Federally chartered
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8200 Jones Branch Drive
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52-0904874
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(703) 903-2000
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corporation
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McLean, Virginia 22102-3110
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(I.R.S. Employer
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(Registrant’s telephone number,
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(State or other jurisdiction of incorporation or organization)
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(Address of principal executive offices, including zip code)
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Identification No.)
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including area code)
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Large accelerated filer [ X ]
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Accelerated filer [ ]
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Non-accelerated filer (Do not check if a smaller reporting company) [ ]
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Smaller reporting company [ ]
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Page
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i
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Freddie Mac
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Table
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Description
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Page
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1
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Total Single-Family Loan Workout Volumes
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2
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Mortgage-Related Investments Portfolio
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3
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Affordable Housing Goals for 2013 and 2014
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4
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Affordable Housing Goals and Results for 2011 and 2012
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5
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Quarterly Common Stock Information
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6
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Selected Financial Data
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7
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Mortgage Market Indicators
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8
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Summary Consolidated Statements of Comprehensive Income
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9
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Net Interest Income/Yield, Average Balance, and Rate/Volume Analysis
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10
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Net Interest Income
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11
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Derivative Gains (Losses)
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12
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Other Income (Loss)
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13
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Non-Interest Expense
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14
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REO Operations (Income) Expense
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15
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Composition of Segment Mortgage Portfolios and Credit Risk Portfolios
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16
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Segment Earnings and Key Metrics — Single-Family Guarantee
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17
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Segment Earnings Composition — Single-Family Guarantee Segment
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18
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Segment Earnings and Key Metrics — Investments
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19
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Segment Earnings and Key Metrics — Multifamily
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20
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Investments in Available-For-Sale Securities
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21
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Investments in Trading Securities
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22
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Characteristics of Mortgage-Related Securities on Our Consolidated Balance Sheets
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23
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Additional Characteristics of Mortgage-Related Securities on Our Consolidated Balance Sheets
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24
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Mortgage-Related Securities Purchase Activity
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25
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Non-Agency Mortgage-Related Securities Backed by Subprime First Lien, Option ARM, and Alt-A Loans and Certain Related Credit Statistics
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26
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Non-Agency Mortgage-Related Securities Backed by Subprime, Option ARM, Alt-A and Other Loans
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27
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Net Impairment of Available-For-Sale Mortgage-Related Securities Recognized in Earnings
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28
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Ratings of Non-Agency Mortgage-Related Securities Backed by Subprime, Option ARM, Alt-A and Other Loans, and CMBS
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29
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Mortgage Loan Purchases and Other Guarantee Commitment Issuances
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30
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Derivative Fair Values and Maturities
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31
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Reconciliation of the Par Value and UPB to Total Debt, Net
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32
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Other Short-Term Debt
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33
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Freddie Mac Mortgage-Related Securities
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34
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Issuances and Extinguishments of Debt Securities of Consolidated Trusts
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35
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Changes in Total Equity (Deficit)
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36
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Single-Family Credit Guarantee Portfolio Data by Year of Origination
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37
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Characteristics of Purchases for the Single-Family Credit Guarantee Portfolio
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38
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Characteristics of the Single-Family Credit Guarantee Portfolio
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39
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Single-Family Loans Scheduled Payment Change to Include Principal by Year at December 31, 2013
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40
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Serious Delinquency Rates by Year of Payment Change to Include Principal
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41
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Single-Family Next Scheduled Adjustable-Rate Resets by Year at December 31, 2013
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42
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Serious Delinquency Rates by Year of First Rate Reset
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43
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Certain Higher-Risk Categories in the Single-Family Credit Guarantee Portfolio
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44
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Step-Rate Modified Loans
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45
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Single-Family Loan Workout, Serious Delinquency, and Foreclosure Volumes
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46
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Quarterly Percentages of Modified Single-Family Loans — Current and Performing
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ii
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Freddie Mac
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47
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Single-Family Relief Refinance Loans
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48
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Single-Family Serious Delinquency Statistics
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49
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Credit Concentrations in the Single-Family Credit Guarantee Portfolio
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50
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Single-Family Credit Guarantee Portfolio by Attribute Combinations
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51
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Single-Family Credit Guarantee Portfolio Foreclosure and Short Sale Rates
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52
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Multifamily Mortgage Portfolio — by Attribute
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53
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Non-Performing Assets
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54
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REO Activity by Region
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55
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Single-Family REO Property Status
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56
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Credit Loss Performance
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57
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Severity Ratios for Single-Family Loans
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58
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Single-Family Charge-offs and Recoveries by Region
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59
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Loan Loss Reserves Activity
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60
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Single-Family Impaired Loans with Specific Reserve Recorded
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61
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Single-Family Credit Loss Sensitivity
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62
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Repurchase Request Activity
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63
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Loans Released from Repurchase Obligations
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64
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Mortgage Insurance by Counterparty
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65
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Bond Insurance by Counterparty
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66
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Derivative Counterparty Credit Exposure
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67
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Activity in Other Debt
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68
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Freddie Mac Credit Ratings
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69
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Consolidated Fair Value Balance Sheets
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70
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Summary of Change in the Fair Value of Net Assets
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71
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Contractual Obligations by Year at December 31, 2013
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72
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PMVS and Duration Gap Results
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73
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Derivative Impact on PMVS-L (50 bps)
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74
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2014 Target TDC
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75
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Board of Directors Committee Membership
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76
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2013 Target TDC
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77
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Achievement of Conservatorship Scorecard Performance Measures
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78
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Achievement of Complementary Corporate Goals
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79
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2013 Deferred Salary
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80
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Summary Compensation Table — 2013
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81
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Grants of Plan-Based Awards — 2013
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82
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Outstanding Equity Awards at Fiscal Year-End — 2013
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83
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Pension Benefits — 2013
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84
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Non-Qualified Deferred Compensation
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85
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Potential Payments Upon Termination of Employment or Change-in-Control as of December 31, 2013
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86
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Board Compensation — 2013 Non-Employee Director Compensation Levels
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87
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2013 Director Compensation
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88
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Stock Ownership by Directors, Executive Officers, and Greater-Than-5% Holders
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89
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Equity Compensation Plan Information
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90
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Auditor Fees
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iii
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Freddie Mac
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Page
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iv
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Freddie Mac
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1
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Freddie Mac
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2
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Freddie Mac
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(1)
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Based on workouts completed with borrowers for loans within our single-family credit guarantee portfolio. Excludes those modification, repayment, and forbearance activities for which the borrower has started the required process, but the actions have not been made permanent or effective, such as loans in modification trial periods. Also excludes certain loan workouts where our single-family seller/servicers have executed agreements in the current or prior periods, but these have not been incorporated into certain of our operational systems due to delays in processing. These categories are not mutually exclusive and a loan in one category may also be included within another category in the same period.
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(2)
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As of
December 31, 2013
, approximately 21,000 borrowers were in modification trial periods, including approximately 16,000 borrowers in trial periods for our non-HAMP modification.
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(3)
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Excludes loans with long-term forbearance under a completed loan modification. Many borrowers enter into a short-term forbearance agreement before another loan workout is pursued or completed. We only report forbearance activity for a single loan once during each quarterly period within the year; however, a single loan may be included under separate forbearance agreements in each year.
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3
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Freddie Mac
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4
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Freddie Mac
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•
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Leveraging the fundamentals: We are leveraging our existing product offerings to better meet the needs of an evolving mortgage market. This includes working to reduce repurchase requests and penalties, in the form of fees, by providing greater certainty for seller/servicers that the loans they sell to us or service for us meet our requirements. We are doing this by enhancing the tools we make available to our customers (including Loan Prospector, Loan Quality Advisor, and Home Value Estimator), and expanding and leveraging the data standards of the Uniform Mortgage Data Program. We intend to continue to simplify, streamline, and strengthen our operations, while keeping pace with regulatory requirements, such as those implemented under the Dodd-Frank Act.
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Better serving our customers: Our customers are our sellers, servicers, and investor/dealers. Based on feedback we have received directly from our customers through our Customer Advisory Boards, surveys, and ongoing conversations, we are enhancing our processes and programs to improve our customers’ experience when doing business with us.
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Managing the credit risk of the single-family credit guarantee portfolio: We are managing our credit risk by setting our underwriting standards at a level commensurate with the long-term credit risk appetite of the company. We use a process of delegated underwriting for the single-family mortgages we purchase or securitize. In this process, our contracts with seller/servicers describe mortgage eligibility and underwriting standards, and the seller/servicers represent and warrant to us that the mortgages sold to us meet these standards. Beginning in 2009, we have made various changes to our credit policies, including changes to improve our underwriting standards, purchased fewer
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5
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Freddie Mac
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Transferring the credit risk of the single-family credit guarantee portfolio: We consider risk transfer transactions to be a prudent way to manage risk in our business. We executed three transactions during 2013 that transfer a mezzanine credit loss position on certain groups of loans in the New single-family book. These transactions are intended to shift mortgage credit risk from us to private investors and are consistent with our 2013 Scorecard goal. While these transactions have been relatively small compared to our overall mortgage credit risk, we believe they have attracted broad interest in the market. We will seek to expand and refine our offerings of credit risk transfer transactions in the future.
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Optimizing the economics of the single-family credit guarantee portfolio: We strive to achieve the highest economic returns on our portfolio while considering and balancing our: (a) customer diversification; and (b) housing mission and goals. We also align our mortgage-related securities offerings and disclosures with customer needs and investor demand to balance the achievement of the above objectives while considering the relative performance of our securities in the market.
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Maintaining a presence in the agency mortgage-related securities market. Our activities in this market may include outright purchases and sales, dollar roll transactions, and structuring existing agency securities into REMICs and selling some or all of the tranches.
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Maintaining a portfolio of liquid securities consistent with our liquidity management guidelines. In managing the reduction of our mortgage-related investments, we evaluate the liquidity of these investments based on two categories: (a) single-class and multiclass agency securities; and (b) assets that are less liquid than agency securities. We are focusing our efforts on reducing the balance of less liquid assets in the mortgage-related investments portfolio. Our liquid assets collectively represented approximately 40% of UPB of the portfolio at December 31, 2013, compared to 38% at December 31, 2012.
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Managing the single-family performing loans obtained through our cash purchase program. We purchase loans from lenders for cash and, in conjunction with the single-family business, securitize the majority of these loans into Freddie Mac agency securities that may be sold to dealers or investors, or retained in our mortgage investments portfolio as agency securities.
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Managing single-family re-performing loans and performing modified loans. This includes securitizing loans, and could include selling loans or other disposition strategies in the future.
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Managing single-family delinquent loans along with the single-family business. This includes removing seriously delinquent loans from PC pools and could include selling loans, securitizing loans, or other disposition strategies in the future.
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Reducing the overall balance of our holdings of non-agency mortgage-related securities through liquidations and sales, subject to a variety of constraints, including market conditions.
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Managing the treasury function, including funding and liquidity, for the overall company, through the issuance of short-term and long-term unsecured debt. We maintain a liquidity and contingency portfolio of cash and non-mortgage investments for short-term liquidity management.
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Managing the interest-rate risk for the overall company through the use of derivatives and unsecured debt.
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6
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Freddie Mac
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Common Securitization Platform: On October 7, 2013, FHFA announced the formation of Common Securitization Solutions, LLC
SM
("CSS"), which will build and operate the future new common securitization platform. In addition, FHFA announced that: (a) office space has been leased for CSS; and (b) an executive recruitment firm has been retained to identify candidates for the positions of Chief Executive Officer and Chairman of the Board of Managers of CSS. CSS is equally-owned by Freddie Mac and Fannie Mae. In connection with the formation of CSS, we entered into a limited liability company agreement with Fannie Mae and anticipate entering into additional agreements with Fannie Mae relating to CSS in the future.
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Contractual and Disclosure Framework: FHFA directed us to work with Fannie Mae to implement a set of uniform contractual terms and standards for transparency that can inform the single-family mortgage securitization market in the future. During 2013, a team from Freddie Mac and Fannie Mae performed analysis and developed preliminary recommendations for: (a) fully-guaranteed (GSE) mortgage-related securities; (b) non- or partially guaranteed (GSE) mortgage-related securities; and (c) new master trust agreements for these types of securities.
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Uniform Mortgage Data Program: We and Fannie Mae are collaborating with the industry to develop and implement uniform data standards for single-family mortgages. We have already made significant progress by completing initial phases of this program, including: (a) standard appraisal data elements; (b) the Uniform Collateral Data Portal, which allows us to aggregate this data from sellers; and (c) the Uniform Loan Delivery Dataset, which defines common data elements for each loan we acquire or guarantee. During 2013, we expanded the data elements in the Uniform Loan Delivery Dataset and aligned the dataset with recent changes required by the Consumer Financial Protection Bureau, or CFPB.
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Representation and Warranty Framework: At the direction of FHFA, we and Fannie Mae launched a new representation and warranty framework for conventional loans purchased by the GSEs on or after January 1, 2013. The objective of the new framework is to clarify lenders’ repurchase exposures and liability on future sales of mortgage loans to Freddie Mac and Fannie Mae. Under it, lenders are relieved of certain repurchase obligations for loans that meet specific payment requirements three years after purchase (and one year for HARP and other relief refinance mortgages).
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Lender placed insurance standards: As part of the servicing alignment initiative, we announced changes in our servicing standards for situations in which our servicers obtain property hazard insurance on properties securing single-family loans we own or guarantee. As a result, effective June 1, 2014, our seller/servicers may not receive compensation or other payment from insurance carriers nor may they use their own or affiliated entities to insure or reinsure a property.
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Began an initiative for enhanced early-risk assessment by seller/servicers, including implementation of Loan Quality Advisor, a new automated tool for use in evaluating the credit eligibility of loans and identifying non-compliance issues;
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Announced requirements for our seller/servicers in response to certain final rules from the CFPB, including rules concerning the requirements for borrowers' ability to repay and high-cost mortgages, that were implemented beginning in January 2014. See “BUSINESS — Legislative and Regulatory Developments
—
Dodd-Frank Act
” for further information on the final rules;
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Implemented standard timelines, appeal requirements, and alternative remedies for resolution of repurchase obligations as part of our efforts to enhance post-delivery quality control practices and transparency associated with our new representation and warranty framework; and
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7
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Freddie Mac
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Expanded our loan review sampling strategy, specifically focusing on newly purchased mortgage loans, to evaluate compliance with our standards.
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provide stability in the secondary market for residential mortgages;
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respond appropriately to the private capital market;
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provide ongoing assistance to the secondary market for residential mortgages (including activities relating to mortgages for low- and moderate-income families, involving a reasonable economic return that may be less than the return earned on other activities); and
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promote access to mortgage credit throughout the U.S. (including central cities, rural areas, and other underserved areas).
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8
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Freddie Mac
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mortgage insurance on the portion of the UPB of the mortgage that exceeds 80%;
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a seller’s agreement to repurchase or replace any mortgage that has defaulted; or
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retention by the seller of at least a 10% participation interest in the mortgage.
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9
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Freddie Mac
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10
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Freddie Mac
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11
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Freddie Mac
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12
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Freddie Mac
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13
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Freddie Mac
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if a court of competent jurisdiction or a federal government agency, duly authorized to oversee or regulate our mortgage purchase business, determines that our purchase of the mortgage was unauthorized and a cure is not practicable without unreasonable effort or expense, or if such a court or government agency requires us to repurchase the mortgage;
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if a borrower exercises its option to convert the interest rate from an adjustable-rate to a fixed-rate on a convertible ARM; and
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in the case of balloon-reset loans, shortly before the mortgage reaches its scheduled balloon-reset date.
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14
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Freddie Mac
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15
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Freddie Mac
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conducting quality control reviews earlier in the loan process, generally between 30 to 120 days after loan purchase;
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requiring lenders to submit requested loan files for review within specified timelines;
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evaluating loan files on a more comprehensive basis to ensure a focus on identifying significant deficiencies; and
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making available more transparent appeals processes for lenders to appeal repurchase requests.
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16
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Freddie Mac
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Forbearance agreements, where reduced payments or no payments are required during a defined period, generally less than one year. They provide additional time for the borrower to return to compliance with the original terms of the
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17
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Freddie Mac
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Repayment plans, which are contractual plans to make up past due amounts. These plans assist borrowers in returning to compliance with the original terms of their mortgages. During
2013
, the average time period granted for completed repayment plans was between two and six months.
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Loan modifications, which may involve changing the terms of the loan, or adding outstanding indebtedness, such as delinquent interest, to the UPB of the loan, or a combination of both. During
2013
, we granted principal forbearance but did not utilize principal forgiveness for our loan modifications. Principal forbearance is a change to a loan’s terms to designate a portion of the principal as non-interest-bearing and non-amortizing. A borrower may only receive one HAMP modification; however, a loan may generally be modified twice (although only once during a 12 month period) under our standard loan modification program or once under our streamlined modification program. However, we reserve the right to approve additional non-HAMP loan modifications to the same borrower, based on the borrower’s individual facts and circumstances.
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Short sale and deed in lieu of foreclosure transactions.
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Under HAMP, the goal is to reduce the borrower’s monthly mortgage payments to 31% of gross monthly income, which may be achieved through a combination of methods, including interest rate reductions, term extensions, and principal forbearance. Although HAMP allows the use of principal reduction to achieve reduced payments for borrowers, we have only used forbearance and have not used principal reduction in modifying our loans.
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Borrowers whose loans are modified through HAMP accrue monthly incentive payments (in the form of credits) that are applied annually to reduce up to $1,000 of their principal per year, for five years, as long as they are making timely payments under the modified loan terms. Servicers are paid incentive fees for each completed HAMP modification. We bear the costs of borrower incentive payments and servicer incentive fees for our HAMP loans, without reimbursement of such costs from Treasury.
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18
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Freddie Mac
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Managing agency mortgage-related securities, including PCs and REMICs, issued by Freddie Mac, Fannie Mae, and Ginnie Mae. Our activities may include outright purchases and sales, dollar roll transactions, and structuring existing agency securities into REMICs and selling some or all of the tranches.
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•
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Managing single-family performing loans obtained through our cash purchase program. We purchase loans from lenders for cash and, in conjunction with the single-family business, securitize the majority of these loans into Freddie Mac agency securities that may be sold to dealers or investors or retained in our mortgage investments portfolio as agency securities.
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19
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Freddie Mac
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•
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Managing single-family re-performing loans and performing modified loans. This includes securitizing loans, and could include selling loans or other disposition strategies in the future.
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•
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Managing single-family delinquent loans along with the single-family business. This includes removing seriously delinquent loans from PC pools and could include selling loans, securitizing loans, or other disposition strategies in the future.
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Reducing the overall balance of our holdings of non-agency mortgage-related securities through liquidations and sales, subject to a variety of constraints, including market conditions.
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20
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Freddie Mac
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21
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Freddie Mac
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22
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Freddie Mac
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23
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Freddie Mac
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December 31, 2013
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December 31, 2012
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||||
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(in millions)
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||||||
Investments segment — Mortgage investments portfolio
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$
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331,071
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$
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375,924
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Single-family Guarantee segment — Single-family unsecuritized mortgage loans
(2)
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37,726
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53,333
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||
Multifamily segment — Mortgage investments portfolio
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92,227
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128,287
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Total mortgage-related investments portfolio
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$
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461,024
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$
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557,544
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(1)
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Based on UPB and excludes mortgage loans and mortgage-related securities traded, but not yet settled.
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(2)
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Represents unsecuritized seriously delinquent single-family loans.
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24
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Freddie Mac
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25
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Freddie Mac
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26
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Freddie Mac
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•
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declare or pay any dividend (preferred or otherwise) or make any other distribution with respect to any Freddie Mac equity securities (other than with respect to the senior preferred stock or warrant);
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•
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redeem, purchase, retire or otherwise acquire any Freddie Mac equity securities (other than the senior preferred stock or warrant);
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•
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sell or issue any Freddie Mac equity securities (other than the senior preferred stock, the warrant and the common stock issuable upon exercise of the warrant and other than as required by the terms of any binding agreement in effect on the date of the Purchase Agreement);
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•
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terminate the conservatorship (other than in connection with a receivership);
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sell, transfer, lease or otherwise dispose of any assets, other than dispositions for fair market value: (a) to a limited life regulated entity (in the context of a receivership); (b) of assets and properties in the ordinary course of business, consistent with past practice; (c) of assets and properties having fair market value individually or in aggregate less than $250 million in one transaction or a series of related transactions; (d) in connection with our liquidation by a receiver; (e) of cash or cash equivalents for cash or cash equivalents; or (f) to the extent necessary to comply with the covenant described below relating to the reduction of our mortgage-related investments portfolio;
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•
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issue any subordinated debt;
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•
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enter into a corporate reorganization, recapitalization, merger, acquisition or similar event; or
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•
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engage in transactions with affiliates unless the transaction is: (a) pursuant to the Purchase Agreement, the senior preferred stock or the warrant; (b) upon arm’s length terms; or (c) a transaction undertaken in the ordinary course or pursuant to a contractual obligation or customary employment arrangement in existence on the date of the Purchase Agreement.
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27
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Freddie Mac
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28
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Freddie Mac
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Goals for 2013
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Goals for 2014
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Single-family purchase money goals (benchmark levels):
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||
Low-income
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23
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%
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23
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%
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Very low-income
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7
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%
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7
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%
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Low-income areas
(1)
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21
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%
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TBD
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Low-income areas subgoal
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11
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%
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11
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%
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Single-family refinance low-income goal (benchmark level)
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20
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%
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20
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%
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Multifamily low-income goal (in units)
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215,000
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200,000
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Multifamily low-income subgoal (in units)
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50,000
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40,000
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(1)
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FHFA will annually set the benchmark level for the low-income areas goal based on the benchmark level for the low-income areas subgoal, plus an adjustment factor reflecting the additional incremental share of mortgages for low- and moderate-income families in designated disaster areas in the three most recent years for which such data are available. For
2013
, FHFA set the benchmark level at 21%.
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|
29
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Freddie Mac
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|
Goals for 2011
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Market Level for 2011
(1)
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Results for 2011
(2)
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Goals for 2012
|
|
Market Level for 2012
(1)
|
|
Results for 2012
|
||||||
Single -family purchase money goals (benchmark levels):
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Low-income
|
|
27
|
%
|
|
26.5
|
%
|
|
23.3
|
%
|
|
23
|
%
|
|
26.6
|
%
|
|
24.4
|
%
|
Very low-income
|
|
8
|
%
|
|
8.0
|
%
|
|
6.6
|
%
|
|
7
|
%
|
|
7.7
|
%
|
|
7.1
|
%
|
Low-income areas
(3)
|
|
24
|
%
|
|
22.0
|
%
|
|
19.2
|
%
|
|
20
|
%
|
|
20.5
|
%
|
|
20.6
|
%
|
Low-income areas subgoal
|
|
13
|
%
|
|
11.4
|
%
|
|
9.2
|
%
|
|
11
|
%
|
|
13.6
|
%
|
|
11.4
|
%
|
Single -family refinance low-income goal (benchmark level)
|
|
21
|
%
|
|
21.5
|
%
|
|
23.4
|
%
|
|
20
|
%
|
|
22.3
|
%
|
|
22.4
|
%
|
Multifamily low-income goal (in units)
|
|
161,250
|
|
|
N/A
|
|
|
229,001
|
|
|
225,000
|
|
|
N/A
|
|
|
298,529
|
|
Multifamily low-income subgoal (in units)
|
|
21,000
|
|
|
N/A
|
|
|
35,471
|
|
|
59,000
|
|
|
N/A
|
|
|
60,084
|
|
(1)
|
Determined by FHFA based on its analysis of market data.
|
(2)
|
We failed to achieve any of the four single-family purchase money goals for 2011. FHFA did not require us to submit a housing plan for the goals that we did not achieve in 2011.
|
(3)
|
FHFA annually sets the benchmark level for the low-income areas goal based on the benchmark level for the low-income areas subgoal, plus an adjustment factor reflecting the additional incremental share of mortgages for low- and moderate-income families in designated disaster areas in the three most recent years for which such data are available. For 2011 and 2012, FHFA set the benchmark level for the low-income areas goal at 24% and 20%, respectively.
|
|
30
|
Freddie Mac
|
•
|
Securities we issue or guarantee are “exempted securities” under the Securities Act and may be sold without registration under the Securities Act;
|
•
|
We are excluded from the definitions of “government securities broker” and “government securities dealer” under the Exchange Act;
|
•
|
The Trust Indenture Act of 1939 does not apply to securities issued by us; and
|
•
|
We are exempt from the Investment Company Act of 1940 and the Investment Advisers Act of 1940, as we are an “agency, authority or instrumentality” of the U.S. for purposes of such Acts.
|
•
|
terminate the dividends on the senior preferred stock;
|
|
31
|
Freddie Mac
|
•
|
treat the funds received by a GSE from Treasury under the Purchase Agreement (including funds received prior to the amendment) as a fully amortizing loan from Treasury to the GSE with a maturity of 30 years and an annual interest rate of 5%; and
|
•
|
credit the dividends previously paid by a GSE on the senior preferred stock as payments of principal and interest under such loan.
|
•
|
require the wind down of Freddie Mac and Fannie Mae. The companies’ charters would be repealed within five years of enactment (except for charter provisions relating to the rights of holders of the companies’ outstanding debt and mortgage-backed security obligations), and the companies would then not have authority to conduct new business. A full faith and credit U.S. government guarantee would be extended to the then outstanding debt obligations of the companies and mortgage-backed securities guaranteed by the companies;
|
•
|
require that any proceeds from the wind down go first to the holders of Freddie Mac's and Fannie Mae’s senior preferred stock, then preferred shareholders and then common shareholders, with the amount of proceeds to be paid to these shareholders to be determined by the U.S. government;
|
•
|
set certain requirements relating to the disposition of the functions, activities, infrastructure and property of Freddie Mac and Fannie Mae; and
|
•
|
decrease conforming loan limits in high cost areas and require the gradual reduction of Freddie Mac's and Fannie Mae’s retained mortgage portfolios.
|
•
|
require FHFA to place Freddie Mac and Fannie Mae into receivership within five years of enactment (or potentially longer, in certain circumstances). The companies’ charters would be repealed at that time (except for charter provisions relating to the rights of holders of the companies’ outstanding debt and mortgage-backed security obligations), and the companies would then not have authority to conduct new business. A full faith and credit U.S. government guarantee would be extended to the then outstanding debt obligations of the companies and mortgage-backed securities guaranteed by the companies; and
|
•
|
place certain restrictions on Freddie Mac's and Fannie Mae’s activities prior to being placed into receivership, including decreasing conforming loan limits in high cost areas, gradually reducing the size of Freddie Mac's and Fannie Mae’s retained mortgage portfolios to $250 billion each, and requiring the companies to enter into additional risk sharing transactions to cover at least 10% of their new single-family business each year. Under the bill, the companies would likely be required to increase their guarantee fees.
|
•
|
Build
. Build a new infrastructure for the secondary mortgage market.
|
•
|
Contract
. Gradually contract Freddie Mac's and Fannie Mae’s dominant presence in the marketplace while simplifying and shrinking their operations.
|
•
|
Maintain
. Maintain foreclosure prevention activities and credit availability for new and refinanced mortgages.
|
|
32
|
Freddie Mac
|
•
|
CFPB final rules: The Consumer Financial Protection Bureau, or CFPB, adopted a number of final rules in early 2013 relating to mortgage origination, finance, and servicing practices. The rules generally went into effect in January 2014. The rules include an ability-to-repay rule, which requires mortgage originators to make a reasonable and good faith determination that a borrower has a reasonable ability to repay the loan according to its terms. This rule provides certain protection from liability for originators making loans that satisfy the definition of a qualified mortgage. In May 2013, FHFA directed Freddie Mac and Fannie Mae to limit future single-family acquisitions to loans that are qualified mortgages under applicable CFPB regulations, including those mortgages meeting the special or temporary qualified mortgage definition for us and Fannie Mae, as the case may be. The directive generally restricts us and Fannie Mae from acquiring loans that are: (a) not fully amortizing; (b) have a term greater than 30 years; or (c) have points and fees in excess of 3% of the total loan amount.
|
•
|
Credit risk retention proposed rule: In August 2013, six agencies, including FHFA, jointly proposed a rule concerning credit risk retention. This rule revises a 2011 proposal that would implement the credit risk retention requirements of the Dodd-Frank Act. The rule generally would require a securitizer of asset-backed securities to retain no less than five percent of the credit risk of the assets underlying such securities. The rule would provide an exemption from this requirement for asset-backed securities collateralized exclusively by qualified residential mortgages (or “QRMs”), and would define a QRM by reference to the definition of a “qualified mortgage” under the Truth in Lending Act. The proposal also requests comment on an alternative definition of QRM that would significantly reduce the number of
|
|
33
|
Freddie Mac
|
|
34
|
Freddie Mac
|
•
|
Restrictions on available loan terms;
|
•
|
Simplification and standardization of loan products;
|
•
|
Limits on property financing;
|
•
|
Limits on business activities; and,
|
•
|
Other options that FHFA should consider to contract the enterprises’ multifamily businesses.
|
|
35
|
Freddie Mac
|
•
|
the actions the U.S. government (including FHFA, Treasury, and Congress) may take, or require us to take, including to further support the housing recovery or to implement FHFA’s strategic plan for us and Fannie Mae;
|
•
|
the effect of the restrictions on our business due to the conservatorship and the Purchase Agreement, including our dividend obligation on the senior preferred stock;
|
•
|
our ability to maintain adequate liquidity to fund our operations, including following any changes in the support provided to us by Treasury, or any changes in our credit ratings or those of the U.S. government;
|
•
|
changes in our charter or in applicable legislative or regulatory requirements (including any legislation on the future status of our company), or in the regulation of the housing finance and financial services industries;
|
•
|
changes in the fiscal and monetary policies of the Federal Reserve, including the effect of the tapering of its program of purchasing mortgage-related securities and any future sales of such securities;
|
•
|
the extent of our success in our efforts to mitigate our losses on our Legacy single-family books and our investments in non-agency mortgage-related securities;
|
•
|
the adequacy of our operating systems and infrastructure, and our ability to maintain the security of such systems and infrastructure;
|
•
|
changes in accounting standards, or in our accounting policies or estimates;
|
•
|
changes in economic and market conditions, including changes in employment rates, interest rates, yield curves, mortgage and debt spreads, and home prices;
|
•
|
changes in the U.S. residential mortgage market, including changes in the supply and type of mortgage products (e.g., refinance versus purchase, and fixed-rate versus ARM);
|
•
|
our ability to effectively execute our business strategies, implement new initiatives, and improve efficiency;
|
•
|
our ability to recruit and retain executive officers and other key employees;
|
•
|
the adequacy of our risk management framework, internal control over financial reporting, and disclosure controls and procedures;
|
•
|
the failure of our customers, vendors, service providers, and counterparties to fulfill their obligations to us;
|
•
|
our ability to manage mortgage credit risks, including the effect of changes in underwriting and servicing practices;
|
•
|
our ability to manage interest-rate and other market risks, including the availability of derivative financial instruments needed for risk management purposes;
|
•
|
changes or errors in the methodologies, models, assumptions and estimates we use to prepare our financial statements, make business decisions, and manage risks;
|
•
|
changes in investor demand for our debt or mortgage-related securities (e.g., single-family PCs and multifamily K Certificates);
|
•
|
adverse judgments or settlements in connection with judicial or regulatory proceedings;
|
•
|
changes in the practices of loan originators, investors and other participants in the secondary mortgage market;
|
|
36
|
Freddie Mac
|
•
|
the occurrence of a major natural or other disaster in areas in which our offices or portions of our total mortgage portfolio are concentrated; and
|
•
|
other factors and assumptions described in this Form 10-K, including in the “MD&A” section.
|
•
|
changes in home prices;
|
•
|
the success of our foreclosure prevention and loss mitigation efforts;
|
•
|
adverse changes in interest rates, yield curves, implied volatility or mortgage spreads, which could increase realized and unrealized fair value losses recorded in earnings or AOCI;
|
•
|
reductions in the size of our mortgage-related investments portfolio or required sales of higher yielding assets, and other limitations on our investment activities that reduce our earnings capacity;
|
•
|
reductions in the maximum UPB of single-family loans we are permitted to purchase or other restrictions on our single-family guarantee activities that could reduce our income from these activities;
|
•
|
restrictions on the volume of multifamily business we may conduct or other limits on multifamily business activities that could reduce our income from these activities;
|
•
|
adverse changes in our liquidity or funding costs, or limitations in our access to public debt markets;
|
•
|
changes in accounting practices or guidance (e.g., implementation of FHFA's April 2012 Advisory Bulletin);
|
|
37
|
Freddie Mac
|
•
|
effects of the MHA Program and other government initiatives, including any future requirements to reduce the principal amount of loans, which could increase the likelihood of prepayment of mortgages and potentially reduce our net interest income;
|
•
|
changes in housing or economic conditions, legislation, or other factors that affect our assessment of our ability to realize our net deferred tax asset, and cause us to establish a valuation allowance against our net deferred tax asset; or
|
•
|
changes in business practices resulting from legislative and regulatory developments or direction from our Conservator.
|
|
38
|
Freddie Mac
|
•
|
No voting rights during conservatorship.
The rights and powers of our stockholders are suspended during the conservatorship and our common stockholders do not have the ability to elect directors or to vote on other matters.
|
•
|
Our future profits will effectively be distributed to Treasury.
Under the Purchase Agreement, we are required to pay dividends to the extent that our Net Worth Amount exceeds a permitted Capital Reserve Amount that decreases over time. Accordingly, over the long-term, our future profits will effectively be distributed to Treasury. Therefore, the holders of our common stock and non-senior preferred stock will not receive benefits that would otherwise flow from any such future profits.
|
•
|
Priority of Senior Preferred Stock.
The senior preferred stock ranks senior to the common stock and all other series of preferred stock as to both dividends and distributions upon dissolution, liquidation or winding up of the company.
|
•
|
Dividends have been eliminated
. The Conservator has eliminated dividends on Freddie Mac common and preferred stock (other than dividends on the senior preferred stock) during the conservatorship. In addition, under the Purchase Agreement, dividends may not be paid to common or preferred stockholders (other than on the senior preferred stock) without the consent of Treasury, regardless of whether or not we are in conservatorship.
|
•
|
Warrant may substantially dilute investment of current stockholders
. If Treasury exercises its warrant to purchase shares of our common stock equal to 79.9% of the total number of shares of our common stock outstanding on a fully diluted basis, the ownership interest in the company of our then existing common stockholders will be substantially diluted. Existing common stockholders have no assurance that, as a group, they will be able to control the election of our directors or the outcome of any other vote after the time, if any, that the conservatorship ends.
|
|
39
|
Freddie Mac
|
|
40
|
Freddie Mac
|
|
41
|
Freddie Mac
|
|
42
|
Freddie Mac
|
|
43
|
Freddie Mac
|
|
44
|
Freddie Mac
|
•
|
changes in our government support;
|
•
|
reduced demand for our debt securities;
|
•
|
competition for debt funding from other debt issuers; and
|
•
|
downgrades in our credit ratings or the credit ratings of the U.S. government.
|
|
45
|
Freddie Mac
|
|
46
|
Freddie Mac
|
|
47
|
Freddie Mac
|
|
48
|
Freddie Mac
|
|
49
|
Freddie Mac
|
|
50
|
Freddie Mac
|
|
51
|
Freddie Mac
|
|
52
|
Freddie Mac
|
|
53
|
Freddie Mac
|
|
54
|
Freddie Mac
|
|
High
|
|
Low
|
||||
2013 Quarter Ended
|
|
|
|
||||
December 31
|
$
|
3.24
|
|
|
$
|
1.26
|
|
September 30
|
1.65
|
|
|
0.98
|
|
||
June 30
|
5.00
|
|
|
0.67
|
|
||
March 31
|
1.44
|
|
|
0.27
|
|
||
2012 Quarter Ended
|
|
|
|
||||
December 31
|
$
|
0.32
|
|
|
$
|
0.24
|
|
September 30
|
0.33
|
|
|
0.14
|
|
||
June 30
|
0.33
|
|
|
0.24
|
|
||
March 31
|
0.42
|
|
|
0.21
|
|
|
55
|
Freddie Mac
|
|
56
|
Freddie Mac
|
|
At or For The Year Ended December 31,
|
||||||||||||||||||
|
2013
|
|
2012
|
|
2011
|
|
2010
|
|
2009
|
||||||||||
|
(dollars in millions, except share-related amounts)
|
||||||||||||||||||
Statements of Comprehensive Income Data
|
|
|
|
|
|
|
|
|
|
||||||||||
Net interest income
|
$
|
16,468
|
|
|
$
|
17,611
|
|
|
$
|
18,397
|
|
|
$
|
16,856
|
|
|
$
|
17,073
|
|
Benefit (provision) for credit losses
|
2,465
|
|
|
(1,890
|
)
|
|
(10,702
|
)
|
|
(17,218
|
)
|
|
(29,530
|
)
|
|||||
Non-interest income (loss)
|
8,519
|
|
|
(4,083
|
)
|
|
(10,878
|
)
|
|
(11,588
|
)
|
|
(2,732
|
)
|
|||||
Non-interest expense
|
(2,089
|
)
|
|
(2,193
|
)
|
|
(2,483
|
)
|
|
(2,932
|
)
|
|
(7,195
|
)
|
|||||
Income tax benefit
|
23,305
|
|
|
1,537
|
|
|
400
|
|
|
856
|
|
|
830
|
|
|||||
Net income (loss) attributable to Freddie Mac
|
48,668
|
|
|
10,982
|
|
|
(5,266
|
)
|
|
(14,025
|
)
|
|
(21,553
|
)
|
|||||
Total comprehensive income (loss) attributable to Freddie Mac
|
51,600
|
|
|
16,039
|
|
|
(1,230
|
)
|
|
282
|
|
|
(2,913
|
)
|
|||||
Loss attributable to common stockholders
(2)
|
(3,531
|
)
|
|
(2,074
|
)
|
|
(11,764
|
)
|
|
(19,774
|
)
|
|
(25,658
|
)
|
|||||
Loss per common share – basic and diluted
|
(1.09
|
)
|
|
(0.64
|
)
|
|
(3.63
|
)
|
|
(6.09
|
)
|
|
(7.89
|
)
|
|||||
Cash dividends per common share
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Weighted average common shares outstanding (in thousands) – basic and diluted
(3)
|
3,238,047
|
|
|
3,240,028
|
|
|
3,244,896
|
|
|
3,249,369
|
|
|
3,253,836
|
|
|||||
Balance Sheets Data
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage loans held-for-investment, at amortized cost by consolidated trusts (net of allowances for loan losses)
|
$
|
1,529,905
|
|
|
$
|
1,495,932
|
|
|
$
|
1,564,131
|
|
|
$
|
1,646,172
|
|
|
$
|
—
|
|
Total assets
|
1,966,061
|
|
|
1,989,856
|
|
|
2,147,216
|
|
|
2,261,780
|
|
|
841,784
|
|
|||||
Debt securities of consolidated trusts held by third parties
|
1,433,984
|
|
|
1,419,524
|
|
|
1,471,437
|
|
|
1,528,648
|
|
|
—
|
|
|||||
Other debt
|
506,767
|
|
|
547,518
|
|
|
660,546
|
|
|
713,940
|
|
|
780,604
|
|
|||||
All other liabilities
|
12,475
|
|
|
13,987
|
|
|
15,379
|
|
|
19,593
|
|
|
56,808
|
|
|||||
Total Freddie Mac stockholders’ equity (deficit)
|
12,835
|
|
|
8,827
|
|
|
(146
|
)
|
|
(401
|
)
|
|
4,278
|
|
|||||
Portfolio Balances
(4)
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-related investments portfolio
|
$
|
461,024
|
|
|
$
|
557,544
|
|
|
$
|
653,313
|
|
|
$
|
696,874
|
|
|
$
|
755,272
|
|
Total Freddie Mac mortgage-related securities
(5)
|
1,592,511
|
|
|
1,562,040
|
|
|
1,624,684
|
|
|
1,712,918
|
|
|
1,854,813
|
|
|||||
Total mortgage portfolio
(6)
|
1,914,661
|
|
|
1,956,276
|
|
|
2,075,394
|
|
|
2,164,859
|
|
|
2,250,539
|
|
|||||
Non-performing assets
(7)
|
127,991
|
|
|
135,677
|
|
|
129,152
|
|
|
125,405
|
|
|
104,984
|
|
|||||
Ratios
(8)
|
|
|
|
|
|
|
|
|
|
||||||||||
Return on average assets
(9)
|
2.5
|
%
|
|
0.5
|
%
|
|
(0.2
|
)%
|
|
(0.6
|
)%
|
|
(2.5
|
)%
|
|||||
Non-performing assets ratio
(10)
|
7.1
|
|
|
7.5
|
|
|
6.8
|
|
|
6.4
|
|
|
5.2
|
|
|||||
Equity to assets ratio
(11)
|
0.5
|
|
|
0.2
|
|
|
—
|
|
|
(0.2
|
)
|
|
(1.6
|
)
|
(1)
|
See “NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES” for information regarding our accounting policies and the impact of new accounting policies on our consolidated financial statements. Effective January 1, 2010, we adopted amendments to the accounting guidance for transfers of financial assets and the consolidation of VIEs. This had a significant impact on our consolidated financial statements. Consequently, certain of the line items in our consolidated financial statements for 2009 are not comparable with those of more recent years.
|
(2)
|
For a discussion of how the change in the manner in which the senior preferred stock dividend is determined affects net income (loss) attributable to common stockholders beginning in the fourth quarter of 2012, see “NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — Earnings Per Common Share.”
|
(3)
|
Includes the weighted average number of shares that are associated with the warrant for our common stock issued to Treasury as part of the Purchase Agreement, because it is unconditionally exercisable by the holder at a cost of $0.00001 per share.
|
(4)
|
Represents the UPB and excludes mortgage loans and mortgage-related securities traded, but not yet settled.
|
(5)
|
See ‘‘
Table 33 — Freddie Mac Mortgage-Related Securities
’’ for the composition of this line item.
|
(6)
|
See ‘‘
Table 15 — Composition of Segment Mortgage Portfolios and Credit Risk Portfolios
’’ for the composition of our total mortgage portfolio.
|
(7)
|
See ‘‘
Table 53 — Non-Performing Assets
’’ for a description of our non-performing assets.
|
(8)
|
The dividend payout ratio on common stock is not presented because the amount of cash dividends per common share is zero for all periods presented. The return on common equity ratio is not presented because the simple average of the beginning and ending balances of total Freddie Mac stockholders’ equity (deficit), net of preferred stock (at redemption value) is less than zero for all periods presented.
|
(9)
|
Ratio computed as net income (loss) attributable to Freddie Mac divided by the simple average of the beginning and ending balances of total assets.
|
(10)
|
Ratio computed as non-performing assets divided by the ending UPB of our total mortgage portfolio, excluding non-Freddie Mac mortgage-related securities.
|
(11)
|
Ratio computed as the simple average of the beginning and ending balances of total Freddie Mac stockholders’ equity (deficit) divided by the simple average of the beginning and ending balances of total assets.
|
|
57
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
Home sale units (in thousands)
(1)
|
5,518
|
|
|
5,028
|
|
|
4,566
|
|
|||
National home price change
(2)
|
9.3
|
%
|
|
5.9
|
%
|
|
(3.2
|
)%
|
|||
Single-family originations (in billions)
(3)
|
$
|
1,890
|
|
|
$
|
2,120
|
|
|
$
|
1,495
|
|
ARM share
(4)
|
14
|
%
|
|
11
|
%
|
|
12
|
%
|
|||
Refinance share
(5)
|
73
|
%
|
|
84
|
%
|
|
79
|
%
|
|||
U.S. single-family mortgage debt outstanding (in billions)
(6)
|
$
|
9,864
|
|
|
$
|
9,930
|
|
|
$
|
10,183
|
|
U.S. multifamily mortgage debt outstanding (in billions)
(6)
|
$
|
908
|
|
|
$
|
881
|
|
|
$
|
857
|
|
(1)
|
Consists of sales of new and existing homes in the U.S. Source: National Association of Realtors news release dated February 21, 2014 (sales of existing homes) and U.S. Census Bureau news release dated January 27, 2014 (sales of new homes).
|
(2)
|
Calculated internally using estimates of changes in single-family home prices by state, which are weighted using the property values underlying our single-family credit guarantee portfolio to obtain a national index. The rate for each year presented incorporates property value information on loans purchased by both Freddie Mac and Fannie Mae through
December 31, 2013
and the percentage change will be subject to revision based on more recent purchase information. Other indices of home prices may have different results, as they are determined using different pools of mortgage loans and calculated under different conventions than our own.
|
(3)
|
Source: Inside Mortgage Finance estimates of originations of single-family first-and second liens dated January 31, 2014.
|
(4)
|
ARM share of the dollar amount of total mortgage applications. Source: Mortgage Bankers Association’s Mortgage Applications Survey. Data reflect annual average of weekly figures.
|
(5)
|
Refinance share of the number of conventional mortgage applications. Source: Mortgage Bankers Association’s Mortgage Applications Survey. Data reflect annual average of weekly figures.
|
(6)
|
Source: Federal Financial Accounts of the United States dated December 9, 2013. The outstanding amounts for
2013
presented above reflect balances as of September 30, 2013.
|
|
58
|
Freddie Mac
|
•
|
REO disposition and short sale severity ratios to remain high. However, our recovery rates have been positively affected by recent improvements in home prices and home sales; and
|
|
59
|
Freddie Mac
|
•
|
The amount of non-performing assets and the volume of our loan workouts to remain high.
