ||||||||||||||
(Dollars in thousands) | Weighted-Average Interest Rate Reduction | Weighted-Average Months of Term Extension | Weighted-Average Payment Deferral or Principal Forbearance(2) | |||||||||||
Single-Family: | ||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 1.4 | % | 185 | $21 | ||||||||||
15-year or less, amortizing fixed-rate | 0.6 | 359 | 22 | |||||||||||
Adjustable-rate and other | 2.2 | 234 | 26 |
Freddie Mac 2Q 2022 Form 10-Q | 63 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
YTD 2022 | ||||||||||||||
(Dollars in thousands) | Weighted-Average Interest Rate Reduction | Weighted-Average Months of Term Extension | Weighted-Average Payment Deferral or Principal Forbearance(2) | |||||||||||
Single-Family: | ||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 1.5 | % | 187 | $23 | ||||||||||
15-year or less, amortizing fixed-rate | 0.6 | 358 | 24 | |||||||||||
Adjustable-rate and other | 2.3 | 228 | 27 |
2Q 2022 | |||||||||||||||||
(In millions) | Payment Delay | Payment Delay and Term Extension | Payment Delay, Term Extension, and Interest Rate Reduction | Total | |||||||||||||
Single-Family: | |||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $364 | $30 | $69 | $463 | |||||||||||||
15-year or less, amortizing fixed-rate | 18 | — | — | 18 | |||||||||||||
Adjustable-rate and other | 10 | 2 | 1 | 13 | |||||||||||||
Total Single-Family | $392 | $32 | $70 | $494 |
YTD 2022 | |||||||||||||||||
(In millions) | Payment Delay | Payment Delay and Term Extension | Payment Delay, Term Extension, and Interest Rate Reduction | Total | |||||||||||||
Single-Family: | |||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $717 | $38 | $76 | $831 | |||||||||||||
15-year or less, amortizing fixed-rate | 45 | — | — | 45 | |||||||||||||
Adjustable-rate and other | 24 | 2 | 1 | 27 | |||||||||||||
Total Single-Family | $786 | $40 | $77 | $903 |
Freddie Mac 2Q 2022 Form 10-Q | 64 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
June 30, 2022 | ||||||||||||||||||||
(In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due | Total | |||||||||||||||
Single-Family: | ||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $13,524 | $1,905 | $1,224 | $4,148 | $20,801 | |||||||||||||||
15-year or less, amortizing fixed-rate | 610 | 97 | 72 | 228 | 1,007 | |||||||||||||||
Adjustable-rate and other | 292 | 31 | 21 | 125 | 469 | |||||||||||||||
Total Single-Family | $14,426 | $2,033 | $1,317 | $4,501 | $22,277 |
2Q 2021 | YTD 2021 | |||||||||||||
Percentage of single-family loan modifications that were classified as TDRs with: | ||||||||||||||
Interest rate reductions and related term extensions | 13 | % | 14 | % | ||||||||||
Principal forbearance and related interest rate reductions and term extensions | 37 | 35 | ||||||||||||
Average coupon interest rate reduction | 0.4 | % | 0.4 | % | ||||||||||
Average months of term extension | 145 | 149 |
2Q 2021 | YTD 2021 | |||||||||||||||||||
(Dollars in millions) | Number of Loans | Post-TDR Amortized Cost Basis | Number of Loans | Post-TDR Amortized Cost Basis | ||||||||||||||||
Single-Family:(1)(2) | ||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 3,729 | $656 | 7,511 | $1,327 | ||||||||||||||||
15-year or less, amortizing fixed-rate | 425 | 47 | 897 | 94 | ||||||||||||||||
Adjustable-rate and other | 208 | 30 | 407 | 58 | ||||||||||||||||
Total Single-Family | 4,362 | 733 | 8,815 | 1,479 | ||||||||||||||||
Multifamily | — | — | — | — |
Freddie Mac 2Q 2022 Form 10-Q | 65 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
2Q 2021 | YTD 2021 | |||||||||||||||||||
(Dollars in millions) | Number of Loans | Post-TDR Amortized Cost Basis | Number of Loans | Post-TDR Amortized Cost Basis | ||||||||||||||||
Single-Family: | ||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 682 | $124 | 1,813 | $322 | ||||||||||||||||
15-year or less, amortizing fixed-rate | 24 | 2 | 86 | 9 | ||||||||||||||||
Adjustable-rate and other | 95 | 14 | 237 | 38 | ||||||||||||||||
Total Single-Family | 801 | 140 | 2,136 | 369 | ||||||||||||||||
Multifamily | — | — | — | — |
Freddie Mac 2Q 2022 Form 10-Q | 66 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 4 |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||
(Dollars in millions, terms in years) | Maximum Exposure(1) | Recognized Liability(2) | Maximum Remaining Term | Maximum Exposure(1) | Recognized Liability(2) | Maximum Remaining Term | ||||||||||||||||||||
Single-Family: | ||||||||||||||||||||||||||
Securitization activity guarantees | $26,883 | $396 | 40 | $27,975 | $398 | 39 | ||||||||||||||||||||
Other mortgage-related guarantees | 9,961 | 226 | 30 | 10,588 | 251 | 30 | ||||||||||||||||||||
Guarantees of Fannie Mae securities | 126,927 | — | 39 | 111,150 | — | 40 | ||||||||||||||||||||
Total Single-Family | $163,771 | $622 | $149,713 | $649 | ||||||||||||||||||||||
Multifamily: | ||||||||||||||||||||||||||
Securitization activity guarantees | $320,025 | $4,828 | 38 | $317,006 | $4,663 | 38 | ||||||||||||||||||||
Other mortgage-related guarantees | 10,140 | 371 | 32 | 10,456 | 404 | 32 | ||||||||||||||||||||
Total Multifamily | $330,165 | $5,199 | $327,462 | $5,067 | ||||||||||||||||||||||
Other guarantees: | ||||||||||||||||||||||||||
Written options | $27,724 | $1,591 | 9 | $34,861 | $1,596 | 10 | ||||||||||||||||||||
CRT-related derivatives | 37,755 | 58 | 30 | 33,188 | 35 | 30 | ||||||||||||||||||||
Other | 5,881 | 330 | 30 | 1,750 | 21 | 29 | ||||||||||||||||||||
Total other guarantees | $71,360 | $1,979 | $69,799 | $1,652 |
June 30, 2022 | ||||||||||||||||||||
(In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due, or in Foreclosure | Total(1) | |||||||||||||||
Single-Family | $37,686 | $1,975 | $701 | $2,043 | $42,405 | |||||||||||||||
Multifamily | 372,726 | 14 | 5 | 218 | 372,963 | |||||||||||||||
Total | $410,412 | $1,989 | $706 | $2,261 | $415,368 |
December 31, 2021 | ||||||||||||||||||||
(In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due, or in Foreclosure | Total(1) | |||||||||||||||
Single-Family | $38,964 | $2,040 | $692 | $2,341 | $44,037 | |||||||||||||||
Multifamily | 370,541 | 47 | 7 | 317 | 370,912 | |||||||||||||||
Total | $409,505 | $2,087 | $699 | $2,658 | $414,949 |
Freddie Mac 2Q 2022 Form 10-Q | 67 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 5 |
2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | |||||||||||||||||||||||||||||||||||||||||
(In millions) | Single-Family | Multi-family | Total | Single-Family | Multi-family | Total | Single-Family | Multi-family | Total | Single-Family | Multi-family | Total | ||||||||||||||||||||||||||||||||
Beginning balance | $4,849 | $72 | $4,921 | $6,130 | $150 | $6,280 | $5,440 | $78 | $5,518 | $6,353 | $200 | $6,553 | ||||||||||||||||||||||||||||||||
Provision (benefit) for credit losses | 298 | 9 | 307 | (686) | (54) | (740) | (533) | 3 | (530) | (832) | (104) | (936) | ||||||||||||||||||||||||||||||||
Charge-offs | (107) | — | (107) | (203) | — | (203) | (280) | — | (280) | (441) | — | (441) | ||||||||||||||||||||||||||||||||
Recoveries collected | 43 | — | 43 | 61 | — | 61 | 95 | — | 95 | 107 | — | 107 | ||||||||||||||||||||||||||||||||
Other(1) | 259 | — | 259 | 211 | — | 211 | 620 | — | 620 | 326 | — | 326 | ||||||||||||||||||||||||||||||||