|
|
60
|
Freddie Mac
|
|
|
Year Ended December 31,
|
||||||||||
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
|
(in millions)
|
||||||||||
Net interest income
|
|
$
|
16,468
|
|
|
$
|
17,611
|
|
|
$
|
18,397
|
|
Benefit (provision) for credit losses
|
|
2,465
|
|
|
(1,890
|
)
|
|
(10,702
|
)
|
|||
Net interest income after benefit (provision) for credit losses
|
|
18,933
|
|
|
15,721
|
|
|
7,695
|
|
|||
Non-interest income (loss):
|
|
|
|
|
|
|
||||||
Gains (losses) on extinguishment of debt securities of consolidated trusts
|
|
314
|
|
|
(58
|
)
|
|
(219
|
)
|
|||
Gains (losses) on retirement of other debt
|
|
132
|
|
|
(77
|
)
|
|
44
|
|
|||
Derivative gains (losses)
|
|
2,632
|
|
|
(2,448
|
)
|
|
(9,752
|
)
|
|||
Impairment of available-for-sale securities:
|
|
|
|
|
|
|
||||||
Total other-than-temporary impairment of available-for-sale securities
|
|
(763
|
)
|
|
(1,236
|
)
|
|
(2,101
|
)
|
|||
Portion of other-than-temporary impairment recognized in AOCI
|
|
(747
|
)
|
|
(932
|
)
|
|
(200
|
)
|
|||
Net impairment of available-for-sale securities recognized in earnings
|
|
(1,510
|
)
|
|
(2,168
|
)
|
|
(2,301
|
)
|
|||
Other gains (losses) on investment securities recognized in earnings
|
|
301
|
|
|
(1,522
|
)
|
|
(896
|
)
|
|||
Other income
|
|
6,650
|
|
|
2,190
|
|
|
2,246
|
|
|||
Total non-interest income (loss)
|
|
8,519
|
|
|
(4,083
|
)
|
|
(10,878
|
)
|
|||
Non-interest expense:
|
|
|
|
|
|
|
||||||
Administrative expenses
|
|
(1,805
|
)
|
|
(1,561
|
)
|
|
(1,506
|
)
|
|||
REO operations income (expense)
|
|
140
|
|
|
(59
|
)
|
|
(585
|
)
|
|||
Other expenses
|
|
(424
|
)
|
|
(573
|
)
|
|
(392
|
)
|
|||
Total non-interest expense
|
|
(2,089
|
)
|
|
(2,193
|
)
|
|
(2,483
|
)
|
|||
Income (loss) before income tax benefit
|
|
25,363
|
|
|
9,445
|
|
|
(5,666
|
)
|
|||
Income tax benefit
|
|
23,305
|
|
|
1,537
|
|
|
400
|
|
|||
Net income (loss)
|
|
48,668
|
|
|
10,982
|
|
|
(5,266
|
)
|
|||
Other comprehensive income (loss), net of taxes and reclassification adjustments:
|
|
|
|
|
|
|
||||||
Changes in unrealized gains (losses) related to available-for-sale securities
|
|
2,406
|
|
|
4,769
|
|
|
3,465
|
|
|||
Changes in unrealized gains (losses) related to cash flow hedge relationships
|
|
316
|
|
|
414
|
|
|
509
|
|
|||
Changes in defined benefit plans
|
|
210
|
|
|
(126
|
)
|
|
62
|
|
|||
Total other comprehensive income (loss), net of taxes and reclassification adjustments
|
|
2,932
|
|
|
5,057
|
|
|
4,036
|
|
|||
Comprehensive income (loss)
|
|
$
|
51,600
|
|
|
$
|
16,039
|
|
|
$
|
(1,230
|
)
|
|
61
|
Freddie Mac
|
|
Year Ended December 31,
|
|||||||||||||||||||||||||||||||||
|
2013
|
|
2012
|
|
2011
|
|||||||||||||||||||||||||||||
|
Average
Balance
(1)(2)
|
|
Interest
Income
(Expense)
(1)
|
|
Average
Rate
|
|
Average
Balance
(1)(2)
|
|
Interest
Income
(Expense)
(1)
|
|
Average
Rate
|
|
Average
Balance
(1)(2)
|
|
Interest
Income
(Expense)
(1)
|
|
Average
Rate
|
|||||||||||||||||
|
(dollars in millions)
|
|||||||||||||||||||||||||||||||||
Interest-earning assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Cash and cash equivalents
|
$
|
31,087
|
|
|
$
|
15
|
|
|
0.05
|
%
|
|
$
|
35,476
|
|
|
$
|
20
|
|
|
0.06
|
%
|
|
$
|
45,381
|
|
|
$
|
34
|
|
|
0.07
|
%
|
||
Federal funds sold and securities purchased under agreements to resell
|
44,897
|
|
|
36
|
|
|
0.08
|
|
|
38,944
|
|
|
66
|
|
|
0.17
|
|
|
27,557
|
|
|
33
|
|
|
0.12
|
|
||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Mortgage-related securities
(3)
|
313,707
|
|
|
12,787
|
|
|
4.08
|
|
|
357,197
|
|
|
15,853
|
|
|
4.44
|
|
|
442,284
|
|
|
20,357
|
|
|
4.60
|
|
||||||||
Extinguishment of PCs held by Freddie Mac
|
(127,999
|
)
|
|
(5,045
|
)
|
|
(3.94
|
)
|
|
(119,181
|
)
|
|
(5,328
|
)
|
|
(4.47
|
)
|
|
(162,600
|
)
|
|
(7,665
|
)
|
|
(4.71
|
)
|
||||||||
Total mortgage-related securities, net
|
185,708
|
|
|
7,742
|
|
|
4.17
|
|
|
238,016
|
|
|
10,525
|
|
|
4.42
|
|
|
279,684
|
|
|
12,692
|
|
|
4.54
|
|
||||||||
Non-mortgage-related securities
(3)
|
21,385
|
|
|
26
|
|
|
0.12
|
|
|
23,763
|
|
|
58
|
|
|
0.25
|
|
|
24,587
|
|
|
99
|
|
|
0.40
|
|
||||||||
Mortgage loans held by consolidated
trusts
(4)(5)
|
1,511,128
|
|
|
57,189
|
|
|
3.78
|
|
|
1,529,213
|
|
|
65,089
|
|
|
4.26
|
|
|
1,627,956
|
|
|
77,158
|
|
|
4.74
|
|
||||||||
Unsecuritized mortgage loans
(4)(6)
|
203,760
|
|
|
7,694
|
|
|
3.78
|
|
|
237,942
|
|
|
8,960
|
|
|
3.77
|
|
|
244,134
|
|
|
9,124
|
|
|
3.74
|
|
||||||||
Total interest-earning assets
|
$
|
1,997,965
|
|
|
$
|
72,702
|
|
|
3.63
|
|
|
$
|
2,103,354
|
|
|
$
|
84,718
|
|
|
4.03
|
|
|
$
|
2,249,299
|
|
|
$
|
99,140
|
|
|
4.41
|
|
||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Debt securities of consolidated trusts including PCs held by Freddie Mac
|
$
|
1,532,032
|
|
|
$
|
(52,395
|
)
|
|
(3.42
|
)
|
|
$
|
1,552,207
|
|
|
$
|
(61,437
|
)
|
|
(3.96
|
)
|
|
$
|
1,643,939
|
|
|
$
|
(74,784
|
)
|
|
(4.55
|
)
|
||
Extinguishment of PCs held by Freddie Mac
|
(127,999
|
)
|
|
5,045
|
|
|
3.94
|
|
|
(119,181
|
)
|
|
5,328
|
|
|
4.47
|
|
|
(162,600
|
)
|
|
7,665
|
|
|
4.71
|
|
||||||||
Total debt securities of consolidated trusts held by third parties
|
1,404,033
|
|
|
(47,350
|
)
|
|
(3.37
|
)
|
|
1,433,026
|
|
|
(56,109
|
)
|
|
(3.92
|
)
|
|
1,481,339
|
|
|
(67,119
|
)
|
|
(4.53
|
)
|
||||||||
Other debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Short-term debt
|
132,674
|
|
|
(178
|
)
|
|
(0.13
|
)
|
|
129,504
|
|
|
(176
|
)
|
|
(0.14
|
)
|
|
186,304
|
|
|
(331
|
)
|
|
(0.18
|
)
|
||||||||
Long-term debt
(7)
|
393,094
|
|
|
(8,251
|
)
|
|
(2.10
|
)
|
|
463,308
|
|
|
(10,217
|
)
|
|
(2.21
|
)
|
|
503,842
|
|
|
(12,538
|
)
|
|
(2.49
|
)
|
||||||||
Total other debt
|
525,768
|
|
|
(8,429
|
)
|
|
(1.60
|
)
|
|
592,812
|
|
|
(10,393
|
)
|
|
(1.75
|
)
|
|
690,146
|
|
|
(12,869
|
)
|
|
(1.86
|
)
|
||||||||
Total interest-bearing liabilities
|
1,929,801
|
|
|
(55,779
|
)
|
|
(2.89
|
)
|
|
2,025,838
|
|
|
(66,502
|
)
|
|
(3.28
|
)
|
|
2,171,485
|
|
|
(79,988
|
)
|
|
(3.68
|
)
|
||||||||
Expense related to derivatives
(8)
|
—
|
|
|
(455
|
)
|
|
(0.02
|
)
|
|
—
|
|
|
(605
|
)
|
|
(0.03
|
)
|
|
—
|
|
|
(755
|
)
|
|
(0.04
|
)
|
||||||||
Impact of net non-interest-bearing funding
|
68,164
|
|
|
—
|
|
|
0.10
|
|
|
77,516
|
|
|
—
|
|
|
0.12
|
|
|
77,814
|
|
|
—
|
|
|
0.13
|
|
||||||||
Total funding of interest-earning assets
|
$
|
1,997,965
|
|
|
$
|
(56,234
|
)
|
|
(2.81
|
)
|
|
$
|
2,103,354
|
|
|
$
|
(67,107
|
)
|
|
(3.19
|
)
|
|
$
|
2,249,299
|
|
|
$
|
(80,743
|
)
|
|
(3.59
|
)
|
||
Net interest income/yield
|
|
|
$
|
16,468
|
|
|
0.82
|
|
|
|
|
$
|
17,611
|
|
|
0.84
|
|
|
|
|
$
|
18,397
|
|
|
0.82
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
|
|
|
|
|
|
2013 vs. 2012 Variance Due to
|
|
2012 vs. 2011 Variance Due to
|
|||||||||||||||||||||||||
|
|
|
|
|
|
|
Rate
(9)
|
|
Volume
(9)
|
|
Total Change
|
|
Rate
(9)
|
|
Volume
(9)
|
|
Total Change
|
|||||||||||||||||
|
|
|
|
|
|
|
(in millions)
|
|||||||||||||||||||||||||||
Interest-earning assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Cash and cash equivalents
|
|
|
|
|
|
|
$
|
(8
|
)
|
|
$
|
3
|
|
|
$
|
(5
|
)
|
|
$
|
(2
|
)
|
|
$
|
(12
|
)
|
|
$
|
(14
|
)
|
|||||
Federal funds sold and securities purchased under agreements to resell
|
|
|
|
|
|
|
(38
|
)
|
|
8
|
|
|
(30
|
)
|
|
16
|
|
|
17
|
|
|
33
|
|
|||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Mortgage-related securities
(3)
|
|
|
|
|
|
|
(1,229
|
)
|
|
(1,837
|
)
|
|
(3,066
|
)
|
|
(706
|
)
|
|
(3,798
|
)
|
|
(4,504
|
)
|
|||||||||||
Extinguishment of PCs held by Freddie Mac
|
|
|
|
|
|
|
659
|
|
|
(376
|
)
|
|
283
|
|
|
379
|
|
|
1,958
|
|
|
2,337
|
|
|||||||||||
Total mortgage-related securities, net
|
|
|
|
|
|
|
(570
|
)
|
|
(2,213
|
)
|
|
(2,783
|
)
|
|
(327
|
)
|
|
(1,840
|
)
|
|
(2,167
|
)
|
|||||||||||
Non-mortgage-related securities
(3)
|
|
|
|
|
|
|
(27
|
)
|
|
(5
|
)
|
|
(32
|
)
|
|
(38
|
)
|
|
(3
|
)
|
|
(41
|
)
|
|||||||||||
Mortgage loans held by consolidated
trusts
(4)(5)
|
|
|
|
|
|
|
(7,139
|
)
|
|
(761
|
)
|
|
(7,900
|
)
|
|
(7,566
|
)
|
|
(4,503
|
)
|
|
(12,069
|
)
|
|||||||||||
Unsecuritized mortgage loans
(4)(6)
|
|
|
|
|
|
|
24
|
|
|
(1,290
|
)
|
|
(1,266
|
)
|
|
69
|
|
|
(233
|
)
|
|
(164
|
)
|
|||||||||||
Total interest-earning assets
|
|
|
|
|
|
|
$
|
(7,758
|
)
|
|
$
|
(4,258
|
)
|
|
$
|
(12,016
|
)
|
|
$
|
(7,848
|
)
|
|
$
|
(6,574
|
)
|
|
$
|
(14,422
|
)
|
|||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Debt securities of consolidated trusts including PCs held by Freddie Mac
|
|
|
|
|
|
|
$
|
8,253
|
|
|
$
|
789
|
|
|
$
|
9,042
|
|
|
$
|
9,337
|
|
|
$
|
4,010
|
|
|
$
|
13,347
|
|
|||||
Extinguishment of PCs held by Freddie Mac
|
|
|
|
|
|
|
(659
|
)
|
|
376
|
|
|
(283
|
)
|
|
(379
|
)
|
|
(1,958
|
)
|
|
(2,337
|
)
|
|||||||||||
Total debt securities of consolidated trusts held by third parties
|
|
|
|
|
|
|
7,594
|
|
|
1,165
|
|
|
8,759
|
|
|
8,958
|
|
|
2,052
|
|
|
11,010
|
|
|||||||||||
Other debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Short-term debt
|
|
|
|
|
|
|
2
|
|
|
(4
|
)
|
|
(2
|
)
|
|
67
|
|
|
88
|
|
|
155
|
|
|||||||||||
Long-term debt
(7)
|
|
|
|
|
|
|
474
|
|
|
1,492
|
|
|
1,966
|
|
|
1,360
|
|
|
961
|
|
|
2,321
|
|
|||||||||||
Total other debt
|
|
|
|
|
|
|
476
|
|
|
1,488
|
|
|
1,964
|
|
|
1,427
|
|
|
1,049
|
|
|
2,476
|
|
|||||||||||
Total interest-bearing liabilities
|
|
|
|
|
|
|
8,070
|
|
|
2,653
|
|
|
10,723
|
|
|
10,385
|
|
|
3,101
|
|
|
13,486
|
|
|||||||||||
Expense related to derivatives
(8)
|
|
|
|
|
|
|
150
|
|
|
—
|
|
|
150
|
|
|
150
|
|
|
—
|
|
|
150
|
|
|||||||||||
Total funding of interest-earning assets
|
|
|
|
|
|
|
$
|
8,220
|
|
|
$
|
2,653
|
|
|
$
|
10,873
|
|
|
$
|
10,535
|
|
|
$
|
3,101
|
|
|
$
|
13,636
|
|
|||||
Net interest income
|
|
|
|
|
|
|
$
|
462
|
|
|
$
|
(1,605
|
)
|
|
$
|
(1,143
|
)
|
|
$
|
2,687
|
|
|
$
|
(3,473
|
)
|
|
$
|
(786
|
)
|
(1)
|
Excludes mortgage loans and mortgage-related securities traded, but not yet settled.
|
(2)
|
We calculate average balances based on amortized cost.
|
|
62
|
Freddie Mac
|
(3)
|
Interest income (expense) includes accretion of the portion of impairment charges recognized in earnings where we expect significant increases in cash flows from the impaired securities.
|
(4)
|
Non-performing loans, where interest income is generally recognized when collected, are included in average balances.
|
(5)
|
Loan fees, primarily consisting of delivery fees, included in interest income for mortgage loans held by consolidated trusts were $1.2 billion, $929 million, and $405 million for 2013, 2012, and 2011, respectively.
|
(6)
|
Loan fees, primarily consisting of delivery fees and multifamily prepayment fees, included in unsecuritized mortgage loan interest income were $294 million, $446 million, and $223 million for 2013, 2012, and 2011, respectively.
|
(7)
|
Includes current portion of long-term debt.
|
(8)
|
Represents changes in fair value of derivatives in closed cash flow hedge relationships that were previously deferred in AOCI and have been reclassified to earnings as the associated hedged forecasted issuance of debt affects earnings.
|
(9)
|
Rate and volume changes are calculated on the individual financial statement line item level. Combined rate/volume changes were allocated to the individual rate and volume change based on their relative size.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Contractual amounts of net interest income
(1)
|
$
|
14,114
|
|
|
$
|
16,162
|
|
|
$
|
18,448
|
|
Amortization income (expense), net:
(2)
|
|
|
|
|
|
||||||
Accretion of impairments on available-for-sale securities
(3)
|
521
|
|
|
214
|
|
|
115
|
|
|||
Asset-related amortization income (expense), net:
|
|
|
|
|
|
||||||
Mortgage loans held by consolidated trusts
|
(4,935
|
)
|
|
(4,536
|
)
|
|
(1,942
|
)
|
|||
Unsecuritized mortgage loans
|
266
|
|
|
156
|
|
|
182
|
|
|||
Mortgage-related securities
|
(168
|
)
|
|
(59
|
)
|
|
(239
|
)
|
|||
Other assets
|
(282
|
)
|
|
(281
|
)
|
|
(122
|
)
|
|||
Asset-related amortization expense, net
|
(5,119
|
)
|
|
(4,720
|
)
|
|
(2,121
|
)
|
|||
Debt-related amortization income (expense), net:
|
|
|
|
|
|
||||||
Debt securities of consolidated trusts
|
7,726
|
|
|
7,112
|
|
|
3,383
|
|
|||
Other debt securities
|
(319
|
)
|
|
(552
|
)
|
|
(673
|
)
|
|||
Debt-related amortization income, net
|
7,407
|
|
|
6,560
|
|
|
2,710
|
|
|||
Total amortization income, net
|
2,809
|
|
|
2,054
|
|
|
704
|
|
|||
Expense related to derivatives
(4)
|
(455
|
)
|
|
(605
|
)
|
|
(755
|
)
|
|||
Net interest income
|
$
|
16,468
|
|
|
$
|
17,611
|
|
|
$
|
18,397
|
|
(1)
|
Includes the reversal of interest income accrued, net of interest received on a cash basis, related to mortgage loans that are on non-accrual status.
|
(2)
|
Represents amortization related to premiums, discounts, deferred fees and other adjustments to the carrying value of our financial instruments, and the reclassification of previously deferred balances from AOCI for certain derivatives in closed cash flow hedge relationships related to individual debt issuances and mortgage purchase transactions.
|
(3)
|
The portion of the impairment charges recognized in earnings where we expect significant increases in cash flows is recognized as net interest income.
|
(4)
|
Represents changes in fair value of derivatives in closed cash flow hedge relationships that were previously deferred in AOCI and have been reclassified to earnings as the associated hedged forecasted issuance of debt affects earnings.
|
|
63
|
Freddie Mac
|
|
64
|
Freddie Mac
|
|
Derivative Gains (Losses)
|
||||||||||
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Interest-rate swaps
|
$
|
8,598
|
|
|
$
|
(204
|
)
|
|
$
|
(10,367
|
)
|
Option-based derivatives
(1)
|
(2,422
|
)
|
|
1,250
|
|
|
7,176
|
|
|||
Other derivatives
(2)
|
(77
|
)
|
|
308
|
|
|
(1,529
|
)
|
|||
Accrual of periodic settlements
|
(3,467
|
)
|
|
(3,802
|
)
|
|
(5,032
|
)
|
|||
Total
|
$
|
2,632
|
|
|
$
|
(2,448
|
)
|
|
$
|
(9,752
|
)
|
(1)
|
Primarily includes purchased call and put swaptions and purchased interest-rate caps and floors.
|
(2)
|
Primarily includes futures, foreign-currency swaps, commitments, credit derivatives and swap guarantee derivatives.
|
|
65
|
Freddie Mac
|
|
66
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Other income (loss):
|
|
|
|
|
|
||||||
Non-agency mortgage-related securities settlements
|
$
|
5,501
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Gains (losses) on mortgage loans
|
(336
|
)
|
|
1,010
|
|
|
829
|
|
|||
Recoveries on loans impaired upon purchase
(1)
|
261
|
|
|
380
|
|
|
473
|
|
|||
Guarantee-related income, net
(2)
|
400
|
|
|
343
|
|
|
245
|
|
|||
All other
|
824
|
|
|
457
|
|
|
699
|
|
|||
Total other income (loss)
|
$
|
6,650
|
|
|
$
|
2,190
|
|
|
$
|
2,246
|
|
(1)
|
Our recoveries principally relate to impaired loans purchased prior to 2010. Consequently, our recoveries on these loans will generally decline over time.
|
(2)
|
Most of our guarantee-related income relates to securitized multifamily mortgage loans where we have not consolidated the securitization trusts on our consolidated balance sheets.
|
|
67
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Administrative expenses:
|
|
|
|
|
|
||||||
Salaries and employee benefits
|
$
|
833
|
|
|
$
|
810
|
|
|
$
|
832
|
|
Professional services
|
543
|
|
|
361
|
|
|
270
|
|
|||
Occupancy expense
|
54
|
|
|
57
|
|
|
62
|
|
|||
Other administrative expense
|
375
|
|
|
333
|
|
|
342
|
|
|||
Total administrative expenses
|
1,805
|
|
|
1,561
|
|
|
1,506
|
|
|||
REO operations (income) expense
|
(140
|
)
|
|
59
|
|
|
585
|
|
|||
Other expenses
|
424
|
|
|
573
|
|
|
392
|
|
|||
Total non-interest expense
|
$
|
2,089
|
|
|
$
|
2,193
|
|
|
$
|
2,483
|
|
|
|
Year Ended December 31,
|
||||||||||
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
|
(dollars in millions)
|
||||||||||
REO operations (income) expense:
|
|
|
|
|
|
|
||||||
Single-family:
|
|
|
|
|
|
|
||||||
REO property expenses
(1)
|
|
$
|
962
|
|
|
$
|
1,203
|
|
|
$
|
1,205
|
|
Disposition (gains) losses, net
(2)
|
|
(746
|
)
|
|
(682
|
)
|
|
179
|
|
|||
Change in holding period allowance, dispositions
|
|
(35
|
)
|
|
(108
|
)
|
|
(456
|
)
|
|||
Change in holding period allowance, inventory
(3)
|
|
58
|
|
|
(9
|
)
|
|
302
|
|
|||
Recoveries
(4)
|
|
(363
|
)
|
|
(342
|
)
|
|
(634
|
)
|
|||
Total single-family REO operations (income) expense
|
|
(124
|
)
|
|
62
|
|
|
596
|
|
|||
Multifamily REO operations (income) expense
|
|
(16
|
)
|
|
(3
|
)
|
|
(11
|
)
|
|||
Total REO operations (income) expense
|
|
$
|
(140
|
)
|
|
$
|
59
|
|
|
$
|
585
|
|
(1)
|
Consists of costs incurred to maintain or protect a property after it is acquired in a foreclosure transfer, such as legal fees, insurance, taxes, and cleaning and other maintenance charges.
|
(2)
|
Represents the difference between the disposition proceeds, net of selling expenses, and the fair value of the property on the date of the foreclosure transfer.
|
(3)
|
Represents the (increase) decrease in the estimated fair value of properties that were in inventory during the period.
|
(4)
|
Includes recoveries from primary mortgage insurance, pool insurance and seller/servicer repurchases.
|
|
68
|
Freddie Mac
|
|
69
|
Freddie Mac
|
|
70
|
Freddie Mac
|
|
|
December 31, 2013
|
|
December 31, 2012
|
||||
|
|
(in millions)
|
||||||
Segment mortgage portfolios:
|
|
|
|
|
||||
Single-family Guarantee — Managed loan portfolio:
(2)
|
|
|
|
|
||||
Single-family unsecuritized mortgage loans
(3)
|
|
$
|
37,726
|
|
|
$
|
53,333
|
|
Single-family Freddie Mac mortgage-related securities held by us
|
|
165,247
|
|
|
184,381
|
|
||
Single-family Freddie Mac mortgage-related securities held by third parties
|
|
1,361,972
|
|
|
1,335,393
|
|
||
Single-family other guarantee commitments
(4)
|
|
19,872
|
|
|
13,798
|
|
||
Total Single-family Guarantee — Managed loan portfolio
|
|
1,584,817
|
|
|
1,586,905
|
|
||
Investments — Mortgage investments portfolio:
|
|
|
|
|
||||
Single-family unsecuritized mortgage loans
(5)
|
|
84,411
|
|
|
91,411
|
|
||
Freddie Mac mortgage-related securities
|
|
165,247
|
|
|
184,381
|
|
||
Non-agency mortgage-related securities
|
|
64,524
|
|
|
76,457
|
|
||
Non-Freddie Mac agency mortgage-related securities
|
|
16,889
|
|
|
23,675
|
|
||
Total Investments — Mortgage investments portfolio
|
|
331,071
|
|
|
375,924
|
|
||
Multifamily — Guarantee portfolio:
|
|
|
|
|
||||
Multifamily Freddie Mac mortgage related securities held by us
|
|
2,787
|
|
|
2,382
|
|
||
Multifamily Freddie Mac mortgage related securities held by third parties
|
|
62,505
|
|
|
39,884
|
|
||
Multifamily other guarantee commitments
(4)
|
|
9,288
|
|
|
9,657
|
|
||
Total Multifamily — Guarantee portfolio
|
|
74,580
|
|
|
51,923
|
|
||
Multifamily — Mortgage investments portfolio:
|
|
|
|
|
||||
Multifamily investment securities portfolio
|
|
33,056
|
|
|
51,718
|
|
||
Multifamily unsecuritized loan portfolio
|
|
59,171
|
|
|
76,569
|
|
||
Total Multifamily — Mortgage investments portfolio
|
|
92,227
|
|
|
128,287
|
|
||
Total Multifamily portfolio
|
|
166,807
|
|
|
180,210
|
|
||
Less: Freddie Mac single-family and certain multifamily securities
(6)
|
|
(168,034
|
)
|
|
(186,763
|
)
|
||
Total mortgage portfolio
|
|
$
|
1,914,661
|
|
|
$
|
1,956,276
|
|
Credit risk portfolios:
(7)
|
|
|
|
|
||||
Single-family credit guarantee portfolio:
(2)
|
|
|
|
|
||||
Single-family mortgage loans, on-balance sheet
|
|
$
|
1,630,859
|
|
|
$
|
1,621,774
|
|
Non-consolidated Freddie Mac mortgage-related securities
|
|
6,961
|
|
|
8,897
|
|
||
Other guarantee commitments
(4)
|
|
19,872
|
|
|
13,798
|
|
||
Less: HFA initiative-related guarantees
(8)
|
|
(4,051
|
)
|
|
(6,270
|
)
|
||
Less: Freddie Mac mortgage-related securities backed by Ginnie Mae certificates
(8)
|
|
(541
|
)
|
|
(654
|
)
|
||
Total single-family credit guarantee portfolio
|
|
$
|
1,653,100
|
|
|
$
|
1,637,545
|
|
Multifamily mortgage portfolio:
|
|
|
|
|
||||
Multifamily mortgage loans, on-balance sheet
(9)
|
|
$
|
59,615
|
|
|
$
|
77,017
|
|
Non-consolidated Freddie Mac mortgage-related securities
|
|
64,848
|
|
|
41,819
|
|
||
Other guarantee commitments
(4)
|
|
9,288
|
|
|
9,657
|
|
||
Less: HFA initiative-related guarantees
(8)
|
|
(905
|
)
|
|
(1,112
|
)
|
||
Total multifamily mortgage portfolio
|
|
$
|
132,846
|
|
|
$
|
127,381
|
|
(1)
|
Based on UPB and excludes mortgage loans and mortgage-related securities traded, but not yet settled.
|
(2)
|
The balances of the mortgage-related securities in the Single-family Guarantee managed loan portfolio are based on the UPB of the security, whereas the balances of our single-family credit guarantee portfolio presented in this report are based on the UPB of the mortgage loans underlying the related security. The differences in the loan and security balances result from the timing of remittances to security holders, which is typically 45 or 75 days after the mortgage payment cycle of fixed-rate and ARM PCs, respectively.
|
(3)
|
Represents unsecuritized seriously delinquent single-family loans.
|
(4)
|
Represents the UPB of mortgage-related assets held by third parties for which we provide our guarantee without our securitization of the related assets.
|
(5)
|
Excludes unsecuritized seriously delinquent single-family loans. The Single-family Guarantee segment earns management and guarantee fees associated with unsecuritized single-family loans in the Investments segment’s mortgage investments portfolio.
|
(6)
|
Freddie Mac single-family mortgage-related securities held by us are included in both our Investments segment’s mortgage investments portfolio and our Single-family Guarantee segment’s managed loan portfolio, and Freddie Mac multifamily mortgage-related securities held by us are included in both the multifamily investment securities portfolio and the multifamily guarantee portfolio. Therefore, these amounts are deducted in order to reconcile to our total mortgage portfolio.
|
|
71
|
Freddie Mac
|
(7)
|
Represents the UPB of loans for which we present characteristics, delinquency data, and certain other statistics in this report. See “GLOSSARY” for further description.
|
(8)
|
We exclude HFA initiative-related guarantees and our resecuritizations of Ginnie Mae certificates from our credit risk portfolios and most related statistics because these guarantees do not expose us to meaningful amounts of credit risk due to the credit enhancement provided on them by the U.S. government.
|
(9)
|
Includes both unsecuritized multifamily mortgage loans and multifamily mortgage loans in consolidated trusts.
|
|
|
Year Ended December 31,
|
||||||||||
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
|
(dollars in millions)
|
||||||||||
Segment Earnings:
|
|
|
|
|
|
|
||||||
Net interest income (expense)
|
|
$
|
320
|
|
|
$
|
(147
|
)
|
|
$
|
(23
|
)
|
Benefit (provision) for credit losses
|
|
1,409
|
|
|
(3,168
|
)
|
|
(12,294
|
)
|
|||
Non-interest income:
|
|
|
|
|
|
|
||||||
Management and guarantee income
|
|
4,930
|
|
|
4,389
|
|
|
3,647
|
|
|||
Other non-interest income
|
|
1,162
|
|
|
931
|
|
|
1,216
|
|
|||
Total non-interest income
|
|
6,092
|
|
|
5,320
|
|
|
4,863
|
|
|||
Non-interest expense:
|
|
|
|
|
|
|
||||||
Administrative expenses
|
|
(1,025
|
)
|
|
(890
|
)
|
|
(888
|
)
|
|||
REO operations income (expense)
|
|
124
|
|
|
(62
|
)
|
|
(596
|
)
|
|||
Other non-interest expense
|
|
(712
|
)
|
|
(393
|
)
|
|
(321
|
)
|
|||
Total non-interest expense
|
|
(1,613
|
)
|
|
(1,345
|
)
|
|
(1,805
|
)
|
|||
Segment adjustments
(2)
|
|
(694
|
)
|
|
(832
|
)
|
|
(699
|
)
|
|||
Segment Earnings (loss) before income tax (expense) benefit
|
|
5,514
|
|
|
(172
|
)
|
|
(9,958
|
)
|
|||
Income tax (expense) benefit
|
|
282
|
|
|
8
|
|
|
(42
|
)
|
|||
Segment Earnings (loss), net of taxes
|
|
5,796
|
|
|
(164
|
)
|
|
(10,000
|
)
|
|||
Total other comprehensive income (loss), net of taxes
|
|
49
|
|
|
(63
|
)
|
|
30
|
|
|||
Total comprehensive income (loss)
|
|
$
|
5,845
|
|
|
$
|
(227
|
)
|
|
$
|
(9,970
|
)
|
Key metrics:
|
|
|
|
|
|
|
||||||
Balances and Volume (in billions, except rate):
|
|
|
|
|
|
|
||||||
Average balance of single-family credit guarantee portfolio and HFA guarantees
|
|
$
|
1,644
|
|
|
$
|
1,692
|
|
|
$
|
1,801
|
|
Issuance — Single-family credit guarantees
(3)
|
|
$
|
435
|
|
|
$
|
446
|
|
|
$
|
305
|
|
Fixed-rate products — Percentage of purchases
(4)
|
|
96
|
%
|
|
96
|
%
|
|
92
|
%
|
|||
Liquidation rate — Single-family credit guarantees
(5)
|
|
28
|
%
|
|
33
|
%
|
|
24
|
%
|
|||
Average Management and Guarantee Rate (in bps):
(6)
|
|
|
|
|
|
|
||||||
Segment Earnings management and guarantee income
(7)
|
|
30.0
|
|
|
25.9
|
|
|
20.2
|
|
|||
Guarantee fee charged on new acquisitions
(8)
|
|
51.4
|
|
|
38.3
|
|
|
26.8
|
|
|||
Credit:
|
|
|
|
|
|
|
||||||
Serious delinquency rate, at end of period
|
|
2.39
|
%
|
|
3.25
|
%
|
|
3.58
|
%
|
|||
REO inventory, at end of period (number of properties)
|
|
47,307
|
|
|
49,071
|
|
|
60,535
|
|
|||
Single-family credit losses, in bps
(9)
|
|
28.8
|
|
|
68.3
|
|
|
72.0
|
|
|||
Market:
|
|
|
|
|
|
|
||||||
Single-family mortgage debt outstanding (total U.S. market, in billions)
(10)
|
|
$
|
9,864
|
|
|
$
|
9,930
|
|
|
$
|
10,183
|
|
30-year fixed mortgage rate
(11)
|
|
4.5
|
%
|
|
3.4
|
%
|
|
4.0
|
%
|
(1)
|
For reconciliations of the Segment Earnings line items to the comparable line items in our consolidated financial statements prepared in accordance with GAAP, see “NOTE 13: SEGMENT REPORTING —
Table 13.2 — Segment Earnings and Reconciliation to GAAP Results
.”
|
(2)
|
For a description of our segment adjustments, see “NOTE 13: SEGMENT REPORTING — Segment Earnings.”
|
(3)
|
Represents the UPB of loans underlying Freddie Mac mortgage-related securities and other guarantee commitments.
|
(4)
|
Excludes Other Guarantee Transactions.
|
(5)
|
Represents principal repayments relating to loans underlying Freddie Mac mortgage-related securities and other guarantee commitments, including those related to our removal of seriously delinquent and modified mortgage loans and balloon/reset mortgage loans from PC pools.
|
(6)
|
Includes the effect of the legislated 10 basis point increase in guarantee fees that became effective April 1, 2012.
2013
also includes an additional across-the-board increase in guarantee fees that became effective in the fourth quarter of 2012. Also includes the effect of pricing adjustments that are based on the price performance of our PCs relative to comparable Fannie Mae securities.
|
|
72
|
Freddie Mac
|
(7)
|
Consists of the contractual management and guarantee fee rate as well as amortization of delivery and other upfront fees (using the original contractual maturity date of the related loans) for the entire single-family credit guarantee portfolio.
|
(8)
|
Represents the estimated rate of management and guarantee fees for new acquisitions during the period assuming amortization of delivery fees using the estimated life of the related loans rather than the original contractual maturity date of the related loans.
|
(9)
|
Calculated as the amount of single-family credit losses divided by the sum of the average carrying value of our single-family credit guarantee portfolio and the average balance of our single-family HFA initiative-related guarantees.
|
(10)
|
Source: Federal Reserve Financial Accounts of the United States of America dated December 9, 2013. The outstanding amount for
December 31, 2013
reflects the balance as of September 30, 2013.
|
(11)
|
Based on Freddie Mac’s Primary Mortgage Market Survey rate for the last week in the period, which represents the national average mortgage commitment rate to a qualified borrower exclusive of any fees and points required by the lender. This commitment rate applies only to financing on conforming mortgages with LTV ratios of 80%.
|
|
73
|
Freddie Mac
|
|
|
Year Ended December 31, 2013
|
||||||||||||||||
|
|
Segment Earnings
Management and
Guarantee Income
(1)
|
|
Credit-Related
Benefit (Expense)
(2)(3)
|
|
|
||||||||||||
|
|
Amount
|
|
Average
Rate
(4)
|
|
Amount
|
|
Average
Rate
(4)
|
|
Net
Amount
(5)
|
||||||||
|
|
(dollars in millions, rates in bps)
|
||||||||||||||||
Year of origination:
(5)
|
|
|
|
|
|
|
|
|
|
|
||||||||
2013
|
|
$
|
614
|
|
|
34.4
|
|
|
$
|
(12
|
)
|
|
(0.7
|
)
|
|
$
|
602
|
|
2012
|
|
845
|
|
|
32.5
|
|
|
(21
|
)
|
|
(0.7
|
)
|
|
824
|
|
|||
2011
|
|
458
|
|
|
34.7
|
|
|
(19
|
)
|
|
(1.4
|
)
|
|
439
|
|
|||
2010
|
|
422
|
|
|
34.5
|
|
|
(14
|
)
|
|
(1.1
|
)
|
|
408
|
|
|||
2009
|
|
407
|
|
|
29.3
|
|
|
(17
|
)
|
|
(1.2
|
)
|
|
390
|
|
|||
Subtotal - New single-family book
|
|
2,746
|
|
|
33.0
|
|
|
(83
|
)
|
|
(1.0
|
)
|
|
2,663
|
|
|||
HARP and other relief refinance loans
(6)
|
|
1,065
|
|
|
33.1
|
|
|
(563
|
)
|
|
(16.7
|
)
|
|
502
|
|
|||
2005-2008 Legacy single-family book
|
|
774
|
|
|
23.3
|
|
|
1,826
|
|
|
60.5
|
|
|
2,600
|
|
|||
Pre-2005 Legacy single-family book
|
|
345
|
|
|
21.7
|
|
|
353
|
|
|
20.2
|
|
|
698
|
|
|||
Total
|
|
$
|
4,930
|
|
|
30.0
|
|
|
$
|
1,533
|
|
|
9.2
|
|
|
$
|
6,463
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Administrative expenses
|
|
|
|
|
|
|
|
|
|
(1,025
|
)
|
|||||||
Net interest income (expense)
|
|
|
|
|
|
|
|
|
|
320
|
|
|||||||
Other non-interest income (expenses), net
|
|
|
|
|
|
|
|
|
|
38
|
|
|||||||
Segment Earnings (loss), net of taxes
|
|
|
|
|
|
|
|
|
|
$
|
5,796
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
Year Ended December 31, 2012
|
||||||||||||||||
|
|
Segment Earnings
Management and
Guarantee Income
(1)
|
|
Credit-Related
Benefit (Expense)
(2)
|
|
|
||||||||||||
|
|
Amount
|
|
Average
Rate
(4)
|
|
Amount
|
|
Average
Rate
(4)
|
|
Net
Amount
(5)
|
||||||||
|
|
(dollars in millions, rates in bps)
|
||||||||||||||||
Year of origination:
(5)
|
|
|
|
|
|
|
|
|
|
|
||||||||
2012
|
|
$
|
380
|
|
|
27.9
|
|
|
$
|
(13
|
)
|
|
(0.9
|
)
|
|
$
|
367
|
|
2011
|
|
610
|
|
|
32.0
|
|
|
(33
|
)
|
|
(1.7
|
)
|
|
577
|
|
|||
2010
|
|
586
|
|
|
32.0
|
|
|
(61
|
)
|
|
(3.3
|
)
|
|
525
|
|
|||
2009
|
|
672
|
|
|
29.9
|
|
|
(120
|
)
|
|
(5.5
|
)
|
|
552
|
|
|||
Subtotal - New single-family book
|
|
2,248
|
|
|
30.6
|
|
|
(227
|
)
|
|
(3.1
|
)
|
|
2,021
|
|
|||
HARP and other relief refinance loans
(6)
|
|
601
|
|
|
24.8
|
|
|
(640
|
)
|
|
(24.3
|
)
|
|
(39
|
)
|
|||
2005-2008 Legacy single-family book
|
|
1,057
|
|
|
21.8
|
|
|
(2,440
|
)
|
|
(54.3
|
)
|
|
(1,383
|
)
|
|||
Pre-2005 Legacy single-family book
|
|
483
|
|
|
21.1
|
|
|
77
|
|
|
3.1
|
|
|
560
|
|
|||
Total
|
|
$
|
4,389
|
|
|
25.9
|
|
|
$
|
(3,230
|
)
|
|
(19.0
|
)
|
|
$
|
1,159
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Administrative expenses
|
|
|
|
|
|
|
|
|
|
(890
|
)
|
|||||||
Net interest income (expense)
|
|
|
|
|
|
|
|
|
|
(147
|
)
|
|||||||
Other non-interest income (expenses), net
|
|
|
|
|
|
|
|
|
|
(286
|
)
|
|||||||
Segment Earnings (loss), net of taxes
|
|
|
|
|
|
|
|
|
|
$
|
(164
|
)
|
(1)
|
Reflects the monthly management and guarantee fees. Beginning in the fourth quarter of 2012, includes the net impact of buy-down transactions. Includes amortization of delivery and other upfront fees based on the original contractual maturity date of the related loans of $2.3 billion and $1.9 billion for
2013
and
2012
, respectively. Includes the effect of the legislated 10 basis point increase in guarantee fees that became effective April 1, 2012. Results for 2013 also include an additional across-the-board increase in guarantee fees that became effective in the fourth quarter of 2012. Prior period information has been revised to conform with the current period presentation. See endnote (6) for further information.
|
(2)
|
Consists of the aggregate of the Segment Earnings benefit (provision) for credit losses and Segment Earnings REO operations income (expense). Historical rates of average credit-related benefit (expense) may not be representative of future results. Prior period information has been revised to conform with the current period presentation. See endnote (6) for further information.
|
(3)
|
Reflects our settlement agreements with certain sellers in 2013 for release of certain repurchase obligations primarily associated with loans in our Legacy single-family books in exchange for one-time cash payments.
|
(4)
|
Calculated as the amount of Segment Earnings management and guarantee income or credit-related benefit (expense), respectively, divided by the sum of the average carrying values of the single-family credit guarantee portfolio and the average balance of our single-family HFA initiative-related guarantees. Prior period information has been revised to conform with the current period presentation. See endnote (6) for further information.
|
|
74
|
Freddie Mac
|
(5)
|
Calculated as Segment Earnings management and guarantee income less credit-related benefit (expense). Prior period information has been revised to conform with the current period presentation. See endnote (6) for further information.
|
(6)
|
Segment Earnings management and guarantee income is presented by year of guarantee origination (except for HARP and other relief refinance loans), whereas credit-related benefit (expense) is presented based on year of loan origination. HARP and other relief refinance loans are presented separately rather than in the year that the refinancing occurred (from 2009 to 2013). All other refinance loans are presented in the year that the refinancing occurred. Prior period information has been revised to conform with the current period presentation.
|
•
|
underwriting procedures for relief refinance mortgages are limited in many cases, and such procedures generally do not include all of the changes in underwriting standards we have implemented since 2008;
|
•
|
many of these loans have relatively high LTV ratios (e.g., greater than 90%), which can increase the probability of default and increase the amount of our loss if the borrower does default;
|
•
|
HARP loans may not be covered by mortgage insurance for the full excess of their UPB over 80%; and
|
•
|
beginning with changes announced in the fourth quarter of 2011, we have relieved the lenders of certain representations and warranties on the original mortgage being refinanced, which limits our ability to seek recovery or repurchase from the seller for breach.
|
|
75
|
Freddie Mac
|
|
76
|
Freddie Mac
|
|
77
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(dollars in millions)
|
||||||||||
Segment Earnings:
|
|
|
|
|
|
||||||
Net interest income
|
$
|
3,525
|
|
|
$
|
5,726
|
|
|
$
|
7,168
|
|
Non-interest income (loss):
|
|
|
|
|
|
||||||
Net impairment of available-for-sale securities recognized in earnings
|
(974
|
)
|
|
(1,831
|
)
|
|
(1,833
|
)
|
|||
Derivative gains (losses)
|
6,806
|
|
|
1,970
|
|
|
(3,597
|
)
|
|||
Gains (losses) on trading securities
|
(1,588
|
)
|
|
(1,755
|
)
|
|
(993
|
)
|
|||
Gains (losses) on mortgage loans
|
(817
|
)
|
|
303
|
|
|
529
|
|
|||
Other non-interest income
|
9,612
|
|
|
2,741
|
|
|
1,437
|
|
|||
Total non-interest income (loss)
|
13,039
|
|
|
1,428
|
|
|
(4,457
|
)
|
|||
Non-interest expense:
|
|
|
|
|
|
||||||
Administrative expenses
|
(523
|
)
|
|
(430
|
)
|
|
(398
|
)
|
|||
Other non-interest expense
|
349
|
|
|
(1
|
)
|
|
(2
|
)
|
|||
Total non-interest expense
|
(174
|
)
|
|
(431
|
)
|
|
(400
|
)
|
|||
Segment adjustments
(2)
|
1,037
|
|
|
799
|
|
|
661
|
|
|||
Segment Earnings before income tax benefit
|
17,427
|
|
|
7,522
|
|
|
2,972
|
|
|||
Income tax (expense) benefit
|
(825
|
)
|
|
690
|
|
|
394
|
|
|||
Segment Earnings, net of taxes
|
16,602
|
|
|
8,212
|
|
|
3,366
|
|
|||
Total other comprehensive income, net of taxes
|
3,685
|
|
|
3,185
|
|
|
3,107
|
|
|||
Comprehensive income
|
$
|
20,287
|
|
|
$
|
11,397
|
|
|
$
|
6,473
|
|
Key metrics:
|
|
|
|
|
|
||||||
Portfolio balances:
|
|
|
|
|
|
||||||
Average balances of interest-earning assets:
(3)(4)
|
|
|
|
|
|
||||||
Mortgage-related securities
(5)
|
$
|
278,200
|
|
|
$
|
308,698
|
|
|
$
|
386,115
|
|
Non-mortgage-related investments
(6)
|
97,070
|
|
|
98,176
|
|
|
97,519
|
|
|||
Single-family unsecuritized loans
(7)
|
88,827
|
|
|
97,951
|
|
|
94,894
|
|
|||
Total average balances of interest-earning assets
|
$
|
464,097
|
|
|
$
|
504,825
|
|
|
$
|
578,528
|
|
Return:
|
|
|
|
|
|
||||||
Net interest yield — Segment Earnings basis
|
0.76
|
%
|
|
1.13
|
%
|
|
1.24
|
%
|
(1)
|
For reconciliations of the Segment Earnings line items to the comparable line items in our consolidated financial statements prepared in accordance with GAAP, see “NOTE 13: SEGMENT REPORTING —
Table 13.2 — Segment Earnings and Reconciliation to GAAP Results
.”
|
(2)
|
For a description of our segment adjustments, see “NOTE 13: SEGMENT REPORTING — Segment Earnings.”
|
(3)
|
Excludes mortgage loans and mortgage-related securities traded, but not yet settled.
|
(4)
|
We calculate average balances based on amortized cost.
|
(5)
|
Includes our investments in single-family PCs and certain Other Guarantee Transactions, which are consolidated under GAAP on our consolidated balance sheets.
|
(6)
|
Includes the average balances of interest-earning cash and cash equivalents, non-mortgage-related securities, and federal funds sold and securities purchased under agreements to resell.
|
(7)
|
Excludes unsecuritized seriously delinquent single-family mortgage loans.
|
|
78
|
Freddie Mac
|
|
79
|
Freddie Mac
|
|
80
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(dollars in millions)
|
||||||||||
Segment Earnings:
|
|
|
|
|
|
||||||
Net interest income
|
$
|
1,186
|
|
|
$
|
1,291
|
|
|
$
|
1,200
|
|
Benefit for credit losses
|
218
|
|
|
123
|
|
|
196
|
|
|||
Non-interest income:
|
|
|
|
|
|
||||||
Management and guarantee income
|
206
|
|
|
151
|
|
|
127
|
|
|||
Net impairment of available-for-sale securities recognized in earnings
|
(15
|
)
|
|
(123
|
)
|
|
(353
|
)
|
|||
Gains on mortgage loans
|
481
|
|
|
707
|
|
|
300
|
|
|||
Other non-interest income
|
648
|
|
|
363
|
|
|
128
|
|
|||
Total non-interest income
|
1,320
|
|
|
1,098
|
|
|
202
|
|
|||
Non-interest expense:
|
|
|
|
|
|
||||||
Administrative expenses
|
(257
|
)
|
|
(241
|
)
|
|
(220
|
)
|
|||
REO operations income (expense)
|
16
|
|
|
3
|
|
|
11
|
|
|||
Other non-interest expense
|
(24
|
)
|
|
(129
|
)
|
|
(69
|
)
|
|||
Total non-interest expense
|
(265
|
)
|
|
(367
|
)
|
|
(278
|
)
|
|||
Segment Earnings before income tax benefit (expense)
|
2,459
|
|
|
2,145
|
|
|
1,320
|
|
|||
Income tax benefit (expense)
|
(81
|
)
|
|
1
|
|
|
(1
|
)
|
|||
Segment Earnings, net of taxes
|
2,378
|
|
|
2,146
|
|
|
1,319
|
|
|||
Total other comprehensive income (loss), net of taxes
|
(923
|
)
|
|
1,935
|
|
|
899
|
|
|||
Total comprehensive income
|
$
|
1,455
|
|
|
$
|
4,081
|
|
|
$
|
2,218
|
|
Key metrics:
|
|
|
|
|
|
||||||
Balances and Volume:
|
|
|
|
|
|
||||||
Average balance of Multifamily unsecuritized loan portfolio
|
$
|
69,583
|
|
|
$
|
80,826
|
|
|
$
|
83,593
|
|
Average balance of Multifamily guarantee portfolio
|
$
|
63,689
|
|
|
$
|
43,247
|
|
|
$
|
29,861
|
|
Average balance of Multifamily investment securities portfolio
|
$
|
44,226
|
|
|
$
|
54,992
|
|
|
$
|
61,296
|
|
Multifamily new business activity
(2)
|
$
|
25,872
|
|
|
$
|
28,774
|
|
|
$
|
20,325
|
|
Multifamily units financed from new business activity
(2)
|
387,940
|
|
|
435,653
|
|
|
311,046
|
|
|||
Multifamily K Certificate transactions — guaranteed portion
|
$
|
23,696
|
|
|
$
|
17,922
|
|
|
$
|
11,722
|
|
Multifamily K Certificate transactions — unguaranteed portion
(3)
|
$
|
4,340
|
|
|
$
|
3,281
|
|
|
$
|
1,936
|
|
Yield and Rate:
|
|
|
|
|
|
||||||
Net interest yield — Segment Earnings basis
|
1.03
|
%
|
|
0.95
|
%
|
|
0.83
|
%
|
|||
Average Management and guarantee fee rate, in bps:
(4)
|
|
|
|
|
|
||||||
K Certificate guarantees
|
19.7
|
|
|
19.0
|
|
|
21.2
|
|
|||
All other guarantees
|
74.8
|
|
|
68.4
|
|
|
62.7
|
|
|||
Total
|
31.8
|
|
|
35.6
|
|
|
42.4
|
|
|||
Credit:
|
|
|
|
|
|
||||||
Delinquency rate:
|
|
|
|
|
|
||||||
Credit-enhanced loans, at period end
|
0.11
|
%
|
|
0.36
|
%
|
|
0.52
|
%
|
|||
Non-credit-enhanced loans, at period end
|
0.07
|
%
|
|
0.10
|
%
|
|
0.11
|
%
|
|||
Total delinquency rate, at period end
(5)
|
0.09
|
%
|
|
0.19
|
%
|
|
0.22
|
%
|
|||
Allowance for loan losses and reserve for guarantee losses, at period end
|
$
|
151
|
|
|
$
|
382
|
|
|
$
|
545
|
|
Credit losses, in bps
(6)
|
0.9
|
|
|
2.8
|
|
|
6.3
|
|
|||
REO inventory, at net carrying value
|
$
|
10
|
|
|
$
|
64
|
|
|
$
|
133
|
|
REO inventory, at period end (number of properties)
|
1
|
|
|
6
|
|
|
20
|
|
(1)
|
For reconciliations of Segment Earnings line items to the comparable line items in our consolidated financial statements prepared in accordance with GAAP, see “NOTE 13: SEGMENT REPORTING —
Table 13.2 — Segment Earnings and Reconciliation to GAAP Results
.”
|
(2)
|
Represents loan purchases and issuances of other guarantee commitments and Other Structured Securities. Excludes Other Guarantee Transactions.
|
(3)
|
Represents subordinated securities (i.e., CMBS), which are not issued or guaranteed by us.
|
(4)
|
Represents Multifamily Segment Earnings — management and guarantee income, excluding prepayment and certain other fees for each category, divided by the sum of the average UPB of the related category of guarantee. The average UPB of the all other guarantees category includes the average UPB associated with HFA initiative-related guarantees, excluding certain bonds under the NIBP.
|
|
81
|
Freddie Mac
|
(5)
|
See “RISK MANAGEMENT — Credit Risk —
Mortgage Credit Risk — Multifamily Mortgage Credit Risk
” for information on our reported multifamily delinquency rate.
|
(6)
|
Calculated as the amount of multifamily credit losses (gains) divided by the sum of the average carrying value of our multifamily loans (on-balance sheet) and the average balance of the multifamily guarantee portfolio, including multifamily HFA initiative-related guarantees.
|
|
82
|
Freddie Mac
|
|
83
|
Freddie Mac
|
|
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair Value
|
||||||||
|
(in millions)
|
||||||||||||||
December 31, 2013
|
|
|
|
|
|
|
|
||||||||
Available-for-sale mortgage-related securities:
|
|
|
|
|
|
|
|
||||||||
Freddie Mac
|
$
|
39,001
|
|
|
$
|
1,847
|
|
|
$
|
(189
|
)
|
|
$
|
40,659
|
|
Fannie Mae
|
10,140
|
|
|
660
|
|
|
(3
|
)
|
|
10,797
|
|
||||
Ginnie Mae
|
149
|
|
|
18
|
|
|
—
|
|
|
167
|
|
||||
CMBS
|
29,151
|
|
|
1,524
|
|
|
(337
|
)
|
|
30,338
|
|
||||
Subprime
|
29,897
|
|
|
382
|
|
|
(2,780
|
)
|
|
27,499
|
|
||||
Option ARM
|
6,617
|
|
|
338
|
|
|
(381
|
)
|
|
6,574
|
|
||||
Alt-A and other
|
8,322
|
|
|
526
|
|
|
(142
|
)
|
|
8,706
|
|
||||
Obligations of states and political subdivisions
|
3,533
|
|
|
23
|
|
|
(61
|
)
|
|
3,495
|
|
||||
Manufactured housing
|
629
|
|
|
61
|
|
|
(6
|
)
|
|
684
|
|
||||
Total investments in available-for-sale mortgage-related securities
|
$
|
127,439
|
|
|
$
|
5,379
|
|
|
$
|
(3,899
|
)
|
|
$
|
128,919
|
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2012
|
|
|
|
|
|
|
|
||||||||
Available-for-sale mortgage-related securities:
|
|
|
|
|
|
|
|
||||||||
Freddie Mac
|
$
|
53,965
|
|
|
$
|
4,602
|
|
|
$
|
(52
|
)
|
|
$
|
58,515
|
|
Fannie Mae
|
14,183
|
|
|
1,099
|
|
|
(2
|
)
|
|
15,280
|
|
||||
Ginnie Mae
|
183
|
|
|
26
|
|
|
—
|
|
|
209
|
|
||||
CMBS
|
47,606
|
|
|
3,882
|
|
|
(181
|
)
|
|
51,307
|
|
||||
Subprime
|
35,503
|
|
|
83
|
|
|
(9,129
|
)
|
|
26,457
|
|
||||
Option ARM
|
7,454
|
|
|
48
|
|
|
(1,785
|
)
|
|
5,717
|
|
||||
Alt-A and other
|
11,861
|
|
|
244
|
|
|
(1,201
|
)
|
|
10,904
|
|
||||
Obligations of states and political subdivisions
|
5,647
|
|
|
154
|
|
|
(3
|
)
|
|
5,798
|
|
||||
Manufactured housing
|
716
|
|
|
24
|
|
|
(31
|
)
|
|
709
|
|
||||
Total investments in available-for-sale mortgage-related securities
|
$
|
177,118
|
|
|
$
|
10,162
|
|
|
$
|
(12,384
|
)
|
|
$
|
174,896
|
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2011
|
|
|
|
|
|
|
|
||||||||
Available-for-sale mortgage-related securities:
|
|
|
|
|
|
|
|
||||||||
Freddie Mac
|
$
|
74,711
|
|
|
$
|
6,429
|
|
|
$
|
(48
|
)
|
|
$
|
81,092
|
|
Fannie Mae
|
19,023
|
|
|
1,303
|
|
|
(4
|
)
|
|
20,322
|
|
||||
Ginnie Mae
|
219
|
|
|
30
|
|
|
—
|
|
|
249
|
|
||||
CMBS
|
53,637
|
|
|
2,574
|
|
|
(548
|
)
|
|
55,663
|
|
||||
Subprime
|
41,347
|
|
|
60
|
|
|
(13,408
|
)
|
|
27,999
|
|
||||
Option ARM
|
9,019
|
|
|
15
|
|
|
(3,169
|
)
|
|
5,865
|
|
||||
Alt-A and other
|
13,659
|
|
|
32
|
|
|
(2,812
|
)
|
|
10,879
|
|
||||
Obligations of states and political subdivisions
|
7,782
|
|
|
108
|
|
|
(66
|
)
|
|
7,824
|
|
||||
Manufactured housing
|
820
|
|
|
6
|
|
|
(60
|
)
|
|
766
|
|
||||
Total investments in available-for-sale mortgage-related securities
|
$
|
220,217
|
|
|
$
|
10,557
|
|
|
$
|
(20,115
|
)
|
|
$
|
210,659
|
|
|
84
|
Freddie Mac
|
|
December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Trading mortgage-related securities:
|
|
|
|
|
|
||||||
Freddie Mac
|
$
|
9,349
|
|
|
$
|
10,354
|
|
|
$
|
16,047
|
|
Fannie Mae
|
7,180
|
|
|
10,338
|
|
|
15,165
|
|
|||
Ginnie Mae
|
98
|
|
|
131
|
|
|
156
|
|
|||
Other
|
141
|
|
|
156
|
|
|
164
|
|
|||
Total trading mortgage-related securities
|
16,768
|
|
|
20,979
|
|
|
31,532
|
|
|||
Trading non-mortgage-related securities:
|
|
|
|
|
|
||||||
Asset-backed securities
|
—
|
|
|
292
|
|
|
302
|
|
|||
Treasury bills
|
2,254
|
|
|
1,160
|
|
|
100
|
|
|||
Treasury notes
|
4,382
|
|
|
19,061
|
|
|
24,712
|
|
|||
FDIC-guaranteed corporate medium-term notes
|
—
|
|
|
—
|
|
|
2,184
|
|
|||
Total trading non-mortgage-related securities
|
6,636
|
|
|
20,513
|
|
|
27,298
|
|
|||
Total fair value of investments in trading securities
|
$
|
23,404
|
|
|
$
|
41,492
|
|
|
$
|
58,830
|
|
|
85
|
Freddie Mac
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||||||||||||||||
|
Fixed
Rate
|
|
Variable
Rate
(1)
|
|
Total
|
|
Fixed
Rate
|
|
Variable
Rate
(1)
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Freddie Mac mortgage-related securities:
(2)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family
|
$
|
38,472
|
|
|
$
|
4,401
|
|
|
$
|
42,873
|
|
|
$
|
50,979
|
|
|
$
|
7,256
|
|
|
$
|
58,235
|
|
Multifamily
|
1,318
|
|
|
1,469
|
|
|
2,787
|
|
|
750
|
|
|
1,632
|
|
|
2,382
|
|
||||||
Total Freddie Mac mortgage-related securities
|
39,790
|
|
|
5,870
|
|
|
45,660
|
|
|
51,729
|
|
|
8,888
|
|
|
60,617
|
|
||||||
Non-Freddie Mac mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Agency securities:
(3)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fannie Mae:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family
|
7,240
|
|
|
9,421
|
|
|
16,661
|
|
|
10,864
|
|
|
12,518
|
|
|
23,382
|
|
||||||
Multifamily
|
3
|
|
|
—
|
|
|
3
|
|
|
35
|
|
|
49
|
|
|
84
|
|
||||||
Ginnie Mae:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family
|
150
|
|
|
78
|
|
|
228
|
|
|
202
|
|
|
91
|
|
|
293
|
|
||||||
Multifamily
|
15
|
|
|
—
|
|
|
15
|
|
|
15
|
|
|
—
|
|
|
15
|
|
||||||
Total Non-Freddie Mac agency securities
|
7,408
|
|
|
9,499
|
|
|
16,907
|
|
|
11,116
|
|
|
12,658
|
|
|
23,774
|
|
||||||
Non-agency mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family:
(4)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Subprime
|
116
|
|
|
39,583
|
|
|
39,699
|
|
|
311
|
|
|
44,086
|
|
|
44,397
|
|
||||||
Option ARM
|
—
|
|
|
10,426
|
|
|
10,426
|
|
|
—
|
|
|
12,012
|
|
|
12,012
|
|
||||||
Alt-A and other
|
1,417
|
|
|
9,594
|
|
|
11,011
|
|
|
1,774
|
|
|
13,036
|
|
|
14,810
|
|
||||||
CMBS
|
13,069
|
|
|
16,254
|
|
|
29,323
|
|
|
17,657
|
|
|
30,300
|
|
|
47,957
|
|
||||||
Obligations of states and political subdivisions
(5)
|
3,524
|
|
|
14
|
|
|
3,538
|
|
|
5,637
|
|
|
19
|
|
|
5,656
|
|
||||||
Manufactured housing
|
577
|
|
|
201
|
|
|
778
|
|
|
741
|
|
|
121
|
|
|
862
|
|
||||||
Total non-agency mortgage-related securities
(6)
|
18,703
|
|
|
76,072
|
|
|
94,775
|
|
|
26,120
|
|
|
99,574
|
|
|
125,694
|
|
||||||
Total UPB of mortgage-related securities
|
$
|
65,901
|
|
|
$
|
91,441
|
|
|
157,342
|
|
|
$
|
88,965
|
|
|
$
|
121,120
|
|
|
210,085
|
|
||
Premiums, discounts, deferred fees, impairments of UPB and other basis adjustments
|
|
|
|
|
(14,036
|
)
|
|
|
|
|
|
(13,922
|
)
|
||||||||||
Net unrealized gains (losses) on mortgage-related securities, pre-tax
|
|
|
|
|
2,381
|
|
|
|
|
|
|
(288
|
)
|
||||||||||
Total carrying value of mortgage-related securities
|
|
|
|
|
$
|
145,687
|
|
|
|
|
|
|
$
|
195,875
|
|
(1)
|
Variable-rate mortgage-related securities include those with a contractual coupon rate that, prior to contractual maturity, is either scheduled to change or is subject to change based on changes in the composition of the underlying collateral.
|
(2)
|
When we purchase REMICs and Other Structured Securities and certain Other Guarantee Transactions that we have issued, we account for these securities as investments in debt securities as we are investing in the debt securities of a non-consolidated entity. We do not consolidate our resecuritization trusts unless we are deemed to be the primary beneficiary of such trusts. We are subject to the credit risk associated with the mortgage loans underlying our Freddie Mac mortgage-related securities. Mortgage loans underlying our issued single-family PCs and certain Other Guarantee Transactions are recognized on our consolidated balance sheets as held-for-investment mortgage loans, at amortized cost. See “NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — Investments in Securities” for further information.
|
(3)
|
Agency securities are generally not separately rated by nationally recognized statistical rating organizations, but have historically been viewed as having a level of credit quality at least equivalent to non-agency mortgage-related securities AAA-rated or equivalent.
|
(4)
|
For information about how these securities are rated, see ‘‘
Table 28 — Ratings of Non-Agency Mortgage-Related Securities Backed by Subprime, Option ARM, Alt-A and Other Loans, and CMBS
.’’
|
(5)
|
Consists of housing revenue bonds. Approximately 28% and 36% of these securities held at December 31, 2013 and 2012, respectively, were AAA-rated as of those dates, based on the UPB and the lowest rating available.
|
(6)
|
Credit ratings for most non-agency mortgage-related securities are designated by no fewer than two nationally recognized statistical rating organizations. Approximately 16% and 21% of total non-agency mortgage-related securities held at December 31, 2013 and 2012, respectively, were AAA-rated as of those dates, based on the UPB and the lowest rating available.
|
|
86
|
Freddie Mac
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||||||||
|
UPB
|
|
Fair Value
|
|
UPB
|
|
Fair Value
|
||||||||
|
(in millions)
|
||||||||||||||
Agency pass-through securities
(1)
|
$
|
12,951
|
|
|
$
|
13,867
|
|
|
$
|
17,614
|
|
|
$
|
19,125
|
|
Other agency securities:
|
|
|
|
|
|
|
|
||||||||
Interest-only securities
(2)
|
—
|
|
|
1,966
|
|
|
—
|
|
|
2,023
|
|
||||
Principal-only securities
(3)
|
2,724
|
|
|
2,252
|
|
|
2,291
|
|
|
2,169
|
|
||||
Inverse floating-rate securities
(4)
|
1,594
|
|
|
2,280
|
|
|
2,804
|
|
|
4,106
|
|
||||
Other Structured Securities
(5)
|
45,298
|
|
|
47,885
|
|
|
61,682
|
|
|
67,404
|
|
||||
Total agency securities
|
62,567
|
|
|
68,250
|
|
|
84,391
|
|
|
94,827
|
|
||||
Non-agency securities
(6)
|
94,775
|
|
|
77,437
|
|
|
125,694
|
|
|
101,048
|
|
||||
Total mortgage-related securities
|
$
|
157,342
|
|
|
$
|
145,687
|
|
|
$
|
210,085
|
|
|
$
|
195,875
|
|
(1)
|
Represents an undivided beneficial interest in trusts that hold pools of mortgages.
|
(2)
|
Represents securities where the holder receives only the interest cash flows. Includes $0.6 billion and $0.5 billion in fair value at December 31, 2013 and 2012, respectively, consisting of our K Certificates that we issued and guarantee in Other Guarantee Transactions.
|
(3)
|
Represents securities where the holder receives only the principal cash flows.
|
(4)
|
Represents securities where the holder receives interest cash flows that change inversely with the reference rate (i.e., higher cash flows when reference rates are low and lower cash flows when reference rates are high). Additionally, these securities receive a portion of principal cash flows associated with the underlying collateral.
|
(5)
|
Includes REMICs and Other Structured Securities. See “GLOSSARY” for more information on these securities.
|
(6)
|
Includes fair values of $2 million and $3 million of interest-only securities at December 31, 2013 and 2012, respectively.
|
|
87
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Non-Freddie Mac mortgage-related securities purchased for resecuritization:
(2)
|
|
|
|
|
|
||||||
Ginnie Mae Certificates
|
$
|
26
|
|
|
$
|
21
|
|
|
$
|
77
|
|
Non-Freddie Mac mortgage-related securities purchased as investments in securities:
|
|
|
|
|
|
||||||
Agency securities:
|
|
|
|
|
|
||||||
Fannie Mae:
|
|
|
|
|
|
||||||
Fixed-rate
|
4,251
|
|
|
—
|
|
|
5,835
|
|
|||
Variable-rate
|
50
|
|
|
170
|
|
|
2,297
|
|
|||
Total agency securities
|
4,301
|
|
|
170
|
|
|
8,132
|
|
|||
Non-agency mortgage-related securities:
|
|
|
|
|
|
||||||
CMBS:
(3)
|
|
|
|
|
|
||||||
Fixed-rate
|
30
|
|
|
10
|
|
|
14
|
|
|||
Variable-rate
|
65
|
|
|
69
|
|
|
179
|
|
|||
Total non-agency mortgage-related securities
|
95
|
|
|
79
|
|
|
193
|
|
|||
Total non-Freddie Mac mortgage-related securities purchased as investments in securities
|
4,396
|
|
|
249
|
|
|
8,325
|
|
|||
Total non-Freddie Mac mortgage-related securities purchased
|
$
|
4,422
|
|
|
$
|
270
|
|
|
$
|
8,402
|
|
Freddie Mac mortgage-related securities purchased:
|
|
|
|
|
|
||||||
Single-family:
|
|
|
|
|
|
||||||
Fixed-rate
|
$
|
94,608
|
|
|
$
|
49,607
|
|
|
$
|
94,543
|
|
Variable-rate
|
885
|
|
|
3,542
|
|
|
5,057
|
|
|||
Multifamily:
|
|
|
|
|
|
||||||
Fixed-rate
|
—
|
|
|
119
|
|
|
355
|
|
|||
Variable-rate
|
—
|
|
|
—
|
|
|
117
|
|
|||
Total Freddie Mac mortgage-related securities purchased
|
$
|
95,493
|
|
|
$
|
53,268
|
|
|
$
|
100,072
|
|
Mortgage-related securities purchased for Other Guarantee Transactions
(4)
|
$
|
23,696
|
|
|
$
|
17,908
|
|
|
$
|
11,527
|
|
(1)
|
Based on UPB. Excludes mortgage-related securities traded but not yet settled.
|
(2)
|
Excludes tax-exempt multifamily housing revenue bonds for securitization in guarantee swap transactions.
|
(3)
|
Consists of our purchases of subordinated tranches issued in K Certificate transactions.
|
(4)
|
Primarily consists of purchases of mortgage-related securities backed by Freddie Mac underwritten loans for the subsequent issuances of multifamily K Certificates.
|
•
|
Single-family non-agency mortgage-related securities
: We hold non-agency mortgage-related securities backed by subprime, option ARM, and Alt-A and other loans.
|
|
88
|
Freddie Mac
|
•
|
Single-family Freddie Mac mortgage-related securities
: We hold certain Other Guarantee Transactions as part of our investments in securities. There are subprime and option ARM loans underlying some of these Other Guarantee Transactions. For more information on single-family loans with certain higher-risk characteristics underlying our issued securities, see “RISK MANAGEMENT — Credit Risk —
Mortgage Credit Risk
.”
|
|
As of
|
||||||||||||||||||
|
12/31/2013
|
|
9/30/2013
|
|
6/30/2013
|
|
3/31/2013
|
|
12/31/2012
|
||||||||||
|
(dollars in millions)
|
||||||||||||||||||
UPB:
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime first lien
(2)
|
$
|
39,417
|
|
|
$
|
40,491
|
|
|
$
|
41,608
|
|
|
$
|
42,998
|
|
|
$
|
44,066
|
|
Option ARM
|
10,426
|
|
|
10,755
|
|
|
11,190
|
|
|
11,617
|
|
|
12,012
|
|
|||||
Alt-A
(3)
|
9,147
|
|
|
9,866
|
|
|
11,118
|
|
|
12,243
|
|
|
12,634
|
|
|||||
Gross unrealized losses, pre-tax:
(4)
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime first lien
(2)
|
$
|
2,779
|
|
|
$
|
4,666
|
|
|
$
|
5,281
|
|
|
$
|
6,085
|
|
|
$
|
9,128
|
|
Option ARM
|
381
|
|
|
619
|
|
|
635
|
|
|
1,226
|
|
|
1,785
|
|
|||||
Alt-A
(3)
|
135
|
|
|
304
|
|
|
579
|
|
|
781
|
|
|
1,093
|
|
|||||
Present value of expected future credit losses:
(5)
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime first lien
(2)
|
$
|
6,299
|
|
|
$
|
3,575
|
|
|
$
|
4,047
|
|
|
$
|
6,195
|
|
|
$
|
7,159
|
|
Option ARM
|
1,802
|
|
|
1,683
|
|
|
2,094
|
|
|
2,896
|
|
|
3,542
|
|
|||||
Alt-A
(3)
|
1,165
|
|
|
1,149
|
|
|
1,338
|
|
|
1,450
|
|
|
1,739
|
|
|||||
Collateral delinquency rate:
(6)
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime first lien
(2)
|
35
|
%
|
|
36
|
%
|
|
37
|
%
|
|
38
|
%
|
|
39
|
%
|
|||||
Option ARM
|
32
|
|
|
33
|
|
|
34
|
|
|
36
|
|
|
38
|
|
|||||
Alt-A
(3)
|
22
|
|
|
22
|
|
|
22
|
|
|
22
|
|
|
23
|
|
|||||
Average credit enhancement:
(7)
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime first lien
(2)
|
9
|
%
|
|
10
|
%
|
|
12
|
%
|
|
14
|
%
|
|
15
|
%
|
|||||
Option ARM
|
—
|
|
|
—
|
|
|
1
|
|
|
2
|
|
|
3
|
|
|||||
Alt-A
(3)
|
—
|
|
|
1
|
|
|
3
|
|
|
4
|
|
|
4
|
|
|||||
Cumulative collateral loss:
(8)
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime first lien
(2)
|
30
|
%
|
|
29
|
%
|
|
29
|
%
|
|
27
|
%
|
|
26
|
%
|
|||||
Option ARM
|
24
|
|
|
24
|
|
|
23
|
|
|
22
|
|
|
21
|
|
|||||
Alt-A
(3)
|
13
|
|
|
13
|
|
|
12
|
|
|
11
|
|
|
10
|
|
(1)
|
See “
Ratings of Non-Agency Mortgage-Related Securities
” for additional information about these securities. The book and fair values of our mortgage-related securities and the information in this table were not affected by the settlement amounts we received in 2013 related to our investments in certain non-agency mortgage-related securities. For more information, see “NOTE 15: CONCENTRATION OF CREDIT AND OTHER RISKS — Non-Agency Mortgage-Related Security Issuers.”
|
(2)
|
Excludes non-agency mortgage-related securities backed exclusively by subprime second liens. Certain securities identified as subprime first lien may be backed in part by subprime second-lien loans, as the pools of loans underlying these securities were permitted to include a small percentage of subprime second-lien loans.
|
(3)
|
Excludes non-agency mortgage-related securities backed by other loans, which primarily consist of securities backed by home equity lines of credit.
|
(4)
|
Represents the aggregate of the amount by which amortized cost, after other-than-temporary impairments, exceeds fair value measured at the individual lot level.
|
(5)
|
Represents our estimate of the present value of future contractual cash flows that we do not expect to collect, discounted at the effective interest rate determined based on the security’s contractual cash flows and the initial acquisition costs. This discount rate is only utilized to analyze the cumulative credit deterioration for securities since acquisition and may be lower than the discount rate used to measure ongoing other-than-temporary impairment to be recognized in earnings for securities that have experienced a significant improvement in expected cash flows since the last recognition of other-than-temporary impairment recognized in earnings.
|
(6)
|
Determined based on the number of loans that are two monthly payments or more past due that underlie the securities using information obtained from a third-party data provider.
|
(7)
|
Reflects the ratio of the current principal amount of the securities issued by a trust that will absorb losses in the trust before any losses are allocated to securities that we own. Percentage generally calculated based on: (a) the total UPB of securities subordinate to the securities we own, divided by (b) the
|
|
89
|
Freddie Mac
|
(8)
|
Based on the actual losses incurred on the collateral underlying these securities. Actual losses incurred on the securities that we hold are significantly less than the losses on the underlying collateral as presented in this table, as non-agency mortgage-related securities backed by subprime, option ARM, and Alt-A loans were generally structured to include credit enhancements, particularly through subordination and other structural enhancements.
|
|
Three Months Ended
|
||||||||||||||||||
|
12/31/2013
|
|
9/30/2013
|
|
6/30/2013
|
|
3/31/2013
|
|
12/31/2012
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Principal repayments and cash shortfalls:
(2)
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime:
|
|
|
|
|
|
|
|
|
|
||||||||||
Principal repayments
|
$
|
1,021
|
|
|
$
|
1,048
|
|
|
$
|
1,087
|
|
|
$
|
1,065
|
|
|
$
|
1,106
|
|
Principal cash shortfalls
|
8
|
|
|
35
|
|
|
15
|
|
|
14
|
|
|
7
|
|
|||||
Option ARM:
|
|
|
|
|
|
|
|
|
|
||||||||||
Principal repayments
|
$
|
192
|
|
|
$
|
226
|
|
|
$
|
239
|
|
|
$
|
217
|
|
|
$
|
239
|
|
Principal cash shortfalls
|
100
|
|
|
161
|
|
|
188
|
|
|
178
|
|
|
226
|
|
|||||
Alt-A and other:
|
|
|
|
|
|
|
|
|
|
||||||||||
Principal repayments
|
$
|
324
|
|
|
$
|
418
|
|
|
$
|
418
|
|
|
$
|
385
|
|
|
$
|
423
|
|
Principal cash shortfalls
|
43
|
|
|
51
|
|
|
74
|
|
|
84
|
|
|
81
|
|
(1)
|
See “
Ratings of Non-Agency Mortgage-Related Securities
” for additional information about these securities. The book and fair values of our mortgage-related securities and the information in this table were not affected by the settlement amounts we received in 2013 related to our investments in certain non-agency mortgage-related securities. For more information, see “NOTE 15: CONCENTRATION OF CREDIT AND OTHER RISKS — Non-Agency Mortgage-Related Security Issuers.”
|
(2)
|
In addition to the contractual interest payments, we receive principal repayments from both the recoveries from liquidated loans and voluntary repayments of the underlying collateral of these securities representing a partial return of our investment in these securities.
|
|
90
|
Freddie Mac
|
|
Net Impairment of Available-For-Sale Securities Recognized in Earnings
|
||||||||||||||||||
|
Three Months Ended
|
||||||||||||||||||
|
12/31/2013
|
|
9/30/2013
|
|
6/30/2013
|
|
3/31/2013
|
|
12/31/2012
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Subprime:
(1)
|
|
|
|
|
|
|
|
|
|
||||||||||
2006 & 2007
|
$
|
1,141
|
|
|
$
|
4
|
|
|
$
|
12
|
|
|
$
|
27
|
|
|
$
|
591
|
|
Other years
|
26
|
|
|
41
|
|
|
1
|
|
|
6
|
|
|
24
|
|
|||||
Total subprime
|
1,167
|
|
|
45
|
|
|
13
|
|
|
33
|
|
|
615
|
|
|||||
Option ARM:
|
|
|
|
|
|
|
|
|
|
||||||||||
2006 & 2007
|
26
|
|
|
1
|
|
|
4
|
|
|
—
|
|
|
306
|
|
|||||
Other years
|
15
|
|
|
11
|
|
|
1
|
|
|
—
|
|
|
122
|
|
|||||
Total option ARM
|
41
|
|
|
12
|
|
|
5
|
|
|
—
|
|
|
428
|
|
|||||
Alt-A:
|
|
|
|
|
|
|
|
|
|
||||||||||
2006 & 2007
|
4
|
|
|
1
|
|
|
1
|
|
|
—
|
|
|
37
|
|
|||||
Other years
|
54
|
|
|
64
|
|
|
24
|
|
|
—
|
|
|
100
|
|
|||||
Total Alt-A
|
58
|
|
|
65
|
|
|
25
|
|
|
—
|
|
|
137
|
|
|||||
Other loans
|
30
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Total subprime, option ARM, Alt-A and other loans
|
1,296
|
|
|
123
|
|
|
43
|
|
|
33
|
|
|
1,180
|
|
|||||
CMBS
|
1
|
|
|
3
|
|
|
—
|
|
|
10
|
|
|
58
|
|
|||||
Manufactured housing
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
1
|
|
|||||
Total available-for-sale mortgage-related securities
|
$
|
1,297
|
|
|
$
|
126
|
|
|
$
|
44
|
|
|
$
|
43
|
|
|
$
|
1,239
|
|
(1)
|
Includes all first and second liens.
|
|
91
|
Freddie Mac
|
|
92
|
Freddie Mac
|
Credit Ratings as of December 31, 2013
|
UPB
|
|
Percentage
of UPB
|
|
Amortized
Cost
|
|
Gross
Unrealized
Losses
|
|
Bond
Insurance
Coverage
(1)
|
|||||||||
|
(dollars in millions)
|
|||||||||||||||||
Subprime loans:
|
|
|
|
|
|
|
|
|
|
|||||||||
AAA-rated
|
$
|
88
|
|
|
—
|
%
|
|
$
|
85
|
|
|
$
|
(1
|
)
|
|
$
|
2
|
|
Other investment grade
|
1,829
|
|
|
5
|
|
|
1,758
|
|
|
(31
|
)
|
|
355
|
|
||||
Below investment grade
(2)
|
37,782
|
|
|
95
|
|
|
28,054
|
|
|
(2,748
|
)
|
|
1,315
|
|
||||
Total
|
$
|
39,699
|
|
|
100
|
%
|
|
$
|
29,897
|
|
|
$
|
(2,780
|
)
|
|
$
|
1,672
|
|
Option ARM loans:
|
|
|
|
|
|
|
|
|
|
|||||||||
AAA-rated
|
$
|
—
|
|
|
—
|
%
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Other investment grade
|
24
|
|
|
—
|
|
|
23
|
|
|
(1
|
)
|
|
17
|
|
||||
Below investment grade
(2)
|
10,402
|
|
|
100
|
|
|
6,594
|
|
|
(380
|
)
|
|
8
|
|
||||
Total
|
$
|
10,426
|
|
|
100
|
%
|
|
$
|
6,617
|
|
|
$
|
(381
|
)
|
|
$
|
25
|
|
Alt-A and other loans:
|
|
|
|
|
|
|
|
|
|
|||||||||
AAA-rated
|
$
|
26
|
|
|
—
|
%
|
|
$
|
25
|
|
|
$
|
—
|
|
|
$
|
5
|
|
Other investment grade
|
564
|
|
|
5
|
|
|
527
|
|
|
(7
|
)
|
|
210
|
|
||||
Below investment grade
(2)
|
10,421
|
|
|
95
|
|
|
7,772
|
|
|
(135
|
)
|
|
1,613
|
|
||||
Total
|
$
|
11,011
|
|
|
100
|
%
|
|
$
|
8,324
|
|
|
$
|
(142
|
)
|
|
$
|
1,828
|
|
CMBS:
|
|
|
|
|
|
|
|
|
|
|||||||||
AAA-rated
|
$
|
14,286
|
|
|
49
|
%
|
|
$
|
14,299
|
|
|
$
|
—
|
|
|
$
|
41
|
|
Other investment grade
|
12,786
|
|
|
43
|
|
|
12,740
|
|
|
(131
|
)
|
|
1,653
|
|
||||
Below investment grade
(2)
|
2,251
|
|
|
8
|
|
|
2,239
|
|
|
(206
|
)
|
|
1,557
|
|
||||
Total
|
$
|
29,323
|
|
|
100
|
%
|
|
$
|
29,278
|
|
|
$
|
(337
|
)
|
|
$
|
3,251
|
|
Total subprime, option ARM, Alt-A and other loans, and CMBS:
|
|
|
|
|
|
|
|
|
|
|||||||||
AAA-rated
|
$
|
14,400
|
|
|
16
|
%
|
|
$
|
14,409
|
|
|
$
|
(1
|
)
|
|
$
|
48
|
|
Other investment grade
|
15,203
|
|
|
17
|
|
|
15,048
|
|
|
(170
|
)
|
|
2,235
|
|
||||
Below investment grade
(2)
|
60,856
|
|
|
67
|
|
|
44,659
|
|
|
(3,469
|
)
|
|
4,493
|
|
||||
Total
|
$
|
90,459
|
|
|
100
|
%
|
|
$
|
74,116
|
|
|
$
|
(3,640
|
)
|
|
$
|
6,776
|
|
Total investments in mortgage-related securities
|
$
|
157,342
|
|
|
|
|
|
|
|
|
|
|||||||
Percentage of subprime, option ARM, Alt-A and other loans, and CMBS of total investments in mortgage-related securities
|
57
|
%
|
|
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||
Credit Ratings as of December 31, 2012
|
|
|
|
|
|
|
|
|
|
|||||||||
Subprime loans:
|
|
|
|
|
|
|
|
|
|
|||||||||
AAA-rated
|
$
|
263
|
|
|
1
|
%
|
|
$
|
263
|
|
|
$
|
(20
|
)
|
|
$
|
13
|
|
Other investment grade
|
2,033
|
|
|
4
|
|
|
1,988
|
|
|
(112
|
)
|
|
371
|
|
||||
Below investment grade
(2)
|
42,101
|
|
|
95
|
|
|
33,252
|
|
|
(8,997
|
)
|
|
1,474
|
|
||||
Total
|
$
|
44,397
|
|
|
100
|
%
|
|
$
|
35,503
|
|
|
$
|
(9,129
|
)
|
|
$
|
1,858
|
|
Option ARM loans:
|
|
|
|
|
|
|
|
|
|
|||||||||
AAA-rated
|
$
|
—
|
|
|
—
|
%
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Other investment grade
|
40
|
|
|
—
|
|
|
40
|
|
|
(4
|
)
|
|
32
|
|
||||
Below investment grade
(2)
|
11,972
|
|
|
100
|
|
|
7,414
|
|
|
(1,781
|
)
|
|
12
|
|
||||
Total
|
$
|
12,012
|
|
|
100
|
%
|
|
$
|
7,454
|
|
|
$
|
(1,785
|
)
|
|
$
|
44
|
|
Alt-A and other loans:
|
|
|
|
|
|
|
|
|
|
|||||||||
AAA-rated
|
$
|
48
|
|
|
—
|
%
|
|
$
|
48
|
|
|
$
|
(2
|
)
|
|
$
|
6
|
|
Other investment grade
|
1,272
|
|
|
9
|
|
|
1,283
|
|
|
(120
|
)
|
|
261
|
|
||||
Below investment grade
(2)
|
13,490
|
|
|
91
|
|
|
10,532
|
|
|
(1,079
|
)
|
|
1,862
|
|
||||
Total
|
$
|
14,810
|
|
|
100
|
%
|
|
$
|
11,863
|
|
|
$
|
(1,201
|
)
|
|
$
|
2,129
|
|
CMBS:
|
|
|
|
|
|
|
|
|
|
|||||||||
AAA-rated
|
$
|
24,646
|
|
|
51
|
%
|
|
$
|
24,676
|
|
|
$
|
(4
|
)
|
|
$
|
41
|
|
Other investment grade
|
20,615
|
|
|
43
|
|
|
20,568
|
|
|
(87
|
)
|
|
1,698
|
|
||||
Below investment grade
(2)
|
2,696
|
|
|
6
|
|
|
2,490
|
|
|
(90
|
)
|
|
1,568
|
|
||||
Total
|
$
|
47,957
|
|
|
100
|
%
|
|
$
|
47,734
|
|
|
$
|
(181
|
)
|
|
$
|
3,307
|
|
Total subprime, option ARM, Alt-A and other loans, and CMBS:
|
|
|
|
|
|
|
|
|
|
|||||||||
AAA-rated
|
$
|
24,957
|
|
|
21
|
%
|
|
$
|
24,987
|
|
|
$
|
(26
|
)
|
|
$
|
60
|
|
Other investment grade
|
23,960
|
|
|
20
|
|
|
23,879
|
|
|
(323
|
)
|
|
2,362
|
|
||||
Below investment grade
(2)
|
70,259
|
|
|
59
|
|
|
53,688
|
|
|
(11,947
|
)
|
|
4,916
|
|
||||
Total
|
$
|
119,176
|
|
|
100
|
%
|
|
$
|
102,554
|
|
|
$
|
(12,296
|
)
|
|
$
|
7,338
|
|
Total investments in mortgage-related securities
|
$
|
210,085
|
|
|
|
|
|
|
|
|
|
|||||||
Percentage of subprime, option ARM, Alt-A and other loans, and CMBS of total investments in mortgage-related securities
|
57
|
%
|
|
|
|
|
|
|
|
|
|
93
|
Freddie Mac
|
(1)
|
Represents the amount of UPB covered by bond insurance. This amount does not represent the maximum amount of losses we could recover, as the bond insurance also covers interest.
|
(2)
|
Includes securities with S&P equivalent credit ratings below BBB– and certain securities that are no longer rated.
|
|
94
|
Freddie Mac
|
|
|
Year Ended December 31,
|
|||||||||||||||||||
|
|
2013
|
|
2012
|
|
2011
|
|||||||||||||||
|
|
Amount
|
|
% of
Total
|
|
Amount
|
|
% of
Total
|
|
Amount
|
|
% of
Total
|
|||||||||
|
|
(dollars in millions)
|
|||||||||||||||||||
Mortgage loan purchases and guarantee issuances:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
30-year or more amortizing fixed-rate
|
|
$
|
287,773
|
|
|
63
|
%
|
|
$
|
275,632
|
|
|
60
|
%
|
|
$
|
194,746
|
|
|
57
|
%
|
20-year amortizing fixed-rate
|
|
21,658
|
|
|
5
|
|
|
29,614
|
|
|
7
|
|
|
21,378
|
|
|
6
|
|
|||
15-year amortizing fixed-rate
|
|
97,025
|
|
|
22
|
|
|
103,141
|
|
|
23
|
|
|
78,543
|
|
|
23
|
|
|||
Adjustable-rate
(2)
|
|
16,007
|
|
|
4
|
|
|
18,075
|
|
|
4
|
|
|
25,685
|
|
|
8
|
|
|||
FHA/VA and other governmental
|
|
279
|
|
|
<1
|
|
|
387
|
|
|
<1
|
|
|
441
|
|
|
<1
|
|
|||
Total single-family
(3)
|
|
422,742
|
|
|
94
|
|
|
426,849
|
|
|
94
|
|
|
320,793
|
|
|
94
|
|
|||
Multifamily
(4)
|
|
25,872
|
|
|
6
|
|
|
28,774
|
|
|
6
|
|
|
20,325
|
|
|
6
|
|
|||
Total mortgage loan purchases and other guarantee commitment issuances
(5)
|
|
$
|
448,614
|
|
|
100
|
%
|
|
$
|
455,623
|
|
|
100
|
%
|
|
$
|
341,118
|
|
|
100
|
%
|
Percentage of mortgage purchases and other guarantee commitment issuances with credit enhancements
(6)
|
|
16
|
%
|
|
|
|
12
|
%
|
|
|
|
8
|
%
|
|
|
(1)
|
Based on principal amount of the loans. Excludes mortgage loans traded but not yet settled. Excludes the removal of seriously delinquent loans and balloon/reset mortgages from PC trusts.
|
(2)
|
Includes amortizing ARMs with 1-, 3-, 5-, 7-, and 10-year initial fixed-rate periods. We have not purchased option ARM loans in our single-family credit guarantee portfolio since 2007.
|
(3)
|
Includes $29.0 billion, $32.6 billion, and $27.7 billion of conforming jumbo loan purchases and $1.0 billion, $0.9 billion, and $0.5 billion of conforming jumbo loans underlying other guarantee commitment issuances for the years ended
December 31, 2013
,
2012
, and
2011
, respectively.
|
(4)
|
Includes other guarantee commitments associated with mortgage loans as well as tax-exempt multifamily assets. See endnote (5) for further information.
|
(5)
|
Includes issuances of other guarantee commitments on single-family loans of $9.9 billion, $6.8 billion, and $4.4 billion and issuances of other guarantee commitments on multifamily loans of $0.7 billion, $2.4 billion, and $1.0 billion during the years ended
December 31, 2013
,
2012
, and
2011
, respectively.
|
(6)
|
Excludes credit enhancement coverage occurring subsequent to our purchase or guarantee, such as through STACR debt notes or other risk transfer transactions. See “NOTE 4: MORTGAGE LOANS AND LOAN LOSS RESERVES — Credit Protection and Other Forms of Credit Enhancement” for further details on credit enhancement of mortgage loans in our multifamily mortgage and single-family credit guarantee portfolios.
|
|
95
|
Freddie Mac
|
|
December 31, 2013
|
||||||||||||||||||||||
|
Notional or
Contractual
Amount
(2)
|
|
|
|
Fair Value
(1)
|
||||||||||||||||||
|
Total Fair
Value
|
|
Less than
1 Year
|
|
1 to 3
Years
|
|
Greater than 3
and up to 5 Years
|
|
In Excess
of 5 Years
|
||||||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||
Interest-rate swaps:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Receive-fixed:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Swaps
|
$
|
262,566
|
|
|
$
|
2,206
|
|
|
$
|
171
|
|
|
$
|
660
|
|
|
$
|
1,265
|
|
|
$
|
110
|
|
Weighted average fixed rate
(3)
|
|
|
|
|
1.04
|
%
|
|
0.97
|
%
|
|
1.66
|
%
|
|
2.91
|
%
|
||||||||
Forward-starting swaps
(4)
|
19,161
|
|
|
(169
|
)
|
|
—
|
|
|
—
|
|
|
49
|
|
|
(218
|
)
|
||||||
Weighted average fixed rate
(3)
|
|
|
|
|
—
|
%
|
|
—
|
%
|
|
1.88
|
%
|
|
3.58
|
%
|
||||||||
Total receive-fixed
|
281,727
|
|
|
2,037
|
|
|
171
|
|
|
660
|
|
|
1,314
|
|
|
(108
|
)
|
||||||
Basis (floating to floating)
|
300
|
|
|
4
|
|
|
—
|
|
|
4
|
|
|
—
|
|
|
—
|
|
||||||
Pay-fixed:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Swaps
|
235,097
|
|
|
(5,009
|
)
|
|
(61
|
)
|
|
(1,878
|
)
|
|
(2,667
|
)
|
|
(403
|
)
|
||||||
Weighted average fixed rate
(3)
|
|
|
|
|
1.90
|
%
|
|
2.28
|
%
|
|
3.14
|
%
|
|
3.17
|
%
|
||||||||
Forward-starting swaps
(4)
|
7,500
|
|
|
(330
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(330
|
)
|
||||||
Weighted average fixed rate
(3)
|
|
|
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
3.75
|
%
|
||||||||
Total pay-fixed
|
242,597
|
|
|
(5,339
|
)
|
|
(61
|
)
|
|
(1,878
|
)
|
|
(2,667
|
)
|
|
(733
|
)
|
||||||
Total interest-rate swaps
|
524,624
|
|
|
(3,298
|
)
|
|
110
|
|
|
(1,214
|
)
|
|
(1,353
|
)
|
|
(841
|
)
|
||||||
Option-based:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Call swaptions
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Purchased
|
59,290
|
|
|
2,373
|
|
|
1,553
|
|
|
88
|
|
|
449
|
|
|
283
|
|
||||||
Written
|
5,945
|
|
|
(201
|
)
|
|
(153
|
)
|
|
(48
|
)
|
|
—
|
|
|
—
|
|
||||||
Put swaptions
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Purchased
|
33,410
|
|
|
698
|
|
|
165
|
|
|
115
|
|
|
79
|
|
|
339
|
|
||||||
Other option-based derivatives
(5)
|
23,365
|
|
|
1,038
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,038
|
|
||||||
Total option-based
|
122,010
|
|
|
3,908
|
|
|
1,565
|
|
|
155
|
|
|
528
|
|
|
1,660
|
|
||||||
Futures
|
50,270
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Foreign-currency swaps
|
528
|
|
|
39
|
|
|
39
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Commitments
|
18,731
|
|
|
(8
|
)
|
|
(8
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Swap guarantee derivatives
|
3,477
|
|
|
(31
|
)
|
|
—
|
|
|
(1
|
)
|
|
(3
|
)
|
|
(27
|
)
|
||||||
Subtotal
|
719,640
|
|
|
610
|
|
|
$
|
1,706
|
|
|
$
|
(1,060
|
)
|
|
$
|
(828
|
)
|
|
$
|
792
|
|
||
Credit derivatives
|
5,386
|
|
|
(6
|
)
|
|
|
|
|
|
|
|
|
||||||||||
Subtotal
|
725,026
|
|
|
604
|
|
|
|
|
|
|
|
|
|
||||||||||
Derivative interest receivable (payable), net
|
|
|
(592
|
)
|
|
|
|
|
|
|
|
|
|||||||||||
Derivative cash collateral (held) posted, net
|
|
|
871
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total
|
$
|
725,026
|
|
|
$
|
883
|
|
|
|
|
|
|
|
|
|
(1)
|
Fair value is categorized by maturity based on the period from
December 31, 2013
until the contractual maturity of the derivative.
|
(2)
|
Notional or contractual amounts are used to calculate the periodic settlement amounts to be received or paid and generally do not represent actual amounts to be exchanged. Notional or contractual amounts are not recorded as assets or liabilities on our consolidated balance sheets.
|
(3)
|
Represents the notional weighted average rate for the fixed leg of the swaps.
|
(4)
|
Represents interest-rate swap agreements that are scheduled to begin on future dates ranging from less than one year to twelve years as of
December 31, 2013
.
|
(5)
|
Primarily includes purchased interest-rate caps and floors.
|
|
96
|
Freddie Mac
|
•
|
Our three-year cumulative income position;
|
•
|
The strong positive trend in our financial performance over six consecutive quarters;
|
•
|
The 2012 taxable income reported in our federal tax return which was filed in 2013;
|
•
|
Our forecasted 2013 and future period taxable income;
|
•
|
Our net operating loss carryforwards do not begin to expire until 2030; and
|
•
|
The continuing positive trend in the housing market.
|
|
97
|
Freddie Mac
|
•
|
PCs and Other Guarantee Transactions issued by our consolidated trusts and held by third parties are recognized as debt securities of consolidated trusts held by third parties on our consolidated balance sheets. Debt securities of consolidated trusts held by third parties represent our liability to third parties that hold beneficial interests in our consolidated trusts. The debt securities of our consolidated trusts may be prepaid at any time, as the loans that collateralize the debt may be prepaid without penalty at any time.
|
•
|
Other debt consists of unsecured short-term and long-term debt securities we issue to third parties to fund our business activities. It is classified as either short-term or long-term based on the contractual maturity of the debt instrument. See “LIQUIDITY AND CAPITAL RESOURCES” for information about our other debt.
|
|
December 31,
|
||||||
|
2013
|
|
2012
|
||||
|
(in millions)
|
||||||
Total debt:
|
|
|
|
||||
Other debt:
|
|
|
|
||||
Par value
|
$
|
511,345
|
|
|
$
|
552,472
|
|
Unamortized balance of discounts and premiums
(1)
|
(4,667
|
)
|
|
(5,031
|
)
|
||
Hedging-related and other basis adjustments
(2)
|
89
|
|
|
77
|
|
||
Subtotal
|
506,767
|
|
|
547,518
|
|
||
Debt securities of consolidated trusts held by third parties:
|
|
|
|
||||
UPB
|
1,399,456
|
|
|
1,387,259
|
|
||
Unamortized balance of discounts and premiums
|
34,528
|
|
|
32,265
|
|
||
Subtotal
|
1,433,984
|
|
|
1,419,524
|
|
||
Total debt, net
|
$
|
1,940,751
|
|
|
$
|
1,967,042
|
|
(1)
|
Primarily represents unamortized discounts on zero-coupon debt.
|
(2)
|
Primarily represents deferrals related to debt instruments that were in hedge accounting relationships, and changes in the fair value attributable to instrument-specific interest-rate and credit risk related to STACR debt notes (beginning in 2013) and foreign-currency denominated debt.
|
|
98
|
Freddie Mac
|
(1)
|
Represents par value, net of associated discounts and premiums, of which $0 billion, $0 billion, and $0.2 billion of short-term debt represents the fair value of debt securities with the fair value option elected at December 31, 2013, 2012, and 2011, respectively.
|
(2)
|
Represents the approximate weighted average effective rate for each instrument outstanding at the end of the period, which includes the amortization of discounts or premiums and issuance costs.
|
(3)
|
Represents par value, net of associated discounts, premiums, and issuance costs. Issuance costs are reported in the other assets caption on our consolidated balance sheets.
|
(4)
|
Represents the approximate weighted average effective rate during the period, which includes the amortization of discounts or premiums and issuance costs.
|
|
99
|
Freddie Mac
|
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||||||||||||||||
|
|
Issued by
Consolidated
Trusts
|
|
Issued by
Non-Consolidated
Trusts
|
|
Total
|
|
Issued by
Consolidated
Trusts
|
|
Issued by
Non-Consolidated
Trusts
|
|
Total
|
||||||||||||
|
|
(in millions)
|
||||||||||||||||||||||
PCs and Other Structured Securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
30-year or more amortizing fixed-rate
|
|
$
|
1,040,602
|
|
|
$
|
—
|
|
|
$
|
1,040,602
|
|
|
$
|
1,039,439
|
|
|
$
|
—
|
|
|
$
|
1,039,439
|
|
20-year amortizing fixed-rate
|
|
81,214
|
|
|
—
|
|
|
81,214
|
|
|
78,122
|
|
|
—
|
|
|
78,122
|
|
||||||
15-year amortizing fixed-rate
|
|
291,347
|
|
|
—
|
|
|
291,347
|
|
|
270,032
|
|
|
—
|
|
|
270,032
|
|
||||||
Adjustable-rate
(2)
|
|
66,250
|
|
|
—
|
|
|
66,250
|
|
|
68,470
|
|
|
—
|
|
|
68,470
|
|
||||||
Interest-only
(3)
|
|
29,083
|
|
|
—
|
|
|
29,083
|
|
|
41,275
|
|
|
—
|
|
|
41,275
|
|
||||||
FHA/VA and other governmental
|
|
3,366
|
|
|
—
|
|
|
3,366
|
|
|
3,084
|
|
|
—
|
|
|
3,084
|
|
||||||
Total single-family
|
|
1,511,862
|
|
|
—
|
|
|
1,511,862
|
|
|
1,500,422
|
|
|
—
|
|
|
1,500,422
|
|
||||||
Multifamily
|
|
—
|
|
|
4,778
|
|
|
4,778
|
|
|
—
|
|
|
4,224
|
|
|
4,224
|
|
||||||
Total single-family and multifamily
|
|
1,511,862
|
|
|
4,778
|
|
|
1,516,640
|
|
|
1,500,422
|
|
|
4,224
|
|
|
1,504,646
|
|
||||||
Other Guarantee Transactions:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Non-HFA bonds:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family
(4)
|
|
8,396
|
|
|
3,079
|
|
|
11,475
|
|
|
10,455
|
|
|
3,415
|
|
|
13,870
|
|
||||||
Multifamily
|
|
444
|
|
|
59,326
|
|
|
59,770
|
|
|
448
|
|
|
36,732
|
|
|
37,180
|
|
||||||
Total Non-HFA bonds
|
|
8,840
|
|
|
62,405
|
|
|
71,245
|
|
|
10,903
|
|
|
40,147
|
|
|
51,050
|
|
||||||
HFA Initiative Bonds:
(5)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family
|
|
—
|
|
|
3,341
|
|
|
3,341
|
|
|
—
|
|
|
4,827
|
|
|
4,827
|
|
||||||
Multifamily
|
|
—
|
|
|
744
|
|
|
744
|
|
|
—
|
|
|
863
|
|
|
863
|
|
||||||
Total HFA Initiative Bonds
|
|
—
|
|
|
4,085
|
|
|
4,085
|
|
|
—
|
|
|
5,690
|
|
|
5,690
|
|
||||||
Total Other Guarantee Transactions
|
|
8,840
|
|
|
66,490
|
|
|
75,330
|
|
|
10,903
|
|
|
45,837
|
|
|
56,740
|
|
||||||
REMICs and Other Structured Securities backed by Ginnie Mae certificates
(6)
|
|
—
|
|
|
541
|
|
|
541
|
|
|
—
|
|
|
654
|
|
|
654
|
|
||||||
Total Freddie Mac Mortgage-Related Securities
|
|
$
|
1,520,702
|
|
|
$
|
71,809
|
|
|
$
|
1,592,511
|
|
|
$
|
1,511,325
|
|
|
$
|
50,715
|
|
|
$
|
1,562,040
|
|
Less: Repurchased Freddie Mac Mortgage-Related Securities
(7)
|
|
(121,246
|
)
|
|
|
|
|
|
(124,066
|
)
|
|
|
|
|
||||||||||
Total UPB of debt securities of consolidated trusts held by third parties
|
|
$
|
1,399,456
|
|
|
|
|
|
|
$
|
1,387,259
|
|
|
|
|
|
(1)
|
Amounts are based on UPB of the securities and exclude mortgage-related securities traded, but not yet settled.