Ending balance | $5,342 | $81 | $5,423 | $5,513 | $96 | $5,609 | $5,342 | $81 | $5,423 | $5,513 | $96 | $5,609 | ||||||||||||||||||||||||||||||||
Components of the ending balance of the allowance for credit losses: | ||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-investment | $4,904 | $35 | $4,939 | $4,601 | $47 | $4,648 | ||||||||||||||||||||||||||||||||||||||
Advances of pre-foreclosure costs | 380 | — | 380 | 691 | — | 691 | ||||||||||||||||||||||||||||||||||||||
Accrued interest receivable on mortgage loans | 6 | — | 6 | 168 | — | 168 | ||||||||||||||||||||||||||||||||||||||
Off-balance sheet credit exposures | 52 | 46 | 98 | 53 | 49 | 102 | ||||||||||||||||||||||||||||||||||||||
Total ending balance | $5,342 | $81 | $5,423 | $5,513 | $96 | $5,609 |
Freddie Mac 2Q 2022 Form 10-Q | 68 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 6 |
(In millions) | June 30, 2022 | December 31, 2021 | |||||||||
Trading securities | $43,816 | $49,003 | |||||||||
Available-for-sale securities | 5,121 | 4,012 | |||||||||
Total fair value of investment securities | $48,937 | $53,015 |
(In millions) | June 30, 2022 | December 31, 2021 | |||||||||
Mortgage-related securities | $12,456 | $16,231 | |||||||||
Non-mortgage-related securities | 31,360 | 32,772 | |||||||||
Total fair value of trading securities | $43,816 | $49,003 |
Amortized Cost Basis | Gross Unrealized Gains in Other Comprehensive Income | Gross Unrealized Losses in Other Comprehensive Income | Fair Value | Accrued Interest Receivable | ||||||||||||||||
(In millions) | ||||||||||||||||||||
June 30, 2022 | $4,990 | $253 | ($122) | $5,121 | $12 | |||||||||||||||
December 31, 2021 | 3,638 | 376 | (2) | 4,012 | 10 |
(In millions) | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | ||||||||||||||||
Gross realized gains | $1 | $121 | $1 | $520 | ||||||||||||||||
Gross realized losses | (3) | (22) | (4) | (53) | ||||||||||||||||
Net realized gains (losses) | ($2) | $99 | ($3) | $467 |
Freddie Mac 2Q 2022 Form 10-Q | 69 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 7 |
(In millions) | June 30, 2022 | December 31, 2021 | |||||||||
Debt of consolidated trusts | $2,934,115 | $2,803,054 | |||||||||
Debt of Freddie Mac: | |||||||||||
Short-term debt | 3,112 | — | |||||||||
Long-term debt | 155,951 | 177,131 | |||||||||
Total debt of Freddie Mac | 159,063 | 177,131 | |||||||||
Total debt | $3,093,178 | $2,980,185 |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||
(Dollars in millions) | Contractual Maturity | UPB | Carrying Amount(1) | Weighted Average Coupon(2) | Contractual Maturity | UPB | Carrying Amount(1) | Weighted Average Coupon(2) | ||||||||||||||||||||||||
Single-Family(3): | ||||||||||||||||||||||||||||||||
20- and 30-year or more, fixed-rate | 2022 - 2061 | $2,440,644 | $2,488,823 | 2.63 | % | 2022 - 2061 | $2,297,650 | $2,358,397 | 2.62 | % | ||||||||||||||||||||||
15-year or less, fixed-rate | 2022 - 2037 | 387,599 | 395,094 | 2.11 | 2022 - 2037 | 390,320 | 399,647 | 2.13 | ||||||||||||||||||||||||
Adjustable-rate and other | 2022 - 2052 | 23,583 | 24,281 | 2.41 | 2022 - 2052 | 24,248 | 24,921 | 2.31 | ||||||||||||||||||||||||
Total Single-Family | 2,851,826 | 2,908,198 | 2,712,218 | 2,782,965 | ||||||||||||||||||||||||||||
Multifamily | 2022 - 2052 | 25,896 | 25,917 | 2.35 | 2022 - 2051 | 19,838 | 20,089 | 2.17 | ||||||||||||||||||||||||
Total debt of consolidated trusts | $2,877,722 | $2,934,115 | $2,732,056 | $2,803,054 |
Freddie Mac 2Q 2022 Form 10-Q | 70 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 7 |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||
(Dollars in millions) | Par Value | Carrying Amount(1) | Weighted Average Effective Rate(2) | Par Value | Carrying Amount(1) | Weighted Average Effective Rate(2) | ||||||||||||||||||||
Short-term debt: | ||||||||||||||||||||||||||
Discount notes and Reference Bills | $1,575 | $1,572 | 1.20 | % | $— | $— | — | % | ||||||||||||||||||
Medium-term notes | 1,540 | 1,540 | 1.07 | — | — | — | ||||||||||||||||||||
Securities sold under agreements to repurchase | 9,977 | 9,977 | 1.06 | 7,333 | 7,333 | (0.10) | ||||||||||||||||||||
Offsetting arrangements(3) | (9,977) | (9,977) | (7,333) | (7,333) | ||||||||||||||||||||||
Total short-term debt | 3,115 | 3,112 | 1.14 | — | — | — | ||||||||||||||||||||
Long-term debt: | ||||||||||||||||||||||||||
Original maturities on or before December 31, | ||||||||||||||||||||||||||
2022 | 18,369 | 18,379 | 0.46 | 48,625 | 48,641 | 0.18 | ||||||||||||||||||||
2023 | 40,822 | 40,792 | 0.58 | 38,688 | 38,644 | 0.47 | ||||||||||||||||||||
2024 | 20,783 | 20,766 | 1.47 | 13,274 | 13,257 | 0.46 | ||||||||||||||||||||
2025 | 40,911 | 40,616 | 1.15 | 35,436 | 35,108 | 0.84 | ||||||||||||||||||||
2026 | 4,984 | 4,982 | 0.97 | 4,717 | 4,715 | 0.83 | ||||||||||||||||||||
Thereafter | 33,232 | 31,661 | 2.95 | 31,736 | 30,052 | 2.91 | ||||||||||||||||||||
STACR and SCR debt(4) | 6,332 | 6,195 | 5.57 | 9,139 | 8,981 | 4.23 | ||||||||||||||||||||
Hedging-related basis adjustments | N/A | (7,440) | N/A | (2,267) | ||||||||||||||||||||||
Total long-term debt | 165,433 | 155,951 | 1.49 | 181,615 | 177,131 | 1.07 | ||||||||||||||||||||
Total debt of Freddie Mac(5) | $168,548 | $159,063 | $181,615 | $177,131 |
Freddie Mac 2Q 2022 Form 10-Q | 71 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 8 |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||
Notional or Contractual Amount | Derivatives at Fair Value | Notional or Contractual Amount | Derivatives at Fair Value | |||||||||||||||||||||||
(In millions) | Assets | Liabilities | Assets | Liabilities | ||||||||||||||||||||||
Not designated as hedges | ||||||||||||||||||||||||||
Interest-rate risk management derivatives: | ||||||||||||||||||||||||||
Swaps | $539,173 | $1,199 | ($900) | $561,393 | $1,748 | ($3,319) | ||||||||||||||||||||
Written options | 27,724 | — | (1,591) | 34,861 | — | (1,597) | ||||||||||||||||||||
Purchased options(1) | 105,270 | 4,081 | — | 137,873 | 3,585 | — | ||||||||||||||||||||
Futures | 111,420 | — | — | 126,528 | — | — | ||||||||||||||||||||
Total interest-rate management derivatives | 783,587 | 5,280 | (2,491) | 860,655 | 5,333 | (4,916) | ||||||||||||||||||||
Mortgage commitment derivatives: | ||||||||||||||||||||||||||
Forward contracts to purchase mortgage loans | 4,148 | 27 | (4) | 7,582 | 15 | (5) | ||||||||||||||||||||
Forward contracts to purchase mortgage-related securities | 19,239 | 115 | (70) | 16,605 | 26 | (8) | ||||||||||||||||||||
Forward contracts to sell mortgage-related securities | 34,299 | 99 | (207) | 59,469 | 38 | (73) | ||||||||||||||||||||
Total mortgage commitment derivatives | 57,686 | 241 | (281) | 83,656 | 79 | (86) | ||||||||||||||||||||
CRT-related derivatives | 37,892 | 102 | (60) | 33,351 | 15 | (37) | ||||||||||||||||||||
Other | 8,553 | 2 | (330) | 4,335 | 2 | (21) | ||||||||||||||||||||
Total derivatives not designated as hedges | 887,718 | 5,625 | (3,162) | 981,997 | 5,429 | (5,060) | ||||||||||||||||||||
Designated as fair value hedges | ||||||||||||||||||||||||||
Interest-rate risk management derivatives: | ||||||||||||||||||||||||||
Swaps | 159,549 | 144 | (5,873) | 154,819 | 37 | (2,689) | ||||||||||||||||||||
Total derivatives designated as fair value hedges | 159,549 | 144 | (5,873) | 154,819 | 37 | (2,689) | ||||||||||||||||||||