|
(2)
|
Includes $0.9 billion and $1.0 billion in UPB of option ARM mortgage loans as of
December 31, 2013
and
2012
, respectively. See endnote (4) for additional information on option ARM loans that back our Other Guarantee Transactions.
|
(3)
|
Represents loans where the borrower pays interest only for a period of time before the borrower begins making principal payments. Includes both fixed- and variable-rate interest-only loans.
|
(4)
|
Backed by non-agency mortgage-related securities that include prime, FHA/VA, and subprime mortgage loans and also include $5.5 billion and $6.3 billion in UPB of securities backed by option ARM mortgage loans at
December 31, 2013
and
2012
, respectively.
|
(5)
|
Consists of bonds we acquired and resecuritized under the NIBP.
|
(6)
|
Backed by FHA/VA loans.
|
(7)
|
Represents the UPB of repurchased Freddie Mac mortgage-related securities that are consolidated on our balance sheets and includes certain remittance amounts associated with our security trust administration that are payable to third-party mortgage-related security holders. Our holdings of non-consolidated Freddie Mac mortgage-related securities are presented in “
Table 22 — Characteristics of Mortgage-Related Securities on Our Consolidated Balance Sheets
.”
|
|
100
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||
|
2013
|
|
2012
|
||||
|
(in millions)
|
||||||
Beginning balance of debt securities of consolidated trusts held by third parties
|
$
|
1,387,259
|
|
|
$
|
1,452,476
|
|
Issuances to third parties of debt securities of consolidated trusts:
|
|
|
|
||||
Issuances based on underlying mortgage product type:
|
|
|
|
||||
30-year or more amortizing fixed-rate
|
290,568
|
|
|
284,381
|
|
||
20-year amortizing fixed-rate
|
21,985
|
|
|
31,142
|
|
||
15-year amortizing fixed-rate
|
96,498
|
|
|
105,603
|
|
||
Adjustable-rate
|
16,036
|
|
|
18,189
|
|
||
FHA/VA
|
532
|
|
|
—
|
|
||
Multifamily
|
—
|
|
|
448
|
|
||
Debt securities of consolidated trusts retained by us at issuance
(2)
|
(38,390
|
)
|
|
(36,317
|
)
|
||
Net issuances of debt securities of consolidated trusts
|
387,229
|
|
|
403,446
|
|
||
Reissuances of debt securities of consolidated trusts previously held by us
(3)
|
55,704
|
|
|
29,384
|
|
||
Total issuances to third parties of debt securities of consolidated trusts
|
442,933
|
|
|
432,830
|
|
||
Extinguishments, net
(4)
|
(430,736
|
)
|
|
(498,047
|
)
|
||
Ending balance of debt securities of consolidated trusts held by third parties
|
$
|
1,399,456
|
|
|
$
|
1,387,259
|
|
(1)
|
Based on UPB.
|
(2)
|
Represents the UPB of mortgage loans that we had purchased for cash, subsequently securitized, and retained in our mortgage-related investments portfolio.
|
(3)
|
Represents our sales of PCs and certain Other Guarantee Transactions previously held by us.
|
(4)
|
Represents: (a) UPB of our purchases from third parties of PCs and Other Guarantee Transactions issued by our consolidated trusts; (b) principal repayments related to PCs and Other Guarantee Transactions issued by our consolidated trusts; and (c) certain remittance amounts associated with our trust security administration that are payable to third-party mortgage-related security holders as of
December 31, 2013
and 2012.
|
|
101
|
Freddie Mac
|
|
Three Months Ended
|
|
Twelve Months
Ended
|
||||||||||||||||||||
|
12/31/2013
|
|
9/30/2013
|
|
6/30/2013
|
|
3/31/2013
|
|
12/31/2012
|
|
12/31/2013
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Beginning balance
|
$
|
33,436
|
|
|
$
|
7,357
|
|
|
$
|
9,971
|
|
|
$
|
8,827
|
|
|
$
|
4,907
|
|
|
$
|
8,827
|
|
Net income
|
8,613
|
|
|
30,486
|
|
|
4,988
|
|
|
4,581
|
|
|
4,457
|
|
|
48,668
|
|
||||||
Other comprehensive income (loss), net of taxes:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Changes in unrealized gains (losses) related to available-for-sale securities
|
970
|
|
|
(127
|
)
|
|
(717
|
)
|
|
2,280
|
|
|
1,261
|
|
|
2,406
|
|
||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships
(1)
|
66
|
|
|
76
|
|
|
84
|
|
|
90
|
|
|
94
|
|
|
316
|
|
||||||
Changes in defined benefit plans
|
186
|
|
|
2
|
|
|
2
|
|
|
20
|
|
|
(84
|
)
|
|
210
|
|
||||||
Comprehensive income
|
9,835
|
|
|
30,437
|
|
|
4,357
|
|
|
6,971
|
|
|
5,728
|
|
|
51,600
|
|
||||||
Capital draw funded by Treasury
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Senior preferred stock dividends declared
|
(30,436
|
)
|
|
(4,357
|
)
|
|
(6,971
|
)
|
|
(5,827
|
)
|
|
(1,808
|
)
|
|
(47,591
|
)
|
||||||
Other
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
||||||
Total equity (deficit)/Net worth
|
$
|
12,835
|
|
|
$
|
33,436
|
|
|
$
|
7,357
|
|
|
$
|
9,971
|
|
|
$
|
8,827
|
|
|
$
|
12,835
|
|
Aggregate draws under the Purchase Agreement (as of period end)
(2)
|
$
|
71,336
|
|
|
$
|
71,336
|
|
|
$
|
71,336
|
|
|
$
|
71,336
|
|
|
$
|
71,336
|
|
|
$
|
71,336
|
|
Aggregate senior preferred stock dividends paid to Treasury in cash (as of period end)
|
$
|
71,345
|
|
|
$
|
40,909
|
|
|
$
|
36,552
|
|
|
$
|
29,581
|
|
|
$
|
23,754
|
|
|
$
|
71,345
|
|
(1)
|
Represents the reclassification of losses into earnings related to our closed cash flow hedges as the originally forecasted transactions affected earnings.
|
(2)
|
Does not include the initial $1.0 billion liquidation preference of senior preferred stock that we issued to Treasury in September 2008 as an initial commitment fee and for which no cash was received. Under the Purchase Agreement, the payment of dividends cannot be used to reduce prior draws from Treasury.
|
|
102
|
Freddie Mac
|
|
103
|
Freddie Mac
|
|
|
December 31, 2013
|
|
Year Ended December 31, 2013
|
|||||||||||||||||
|
|
Percent of
Portfolio
|
|
Average
Credit
Score
(2)
|
|
Original
LTV Ratio
|
|
Current
LTV Ratio
(3)
|
|
Current
LTV Ratio
>100%
(3)(4)
|
|
Serious
Delinquency
Rate
(5)
|
|
Percent of
Credit Losses
|
|||||||
Year of Origination
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
2013
|
|
16
|
%
|
|
755
|
|
|
71
|
%
|
|
69
|
%
|
|
—
|
%
|
|
0.01
|
%
|
|
<1
|
%
|
2012
|
|
16
|
|
|
761
|
|
|
69
|
|
|
61
|
|
|
—
|
|
|
0.04
|
|
|
<1
|
|
2011
|
|
8
|
|
|
757
|
|
|
69
|
|
|
58
|
|
|
—
|
|
|
0.18
|
|
|
<1
|
|
2010
|
|
7
|
|
|
754
|
|
|
69
|
|
|
60
|
|
|
—
|
|
|
0.39
|
|
|
1
|
|
2009
|
|
7
|
|
|
751
|
|
|
69
|
|
|
62
|
|
|
1
|
|
|
0.88
|
|
|
2
|
|
Subtotal - New single-family book
|
|
54
|
|
|
757
|
|
|
69
|
|
|
63
|
|
|
—
|
|
|
0.24
|
|
|
3
|
|
HARP and other relief refinance loans
(6)
|
|
21
|
|
|
735
|
|
|
89
|
|
|
81
|
|
|
21
|
|
|
0.64
|
|
|
7
|
|
2005-2008 Legacy single-family book
|
|
16
|
|
|
704
|
|
|
75
|
|
|
87
|
|
|
29
|
|
|
8.77
|
|
|
81
|
|
Pre-2005 Legacy single-family book
|
|
9
|
|
|
711
|
|
|
72
|
|
|
50
|
|
|
3
|
|
|
3.24
|
|
|
9
|
|
Total
|
|
100
|
%
|
|
739
|
|
|
75
|
|
|
69
|
|
|
10
|
|
|
2.39
|
|
|
100
|
%
|
(1)
|
Based on the year of origination (except for HARP and other relief refinance loans) for loans remaining in the portfolio at
December 31, 2013
, which totaled $1.7 trillion, rather than all loans originally guaranteed by us and originated in the respective year.
|
(2)
|
Based on FICO score of the borrower as of the date of loan origination and may not be indicative of the borrowers’ current creditworthiness. Excludes less than 1% of loans in the portfolio because the FICO scores at origination were not available.
|
(3)
|
We estimate current market values by adjusting the value of the property at origination based on changes in the market value of homes in the same geographical area since origination.
|
(4)
|
Calculated as a percentage of the aggregate UPB of loans with LTV ratios greater than 100% in relation to the total UPB of loans in the category.
|
(5)
|
See “
Credit Performance
—
Delinquencies
” for further information about our reported serious delinquency rates.
|
(6)
|
HARP and other relief refinance loans are presented separately rather than in the year that the refinancing occurred (from 2009 to 2013). All other refinance loans are presented in the year that the refinancing occurred.
|
|
104
|
Freddie Mac
|
|
105
|
Freddie Mac
|
|
|
Percent of Purchases During the Year Ended December 31,
|
|||||||||||||||||||||||||
|
|
2013
|
|
2012
|
|
2011
|
|||||||||||||||||||||
|
|
Relief Refi
|
|
All Other
|
|
Total
|
|
Relief Refi
|
|
All Other
|
|
Total
|
|
Relief Refi
|
|
All other
|
|
Total
|
|||||||||
Original LTV Ratio Range
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
60% and below
|
|
3
|
%
|
|
19
|
%
|
|
22
|
%
|
|
4
|
%
|
|
21
|
%
|
|
25
|
%
|
|
6
|
%
|
|
23
|
%
|
|
29
|
%
|
Above 60% to 70%
|
|
2
|
|
|
12
|
|
|
14
|
|
|
2
|
|
|
12
|
|
|
14
|
|
|
3
|
|
|
13
|
|
|
16
|
|
Above 70% to 80%
|
|
3
|
|
|
33
|
|
|
36
|
|
|
3
|
|
|
29
|
|
|
32
|
|
|
5
|
|
|
32
|
|
|
37
|
|
Above 80% to 100%
|
|
7
|
|
|
13
|
|
|
20
|
|
|
8
|
|
|
9
|
|
|
17
|
|
|
8
|
|
|
6
|
|
|
14
|
|
Above 100% to 125%
|
|
5
|
|
|
<1
|
|
|
5
|
|
|
7
|
|
|
<1
|
|
|
7
|
|
|
4
|
|
|
<1
|
|
|
4
|
|
Above 125%
|
|
3
|
|
|
<1
|
|
|
3
|
|
|
5
|
|
|
<1
|
|
|
5
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Total
|
|
23
|
%
|
|
77
|
%
|
|
100
|
%
|
|
29
|
%
|
|
71
|
%
|
|
100
|
%
|
|
26
|
%
|
|
74
|
%
|
|
100
|
%
|
Weighted average original LTV ratio
|
|
91
|
%
|
|
71
|
%
|
|
75
|
%
|
|
97
|
%
|
|
68
|
%
|
|
76
|
%
|
|
77
|
%
|
|
67
|
%
|
|
70
|
%
|
Credit Score
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
740 and above
|
|
11
|
%
|
|
55
|
%
|
|
66
|
%
|
|
17
|
%
|
|
55
|
%
|
|
72
|
%
|
|
16
|
%
|
|
55
|
%
|
|
71
|
%
|
700 to 739
|
|
5
|
|
|
15
|
|
|
20
|
|
|
6
|
|
|
11
|
|
|
17
|
|
|
5
|
|
|
13
|
|
|
18
|
|
660 to 699
|
|
4
|
|
|
6
|
|
|
10
|
|
|
4
|
|
|
4
|
|
|
8
|
|
|
3
|
|
|
5
|
|
|
8
|
|
620 to 659
|
|
2
|
|
|
1
|
|
|
3
|
|
|
1
|
|
|
1
|
|
|
2
|
|
|
1
|
|
|
1
|
|
|
2
|
|
Less than 620
|
|
1
|
|
|
<1
|
|
|
1
|
|
|
1
|
|
|
<1
|
|
|
1
|
|
|
1
|
|
|
<1
|
|
|
1
|
|
Not available
|
|
<1
|
|
|
<1
|
|
|
<1
|
|
|
<1
|
|
|
<1
|
|
|
<1
|
|
|
<1
|
|
|
<1
|
|
|
<1
|
|
Total
|
|
23
|
%
|
|
77
|
%
|
|
100
|
%
|
|
29
|
%
|
|
71
|
%
|
|
100
|
%
|
|
26
|
%
|
|
74
|
%
|
|
100
|
%
|
Weighted average credit score:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Total mortgages
|
|
727
|
|
|
756
|
|
|
749
|
|
|
740
|
|
|
762
|
|
|
756
|
|
|
744
|
|
|
759
|
|
|
755
|
|
|
Percent of Purchases During the
Year Ended December 31,
|
|||||||
|
2013
|
|
2012
|
|
2011
|
|||
Loan Purpose
|
|
|
|
|
|
|||
Purchase
|
27
|
%
|
|
18
|
%
|
|
22
|
%
|
Cash-out refinance
|
16
|
|
|
15
|
|
|
18
|
|
Other refinance
(3)
|
57
|
|
|
67
|
|
|
60
|
|
Total
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
Property Type
|
|
|
|
|
|
|||
Detached/townhome
(4)
|
93
|
%
|
|
94
|
%
|
|
94
|
%
|
Condo/Co-op
|
7
|
|
|
6
|
|
|
6
|
|
Total
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
Occupancy Type
|
|
|
|
|
|
|||
Primary residence
|
88
|
%
|
|
91
|
%
|
|
92
|
%
|
Second/vacation home
|
4
|
|
|
4
|
|
|
4
|
|
Investment
|
8
|
|
|
5
|
|
|
4
|
|
Total
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
(1)
|
Percentages are based on the UPB of the single-family credit guarantee portfolio.
|
(2)
|
Credit score data is based on FICO scores, which are ranked on a scale of approximately 300 to 850 points. Although we obtain updated credit information on certain borrowers after the origination of a mortgage, such as those borrowers seeking a modification, the scores presented in this table represent the credit score of the borrower at the time of loan origination and may not be indicative of the borrowers’ current creditworthiness.
|
(3)
|
Other refinance loans include: (a) refinance mortgages with “no cash out” to the borrower; and (b) refinance mortgages for which the delivery data provided was not sufficient for us to determine whether the mortgage was a cash-out or a no cash-out refinance transaction.
|
(4)
|
Includes manufactured housing and homes within planned unit development communities. The UPB of manufactured housing mortgage loans purchased during the years ended
December 31, 2013
,
2012
, and
2011
was $776 million, $676 million, and $376 million, respectively.
|
|
106
|
Freddie Mac
|
|
|
Portfolio Balance at December 31,
(2)
|
|||||||
|
|
2013
|
|
2012
|
|
2011
|
|||
Original LTV Ratio Range
|
|
|
|
|
|
|
|||
60% and below
|
|
22
|
%
|
|
22
|
%
|
|
23
|
%
|
Above 60% to 70%
|
|
15
|
|
|
15
|
|
|
16
|
|
Above 70% to 80%
|
|
38
|
|
|
40
|
|
|
42
|
|
Above 80% to 100%
|
|
19
|
|
|
18
|
|
|
17
|
|
Above 100%
|
|
6
|
|
|
5
|
|
|
2
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
Weighted average original LTV ratio
|
|
75
|
%
|
|
74
|
%
|
|
72
|
%
|
Estimated Current LTV Ratio Range
(3)
|
|
|
|
|
|
|
|||
60% and below
|
|
33
|
%
|
|
28
|
%
|
|
25
|
%
|
Above 60% to 70%
|
|
18
|
|
|
14
|
|
|
12
|
|
Above 70% to 80%
|
|
20
|
|
|
21
|
|
|
18
|
|
Above 80% to 90%
|
|
12
|
|
|
13
|
|
|
15
|
|
Above 90% to 100%
|
|
7
|
|
|
9
|
|
|
10
|
|
Above 100% to 120%
|
|
6
|
|
|
8
|
|
|
10
|
|
Above 120%
|
|
4
|
|
|
7
|
|
|
10
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
Weighted average estimated current LTV ratio:
|
|
|
|
|
|
|
|||
Relief refinance mortgages
(4)
|
|
81
|
%
|
|
83
|
%
|
|
79
|
%
|
All other mortgages
|
|
66
|
|
|
74
|
|
|
80
|
|
Total mortgages
|
|
69
|
|
|
75
|
|
|
80
|
|
Credit Score
(5)
|
|
|
|
|
|
|
|||
740 and above
|
|
58
|
|
|
56
|
|
|
55
|
|
700 to 739
|
|
20
|
|
|
21
|
|
|
21
|
|
660 to 699
|
|
13
|
|
|
14
|
|
|
14
|
|
620 to 659
|
|
6
|
|
|
6
|
|
|
7
|
|
Less than 620
|
|
3
|
|
|
3
|
|
|
3
|
|
Not available
|
|
<1
|
|
|
<1
|
|
|
<1
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
Weighted average credit score:
|
|
|
|
|
|
|
|||
Relief refinance mortgages
(4)
|
|
735
|
|
|
741
|
|
|
744
|
|
All other mortgages
|
|
740
|
|
|
736
|
|
|
734
|
|
Total mortgages
|
|
739
|
|
|
737
|
|
|
735
|
|
Loan Purpose
|
|
|
|
|
|
|
|||
Purchase
|
|
26
|
%
|
|
27
|
%
|
|
30
|
%
|
Cash-out refinance
|
|
22
|
|
|
24
|
|
|
27
|
|
Other refinance
(6)
|
|
52
|
|
|
49
|
|
|
43
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
Property Type
|
|
|
|
|
|
|
|||
Detached/townhome
(7)
|
|
93
|
%
|
|
92
|
%
|
|
92
|
%
|
Condo/Co-op
|
|
7
|
|
|
8
|
|
|
8
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
Occupancy Type
|
|
|
|
|
|
|
|||
Primary residence
|
|
90
|
%
|
|
90
|
%
|
|
91
|
%
|
Second/vacation home
|
|
4
|
|
|
5
|
|
|
5
|
|
Investment
|
|
6
|
|
|
5
|
|
|
4
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
(1)
|
Ending balances are based on the UPB of the single-family credit guarantee portfolio. Other Guarantee Transactions with ending balances of $1 billion at both
December 31, 2013
and
2012
, and $2 billion at December 31,
2011
are excluded since these securities are backed by non-Freddie Mac issued securities for which the loan characteristics data was not available.
|
(2)
|
Includes loans acquired under our relief refinance initiative, which began in 2009.
|
(3)
|
The current LTV ratios are management estimates, which are updated on a monthly basis. Current market values are estimated by adjusting the value of the property at origination based on changes in the market value of homes in the same geographical area since that time.
|
(4)
|
Relief refinance mortgages of all LTV ratios comprised approximately 21%, 18%, and 11% of our single-family credit guarantee portfolio by UPB as of
December 31, 2013
,
2012
, and
2011
, respectively.
|
|
107
|
Freddie Mac
|
(5)
|
Credit score data is based on FICO scores, which are ranked on a scale of approximately 300 to 850 points. Although we obtain updated credit information on certain borrowers after the origination of a mortgage, such as those borrowers seeking a modification, the scores presented in this table represent the credit score of the borrower at the time of loan origination and may not be indicative of the borrowers’ current creditworthiness.
|
(6)
|
Other refinance loans include: (a) refinance mortgages with “no cash out” to the borrower; and (b) refinance mortgages for which the delivery data provided was not sufficient for us to determine whether the mortgage was a cash-out or a no cash-out refinance transaction.
|
(7)
|
Includes manufactured housing and homes within planned unit development communities.
|
|
108
|
Freddie Mac
|
|
2013 and Prior
|
|
2014
|
|
2015
|
|
2016
|
|
2017
|
|
2018
|
|
Thereafter
|
|
Total
|
||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||
ARM/interest-only
|
$
|
10,889
|
|
|
$
|
581
|
|
|
$
|
2,740
|
|
|
$
|
4,153
|
|
|
$
|
6,769
|
|
|
$
|
2,720
|
|
|
$
|
565
|
|
|
$
|
28,417
|
|
Fixed/interest-only
|
—
|
|
|
9
|
|
|
178
|
|
|
857
|
|
|
4,128
|
|
|
861
|
|
|
269
|
|
|
6,302
|
|
||||||||
Total
|
$
|
10,889
|
|
|
$
|
590
|
|
|
$
|
2,918
|
|
|
$
|
5,010
|
|
|
$
|
10,897
|
|
|
$
|
3,581
|
|
|
$
|
834
|
|
|
$
|
34,719
|
|
(1)
|
Based on the UPBs of mortgage products that contain interest-only provisions and that begin amortization of principal in each of the years shown. These reported balances are based on the UPB of the underlying mortgage loans and do not reflect the publicly-available security balances we use to report the composition of our PCs and REMICs and Other Structured Securities. Excludes: (a) mortgage loans underlying Other Guarantee Transactions since the payment change information is not available to us for these loans; and (b) any mortgage loans which completed a modification before the end of the respective period and for which the terms of the loan were changed to an amortizing loan product.
|
|
109
|
Freddie Mac
|
|
As of December 31, 2013
|
|||||||
Year of payment change:
|
2013
|
|
2012
|
|
2011
|
|||
2011 and prior
|
7.61
|
%
|
|
10.58
|
%
|
|
13.22
|
%
|
2012
|
12.50
|
|
|
19.35
|
|
|
20.98
|
|
2013
|
13.73
|
|
|
18.11
|
|
|
17.08
|
|
2014 and after
|
14.22
|
|
|
17.67
|
|
|
18.52
|
|
(1)
|
Based on loans remaining in the single-family guarantee portfolio as of
December 31, 2013
,
2012
, and
2011
, rather than all loans guaranteed by us and originated in the respective year. Excludes mortgage loans which completed a modification before the end of the respective period and for which the terms of the loan were changed to an amortizing loan product.
|
|
110
|
Freddie Mac
|
|
2014
|
|
2015
|
|
2016
|
|
2017
|
|
2018
|
|
Thereafter
|
|
Total
|
||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||
ARMs/amortizing
|
$
|
21,467
|
|
|
$
|
3,559
|
|
|
$
|
6,711
|
|
|
$
|
6,704
|
|
|
$
|
7,301
|
|
|
$
|
20,651
|
|
|
$
|
66,393
|
|
ARMs/interest-only
(2)
|
25,056
|
|
|
1,132
|
|
|
856
|
|
|
1,072
|
|
|
265
|
|
|
36
|
|
|
28,417
|
|
|||||||
Balloon/resets
(3)
|
48
|
|
|
4
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
53
|
|
|||||||
Total
|
$
|
46,571
|
|
|
$
|
4,695
|
|
|
$
|
7,567
|
|
|
$
|
7,776
|
|
|
$
|
7,566
|
|
|
$
|
20,688
|
|
|
$
|
94,863
|
|
(1)
|
Based on the UPBs of mortgage products that contain adjustable-rate interest provisions and are scheduled to reset during the periods specified above. These reported balances are based on the UPB of the underlying mortgage loans and do not reflect the publicly-available security balances we use to report the composition of our PCs and REMICs and Other Structured Securities. Excludes: (a) mortgage loans underlying Other Guarantee Transactions and certain REMICs since rate reset information is not available to us for these loans; and (b) any amortizing ARM loans which completed a modification before the end of the respective period and for which the terms of the loan were changed to a fixed-rate loan product.
|
(2)
|
Reflects the UPB of interest-only loans that reset in each of the years shown. We report loans in the interest-only category if their original terms include interest-only provisions for a pre-determined period of time before the monthly payment changes to include amortization of principal. Includes $10.9 billion of loans that were interest-only at origination that have converted to include amortization of principal as of
December 31, 2013
.
|
(3)
|
Effective January 1, 2013, we no longer purchase balloon/reset mortgages.
|
|
December 31,
|
|||||||
Year of payment change:
|
2013
|
|
2012
|
|
2011
|
|||
2011 and prior
|
4.42
|
%
|
|
5.99
|
%
|
|
7.48
|
%
|
2012
|
13.40
|
|
|
19.44
|
|
|
22.69
|
|
2013
|
10.32
|
|
|
13.69
|
|
|
12.78
|
|
2014 and after
|
2.03
|
|
|
3.64
|
|
|
5.21
|
|
(1)
|
Based on loans remaining in the single-family credit guarantee portfolio as of
December 31, 2013
,
2012
, and
2011
, rather than all loans guaranteed by us and originated in the respective year. Excludes mortgage loans which completed a modification before the end of the respective period and for which the terms of the loan were changed to a fixed-rate loan product.
|
|
111
|
Freddie Mac
|
|
112
|
Freddie Mac
|
|
As of December 31, 2013
|
|||||||||||
|
UPB
|
|
Estimated
Current LTV
(2)
|
|
Percentage
Modified
(3)
|
|
Serious
Delinquency
Rate
(4)
|
|||||
|
(dollars in billions)
|
|||||||||||
Loans with one or more specified characteristics
|
$
|
364.5
|
|
|
94
|
%
|
|
8.1
|
%
|
|
5.3
|
%
|
Categories (individual characteristics):
|
|
|
|
|
|
|
|
|||||
Alt-A
|
56.9
|
|
|
87
|
|
|
16.3
|
|
|
10.1
|
|
|
Interest-only
(5)
|
34.7
|
|
|
93
|
|
|
0.2
|
|
|
12.5
|
|
|
Option ARM
(6)
|
6.4
|
|
|
86
|
|
|
11.0
|
|
|
12.3
|
|
|
Original LTV ratio greater than 90%, non-HARP mortgages
|
103.4
|
|
|
91
|
|
|
10.1
|
|
|
5.7
|
|
|
Original LTV ratio greater than 90%, HARP mortgages
|
154.3
|
|
|
103
|
|
|
0.5
|
|
|
1.0
|
|
|
Lower FICO scores at origination (less than 620)
(7)
|
47.8
|
|
|
83
|
|
|
17.4
|
|
|
10.0
|
|
|
|
|
|
|
|
|
|
|
|||||
|
As of December 31, 2012
|
|||||||||||
|
UPB
|
|
Estimated
Current LTV
(2)
|
|
Percentage
Modified
(3)
|
|
Serious
Delinquency
Rate
(4)
|
|||||
|
(dollars in billions)
|
|||||||||||
Loans with one or more specified characteristics
|
$
|
355.3
|
|
|
101
|
%
|
|
7.6
|
%
|
|
7.5
|
%
|
Categories (individual characteristics):
|
|
|
|
|
|
|
|
|||||
Alt-A
|
73.7
|
|
|
100
|
|
|
11.8
|
|
|
11.4
|
|
|
Interest-only
(5)
|
50.2
|
|
|
110
|
|
|
0.3
|
|
|
16.3
|
|
|
Option ARM
(6)
|
7.3
|
|
|
105
|
|
|
8.1
|
|
|
16.3
|
|
|
Original LTV ratio greater than 90%, non-HARP mortgages
|
98.5
|
|
|
100
|
|
|
9.4
|
|
|
7.8
|
|
|
Original LTV ratio greater than 90%, HARP mortgages
|
120.4
|
|
|
108
|
|
|
0.2
|
|
|
1.0
|
|
|
Lower FICO scores at origination (less than 620)
(7)
|
50.9
|
|
|
89
|
|
|
15.3
|
|
|
12.2
|
|
(1)
|
Categories are not additive and a single loan may be included in multiple categories if more than one characteristic is associated with the loan.
|
(2)
|
See endnote (3) to “
Table 38 — Characteristics of the Single-Family Credit Guarantee Portfolio
” for information on our calculation of current LTV ratios.
|
(3)
|
Represents the percentage of loans based on loan count in our single-family credit guarantee portfolio at period end that have been modified, including those with no changes in the interest rate or maturity date, but where past due amounts are added to the outstanding principal balance of the loan. Excludes loans underlying certain Other Guarantee Transactions for which data was not available.
|
(4)
|
See “
Credit Performance — Delinquencies
” for further information about our reported serious delinquency rates.
|
(5)
|
When an interest-only loan is modified to require repayment of principal, the loan is removed from the interest-only category. The percentages of interest-only loans which have been modified at period end reflect loans that have not yet been assigned to their new product category (post-modification), primarily due to delays in processing.
|
(6)
|
For reporting purposes, loans within the option ARM category continue to be reported in that category following modification, even though the modified loan no longer provides for optional payment provisions.
|
(7)
|
See endnote (2) to “
Table 37 — Characteristics of Purchases for the Single-Family Credit Guarantee Portfolio
” for information on our presentation of FICO scores.
|
|
113
|
Freddie Mac
|
|
114
|
Freddie Mac
|
|
115
|
Freddie Mac
|
|
|
As of December 31, 2013
|
|
Year of Payment Change
(3)
|
|||||||||||||||||||
|
|
UPB
|
|
Serious
Delinquency
(2)
|
|
2014
|
|
2015
|
|
2016
|
|
2017 and
After
|
|||||||||||
|
|
(in billions, except rates)
|
|||||||||||||||||||||
Year of completed modification:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
2009
|
|
$
|
4.2
|
|
|
11
|
%
|
|
$
|
4.2
|
|
|
$
|
4.0
|
|
|
$
|
3.5
|
|
|
$
|
0.7
|
|
2010
|
|
18.1
|
|
|
12
|
|
|
—
|
|
|
18.0
|
|
|
16.7
|
|
|
14.7
|
|
|||||
2011
|
|
10.5
|
|
|
11
|
|
|
—
|
|
|
—
|
|
|
10.6
|
|
|
9.6
|
|
|||||
2012 and after
|
|
11.0
|
|
|
6
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
11.0
|
|
|||||
Total
|
|
$
|
43.8
|
|
|
10
|
|
|
$
|
4.2
|
|
|
$
|
22.0
|
|
|
$
|
30.8
|
|
|
$
|
36.0
|
|
(1)
|
Consists of step-rate modified loans (HAMP and non-HAMP) remaining in the single-family credit guarantee portfolio as of December 31, 2013, excluding those underlying Other Guarantee Transactions. Includes the portion, if any, of UPB that is non-interest bearing under the terms of the modification. Excludes loans in a modification trial period and those that were subsequently remodified under a non-HAMP initiative and no longer have step-rate terms.
|
(2)
|
Based on loan count.
|
(3)
|
Represents the UPB of all step-rate modified loans that are scheduled to experience an increase in their contractual interest rate in a given year. Individual loans will appear in each year for which they are scheduled to experience a rate increase.
|
|
Years Ended December 31,
|
|||||||||||||||||||
|
2013
|
|
2012
|
|
2011
|
|||||||||||||||
|
Number
of Loans
|
|
Loan
Balances
|
|
Number
of Loans
|
|
Loan
Balances
|
|
Number
of Loans
|
|
Loan
Balances
|
|||||||||
|
(dollars in millions)
|
|||||||||||||||||||
Home retention actions:
|
|
|
|
|
|
|
|
|
||||||||||||
Loan modifications
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
with no change in terms
(2)
|
213
|
|
|
$
|
25
|
|
|
533
|
|
|
$
|
95
|
|
|
4,371
|
|
|
$
|
778
|
|
with term extension
|
6,645
|
|
|
700
|
|
|
3,894
|
|
|
313
|
|
|
16,354
|
|
|
3,011
|
|
|||
with change in interest rate and, in certain cases, term extension
|
46,739
|
|
|
7,314
|
|
|
38,871
|
|
|
6,246
|
|
|
68,584
|
|
|
15,231
|
|
|||
with change in interest rate, term extension and principal forbearance
|
29,591
|
|
|
9,368
|
|
|
26,283
|
|
|
8,483
|
|
|
19,865
|
|
|
5,319
|
|
|||
Total loan modifications
(3)
|
83,188
|
|
|
17,407
|
|
|
69,581
|
|
|
15,137
|
|
|
109,174
|
|
|
24,339
|
|
|||
Repayment plans
(4)
|
28,610
|
|
|
4,016
|
|
|
33,350
|
|
|
4,746
|
|
|
33,421
|
|
|
4,787
|
|
|||
Forbearance agreements
(5)
|
12,019
|
|
|
2,331
|
|
|
13,026
|
|
|
2,557
|
|
|
19,516
|
|
|
3,821
|
|
|||
Total home retention actions
|
123,817
|
|
|
23,754
|
|
|
115,957
|
|
|
22,440
|
|
|
162,111
|
|
|
32,947
|
|
|||
Foreclosure alternatives:
|
|
|
|
|
|
|
|
|
||||||||||||
Short sale
|
41,362
|
|
|
9,016
|
|
|
51,972
|
|
|
11,626
|
|
|
45,623
|
|
|
10,524
|
|
|||
Deed in lieu of foreclosure transactions
|
2,720
|
|
|
437
|
|
|
1,036
|
|
|
179
|
|
|
540
|
|
|
94
|
|
|||
Total foreclosure alternatives
|
44,082
|
|
|
9,453
|
|
|
53,008
|
|
|
11,805
|
|
|
46,163
|
|
|
10,618
|
|
|||
Total single-family loan workouts
|
167,899
|
|
|
$
|
33,207
|
|
|
168,965
|
|
|
$
|
34,245
|
|
|
208,274
|
|
|
$
|
43,565
|
|
Seriously delinquent loan additions
|
237,580
|
|
|
|
|
305,449
|
|
|
|
|
374,970
|
|
|
|
||||||
Single-family foreclosures
(6)
|
81,605
|
|
|
|
|
105,060
|
|
|
|
|
121,751
|
|
|
|
||||||
Seriously delinquent loans, at period end
|
255,325
|
|
|
|
|
352,860
|
|
|
|
|
414,134
|
|
|
|
(1)
|
Based on completed actions with borrowers for loans within our single-family credit guarantee portfolio. Excludes those modification, repayment and forbearance activities for which the borrower has started the required process, but the actions have not been made permanent or effective, such as loans in modification trial periods. Also excludes certain loan workouts where our single-family seller/servicers have executed agreements in the current or prior periods, but these have not been incorporated into certain of our operational systems, due to delays in processing. These categories are not mutually exclusive and a loan in one category may also be included within another category in the same period (see endnote 5).
|
|
116
|
Freddie Mac
|
(2)
|
Under this modification type, past due amounts are added to the principal balance and amortized based on the original contractual loan terms.
|
(3)
|
Includes completed loan modifications under HAMP; however, the number of such completions differs from that reported by the MHA Program administrator in part due to differences in the timing of recognizing the completions by us and the administrator.
|
(4)
|
Represents the number of borrowers as reported by our seller/servicers that have completed the full term of a repayment plan for past due amounts. Excludes borrowers that are actively repaying past due amounts under a repayment plan, which totaled 16,768, 15,467, and 21,382 borrowers as of
December 31, 2013
,
2012
, and
2011
, respectively.
|
(5)
|
Excludes loans with long-term forbearance under a completed loan modification. Many borrowers complete a short-term forbearance agreement before another loan workout is pursued or completed. We only report forbearance activity for a single loan once during each quarter; however, a single loan may be included under separate forbearance agreements in separate periods.
|
(6)
|
Represents the number of our single-family loans that completed foreclosure transfers, including third-party sales at foreclosure auction in which ownership of the property is transferred directly to a third party rather than to us.
|
|
117
|
Freddie Mac
|
|
|
Quarter of Loan Modification Completion
(2)
|
||||||||||||||||||||||
HAMP loan modifications:
|
|
3Q 2013
|
|
2Q 2013
|
|
1Q 2013
|
|
4Q 2012
|
|
3Q 2012
|
|
2Q 2012
|
|
1Q 2012
|
|
4Q 2011
|
||||||||
Time since modification:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
3 to 5 months
|
|
87
|
%
|
|
88
|
%
|
|
89
|
%
|
|
88
|
%
|
|
87
|
%
|
|
89
|
%
|
|
89
|
%
|
|
89
|
%
|
6 to 8 months
|
|
|
|
84
|
|
|
85
|
|
|
85
|
|
|
85
|
|
|
85
|
|
|
84
|
|
|
85
|
|
|
9 to 11 months
|
|
|
|
|
|
82
|
|
|
83
|
|
|
82
|
|
|
84
|
|
|
81
|
|
|
81
|
|
||
12 to 14 months
|
|
|
|
|
|
|
|
80
|
|
|
80
|
|
|
81
|
|
|
81
|
|
|
79
|
|
|||
15 to 17 months
|
|
|
|
|
|
|
|
|
|
78
|
|
|
80
|
|
|
79
|
|
|
79
|
|
||||
18 to 20 months
|
|
|
|
|
|
|
|
|
|
|
|
79
|
|
|
77
|
|
|
77
|
|
|||||
21 to 23 months
|
|
|
|
|
|
|
|
|
|
|
|
|
|
76
|
|
|
76
|
|
||||||
24 to 26 months
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
75
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
Quarter of Loan Modification Completion
(2)
|
||||||||||||||||||||||
Non-HAMP loan modifications:
|
|
3Q 2013
|
|
2Q 2013
|
|
1Q 2013
|
|
4Q 2012
|
|
3Q 2012
|
|
3Q 2012
|
|
1Q 2012
|
|
4Q 2011
|
||||||||
Time since modification:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
3 to 5 months
|
|
82
|
%
|
|
83
|
%
|
|
84
|
%
|
|
83
|
%
|
|
82
|
%
|
|
84
|
%
|
|
72
|
%
|
|
78
|
%
|
6 to 8 months
|
|
|
|
77
|
|
|
78
|
|
|
79
|
|
|
79
|
|
|
79
|
|
|
64
|
|
|
69
|
|
|
9 to 11 months
|
|
|
|
|
|
74
|
|
|
75
|
|
|
75
|
|
|
77
|
|
|
60
|
|
|
62
|
|
||
12 to 14 months
|
|
|
|
|
|
|
|
72
|
|
|
72
|
|
|
74
|
|
|
62
|
|
|
58
|
|
|||
15 to 17 months
|
|
|
|
|
|
|
|
|
|
69
|
|
|
71
|
|
|
59
|
|
|
59
|
|
||||
18 to 20 months
|
|
|
|
|
|
|
|
|
|
|
|
69
|
|
|
56
|
|
|
57
|
|
|||||
21 to 23 months
|
|
|
|
|
|
|
|
|
|
|
|
|
|
55
|
|
|
56
|
|
||||||
24 to 26 months
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
55
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
Quarter of Loan Modification Completion
(2)
|
||||||||||||||||||||||
Total (HAMP and Non-HAMP):
|
|
3Q 2013
|
|
2Q 2013
|
|
1Q 2013
|
|
4Q 2012
|
|
3Q 2012
|
|
3Q 2012
|
|
1Q 2012
|
|
4Q 2011
|
||||||||
Time since modification:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
3 to 5 months
|
|
84
|
%
|
|
85
|
%
|
|
86
|
%
|
|
85
|
%
|
|
84
|
%
|
|
87
|
%
|
|
85
|
%
|
|
86
|
%
|
6 to 8 months
|
|
|
|
79
|
|
|
81
|
|
|
81
|
|
|
82
|
|
|
83
|
|
|
80
|
|
|
80
|
|
|
9 to 11 months
|
|
|
|
|
|
78
|
|
|
78
|
|
|
78
|
|
|
81
|
|
|
77
|
|
|
75
|
|
||
12 to 14 months
|
|
|
|
|
|
|
|
75
|
|
|
76
|
|
|
78
|
|
|
76
|
|
|
73
|
|
|||
15 to 17 months
|
|
|
|
|
|
|
|
|
|
73
|
|
|
77
|
|
|
74
|
|
|
73
|
|
||||
18 to 20 months
|
|
|
|
|
|
|
|
|
|
|
|
75
|
|
|
73
|
|
|
71
|
|
|||||
21 to 23 months
|
|
|
|
|
|
|
|
|
|
|
|
|
|
71
|
|
|
70
|
|
||||||
24 to 26 months
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
68
|
|
(1)
|
Represents the percentage of loans that are current and performing (no payment is 30 days or more past due) or have been paid in full. Excludes loans in modification trial periods.
|
(2)
|
Loan modifications are recognized as completed in the quarterly period in which the servicer has reported the modification as effective and the agreement has been accepted by us. For loans that have been remodified (e.g., where a borrower has received a new modification after defaulting on the prior modification) the rates reflect the status of each modification separately. For example, in the case of a remodified loan where the borrower is performing, the previous modification would be presented as being in default in the applicable period.
|
|
118
|
Freddie Mac
|
•
|
underwriting procedures for relief refinance mortgages are limited in many cases, and such procedures generally do not include all of the changes in underwriting standards we have implemented since 2008;
|
•
|
many of these loans have relatively high LTV ratios (e.g., greater than 90%), which can increase the probability of default and increase the amount of our loss if the borrower does default;
|
•
|
HARP loans may not be covered by mortgage insurance for the full excess of their UPB over 80%; and
|
•
|
beginning with changes announced in the fourth quarter of 2011, we have relieved the lenders of certain representations and warranties on the original mortgage being refinanced, which limits our ability to seek recovery or repurchase from the seller for breach. All relief refinance mortgages with application dates on or after November 19, 2012 have reduced representations and warranties from the seller. We continue to bear the credit risk for refinanced loans under this program, to the extent that such risk is not covered by existing mortgage insurance or other existing credit enhancements.
|
•
|
borrowers must meet eligibility requirements, such as having no more than one late payment within the previous 12 months and no late payments within the six months prior to refinancing; and
|
•
|
the new mortgage results in one or more of the following borrower benefits compared to the original loan: (a) a reduced monthly payment; (b) a lower interest rate; (c) a shorter loan term; or (d) replacement of an adjustable interest rate with a fixed interest rate.
|
|
|
Year Ended December 31, 2013
|
|
Year Ended December 31, 2012
|
||||||||||||||||||
|
|
UPB
|
|
Number of
Loans
|
|
Average Loan
Balance
(2)
|
|
UPB
|
|
Number of
Loans
|
|
Average loan
Balance
(2)
|
||||||||||
|
|
(dollars in millions, except for average loan balances)
|
||||||||||||||||||||
Purchases of relief refinance mortgages:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
HARP:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Above 125% LTV ratio
|
|
$
|
11,574
|
|
|
62,652
|
|
|
$
|
185,000
|
|
|
$
|
20,364
|
|
|
98,559
|
|
|
$
|
207,000
|
|
Above 100% to 125% LTV ratio
|
|
21,005
|
|
|
110,302
|
|
|
190,000
|
|
|
29,648
|
|
|
144,529
|
|
|
205,000
|
|
||||
Above 80% to 100% LTV ratio
|
|
29,958
|
|
|
167,420
|
|
|
179,000
|
|
|
36,886
|
|
|
191,208
|
|
|
193,000
|
|
||||
Other (80% and below LTV ratio)
|
|
36,658
|
|
|
270,138
|
|
|
136,000
|
|
|
35,870
|
|
|
252,569
|
|
|
142,000
|
|
||||
Total relief refinance mortgages
|
|
$
|
99,195
|
|
|
610,512
|
|
|
162,000
|
|
|
$
|
122,768
|
|
|
686,865
|
|
|
179,000
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
|
As of December 31, 2013
|
|
As of December 31, 2012
|
||||||||||||||||||
|
|
UPB
|
|
Number of
Loans
|
|
Serious
Delinquency
Rate
|
|
UPB
|
|
Number of
Loans
|
|
Serious
Delinquency
Rate
|
||||||||||
|
|
(dollars in millions)
|
||||||||||||||||||||
Balance of relief refinance mortgages:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
HARP:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Above 125% LTV ratio
|
|
$
|
30,579
|
|
|
158,531
|
|
|
0.90
|
%
|
|
$
|
20,163
|
|
|
98,371
|
|
|
0.29
|
%
|
||
Above 100% to 125% LTV ratio
|
|
68,416
|
|
|
344,832
|
|
|
1.01
|
|
|
52,761
|
|
|
251,497
|
|
|
1.20
|
|
||||
Above 80% to 100% LTV ratio
|
|
114,688
|
|
|
610,128
|
|
|
0.85
|
|
|
100,122
|
|
|
499,125
|
|
|
1.00
|
|
||||
Other (80% and below LTV ratio)
|
|
127,991
|
|
|
936,038
|
|
|
0.32
|
|
|
114,164
|
|
|
774,212
|
|
|
0.32
|
|
||||
Total relief refinance mortgages
|
|
$
|
341,674
|
|
|
2,049,529
|
|
|
0.64
|
|
|
$
|
287,210
|
|
|
1,623,205
|
|
|
0.66
|
|
(1)
|
Consists of all single-family relief refinance mortgage loans that we either purchased or guaranteed during the period, including those associated with other guarantee commitments and Other Guarantee Transactions.
|
(2)
|
Rounded to the nearest thousand.
|
|
119
|
Freddie Mac
|
|
120
|
Freddie Mac
|
|
|
As of December 31, 2013
|
|
As of December 31, 2012
|
|
As of December 31, 2011
|
|||||||||||||||||||||
|
|
Percentage
of Portfolio
|
|
|
|
Serious
Delinquency
Rate
|
|
Percentage
of Portfolio
|
|
|
|
Serious
Delinquency
Rate
|
|
Percentage of Portfolio
|
|
|
|
Serious Delinquency Rate
|
|||||||||
Credit Protection:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Non-credit-enhanced
|
|
83
|
%
|
|
|
|
2.04
|
%
|
|
87
|
%
|
|
|
|
2.66
|
%
|
|
86
|
%
|
|
|
|
|
2.84
|
%
|
||
Credit-enhanced
(1)
|
|
17
|
|
|
|
|
4.83
|
|
|
13
|
|
|
|
|
7.34
|
|
|
14
|
|
|
|
|
|
8.03
|
|
||
Total
(2)
|
|
100
|
%
|
|
|
|
2.39
|
|
|
100
|
%
|
|
|
|
3.25
|
|
|
100
|
%
|
|
|
|
|
3.58
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
|
# of Seriously
Delinquent
Loans
|
|
Percent
|
|
Serious
Delinquency
Rate
|
|
# of Seriously
Delinquent
Loans
|
|
Percent
|
|
Serious
Delinquency
Rate
|
|
# of Seriously Delinquent Loans
|
|
Percent
|
|
Serious Delinquency Rate
|
|||||||||
State:
(3)(4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Florida
|
|
42,948
|
|
|
17
|
%
|
|
6.44
|
%
|
|
69,034
|
|
|
20
|
%
|
|
9.87
|
%
|
|
82,006
|
|
|
20
|
%
|
|
10.89
|
%
|
New York
|
|
21,459
|
|
|
8
|
|
|
4.41
|
|
|
22,592
|
|
|
6
|
|
|
4.59
|
|
|
20,950
|
|
|
5
|
|
|
4.02
|
|
New Jersey
|
|
19,306
|
|
|
8
|
|
|
6.20
|
|
|
21,742
|
|
|
6
|
|
|
6.87
|
|
|
19,538
|
|
|
5
|
|
|
5.80
|
|
California
|
|
15,620
|
|
|
6
|
|
|
1.30
|
|
|
27,620
|
|
|
8
|
|
|
2.34
|
|
|
42,530
|
|
|
10
|
|
|
3.43
|
|
Illinois
|
|
15,521
|
|
|
6
|
|
|
2.79
|
|
|
22,923
|
|
|
7
|
|
|
4.08
|
|
|
28,039
|
|
|
7
|
|
|
4.72
|
|
All others
|
|
137,907
|
|
|
55
|
|
|
1.85
|
|
|
185,683
|
|
|
53
|
|
|
2.45
|
|
|
217,218
|
|
|
53
|
|
|
2.68
|
|
Total
|
|
252,761
|
|
|
100
|
%
|
|
|
|
349,594
|
|
|
100
|
%
|
|
|
|
410,281
|
|
|
100
|
%
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
|
# of Seriously
Delinquent
Loans
|
|
Percent
|
|
|
|
# of Seriously
Delinquent
Loans
|
|
Percent
|
|
|
|
# of Seriously Delinquent Loans
|
|
Percent
|
|
|
|||||||||
Aging, by locality:
(4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Judicial review states:
(5)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Less than or equal to 1 year
|
|
59,129
|
|
|
23
|
%
|
|
|
|
79,422
|
|
|
23
|
%
|
|
|
|
99,388
|
|
|
24
|
%
|
|
|
|||
More than 1 year and less than or equal to 2 years
|
|
30,604
|
|
|
12
|
|
|
|
|
50,506
|
|
|
14
|
|
|
|
|
67,894
|
|
|
17
|
%
|
|
|
|||
More than 2 years
|
|
65,154
|
|
|
26
|
|
|
|
|
77,766
|
|
|
22
|
|
|
|
|
63,429
|
|
|
16
|
%
|
|
|
|||
Non-judicial states:
(5)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Less than or equal to 1 year
|
|
60,175
|
|
|
24
|
|
|
|
|
87,641
|
|
|
25
|
|
|
|
|
115,495
|
|
|
28
|
%
|
|
|
|||
More than 1 year and less than or equal to 2 years
|
|
17,968
|
|
|
7
|
|
|
|
|
30,435
|
|
|
9
|
|
|
|
|
42,950
|
|
|
10
|
%
|
|
|
|||
More than 2 years
|
|
19,731
|
|
|
8
|
|
|
|
|
23,824
|
|
|
7
|
|
|
|
|
21,125
|
|
|
5
|
%
|
|
|
|||
Combined:
(5)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Less than or equal to 1 year
|
|
119,304
|
|
|
47
|
|
|
|
|
167,063
|
|
|
48
|
|
|
|
|
214,883
|
|
|
52
|
%
|
|
|
|||
More than 1 year and less than or equal to 2 years
|
|
48,572
|
|
|
19
|
|
|
|
|
80,941
|
|
|
23
|
|
|
|
|
110,844
|
|
|
27
|
%
|
|
|
|||
More than 2 years
|
|
84,885
|
|
|
34
|
|
|
|
|
101,590
|
|
|
29
|
|
|
|
|
84,554
|
|
|
21
|
%
|
|
|
|||
Total
|
|
252,761
|
|
|
100
|
%
|
|
|
|
349,594
|
|
|
100
|
%
|
|
|
|
410,281
|
|
|
100
|
%
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Payment Status:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
One month past due
|
|
1.73
|
%
|
|
|
|
|
|
1.85
|
%
|
|
|
|
|
|
2.02
|
%
|
|
|
|
|
||||||
Two months past due
|
|
0.57
|
%
|
|
|
|
|
|
0.66
|
%
|
|
|
|
|
|
0.70
|
%
|
|
|
|
|
(1)
|
See “Institutional Credit Risk” for information about our counterparties that provide credit enhancement on loans in our single-family credit guarantee portfolio.
|
(2)
|
As of
December 31, 2013
,
2012
, and
2011
, approximately 61%, 68% and 68%, respectively, of the single-family loans reported as seriously delinquent were in the process of foreclosure.
|
(3)
|
Represent the states with the highest number of seriously delinquent loans as of
December 31, 2013
.
|
(4)
|
Excludes loans underlying certain single-family Other Guarantee Transactions since the geographic information is not available to us for these loans.
|
(5)
|
For this presentation, the states and territories classified as having a judicial foreclosure process consist of: CT, DE, FL, HI, IA, IL, IN, KS, KY, LA, ME, ND, NE, NJ, NM, NY, OH, OK, OR, PA, PR, SC, SD, VI, VT, and WI. All other states are classified as having a non-judicial foreclosure process.
|
|
121
|
Freddie Mac
|
|
122
|
Freddie Mac
|
|
|
As of December 31, 2013
|
||||||||||||||||||||||
|
|
Alt-A
UPB
|
|
Non Alt-A
UPB
|
|
Total
UPB
|
|
Estimated
Current LTV
Ratio
(1)
|
|
Percentage
Modified
(2)
|
|
Serious
Delinquency
Rate
|
||||||||||||
|
|
(dollars in billions)
|
|
|
|
|
|
|
||||||||||||||||
Geographical distribution:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Arizona, California, Florida, and Nevada
(3)
|
|
$
|
23
|
|
|
$
|
399
|
|
|
$
|
422
|
|
|
68
|
%
|
|
5.9
|
%
|
|
3.0
|
%
|
|||
Illinois, Michigan, and Ohio
(4)
|
|
4
|
|
|
172
|
|
|
176
|
|
|
76
|
|
|
3.9
|
|
|
2.1
|
|
||||||
New York and New Jersey
(5)
|
|
7
|
|
|
138
|
|
|
145
|
|
|
67
|
|
|
4.3
|
|
|
5.1
|
|
||||||
All other states
|
|
23
|
|
|
887
|
|
|
910
|
|
|
69
|
|
|
3.0
|
|
|
1.9
|
|
||||||
Year of origination
(6)
:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
2013
|
|
—
|
|
|
270
|
|
|
270
|
|
|
69
|
|
|
—
|
|
|
—
|
|
||||||
2012
|
|
—
|
|
|
265
|
|
|
265
|
|
|
61
|
|
|
—
|
|
|
—
|
|
||||||
2011
|
|
—
|
|
|
120
|
|
|
120
|
|
|
58
|
|
|
—
|
|
|
0.2
|
|
||||||
2010
|
|
—
|
|
|
113
|
|
|
113
|
|
|
60
|
|
|
0.1
|
|
|
0.4
|
|
||||||
2009
|
|
—
|
|
|
120
|
|
|
120
|
|
|
62
|
|
|
0.5
|
|
|
0.9
|
|
||||||
HARP and other relief refinance loans
(6)
|
|
—
|
|
|
342
|
|
|
342
|
|
|
81
|
|
|
0.3
|
|
|
0.6
|
|
||||||
2005-2008 Legacy single-family book
|
|
48
|
|
|
220
|
|
|
268
|
|
|
87
|
|
|
16.5
|
|
|
8.8
|
|
||||||
Pre-2005 Legacy single-family book
|
|
9
|
|
|
146
|
|
|
155
|
|
|
50
|
|
|
4.6
|
|
|
3.2
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
As of December 31, 2012
|
||||||||||||||||||||||
|
|
Alt-A
UPB
|
|
Non Alt-A
UPB
|
|
Total
UPB
|
|
Estimated
Current LTV
Ratio
(1)
|
|
Percentage
Modified
(2)
|
|
Serious
Delinquency
Rate
|
||||||||||||
|
|
(dollars in billions)
|
|
|
|
|
|
|
||||||||||||||||
Geographical distribution:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Arizona, California, Florida, and Nevada
(3)
|
|
$
|
30
|
|
|
$
|
386
|
|
|
$
|
416
|
|
|
82
|
%
|
|
5.4
|
%
|
|
5.0
|
%
|
|||
Illinois, Michigan, and Ohio
(4)
|
|
5
|
|
|
171
|
|
|
176
|
|
|
82
|
|
|
3.5
|
|
|
3.0
|
|
||||||
New York and New Jersey
(5)
|
|
9
|
|
|
134
|
|
|
143
|
|
|
69
|
|
|
3.5
|
|
|
5.5
|
|
||||||
All other states
|
|
30
|
|
|
873
|
|
|
903
|
|
|
72
|
|
|
2.7
|
|
|
2.4
|
|
||||||
Year of origination
(6)
:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
2012
|
|
—
|
|
|
254
|
|
|
254
|
|
|
67
|
|
|
—
|
|
|
—
|
|
||||||
2011
|
|
—
|
|
|
158
|
|
|
158
|
|
|
64
|
|
|
—
|
|
|
0.1
|
|
||||||
2010
|
|
—
|
|
|
156
|
|
|
156
|
|
|
65
|
|
|
—
|
|
|
0.3
|
|
||||||
2009
|
|
—
|
|
|
177
|
|
|
177
|
|
|
67
|
|
|
0.2
|
|
|
0.7
|
|
||||||
HARP and other relief refinance loans
(6)
|
|
—
|
|
|
287
|
|
|
287
|
|
|
83
|
|
|
0.1
|
|
|
0.7
|
|
||||||
2005-2008 Legacy single-family book
|
|
62
|
|
|
326
|
|
|
388
|
|
|
98
|
|
|
11.0
|
|
|
9.6
|
|
||||||
Pre-2005 Legacy single-family book
|
|
12
|
|
|
206
|
|
|
218
|
|
|
56
|
|
|
3.3
|
|
|
3.2
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
2013
|
|
2012
|
||||||||||||||||||||
|
|
Alt-A
|
|
Non Alt-A
|
|
Total
|
|
Alt-A
|
|
Non Alt-A
|
|
Total
|
||||||||||||
|
|
(in millions)
|
||||||||||||||||||||||
Credit Losses
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Geographical distribution:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Arizona, California, Florida, and Nevada
(3)
|
|
$
|
802
|
|
|
$
|
1,438
|
|
|
$
|
2,240
|
|
|
$
|
1,816
|
|
|
$
|
4,526
|
|
|
$
|
6,342
|
|
Illinois, Michigan, and Ohio
(4)
|
|
158
|
|
|
773
|
|
|
931
|
|
|
276
|
|
|
1,500
|
|
|
1,776
|
|
||||||
New York and New Jersey
(5)
|
|
56
|
|
|
106
|
|
|
162
|
|
|
60
|
|
|
118
|
|
|
178
|
|
||||||
All other states
|
|
231
|
|
|
1,224
|
|
|
1,455
|
|
|
550
|
|
|
2,779
|
|
|
3,329
|
|
||||||
Year of origination
(6)
:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
2013
|
|
—
|
|
|
—
|
|
|
—
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
||||||
2012
|
|
—
|
|
|
2
|
|
|
2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
2011
|
|
—
|
|
|
9
|
|
|
9
|
|
|
—
|
|
|
3
|
|
|
3
|
|
||||||
2010
|
|
—
|
|
|
29
|
|
|
29
|
|
|
—
|
|
|
23
|
|
|
23
|
|
||||||
2009
|
|
—
|
|
|
95
|
|
|
95
|
|
|
—
|
|
|
134
|
|
|
134
|
|
||||||
Subtotal - New single-family book
|
|
—
|
|
|
135
|
|
|
135
|
|
|
—
|
|
|
160
|
|
|
160
|
|
||||||
HARP and other relief refinance loans
(6)
|
|
—
|
|
|
348
|
|
|
348
|
|
|
—
|
|
|
263
|
|
|
263
|
|
||||||
2005-2008 Legacy single-family book
|
|
1,190
|
|
|
2,688
|
|
|
3,878
|
|
|
2,601
|
|
|
7,544
|
|
|
10,145
|
|
||||||
Pre-2005 Legacy single-family book
|
|
57
|
|
|
370
|
|
|
427
|
|
|
101
|
|
|
956
|
|
|
1,057
|
|
(1)
|
See endnote (3) to “
Table 38 — Characteristics of the Single-Family Credit Guarantee Portfolio
” for information on our calculation of estimated current LTV ratios.
|
(2)
|
Represents the percentage of loans, based on loan count, in our single-family credit guarantee portfolio at period end that have been modified, including those with no changes in interest rate or maturity date, but where past due amounts are added to the outstanding principal balance of the loan.
|
|
123
|
Freddie Mac
|
(3)
|
Represents the four states that had the largest cumulative declines in home prices during the housing crisis that began in 2006, as measured using Freddie Mac’s home price index.
|
(4)
|
Represents selected states in the North Central region that have experienced adverse economic conditions since 2006.
|
(5)
|
Represents two states with a judicial foreclosure process in which there are a significant number of seriously delinquent loans within our single-family credit guarantee portfolio.
|
(6)
|
HARP and other relief refinance loans are presented separately rather than in the year that the refinancing occurred (from 2009 to 2013). All other refinance loans are presented in the year that the refinancing occurred. Prior period information has been revised to conform with the current period presentation.
|
|
124
|
Freddie Mac
|
|
|
As of December 31, 2013
|
|||||||||||||||||||||||||
|
|
Current LTV Ratio ≤ 80
(1)
|
|
Current LTV Ratio
of > 80 to 100
(1)
|
|
Current LTV > 100
(1)
|
|
Current LTV Ratio All Loans
(1)
|
|||||||||||||||||||
|
|
Percentage
of
Portfolio
(2)
|
|
Serious
Delinquency
Rate
|
|
Percentage
of
Portfolio
(2)
|
|
Serious
Delinquency
Rate
|
|
Percentage
of
Portfolio
(2)
|
|
Serious
Delinquency
Rate
|
|
Percentage
of
Portfolio
(2)
|
|
Percentage
Modified
(3)
|
|
Serious
Delinquency
Rate
|
|||||||||
By Product Type
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
FICO scores < 620:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
20 and 30- year or more amortizing fixed-rate
|
|
1.1
|
%
|
|
7.9
|
%
|
|
0.8
|
%
|
|
11.9
|
%
|
|
0.7
|
%
|
|
17.9
|
%
|
|
2.6
|
%
|
|
21.3
|
%
|
|
11.0
|
%
|
15- year amortizing fixed-rate
|
|
0.2
|
|
|
3.8
|
|
|
<0.1
|
|
|
3.8
|
|
|
<0.1
|
|
|
3.0
|
|
|
0.2
|
|
|
1.1
|
|
|
3.7
|
|
ARMs/adjustable rate
(4)
|
|
0.1
|
|
|
9.9
|
|
|
<0.1
|
|
|
16.0
|
|
|
<0.1
|
|
|
28.7
|
|
|
0.1
|
|
|
13.3
|
|
|
12.9
|
|
Interest-only
(5)
|
|
<0.1
|
|
|
12.3
|
|
|
<0.1
|
|
|
20.9
|
|
|
<0.1
|
|
|
31.3
|
|
|
<0.1
|
|
|
0.6
|
|
|
22.8
|
|
Other
(6)
|
|
<0.1
|
|
|
3.9
|
|
|
<0.1
|
|
|
9.8
|
|
|
<0.1
|
|
|
17.5
|
|
|
<0.1
|
|
|
5.5
|
|
|
5.7
|
|
Total FICO scores < 620
|
|
1.4
|
|
|
7.0
|
|
|
0.8
|
|
|
11.9
|
|
|
0.7
|
|
|
18.3
|
|
|
2.9
|
|
|
17.4
|
|
|
10.0
|
|
FICO scores of 620 to 659:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
20 and 30- year or more amortizing fixed-rate
|
|
2.4
|
|
|
5.3
|
|
|
1.1
|
|
|
9.1
|
|
|
1.2
|
|
|
15.2
|
|
|
4.7
|
|
|
16.3
|
|
|
8.0
|
|
15- year amortizing fixed-rate
|
|
0.5
|
|
|
2.2
|
|
|
0.1
|
|
|
2.5
|
|
|
<0.1
|
|
|
2.1
|
|
|
0.6
|
|
|
0.5
|
|
|
2.2
|
|
ARMs/adjustable rate
(4)
|
|
0.1
|
|
|
4.9
|
|
|
0.1
|
|
|
11.0
|
|
|
<0.1
|
|
|
25.3
|
|
|
0.2
|
|
|
3.5
|
|
|
8.5
|
|
Interest-only
(5)
|
|
0.1
|
|
|
9.8
|
|
|
0.1
|
|
|
15.9
|
|
|
0.1
|
|
|
28.3
|
|
|
0.3
|
|
|
0.4
|
|
|
19.5
|
|
Other
(6)
|
|
<0.1
|
|
|
3.6
|
|
|
<0.1
|
|
|
5.5
|
|
|
<0.1
|
|
|
6.3
|
|
|
<0.1
|
|
|
2.4
|
|
|
4.9
|
|
Total FICO scores of 620 to 659
|
|
3.1
|
|
|
4.5
|
|
|
1.4
|
|
|
9.0
|
|
|
1.3
|
|
|
15.8
|
|
|
5.8
|
|
|
12.6
|
|
|
7.2
|
|
FICO scores of ≥ 660:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
20 and 30- year or more amortizing fixed-rate
|
|
46.7
|
|
|
1.1
|
|
|
14.6
|
|
|
2.7
|
|
|
6.3
|
|
|
7.3
|
|
|
67.6
|
|
|
3.8
|
|
|
1.9
|
|
15- year amortizing fixed-rate
|
|
15.8
|
|
|
0.4
|
|
|
1.1
|
|
|
0.4
|
|
|
0.4
|
|
|
0.7
|
|
|
17.3
|
|
|
0.1
|
|
|
0.4
|
|
ARMs/adjustable rate
(4)
|
|
3.4
|
|
|
1.0
|
|
|
0.5
|
|
|
5.1
|
|
|
0.2
|
|
|
16.3
|
|
|
4.1
|
|
|
0.8
|
|
|
2.3
|
|
Interest-only
(5)
|
|
0.6
|
|
|
4.3
|
|
|
0.6
|
|
|
10.1
|
|
|
0.6
|
|
|
18.9
|
|
|
1.8
|
|
|
0.2
|
|
|
11.3
|
|
Other
(6)
|
|
<0.1
|
|
|
2.0
|
|
|
0.1
|
|
|
1.8
|
|
|
<0.1
|
|
|
3.0
|
|
|
0.1
|
|
|
0.9
|
|
|
2.1
|
|
Total FICO scores ≥ 660
|
|
66.5
|
|
|
0.8
|
|
|
16.9
|
|
|
2.8
|
|
|
7.5
|
|
|
8.0
|
|
|
90.9
|
|
|
2.6
|
|
|
1.7
|
|
Total FICO scores not available
|
|
0.3
|
|
|
5.6
|
|
|
0.1
|
|
|
12.0
|
|
|
<0.1
|
|
|
22.6
|
|
|
0.4
|
|
|
7.9
|
|
|
8.5
|
|
All FICO scores:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
20 and 30- year or more amortizing fixed-rate
|
|
50.4
|
|
|
1.6
|
|
|
16.6
|
|
|
3.7
|
|
|
8.1
|
|
|
9.3
|
|
|
75.1
|
|
|
5.4
|
|
|
2.8
|
|
15- year amortizing fixed-rate
|
|
16.5
|
|
|
0.5
|
|
|
1.2
|
|
|
0.6
|
|
|
0.3
|
|
|
0.9
|
|
|
18.0
|
|
|
0.1
|
|
|
0.5
|
|
ARMs/adjustable rate
(4)
|
|
3.6
|
|
|
1.6
|
|
|
0.6
|
|
|
6.2
|
|
|
0.2
|
|
|
18.4
|
|
|
4.4
|
|
|
1.4
|
|
|
3.1
|
|
Interest-only
(5)
|
|
0.7
|
|
|
5.0
|
|
|
0.7
|
|
|
11.0
|
|
|
0.8
|
|
|
20.4
|
|
|
2.2
|
|
|
0.2
|
|
|
12.5
|
|
Other
(6)
|
|
0.1
|
|
|
9.2
|
|
|
0.1
|
|
|
6.2
|
|
|
0.1
|
|
|
12.1
|
|
|
0.3
|
|
|
9.2
|
|
|
8.6
|
|
Total single-family credit guarantee portfolio
(7)
|
|
71.3
|
%
|
|
1.3
|
%
|
|
19.2
|
%
|
|
3.8
|
%
|
|
9.5
|
%
|
|
9.9
|
%
|
|
100.0
|
%
|
|
3.8
|
%
|
|
2.4
|
%
|
By Region
(8)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
FICO scores < 620:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
North Central
|
|
0.1
|
%
|
|
5.4
|
%
|
|
0.3
|
%
|
|
8.6
|
%
|
|
0.1
|
%
|
|
13.4
|
%
|
|
0.5
|
%
|
|
16.5
|
%
|
|
8.0
|
%
|
Northeast
|
|
0.4
|
|
|
10.3
|
|
|
0.2
|
|
|
18.1
|
|
|
0.2
|
|
|
25.6
|
|
|
0.8
|
|
|
19.6
|
|
|
14.4
|
|
Southeast
|
|
0.3
|
|
|
7.5
|
|
|
0.1
|
|
|
11.7
|
|
|
0.2
|
|
|
20.8
|
|
|
0.6
|
|
|
18.2
|
|
|
11.2
|
|
Southwest
|
|
0.3
|
|
|
5.3
|
|
|
0.1
|
|
|
10.3
|
|
|
<0.1
|
|
|
15.8
|
|
|
0.4
|
|
|
11.8
|
|
|
6.7
|
|
West
|
|
0.3
|
|
|
4.8
|
|
|
0.1
|
|
|
9.2
|
|
|
0.2
|
|
|
13.1
|
|
|
0.6
|
|
|
19.9
|
|
|
7.4
|
|
Total FICO scores < 620
|
|
1.4
|
|
|
7.0
|
|
|
0.8
|
|
|
11.9
|
|
|
0.7
|
|
|
18.3
|
|
|
2.9
|
|
|
17.4
|
|
|
10.0
|
|
FICO scores of 620 to 659:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
North Central
|
|
0.5
|
|
|
3.6
|
|
|
0.3
|
|
|
6.7
|
|
|
0.3
|
|
|
11.1
|
|
|
1.1
|
|
|
11.9
|
|
|
5.8
|
|
Northeast
|
|
0.8
|
|
|
6.6
|
|
|
0.3
|
|
|
14.0
|
|
|
0.4
|
|
|
23.0
|
|
|
1.5
|
|
|
13.4
|
|
|
10.3
|
|
Southeast
|
|
0.6
|
|
|
5.0
|
|
|
0.3
|
|
|
9.2
|
|
|
0.3
|
|
|
18.2
|
|
|
1.2
|
|
|
13.2
|
|
|
8.5
|
|
Southwest
|
|
0.5
|
|
|
3.2
|
|
|
0.2
|
|
|
6.8
|
|
|
<0.1
|
|
|
11.7
|
|
|
0.7
|
|
|
7.8
|
|
|
4.2
|
|
West
|
|
0.7
|
|
|
3.4
|
|
|
0.3
|
|
|
7.5
|
|
|
0.3
|
|
|
12.4
|
|
|
1.3
|
|
|
16.1
|
|
|
5.8
|
|
Total FICO scores of 620 to 659
|
|
3.1
|
|
|
4.5
|
|
|
1.4
|
|
|
9.0
|
|
|
1.3
|
|
|
15.8
|
|
|
5.8
|
|
|
12.6
|
|
|
7.2
|
|
FICO scores ≥ 660:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
North Central
|
|
10.7
|
|
|
0.6
|
|
|
3.8
|
|
|
1.9
|
|
|
1.5
|
|
|
5.3
|
|
|
16.0
|
|
|
2.1
|
|
|
1.2
|
|
Northeast
|
|
17.6
|
|
|
1.2
|
|
|
4.6
|
|
|
4.3
|
|
|
1.4
|
|
|
12.0
|
|
|
23.6
|
|
|
2.4
|
|
|
2.2
|
|
Southeast
|
|
9.4
|
|
|
1.2
|
|
|
3.2
|
|
|
2.9
|
|
|
2.0
|
|
|
10.0
|
|
|
14.6
|
|
|
3.0
|
|
|
2.4
|
|
Southwest
|
|
8.6
|
|
|
0.6
|
|
|
1.8
|
|
|
1.4
|
|
|
0.2
|
|
|
3.9
|
|
|
10.6
|
|
|
1.2
|
|
|
0.8
|
|
West
|
|
20.2
|
|
|
0.6
|
|
|
3.5
|
|
|
2.9
|
|
|
2.4
|
|
|
6.4
|
|
|
26.1
|
|
|
3.7
|
|
|
1.3
|
|
Total FICO scores ≥ 660
|
|
66.5
|
|
|
0.8
|
|
|
16.9
|
|
|
2.8
|
|
|
7.5
|
|
|
8.0
|
|
|
90.9
|
|
|
2.6
|
|
|
1.7
|
|
Total FICO scores not available
|
|
0.3
|
|
|
5.6
|
|
|
0.1
|
|
|
12.0
|
|
|
<0.1
|
|
|
22.6
|
|
|
0.4
|
|
|
7.9
|
|
|
8.5
|
|
All FICO scores:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
North Central
|
|
11.5
|
|
|
0.9
|
|
|
4.2
|
|
|
2.6
|
|
|
1.9
|
|
|
6.9
|
|
|
17.6
|
|
|
3.3
|
|
|
1.8
|
|
Northeast
|
|
19.0
|
|
|
1.8
|
|
|
5.1
|
|
|
5.8
|
|
|
1.9
|
|
|
15.1
|
|
|
26.0
|
|
|
3.8
|
|
|
3.2
|
|
Southeast
|
|
10.3
|
|
|
1.8
|
|
|
3.7
|
|
|
4.0
|
|
|
2.5
|
|
|
12.1
|
|
|
16.5
|
|
|
4.6
|
|
|
3.4
|
|
Southwest
|
|
9.4
|
|
|
1.0
|
|
|
2.1
|
|
|
2.5
|
|
|
0.3
|
|
|
6.6
|
|
|
11.8
|
|
|
2.2
|
|
|
1.4
|
|
West
|
|
21.1
|
|
|
0.8
|
|
|
4.1
|
|
|
3.5
|
|
|
2.9
|
|
|
7.4
|
|
|
28.1
|
|
|
4.7
|
|
|
1.7
|
|
Total single-family credit guarantee portfolio
(7)
|
|
71.3
|
%
|
|
1.3
|
%
|
|
19.2
|
%
|
|
3.8
|
%
|
|
9.5
|
%
|
|
9.9
|
%
|
|
100.0
|
%
|
|
3.8
|
%
|
|
2.4
|
%
|
|
125
|
Freddie Mac
|
|
|
As of December 31, 2012
|
|||||||||||||||||||||||||
|
|
Current LTV Ratio ≤ 80
(1)
|
|
Current LTV Ratio
of > 80 to 100
(1)
|
|
Current LTV > 100
(1)
|
|
Current LTV Ratio All Loans
(1)
|
|||||||||||||||||||
|
|
Percentage
of
Portfolio
(2)
|
|
Serious
Delinquency
Rate
|
|
Percentage
of
Portfolio
(2)
|
|
Serious
Delinquency
Rate
|
|
Percentage
of
Portfolio
(2)
|
|
Serious
Delinquency
Rate
|
|
Percentage
of
Portfolio
(2)
|
|
Percentage
Modified
(3)
|
|
Serious
Delinquency
Rate
|
|||||||||
By Product Type
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
FICO scores < 620:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
20 and 30- year or more amortizing fixed-rate
|
|
1.0
|
%
|
|
8.3
|
%
|
|
0.8
|
%
|
|
13.4
|
%
|
|
0.9
|
%
|
|
22.9
|
%
|
|
2.7
|
%
|
|
18.8
|
%
|
|
13.4
|
%
|
15- year amortizing fixed-rate
|
|
0.2
|
|
|
4.2
|
|
|
<0.1
|
|
|
8.0
|
|
|
<0.1
|
|
|
9.5
|
|
|
0.2
|
|
|
1.2
|
|
|
4.5
|
|
ARMs/adjustable rate
(4)
|
|
0.1
|
|
|
10.0
|
|
|
<0.1
|
|
|
16.5
|
|
|
<0.1
|
|
|
26.7
|
|
|
0.1
|
|
|
11.4
|
|
|
14.1
|
|
Interest-only
(5)
|
|
<0.1
|
|
|
15.0
|
|
|
<0.1
|
|
|
20.8
|
|
|
0.1
|
|
|
33.6
|
|
|
0.1
|
|
|
0.6
|
|
|
27.6
|
|
Other
(6)
|
|
<0.1
|
|
|
4.0
|
|
|
<0.1
|
|
|
8.4
|
|
|
<0.1
|
|
|
14.9
|
|
|
<0.1
|
|
|
4.9
|
|
|
5.7
|
|
Total FICO scores < 620
|
|
1.3
|
|
|
7.2
|
|
|
0.8
|
|
|
13.4
|
|
|
1.0
|
|
|
23.2
|
|
|
3.1
|
|
|
15.3
|
|
|
12.2
|
|
FICO scores of 620 to 659:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
20 and 30- year or more amortizing fixed-rate
|
|
2.2
|
|
|
5.5
|
|
|
1.3
|
|
|
9.7
|
|
|
1.7
|
|
|
18.8
|
|
|
5.2
|
|
|
13.8
|
|
|
9.8
|
|
15- year amortizing fixed-rate
|
|
0.6
|
|
|
2.5
|
|
|
<0.1
|
|
|
5.1
|
|
|
<0.1
|
|
|
8.4
|
|
|
0.6
|
|
|
0.6
|
|
|
2.7
|
|
ARMs/adjustable rate
(4)
|
|
0.1
|
|
|
5.1
|
|
|
0.1
|
|
|
11.7
|
|
|
0.1
|
|
|
23.7
|
|
|
0.3
|
|
|
2.6
|
|
|
10.9
|
|
Interest-only
(5)
|
|
<0.1
|
|
|
10.7
|
|
|
0.1
|
|
|
17.2
|
|
|
0.2
|
|
|
30.0
|
|
|
0.3
|
|
|
0.5
|
|
|
24.4
|
|
Other
(6)
|
|
<0.1
|
|
|
2.8
|
|
|
<0.1
|
|
|
4.6
|
|
|
<0.1
|
|
|
7.0
|
|
|
<0.1
|
|
|
1.9
|
|
|
4.7
|
|
Total FICO scores of 620 to 659
|
|
2.9
|
|
|
4.7
|
|
|
1.5
|
|
|
9.7
|
|
|
2.0
|
|
|
19.5
|
|
|
6.4
|
|
|
10.7
|
|
|
9.0
|
|
FICO scores of ≥ 660:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
20 and 30- year or more amortizing fixed-rate
|
|
40.1
|
|
|
1.1
|
|
|
17.0
|
|
|
2.9
|
|
|
9.8
|
|
|
9.4
|
|
|
66.9
|
|
|
3.3
|
|
|
2.6
|
|
15- year amortizing fixed-rate
|
|
14.7
|
|
|
0.4
|
|
|
1.0
|
|
|
0.9
|
|
|
0.3
|
|
|
2.3
|
|
|
16.0
|
|
|
0.1
|
|
|
0.5
|
|
ARMs/adjustable rate
(4)
|
|
3.0
|
|
|
1.0
|
|
|
0.7
|
|
|
4.6
|
|
|
0.5
|
|
|
15.4
|
|
|
4.2
|
|
|
0.6
|
|
|
3.4
|
|
Interest-only
(5)
|
|
0.4
|
|
|
4.2
|
|
|
0.7
|
|
|
9.7
|
|
|
1.6
|
|
|
20.6
|
|
|
2.7
|
|
|
0.2
|
|
|
15.0
|
|
Other
(6)
|
|
<0.1
|
|
|
1.9
|
|
|
0.1
|
|
|
1.5
|
|
|
0.1
|
|
|
2.5
|
|
|
0.2
|
|
|
0.7
|
|
|
1.9
|
|
Total FICO scores ≥ 660
|
|
58.2
|
|
|
0.9
|
|
|
19.5
|
|
|
3.0
|
|
|
12.3
|
|
|
10.6
|
|
|
90.0
|
|
|
2.3
|
|
|
2.3
|
|
Total FICO scores not available
|
|
0.3
|
|
|
5.4
|
|
|
0.1
|
|
|
11.6
|
|
|
0.1
|
|
|
23.0
|
|
|
0.5
|
|
|
6.5
|
|
|
8.9
|
|
All FICO scores:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
20 and 30- year or more amortizing fixed-rate
|
|
43.4
|
|
|
1.7
|
|
|
19.1
|
|
|
4.0
|
|
|
12.6
|
|
|
11.8
|
|
|
75.1
|
|
|
4.9
|
|
|
3.7
|
|
15- year amortizing fixed-rate
|
|
15.4
|
|
|
0.6
|
|
|
1.1
|
|
|
1.2
|
|
|
0.3
|
|
|
2.8
|
|
|
16.8
|
|
|
0.1
|
|
|
0.6
|
|
ARMs/adjustable rate
(4)
|
|
3.3
|
|
|
1.6
|
|
|
0.8
|
|
|
5.8
|
|
|
0.6
|
|
|
17.1
|
|
|
4.7
|
|
|
1.2
|
|
|
4.3
|
|
Interest-only
(5)
|
|
0.5
|
|
|
4.9
|
|
|
0.8
|
|
|
10.7
|
|
|
1.8
|
|
|
22.0
|
|
|
3.1
|
|
|
0.2
|
|
|
16.3
|
|
Other
(6)
|
|
0.1
|
|
|
9.6
|
|
|
0.1
|
|
|
6.8
|
|
|
0.1
|
|
|
10.2
|
|
|
0.3
|
|
|
7.9
|
|
|
8.9
|
|
Total single-family credit guarantee portfolio
(7)
|
|
62.7
|
%
|
|
1.4
|
%
|
|
21.9
|
%
|
|
4.1
|
%
|
|
15.4
|
%
|
|
12.7
|
%
|
|
100.0
|
%
|
|
3.4
|
%
|
|
3.3
|
%
|
By Region
(8)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
FICO scores < 620:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
North Central
|
|
0.2
|
%
|
|
5.9
|
%
|
|
0.2
|
%
|
|
10.4
|
%
|
|
0.2
|
%
|
|
18.1
|
%
|
|
0.6
|
%
|
|
14.8
|
%
|
|
10.5
|
%
|
Northeast
|
|
0.5
|
|
|
10.4
|
|
|
0.2
|
|
|
19.7
|
|
|
0.2
|
|
|
30.6
|
|
|
0.9
|
|
|
16.6
|
|
|
16.1
|
|
Southeast
|
|
0.2
|
|
|
7.9
|
|
|
0.2
|
|
|
13.5
|
|
|
0.3
|
|
|
27.7
|
|
|
0.7
|
|
|
16.0
|
|
|
14.5
|
|
Southwest
|
|
0.2
|
|
|
5.2
|
|
|
0.1
|
|
|
11.2
|
|
|
<0.1
|
|
|
19.5
|
|
|
0.3
|
|
|
10.6
|
|
|
7.4
|
|
West
|
|
0.2
|
|
|
4.9
|
|
|
0.1
|
|
|
10.2
|
|
|
0.3
|
|
|
17.3
|
|
|
0.6
|
|
|
18.0
|
|
|
10.1
|
|
Total FICO scores < 620
|
|
1.3
|
|
|
7.2
|
|
|
0.8
|
|
|
13.4
|
|
|
1.0
|
|
|
23.2
|
|
|
3.1
|
|
|
15.3
|
|
|
12.2
|
|
FICO scores of 620 to 659:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
North Central
|
|
0.5
|
|
|
3.9
|
|
|
0.3
|
|
|
7.7
|
|
|
0.4
|
|
|
14.5
|
|
|
1.2
|
|
|
10.2
|
|
|
7.5
|
|
Northeast
|
|
0.9
|
|
|
6.6
|
|
|
0.4
|
|
|
14.4
|
|
|
0.4
|
|
|
25.8
|
|
|
1.7
|
|
|
11.1
|
|
|
11.5
|
|
Southeast
|
|
0.5
|
|
|
5.4
|
|
|
0.3
|
|
|
10.2
|
|
|
0.5
|
|
|
23.9
|
|
|
1.3
|
|
|
11.0
|
|
|
11.3
|
|
Southwest
|
|
0.5
|
|
|
3.3
|
|
|
0.2
|
|
|
7.6
|
|
|
0.1
|
|
|
14.5
|
|
|
0.8
|
|
|
6.8
|
|
|
4.8
|
|
West
|
|
0.5
|
|
|
3.4
|
|
|
0.3
|
|
|
8.0
|
|
|
0.6
|
|
|
16.1
|
|
|
1.4
|
|
|
14.2
|
|
|
8.3
|
|
Total FICO scores of 620 to 659
|
|
2.9
|
|
|
4.7
|
|
|
1.5
|
|
|
9.7
|
|
|
2.0
|
|
|
19.5
|
|
|
6.4
|
|
|
10.7
|
|
|
9.0
|
|
FICO scores of ≥ 660:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
North Central
|
|
9.4
|
|
|
0.7
|
|
|
4.4
|
|
|
2.2
|
|
|
2.3
|
|
|
7.0
|
|
|
16.1
|
|
|
1.9
|
|
|
1.7
|
|
Northeast
|
|
15.9
|
|
|
1.2
|
|
|
5.2
|
|
|
4.6
|
|
|
1.9
|
|
|
14.2
|
|
|
23.0
|
|
|
2.0
|
|
|
2.6
|
|
Southeast
|
|
8.3
|
|
|
1.3
|
|
|
3.5
|
|
|
3.3
|
|
|
3.0
|
|
|
14.2
|
|
|
14.8
|
|
|
2.5
|
|
|
3.7
|
|
Southwest
|
|
8.0
|
|
|
0.7
|
|
|
2.1
|
|
|
2.0
|
|
|
0.3
|
|
|
5.9
|
|
|
10.4
|
|
|
1.1
|
|
|
1.0
|
|
West
|
|
16.6
|
|
|
0.6
|
|
|
4.3
|
|
|
2.8
|
|
|
4.8
|
|
|
9.1
|
|
|
25.7
|
|
|
3.4
|
|
|
2.3
|
|
Total FICO scores ≥ 660
|
|
58.2
|
|
|
0.9
|
|
|
19.5
|
|
|
3.0
|
|
|
12.3
|
|
|
10.6
|
|
|
90.0
|
|
|
2.3
|
|
|
2.3
|
|
Total FICO scores not available
|
|
0.3
|
|
|
5.4
|
|
|
0.1
|
|
|
11.6
|
|
|
0.1
|
|
|
23.0
|
|
|
0.5
|
|
|
6.5
|
|
|
8.9
|
|
All FICO scores:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
North Central
|
|
10.1
|
|
|
1.0
|
|
|
4.8
|
|
|
3.0
|
|
|
3.0
|
|
|
9.0
|
|
|
17.9
|
|
|
3.0
|
|
|
2.5
|
|
Northeast
|
|
17.1
|
|
|
1.9
|
|
|
5.9
|
|
|
6.1
|
|
|
2.5
|
|
|
17.6
|
|
|
25.5
|
|
|
3.3
|
|
|
3.8
|
|
Southeast
|
|
9.1
|
|
|
1.9
|
|
|
4.0
|
|
|
4.5
|
|
|
3.8
|
|
|
16.7
|
|
|
16.9
|
|
|
4.0
|
|
|
5.0
|
|
Southwest
|
|
8.9
|
|
|
1.1
|
|
|
2.5
|
|
|
3.2
|
|
|
0.4
|
|
|
9.3
|
|
|
11.8
|
|
|
2.1
|
|
|
1.7
|
|
West
|
|
17.5
|
|
|
0.8
|
|
|
4.7
|
|
|
3.3
|
|
|
5.7
|
|
|
10.2
|
|
|
27.9
|
|
|
4.4
|
|
|
2.8
|
|
Total single-family credit guarantee portfolio
(7)
|
|
62.7
|
%
|
|
1.4
|
%
|
|
21.9
|
%
|
|
4.1
|
%
|
|
15.4
|
%
|
|
12.7
|
%
|
|
100.0
|
%
|
|
3.4
|
%
|
|
3.3
|
%
|
(1)
|
The current LTV ratios are our estimates. See endnote (3) to “
Table 38 — Characteristics of the Single-Family Credit Guarantee Portfolio
” for further information.
|
(2)
|
Based on UPB of the single-family credit guarantee portfolio.
|
(3)
|
See endnote (2) to “
Table 49 — Credit Concentrations in the Single-Family Credit Guarantee Portfolio
” for further information.
|
(4)
|
Includes balloon/reset and option ARM mortgage loans.
|
(5)
|
Includes both fixed rate and adjustable rate loans. The percentages of interest-only loans which have been modified at period end reflect that a number of these loans have not yet been assigned to their new product category (post-modification), primarily due to delays in processing.
|
|
126
|
Freddie Mac
|
(6)
|
Consist of FHA/VA and other government guaranteed mortgages.
|
(7)
|
The total of all FICO scores categories may not sum due to the inclusion of loans where FICO scores are not available in the respective totals for all loans. See endnote (5) to “
Table 38 — Characteristics of the Single-Family Credit Guarantee Portfolio
” for further information about our presentation of FICO scores.
|
(8)
|
Presentation with the following regional designation: West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA); Northeast (CT, DE, DC, MA, ME, MD, NH, NJ, NY, PA, RI, VT, VA, WV); North Central (IL, IN, IA, MI, MN, ND, OH, SD, WI); Southeast (AL, FL, GA, KY, MS, NC, PR, SC, TN, VI); and Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY).
|
|
|
As of December 31,
|
||||||||||
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
|
Percentage
of Portfolio
|
|
Foreclosure
and Short
Sale Rate
(1)
|
|
Foreclosure
and Short
Sale Rate
(1)
|
|
Foreclosure
and Short
Sale Rate
(1)
|
||||
Year of Origination
(2)
:
|
|
|
|
|
|
|
|
|
||||
2013
|
|
16
|
%
|
|
—
|
%
|
|
N/A
|
|
|
N/A
|
|
2012
|
|
16
|
|
|
—
|
|
|
—
|
%
|
|
N/A
|
|
2011
|
|
8
|
|
|
0.03
|
|
|
0.01
|
|
|
—
|
%
|
2010
|
|
7
|
|
|
0.11
|
|
|
0.05
|
|
|
0.01
|
|
2009
|
|
7
|
|
|
0.34
|
|
|
0.23
|
|
|
0.11
|
|
Subtotal — New single-family book
|
|
54
|
|
|
0.12
|
|
|
0.09
|
|
|
0.05
|
|
HARP and other relief refinance loans
(2)
|
|
21
|
|
|
0.56
|
|
|
0.36
|
|
|
0.20
|
|
2005-2008 Legacy single-family book
|
|
16
|
|
|
8.03
|
|
|
6.87
|
|
|
5.35
|
|
Pre-2005 Legacy single-family book
(3)
|
|
9
|
|
|
1.34
|
|
|
1.20
|
|
|
1.04
|
|
Total
|
|
100
|
%
|
|
|
|
|
|
|
(1)
|
Calculated for each year of origination as the number of loans that have proceeded to foreclosure transfer or short sale and resulted in a credit loss, excluding any subsequent recoveries, during the period from origination to
December 31, 2013
,
2012
, and
2011
, respectively, divided by the number of loans originated in that year that were acquired in our single-family credit guarantee portfolio.
|
(2)
|
HARP and other relief refinance loans are presented separately rather than in the year that the refinancing occurred (from 2009 to 2013). All other refinance loans are presented in the year that the refinancing occurred. Prior period information has been revised to conform with the current period presentation.
|
(3)
|
The foreclosure and short sale rate presented for the Pre-2005 Legacy single-family book represents the rate associated with loans originated in 2000 through 2004.
|
|
127
|
Freddie Mac
|
|
|
UPB at
|
|
Delinquency Rate
(1)
at
|
||||||||||
|
|
December 31, 2013
|
|
December 31, 2012
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||
|
|
(dollars in billions)
|
|
|
|
|
||||||||
Original LTV ratio
|
|
|
|
|
|
|
|
|
||||||
Below 75%
|
|
$
|
93.1
|
|
|
$
|
87.6
|
|
|
0.06
|
%
|
|
0.04
|
%
|
75% to 80%
|
|
34.1
|
|
|
34.0
|
|
|
0.15
|
|
|
0.22
|
|
||
Above 80%
|
|
5.6
|
|
|
5.8
|
|
|
0.19
|
|
|
2.31
|
|
||
Total
|
|
$
|
132.8
|
|
|
$
|
127.4
|
|
|
0.09
|
%
|
|
0.19
|
%
|
Weighted average LTV ratio at origination
|
|
70
|
%
|
|
70
|
%
|
|
|
|
|
||||
Maturity Dates
|
|
|
|
|
|
|
|
|
||||||
2013
|
|
N/A
|
|
$
|
3.3
|
|
|
N/A
|
|
|
0.86
|
%
|
||
2014
|
|
$
|
2.1
|
|
|
5.8
|
|
|
0.12
|
%
|
|
—
|
|
|
2015
|
|
6.9
|
|
|
9.8
|
|
|
0.05
|
|
|
0.53
|
|
||
2016
|
|
11.2
|
|
|
13.0
|
|
|
—
|
|
|
0.05
|
|
||
2017
|
|
10.0
|
|
|
10.9
|
|
|
0.43
|
|
|
0.02
|
|
||
2018
|
|
17.0
|
|
|
17.3
|
|
|
—
|
|
|
—
|
|
||
Beyond 2018
|
|
85.6
|
|
|
67.3
|
|
|
0.08
|
|
|
0.24
|
|
||
Total
|
|
$
|
132.8
|
|
|
$
|
127.4
|
|
|
0.09
|
%
|
|
0.19
|
%
|
Year of Acquisition or Guarantee
(2)
|
|
|
|
|
|
|
|
|
||||||
2006 and prior
|
|
$
|
19.1
|
|
|
$
|
25.2
|
|
|
—
|
%
|
|
0.17
|
%
|
2007
|
|
15.1
|
|
|
17.8
|
|
|
0.54
|
|
|
0.86
|
|
||
2008
|
|
13.2
|
|
|
16.6
|
|
|
0.18
|
|
|
0.30
|
|
||
2009
|
|
11.2
|
|
|
12.2
|
|
|
—
|
|
|
—
|
|
||
2010
|
|
10.9
|
|
|
12.0
|
|
|
0.13
|
|
|
—
|
|
||
2011
|
|
15.9
|
|
|
17.0
|
|
|
—
|
|
|
—
|
|
||
2012
|
|
23.7
|
|
|
26.6
|
|
|
—
|
|
|
—
|
|
||
2013
|
|
23.7
|
|
|
N/A
|
|
—
|
|
|
N/A
|
|
|||
Total
|
|
$
|
132.8
|
|
|
$
|
127.4
|
|
|
0.09
|
%
|
|
0.19
|
%
|
Current Loan Size
|
|
|
|
|
|
|
|
|
||||||
Above $25 million
|
|
$
|
50.6
|
|
|
$
|
48.5
|
|
|
0.05
|
%
|
|
0.06
|
%
|
Above $5 million to $25 million
|
|
73.2
|
|
|
70.0
|
|
|
0.11
|
|
|
0.26
|
|
||
$5 million and below
|
|
9.0
|
|
|
8.9
|
|
|
0.14
|
|
|
0.37
|
|
||
Total
|
|
$
|
132.8
|
|
|
$
|
127.4
|
|
|
0.09
|
%
|
|
0.19
|
%
|
Legal Structure
|
|
|
|
|
|
|
|
|
||||||
Unsecuritized loans
|
|
$
|
59.2
|
|
|
$
|
76.6
|
|
|
0.08
|
%
|
|
0.08
|
%
|
K Certificates
|
|
59.8
|
|
|
37.2
|
|
|
0.07
|
|
|
0.07
|
|
||
Other Freddie Mac mortgage-related securities
|
|
4.8
|
|
|
4.2
|
|
|
0.59
|
|
|
3.20
|
|
||
Other guarantee commitments
|
|
9.0
|
|
|
9.4
|
|
|
—
|
|
|
0.13
|
|
||
Total
|
|
$
|
132.8
|
|
|
$
|
127.4
|
|
|
0.09
|
%
|
|
0.19
|
%
|
Credit Enhancement
|
|
|
|
|
|
|
|
|
||||||
Credit-enhanced
|
|
$
|
70.2
|
|
|
$
|
47.8
|
|
|
0.11
|
%
|
|
0.36
|
%
|
Non-credit-enhanced
|
|
62.6
|
|
|
79.6
|
|
|
0.07
|
|
|
0.10
|
|
||
Total
|
|
$
|
132.8
|
|
|
$
|
127.4
|
|
|
0.09
|
%
|
|
0.19
|
%
|
Payment Type
|
|
|
|
|
|
|
|
|
||||||
Interest-only
|
|
$
|
20.1
|
|
|
$
|
22.8
|
|
|
0.14
|
%
|
|
0.05
|
%
|
Partial interest-only
(3)
|
|
32.6
|
|
|
29.8
|
|
|
—
|
|
|
0.05
|
|
||
Amortizing
|
|
80.1
|
|
|
74.8
|
|
|
0.12
|
|
|
0.30
|
|
||
Total
|
|
$
|
132.8
|
|
|
$
|
127.4
|
|
|
0.09
|
%
|
|
0.19
|
%
|
(1)
|
Our delinquency rates for multifamily loans are positively affected to the extent we have been successful in working with troubled borrowers to modify their loans prior to becoming delinquent or by providing temporary relief through short-term loan extensions or forbearance agreements. See “
Multifamily Delinquencies
” below for more information about our multifamily delinquency rates.
|
(2)
|
Based on either: (a) the year of acquisition, for loans recorded on our consolidated balance sheets; or (b) the year that we issued our guarantee, for the remaining loans in our multifamily mortgage portfolio.
|
(3)
|
Represent loans that have an interest-only period and where the borrower’s payments were interest-only at the respective reporting date. Loans which have reached the end of their interest-only period by the respective reporting date have converted to, and are classified as, amortizing loans.
|
|
128
|
Freddie Mac
|
|
129
|
Freddie Mac
|
|
|
December 31,
|
||||||||||||||||||
|
|
2013
|
|
2012
|
|
2011
|
|
2010
|
|
2009
|
||||||||||
|
|
(dollars in millions)
|
||||||||||||||||||
Non-performing mortgage loans — on balance sheet:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Single-family TDRs:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Less than three monthly payments past due
|
|
$
|
78,033
|
|
|
$
|
65,784
|
|
|
$
|
44,440
|
|
|
$
|
26,612
|
|
|
$
|
711
|
|
Seriously delinquent
|
|
19,573
|
|
|
22,008
|
|
|
11,639
|
|
|
3,144
|
|
|
477
|
|
|||||
Multifamily TDRs
(2)
|
|
712
|
|
|
815
|
|
|
893
|
|
|
911
|
|
|
229
|
|
|||||
Total TDRs
|
|
98,318
|
|
|
88,607
|
|
|
56,972
|
|
|
30,667
|
|
|
1,417
|
|
|||||
Other seriously delinquent single-family loans
(3)
|
|
23,280
|
|
|
39,711
|
|
|
63,205
|
|
|
84,272
|
|
|
12,106
|
|
|||||
Other multifamily loans
(4)
|
|
590
|
|
|
1,411
|
|
|
1,819
|
|
|
1,750
|
|
|
1,196
|
|
|||||
Total non-performing mortgage loans — on balance sheet
|
|
122,188
|
|
|
129,729
|
|
|
121,996
|
|
|
116,689
|
|
|
14,719
|
|
|||||
Non-performing mortgage loans — off-balance sheet:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Single-family loans
|
|
871
|
|
|
1,096
|
|
|
1,230
|
|
|
1,450
|
|
|
85,395
|
|
|||||
Multifamily loans
|
|
381
|
|
|
474
|
|
|
246
|
|
|
198
|
|
|
178
|
|
|||||
Total non-performing mortgage loans — off-balance sheet
|
|
1,252
|
|
|
1,570
|
|
|
1,476
|
|
|
1,648
|
|
|
85,573
|
|
|||||
Real estate owned, net
|
|
4,551
|
|
|
4,378
|
|
|
5,680
|
|
|
7,068
|
|
|
4,692
|
|
|||||
Total non-performing assets
|
|
$
|
127,991
|
|
|
$
|
135,677
|
|
|
$
|
129,152
|
|
|
$
|
125,405
|
|
|
$
|
104,984
|
|
Loan loss reserves as a percentage of our non-performing mortgage loans
|
|
20.0
|
%
|
|
23.5
|
%
|
|
32.0
|
%
|
|
33.7
|
%
|
|
33.8
|
%
|
|||||
Total non-performing assets as a percentage of the total mortgage portfolio, excluding non-Freddie Mac securities
|
|
7.1
|
%
|
|
7.5
|
%
|
|
6.8
|
%
|
|
6.4
|
%
|
|
5.2
|
%
|
(1)
|
Mortgage loan amounts are based on UPB and REO, net is based on carrying values.