Derivative interest receivable (payable)(2) | 429 | (727) | 360 | (413) | ||||||||||||||||||||||
Netting adjustments(3) | (5,574) | 8,699 | (5,366) | 7,880 | ||||||||||||||||||||||
Total derivative portfolio, net | $1,047,267 | $624 | ($1,063) | $1,136,816 | $460 | ($282) |
Freddie Mac 2Q 2022 Form 10-Q | 72 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 8 |
(In millions) | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | ||||||||||||||||
Not designated as hedges | ||||||||||||||||||||
Interest-rate risk management derivatives: | ||||||||||||||||||||
Swaps | $126 | $1,039 | $754 | $1,654 | ||||||||||||||||
Written options | (320) | 305 | (684) | (156) | ||||||||||||||||
Purchased options | 453 | (586) | 1,106 | (634) | ||||||||||||||||
Futures | 556 | (127) | 1,424 | 159 | ||||||||||||||||
Total interest-rate risk management derivatives fair value gains (losses) | 815 | 631 | 2,600 | 1,023 | ||||||||||||||||
Mortgage commitment derivatives | 880 | (860) | 2,719 | 616 | ||||||||||||||||
CRT-related derivatives | 49 | 15 | 33 | (27) | ||||||||||||||||
Other | (24) | 11 | (35) | 8 | ||||||||||||||||
Total derivatives not designated as hedges fair value gains (losses) | 1,720 | (203) | 5,317 | 1,620 | ||||||||||||||||
Accrual of periodic cash settlements on swaps(1) | (212) | (360) | (386) | (812) | ||||||||||||||||
Total | $1,508 | ($563) | $4,931 | $808 |
Freddie Mac 2Q 2022 Form 10-Q | 73 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 8 |
2Q 2022 | 2Q 2021 | ||||||||||||||||
(In millions) | Interest Income | Interest Expense | Interest Income | Interest Expense | |||||||||||||
Total amounts of income and expense line items presented in our condensed consolidated statements of operations and comprehensive income in which the effects of fair value hedges are recorded: | $20,008 | ($15,249) | $15,230 | ($10,463) | |||||||||||||
Interest contracts on mortgage loans held-for-investment: | |||||||||||||||||
Gain (loss) on fair value hedging relationships: | |||||||||||||||||
Hedged items | (1,523) | — | 1,086 | — | |||||||||||||
Derivatives designated as hedging instruments | 1,408 | — | (1,097) | — | |||||||||||||
Interest accruals on hedging instruments | (149) | — | (139) | — | |||||||||||||
Discontinued hedge-related basis adjustments amortization | (4) | — | (511) | — | |||||||||||||
Interest contracts on debt: | |||||||||||||||||
Gain (loss) on fair value hedging relationships: | |||||||||||||||||
Hedged items | — | 1,300 | — | (600) | |||||||||||||
Derivatives designated as hedging instruments | — | (1,328) | — | 568 | |||||||||||||
Interest accruals on hedging instruments | — | (44) | — | 248 | |||||||||||||
Discontinued hedge-related basis adjustments amortization | — | 2 | — | 3 |
YTD 2022 | YTD 2021 | ||||||||||||||||
(In millions) | Interest Income | Interest Expense | Interest Income | Interest Expense | |||||||||||||
Total amounts of income and expense line items presented in our condensed consolidated statements of operations and comprehensive income in which the effects of fair value hedges are recorded: | $37,748 | ($28,885) | $29,132 | ($20,726) | |||||||||||||
Interest contracts on mortgage loans held-for-investment: | |||||||||||||||||
Gain (loss) on fair value hedging relationships: | |||||||||||||||||
Hedged items | (4,150) | — | (437) | — | |||||||||||||
Derivatives designated as hedging instruments | 3,463 | — | 437 | — | |||||||||||||
Interest accruals on hedging instruments | (416) | — | (253) | — | |||||||||||||
Discontinued hedge-related basis adjustments amortization | (128) | — | (1,292) | — | |||||||||||||
Interest contracts on debt: | |||||||||||||||||
Gain (loss) on fair value hedging relationships: | |||||||||||||||||
Hedged items | — | 5,161 | — | 1,514 | |||||||||||||
Derivatives designated as hedging instruments | — | (5,224) | — | (1,620) | |||||||||||||
Interest accruals on hedging instruments | — | 100 | — | 503 | |||||||||||||
Discontinued hedge-related basis adjustments amortization | — | 12 | — | 8 |
Freddie Mac 2Q 2022 Form 10-Q | 74 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 8 |
June 30, 2022 | |||||||||||||||||||||||||||||
Carrying Amount Assets / (Liabilities) | Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount | Closed Portfolio Under the Last-of-Layer Method | |||||||||||||||||||||||||||
(In millions) | Total | Under the Last-of-Layer Method | Discontinued - Hedge Related | Total Amount by Amortized Cost Basis | Designated Amount by UPB | ||||||||||||||||||||||||
Mortgage loans held-for-investment | $1,027,104 | ($1,504) | ($290) | ($1,214) | $85,498 | $11,516 | |||||||||||||||||||||||
Mortgage loans held-for-sale | 39 | 1 | — | 1 | — | — | |||||||||||||||||||||||
Debt | (128,332) | 7,440 | — | (13) | — | — | |||||||||||||||||||||||
December 31, 2021 | |||||||||||||||||||||||||||||
Carrying Amount Assets / (Liabilities) | Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount | Closed Portfolio Under the Last-of-Layer Method | |||||||||||||||||||||||||||
(In millions) | Total | Under the Last-of-Layer Method | Discontinued - Hedge Related | Total Amount by Amortized Cost Basis | Designated Amount by UPB | ||||||||||||||||||||||||
Mortgage loans held-for-investment | $855,173 | $2,774 | $— | $2,774 | $— | $— | |||||||||||||||||||||||
Debt | (124,235) | 2,267 | — | (30) | — | — |
Freddie Mac 2Q 2022 Form 10-Q | 75 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 9 |
June 30, 2022 | |||||||||||||||||||||||||||||
Gross Amount Recognized | Amount Offset in the Condensed Consolidated Balance Sheets | Net Amount Presented in the Condensed Consolidated Balance Sheets | Gross Amount Not Offset in the Condensed Consolidated Balance Sheets(2) | Net Amount | |||||||||||||||||||||||||
(In millions) | Counterparty Netting | Cash Collateral Netting(1) | |||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||||||||
OTC derivatives | $5,848 | ($4,566) | ($1,026) | $256 | ($19) | $237 | |||||||||||||||||||||||
Cleared and exchange-traded derivatives | 5 | — | 18 | 23 | — | 23 | |||||||||||||||||||||||
Mortgage commitment derivatives | 241 | — | — | 241 | — | 241 | |||||||||||||||||||||||
Other | 104 | — | — | 104 | — | 104 | |||||||||||||||||||||||
Total derivatives | 6,198 | (4,566) | (1,008) | 624 | (19) | 605 | |||||||||||||||||||||||
Securities purchased under agreements to resell | 96,473 | (9,977) | — | 86,496 | (86,496) | — | |||||||||||||||||||||||
Total | $102,671 | ($14,543) | ($1,008) | $87,120 | ($86,515) | $605 | |||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||||||||
OTC derivatives | ($8,837) | $4,566 | $4,094 | ($177) | $4 | ($173) | |||||||||||||||||||||||
Cleared and exchange-traded derivatives | (254) | — | 39 | (215) | 215 | — | |||||||||||||||||||||||
Mortgage commitment derivatives | (281) | — | — | (281) | — | (281) | |||||||||||||||||||||||
Other | (390) | — | — | (390) | — | (390) | |||||||||||||||||||||||
Total derivatives | (9,762) | 4,566 | 4,133 | (1,063) | 219 | (844) | |||||||||||||||||||||||
Securities sold under agreements to repurchase | (9,977) | 9,977 | — | — | — | — | |||||||||||||||||||||||
Total | ($19,739) | $14,543 | $4,133 | ($1,063) | $219 | ($844) |
Freddie Mac 2Q 2022 Form 10-Q | 76 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 9 |