|
(2)
|
As of
December 31, 2013
,
2012
,
2011
, 2010, and 2009, approximately $0.7 billion, $0.8 billion, $0.9 billion, $0.9 billion, and $0.3 billion of these amounts were current, respectively.
|
(3)
|
Represents loans recognized by us on our consolidated balance sheets, including loans removed from PC trusts due to the borrower’s serious delinquency.
|
(4)
|
Of these amounts, $0.6 billion, $1.4 billion, $1.8 billion, $1.6 billion, and $1.1 billion of UPB were current at
December 31, 2013
,
2012
,
2011
, 2010, and 2009, respectively.
|
|
130
|
Freddie Mac
|
|
|
December 31,
|
|||||||
|
|
2013
|
|
2012
|
|
2011
|
|||
|
|
(number of properties)
|
|||||||
REO Inventory
|
|
|
|
|
|
|
|||
Single-family:
|
|
|
|
|
|
|
|||
Inventory, beginning of year
|
|
49,071
|
|
|
60,535
|
|
|
72,079
|
|
Acquisitions, by region:
|
|
|
|
|
|
|
|||
Northeast
|
|
10,023
|
|
|
7,352
|
|
|
6,969
|
|
Southeast
|
|
23,827
|
|
|
23,906
|
|
|
23,182
|
|
North Central
|
|
20,834
|
|
|
27,586
|
|
|
26,255
|
|
Southwest
|
|
6,996
|
|
|
10,197
|
|
|
12,858
|
|
West
|
|
9,001
|
|
|
13,771
|
|
|
29,367
|
|
Total single-family acquisitions
|
|
70,681
|
|
|
82,812
|
|
|
98,631
|
|
Dispositions, by region:
|
|
|
|
|
|
|
|||
Northeast
|
|
(7,071
|
)
|
|
(7,544
|
)
|
|
(8,883
|
)
|
Southeast
|
|
(20,956
|
)
|
|
(25,803
|
)
|
|
(28,298
|
)
|
North Central
|
|
(25,946
|
)
|
|
(28,137
|
)
|
|
(25,970
|
)
|
Southwest
|
|
(8,395
|
)
|
|
(12,134
|
)
|
|
(13,098
|
)
|
West
|
|
(10,077
|
)
|
|
(20,658
|
)
|
|
(33,926
|
)
|
Total single-family dispositions
|
|
(72,445
|
)
|
|
(94,276
|
)
|
|
(110,175
|
)
|
Inventory, end of year
|
|
47,307
|
|
|
49,071
|
|
|
60,535
|
|
|
|
|
|
|
|
|
|||
Multifamily:
|
|
|
|
|
|
|
|||
Inventory, beginning of year
|
|
6
|
|
|
20
|
|
|
14
|
|
Acquisitions
|
|
4
|
|
|
6
|
|
|
25
|
|
Dispositions
|
|
(9
|
)
|
|
(20
|
)
|
|
(19
|
)
|
Inventory, end of year
|
|
1
|
|
|
6
|
|
|
20
|
|
Total inventory, end of year
|
|
47,308
|
|
|
49,077
|
|
|
60,555
|
|
(1)
|
See endnote (8) to “
Table 50 — Single-Family Credit Guarantee Portfolio by Attribute Combinations
” for a description of these regions.
|
|
131
|
Freddie Mac
|
|
|
As of December 31,
|
||||
|
|
2013
|
|
2012
|
||
|
|
(Percent of properties)
|
||||
Unable to market:
|
|
|
|
|
||
Redemption period
(1)
|
|
11
|
%
|
|
15
|
%
|
Occupied (waiting for eviction or vacancy)
|
|
18
|
|
|
18
|
|
Other
(2)
|
|
4
|
|
|
3
|
|
Subtotal — unable to market
|
|
33
|
|
|
36
|
|
Pre-listing
(3)
|
|
23
|
|
|
23
|
|
Pending settlement for sale
(4)
|
|
14
|
|
|
14
|
|
Available for sale
|
|
30
|
|
|
27
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
(1)
|
Consists of properties located in jurisdictions that require a period of time after foreclosure during which the borrower may reclaim the property.
|
(2)
|
Includes properties where marketing is on hold, including where we are involved in litigation or other legal and regulatory issues concerning the property.
|
(3)
|
Consists of properties that are not being actively marketed because we are evaluating the property condition and preparing the property for sale.
|
(4)
|
Consists of properties where we have an executed sales contract and settlement has not yet occurred.
|
|
132
|
Freddie Mac
|
|
|
December 31,
|
||||||||||
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
(dollars in millions)
|
|||||||||||
REO
|
|
|
|
|
|
|
||||||
REO balances, net:
|
|
|
|
|
|
|
||||||
Single-family
|
|
$
|
4,541
|
|
|
$
|
4,314
|
|
|
$
|
5,548
|
|
Multifamily
|
|
10
|
|
|
64
|
|
|
132
|
|
|||
Total
|
|
$
|
4,551
|
|
|
$
|
4,378
|
|
|
$
|
5,680
|
|
REO operations (income) expense:
|
|
|
|
|
|
|
||||||
Single-family
|
|
$
|
(124
|
)
|
|
$
|
62
|
|
|
$
|
596
|
|
Multifamily
|
|
(16
|
)
|
|
(3
|
)
|
|
(11
|
)
|
|||
Total
|
|
$
|
(140
|
)
|
|
$
|
59
|
|
|
$
|
585
|
|
Charge-offs
|
|
|
|
|
|
|
||||||
Single-family:
|
|
|
|
|
|
|
||||||
Charge-offs, gross
(1)
(including $9.0 billion, $13.5 billion, and $14.7 billion relating to loan loss reserves, respectively)
|
|
$
|
9,225
|
|
|
$
|
13,825
|
|
|
$
|
15,149
|
|
Recoveries
(2)
|
|
(4,313
|
)
|
|
(2,262
|
)
|
|
(2,764
|
)
|
|||
Single-family, net
|
|
$
|
4,912
|
|
|
$
|
11,563
|
|
|
$
|
12,385
|
|
Multifamily:
|
|
|
|
|
|
|
||||||
Charge-offs, gross
(1)
(including $7 million, $36 million, and $75 million relating to loan loss reserves, respectively)
|
|
$
|
29
|
|
|
$
|
39
|
|
|
$
|
83
|
|
Recoveries
(2)
|
|
(1
|
)
|
|
(2
|
)
|
|
(1
|
)
|
|||
Multifamily, net
|
|
$
|
28
|
|
|
$
|
37
|
|
|
$
|
82
|
|
Total Charge-offs:
|
|
|
|
|
|
|
||||||
Charge-offs, gross
(1)
(including $9.0 billion, $13.6 billion, and $14.8 billion relating to loan loss reserves, respectively)
|
|
$
|
9,254
|
|
|
$
|
13,864
|
|
|
$
|
15,232
|
|
Recoveries
(2)
|
|
(4,314
|
)
|
|
(2,264
|
)
|
|
(2,765
|
)
|
|||
Total Charge-offs, net
|
|
$
|
4,940
|
|
|
$
|
11,600
|
|
|
$
|
12,467
|
|
Credit Losses
(3)
|
|
|
|
|
|
|
||||||
Single-family
|
|
$
|
4,788
|
|
|
$
|
11,625
|
|
|
$
|
12,981
|
|
Multifamily
|
|
12
|
|
|
34
|
|
|
71
|
|
|||
Total
|
|
$
|
4,800
|
|
|
$
|
11,659
|
|
|
$
|
13,052
|
|
Total (in bps)
(4)
|
|
26.7
|
|
|
63.8
|
|
|
68.1
|
|
(1)
|
Represent the carrying amount of a loan that has been discharged in order to remove the loan from our consolidated balance sheet at the time of resolution, regardless of when the impact of the credit loss was recorded on our consolidated statements of comprehensive income. Charge-offs primarily result from foreclosure transfers and short sales and are generally calculated as the recorded investment of a loan at the date it is discharged less the estimated value in final disposition or actual net sales in a short sale. Multifamily charge-offs also include cumulative fair value losses recognized through the date of foreclosure for loans which we elected to carry at fair value at the time of our purchase.
|
(2)
|
Recoveries of charge-offs primarily result from foreclosure alternatives and REO acquisitions on loans where: (a) a share of default risk has been assumed by mortgage insurers, servicers, or other third parties through credit enhancements; or (b) we received a reimbursement of our losses from a seller/servicer associated with a repurchase request on a loan that experienced a foreclosure transfer or a foreclosure alternative. Includes $2.8 billion, $0.7 billion, and $1.0 billion in 2013, 2012, and 2011, respectively, related to repurchase requests from our seller/servicers (including $2.1 billion in 2013 and $0, in both 2012 and 2011, respectively, related to settlement agreements with certain sellers to release specified loans from certain repurchase obligations in exchange for one-time cash payments).
|
(3)
|
Excludes foregone interest on non-performing loans, which reduces our net interest income but is not reflected in our total credit losses. In addition, excludes certain other market-based credit losses, including those: (a) incurred on our investments in mortgage loans and mortgage-related securities; and (b) recognized in our consolidated statements of comprehensive income.
|
(4)
|
Calculated as credit losses divided by the average carrying value of our total mortgage portfolio, excluding non-Freddie Mac mortgage-related securities and that portion of REMICs and Other Structured Securities that are backed by Ginnie Mae Certificates.
|
|
133
|
Freddie Mac
|
|
For the Three Months Ended
|
|||||||||||||
|
12/31/2013
|
|
9/30/2013
|
|
6/30/2013
|
|
3/31/2013
|
|
12/31/2012
|
|||||
REO disposition severity ratio:
(1)
|
|
|
|
|
|
|
|
|
|
|||||
Florida
|
40.4
|
%
|
|
40.5
|
%
|
|
42.9
|
%
|
|
44.5
|
%
|
|
46.2
|
%
|
Illinois
|
43.4
|
|
|
43.7
|
|
|
47.2
|
|
|
49.9
|
|
|
50.1
|
|
California
|
24.4
|
|
|
28.7
|
|
|
30.2
|
|
|
35.2
|
|
|
38.1
|
|
Nevada
|
36.1
|
|
|
36.4
|
|
|
37.9
|
|
|
44.1
|
|
|
49.0
|
|
Maryland
|
37.4
|
|
|
38.0
|
|
|
39.0
|
|
|
42.3
|
|
|
47.8
|
|
Total U.S
|
35.8
|
|
|
34.9
|
|
|
35.8
|
|
|
39.1
|
|
|
39.5
|
|
Short sale severity ratio
(2)
|
32.5
|
|
|
34.5
|
|
|
36.5
|
|
|
38.0
|
|
|
38.6
|
|
(1)
|
States presented represent the five states where our credit losses were greatest during
2013
. Calculated as the amount of our losses recorded on disposition of REO properties during the respective quarterly period, excluding those subject to repurchase requests made to our seller/servicers, divided by the aggregate UPB of the related loans. The amount of losses recognized on disposition of the properties is equal to the amount by which the UPB of the loans exceeds the amount of sales proceeds from disposition of the properties, net of selling expenses.
|
(2)
|
Calculated as the amount of our losses recorded on short sales during the respective quarterly period divided by the aggregate UPB of the related loans. The amount of losses recognized on short sales is equal to the amount by which the UPB of the loans exceeds the amount of sales proceeds, net of selling expenses.
|
|
|
Year Ended December 31,
|
||||||||||||||||||||||||||||||||||
|
|
2013
|
|
2012
|
|
2011
|
||||||||||||||||||||||||||||||
|
|
Charge-offs,
gross
|
|
Recoveries
(2)
|
|
Charge-offs,
net
|
|
Charge-offs,
gross
|
|
Recoveries
(2)
|
|
Charge-offs,
net
|
|
Charge-offs,
gross
|
|
Recoveries
(2)
|
|
Charge-offs,
net
|
||||||||||||||||||
|
|
(in millions)
|
||||||||||||||||||||||||||||||||||
Northeast
|
|
$
|
1,357
|
|
|
$
|
(656
|
)
|
|
$
|
701
|
|
|
$
|
1,180
|
|
|
$
|
(249
|
)
|
|
$
|
931
|
|
|
$
|
1,033
|
|
|
$
|
(226
|
)
|
|
$
|
807
|
|
Southeast
|
|
3,015
|
|
|
(1,331
|
)
|
|
1,684
|
|
|
3,530
|
|
|
(694
|
)
|
|
2,836
|
|
|
3,210
|
|
|
(693
|
)
|
|
2,517
|
|
|||||||||
North Central
|
|
1,870
|
|
|
(810
|
)
|
|
1,060
|
|
|
2,726
|
|
|
(526
|
)
|
|
2,200
|
|
|
2,502
|
|
|
(615
|
)
|
|
1,887
|
|
|||||||||
Southwest
|
|
394
|
|
|
(245
|
)
|
|
149
|
|
|
647
|
|
|
(160
|
)
|
|
487
|
|
|
777
|
|
|
(243
|
)
|
|
534
|
|
|||||||||
West
|
|
2,589
|
|
|
(1,271
|
)
|
|
1,318
|
|
|
5,742
|
|
|
(633
|
)
|
|
5,109
|
|
|
7,627
|
|
|
(987
|
)
|
|
6,640
|
|
|||||||||
Total
|
|
$
|
9,225
|
|
|
$
|
(4,313
|
)
|
|
$
|
4,912
|
|
|
$
|
13,825
|
|
|
$
|
(2,262
|
)
|
|
$
|
11,563
|
|
|
$
|
15,149
|
|
|
$
|
(2,764
|
)
|
|
$
|
12,385
|
|
(1)
|
See endnote (8) to “
Table 50 — Single-Family Credit Guarantee Portfolio by Attribute Combinations
” for a description of these regions.
|
(2)
|
See endnote (2) to "
Table 56 — Credit Loss Performance
" for information about our recoveries of charge-offs.
|
|
134
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||||||||||
|
2013
|
|
2012
|
|
2011
|
|
2010
|
|
2009
|
||||||||||
|
(dollars in millions)
|
||||||||||||||||||
Total loan loss reserves:
|
|
|
|
|
|
|
|||||||||||||
Beginning balance
|
$
|
30,890
|
|
|
$
|
39,461
|
|
|
$
|
39,926
|
|
|
$
|
33,857
|
|
|
$
|
15,618
|
|
Adjustments to beginning balance
(2)
|
—
|
|
|
—
|
|
|
—
|
|
|
(186
|
)
|
|
—
|
|
|||||
Provision (benefit) for credit losses
|
(2,465
|
)
|
|
1,890
|
|
|
10,702
|
|
|
17,218
|
|
|
29,530
|
|
|||||
Charge-offs, gross
(3)
|
(9,002
|
)
|
|
(13,556
|
)
|
|
(14,810
|
)
|
|
(16,322
|
)
|
|
(9,402
|
)
|
|||||
Recoveries
(4)
|
4,314
|
|
|
2,264
|
|
|
2,765
|
|
|
3,363
|
|
|
2,088
|
|
|||||
Transfers, net
(5)
|
992
|
|
|
831
|
|
|
878
|
|
|
1,996
|
|
|
(3,977
|
)
|
|||||
Ending balance
|
$
|
24,729
|
|
|
$
|
30,890
|
|
|
$
|
39,461
|
|
|
$
|
39,926
|
|
|
$
|
33,857
|
|
Components of loan loss reserves:
|
|
|
|
|
|
|
|||||||||||||
Single-family
|
$
|
24,578
|
|
|
$
|
30,508
|
|
|
$
|
38,916
|
|
|
$
|
39,098
|
|
|
$
|
33,026
|
|
Multifamily
|
$
|
151
|
|
|
$
|
382
|
|
|
$
|
545
|
|
|
$
|
828
|
|
|
$
|
831
|
|
Total loan loss reserve, as a percentage of the total mortgage portfolio, excluding non-Freddie Mac securities
|
1.37
|
%
|
|
1.71
|
%
|
|
2.08
|
%
|
|
2.03
|
%
|
|
1.69
|
%
|
(1)
|
Consists of reserves for loans held-for-investment and those underlying Freddie Mac mortgage-related securities and other guarantee commitments.
|
(2)
|
Adjustments relate to the adoption of amendments to the accounting guidance for transfers of financial assets and consolidation of VIEs.
|
(3)
|
Charge-offs related to loan loss reserves represent the amount of a loan that has been discharged to remove the loan from our consolidated balance sheet principally due to either a foreclosure transfer or a short sale. Charge-offs exclude $252 million, $308 million, $422 million, $528 million, and $280 million, for the years ended
December 31, 2013
,
2012
,
2011
, 2010, and 2009, respectively, related to: (a) amounts recorded as losses on loans purchased within other expenses on our consolidated statements of comprehensive income, which relate to certain loans purchased under financial guarantees; or (b) cumulative fair value losses recognized through the date of foreclosure for Multifamily loans which we elected to carry at fair value at the time of our purchase.
|
(4)
|
See endnote (2) to "
Table 56 — Credit Loss Performance
" for information about our recoveries of charge-offs.
|
(5)
|
Consist primarily of: (a) amounts related to settlement agreements with certain sellers where the transfer relates to recoveries received under these agreements to compensate us for previously incurred and recognized losses; (b) reclassified single-family reserves related to our removal of loans previously held by consolidated trusts; and (c) net amounts attributable to recapitalization of past due interest on modified mortgage loans.
|
|
135
|
Freddie Mac
|
|
2013
|
|
2012
|
||||||||||
|
# of Loans
|
|
Amount
|
|
# of Loans
|
|
Amount
|
||||||
|
(dollars in millions)
|
||||||||||||
TDRs (recorded investment):
|
|
|
|
|
|
|
|
||||||
TDRs, at January 1,
|
449,145
|
|
|
$
|
83,484
|
|
|
252,749
|
|
|
$
|
53,494
|
|
New additions
|
129,428
|
|
|
20,234
|
|
|
226,214
|
|
|
35,816
|
|
||
Repayments
|
(29,877
|
)
|
|
(5,074
|
)
|
|
(10,442
|
)
|
|
(2,070
|
)
|
||
Loss events
(1)
|
(34,199
|
)
|
|
(6,139
|
)
|
|
(19,376
|
)
|
|
(3,756
|
)
|
||
TDRs, at December 31,
|
514,497
|
|
|
92,505
|
|
|
449,145
|
|
|
83,484
|
|
||
Other (recorded investment)
(2)
|
13,790
|
|
|
1,195
|
|
|
18,416
|
|
|
1,672
|
|
||
Total impaired loans with specific reserve
|
528,287
|
|
|
93,700
|
|
|
467,561
|
|
|
85,156
|
|
||
Total allowance for loan losses of individually impaired single-family loans
|
|
|
(18,554
|
)
|
|
|
|
(17,935
|
)
|
||||
Net investment, at December 31,
|
|
|
$
|
75,146
|
|
|
|
|
$
|
67,221
|
|
(1)
|
Foreclosure transfers or foreclosure alternatives, such as a deed in lieu of foreclosure or short sale transaction.
|
(2)
|
Loans impaired upon purchase as of December 31.
|
|
136
|
Freddie Mac
|
|
|
Before Receipt of
Credit Enhancements
(1)
|
|
After Receipt of Credit
Enhancements
(2)
|
||||||||
|
|
NPV
(3)
|
|
NPV Ratio
(4)
|
|
NPV
(3)
|
|
NPV Ratio
(4)
|
||||
|
|
(dollars in millions, ratios in bps)
|
||||||||||
At:
|
|
|
|
|
|
|
|
|
||||
December 31, 2013
|
|
$
|
3,931
|
|
|
23.8
|
|
$
|
3,628
|
|
|
21.9
|
September 30, 2013
|
|
$
|
4,059
|
|
|
24.6
|
|
$
|
3,734
|
|
|
22.6
|
June 30, 2013
|
|
$
|
4,000
|
|
|
24.3
|
|
$
|
3,663
|
|
|
22.2
|
March 31, 2013
|
|
$
|
4,961
|
|
|
30.3
|
|
$
|
4,575
|
|
|
27.9
|
December 31, 2012
|
|
$
|
6,356
|
|
|
38.8
|
|
$
|
5,908
|
|
|
36.1
|
(1)
|
Assumes that none of the credit enhancements currently covering our mortgage loans have any mitigating effect on our credit losses.
|
(2)
|
Assumes we collect amounts due from credit enhancement providers after giving effect to certain assumptions about counterparty default rates.
|
(3)
|
Based on the single-family credit guarantee portfolio, excluding REMICs and Other Structured Securities backed by Ginnie Mae Certificates.
|
(4)
|
Calculated as the ratio of NPV of increase in credit losses to the single-family credit guarantee portfolio, defined in note (3) above.
|
|
137
|
Freddie Mac
|
|
|
Year Ended December 31,
|
||||||||||
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
|
(in millions)
|
||||||||||
Beginning balance
|
|
$
|
3,028
|
|
|
$
|
2,716
|
|
|
$
|
3,807
|
|
Issuances
|
|
10,797
|
|
|
9,246
|
|
|
9,172
|
|
|||
Collections
(2)
|
|
(5,638
|
)
|
|
(3,487
|
)
|
|
(4,490
|
)
|
|||
Cancellations and other
(3)
|
|
(5,996
|
)
|
|
(5,447
|
)
|
|
(5,773
|
)
|
|||
Ending balance
|
|
$
|
2,191
|
|
|
$
|
3,028
|
|
|
$
|
2,716
|
|
(1)
|
Amounts are based on the UPB of the loans associated with the repurchase requests. The balance as of December 31, 2013 includes: (a) $1.6 billion in UPB related to repurchase claims for violations of seller representations and warranties; and (b) $0.6 billion in UPB related to repurchase claims for violations of servicing guidelines. The balance as of December 31, 2013 excludes $0.3 billion in UPB related to notices of defect for servicing violations.
|
(2)
|
Requests collected are based on the UPB of the loans associated with the repurchase requests, which in many cases is more than the amount of payments received for reimbursement of losses for requests associated with foreclosed mortgage loans, negotiated agreements, and other alternative remedies. Includes $2.1 billion during 2013 related to settlement agreements with certain sellers to release specified loans from certain repurchase obligations in exchange for one-time cash payments. For the years ended
December 31, 2013
,
2012
, and
2011
approximately 23%, 35%, and 31% respectively, of the requests collected in each period were satisfied by reimbursement of losses associated with the request (excluding amounts related to settlement agreements).
|
(3)
|
Consists primarily of those requests that were resolved by the servicer providing missing documentation or rescinded through a successful appeal of the request. Also includes other items that affect the UPB of the loan while the repurchase request is outstanding, such as payments made on the loan.
|
|
138
|
Freddie Mac
|
|
As of December 31, 2013
|
|||||
Year of origination:
|
UPB
|
|
Percentage of
Single-family
Credit Guarantee
Portfolio
|
|||
|
(in billions)
|
|
|
|||
Negotiated agreements:
|
||||||
2009 and thereafter
|
$
|
37.1
|
|
|
2.3
|
%
|
2008
|
33.6
|
|
|
2.0
|
|
|
2007
|
61.4
|
|
|
3.7
|
|
|
2006
|
49.8
|
|
|
3.0
|
|
|
2005
|
58.8
|
|
|
3.6
|
|
|
2004 and prior
|
114.7
|
|
|
6.9
|
|
|
Subtotal
|
355.4
|
|
|
21.5
|
|
|
Other released loans:
(2)
|
|
|
||||
2010 and thereafter
|
0.5
|
|
|
<0.1
|
|
|
2009
|
5.9
|
|
|
0.4
|
|
|
2008
|
5.2
|
|
|
0.3
|
|
|
2007
|
9.9
|
|
|
0.6
|
|
|
2006
|
5.8
|
|
|
0.4
|
|
|
2005 and prior
|
6.9
|
|
|
0.4
|
|
|
Total
|
$
|
389.6
|
|
|
23.6
|
%
|
(1)
|
Includes all loans released from certain repurchase obligations, except those loans subject to reduced repurchase obligations associated with our relief refinance mortgage initiative and our new representation and warranty framework that became effective January 1, 2013.
|
(2)
|
Consist primarily of loans associated with seller/servicers that were no longer in business at
December 31, 2013
, and result from a discharge of the seller/servicer's obligation or determination of the settlement amount in bankruptcy or receivership proceedings.
|
|
139
|
Freddie Mac
|
|
140
|
Freddie Mac
|
|
|
|
|
|
|
As of December 31, 2013
|
||||||||||||||
|
|
|
|
|
|
UPB of Covered Loans
|
|
Coverage Outstanding
|
||||||||||||
Counterparty Name
|
|
Credit Rating
|
|
Credit Rating
Outlook
|
|
Primary
Insurance
(2)
|
|
Pool
Insurance
(2)
|
|
Primary
Insurance
(3)
|
|
Pool
Insurance
(3)
|
||||||||
|
|
|
|
|
|
(in billions)
|
||||||||||||||
Mortgage Guaranty Insurance Corporation (MGIC)
|
|
B
|
|
Positive
|
|
$
|
44.9
|
|
|
$
|
1.6
|
|
|
$
|
11.3
|
|
|
$ <
|
0.1
|
|
Radian Guaranty Inc. (Radian)
|
|
B
|
|
Stable
|
|
44.0
|
|
|
3.5
|
|
|
11.0
|
|
|
1.0
|
|
||||
United Guaranty Residential Insurance Company
|
|
BBB+
|
|
Stable
|
|
41.3
|
|
|
0.1
|
|
|
10.3
|
|
|
<0.1
|
|
||||
Genworth Mortgage Insurance Corporation
|
|
B
|
|
Stable
|
|
28.3
|
|
|
0.2
|
|
|
7.1
|
|
|
<0.1
|
|
||||
PMI Mortgage Insurance Co. (PMI)
(4)
|
|
Not Rated
|
|
N/A
|
|
14.5
|
|
|
0.3
|
|
|
3.6
|
|
|
0.1
|
|
||||
Republic Mortgage Insurance Company (RMIC)
(5)
|
|
Not Rated
|
|
N/A
|
|
11.7
|
|
|
0.6
|
|
|
2.9
|
|
|
0.1
|
|
||||
Essent Guaranty, Inc.
|
|
BBB
|
|
Stable
|
|
10.6
|
|
|
—
|
|
|
2.6
|
|
|
—
|
|
||||
Triad Guaranty Insurance Corporation (Triad)
(6)
|
|
Not Rated
|
|
N/A
|
|
5.3
|
|
|
0.2
|
|
|
1.3
|
|
|
<0.1
|
|
||||
CMG Mortgage Insurance Company
|
|
BBB-
|
|
Positive
|
|
2.8
|
|
|
<0.1
|
|
|
0.7
|
|
|
—
|
|
||||
Total
|
|
|
|
|
|
$
|
203.4
|
|
|
$
|
6.5
|
|
|
$
|
50.8
|
|
|
$
|
1.2
|
|
(1)
|
Ratings and outlooks are for the corporate entity to which we have the greatest exposure. Coverage amounts may include coverage provided by consolidated affiliates and subsidiaries of the counterparty. Latest rating available as of February 14, 2014. Represents the lower of S&P and Moody’s credit ratings and outlooks stated in terms of the S&P equivalent.
|
(2)
|
These amounts are based on gross coverage without regard to netting of coverage that may exist to the extent an affected mortgage is covered under both types of insurance. See “
Table 4.5 — Recourse and Other Forms of Credit Protection
” in “NOTE 4: MORTGAGE LOANS AND LOAN LOSS RESERVES” for further information.
|
(3)
|
Represents the remaining aggregate contractual limit for reimbursement of losses under the respective policy type. These amounts are based on gross coverage without regard to netting of coverage that may exist to the extent an affected mortgage is covered under both types of insurance.
|
(4)
|
In April 2013, PMI began paying valid claims 55% in cash and 45% in deferred payment obligations and made a one-time cash payment to us for claims that were previously settled for 50% in cash.
|
(5)
|
Under a plan announced in November 2012, RMIC is paying all valid claims settled on or after January 19, 2012, 60% in cash and 40% in deferred payment obligations.
|
(6)
|
In June 2009, Triad began paying valid claims 60% in cash and 40% in deferred payment obligations under order of its state regulator. In October 2013, Triad’s plan of rehabilitation was approved. In December 2013, under this plan, Triad began paying valid claims 75% in cash and a one-time cash payment was made to us for claims previously settled for 60% in cash.
|
|
141
|
Freddie Mac
|
|
|
|
|
|
|
As of December 31, 2013
|
|||||||||
Counterparty Name
|
|
Credit Rating
|
|
Credit Rating
Outlook
|
|
Gross Unrealized Losses
(2)
|
|
Coverage
Outstanding
(3)
|
|
Percent of
Total Coverage
Outstanding
(3)
|
|||||
|
|
|
|
|
|
(dollars in millions)
|
|
|
|||||||
Ambac Assurance Corporation (Ambac)
(4)
|
|
Not Rated
|
|
N/A
|
|
$
|
239
|
|
|
$
|
3,645
|
|
|
47
|
%
|
Financial Guaranty Insurance Company (FGIC)
(4)
|
|
Not Rated
|
|
N/A
|
|
33
|
|
|
1,393
|
|
|
18
|
|
||
National Public Finance Guarantee Corp.
|
|
BBB+
|
|
Positive
|
|
62
|
|
|
1,059
|
|
|
14
|
|
||
MBIA Insurance Corp.
|
|
B-
|
|
Positive
|
|
5
|
|
|
901
|
|
|
11
|
|
||
Assured Guaranty Municipal Corp.
|
|
A
|
|
Stable
|
|
10
|
|
|
693
|
|
|
9
|
|
||
Syncora Guarantee Inc. (Syncora)
(4)
|
|
Not Rated
|
|
N/A
|
|
—
|
|
|
48
|
|
|
1
|
|
||
CIFG Assurance Corporation
|
|
Not Rated
|
|
N/A
|
|
6
|
|
|
30
|
|
|
<1
|
|
||
Total
|
|
|
|
|
|
$
|
355
|
|
|
$
|
7,769
|
|
|
100
|
%
|
(1)
|
Ratings and outlooks are for the corporate entity to which we have the greatest exposure. Coverage amounts may include coverage provided by consolidated affiliates and subsidiaries of the counterparty. Latest ratings available as of February 14, 2014. Represents the lower of S&P and Moody’s credit ratings stated in terms of the S&P equivalent.
|
(2)
|
Represents the amount of gross unrealized losses on the non-agency mortgage-related securities with insurance.
|
(3)
|
Represents maximum principal exposure to credit losses.
|
(4)
|
Ambac, FGIC, and Syncora are currently operating under regulatory or court ordered supervision.
|
|
142
|
Freddie Mac
|
|
143
|
Freddie Mac
|
•
|
Cleared derivatives: The Dodd-Frank Act requires central clearing of many types of derivatives. Pursuant to the Dodd-Frank Act, the U.S. Commodity Futures Trading Commission ("CFTC") has determined that the types of interest-rate swaps that we use most frequently are subject to the central clearing requirement, for transactions executed or modified on or after June 10, 2013. We refer to these interest-rate swaps as cleared derivatives. We are required to post initial and variation margin with our clearing member in connection with such transactions. As a result, our exposure to the clearinghouse we use to clear such interest-rate derivatives, and to the clearing members that administer our transactions once accepted for clearing, has increased and will become more concentrated over time. However, the use of cleared derivatives mitigates our institutional credit risk exposure to individual counterparties because a central counterparty is substituted for individual counterparties, and our exposure to individual counterparties associated with interest-rate swaps will decrease over time due to the central clearing requirement. In addition, the CFTC has recently certified that certain interest-rate swaps must be traded on exchanges or comparable trading facilities beginning in February 2014.
|
•
|
Exchange-traded derivatives: We are an active user of exchange-traded derivatives, such as Treasury and Eurodollar futures, and are required to post initial and variation margin with our clearing member in connection with such transactions. The posting of this margin exposes us to institutional credit risk in the event that our clearing member or the exchange’s clearinghouse fail to meet their obligations. However, the use of exchange-traded derivatives mitigates our institutional credit risk exposure to individual counterparties because a central counterparty is substituted for individual counterparties, and changes in the value of open exchange-traded contracts are settled daily via payments made through the financial clearinghouse established by each exchange.
|
•
|
OTC derivatives: OTC derivatives refer to those derivatives that are neither cleared derivatives nor exchange-traded derivatives. OTC derivatives expose us to institutional credit risk to individual counterparties, because these transactions are executed and settled directly between us and each counterparty, exposing us to potential losses if a counterparty fails to meet its contractual obligations. When our net position with a counterparty in OTC derivatives subject to a master netting agreement has a market value above zero (i.e., it would be an asset reported as derivative assets, net on our consolidated balance sheets), the counterparty is obligated to deliver collateral in the form of cash, securities, or a combination of both, in an amount equal to that market value (less a small unsecured “threshold” amount in most cases) as necessary to satisfy its net obligation to us under the master netting agreement.
|
•
|
review and analysis of external ratings;
|
•
|
standards for approving new derivative counterparties, clearinghouses, and clearing members;
|
•
|
ongoing monitoring and internal analysis of our positions with, and credit rating of, each counterparty, clearinghouse, and clearing member;
|
•
|
managing diversification mix among counterparties;
|
•
|
master netting agreements and collateral agreements; and
|
•
|
stress-testing to evaluate potential exposure under possible adverse market scenarios.
|
|
144
|
Freddie Mac
|
|
145
|
Freddie Mac
|
|
As of December 31, 2013
|
||||||||||||||||||
Rating
(1)
|
Number of
Counterparties
(2)
|
|
Notional or
Contractual
Amount
(3)
|
|
Total
Exposure at
Fair Value
(4)
|
|
Exposure,
Net of
Collateral
(5)
|
|
Weighted Average
Contractual
Maturity
(in years)
|
|
Collateral Posting
Threshold
|
||||||||
|
(dollars in millions)
|
||||||||||||||||||
AA-
|
4
|
|
|
$
|
52,687
|
|
|
$
|
191
|
|
|
$
|
49
|
|
|
4.3
|
|
|
$10 million or less
|
A+
|
3
|
|
|
31,910
|
|
|
1,052
|
|
|
13
|
|
|
6.0
|
|
|
$1 million or less
|
|||
A
|
9
|
|
|
345,824
|
|
|
931
|
|
|
110
|
|
|
5.1
|
|
|
$1 million or less
|
|||
A-
|
1
|
|
|
35,935
|
|
|
300
|
|
|
16
|
|
|
6.7
|
|
|
$1 million or less
|
|||
BBB+
|
1
|
|
|
33
|
|
|
2
|
|
|
—
|
|
|
0.6
|
|
|
$ —
|
|||
BBB
|
1
|
|
|
38,442
|
|
|
—
|
|
|
—
|
|
|
5.4
|
|
|
$ —
|
|||
Subtotal
|
19
|
|
|
504,831
|
|
|
2,476
|
|
|
188
|
|
|
5.2
|
|
|
|
|||
Cleared and exchange-traded derivatives
|
|
|
188,236
|
|
|
790
|
|
|
382
|
|
|
|
|
|
|||||
Commitments
|
|
|
18,731
|
|
|
61
|
|
|
61
|
|
|
|
|
|
|||||
Swap guarantee derivatives
|
|
|
3,477
|
|
|
—
|
|
|
—
|
|
|
|
|
|
|||||
Other derivatives
(6)
|
|
|
9,751
|
|
|
—
|
|
|
—
|
|
|
|
|
|
|||||
Total derivatives
|
|
|
$
|
725,026
|
|
|
$
|
3,327
|
|
|
$
|
631
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
As of December 31, 2012
|
||||||||||||||||||
Rating
(1)
|
Number of
Counterparties
(2)
|
|
Notional or
Contractual
Amount
(3)
|
|
Total
Exposure at
Fair Value
(4)
|
|
Exposure,
Net of
Collateral
(5)
|
|
Weighted Average
Contractual
Maturity
(in years)
|
|
Collateral Posting
Threshold
|
||||||||
|
(dollars in millions)
|
||||||||||||||||||
AA-
|
4
|
|
|
$
|
41,169
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
5.6
|
|
|
$10 million or less
|
A+
|
4
|
|
|
86,717
|
|
|
1,220
|
|
|
15
|
|
|
6.0
|
|
|
$1 million or less
|
|||
A
|
5
|
|
|
343,353
|
|
|
734
|
|
|
32
|
|
|
5.8
|
|
|
$1 million or less
|
|||
A-
|
4
|
|
|
148,271
|
|
|
6
|
|
|
22
|
|
|
5.7
|
|
|
$1 million or less
|
|||
BBB+
|
1
|
|
|
42,643
|
|
|
—
|
|
|
—
|
|
|
6.0
|
|
|
$ —
|
|||
Subtotal
|
18
|
|
|
662,153
|
|
|
1,960
|
|
|
69
|
|
|
5.8
|
|
|
|
|||
Cleared and exchange-traded derivatives
|
|
|
42,673
|
|
|
66
|
|
|
66
|
|
|
|
|
|
|||||
Commitments
|
|
|
25,530
|
|
|
20
|
|
|
20
|
|
|
|
|
|
|||||
Swap guarantee derivatives
|
|
|
3,628
|
|
|
—
|
|
|
—
|
|
|
|
|
|
|||||
Other derivatives
(6)
|
|
|
11,847
|
|
|
1
|
|
|
1
|
|
|
|
|
|
|||||
Total derivatives
|
|
|
$
|
745,831
|
|
|
$
|
2,047
|
|
|
$
|
156
|
|
|
|
|
|
(1)
|
Ratings of our OTC interest-rate swap, options-based derivative (excluding certain written options), and foreign-currency swap derivative counterparties. We use the lower of S&P and Moody’s ratings to manage collateral requirements. In this table, the Moody’s rating of the legal entity is stated in terms of the S&P equivalent.
|
(2)
|
Based on legal entities.
|
(3)
|
Notional or contractual amounts are used to calculate the periodic settlement amounts to be received or paid and generally do not represent actual amounts to be exchanged.
|
(4)
|
For each counterparty, this amount includes derivatives with a positive fair value (recorded as derivative assets, net), including the related accrued interest receivable/payable, when applicable. For counterparties included in the subtotal and the cleared and exchange-traded derivatives category, positions are shown netted at the counterparty or clearing member level, as applicable, including accrued interest receivable/payable and trade/settle fees.
|
(5)
|
Calculated as Total Exposure at Fair Value less both cash and non-cash collateral held as determined at the counterparty level. At
December 31, 2013
and 2012, $432 million and $501 million, respectively, of non-cash collateral had been posted to us. Includes amounts related to our posting of cash collateral in excess of our derivative liability as determined at the counterparty level. For more information about collateral we have posted in connection with cleared and exchange-traded derivatives, see “NOTE 10: COLLATERAL AND OFFSETTING OF ASSETS AND LIABILITIES —
Collateral Pledged
.”
|
(6)
|
Consists primarily of certain written options and certain credit derivatives. Written options do not present counterparty credit exposure because we receive a one-time up-front premium in exchange for giving the holder the right to execute a contract under specified terms, which generally puts us in a liability position.
|
|
146
|
Freddie Mac
|
|
147
|
Freddie Mac
|
|
148
|
Freddie Mac
|
•
|
principal payments due to the maturity, redemption or repurchase of our other debt securities;
|
•
|
interest payments on our other debt securities;
|
•
|
dividend obligations on our senior preferred stock;
|
•
|
cash purchases of single-family and multifamily loans;
|
•
|
purchases of mortgage-related securities and non-mortgage investments;
|
•
|
removal of modified or seriously delinquent loans from PC trusts;
|
•
|
any shortfall related to the payments of principal and interest on our mortgage-related securities (i.e., debt securities issued by consolidated trusts), and any other payments related to our guarantees of mortgage assets;
|
•
|
any disposition costs related to our REO;
|
•
|
depending on market conditions and the mix of derivatives we employ in connection with our ongoing risk management activities, our derivative portfolio can be either a net source or a net use of cash. For example, depending on the prevailing interest-rate environment, interest-rate swap agreements could cause us either to make interest payments to counterparties or to receive interest payments from counterparties. Purchased options require us to pay a premium while written options allow us to receive a premium;
|
•
|
collateral that we are required to pledge to third parties in connection with secured financing and daily trade activities. In accordance with contracts with certain derivative counterparties, we post collateral for derivatives in a net loss position, after netting by counterparty, above agreed-upon posting thresholds. See “NOTE 10: COLLATERAL AND OFFSETTING OF ASSETS AND LIABILITIES” for information about assets we pledge as collateral; and
|
•
|
administrative expenses.
|
•
|
interest and principal payments on and sales of securities or mortgage loans that we hold in our mortgage-related investments portfolio or cash and other investments portfolio;
|
•
|
repurchase transactions with counterparties;
|
•
|
management and guarantee fees we receive in connection with our guarantee activities (excluding those fees associated with the legislated 10 basis point increase we remit to Treasury); and
|
•
|
quarterly draws from Treasury under the Purchase Agreement, which are made if we have a quarterly deficit in our net worth.
|
|
149
|
Freddie Mac
|
•
|
maintain cash and non-mortgage investments to enable us to meet ongoing cash obligations for a limited period of time, assuming no access to unsecured debt markets; and
|
•
|
maintain unencumbered securities with a value greater than or equal to the largest projected daily cash shortfall for an extended period of time, assuming no access to unsecured debt markets. However, since we do not have access to the Federal Reserve’s discount window, it is uncertain that we would have access to liquidity when it is needed.
|
|
150
|
Freddie Mac
|
|
For the Year Ended December 31,
|
||||||
|
2013
|
|
2012
|
||||
|
(dollars in millions)
|
||||||
|
|
|
|
||||
Beginning balance
|
$
|
552,472
|
|
|
$
|
674,314
|
|
Issued during the period:
|
|
|
|
||||
Short-term:
|
|
|
|
||||
Amount
|
$
|
297,349
|
|
|
$
|
290,501
|
|
Weighted-average effective interest rate
|
0.12
|
%
|
|
0.13
|
%
|
||
Long-term:
|
|
|
|
||||
Amount
|
$
|
112,220
|
|
|
$
|
164,746
|
|
Weighted-average effective interest rate
|
0.98
|
%
|
|
1.23
|
%
|
||
Total issued:
|
|
|
|
||||
Amount
|
$
|
409,569
|
|
|
$
|
455,247
|
|
Weighted-average effective interest rate
|
0.35
|
%
|
|
0.53
|
%
|
||
Paid off during the period:
(1)
|
|
|
|
||||
Short-term:
|
|
|
|
||||
Amount
|
$
|
(273,513
|
)
|
|
$
|
(334,014
|
)
|
Weighted-average effective interest rate
|
0.13
|
%
|
|
0.11
|
%
|
||
Long-term:
(2)
|
|
|
|
||||
Amount
|
$
|
(177,183
|
)
|
|
$
|
(243,075
|
)
|
Weighted-average effective interest rate
|
1.57
|
%
|
|
1.89
|
%
|
||
Total paid off:
|
|
|
|
||||
Amount
|
$
|
(450,696
|
)
|
|
$
|
(577,089
|
)
|
Weighted-average effective interest rate
|
0.70
|
%
|
|
0.86
|
%
|
||
|
|
|
|
||||
Ending balance
|
$
|
511,345
|
|
|
$
|
552,472
|
|
(1)
|
Consists of all payments on debt, including regularly scheduled principal payments, payments at maturity, payments resulting from calls, and payments for repurchases. Calls and repurchases of zero-coupon debt are reported at original face value, which does not equal the amount of actual cash payment.
|
(2)
|
For the years ended December 31, 2013 and 2012, respectively, includes foreign exchange translation of $31 million and $7 million for foreign-currency denominated debt.
|
|
151
|
Freddie Mac
|
|
Nationally Recognized Statistical
Rating Organization
|
||||
|
S&P
|
|
Moody’s
|
|
Fitch
|
Senior long-term debt
(1)
|
AA+
|
|
Aaa
|
|
AAA
|
Short-term debt
(2)
|
A-1+
|
|
P-1
|
|
F1+
|
Subordinated debt
(3)
|
AA-
|
|
Aa2
|
|
AA-
|
Preferred stock
(4)
|
D
|
|
Ca
|
|
C/RR6
(5)
|
Outlook
|
Stable
|
|
Stable
|
|
Rating Watch Negative (includes AAA-rated long-term Issuer Default Rating)
|
(1)
|
Consists of medium-term notes and U.S. dollar Reference Notes securities.
|
(2)
|
Consists of Reference Bills securities and discount notes.
|
(3)
|
Consists of Freddie SUBS securities.
|
(4)
|
Does not include senior preferred stock issued to Treasury.
|
(5)
|
Preferred stock is not on Rating Watch Negative.
|
|
152
|
Freddie Mac
|
|
153
|
Freddie Mac
|
•
|
Level 1: Quoted prices (unadjusted) in active markets that are accessible at the measurement date for identical assets or liabilities;
|
•
|
Level 2: Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar assets and liabilities in markets that are not active; inputs other than quoted market prices that are observable for the asset or liability; and inputs that are derived principally from or corroborated by observable market data for substantially the full term of the assets or liabilities; and
|
•
|
Level 3: Unobservable inputs for the asset or liability that are supported by little or no market activity and that are significant to the fair values.
|
|
154
|
Freddie Mac
|
|
155
|
Freddie Mac
|
|
156
|
Freddie Mac
|
|
December 31,
|
||||||||||||||
|
2013
|
|
2012
|
||||||||||||
|
Carrying
Amount
(1)
|
|
Fair
Value
|
|
Carrying
Amount
(1)
|
|
Fair
Value
|
||||||||
|
(in billions)
|
||||||||||||||
Assets
|
|
|
|
|
|
|
|
||||||||
Cash and cash equivalents
|
$
|
11.3
|
|
|
$
|
11.3
|
|
|
$
|
8.5
|
|
|
$
|
8.5
|
|
Restricted cash and cash equivalents
|
12.2
|
|
|
12.2
|
|
|
14.6
|
|
|
14.6
|
|
||||
Federal funds sold and securities purchased under agreements to resell
|
62.4
|
|
|
62.4
|
|
|
37.6
|
|
|
37.6
|
|
||||
Investments in securities:
|
|
|
|
|
|
|
|
||||||||
Available-for-sale, at fair value
|
128.9
|
|
|
128.9
|
|
|
174.9
|
|
|
174.9
|
|
||||
Trading, at fair value
|
23.4
|
|
|
23.4
|
|
|
41.5
|
|
|
41.5
|
|
||||
Total investments in securities
|
152.3
|
|
|
152.3
|
|
|
216.4
|
|
|
216.4
|
|
||||
Mortgage loans:
|
|
|
|
|
|
|
|
||||||||
Mortgage loans held by consolidated trusts
|
1,529.9
|
|
|
1,507.7
|
|
|
1,495.9
|
|
|
1,540.1
|
|
||||
Unsecuritized mortgage loans
|
154.9
|
|
|
138.2
|
|
|
190.4
|
|
|
167.6
|
|
||||
Total mortgage loans
|
1,684.8
|
|
|
1,645.9
|
|
|
1,686.3
|
|
|
1,707.7
|
|
||||
Derivative assets, net
|
1.1
|
|
|
1.1
|
|
|
0.7
|
|
|
0.7
|
|
||||
Other assets
|
42.0
|
|
|
42.0
|
|
|
25.8
|
|
|
25.8
|
|
||||
Total assets
|
$
|
1,966.1
|
|
|
$
|
1,927.2
|
|
|
$
|
1,989.9
|
|
|
$
|
2,011.3
|
|
Liabilities
|
|
|
|
|
|
|
|
||||||||
Debt, net:
|
|
|
|
|
|
|
|
||||||||
Debt securities of consolidated trusts held by third parties
|
$
|
1,434.0
|
|
|
$
|
1,436.9
|
|
|
$
|
1,419.5
|
|
|
$
|
1,487.1
|
|
Other debt
|
506.8
|
|
|
512.8
|
|
|
547.5
|
|
|
565.6
|
|
||||
Total debt, net
|
1,940.8
|
|
|
1,949.7
|
|
|
1,967.0
|
|
|
2,052.7
|
|
||||
Derivative liabilities, net
|
0.2
|
|
|
0.2
|
|
|
0.2
|
|
|
0.2
|
|
||||
Other liabilities
|
12.2
|
|
|
18.5
|
|
|
13.8
|
|
|
16.7
|
|
||||
Total liabilities
|
1,953.2
|
|
|
1,968.4
|
|
|
1,981.0
|
|
|
2,069.6
|
|
||||
Net assets
|
|
|
|
|
|
|
|
||||||||
Senior preferred stock
|
72.3
|
|
|
72.3
|
|
|
72.3
|
|
|
72.3
|
|
||||
Preferred stock
|
14.1
|
|
|
4.4
|
|
|
14.1
|
|
|
0.9
|
|
||||
Common stock
|
(73.5
|
)
|
|
(117.9
|
)
|
|
(77.5
|
)
|
|
(131.5
|
)
|
||||
Total net assets
|
12.9
|
|
|
(41.2
|
)
|
|
8.9
|
|
|
(58.3
|
)
|
||||
Total liabilities and net assets
|
$
|
1,966.1
|
|
|
$
|
1,927.2
|
|
|
$
|
1,989.9
|
|
|
$
|
2,011.3
|
|
(1)
|
Equals the amount reported on our GAAP consolidated balance sheets.
|
|
|
||
|
2013
|
||
|
(in billions)
|
||
Beginning balance
|
$
|
(58.3
|
)
|
Changes in fair value of net assets, before capital transactions
|
64.7
|
|
|
Subtotal - balance before 2013 capital transactions
|
6.4
|
|
|
Capital transactions:
|
|
||
Dividends and share issuances, net
(1)
|
(47.6
|
)
|
|
Ending balance
|
$
|
(41.2
|
)
|
(1)
|
We did not receive funds from Treasury during 2013 under the Purchase Agreement.
|
|
157
|
Freddie Mac
|
|
158
|
Freddie Mac
|
•
|
future payments related to debt securities of consolidated trusts held by third parties, because the amount and timing of such payments are generally contingent upon the occurrence of future events and are therefore uncertain. These payments generally include payments of principal and interest we make to the holders of our guaranteed mortgage-related securities in the event a loan underlying a security becomes delinquent. We also remove mortgages from pools underlying our PCs in certain circumstances, including when loans are 120 days or more delinquent, and retire the associated PC debt;
|
•
|
any future cash payments associated with the liquidation preference of the senior preferred stock, as well as the quarterly commitment fee (which has been suspended) and the dividends on the senior preferred stock because the timing and amount of any such future cash payments are uncertain. As of
December 31, 2013
, the aggregate liquidation preference of the senior preferred stock was $72.3 billion. See “BUSINESS — Conservatorship and Related Matters —
Treasury Agreements
” for additional information;
|
•
|
future cash settlements on derivative agreements not yet accrued, because the amount and timing of such payments are dependent upon changes in the underlying financial instruments in response to items such as changes in interest rates and are therefore uncertain;
|
•
|
future dividends on the preferred stock we have issued (other than the senior preferred stock), because dividends on these securities are non-cumulative and because we are currently prohibited from paying dividends on these securities;
|
•
|
the guarantee arrangements pertaining to multifamily housing revenue bonds, where we provided commitments to advance funds, commonly referred to as “liquidity guarantees,” because the amount and timing of such payments are generally contingent upon the occurrence of future events and are therefore uncertain; and
|
•
|
future cash contributions to our Pension Plan, as the plan is currently over-funded and benefit accruals ceased at the end of 2013. See "EXECUTIVE COMPENSATION — Pension Plan" and "EXECUTIVE COMPENSATION — Supplemental Executive Retirement Plan — Pension SERP Benefit" for additional information on our Pension Plan.
|
|
159
|
Freddie Mac
|
|
Total
|
|
2014
|
|
2015
|
|
2016
|
|
2017
|
|
2018
|
|
Thereafter
|
||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||
Long-term debt
(1)
|
$
|
369,578
|
|
|
$
|
78,115
|
|
|
$
|
70,303
|
|
|
$
|
63,564
|
|
|
$
|
51,908
|
|
|
$
|
33,418
|
|
|
$
|
72,270
|
|
Short-term debt
(1)
|
141,767
|
|
|
141,767
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Interest payable
(2)
|
39,829
|
|
|
12,329
|
|
|
5,656
|
|
|
4,558
|
|
|
3,235
|
|
|
2,195
|
|
|
11,856
|
|
|||||||
Other liabilities reflected on our consolidated balance sheet:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Other contractual liabilities
(3)(4)
|
1,581
|
|
|
923
|
|
|
8
|
|
|
8
|
|
|
9
|
|
|
7
|
|
|
626
|
|
|||||||
Purchase obligations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Purchase commitments
(5)
|
13,002
|
|
|
13,002
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Other purchase obligations
(6)
|
198
|
|
|
134
|
|
|
33
|
|
|
15
|
|
|
6
|
|
|
2
|
|
|
8
|
|
|||||||
Operating lease obligations
|
29
|
|
|
13
|
|
|
6
|
|
|
6
|
|
|
2
|
|
|
1
|
|
|
1
|
|
|||||||
Total specified contractual obligations
|
$
|
565,984
|
|
|
$
|
246,283
|
|
|
$
|
76,006
|
|
|
$
|
68,151
|
|
|
$
|
55,160
|
|
|
$
|
35,623
|
|
|
$
|
84,761
|
|
(1)
|
Represents par value. Callable debt is included in this table at its contractual maturity. For additional information about our debt, see “NOTE 8: DEBT SECURITIES AND SUBORDINATED BORROWINGS.”
|
(2)
|
Includes estimated future interest payments on our short-term and long-term debt securities as well as the accrual of periodic cash settlements of derivatives, netted by counterparty. Also includes accrued interest payable recorded on our consolidated balance sheet, which consists primarily of the accrual of interest for our PCs and certain Other Guarantee Transactions, and the accrual of interest on short-term and long-term debt.
|
(3)
|
Includes obligations related to our non-qualified defined benefit plan, qualified and non-qualified defined contribution plans, retiree medical plan, and other benefit plans.
|
(4)
|
Other contractual liabilities include future cash payments due under our contractual obligations to make delayed equity contributions to LIHTC partnerships and payables to the consolidated trusts established for the administration of cash remittances received related to the underlying assets of Freddie Mac mortgage-related securities.
|
(5)
|
Purchase commitments represent our obligations to purchase mortgage loans and mortgage-related securities from third parties. The majority of purchase commitments included in this caption are accounted for as derivatives in accordance with the accounting guidance for derivatives and hedging.
|
(6)
|
Primarily includes unconditional purchase obligations that are legally binding and that are subject to a cancellation penalty. Does not include contracts that we may cancel at will without penalty.
|
|
160
|
Freddie Mac
|
|
161
|
Freddie Mac
|
|
162
|
Freddie Mac
|
•
|
asset selection and structuring: We may acquire or structure mortgage-related securities with certain expected prepayment and other characteristics;
|
•
|
callable and non-callable unsecured debt; and
|
•
|
interest rate derivatives, including swaptions and swaps.
|
|
163
|
Freddie Mac
|
|
164
|
Freddie Mac
|
•
|
We calculate our exposure to changes in interest rates using effective duration. Effective duration measures the percentage change in the price of financial instruments from a 1% change in interest rates. Financial instruments with positive duration increase in value as interest rates decline. Conversely, financial instruments with negative duration increase in value as interest rates rise.
|
•
|
Together, duration and convexity provide a measure of an instrument’s overall price sensitivity to changes in interest rates. We utilize the aggregate duration and convexity risk of all interest-rate sensitive instruments on a daily basis to estimate the two PMVS metrics. The duration and convexity measures are used to estimate PMVS under the following formula:
|
•
|
To estimate PMVS-L, an instantaneous parallel 50 basis point shock is applied to the yield curve, as represented by the US swap curve, holding all spreads to the swap curve constant. This shock is applied to the duration and convexity of all interest-rate sensitive financial instruments. The resulting change in market value for the aggregate portfolio is computed for both the up rate and down rate shock and the change in market value in the more adverse scenario of the up and down rate shocks is the PMVS. In cases where both the up rate and down rate shock results in a positive impact, the PMVS is zero. Because this process uses a parallel, or level, shock to interest rates, we refer to this measure as PMVS-L.
|
•
|
To estimate sensitivity related to the shape of the yield curve, a yield curve steepening and flattening of 25 basis points is applied to the duration of all interest-rate sensitive instruments. The resulting change in market value for the aggregate portfolio is computed for both the steepening and flattening yield curve scenarios. The more adverse yield curve scenario is then used to determine the PMVS-yield curve. Because this process uses a non-parallel shock to interest rates, we refer to this measure as PMVS-YC.
|
•
|
The 50 basis point shift and 25 basis point change in slope of the LIBOR yield curve used for our PMVS measures reflect reasonably possible near-term changes that we believe provide a meaningful measure of our interest-rate risk sensitivity. Our PMVS measures assume instantaneous shocks. Therefore, these PMVS measures do not consider the effects on fair value of any rebalancing actions that we would typically expect to take to reduce our risk exposure.
|
•
|
Credit guarantee activities
. We do not consider the sensitivity of the fair value of credit guarantee activities to changes in interest rates except for the guarantee-related items mentioned above (i.e., buy-ups and float), because we do not actively manage the change in the fair value of our guarantee business that is attributable to changes in interest rates. We do not believe that periodic changes in fair value due to movements in interest rates are the best indication of the long-term value of our guarantee business because these changes do not take into account the potential for new future guarantee business activity.
|
•
|
Other assets with minimal interest-rate sensitivity
. We do not include other assets, primarily non-financial instruments such as fixed assets and REO, because we estimate their impact on PMVS and duration gap to be minimal.
|
|
165
|
Freddie Mac
|
|
|
|
|
|
|
|
PMVS-YC
|
|
PMVS-L
|
|||||||||||||
|
|
|
|
|
|
|
25 bps
|
|
50 bps
|
|
100 bps
|
|||||||||||
|
|
|
(in millions)
|
|||||||||||||||||||
Assuming shifts of the LIBOR yield curve:
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
December 31, 2013
|
|
|
|
|
|
|
$
|
—
|
|
|
$
|
176
|
|
|
$
|
368
|
|
|||||
December 31, 2012
|
|
|
|
|
|
|
$
|
49
|
|
|
$
|
296
|
|
|
$
|
900
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Year Ended December 31,
|
|||||||||||||||||||||
|
2013
|
|
2012
|
|||||||||||||||||||
|
Duration
Gap
|
|
PMVS-YC
25 bps
|
|
PMVS-L
50 bps
|
|
Duration
Gap
|
|
PMVS-YC
25 bps
|
|
PMVS-L
50 bps
|
|||||||||||
|
(in months)
|
|
(dollars in millions)
|
|
(in months)
|
|
(dollars in millions)
|
|||||||||||||||
Average
|
0.2
|
|
|
$
|
21
|
|
|
$
|
235
|
|
|
(0.1
|
)
|
|
$
|
38
|
|
|
$
|
198
|
|
|
Minimum
|
(1.2
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
(2.4
|
)
|
|
$
|
1
|
|
|
$
|
—
|
|
|
Maximum
|
2.0
|
|
|
$
|
78
|
|
|
$
|
673
|
|
|
1.5
|
|
|
$
|
129
|
|
|
$
|
661
|
|
|
Standard deviation
|
0.5
|
|
|
$
|
16
|
|
|
$
|
121
|
|
|
0.5
|
|
|
$
|
34
|
|
|
$
|
108
|
|
|
166
|
Freddie Mac
|
|
Before
Derivatives
|
|
After
Derivatives
|
|
Effect of
Derivatives
|
||||||
|
(in millions)
|
||||||||||
At:
|
|
|
|
|
|
||||||
December 31, 2013
|
$
|
2,166
|
|
|
$
|
176
|
|
|
$
|
(1,990
|
)
|
December 31, 2012
|
$
|
1,189
|
|
|
$
|
296
|
|
|
$
|
(893
|
)
|
|
167
|
Freddie Mac
|
|
168
|
Freddie Mac
|
|
169
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions, except share-related amounts)
|
||||||||||
Interest income
|
|
|
|
|
|
||||||
Mortgage loans:
|
|
|
|
|
|
||||||
Held by consolidated trusts
|
$
|
57,189
|
|
|
$
|
65,089
|
|
|
$
|
77,158
|
|
Unsecuritized
|
7,694
|
|
|
8,960
|
|
|
9,124
|
|
|||
Total mortgage loans
|
64,883
|
|
|
74,049
|
|
|
86,282
|
|
|||
Investments in securities
|
7,768
|
|
|
10,583
|
|
|
12,791
|
|
|||
Other
|
51
|
|
|
86
|
|
|
67
|
|
|||
Total interest income
|
72,702
|
|
|
84,718
|
|
|
99,140
|
|
|||
Interest expense
|
|
|
|
|
|
||||||
Debt securities of consolidated trusts
|
(47,350
|
)
|
|
(56,109
|
)
|
|
(67,119
|
)
|
|||
Other debt:
|
|
|
|
|
|
||||||
Short-term debt
|
(178
|
)
|
|
(176
|
)
|
|
(331
|
)
|
|||
Long-term debt
|
(8,251
|
)
|
|
(10,217
|
)
|
|
(12,538
|
)
|
|||
Total interest expense
|
(55,779
|
)
|
|
(66,502
|
)
|
|
(79,988
|
)
|
|||
Expense related to derivatives
|
(455
|
)
|
|
(605
|
)
|
|
(755
|
)
|
|||
Net interest income
|
16,468
|
|
|
17,611
|
|
|
18,397
|
|
|||
Benefit (provision) for credit losses
|
2,465
|
|
|
(1,890
|
)
|
|
(10,702
|
)
|
|||
Net interest income after benefit (provision) for credit losses
|
18,933
|
|
|
15,721
|
|
|
7,695
|
|
|||
Non-interest income (loss)
|
|
|
|
|
|
||||||
Gains (losses) on extinguishment of debt securities of consolidated trusts
|
314
|
|
|
(58
|
)
|
|
(219
|
)
|
|||
Gains (losses) on retirement of other debt
|
132
|
|
|
(77
|
)
|
|
44
|
|
|||
Derivative gains (losses)
|
2,632
|
|
|
(2,448
|
)
|
|
(9,752
|
)
|
|||
Impairment of available-for-sale securities:
|
|
|
|
|
|
||||||
Total other-than-temporary impairment of available-for-sale securities
|
(763
|
)
|
|
(1,236
|
)
|
|
(2,101
|
)
|
|||
Portion of other-than-temporary impairment recognized in AOCI
|
(747
|
)
|
|
(932
|
)
|
|
(200
|
)
|
|||
Net impairment of available-for-sale securities recognized in earnings
|
(1,510
|
)
|
|
(2,168
|
)
|
|
(2,301
|
)
|
|||
Other gains (losses) on investment securities recognized in earnings
|
301
|
|
|
(1,522
|
)
|
|
(896
|
)
|
|||
Other income
|
6,650
|
|
|
2,190
|
|
|
2,246
|
|
|||
Non-interest income (loss)
|
8,519
|
|
|
(4,083
|
)
|
|
(10,878
|
)
|
|||
Non-interest expense
|
|
|
|
|
|
||||||
Salaries and employee benefits
|
(833
|
)
|
|
(810
|
)
|
|
(832
|
)
|
|||
Professional services
|
(543
|
)
|
|
(361
|
)
|
|
(270
|
)
|
|||
Occupancy expense
|
(54
|
)
|
|
(57
|
)
|
|
(62
|
)
|
|||
Other administrative expenses
|
(375
|
)
|
|
(333
|
)
|
|
(342
|
)
|
|||
Total administrative expenses
|
(1,805
|
)
|
|
(1,561
|
)
|
|
(1,506
|
)
|
|||
Real estate owned operations income (expense)
|
140
|
|
|
(59
|
)
|
|
(585
|
)
|
|||
Other expenses
|
(424
|
)
|
|
(573
|
)
|
|
(392
|
)
|
|||
Non-interest expense
|
(2,089
|
)
|
|
(2,193
|
)
|
|
(2,483
|
)
|
|||
Income (loss) before income tax benefit
|
25,363
|
|
|
9,445
|
|
|
(5,666
|
)
|
|||
Income tax benefit
|
23,305
|
|
|
1,537
|
|
|
400
|
|
|||
Net income (loss)
|
48,668
|
|
|
10,982
|
|
|
(5,266
|
)
|
|||
Other comprehensive income (loss), net of taxes and reclassification adjustments:
|
|
|
|
|
|
||||||
Changes in unrealized gains (losses) related to available-for-sale securities
|
2,406
|
|
|
4,769
|
|
|
3,465
|
|
|||
Changes in unrealized gains (losses) related to cash flow hedge relationships
|
316
|
|
|
414
|
|
|
509
|
|
|||
Changes in defined benefit plans
|
210
|
|
|
(126
|
)
|
|
62
|
|
|||
Total other comprehensive income (loss), net of taxes and reclassification adjustments
|
2,932
|
|
|
5,057
|
|
|
4,036
|
|
|||
Comprehensive income (loss)
|
$
|
51,600
|
|
|
$
|
16,039
|
|
|
$
|
(1,230
|
)
|
Net income (loss)
|
$
|
48,668
|
|
|
$
|
10,982
|
|
|
$
|
(5,266
|
)
|
Undistributed net worth sweep and senior preferred stock dividends
|
(52,199
|
)
|
|
(13,056
|
)
|
|
(6,498
|
)
|
|||
Loss attributable to common stockholders
|
$
|
(3,531
|
)
|
|
$
|
(2,074
|
)
|
|
$
|
(11,764
|
)
|
Loss per common share — basic and diluted
|
$
|
(1.09
|
)
|
|
$
|
(0.64
|
)
|
|
$
|
(3.63
|
)
|
Weighted average common shares outstanding (in thousands) — basic and diluted
|
3,238,047
|
|
|
3,240,028
|
|
|
3,244,896
|
|
|
170
|
Freddie Mac
|
|
December 31, 2013
|
|
December 31, 2012
|
||||
|
(in millions,
except share-related amounts)
|
||||||
Assets
|
|
|
|
||||
Cash and cash equivalents (includes $1 and $1, respectively, related to our consolidated VIEs)
|
$
|
11,281
|
|
|
$
|
8,513
|
|
Restricted cash and cash equivalents (includes $12,193 and $14,289, respectively, related to our consolidated VIEs)
|
12,265
|
|
|
14,592
|
|
||
Federal funds sold and securities purchased under agreements to resell (includes $3,150 and $19,250, respectively, related to our consolidated VIEs)
|
62,383
|
|
|
37,563
|
|
||
Investments in securities:
|
|
|
|
||||
Available-for-sale, at fair value (includes $70 and $132, respectively, pledged as collateral that may be repledged)
|
128,919
|
|
|
174,896
|
|
||
Trading, at fair value (includes $365 and $0, respectively, pledged as collateral that may be repledged)
|
23,404
|
|
|
41,492
|
|
||
Total investments in securities
|
152,323
|
|
|
216,388
|
|
||
Mortgage loans:
|
|
|
|
||||
Held-for-investment, at amortized cost:
|
|
|
|
||||
By consolidated trusts (net of allowances for loan losses of $3,006 and $4,919, respectively)
|
1,529,905
|
|
|
1,495,932
|
|
||
Unsecuritized (net of allowances for loan losses of $21,612 and $25,788, respectively)
|
146,158
|
|
|
176,177
|
|
||
Total held-for-investment mortgage loans, net
|
1,676,063
|
|
|
1,672,109
|
|
||
Held-for-sale, at fair value
|
8,727
|
|
|
14,238
|
|
||
Total mortgage loans, net
|
1,684,790
|
|
|
1,686,347
|
|
||
Accrued interest receivable (includes $5,111 and $5,426, respectively, related to our consolidated VIEs)
|
6,150
|
|
|
6,875
|
|
||
Derivative assets, net
|
1,063
|
|
|
657
|
|
||
Real estate owned, net (includes $49 and $45, respectively, related to our consolidated VIEs)
|
4,551
|
|
|
4,378
|
|
||
Deferred tax assets, net
|
22,716
|
|
|
778
|
|
||
Other assets (Note 19) (includes $2,172 and $7,986, respectively, related to our consolidated VIEs)
|
8,539
|
|
|
13,765
|
|
||
Total assets
|
$
|
1,966,061
|
|
|
$
|
1,989,856
|
|
Liabilities and equity (deficit)
|
|
|
|
||||
Liabilities
|
|
|
|
||||
Accrued interest payable (includes $4,702 and $5,142, respectively, related to our consolidated VIEs)
|
$
|
6,803
|
|
|
$
|
7,710
|
|
Debt, net:
|
|
|
|
||||
Debt securities of consolidated trusts held by third parties (includes $59 and $70 at fair value, respectively)
|
1,433,984
|
|
|
1,419,524
|
|
||
Other debt (includes $2,683 and $2,187 at fair value, respectively)
|
506,767
|
|
|
547,518
|
|
||
Total debt, net
|
1,940,751
|
|
|
1,967,042
|
|
||
Derivative liabilities, net
|
180
|
|
|
178
|
|
||
Other liabilities (Note 19) (includes $6 and $1, respectively, related to our consolidated VIEs)
|
5,492
|
|
|
6,099
|
|
||
Total liabilities
|
1,953,226
|
|
|
1,981,029
|
|
||
Commitments and contingencies (Notes 9, 14, and 17)
|
|
|
|
||||
Equity (deficit)
|
|
|
|
||||
Senior preferred stock, at redemption value
|
72,336
|
|
|
72,336
|
|
||
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 650,039,533 shares and 650,033,623 shares outstanding, respectively
|
—
|
|
|
—
|
|
||
Additional paid-in capital
|
—
|
|
|
1
|
|
||
Retained earnings (accumulated deficit)
|
(69,719
|
)
|
|
(70,796
|
)
|
||
AOCI, net of taxes, related to:
|
|
|
|
||||
Available-for-sale securities (includes $1,100 and $6,606, respectively, related to net unrealized losses on securities for which other-than-temporary impairment has been recognized in earnings)
|
962
|
|
|
(1,444
|
)
|
||
Cash flow hedge relationships
|
(1,000
|
)
|
|
(1,316
|
)
|
||
Defined benefit plans
|
32
|
|
|
(178
|
)
|
||
Total AOCI, net of taxes
|
(6
|
)
|
|
(2,938
|
)
|
||
Treasury stock, at cost, 75,824,353 shares and 75,830,263 shares, respectively
|
(3,885
|
)
|
|
(3,885
|
)
|
||
Total equity (deficit) (See NOTE 11: STOCKHOLDERS’ EQUITY (DEFICIT) for information on our dividend obligation to Treasury)
|
12,835
|
|
|
8,827
|
|
||
Total liabilities and equity (deficit)
|
$
|
1,966,061
|
|
|
$
|
1,989,856
|
|
|
171
|
Freddie Mac
|
|
Shares Outstanding
|
|
Senior
Preferred
Stock, at
Redemption
Value
|
|
Preferred
Stock, at
Redemption
Value
|
|
Common
Stock, at
Par Value
|
|
Additional
Paid-In
Capital
|
|
Retained
Earnings
(Accumulated
Deficit)
|
|
AOCI,
Net of
Tax
|
|
Treasury
Stock, at
Cost
|
|
Total
Equity
(Deficit)
|
|||||||||||||||||||||||
|
Senior
Preferred
Stock
|
|
Preferred
Stock
|
|
Common
Stock
|
|
||||||||||||||||||||||||||||||||||
|
(in millions)
|
|||||||||||||||||||||||||||||||||||||||
Balance as of December 31, 2010
|
1
|
|
|
464
|
|
|
649
|
|
|
$
|
64,200
|
|
|
$
|
14,109
|
|
|
$
|
—
|
|
|
$
|
7
|
|
|
$
|
(62,733
|
)
|
|
$
|
(12,031
|
)
|
|
$
|
(3,953
|
)
|
|
$
|
(401
|
)
|
Comprehensive income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net loss
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5,266
|
)
|
|
—
|
|
|
—
|
|
|
(5,266
|
)
|
||||||||
Other comprehensive income, net of taxes
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,036
|
|
|
—
|
|
|
4,036
|
|
||||||||
Comprehensive income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5,266
|
)
|
|
4,036
|
|
|
—
|
|
|
(1,230
|
)
|
||||||||
Increase in liquidation preference
|
—
|
|
|
—
|
|
|
—
|
|
|
7,971
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7,971
|
|
||||||||
Stock-based compensation
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
11
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
11
|
|
||||||||
Income tax benefit from stock-based compensation
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
||||||||
Common stock issuances
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(44
|
)
|
|
—
|
|
|
—
|
|
|
44
|
|
|
—
|
|
||||||||
Transfer from retained earnings (accumulated deficit) to additional paid-in capital
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
28
|
|
|
(28
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Senior preferred stock dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(6,495
|
)
|
|
—
|
|
|
—
|
|
|
(6,495
|
)
|
||||||||
Dividend equivalent payments on expired stock options
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
||||||||
Ending balance at December 31, 2011
|
1
|
|
|
464
|
|
|
650
|
|
|
$
|
72,171
|
|
|
$
|
14,109
|
|
|
$
|
—
|
|
|
$
|
3
|
|
|
$
|
(74,525
|
)
|
|
$
|
(7,995
|
)
|
|
$
|
(3,909
|
)
|
|
$
|
(146
|
)
|
Balance as of December 31, 2011
|
1
|
|
|
464
|
|
|
650
|
|
|
$
|
72,171
|
|
|
$
|
14,109
|
|
|
$
|
—
|
|
|
$
|
3
|
|
|
$
|
(74,525
|
)
|
|
$
|
(7,995
|
)
|
|
$
|
(3,909
|
)
|
|
$
|
(146
|
)
|
Comprehensive income:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10,982
|
|
|
—
|
|
|
—
|
|
|
10,982
|
|
||||||||
Other comprehensive income, net of taxes
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5,057
|
|
|
—
|
|
|
5,057
|
|
||||||||
Comprehensive income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10,982
|
|
|
5,057
|
|
|
—
|
|
|
16,039
|
|
||||||||
Increase in liquidation preference
|
—
|
|
|
—
|
|
|
—
|
|
|
165
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
165
|
|
||||||||
Stock-based compensation
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2
|
|
||||||||
Income tax benefit from stock-based compensation
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
||||||||
Common stock issuances
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(24
|
)
|
|
—
|
|
|
—
|
|
|
24
|
|
|
—
|
|
||||||||
Transfer from retained earnings (accumulated deficit) to additional paid-in-capital
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
19
|
|
|
(19
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Senior preferred stock dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(7,233
|
)
|
|
—
|
|
|
—
|
|
|
(7,233
|
)
|
||||||||
Dividend equivalent payments on expired stock options
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
||||||||
Ending balance at December 31, 2012
|
1
|
|
|
464
|
|
|
650
|
|
|
$
|
72,336
|
|
|
$
|
14,109
|
|
|
$
|
—
|
|
|
$
|
1
|
|
|
$
|
(70,796
|
)
|
|
$
|
(2,938
|
)
|
|
$
|
(3,885
|
)
|
|
$
|
8,827
|
|
Balance as of December 31, 2012
|
1
|
|
|
464
|
|
|
650
|
|
|
$
|
72,336
|
|
|
$
|
14,109
|
|
|
$
|
—
|
|
|
$
|
1
|
|
|
$
|
(70,796
|
)
|
|
$
|
(2,938
|
)
|
|
$
|
(3,885
|
)
|
|
$
|
8,827
|
|
Comprehensive income:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
48,668
|
|
|
—
|
|
|
—
|
|
|
48,668
|
|
||||||||
Other comprehensive income, net of taxes
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,932
|
|
|
—
|
|
|
2,932
|
|
||||||||
Comprehensive income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
48,668
|
|
|
2,932
|
|
|
—
|
|
|
51,600
|
|
||||||||
Common stock issuances
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
||||||||
Senior preferred stock dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(47,591
|
)
|
|
—
|
|
|
—
|
|
|
(47,591
|
)
|
||||||||
Ending balance at December 31, 2013
|
1
|
|
|
464
|
|
|
650
|
|
|
$
|
72,336
|
|
|
$
|
14,109
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(69,719
|
)
|
|
$
|
(6
|
)
|
|
$
|
(3,885
|
)
|
|
$
|
12,835
|
|
|
172
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Cash flows from operating activities
|
|
|
|
|
|
||||||
Net income (loss)
|
$
|
48,668
|
|
|
$
|
10,982
|
|
|
$
|
(5,266
|
)
|
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
|
|
|
|
|
|
||||||
Derivative (gains) losses
|
(6,097
|
)
|
|
(1,350
|
)
|
|
4,721
|
|
|||
Asset related amortization — premiums, discounts, and basis adjustments
|
4,627
|
|
|
4,624
|
|
|
2,063
|
|
|||
Debt related amortization — premiums and discounts on certain debt securities and basis adjustments
|
(6,779
|
)
|
|
(5,782
|
)
|
|
(1,629
|
)
|
|||
Net discounts paid on retirements of other debt
|
(1,562
|
)
|
|
(680
|
)
|
|
(713
|
)
|
|||
Net premiums received from issuance of debt securities of consolidated trusts
|
3,534
|
|
|
3,897
|
|
|
4,091
|
|
|||
(Gains) losses on extinguishment of debt securities of consolidated trusts and other debt
|
(446
|
)
|
|
135
|
|
|
175
|
|
|||
(Benefit) provision for credit losses
|
(2,465
|
)
|
|
1,890
|
|
|
10,702
|
|
|||
Losses on investment activity
|
1,545
|
|
|
2,680
|
|
|
2,368
|
|
|||
Deferred income tax (benefit) expense
|
(23,422
|
)
|
|
3
|
|
|
(117
|
)
|
|||
Purchases of held-for-sale mortgage loans
|
(23,103
|
)
|
|
(25,340
|
)
|
|
(16,550
|
)
|
|||
Sales of mortgage loans acquired as held-for-sale
|
28,131
|
|
|
21,769
|
|
|
14,027
|
|
|||
Repayments of mortgage loans acquired as held-for-sale
|
167
|
|
|
59
|
|
|
54
|
|
|||
Payments to servicers for pre-foreclosure expense and servicer incentive fees
|
(1,302
|
)
|
|
(1,269
|
)
|
|
(1,169
|
)
|
|||
Change in:
|
|
|
|
|
|
||||||
Accrued interest receivable
|
725
|
|
|
1,187
|
|
|
651
|
|
|||
Accrued interest payable
|
(849
|
)
|
|
(1,094
|
)
|
|
(1,080
|
)
|
|||
Income taxes receivable or payable
|
117
|
|
|
(1,523
|
)
|
|
(281
|
)
|
|||
Other, net
|
(2,957
|
)
|
|
(1,722
|
)
|
|
(1,727
|
)
|
|||
Net cash provided by operating activities
|
18,532
|
|
|
8,466
|
|
|
10,320
|
|
|||
Cash flows from investing activities
|
|
|
|
|
|
||||||
Purchases of trading securities
|
(53,753
|
)
|
|
(33,880
|
)
|
|
(47,977
|
)
|
|||
Proceeds from sales of trading securities
|
57,380
|
|
|
17,641
|
|
|
33,734
|
|
|||
Proceeds from maturities of trading securities
|
12,542
|
|
|
31,106
|
|
|
14,545
|
|
|||
Purchases of available-for-sale securities
|
(9,681
|
)
|
|
(3,252
|
)
|
|
(12,171
|
)
|
|||
Proceeds from sales of available-for-sale securities
|
24,675
|
|
|
1,729
|
|
|
2,643
|
|
|||
Proceeds from maturities of available-for-sale securities
|
33,630
|
|
|
38,517
|
|
|
34,316
|
|
|||
Purchases of held-for-investment mortgage loans
|
(79,028
|
)
|
|
(79,492
|
)
|
|
(44,129
|
)
|
|||
Repayments of mortgage loans acquired as held-for-investment
|
410,643
|
|
|
522,242
|
|
|
369,981
|
|
|||
Decrease (increase) in restricted cash
|
2,327
|
|
|
13,471
|
|
|
(19,952
|
)
|
|||
Net proceeds from dispositions of real estate owned and other recoveries
|
11,274
|
|
|
11,265
|
|
|
12,665
|
|
|||
Net (increase) decrease in federal funds sold and securities purchased under agreements to resell
|
(24,820
|
)
|
|
(25,519
|
)
|
|
34,480
|
|
|||
Derivative premiums and terminations and swap collateral, net
|
6,062
|
|
|
569
|
|
|
(4,447
|
)
|
|||
Net cash provided by investing activities
|
391,251
|
|
|
494,397
|
|
|
373,688
|
|
|||
Cash flows from financing activities
|
|
|
|
|
|
||||||
Proceeds from issuance of debt securities of consolidated trusts held by third parties
|
110,244
|
|
|
91,544
|
|
|
96,042
|
|
|||
Repayments of debt securities of consolidated trusts held by third parties
|
(430,055
|
)
|
|
(494,115
|
)
|
|
(436,320
|
)
|
|||
Proceeds from issuance of other debt
|
701,236
|
|
|
718,252
|
|
|
1,024,323
|
|
|||
Repayments of other debt
|
(740,842
|
)
|
|
(831,393
|
)
|
|
(1,078,050
|
)
|
|||
Increase in liquidation preference of senior preferred stock
|
—
|
|
|
165
|
|
|
7,971
|
|
|||
Payment of cash dividends on senior preferred stock
|
(47,591
|
)
|
|
(7,233
|
)
|
|
(6,495
|
)
|
|||
Excess tax benefits associated with stock-based awards
|
—
|
|
|
1
|
|
|
1
|
|
|||
Payments of low-income housing tax credit partnerships notes payable
|
(7
|
)
|
|
(13
|
)
|
|
(50
|
)
|
|||
Net cash used in financing activities
|
(407,015
|
)
|
|
(522,792
|
)
|
|
(392,578
|
)
|
|||
Net increase (decrease) in cash and cash equivalents
|
2,768
|
|
|
(19,929
|
)
|
|
(8,570
|
)
|
|||
Cash and cash equivalents at beginning of year
|
8,513
|
|
|
28,442
|
|
|
37,012
|
|
|||
Cash and cash equivalents at end of year
|
$
|
11,281
|
|
|
$
|
8,513
|
|
|
$
|
28,442
|
|
|
|
|
|
|
|
||||||
Supplemental cash flow information
|
|
|
|
|
|
||||||
Cash paid (received) for:
|
|
|
|
|
|
||||||
Debt interest
|
$
|
65,614
|
|
|
$
|
75,328
|
|
|
$
|
84,370
|
|
Net derivative interest carry
|
3,701
|
|
|
4,044
|
|
|
4,791
|
|
|||
Income taxes
|
—
|
|
|
(18
|
)
|
|
(1
|
)
|
|||
Non-cash investing and financing activities:
|
|
|
|
|
|
||||||
Underlying mortgage loans related to guarantor swap transactions
|
340,900
|
|
|
358,074
|
|
|
280,621
|
|
|||
Debt securities of consolidated trusts held by third parties established for guarantor swap transactions
|
340,990
|
|
|
358,074
|
|
|
280,621
|
|
|||
Elimination of investments in securities and debt securities of consolidated trusts held by third parties related to net consolidation of variable interest entities for which we are the primary beneficiary
|
(1,876
|
)
|
|
(4,590
|
)
|
|
—
|
|
|||
Transfers from held-for-investment mortgage loans to held-for-sale mortgage loans
|
224
|
|
|
6
|
|
|
—
|
|
|
173
|
Freddie Mac
|
|
174
|
Freddie Mac
|
|
175
|
Freddie Mac
|
|
176
|
Freddie Mac
|
|
177
|
Freddie Mac
|
|
178
|
Freddie Mac
|
|
179
|
Freddie Mac
|
•
|
estimated current LTV ratios and historical trends in home prices;
|
•
|
loan product type;
|
•
|
delinquency/default status and history;
|
•
|
actual and estimated rates of collateral loss severity for similar loans;
|
•
|
geographic location;
|
•
|
loan age;
|
•
|
sourcing channel;
|
•
|
occupancy type;
|
•
|
UPB at origination;
|
•
|
expected ability to partially mitigate losses through loan modification or other alternatives to foreclosure;
|
•
|
expected proceeds from mortgage insurance contracts that are contractually attached to a loan or other credit enhancements that were entered into contemporaneously with and in contemplation of a guarantee or loan purchase transaction;
|
•
|
expected repurchases of mortgage loans by seller/servicers;
|
•
|
counterparty credit of mortgage insurers and seller/servicers;
|
•
|
pre-foreclosure real estate taxes and insurance;
|
•
|
estimated selling costs should the underlying property ultimately be sold; and
|
•
|
trends in the timing of foreclosures.
|
|
180
|
Freddie Mac
|
|
181
|
Freddie Mac
|
|
182
|
Freddie Mac
|
|
183
|
Freddie Mac
|
|
184
|
Freddie Mac
|
|
185
|
Freddie Mac
|
|
186
|
Freddie Mac
|
•
|
Build
. Build a new infrastructure for the secondary mortgage market.
|
•
|
Contract
. Gradually contract Freddie Mac's and Fannie Mae’s dominant presence in the marketplace while simplifying and shrinking their operations.
|
•
|
Maintain
. Maintain foreclosure prevention activities and credit availability for new and refinanced mortgages.
|
|
187
|
Freddie Mac
|
|
188
|
Freddie Mac
|
•
|
declare or pay any dividend (preferred or otherwise) or make any other distribution with respect to any Freddie Mac equity securities (other than with respect to the senior preferred stock or warrant);
|
•
|
redeem, purchase, retire or otherwise acquire any Freddie Mac equity securities (other than the senior preferred stock or warrant);
|
•
|
sell or issue any Freddie Mac equity securities (other than the senior preferred stock, the warrant and the common stock issuable upon exercise of the warrant and other than as required by the terms of any binding agreement in effect on the date of the Purchase Agreement);
|
•
|
terminate the conservatorship (other than in connection with a receivership);
|
•
|
sell, transfer, lease or otherwise dispose of any assets, other than dispositions for fair market value: (a) to a limited life regulated entity (in the context of a receivership); (b) of assets and properties in the ordinary course of business, consistent with past practice; (c) of assets and properties having fair market value individually or in aggregate less than
$250 million
in one transaction or a series of related transactions; (d) in connection with our liquidation by a receiver; (e) of cash or cash equivalents for cash or cash equivalents; or (f) to the extent necessary to comply with the covenant described below relating to the reduction of our mortgage-related investments portfolio;
|
•
|
issue any subordinated debt;
|
•
|
enter into a corporate reorganization, recapitalization, merger, acquisition or similar event; or
|
•
|
engage in transactions with affiliates unless the transaction is: (a) pursuant to the Purchase Agreement, the senior preferred stock or the warrant; (b) upon arm’s length terms; or (c) a transaction undertaken in the ordinary course or pursuant to a contractual obligation or customary employment arrangement in existence on the date of the Purchase Agreement.
|
|
189
|
Freddie Mac
|
|
190
|
Freddie Mac
|
•
|
TCLFP — In December 2009, on a 50-50 pro rata basis, Freddie Mac and Fannie Mae agreed to provide
$8.2 billion
of credit and liquidity support, including outstanding interest at the date of the guarantee, for variable rate demand obligations, or VRDOs, previously issued by HFAs. This support was provided through the issuance of guarantees, which provide credit enhancement to the holders of such VRDOs and also create an obligation to provide funds to purchase any VRDOs that are put by their holders and are not remarketed. Treasury provided a credit and liquidity backstop on the TCLFP. These guarantees replaced existing liquidity facilities from other providers. The guarantees were scheduled to expire on December 31, 2012. However, Treasury gave TCLFP participants the option to extend their individual TCLFP facilities to December 31, 2015. Certain participants elected to extend their TCLFP facilities to December 2015.
|
•
|
NIBP — In December 2009, on a 50-50 pro rata basis, Freddie Mac and Fannie Mae agreed to issue in total
$15.3 billion
of partially guaranteed pass-through securities backed by new single-family and certain new multifamily housing bonds issued by HFAs. Treasury purchased all of the pass-through securities issued by Freddie Mac and Fannie Mae. This initiative provided financing for HFAs to issue new housing bonds.
|
|
191
|
Freddie Mac
|
|
192
|
Freddie Mac
|
|
193
|
Freddie Mac
|
|
December 31, 2013
|
||||||||||||||||||
|
|
|
Mortgage-Related
Security Trusts
|
|
|
|
|
||||||||||||
|
Asset-Backed
Investment Trusts
(1)
|
|
Freddie Mac
Securities
(2)
|
|
Non-Freddie Mac
Securities
(1)
|
|
Unsecuritized
Multifamily
Loans
(3)
|
|
Other
(1)
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Assets and Liabilities Recorded on our Consolidated Balance Sheets
|
|
|
|
|
|
|
|
|
|
||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Restricted cash and cash equivalents
|
$
|
—
|
|
|
$
|
6
|
|
|
$
|
—
|
|
|
$
|
8
|
|
|
$
|
58
|
|
Investments in securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Available-for-sale, at fair value
|
—
|
|
|
40,659
|
|
|
84,765
|
|
|
—
|
|
|
—
|
|
|||||
Trading, at fair value
|
—
|
|
|
9,349
|
|
|
7,414
|
|
|
—
|
|
|
—
|
|
|||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
||||||||||
Held-for-investment, unsecuritized
|
—
|
|
|
—
|
|
|
—
|
|
|
50,306
|
|
|
—
|
|
|||||
Held-for-sale
|
—
|
|
|
—
|
|
|
—
|
|
|
8,727
|
|
|
—
|
|
|||||
Accrued interest receivable
|
—
|
|
|
232
|
|
|
226
|
|
|
261
|
|
|
7
|
|
|||||
Other assets
|
—
|
|
|
833
|
|
|
14
|
|
|
407
|
|
|
477
|
|
|||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Derivative liabilities, net
|
—
|
|
|
(3
|
)
|
|
—
|
|
|
—
|
|
|
(35
|
)
|
|||||
Other liabilities
|
—
|
|
|
(875
|
)
|
|
(2
|
)
|
|
(12
|
)
|
|
(558
|
)
|
|||||
Maximum Exposure to Loss
|
$
|
—
|
|
|
$
|
72,072
|
|
|
$
|
92,559
|
|
|
$
|
59,710
|
|
|
$
|
10,415
|
|
Total Assets of Non-Consolidated VIEs
(4)
|
$
|
—
|
|
|
$
|
84,731
|
|
|
$
|
506,699
|
|
|
$
|
105,120
|
|
|
$
|
23,707
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
December 31, 2012
|
||||||||||||||||||
|
|
|
Mortgage-Related
Security Trusts
|
|
|
|
|
||||||||||||
|
Asset-Backed
Investment Trusts
(1)
|
|
Freddie Mac
Securities
(2)
|
|
Non-Freddie Mac
Securities
(1)
|
|
Unsecuritized
Multifamily
Loans
(3)
|
|
Other
(1)
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Assets and Liabilities Recorded on our Consolidated Balance Sheets
|
|
|
|
|
|
|
|
|
|
||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Restricted cash and cash equivalents
|
$
|
—
|
|
|
$
|
24
|
|
|
$
|
—
|
|
|
$
|
22
|
|
|
$
|
119
|
|
Investments in securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Available-for-sale, at fair value
|
—
|
|
|
58,515
|
|
|
110,583
|
|
|
—
|
|
|
—
|
|
|||||
Trading, at fair value
|
292
|
|
|
10,354
|
|
|
10,617
|
|
|
—
|
|
|
—
|
|
|||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
||||||||||
Held-for-investment, unsecuritized
|
—
|
|
|
—
|
|
|
—
|
|
|
62,245
|
|
|
—
|
|
|||||
Held-for-sale
|
—
|
|
|
—
|
|
|
—
|
|
|
14,238
|
|
|
—
|
|
|||||
Accrued interest receivable
|
—
|
|
|
324
|
|
|
350
|
|
|
326
|
|
|
7
|
|
|||||
Derivative assets, net
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|||||
Other assets
|
—
|
|
|
558
|
|
|
2
|
|
|
381
|
|
|
482
|
|
|||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Derivative liabilities, net
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
(40
|
)
|
|||||
Other liabilities
|
—
|
|
|
(667
|
)
|
|
(2
|
)
|
|
(29
|
)
|
|
(635
|
)
|
|||||
Maximum Exposure to Loss
|
$
|
292
|
|
|
$
|
51,045
|
|
|
$
|
128,475
|
|
|
$
|
77,213
|
|
|
$
|
10,871
|
|
Total Assets of Non-Consolidated VIEs
(4)
|
$
|
10,901
|
|
|
$
|
59,302
|
|
|
$
|
768,704
|
|
|
$
|
130,512
|
|
|
$
|
25,004
|
|
(1)
|
For our involvement with non-consolidated asset-backed investment trusts, non-Freddie Mac security trusts, and certain other VIEs where we do not provide a guarantee, our maximum exposure to loss is computed as the carrying amount if the security is classified as trading or the amortized cost if the security is classified as available-for-sale for our investments and related assets recorded on our consolidated balance sheets, including any unrealized amounts recorded in AOCI for securities classified as available-for-sale. See “NOTE 7: INVESTMENTS IN SECURITIES” for additional information regarding our asset-backed investments and non-Freddie Mac securities.
|
|
194
|
Freddie Mac
|
(2)
|
Freddie Mac securities include our variable interests in single-family multiclass REMICs and Other Structured Securities, multifamily PCs, multifamily Other Structured Securities, and Other Guarantee Transactions that we do not consolidate. Our maximum exposure to loss includes guaranteed UPB of assets held by the non-consolidated VIEs related to multifamily PCs, multifamily Other Structured Securities, and Other Guarantee Transactions for which we record a guarantee asset (component of Other Assets) and guarantee obligation (component of Other Liabilities) on our consolidated balance sheets. Our maximum exposure to loss excludes most of our investments in single-family multiclass REMICs and Other Structured Securities as we already consolidate most of the collateral of these trusts on our consolidated balance sheets. Our investments in single-family REMICs and Other Structured Securities that are not consolidated do not give rise to any additional exposure to credit loss as we already consolidate the underlying collateral.
|
(3)
|
For unsecuritized multifamily loans, our maximum exposure to loss includes accrued interest receivable associated with these loans. See “NOTE 4: MORTGAGE LOANS AND LOAN LOSS RESERVES” for additional information about our unsecuritized multifamily loans.
|
(4)
|
Except for unsecuritized multifamily loans, this represents the remaining UPB of assets held by non-consolidated VIEs using the most current information available, where our continuing involvement is significant. For unsecuritized multifamily loans, this represents the fair value of the property serving as collateral for the loan. We do not include the assets of our non-consolidated trusts related to single-family REMICs and Other Structured Securities backed by our PCs in this amount as we already consolidate the underlying collateral of these trusts on our consolidated balance sheets.
|
|
195
|
Freddie Mac
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||||||||||||||||
|
Unsecuritized
|
|
Held by
Consolidated
Trusts
|
|
Total
|
|
Unsecuritized
|
|
Held by
Consolidated
Trusts
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Single-family:
(1)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fixed-rate
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Amortizing
|
$
|
113,597
|
|
|
$
|
1,402,841
|
|
|
$
|
1,516,438
|
|
|
$
|
131,061
|
|
|
$
|
1,356,030
|
|
|
$
|
1,487,091
|
|
Interest-only
|
1,476
|
|
|
4,826
|
|
|
6,302
|
|
|
2,445
|
|
|
8,874
|
|
|
11,319
|
|
||||||
Total fixed-rate
|
115,073
|
|
|
1,407,667
|
|
|
1,522,740
|
|
|
133,506
|
|
|
1,364,904
|
|
|
1,498,410
|
|
||||||
Adjustable-rate
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Amortizing
|
1,935
|
|
|
65,429
|
|
|
67,364
|
|
|
2,630
|
|
|
67,067
|
|
|
69,697
|
|
||||||
Interest-only
|
4,576
|
|
|
23,841
|
|
|
28,417
|
|
|
7,323
|
|
|
31,590
|
|
|
38,913
|
|
||||||
Total adjustable-rate
|
6,511
|
|
|
89,270
|
|
|
95,781
|
|
|
9,953
|
|
|
98,657
|
|
|
108,610
|
|
||||||
Other Guarantee Transactions
|
—
|
|
|
8,431
|
|
|
8,431
|
|
|
—
|
|
|
10,407
|
|
|
10,407
|
|
||||||
FHA/VA and other governmental
|
553
|
|
|
3,354
|
|
|
3,907
|
|
|
1,285
|
|
|
3,062
|
|
|
4,347
|
|
||||||
Total single-family
|
122,137
|
|
|
1,508,722
|
|
|
1,630,859
|
|
|
144,744
|
|
|
1,477,030
|
|
|
1,621,774
|
|
||||||
Multifamily:
(1)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fixed-rate
|
50,701
|
|
|
444
|
|
|
51,145
|
|
|
66,384
|
|
|
448
|
|
|
66,832
|
|
||||||
Adjustable-rate
|
8,467
|
|
|
—
|
|
|
8,467
|
|
|
10,182
|
|
|
—
|
|
|
10,182
|
|
||||||
Other governmental
|
3
|
|
|
—
|
|
|
3
|
|
|
3
|
|
|
—
|
|
|
3
|
|
||||||
Total multifamily
|
59,171
|
|
|
444
|
|
|
59,615
|
|
|
76,569
|
|
|
448
|
|
|
77,017
|
|
||||||
Total UPB of mortgage loans
|
181,308
|
|
|
1,509,166
|
|
|
1,690,474
|
|
|
221,313
|
|
|
1,477,478
|
|
|
1,698,791
|
|
||||||
Deferred fees, unamortized premiums, discounts and other cost basis adjustments
|
(4,817
|
)
|
|
23,745
|
|
|
18,928
|
|
|
(5,376
|
)
|
|
23,373
|
|
|
17,997
|
|
||||||
Fair value adjustments on loans held-for sale
(2)
|
6
|
|
|
—
|
|
|
6
|
|
|
266
|
|
|
—
|
|
|
266
|
|
||||||
Allowance for loan losses on mortgage loans held-for-investment
|
(21,612
|
)
|
|
(3,006
|
)
|
|
(24,618
|
)
|
|
(25,788
|
)
|
|
(4,919
|
)
|
|
(30,707
|
)
|
||||||
Total mortgage loans, net
|
$
|
154,885
|
|
|
$
|
1,529,905
|
|
|
$
|
1,684,790
|
|
|
$
|
190,415
|
|
|
$
|
1,495,932
|
|
|
$
|
1,686,347
|
|
Mortgage loans, net:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Held-for-investment
|
$
|
146,158
|
|
|
$
|
1,529,905
|
|
|
$
|
1,676,063
|
|
|
$
|
176,177
|
|
|
$
|
1,495,932
|
|
|
$
|
1,672,109
|
|
Held-for-sale
|
8,727
|
|
|
—
|
|
|
8,727
|
|
|
14,238
|
|
|
—
|
|
|
14,238
|
|
||||||
Total mortgage loans, net
|
$
|
154,885
|
|
|
$
|
1,529,905
|
|
|
$
|
1,684,790
|
|
|
$
|
190,415
|
|
|
$
|
1,495,932
|
|
|
$
|
1,686,347
|
|
(1)
|
Based on UPB and excluding mortgage loans traded, but not yet settled.