December 31, 2021 | |||||||||||||||||||||||||||||
Gross Amount Recognized | Amount Offset in the Condensed Consolidated Balance Sheets | Net Amount Presented in the Condensed Consolidated Balance Sheets | Gross Amount Not Offset in the Condensed Consolidated Balance Sheets(2) | Net Amount | |||||||||||||||||||||||||
(In millions) | Counterparty Netting | Cash Collateral Netting(1) | |||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||||||||
OTC derivatives | $5,670 | ($4,437) | ($963) | $270 | ($250) | $20 | |||||||||||||||||||||||
Cleared and exchange-traded derivatives | 60 | (4) | 38 | 94 | — | 94 | |||||||||||||||||||||||
Mortgage commitment derivatives | 79 | — | — | 79 | — | 79 | |||||||||||||||||||||||
Other | 17 | — | — | 17 | — | 17 | |||||||||||||||||||||||
Total derivatives | 5,826 | (4,441) | (925) | 460 | (250) | 210 | |||||||||||||||||||||||
Securities purchased under agreements to resell | 78,536 | (7,333) | — | 71,203 | (71,203) | — | |||||||||||||||||||||||
Total | $84,362 | ($11,774) | ($925) | $71,663 | ($71,453) | $210 | |||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||||||||
OTC derivatives | ($7,979) | $4,437 | $3,417 | ($125) | $— | ($125) | |||||||||||||||||||||||
Cleared and exchange-traded derivatives | (39) | 4 | 22 | (13) | 13 | — | |||||||||||||||||||||||
Mortgage commitment derivatives | (86) | — | — | (86) | — | (86) | |||||||||||||||||||||||
Other | (58) | — | — | (58) | — | (58) | |||||||||||||||||||||||
Total derivatives | (8,162) | 4,441 | 3,439 | (282) | 13 | (269) | |||||||||||||||||||||||
Securities sold under agreements to repurchase | (7,333) | 7,333 | — | — | — | — | |||||||||||||||||||||||
Total | ($15,495) | $11,774 | $3,439 | ($282) | $13 | ($269) |
Freddie Mac 2Q 2022 Form 10-Q | 77 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 9 |
June 30, 2022 | |||||||||||||||||
(In millions) | Derivatives | Securities Sold Under Agreements to Repurchase | Other(1) | Total | |||||||||||||
Debt of consolidated trusts(2) | $— | $— | $29 | $29 | |||||||||||||
Trading securities | 1,707 | 9,007 | 645 | 11,359 | |||||||||||||
Total securities pledged | $1,707 | $9,007 | $674 | $11,388 |
December 31, 2021 | |||||||||||||||||
(In millions) | Derivatives | Securities Sold Under Agreements to Repurchase | Other(1) | Total | |||||||||||||
Debt of consolidated trusts(2) | $— | $— | $161 | $161 | |||||||||||||
Trading securities | 1,542 | 7,333 | 1,115 | 9,990 | |||||||||||||
Total securities pledged | $1,542 | $7,333 | $1,276 | $10,151 |
June 30, 2022 | ||||||||||||||||||||
(In millions) | Overnight and Continuous | 30 Days or Less | After 30 Days Through 90 Days | Greater Than 90 Days | Total | |||||||||||||||
U.S. Treasury securities and other | $2,729 | $— | $6,278 | $— | $9,007 |
Freddie Mac 2Q 2022 Form 10-Q | 78 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 10 |
(In millions) | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | |||||||||||||
Interest income | |||||||||||||||||
Mortgage loans | $19,324 | $14,590 | $36,634 | $27,845 | |||||||||||||
Investment securities | 464 | 617 | 848 | 1,227 | |||||||||||||
Other | 220 | 23 | 266 | 60 | |||||||||||||
Total interest income | 20,008 | 15,230 | 37,748 | 29,132 | |||||||||||||
Interest expense | |||||||||||||||||
Debt of consolidated trusts | (14,595) | (10,032) | (27,844) | (19,788) | |||||||||||||
Debt of Freddie Mac: | |||||||||||||||||
Short-term debt | (20) | — | (20) | (2) | |||||||||||||
Long-term debt | (634) | (431) | (1,021) | (936) | |||||||||||||
Total interest expense | (15,249) | (10,463) | (28,885) | (20,726) | |||||||||||||
Net interest income | 4,759 | 4,767 | 8,863 | 8,406 | |||||||||||||
Benefit (provision) for credit losses | (307) | 740 | 530 | 936 | |||||||||||||
Net interest income after benefit (provision) for credit losses | $4,452 | $5,507 | $9,393 | $9,342 |
Freddie Mac 2Q 2022 Form 10-Q | 79 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 11 |
Segment | Description | ||||
Single-Family | Reflects results from our purchase, securitization, and guarantee of single-family loans, our investments in single-family loans and mortgage-related securities, the management of Single-Family mortgage credit risk and market risk, and any results of our treasury function that are not allocated to each segment. | ||||
Multifamily | Reflects results from our purchase, securitization, and guarantee of multifamily loans, our investments in multifamily loans and mortgage-related securities, and the management of Multifamily mortgage credit risk and market risk. | ||||
2Q 2022 | 2Q 2021 | |||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||
Net interest income | $4,535 | $224 | $4,759 | $4,460 | $307 | $4,767 | ||||||||||||||||||||
Non-interest income (loss) | ||||||||||||||||||||||||||
Guarantee income | 35 | 170 | 205 | 10 | 346 | 356 | ||||||||||||||||||||
Investment gains (losses), net | 232 | 89 | 321 | 137 | 499 | 636 | ||||||||||||||||||||
Other income (loss) | 69 | 50 | 119 | 108 | (1) | 107 | ||||||||||||||||||||
Non-interest income (loss) | 336 | 309 | 645 | 255 | 844 | 1,099 | ||||||||||||||||||||
Net revenues | 4,871 | 533 | 5,404 | 4,715 | 1,151 | 5,866 | ||||||||||||||||||||
Benefit (provision) for credit losses | (298) | (9) | (307) | 686 | 54 | 740 | ||||||||||||||||||||
Non-interest expense | (1,854) | (166) | (2,020) | (1,803) | (166) | (1,969) | ||||||||||||||||||||
Income (loss) before income tax (expense) benefit | 2,719 | 358 | 3,077 | 3,598 | 1,039 | 4,637 | ||||||||||||||||||||
Income tax (expense) benefit | (551) | (73) | (624) | (743) | (215) | (958) | ||||||||||||||||||||
Net income (loss) | 2,168 | 285 | 2,453 | 2,855 | 824 | 3,679 | ||||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | 5 | (71) | (66) | (74) | 6 | (68) | ||||||||||||||||||||
Comprehensive income (loss) | $2,173 | $214 | $2,387 | $2,781 | $830 | $3,611 |
Freddie Mac 2Q 2022 Form 10-Q | 80 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 11 |
YTD 2022 | YTD 2021 | |||||||||||||||||||||||||
Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | |||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||
Net interest income | $8,341 | $522 | $8,863 | $7,768 | $638 | $8,406 | ||||||||||||||||||||
Non-interest income (loss) | ||||||||||||||||||||||||||
Guarantee income | 65 | 210 | 275 | 99 | 505 | 604 | ||||||||||||||||||||
Investment gains (losses), net | 1,484 | 350 | 1,834 | 437 | 1,407 | 1,844 | ||||||||||||||||||||
Other income (loss) | 195 | 83 | 278 | 260 | 25 | 285 | ||||||||||||||||||||
Non-interest income (loss) | 1,744 | 643 | 2,387 | 796 | 1,937 | 2,733 | ||||||||||||||||||||
Net revenues | 10,085 | 1,165 | 11,250 | 8,564 | 2,575 | 11,139 | ||||||||||||||||||||
Benefit (provision) for credit losses | 533 | (3) | 530 | 832 | 104 | 936 | ||||||||||||||||||||
Non-interest expense | (3,632) | (320) | (3,952) | (3,612) | (345) | (3,957) | ||||||||||||||||||||
Income (loss) before income tax (expense) benefit | 6,986 | 842 | 7,828 | 5,784 | 2,334 | 8,118 | ||||||||||||||||||||
Income tax (expense) benefit | (1,407) | (170) | (1,577) | (1,191) | (481) | (1,672) | ||||||||||||||||||||
Net income (loss) | 5,579 | 672 | 6,251 | 4,593 | 1,853 | 6,446 | ||||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | (7) | (179) | (186) | (402) | (55) | (457) | ||||||||||||||||||||
Comprehensive income (loss) | $5,572 | $493 | $6,065 | $4,191 | $1,798 | $5,989 |
(In millions) | June 30, 2022 | December 31, 2021 | |||||||||
Single-Family | $2,927,929 | $2,792,224 | |||||||||
Multifamily | 415,055 | 414,663 | |||||||||
Total segment assets | 3,342,984 | 3,206,887 | |||||||||
Reconciling items(1) | (197,403) | (181,301) | |||||||||
Total assets per condensed consolidated balance sheets | $3,145,581 | $3,025,586 | |||||||||
Freddie Mac 2Q 2022 Form 10-Q | 81 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 12 |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||
(Dollars in millions) | Portfolio UPB(2) | % of Portfolio | SDQ Rate | Portfolio UPB(2) | % of Portfolio | SDQ Rate | ||||||||||||||||||||
Region:(3) | ||||||||||||||||||||||||||
West | $898,612 | 31 | % | 0.56 | % | $858,535 | 31 | % | 0.92 | % | ||||||||||||||||
Northeast | 685,058 | 23 | 0.96 | 660,103 | 24 | 1.37 | ||||||||||||||||||||
North Central | 428,839 | 15 | 0.72 | 416,214 | 15 | 0.98 | ||||||||||||||||||||
Southeast | 494,452 | 17 | 0.80 | 461,084 | 16 | 1.21 | ||||||||||||||||||||
Southwest | 420,672 | 14 | 0.74 | 395,953 | 14 | 1.14 | ||||||||||||||||||||
Total | $2,927,633 | 100 | % | 0.76 | $2,791,889 | 100 | % | 1.12 | ||||||||||||||||||
State: | ||||||||||||||||||||||||||
California | $516,523 | 18 | % | 0.60 | $497,521 | 18 | % | 0.99 | ||||||||||||||||||
Texas | 191,047 | 7 | 0.76 | 176,501 | 6 | 1.23 | ||||||||||||||||||||
Florida | 183,427 | 6 | 0.84 | 168,572 | 6 | 1.36 | ||||||||||||||||||||
New York | 127,168 | 4 | 1.44 | 120,655 | 4 | 2.07 | ||||||||||||||||||||
Illinois | 111,472 | 4 | 1.03 | 109,171 | 4 | 1.44 | ||||||||||||||||||||
All other | 1,797,996 | 61 | 0.71 | 1,719,469 | 62 | 1.03 | ||||||||||||||||||||
Total | $2,927,633 | 100 | % | 0.76 | $2,791,889 | 100 | % | 1.12 |
Freddie Mac 2Q 2022 Form 10-Q | 82 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
June 30, 2022 | ||||||||||||||||||||
(In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustments(1) | Total | |||||||||||||||
Assets: | ||||||||||||||||||||
Investment securities: | ||||||||||||||||||||
Available-for-sale | $— | $3,997 | $1,124 | $— | $5,121 | |||||||||||||||
Trading: | ||||||||||||||||||||
Mortgage-related securities | — | 9,137 | 3,319 | — | 12,456 | |||||||||||||||
Non-mortgage-related securities | 30,596 | 764 | — | — | 31,360 | |||||||||||||||
Total trading securities | 30,596 | 9,901 | 3,319 | — | 43,816 | |||||||||||||||
Total investment securities | 30,596 | 13,898 | 4,443 | — | 48,937 | |||||||||||||||
Mortgage loans held-for-sale | — | 5,331 | 339 | — | 5,670 | |||||||||||||||
Other assets: | ||||||||||||||||||||
Guarantee assets | — | — | 5,649 | — | 5,649 | |||||||||||||||
Derivative assets, net | — | 5,758 | 11 | — | 5,769 | |||||||||||||||
Netting adjustments(1) | — | — | — | (5,145) | (5,145) | |||||||||||||||
Total derivative assets, net | — | 5,758 | 11 | (5,145) | 624 | |||||||||||||||
Other assets | — | 25 | 121 | — | 146 | |||||||||||||||
Total other assets | — | 5,783 | 5,781 | (5,145) | 6,419 | |||||||||||||||
Total assets carried at fair value on a recurring basis | $30,596 | $25,012 | $10,563 | ($5,145) | $61,026 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Debt: | ||||||||||||||||||||
Debt of consolidated trusts | $— | $1,978 | $346 | $— | $2,324 | |||||||||||||||
Debt of Freddie Mac | — | 1,170 | 111 | — | 1,281 | |||||||||||||||
Total debt | — | 3,148 | 457 | — | 3,605 | |||||||||||||||
Other liabilities: | ||||||||||||||||||||
Derivative liabilities, net | 10 | 8,967 | 58 | — | 9,035 | |||||||||||||||
Netting adjustments(1) | — | — | — | (7,972) | (7,972) | |||||||||||||||
Total derivative liabilities, net | 10 | 8,967 | 58 | (7,972) | 1,063 | |||||||||||||||
Other liabilities | — | 16 | — | — | 16 | |||||||||||||||
Total other liabilities | 10 | 8,983 | 58 | (7,972) | 1,079 | |||||||||||||||
Total liabilities carried at fair value on a recurring basis | $10 | $12,131 | $515 | ($7,972) | $4,684 |
Freddie Mac 2Q 2022 Form 10-Q | 83 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
December 31, 2021 | ||||||||||||||||||||
(In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustments(1) | Total | |||||||||||||||
Assets: | ||||||||||||||||||||
Investment securities: | ||||||||||||||||||||
Available-for-sale | $— | $2,726 | $1,286 | $— | $4,012 | |||||||||||||||
Trading: | ||||||||||||||||||||
Mortgage-related securities: | — | 12,845 | 3,386 | — | 16,231 | |||||||||||||||
Non-mortgage-related securities | 31,780 | 992 | — | — | 32,772 | |||||||||||||||
Total trading securities | 31,780 | 13,837 | 3,386 | — | 49,003 | |||||||||||||||
Total investment securities | 31,780 | 16,563 | 4,672 | — | 53,015 | |||||||||||||||
Mortgage loans held-for-sale | — | 10,498 | — | — | 10,498 | |||||||||||||||
Other assets: | ||||||||||||||||||||
Guarantee assets | — | — | 5,919 | — | 5,919 | |||||||||||||||
Derivative assets, net | 33 | 5,416 | 17 | — | 5,466 | |||||||||||||||
Netting adjustments(1) | — | — | — | (5,006) | (5,006) | |||||||||||||||
Total derivative assets, net | 33 | 5,416 | 17 | (5,006) | 460 | |||||||||||||||
Other assets | — | 131 | 84 | — | 215 | |||||||||||||||
Total other assets | 33 | 5,547 | 6,020 | (5,006) | 6,594 | |||||||||||||||
Total assets carried at fair value on a recurring basis | $31,813 | $32,608 | $10,692 | ($5,006) | $70,107 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Debt: | ||||||||||||||||||||
Debt of consolidated trusts | $— | $910 | $184 | $— | $1,094 | |||||||||||||||
Debt of Freddie Mac | — | 1,274 | 110 | — | 1,384 | |||||||||||||||
Total debt | — | 2,184 | 294 | — | 2,478 | |||||||||||||||
Other liabilities: | ||||||||||||||||||||
Derivative liabilities, net | — | 7,726 | 23 | — | 7,749 | |||||||||||||||
Netting adjustments(1) | — | — | — | (7,467) | (7,467) | |||||||||||||||
Total derivative liabilities, net | — | 7,726 | 23 | (7,467) | 282 | |||||||||||||||
Other liabilities | — | 4 | 1 | — | 5 | |||||||||||||||
Total other liabilities | — | 7,730 | 24 | (7,467) | 287 | |||||||||||||||
Total liabilities carried at fair value on a recurring basis | $— | $9,914 | $318 | ($7,467) | $2,765 |
Freddie Mac 2Q 2022 Form 10-Q | 84 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
2Q 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, April 1, 2022 | Total Realized/Unrealized Gains (Losses) | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, June 30, 2022 | Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2022(2) | Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Included in Earnings | Included in Other Comprehensive Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale | $1,188 | $— | ($7) | $43 | $— | ($1) | ($99) | $— | $— | $1,124 | $— | ($5) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading | 3,165 | (232) | — | 436 | — | — | (15) | — | (35) | 3,319 | (57) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total investment securities | 4,353 | (232) | (7) | 479 | — | (1) | (114) | — | (35) | 4,443 | (57) | (5) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-sale | — | (14) | — | — | — | (5) | (25) | 383 | — | 339 | (14) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee assets | 5,696 | (194) | — | — | 376 | — | (229) | — | — | 5,649 | (194) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 114 | 33 | — | (6) | 5 | (5) | (9) | — | — | 132 | 33 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other assets | 5,810 | (161) | — | (6) | 381 | (5) | (238) | — | — | 5,781 | (161) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | $10,163 | ($407) | ($7) | $473 | $381 | ($11) | ($377) | $383 | ($35) | $10,563 | ($232) | ($5) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, April 1, 2022 | Total Realized/Unrealized (Gains) Losses | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, June 30, 2022 | Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2022(2) | Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Included in Earnings | Included in Other Comprehensive Income | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt | $402 | $12 | $— | ($6) | $55 | $— | ($6) | $— | $— | $457 | $23 | $— | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | 47 | 14 | — | — | — | — | (3) | — | — | 58 | 13 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities | $449 | $26 | $— | ($6) | $55 | $— | ($9) | $— | $— | $515 | $36 | $— |
Freddie Mac 2Q 2022 Form 10-Q | 85 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
YTD 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2022 | Total Realized/Unrealized Gains (Losses) | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, June 30, 2022 | Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2022(2) | Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Included in Earnings | Included in Other Comprehensive Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale | $1,286 | $— | ($43) | $43 | $— | ($1) | ($191) | $30 | $— | $1,124 | ($1) | ($33) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading | 3,386 | (658) | — | 644 | — | — | (33) | — | (20) | 3,319 | (312) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total investment securities | 4,672 | (658) | (43) | 687 | — | (1) | (224) | 30 | (20) | 4,443 | (313) | (33) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-sale | — | (14) | — | — | — | (5) | (25) | 383 | — | 339 | (14) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee assets | 5,919 | (510) | — | — | 708 | — | (468) | — | — | 5,649 | (510) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 101 | 47 | — | (9) | 9 | (5) | (11) | — | — | 132 | 48 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other assets | 6,020 | (463) | — | (9) | 717 | (5) | (479) | — | — | 5,781 | (462) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | $10,692 | ($1,135) | ($43) | $678 | $717 | ($11) | ($728) | $413 | ($20) | $10,563 | ($789) | ($33) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2022 | Total Realized/Unrealized (Gains) Losses | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, June 30, 2022 | Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2022(2) | Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Included in Earnings | Included in Other Comprehensive Income | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt | $294 | $35 | $— | ($6) | $141 | $— | ($7) | $— | $— | $457 | $56 | $— | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | 24 | 37 | — | 1 | — | — | (4) | — | — | 58 | 35 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities | $318 | $72 | $— | ($5) | $141 | $— | ($11) | $— | $— | $515 | $91 | $— |
2Q 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, April 1, 2021 | Total Realized/Unrealized Gains (Losses) | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, June 30, 2021 | Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2021(2) | Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Included in Earnings | Included in Other Comprehensive Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale | $1,836 | $5 | $9 | $— | $— | ($296) | ($80) | $— | $— | $1,474 | $6 | $7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading | 3,062 | (171) | — | 737 | — | — | (23) | — | (82) | 3,523 | (177) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total investment securities | 4,898 | (166) | 9 | 737 | — | (296) | (103) | — | (82) | 4,997 | (171) | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee assets | 5,688 | 5 | — | — | 416 | — | (240) | — | — | 5,869 | 48 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 145 | (44) | — | 5 | 4 | (9) | (6) | — | — | 95 | (44) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other assets | 5,833 | (39) | — | 5 | 420 | (9) | (246) | — | — | 5,964 | 4 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | $10,731 | ($205) | $9 | $742 | $420 | ($305) | ($349) | $— | ($82) | $10,961 | ($167) | $7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, April 1, 2021 | Total Realized/Unrealized (Gains) Losses | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, June 30, 2021 | Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2021(2) | Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Included in Earnings | Included in Other Comprehensive Income | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt | $380 | ($16) | $— | $— | $35 | $— | ($31) | $— | $— | $368 | ($14) | $— | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | 34 | (9) | — | 1 | — | — | (3) | — | — | 23 | (12) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities | $414 | ($25) | $— | $1 | $35 | $— | ($34) | $— | $— | $391 | ($26) | $— |
Freddie Mac 2Q 2022 Form 10-Q | 86 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
YTD 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2021 | Total Realized/Unrealized Gains (Losses) | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, June 30, 2021 | Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2021(2) | Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Included in Earnings | Included in Other Comprehensive Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale | $1,588 | $12 | $4 | $— | $— | $— | ($130) | $— | $— | $1,474 | $12 | $3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading | 3,259 | (356) | — | 1,112 | — | (269) | (43) | — | (180) | 3,523 | (364) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total investment securities | 4,847 | (344) | 4 | 1,112 | — | (269) | (173) | — | (180) | 4,997 | (352) | 3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets: | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee assets | 5,509 | (83) | — | — | 905 | — | (462) | — | — | 5,869 | (79) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 171 | (67) | — | 1 | 10 | (9) | (11) | — | — | 95 | (67) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other assets | 5,680 | (150) | — | 1 | 915 | (9) | (473) | — | — | 5,964 | (146) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | $10,527 | ($494) | $4 | $1,113 | $915 | ($278) | ($646) | $— | ($180) | $10,961 | ($498) | $3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2021 | Total Realized/Unrealized (Gains) Losses | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, June 30, 2021 | Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2021(2) | Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Included in Earnings | Included in Other Comprehensive Income | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt | $323 | ($10) | $— | $— | $89 | $— | ($34) | $— | $— | $368 | ($8) | $— | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | 19 | 6 | — | 2 | 2 | — | (6) | — | — | 23 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities | $342 | ($4) | $— | $2 | $91 | $— | ($40) | $— | $— | $391 | ($8) | $— |
Freddie Mac 2Q 2022 Form 10-Q | 87 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
June 30, 2022 | ||||||||||||||||||||||||||||||||
Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs | ||||||||||||||||||||||||||||||
(Dollars in millions, except for certain unobservable inputs as shown) | Type | Range | Weighted Average(1) | |||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
Investment securities: | ||||||||||||||||||||||||||||||||
Available-for-sale | $714 | Median of external sources | External pricing sources | $66.2 - $75.7 | $69.8 | |||||||||||||||||||||||||||
410 | Other | |||||||||||||||||||||||||||||||
Trading | 2,705 | Single external source | External pricing source | $0.0 - $6,510.7 | $269.7 | |||||||||||||||||||||||||||
614 | Other | |||||||||||||||||||||||||||||||
Mortgage loans held-for-sale | 339 | Single external source | External pricing source | $39.6 - $102.9 | $85.7 | |||||||||||||||||||||||||||
Guarantee assets | 5,264 | Discounted cash flows | OAS | 17 - 186 bps | 45 bps | |||||||||||||||||||||||||||
385 | Other | |||||||||||||||||||||||||||||||
Insignificant Level 3 assets(2) | 132 | |||||||||||||||||||||||||||||||
Total level 3 assets | $10,563 | |||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||
Insignificant Level 3 liabilities(2) | 515 | |||||||||||||||||||||||||||||||
Total level 3 liabilities | $515 |
December 31, 2021 | ||||||||||||||||||||||||||||||||
Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs | ||||||||||||||||||||||||||||||
(Dollars in millions, except for certain unobservable inputs as shown) | Type | Range | Weighted Average(1) | |||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
Investment securities: | ||||||||||||||||||||||||||||||||
Available-for-sale | $839 | Median of external sources | External pricing sources | $72.8 - $83.7 | $77.0 | |||||||||||||||||||||||||||
446 | Other | |||||||||||||||||||||||||||||||
Trading | 2,846 | Single external source | External pricing source | $0.0 - $7,343.1 | $396.7 | |||||||||||||||||||||||||||
541 | Other | |||||||||||||||||||||||||||||||
Guarantee assets | 5,531 | Discounted cash flows | OAS | 17 - 186 bps | 45 bps | |||||||||||||||||||||||||||
388 | Other | |||||||||||||||||||||||||||||||
Insignificant Level 3 assets(2) | 101 | |||||||||||||||||||||||||||||||
Total level 3 assets | $10,692 | |||||||||||||||||||||||||||||||
Liabilities(2) | ||||||||||||||||||||||||||||||||
Insignificant Level 3 liabilities(2) | 318 | |||||||||||||||||||||||||||||||
Total level 3 liabilities | $318 |
Freddie Mac 2Q 2022 Form 10-Q | 88 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||
(In millions) | Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Assets measured at fair value on a non-recurring basis: | ||||||||||||||||||||||||||||||||
Mortgage loans(1) | $— | $— | $1,335 | $1,335 | $— | $12 | $797 | $809 |
June 30, 2022 | ||||||||||||||||||||||||||
Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs | ||||||||||||||||||||||||
(Dollars in millions, except for unobservable inputs as shown) | Type | Range | Weighted Average(1) | |||||||||||||||||||||||
Non-recurring fair value measurements | ||||||||||||||||||||||||||
Mortgage loans | $1,176 | Median of external sources | External pricing sources | $81.5 - $103.1 | $92.7 | |||||||||||||||||||||
159 | Other | |||||||||||||||||||||||||
Total | $1,335 | |||||||||||||||||||||||||
December 31, 2021 | ||||||||||||||||||||||||||
Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs | ||||||||||||||||||||||||
(Dollars in millions, except for unobservable inputs as shown) | Type | Range | Weighted Average(1) | |||||||||||||||||||||||
Non-recurring fair value measurements | ||||||||||||||||||||||||||
Mortgage loans | $625 | Median of external sources | External pricing sources | $61.9 - $107.1 | $97.3 | |||||||||||||||||||||
172 | Other | |||||||||||||||||||||||||
Total | $797 |
Freddie Mac 2Q 2022 Form 10-Q | 89 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||
GAAP Measurement Category(1) | GAAP Carrying Amount | Fair Value | |||||||||||||||||||||||||||||||||||||||
(In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustments(2) | Total | ||||||||||||||||||||||||||||||||||||
Financial Assets | |||||||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | Amortized cost | $5,257 | $5,257 | $— | $— | $— | $5,257 | ||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Amortized cost | 86,496 | — | 96,473 | — | (9,977) | 86,496 | ||||||||||||||||||||||||||||||||||
Investment securities: | |||||||||||||||||||||||||||||||||||||||||
Available-for-sale | FV - OCI | 5,121 | — | 3,997 | 1,124 | — | 5,121 | ||||||||||||||||||||||||||||||||||
Trading | FV - NI | 43,816 | 30,596 | 9,901 | 3,319 | — | 43,816 | ||||||||||||||||||||||||||||||||||
Total investment securities | 48,937 | 30,596 | 13,898 | 4,443 | — | 48,937 | |||||||||||||||||||||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||||||||||||||||||||
Loans held by consolidated trusts | 2,913,414 | — | 2,436,417 | 202,651 | — | 2,639,068 | |||||||||||||||||||||||||||||||||||
Loans held by Freddie Mac | 53,450 | — | 21,552 | 30,411 | — | 51,963 | |||||||||||||||||||||||||||||||||||
Total mortgage loans | Various(3) | 2,966,864 | — | 2,457,969 | 233,062 | — | 2,691,031 | ||||||||||||||||||||||||||||||||||
Guarantee assets | FV - NI | 5,649 | — | — | 5,651 | — | 5,651 | ||||||||||||||||||||||||||||||||||
Derivative assets, net | FV - NI | 624 | — | 5,758 | 11 | (5,145) | 624 | ||||||||||||||||||||||||||||||||||
Non-derivative purchase and other commitments | FV - NI | 25 | — | 57 | — | — | 57 | ||||||||||||||||||||||||||||||||||
Advances to lenders | Amortized cost | 3,672 | — | — | 3,672 | — | 3,672 | ||||||||||||||||||||||||||||||||||
Secured lending | Amortized cost | 900 | — | 899 | 1 | — | 900 | ||||||||||||||||||||||||||||||||||
Total financial assets | $3,118,424 | $35,853 | $2,575,054 | $246,840 | ($15,122) | $2,842,625 | |||||||||||||||||||||||||||||||||||
Financial Liabilities | |||||||||||||||||||||||||||||||||||||||||
Debt: | |||||||||||||||||||||||||||||||||||||||||
Debt of consolidated trusts | $2,934,115 | $— | $2,640,532 | $786 | $— | $2,641,318 | |||||||||||||||||||||||||||||||||||
Debt of Freddie Mac | 159,063 | — | 167,396 | 3,408 | (9,977) | 160,827 | |||||||||||||||||||||||||||||||||||
Total debt | Various(4) | 3,093,178 | — | 2,807,928 | 4,194 | (9,977) | 2,802,145 | ||||||||||||||||||||||||||||||||||
Guarantee obligations | Amortized cost | 5,821 | — | — | 6,235 | — | 6,235 | ||||||||||||||||||||||||||||||||||
Derivative liabilities, net | FV - NI | 1,063 | 10 | 8,967 | 58 | (7,972) | 1,063 | ||||||||||||||||||||||||||||||||||
Non-derivative purchase and other commitments | FV - NI | 27 | — | 16 | 1,509 | — | 1,525 | ||||||||||||||||||||||||||||||||||
Total financial liabilities | $3,100,089 | $10 | $2,816,911 | $11,996 | ($17,949) | $2,810,968 |
Freddie Mac 2Q 2022 Form 10-Q | 90 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||
GAAP Measurement Category(1) | GAAP Carrying Amount | Fair Value | |||||||||||||||||||||||||||||||||||||||
(In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustments(2) | Total | ||||||||||||||||||||||||||||||||||||
Financial Assets | |||||||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | Amortized cost | $10,150 | $10,150 | $— | $— | $— | $10,150 | ||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Amortized cost | 71,203 | — | 78,536 | — | (7,333) | 71,203 | ||||||||||||||||||||||||||||||||||
Investment securities: | |||||||||||||||||||||||||||||||||||||||||
Available-for-sale | FV - OCI | 4,012 | — | 2,726 | 1,286 | — | 4,012 | ||||||||||||||||||||||||||||||||||
Trading | FV - NI | 49,003 | 31,780 | 13,837 | 3,386 | — | 49,003 | ||||||||||||||||||||||||||||||||||
Total investment securities | 53,015 | 31,780 | 16,563 | 4,672 | — | 53,015 | |||||||||||||||||||||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||||||||||||||||||||
Loans held by consolidated trusts | 2,784,626 | — | 2,563,588 | 238,133 | — | 2,801,721 | |||||||||||||||||||||||||||||||||||
Loans held by Freddie Mac | 63,483 | — | 35,856 | 29,803 | — | 65,659 | |||||||||||||||||||||||||||||||||||
Total mortgage loans | Various(3) | 2,848,109 | — | 2,599,444 | 267,936 | — | 2,867,380 | ||||||||||||||||||||||||||||||||||
Guarantee assets | FV - NI | 5,919 | — | — | 5,923 | — | 5,923 | ||||||||||||||||||||||||||||||||||
Derivative assets, net | FV - NI | 460 | 33 | 5,416 | 17 | (5,006) | 460 | ||||||||||||||||||||||||||||||||||
Non-derivative purchase and other commitments | FV - NI | 131 | — | 217 | — | — | 217 | ||||||||||||||||||||||||||||||||||
Advances to lenders | Amortized cost | 4,932 | — | — | 4,932 | — | 4,932 | ||||||||||||||||||||||||||||||||||
Secured lending | Amortized cost | 1,263 | — | 1,187 | 76 | — | 1,263 | ||||||||||||||||||||||||||||||||||
Total financial assets | $2,995,182 | $41,963 | $2,701,363 | $283,556 | ($12,339) | $3,014,543 | |||||||||||||||||||||||||||||||||||
Financial Liabilities | |||||||||||||||||||||||||||||||||||||||||
Debt: | |||||||||||||||||||||||||||||||||||||||||
Debt of consolidated trusts | $2,803,054 | $— | $2,803,030 | $656 | $— | $2,803,686 | |||||||||||||||||||||||||||||||||||
Debt of Freddie Mac | 177,131 | — | 185,793 | 3,957 | (7,333) | 182,417 | |||||||||||||||||||||||||||||||||||
Total debt | Various(4) | 2,980,185 | — | 2,988,823 | 4,613 | (7,333) | 2,986,103 | ||||||||||||||||||||||||||||||||||
Guarantee obligations | Amortized cost | 5,716 | — | — | 6,240 | — | 6,240 | ||||||||||||||||||||||||||||||||||
Derivative liabilities, net | FV - NI | 282 | — | 7,726 | 23 | (7,467) | 282 | ||||||||||||||||||||||||||||||||||
Non-derivative purchase and other commitments | FV - NI | 13 | — | 4 | 101 | — | 105 | ||||||||||||||||||||||||||||||||||
Total financial liabilities | $2,986,196 | $— | $2,996,553 | $10,977 | ($14,800) | $2,992,730 |
Freddie Mac 2Q 2022 Form 10-Q | 91 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||
(In millions) | Multifamily Held-For-Sale Loan Purchase Commitments | Multifamily Held-For-Sale Loans | Debt of Freddie Mac | Debt of Consolidated Trusts | Multifamily Held-For-Sale Loan Purchase Commitments | Multifamily Held-For-Sale Loans | Debt of Freddie Mac | Debt of Consolidated Trusts | ||||||||||||||||||||||||
Fair value | $8 | $5,670 | $1,081 | $2,026 | $127 | $10,498 | $1,252 | $958 | ||||||||||||||||||||||||
UPB | N/A | 6,001 | 1,064 | 2,098 | N/A | 10,224 | 1,220 | 958 | ||||||||||||||||||||||||
Difference | N/A | ($331) | $17 | ($72) | N/A | $274 | $32 | $— |
2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | |||||||||||||||||
(In millions) | Gains (Losses) | Gains (Losses) | ||||||||||||||||||
Multifamily held-for-sale loans | ($273) | $221 | ($949) | ($230) | ||||||||||||||||
Multifamily held-for-sale loan purchase commitments | (170) | 342 | (206) | 537 | ||||||||||||||||
Debt of Freddie Mac | (15) | 22 | (26) | 30 | ||||||||||||||||
Debt of consolidated trusts | 171 | 13 | 243 | 9 |
Freddie Mac 2Q 2022 Form 10-Q | 92 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 14 |
Freddie Mac 2Q 2022 Form 10-Q | 93 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 14 |
Freddie Mac 2Q 2022 Form 10-Q | 94 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 14 |
Freddie Mac 2Q 2022 Form 10-Q | 95 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 15 |
Freddie Mac 2Q 2022 Form 10-Q | 96 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 15 |
(In billions) | June 30, 2022 | ||||||||||||||||
Adjusted total assets | $3,655 | ||||||||||||||||
Risk-weighted assets (standardized approach) | 845 | ||||||||||||||||
June 30, 2022 | |||||||||||||||||
(Dollars in billions) | Minimum Capital Requirement | Capital Requirement (Including Buffer(1)) | Available Capital (Deficit) | ||||||||||||||
Risk-based capital amounts: | |||||||||||||||||
Total capital (statutory)(2) | $68 | $68 | ($33) | ||||||||||||||
CET1 capital(3) | 38 | 88 | (58) | ||||||||||||||
Tier 1 capital(3) | 50 | 100 | (44) | ||||||||||||||
Adjusted total capital(3) | 67 | 117 | (44) | ||||||||||||||
Risk-based capital ratios(4): | |||||||||||||||||
Total capital (statutory) | 8.0 | % | 8.0 | % | (3.9) | % | |||||||||||
CET1 capital | 4.5 | 10.4 | (6.9) | ||||||||||||||
Tier 1 capital | 6.0 | 11.9 | (5.2) | ||||||||||||||
Adjusted total capital | 8.0 | 13.9 | (5.2) | ||||||||||||||
Leverage capital amounts: | |||||||||||||||||
Core capital (statutory)(5) | $92 | $92 | ($39) | ||||||||||||||
Tier 1 capital(3) | 92 | 103 | (44) | ||||||||||||||
Leverage capital ratios(6): | |||||||||||||||||
Core capital (statutory) | 2.5 | % | 2.5 | % | (1.1) | % | |||||||||||
Tier 1 capital | 2.5 | 2.8 | (1.2) |
Freddie Mac 2Q 2022 Form 10-Q | 97 |
Other Information |
Freddie Mac 2Q 2022 Form 10-Q | 98 |
Controls and Procedures |
Freddie Mac 2Q 2022 Form 10-Q | 99 |
Exhibit Index |
Exhibit | Description* | ||||
31.1 | |||||
31.2 | |||||
32.1 | |||||
32.2 | |||||
101.INS | XBRL Instance Document - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document | ||||
101.SCH | XBRL Taxonomy Extension Schema | ||||
101. CAL | XBRL Taxonomy Extension Calculation | ||||
101.DEF | XBRL Taxonomy Extension Definition | ||||
101.LAB | XBRL Taxonomy Label | ||||
101. PRE | XBRL Taxonomy Extension Presentation | ||||
104 | Cover Page Interactive Data File - the cover page interactive data file does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document | ||||
* | The SEC file numbers for the Registrant's Registration Statement on Form 10, Annual Reports on Form 10-K, Quarterly Reports on Form 10-Q, and Current Reports on Form 8-K are 000-53330 and 001-34139. | ||||
Freddie Mac 2Q 2022 Form 10-Q | 100 |
Signatures |
Federal Home Loan Mortgage Corporation | ||||||||
By: | /s/ Michael J. DeVito | |||||||
Michael J. DeVito | ||||||||
Chief Executive Officer | ||||||||
(Principal Executive Officer) |
By: | /s/ Christian M. Lown | |||||||
Christian M. Lown | ||||||||
Executive Vice President and Chief Financial Officer | ||||||||
(Principal Financial Officer) |
Freddie Mac 2Q 2022 Form 10-Q | 101 |
Form 10-Q Index |
Freddie Mac 2Q 2022 Form 10-Q | 102 |
1 Year Federal Home Loan Mortgage (QB) Chart |
1 Month Federal Home Loan Mortgage (QB) Chart |
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