|
(2)
|
Consists of fair value adjustments associated with multifamily mortgage loans for which we have made a fair value election.
|
|
196
|
Freddie Mac
|
|
As of December 31, 2013
|
|
As of December 31, 2012
|
||||||||||||||||||||||||||||
|
Estimated Current LTV Ratio
(1)
|
|
|
|
Estimated Current LTV Ratio
(1)
|
|
|
||||||||||||||||||||||||
|
≤ 80
|
|
> 80 to 100
|
|
> 100
(2)
|
|
Total
|
|
≤ 80
|
|
> 80 to 100
|
|
> 100
(2)
|
|
Total
|
||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||
Single-family loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
20 and 30-year or more, amortizing fixed-rate
(3)
|
$
|
819,509
|
|
|
$
|
269,110
|
|
|
$
|
124,491
|
|
|
$
|
1,213,110
|
|
|
$
|
699,386
|
|
|
$
|
309,099
|
|
|
$
|
188,048
|
|
|
$
|
1,196,533
|
|
15-year amortizing fixed-rate
(3)
|
270,211
|
|
|
19,658
|
|
|
5,748
|
|
|
295,617
|
|
|
249,666
|
|
|
18,473
|
|
|
5,433
|
|
|
273,572
|
|
||||||||
Adjustable-rate
(4)
|
56,208
|
|
|
6,714
|
|
|
1,578
|
|
|
64,500
|
|
|
50,764
|
|
|
10,341
|
|
|
4,845
|
|
|
65,950
|
|
||||||||
Alt-A, interest-only, and option ARM
(5)
|
29,927
|
|
|
21,564
|
|
|
25,089
|
|
|
76,580
|
|
|
27,642
|
|
|
24,030
|
|
|
52,057
|
|
|
103,729
|
|
||||||||
Total single-family loans
|
$
|
1,175,855
|
|
|
$
|
317,046
|
|
|
$
|
156,906
|
|
|
1,649,807
|
|
|
$
|
1,027,458
|
|
|
$
|
361,943
|
|
|
$
|
250,383
|
|
|
1,639,784
|
|
||
Multifamily loans
|
|
|
|
|
|
|
50,874
|
|
|
|
|
|
|
|
|
63,032
|
|
||||||||||||||
Total recorded investment of held-for-investment loans
|
|
|
|
|
|
|
$
|
1,700,681
|
|
|
|
|
|
|
|
|
$
|
1,702,816
|
|
(1)
|
The current LTV ratios are management estimates, which are updated on a monthly basis. Current market values are estimated by adjusting the value of the property at origination based on changes in the market value of homes in the same geographical area since that time. The value of a property at origination is based on: (a) for purchase mortgages, either the lesser of the appraised value of the property at the time of mortgage origination or the mortgage borrower’s purchase price; or (b) for refinance mortgages, a third-party appraisal. Changes in market value are derived from our internal index which measures price changes for repeat sales and refinancing activity on the same properties using Freddie Mac and Fannie Mae single-family mortgage acquisitions, including foreclosure sales. Estimates of the current LTV ratio include the credit-enhanced portion of the loan and exclude any secondary financing by third parties. The existence of a second lien reduces the borrower’s equity in the property and, therefore, can increase the risk of default.
|
(2)
|
The serious delinquency rate for the total of single-family held-for-investment mortgage loans with estimated current LTV ratios in excess of 100% was
9.9%
and
12.7%
as of
December 31, 2013
and
2012
, respectively.
|
(3)
|
The majority of our loan modifications result in new terms that include fixed interest rates after modification. As of
December 31, 2013
and
2012
, we have categorized UPB of approximately
$43.8 billion
and
$43.4 billion
, respectively, of modified loans as fixed-rate loans (instead of as adjustable rate loans), even though the modified loans have rate adjustment provisions. In these cases, while the terms of the modified loans provide for the interest rate to adjust in the future, such future rates are determined at the time of modification rather than at a subsequent date.
|
(4)
|
Includes balloon/reset mortgage loans and excludes option ARMs.
|
(5)
|
We have discontinued our purchases of Alt-A, interest-only, and option ARM loans. For reporting purposes: (a) loans within the Alt-A category continue to be presented in that category following modification, even though the borrower may have provided full documentation of assets and income to complete the modification; and (b) loans within the option ARM category continue to be presented in that category following modification, even though the modified loan no longer provides for optional payment provisions.
|
|
197
|
Freddie Mac
|
|
198
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||||||||||||||||||||||
|
2013
|
|
2012
|
||||||||||||||||||||||||||||
|
Allowance for Loan Losses
|
|
Reserve for
Guarantee Losses (1) |
|
|
|
Allowance for Loan Losses
|
|
Reserve for
Guarantee Losses (1) |
|
|
||||||||||||||||||||
|
Unsecuritized
|
|
Held By
Consolidated
Trusts
|
|
|
Total
|
|
Unsecuritized
|
|
Held By
Consolidated
Trusts
|
|
|
Total
|
||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Beginning balance
|
$
|
25,449
|
|
|
$
|
4,918
|
|
|
$
|
141
|
|
|
$
|
30,508
|
|
|
$
|
30,406
|
|
|
$
|
8,351
|
|
|
$
|
159
|
|
|
$
|
38,916
|
|
Provision (benefit) for credit losses
|
(3,995
|
)
|
|
1,790
|
|
|
(42
|
)
|
|
(2,247
|
)
|
|
(3,186
|
)
|
|
5,199
|
|
|
—
|
|
|
2,013
|
|
||||||||
Charge-offs
(2)
|
(8,181
|
)
|
|
(804
|
)
|
|
(10
|
)
|
|
(8,995
|
)
|
|
(12,559
|
)
|
|
(950
|
)
|
|
(11
|
)
|
|
(13,520
|
)
|
||||||||
Recoveries
(3)
|
3,810
|
|
|
503
|
|
|
—
|
|
|
4,313
|
|
|
2,136
|
|
|
126
|
|
|
—
|
|
|
2,262
|
|
||||||||
Transfers, net
(4)
|
4,404
|
|
|
(3,401
|
)
|
|
(4
|
)
|
|
999
|
|
|
8,652
|
|
|
(7,808
|
)
|
|
(7
|
)
|
|
837
|
|
||||||||
Ending balance
|
$
|
21,487
|
|
|
$
|
3,006
|
|
|
$
|
85
|
|
|
$
|
24,578
|
|
|
$
|
25,449
|
|
|
$
|
4,918
|
|
|
$
|
141
|
|
|
$
|
30,508
|
|
Multifamily:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Beginning balance
|
$
|
339
|
|
|
$
|
1
|
|
|
$
|
42
|
|
|
$
|
382
|
|
|
$
|
506
|
|
|
$
|
—
|
|
|
$
|
39
|
|
|
$
|
545
|
|
Provision (benefit) for credit losses
|
(208
|
)
|
|
(1
|
)
|
|
(9
|
)
|
|
(218
|
)
|
|
(132
|
)
|
|
—
|
|
|
9
|
|
|
(123
|
)
|
||||||||
Charge-offs
(2)
|
(7
|
)
|
|
—
|
|
|
—
|
|
|
(7
|
)
|
|
(34
|
)
|
|
—
|
|
|
(2
|
)
|
|
(36
|
)
|
||||||||
Recoveries
(3)
|
1
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
2
|
|
|
2
|
|
||||||||
Transfers, net
(4)
|
—
|
|
|
—
|
|
|
(7
|
)
|
|
(7
|
)
|
|
(1
|
)
|
|
1
|
|
|
(6
|
)
|
|
(6
|
)
|
||||||||
Ending balance
|
$
|
125
|
|
|
$
|
—
|
|
|
$
|
26
|
|
|
$
|
151
|
|
|
$
|
339
|
|
|
$
|
1
|
|
|
$
|
42
|
|
|
$
|
382
|
|
Total:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Beginning balance
|
$
|
25,788
|
|
|
$
|
4,919
|
|
|
$
|
183
|
|
|
$
|
30,890
|
|
|
$
|
30,912
|
|
|
$
|
8,351
|
|
|
$
|
198
|
|
|
$
|
39,461
|
|
Provision (benefit) for credit losses
|
(4,203
|
)
|
|
1,789
|
|
|
(51
|
)
|
|
(2,465
|
)
|
|
(3,318
|
)
|
|
5,199
|
|
|
9
|
|
|
1,890
|
|
||||||||
Charge-offs
(2)
|
(8,188
|
)
|
|
(804
|
)
|
|
(10
|
)
|
|
(9,002
|
)
|
|
(12,593
|
)
|
|
(950
|
)
|
|
(13
|
)
|
|
(13,556
|
)
|
||||||||
Recoveries
(3)
|
3,811
|
|
|
503
|
|
|
—
|
|
|
4,314
|
|
|
2,136
|
|
|
126
|
|
|
2
|
|
|
2,264
|
|
||||||||
Transfers, net
(4)
|
4,404
|
|
|
(3,401
|
)
|
|
(11
|
)
|
|
992
|
|
|
8,651
|
|
|
(7,807
|
)
|
|
(13
|
)
|
|
831
|
|
||||||||
Ending balance
|
$
|
21,612
|
|
|
$
|
3,006
|
|
|
$
|
111
|
|
|
$
|
24,729
|
|
|
$
|
25,788
|
|
|
$
|
4,919
|
|
|
$
|
183
|
|
|
$
|
30,890
|
|
Total loan loss reserve as a percentage of the total mortgage portfolio, excluding non-Freddie Mac securities
|
|
|
|
1.37
|
%
|
|
|
|
|
|
|
|
1.71
|
%
|
(1)
|
Loans associated with our reserve for guarantee losses are those loans that underlie our non-consolidated securitization trusts and other guarantee commitments and are evaluated for impairment on a collective basis. Our reserve for guarantee losses is included in other liabilities on our consolidated balance sheets.
|
(2)
|
Charge-offs represent the amount of a loan that has been discharged to remove the loan from our consolidated balance sheet principally due to either foreclosure transfers or short sales. Charge-offs exclude
$252 million
and
$308 million
for the years ended
December 31, 2013
and
2012
, respectively, related to: (a) amounts recorded as losses on loans purchased within other expenses on our consolidated statements of comprehensive income, which relate to certain loans purchased under financial guarantees; or (b) cumulative fair value losses recognized through the date of foreclosure for Multifamily loans which we elected to carry at fair value at the time of our purchase. We record charge-offs and recoveries on loans held by consolidated trusts when a loss event (such as a foreclosure transfer or foreclosure alternative) occurs on a loan while it remains in a consolidated trust.
|
(3)
|
Recoveries of charge-offs primarily result from foreclosure alternatives and REO acquisitions on loans where: (a) a share of default risk has been assumed by mortgage insurers, servicers, or other third parties through credit enhancements; or (b) we received a reimbursement of our losses from a seller/servicer associated with a repurchase request on a loan that experienced a foreclosure transfer or a foreclosure alternative.
|
(4)
|
For the years ended
December 31, 2013
and
2012
, consists of: (a) approximately
$3.4 billion
and
$7.8 billion
, respectively, of reclassified single-family reserves related to our removal of loans previously held by consolidated trusts; and (b) approximately
$1.0 billion
and
$0.8 billion
, respectively, attributable to capitalization of past due interest on modified mortgage loans.
|
|
199
|
Freddie Mac
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||||||||||||||||
|
Single-family
|
|
Multifamily
|
|
Total
|
|
Single-family
|
|
Multifamily
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Recorded investment:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Collectively evaluated
|
$
|
1,551,667
|
|
|
$
|
49,598
|
|
|
$
|
1,601,265
|
|
|
$
|
1,550,493
|
|
|
$
|
60,836
|
|
|
$
|
1,611,329
|
|
Individually evaluated
|
98,140
|
|
|
1,276
|
|
|
99,416
|
|
|
89,291
|
|
|
2,196
|
|
|
91,487
|
|
||||||
Total recorded investment
|
1,649,807
|
|
|
50,874
|
|
|
1,700,681
|
|
|
1,639,784
|
|
|
63,032
|
|
|
1,702,816
|
|
||||||
Ending balance of the allowance for loan losses:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Collectively evaluated
|
(5,939
|
)
|
|
(45
|
)
|
|
(5,984
|
)
|
|
(12,432
|
)
|
|
(135
|
)
|
|
(12,567
|
)
|
||||||
Individually evaluated
|
(18,554
|
)
|
|
(80
|
)
|
|
(18,634
|
)
|
|
(17,935
|
)
|
|
(205
|
)
|
|
(18,140
|
)
|
||||||
Total ending balance of the allowance
|
(24,493
|
)
|
|
(125
|
)
|
|
(24,618
|
)
|
|
(30,367
|
)
|
|
(340
|
)
|
|
(30,707
|
)
|
||||||
Net investment in mortgage loans
|
$
|
1,625,314
|
|
|
$
|
50,749
|
|
|
$
|
1,676,063
|
|
|
$
|
1,609,417
|
|
|
$
|
62,692
|
|
|
$
|
1,672,109
|
|
|
200
|
Freddie Mac
|
|
UPB at
|
|
Maximum Coverage
(2)
at
|
||||||||||||
|
December 31, 2013
|
|
December 31, 2012
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||||
|
(in millions)
|
||||||||||||||
Single-family:
|
|
|
|
|
|
|
|
||||||||
Primary mortgage insurance
|
$
|
203,470
|
|
|
$
|
188,419
|
|
|
$
|
50,823
|
|
|
$
|
46,685
|
|
Risk transfer transactions
(3)
|
56,903
|
|
|
—
|
|
|
1,183
|
|
|
—
|
|
||||
Lender recourse and indemnifications
|
7,119
|
|
|
7,875
|
|
|
6,726
|
|
|
7,718
|
|
||||
Pool insurance
(4)
|
4,683
|
|
|
7,307
|
|
|
1,186
|
|
|
1,355
|
|
||||
HFA indemnification
(5)
|
4,051
|
|
|
6,270
|
|
|
3,323
|
|
|
3,323
|
|
||||
Subordination
(6)
|
2,644
|
|
|
2,960
|
|
|
399
|
|
|
503
|
|
||||
Other credit enhancements
|
38
|
|
|
62
|
|
|
38
|
|
|
62
|
|
||||
Total
|
$
|
278,908
|
|
|
$
|
212,893
|
|
|
$
|
63,678
|
|
|
$
|
59,646
|
|
Multifamily:
|
|
|
|
|
|
|
|
||||||||
K Certificates
(7)
|
$
|
59,326
|
|
|
$
|
36,732
|
|
|
$
|
10,601
|
|
|
$
|
6,256
|
|
Subordination
(6)
|
4,435
|
|
|
3,817
|
|
|
756
|
|
|
442
|
|
||||
HFA indemnification
(5)
|
905
|
|
|
1,112
|
|
|
699
|
|
|
699
|
|
||||
Other credit enhancements
|
6,666
|
|
|
7,235
|
|
|
1,834
|
|
|
2,263
|
|
||||
Total
|
$
|
71,332
|
|
|
$
|
48,896
|
|
|
$
|
13,890
|
|
|
$
|
9,660
|
|
(1)
|
Includes the credit protection associated with unsecuritized mortgage loans, loans held by our consolidated trusts as well as our non-consolidated mortgage guarantees and excludes FHA/VA and other governmental loans. Except for subordination coverage, these amounts exclude credit protection associated with
$11.5 billion
and
$13.8 billion
in UPB of single-family loans underlying Other Guarantee Transactions as of
December 31, 2013
and
2012
, respectively, for which the information was not available. Also excludes repurchase rights (subject to certain conditions and limitations) we have under representations and warranties provided by our agreements with seller/servicers to underwrite loans and service them in accordance with our standards.
|
(2)
|
Except for subordination and K Certificates, this represents the remaining amount of loss recovery that is available subject to terms of counterparty agreements. For subordination and K Certificates coverage, this represents the UPB of the securities that are subordinate to our guarantee, which could provide protection by absorbing first losses.
|
(3)
|
Represents: (a) STACR debt note transactions in which we issue and sell debt securities, the principal balance of which is subject to the credit and prepayment risk of a reference pool of single-family mortgage loans owned or guaranteed by Freddie Mac; and (b) a transaction in which we purchased an insurance policy on a portion of the mezzanine loss position that was not issued in one of the STACR debt note transactions. UPB amounts presented represent the UPB of the loans in the reference pool. Maximum coverage amounts presented represent the outstanding balance of the debt securities held by third parties as well as the remaining aggregate limit of insurance purchased from a third party.
|
(4)
|
Maximum coverage amounts presented have been limited to the UPB at period end. Excludes approximately
$1.8 billion
and
$3.3 billion
in UPB at
December 31, 2013
and
2012
, respectively, where the related loans are also covered by primary mortgage insurance.
|
(5)
|
Represents the amount of potential reimbursement of losses on securities we have guaranteed that are backed by state and local HFA bonds related to the HFA initiative, under which Treasury bears initial losses on these securities up to
35%
of the original UPB issued under the HFA initiative on a combined program-wide basis. Treasury will also bear losses of unpaid interest.
|
(6)
|
Represents Freddie Mac issued mortgage-related securities with subordination protection, excluding multifamily K Certificates and those securities backed by state and local HFA bonds related to the HFA initiative. Excludes mortgage-related securities where subordination coverage was exhausted. Maximum coverage amounts are limited to the UPB.
|
(7)
|
Represents multifamily K Certificates with subordination protection.
|
|
201
|
Freddie Mac
|
|
Balance at
December 31, 2013
|
|
For The Year Ended
December 31, 2013
|
||||||||||||||||||||||||
|
UPB
|
|
Recorded
Investment
|
|
Associated
Allowance
|
|
Net
Investment
|
|
Average
Recorded
Investment
|
|
Interest
Income
Recognized
|
|
Interest
Income
Recognized
On Cash
Basis
(1)
|
||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||
Single-family —
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
With no specific allowance recorded
(2)
:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
20 and 30-year or more, amortizing fixed-rate
(3)
|
$
|
5,927
|
|
|
$
|
3,355
|
|
|
$
|
—
|
|
|
$
|
3,355
|
|
|
$
|
3,370
|
|
|
$
|
394
|
|
|
$
|
34
|
|
15-year amortizing fixed-rate
(3)
|
62
|
|
|
34
|
|
|
—
|
|
|
34
|
|
|
31
|
|
|
6
|
|
|
1
|
|
|||||||
Adjustable rate
(4)
|
19
|
|
|
13
|
|
|
—
|
|
|
13
|
|
|
13
|
|
|
1
|
|
|
—
|
|
|||||||
Alt-A, interest-only, and option ARM
(5)
|
1,758
|
|
|
1,038
|
|
|
—
|
|
|
1,038
|
|
|
978
|
|
|
72
|
|
|
6
|
|
|||||||
Total with no specific allowance recorded
|
7,766
|
|
|
4,440
|
|
|
—
|
|
|
4,440
|
|
|
4,392
|
|
|
473
|
|
|
41
|
|
|||||||
With specific allowance recorded:
(6)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
20 and 30-year or more, amortizing fixed-rate
(3)
|
75,633
|
|
|
74,554
|
|
|
(14,431
|
)
|
|
60,123
|
|
|
69,922
|
|
|
2,127
|
|
|
282
|
|
|||||||
15-year amortizing fixed-rate
(3)
|
1,324
|
|
|
1,324
|
|
|
(43
|
)
|
|
1,281
|
|
|
1,109
|
|
|
50
|
|
|
11
|
|
|||||||
Adjustable rate
(4)
|
967
|
|
|
962
|
|
|
(84
|
)
|
|
878
|
|
|
855
|
|
|
22
|
|
|
6
|
|
|||||||
Alt-A, interest-only, and option ARM
(5)
|
17,210
|
|
|
16,860
|
|
|
(3,996
|
)
|
|
12,864
|
|
|
16,526
|
|
|
369
|
|
|
69
|
|
|||||||
Total with specific allowance recorded
|
95,134
|
|
|
93,700
|
|
|
(18,554
|
)
|
|
75,146
|
|
|
88,412
|
|
|
2,568
|
|
|
368
|
|
|||||||
Combined single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
20 and 30-year or more, amortizing fixed-rate
(3)
|
81,560
|
|
|
77,909
|
|
|
(14,431
|
)
|
|
63,478
|
|
|
73,292
|
|
|
2,521
|
|
|
316
|
|
|||||||
15-year amortizing fixed-rate
(3)
|
1,386
|
|
|
1,358
|
|
|
(43
|
)
|
|
1,315
|
|
|
1,140
|
|
|
56
|
|
|
12
|
|
|||||||
Adjustable rate
(4)
|
986
|
|
|
975
|
|
|
(84
|
)
|
|
891
|
|
|
868
|
|
|
23
|
|
|
6
|
|
|||||||
Alt-A, interest-only, and option ARM
(5)
|
18,968
|
|
|
17,898
|
|
|
(3,996
|
)
|
|
13,902
|
|
|
17,504
|
|
|
441
|
|
|
75
|
|
|||||||
Total single-family
(7)
|
$
|
102,900
|
|
|
$
|
98,140
|
|
|
$
|
(18,554
|
)
|
|
$
|
79,586
|
|
|
$
|
92,804
|
|
|
$
|
3,041
|
|
|
$
|
409
|
|
Multifamily —
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
With no specific allowance recorded
(8)
|
$
|
694
|
|
|
$
|
681
|
|
|
$
|
—
|
|
|
$
|
681
|
|
|
$
|
1,108
|
|
|
$
|
48
|
|
|
$
|
20
|
|
With specific allowance recorded
|
608
|
|
|
595
|
|
|
(80
|
)
|
|
515
|
|
|
891
|
|
|
41
|
|
|
31
|
|
|||||||
Total multifamily
|
$
|
1,302
|
|
|
$
|
1,276
|
|
|
$
|
(80
|
)
|
|
$
|
1,196
|
|
|
$
|
1,999
|
|
|
$
|
89
|
|
|
$
|
51
|
|
Total single-family and multifamily
|
$
|
104,202
|
|
|
$
|
99,416
|
|
|
$
|
(18,634
|
)
|
|
$
|
80,782
|
|
|
$
|
94,803
|
|
|
$
|
3,130
|
|
|
$
|
460
|
|
|
202
|
Freddie Mac
|
|
Balance at
December 31, 2012
|
|
For The Year Ended
December 31, 2012
|
||||||||||||||||||||||||
|
UPB
|
|
Recorded
Investment
|
|
Associated
Allowance
|
|
Net
Investment
|
|
Average
Recorded
Investment
|
|
Interest
Income
Recognized
|
|
Interest
Income
Recognized
On Cash
Basis
(1)
|
||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||
Single-family —
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
With no specific allowance recorded
(2)
:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
20 and 30-year or more, amortizing fixed-rate
(3)
|
$
|
6,582
|
|
|
$
|
3,236
|
|
|
$
|
—
|
|
|
$
|
3,236
|
|
|
$
|
3,136
|
|
|
$
|
339
|
|
|
$
|
46
|
|
15-year amortizing fixed-rate
(3)
|
64
|
|
|
30
|
|
|
—
|
|
|
30
|
|
|
25
|
|
|
6
|
|
|
1
|
|
|||||||
Adjustable rate
(4)
|
19
|
|
|
12
|
|
|
—
|
|
|
12
|
|
|
7
|
|
|
—
|
|
|
—
|
|
|||||||
Alt-A, interest-only, and option ARM
(5)
|
1,799
|
|
|
857
|
|
|
—
|
|
|
857
|
|
|
847
|
|
|
63
|
|
|
11
|
|
|||||||
Total with no specific allowance recorded
|
8,464
|
|
|
4,135
|
|
|
—
|
|
|
4,135
|
|
|
4,015
|
|
|
408
|
|
|
58
|
|
|||||||
With specific allowance recorded:
(6)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
20 and 30-year or more, amortizing fixed-rate
(3)
|
67,473
|
|
|
66,501
|
|
|
(13,522
|
)
|
|
52,979
|
|
|
55,431
|
|
|
1,632
|
|
|
279
|
|
|||||||
15-year amortizing fixed-rate
(3)
|
1,134
|
|
|
1,125
|
|
|
(55
|
)
|
|
1,070
|
|
|
714
|
|
|
31
|
|
|
8
|
|
|||||||
Adjustable rate
(4)
|
883
|
|
|
874
|
|
|
(107
|
)
|
|
767
|
|
|
558
|
|
|
14
|
|
|
5
|
|
|||||||
Alt-A, interest-only, and option ARM
(5)
|
16,946
|
|
|
16,656
|
|
|
(4,251
|
)
|
|
12,405
|
|
|
14,278
|
|
|
326
|
|
|
82
|
|
|||||||
Total with specific allowance recorded
|
86,436
|
|
|
85,156
|
|
|
(17,935
|
)
|
|
67,221
|
|
|
70,981
|
|
|
2,003
|
|
|
374
|
|
|||||||
Combined single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
20 and 30-year or more, amortizing fixed-rate
(3)
|
74,055
|
|
|
69,737
|
|
|
(13,522
|
)
|
|
56,215
|
|
|
58,567
|
|
|
1,971
|
|
|
325
|
|
|||||||
15-year amortizing fixed-rate
(3)
|
1,198
|
|
|
1,155
|
|
|
(55
|
)
|
|
1,100
|
|
|
739
|
|
|
37
|
|
|
9
|
|
|||||||
Adjustable rate
(4)
|
902
|
|
|
886
|
|
|
(107
|
)
|
|
779
|
|
|
565
|
|
|
14
|
|
|
5
|
|
|||||||
Alt-A, interest-only, and option ARM
(5)
|
18,745
|
|
|
17,513
|
|
|
(4,251
|
)
|
|
13,262
|
|
|
15,125
|
|
|
389
|
|
|
93
|
|
|||||||
Total single-family
(7)
|
$
|
94,900
|
|
|
$
|
89,291
|
|
|
$
|
(17,935
|
)
|
|
$
|
71,356
|
|
|
$
|
74,996
|
|
|
$
|
2,411
|
|
|
$
|
432
|
|
Multifamily —
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
With no specific allowance recorded
(8)
|
$
|
978
|
|
|
$
|
966
|
|
|
$
|
—
|
|
|
$
|
966
|
|
|
$
|
1,420
|
|
|
$
|
61
|
|
|
$
|
37
|
|
With specific allowance recorded
|
1,248
|
|
|
1,230
|
|
|
(205
|
)
|
|
1,025
|
|
|
1,470
|
|
|
68
|
|
|
51
|
|
|||||||
Total multifamily
|
$
|
2,226
|
|
|
$
|
2,196
|
|
|
$
|
(205
|
)
|
|
$
|
1,991
|
|
|
$
|
2,890
|
|
|
$
|
129
|
|
|
$
|
88
|
|
Total single-family and multifamily
|
$
|
97,126
|
|
|
$
|
91,487
|
|
|
$
|
(18,140
|
)
|
|
$
|
73,347
|
|
|
$
|
77,886
|
|
|
$
|
2,540
|
|
|
$
|
520
|
|
(1)
|
Consists of income recognized during the period related to loans categorized as non-accrual.
|
(2)
|
Individually impaired loans with no specific related valuation allowance primarily represent mortgage loans removed from PC pools and accounted for in accordance with the accounting guidance for loans and debt securities acquired with deteriorated credit quality that have not experienced further deterioration.
|
(3)
|
See endnote (3) of “
Table 4.2 — Recorded Investment of Held-For-Investment Mortgage Loans, by LTV Ratio
.”
|
(4)
|
Includes balloon/reset mortgage loans and excludes option ARMs.
|
(5)
|
See endnote (5) of “
Table 4.2 — Recorded Investment of Held-For-Investment Mortgage Loans, by LTV Ratio
.”
|
(6)
|
Consists primarily of mortgage loans classified as TDRs.
|
(7)
|
As of
December 31, 2013
and
2012
includes
$95.1 billion
and
$86.4 billion
, respectively, of UPB associated with loans for which we have recorded a specific allowance, and
$7.8 billion
and
$8.5 billion
, respectively, of UPB associated with loans that have no specific allowance recorded. See endnote (2) for additional information.
|
(8)
|
Individually impaired multifamily loans with no specific related valuation allowance primarily represent those loans for which the collateral value is sufficiently in excess of the loan balance to result in recovery of the entire recorded investment if the property were foreclosed upon or otherwise subject to disposition.
|
|
203
|
Freddie Mac
|
|
December 31, 2013
|
||||||||||||||||||||||
|
Current
|
|
One
Month
Past Due
|
|
Two
Months
Past Due
|
|
Three Months or
More Past Due,
or in Foreclosure
|
|
Total
|
|
Non-accrual
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Single-family —
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
20 and 30-year or more, amortizing fixed-rate
(2)
|
$
|
1,157,057
|
|
|
$
|
19,743
|
|
|
$
|
6,675
|
|
|
$
|
29,635
|
|
|
$
|
1,213,110
|
|
|
$
|
29,620
|
|
15-year amortizing fixed-rate
(2)
|
293,286
|
|
|
1,196
|
|
|
271
|
|
|
864
|
|
|
295,617
|
|
|
863
|
|
||||||
Adjustable-rate
(3)
|
62,987
|
|
|
495
|
|
|
147
|
|
|
871
|
|
|
64,500
|
|
|
871
|
|
||||||
Alt-A, interest-only, and option ARM
(4)
|
62,356
|
|
|
2,898
|
|
|
1,157
|
|
|
10,169
|
|
|
76,580
|
|
|
10,162
|
|
||||||
Total single-family
|
1,575,686
|
|
|
24,332
|
|
|
8,250
|
|
|
41,539
|
|
|
1,649,807
|
|
|
41,516
|
|
||||||
Total multifamily
|
50,827
|
|
|
—
|
|
|
21
|
|
|
26
|
|
|
50,874
|
|
|
627
|
|
||||||
Total single-family and multifamily
|
$
|
1,626,513
|
|
|
$
|
24,332
|
|
|
$
|
8,271
|
|
|
$
|
41,565
|
|
|
$
|
1,700,681
|
|
|
$
|
42,143
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2012
|
||||||||||||||||||||||
|
Current
|
|
One
Month
Past Due
|
|
Two
Months
Past Due
|
|
Three Months or
More Past Due,
or in Foreclosure
|
|
Total
|
|
Non-accrual
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Single-family —
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
20 and 30-year or more, amortizing fixed-rate
(2)
|
$
|
1,125,996
|
|
|
$
|
21,509
|
|
|
$
|
8,051
|
|
|
$
|
40,977
|
|
|
$
|
1,196,533
|
|
|
$
|
40,833
|
|
15-year amortizing fixed-rate
(2)
|
270,730
|
|
|
1,320
|
|
|
338
|
|
|
1,184
|
|
|
273,572
|
|
|
1,177
|
|
||||||
Adjustable-rate
(3)
|
63,736
|
|
|
614
|
|
|
212
|
|
|
1,388
|
|
|
65,950
|
|
|
1,383
|
|
||||||
Alt-A, interest-only, and option ARM
(4)
|
82,438
|
|
|
3,439
|
|
|
1,582
|
|
|
16,270
|
|
|
103,729
|
|
|
16,237
|
|
||||||
Total single-family
|
1,542,900
|
|
|
26,882
|
|
|
10,183
|
|
|
59,819
|
|
|
1,639,784
|
|
|
59,630
|
|
||||||
Total multifamily
|
63,000
|
|
|
—
|
|
|
2
|
|
|
30
|
|
|
63,032
|
|
|
1,457
|
|
||||||
Total single-family and multifamily
|
$
|
1,605,900
|
|
|
$
|
26,882
|
|
|
$
|
10,185
|
|
|
$
|
59,849
|
|
|
$
|
1,702,816
|
|
|
$
|
61,087
|
|
(1)
|
Based on recorded investment in the loan. Mortgage loans that have been modified are not counted as past due as long as the borrower is current under the modified terms. The payment status of a loan may be affected by temporary timing differences, or lags, in the reporting of this information to us by our servicers.
|
(2)
|
See endnote (3) of “
Table 4.2 — Recorded Investment of Held-For-Investment Mortgage Loans, by LTV Ratio
.”
|
(3)
|
Includes balloon/reset mortgage loans and excludes option ARMs.
|
(4)
|
See endnote (5) of “
Table 4.2 — Recorded Investment of Held-For-Investment Mortgage Loans, by LTV Ratio
.”
|
|
204
|
Freddie Mac
|
|
December 31, 2013
|
|
December 31, 2012
|
||||
Single-family:
(1)
|
|
|
|
||||
Non-credit-enhanced portfolio (excluding Other Guarantee Transactions):
|
|
|
|
||||
Serious delinquency rate
|
1.99
|
%
|
|
2.62
|
%
|
||
Total number of seriously delinquent loans
|
183,822
|
|
|
244,533
|
|
||
Credit-enhanced portfolio (excluding Other Guarantee Transactions):
|
|
|
|
||||
Serious delinquency rate
|
4.34
|
%
|
|
6.83
|
%
|
||
Total number of seriously delinquent loans
|
56,794
|
|
|
90,747
|
|
||
Other Guarantee Transactions:
(2)
|
|
|
|
||||
Serious delinquency rate
|
10.91
|
%
|
|
10.60
|
%
|
||
Total number of seriously delinquent loans
|
14,709
|
|
|
17,580
|
|
||
Total single-family:
|
|
|
|
||||
Serious delinquency rate
|
2.39
|
%
|
|
3.25
|
%
|
||
Total number of seriously delinquent loans
|
255,325
|
|
|
352,860
|
|
||
Multifamily:
(3)
|
|
|
|
||||
Non-credit-enhanced portfolio:
|
|
|
|
||||
Delinquency rate
|
0.07
|
%
|
|
0.10
|
%
|
||
UPB of delinquent loans (in millions)
|
$
|
46
|
|
|
$
|
76
|
|
Credit-enhanced portfolio:
|
|
|
|
||||
Delinquency rate
|
0.11
|
%
|
|
0.36
|
%
|
||
UPB of delinquent loans (in millions)
|
$
|
75
|
|
|
$
|
172
|
|
Total Multifamily:
|
|
|
|
||||
Delinquency rate
|
0.09
|
%
|
|
0.19
|
%
|
||
UPB of delinquent loans (in millions)
|
$
|
121
|
|
|
$
|
248
|
|
(1)
|
Single-family mortgage loans that have been modified are not counted as seriously delinquent if the borrower is less than three monthly payments past due under the modified terms. Serious delinquencies on single-family mortgage loans underlying certain REMICs and Other Structured Securities, Other Guarantee Transactions, and other guarantee commitments may be reported on a different schedule due to variances in industry practice.
|
(2)
|
Single-family Other Guarantee Transactions generally have underlying mortgage loans with higher risk characteristics, but some single-family Other Guarantee Transactions may provide inherent credit protections from losses due to underlying subordination, excess interest, overcollateralization and other features.
|
(3)
|
Multifamily delinquency performance is based on UPB of mortgage loans that are two monthly payments or more past due or those in the process of foreclosure and includes multifamily Other Guarantee Transactions (e.g., K Certificates). Excludes mortgage loans that have been modified as long as the borrower is less than two monthly payments past due under the modified contractual terms.
|
|
205
|
Freddie Mac
|
|
206
|
Freddie Mac
|
|
Year Ended December 31, 2013
|
|
Year Ended December 31, 2012
|
||||||||||
|
# of Loans
|
|
Post-TDR
Recorded
Investment
|
|
# of Loans
|
|
Post-TDR
Recorded
Investment
|
||||||
|
(dollars in millions)
|
||||||||||||
Single-family
(1)
|
|
|
|
|
|
|
|
||||||
20 and 30-year or more, amortizing fixed-rate
(2)
|
101,538
|
|
|
$
|
16,014
|
|
|
177,930
|
|
|
$
|
27,076
|
|
15-year amortizing fixed-rate
|
11,671
|
|
|
825
|
|
|
17,549
|
|
|
1,176
|
|
||
Adjustable-rate
(3)
|
3,604
|
|
|
574
|
|
|
6,496
|
|
|
977
|
|
||
Alt-A, interest-only, and option ARM
(4)
|
17,770
|
|
|
3,941
|
|
|
35,012
|
|
|
7,834
|
|
||
Total Single-family
|
134,583
|
|
|
21,354
|
|
|
236,987
|
|
|
37,063
|
|
||
Multifamily
|
8
|
|
|
98
|
|
|
20
|
|
|
202
|
|
||
Total
|
134,591
|
|
|
$
|
21,452
|
|
|
237,007
|
|
|
$
|
37,265
|
|
(1)
|
The pre-TDR recorded investment for single-family loans initially classified as TDR during the years ended
December 31, 2013
and
2012
, was
$21.2 billion
and
$37.0 billion
, respectively. During the third quarter of 2012, we changed the treatment of single-family loans discharged in Chapter 7 bankruptcy to classify these loans as TDRs, regardless of the borrowers’ payment status and when the loans were not already classified as TDRs for other reasons. As a result, the 2012 period reflects the initial classification of such loans as TDRs.
|
(2)
|
See endnote (3) of “
Table 4.2 — Recorded Investment of Held-For-Investment Mortgage Loans, by LTV Ratio
.”
|
(3)
|
Includes balloon/reset mortgage loans.
|
(4)
|
See endnote (5) of “
Table 4.2 — Recorded Investment of Held-For-Investment Mortgage Loans, by LTV Ratio
.”
|
|
Year Ended December 31, 2013
|
Year Ended December 31, 2012
|
|||||||||||
|
# of Loans
|
|
Post-TDR
Recorded
Investment
(2)
|
|
# of Loans
|
|
Post-TDR
Recorded
Investment
(2)
|
||||||
|
(dollars in millions)
|
||||||||||||
Single-family
|
|
|
|
|
|
|
|
||||||
20 and 30-year or more, amortizing fixed-rate
(3)
|
14,964
|
|
|
$
|
2,766
|
|
|
15,718
|
|
|
$
|
2,905
|
|
15-year amortizing fixed-rate
|
471
|
|
|
52
|
|
|
716
|
|
|
73
|
|
||
Adjustable-rate
|
237
|
|
|
50
|
|
|
331
|
|
|
71
|
|
||
Alt-A, interest-only, and option ARM
(4)
|
2,256
|
|
|
587
|
|
|
3,042
|
|
|
805
|
|
||
Total single-family
|
17,928
|
|
|
$
|
3,455
|
|
|
19,807
|
|
|
$
|
3,854
|
|
Multifamily
|
—
|
|
|
$
|
—
|
|
|
6
|
|
|
$
|
82
|
|
|
207
|
Freddie Mac
|
(1)
|
Represents TDR loans that experienced a payment default during the period and had completed a modification during the year preceding the payment default. A payment default occurs when a borrower either: (a) became two or more months delinquent; or (b) completed a loss event, such as a short sale or foreclosure transfer. We only include payment defaults for a single loan once during each quarterly period within a year; however, a single loan will be reflected more than once if the borrower experienced another payment default in a subsequent quarterly period.
|
(2)
|
Represents the recorded investment at the end of the period in which the loan was modified and does not represent the recorded investment as of December 31.
|
(3)
|
See endnote (3) of “
Table 4.2 — Recorded Investment of Held-For-Investment Mortgage Loans, by LTV Ratio
.”
|
(4)
|
See endnote (5) of “
Table 4.2 — Recorded Investment of Held-For-Investment Mortgage Loans, by LTV Ratio
.”
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Beginning balance — REO
|
$
|
4,407
|
|
|
$
|
5,827
|
|
|
$
|
7,368
|
|
Additions
|
6,498
|
|
|
7,029
|
|
|
8,970
|
|
|||
Dispositions
|
(6,303
|
)
|
|
(8,449
|
)
|
|
(10,511
|
)
|
|||
Ending balance — REO
|
4,602
|
|
|
4,407
|
|
|
5,827
|
|
|||
Beginning balance, valuation allowance
|
(29
|
)
|
|
(147
|
)
|
|
(300
|
)
|
|||
Change in valuation allowance
|
(22
|
)
|
|
118
|
|
|
153
|
|
|||
Ending balance, valuation allowance
|
(51
|
)
|
|
(29
|
)
|
|
(147
|
)
|
|||
Ending balance — REO, net
|
$
|
4,551
|
|
|
$
|
4,378
|
|
|
$
|
5,680
|
|
|
208
|
Freddie Mac
|
December 31, 2013
|
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
||||||||
|
(in millions)
|
||||||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
||||||||
Freddie Mac
|
$
|
39,001
|
|
|
$
|
1,847
|
|
|
$
|
(189
|
)
|
|
$
|
40,659
|
|
Fannie Mae
|
10,140
|
|
|
660
|
|
|
(3
|
)
|
|
10,797
|
|
||||
Ginnie Mae
|
149
|
|
|
18
|
|
|
—
|
|
|
167
|
|
||||
CMBS
|
29,151
|
|
|
1,524
|
|
|
(337
|
)
|
|
30,338
|
|
||||
Subprime
|
29,897
|
|
|
382
|
|
|
(2,780
|
)
|
|
27,499
|
|
||||
Option ARM
|
6,617
|
|
|
338
|
|
|
(381
|
)
|
|
6,574
|
|
||||
Alt-A and other
|
8,322
|
|
|
526
|
|
|
(142
|
)
|
|
8,706
|
|
||||
Obligations of states and political subdivisions
|
3,533
|
|
|
23
|
|
|
(61
|
)
|
|
3,495
|
|
||||
Manufactured housing
|
629
|
|
|
61
|
|
|
(6
|
)
|
|
684
|
|
||||
Total available-for-sale securities
|
$
|
127,439
|
|
|
$
|
5,379
|
|
|
$
|
(3,899
|
)
|
|
$
|
128,919
|
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2012
|
|
|
|
|
|
|
|
||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
||||||||
Freddie Mac
|
$
|
53,965
|
|
|
$
|
4,602
|
|
|
$
|
(52
|
)
|
|
$
|
58,515
|
|
Fannie Mae
|
14,183
|
|
|
1,099
|
|
|
(2
|
)
|
|
15,280
|
|
||||
Ginnie Mae
|
183
|
|
|
26
|
|
|
—
|
|
|
209
|
|
||||
CMBS
|
47,606
|
|
|
3,882
|
|
|
(181
|
)
|
|
51,307
|
|
||||
Subprime
|
35,503
|
|
|
83
|
|
|
(9,129
|
)
|
|
26,457
|
|
||||
Option ARM
|
7,454
|
|
|
48
|
|
|
(1,785
|
)
|
|
5,717
|
|
||||
Alt-A and other
|
11,861
|
|
|
244
|
|
|
(1,201
|
)
|
|
10,904
|
|
||||
Obligations of states and political subdivisions
|
5,647
|
|
|
154
|
|
|
(3
|
)
|
|
5,798
|
|
||||
Manufactured housing
|
716
|
|
|
24
|
|
|
(31
|
)
|
|
709
|
|
||||
Total available-for-sale securities
|
$
|
177,118
|
|
|
$
|
10,162
|
|
|
$
|
(12,384
|
)
|
|
$
|
174,896
|
|
|
209
|
Freddie Mac
|
|
Less than 12 Months
|
|
12 Months or Greater
|
|
Total
|
||||||||||||||||||||||||||||||||||||||||||
|
|
|
Gross Unrealized Losses
|
|
|
|
Gross Unrealized Losses
|
|
|
|
Gross Unrealized Losses
|
||||||||||||||||||||||||||||||||||||
December 31, 2013
|
Fair
Value
|
|
Other-Than-
Temporary
Impairment
(1)
|
|
Temporary
Impairment
(2)
|
|
Total
|
|
Fair
Value
|
|
Other-Than-
Temporary
Impairment
(1)
|
|
Temporary
Impairment
(2)
|
|
Total
|
|
Fair
Value
|
|
Other-Than-
Temporary
Impairment
(1)
|
|
Temporary
Impairment
(2)
|
|
Total
|
||||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
$
|
7,957
|
|
|
$
|
—
|
|
|
$
|
(144
|
)
|
|
$
|
(144
|
)
|
|
$
|
649
|
|
|
$
|
—
|
|
|
$
|
(45
|
)
|
|
$
|
(45
|
)
|
|
$
|
8,606
|
|
|
$
|
—
|
|
|
$
|
(189
|
)
|
|
$
|
(189
|
)
|
Fannie Mae
|
248
|
|
|
—
|
|
|
(2
|
)
|
|
(2
|
)
|
|
19
|
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
|
267
|
|
|
—
|
|
|
(3
|
)
|
|
(3
|
)
|
||||||||||||
CMBS
|
1,147
|
|
|
(7
|
)
|
|
(78
|
)
|
|
(85
|
)
|
|
1,992
|
|
|
(16
|
)
|
|
(236
|
)
|
|
(252
|
)
|
|
3,139
|
|
|
(23
|
)
|
|
(314
|
)
|
|
(337
|
)
|
||||||||||||
Subprime
|
472
|
|
|
(19
|
)
|
|
—
|
|
|
(19
|
)
|
|
19,103
|
|
|
(2,448
|
)
|
|
(313
|
)
|
|
(2,761
|
)
|
|
19,575
|
|
|
(2,467
|
)
|
|
(313
|
)
|
|
(2,780
|
)
|
||||||||||||
Option ARM
|
77
|
|
|
(2
|
)
|
|
—
|
|
|
(2
|
)
|
|
2,608
|
|
|
(374
|
)
|
|
(5
|
)
|
|
(379
|
)
|
|
2,685
|
|
|
(376
|
)
|
|
(5
|
)
|
|
(381
|
)
|
||||||||||||
Alt-A and other
|
262
|
|
|
(5
|
)
|
|
—
|
|
|
(5
|
)
|
|
1,854
|
|
|
(113
|
)
|
|
(24
|
)
|
|
(137
|
)
|
|
2,116
|
|
|
(118
|
)
|
|
(24
|
)
|
|
(142
|
)
|
||||||||||||
Obligations of states and political subdivisions
|
1,885
|
|
|
(7
|
)
|
|
(49
|
)
|
|
(56
|
)
|
|
24
|
|
|
—
|
|
|
(5
|
)
|
|
(5
|
)
|
|
1,909
|
|
|
(7
|
)
|
|
(54
|
)
|
|
(61
|
)
|
||||||||||||
Manufactured housing
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
65
|
|
|
(4
|
)
|
|
(2
|
)
|
|
(6
|
)
|
|
65
|
|
|
(4
|
)
|
|
(2
|
)
|
|
(6
|
)
|
||||||||||||
Total available-for-sale securities in a gross unrealized loss position
|
$
|
12,048
|
|
|
$
|
(40
|
)
|
|
$
|
(273
|
)
|
|
$
|
(313
|
)
|
|
$
|
26,314
|
|
|
$
|
(2,955
|
)
|
|
$
|
(631
|
)
|
|
$
|
(3,586
|
)
|
|
$
|
38,362
|
|
|
$
|
(2,995
|
)
|
|
$
|
(904
|
)
|
|
$
|
(3,899
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
|
Less than 12 Months
|
|
12 Months or Greater
|
|
Total
|
||||||||||||||||||||||||||||||||||||||||||
|
|
|
Gross Unrealized Losses
|
|
|
|
Gross Unrealized Losses
|
|
|
|
Gross Unrealized Losses
|
||||||||||||||||||||||||||||||||||||
December 31, 2012
|
Fair
Value
|
|
Other-Than-
Temporary
Impairment
(1)
|
|
Temporary
Impairment
(2)
|
|
Total
|
|
Fair
Value
|
|
Other-Than-
Temporary
Impairment
(1)
|
|
Temporary
Impairment
(2)
|
|
Total
|
|
Fair
Value
|
|
Other-Than-
Temporary
Impairment
(1)
|
|
Temporary
Impairment
(2)
|
|
Total
|
||||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
$
|
1,811
|
|
|
$
|
—
|
|
|
$
|
(25
|
)
|
|
$
|
(25
|
)
|
|
$
|
1,872
|
|
|
$
|
—
|
|
|
$
|
(27
|
)
|
|
$
|
(27
|
)
|
|
$
|
3,683
|
|
|
$
|
—
|
|
|
$
|
(52
|
)
|
|
$
|
(52
|
)
|
Fannie Mae
|
170
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
55
|
|
|
—
|
|
|
(2
|
)
|
|
(2
|
)
|
|
225
|
|
|
—
|
|
|
(2
|
)
|
|
(2
|
)
|
||||||||||||
CMBS
|
340
|
|
|
—
|
|
|
(3
|
)
|
|
(3
|
)
|
|
3,425
|
|
|
(22
|
)
|
|
(156
|
)
|
|
(178
|
)
|
|
3,765
|
|
|
(22
|
)
|
|
(159
|
)
|
|
(181
|
)
|
||||||||||||
Subprime
|
298
|
|
|
(23
|
)
|
|
—
|
|
|
(23
|
)
|
|
25,676
|
|
|
(7,830
|
)
|
|
(1,276
|
)
|
|
(9,106
|
)
|
|
25,974
|
|
|
(7,853
|
)
|
|
(1,276
|
)
|
|
(9,129
|
)
|
||||||||||||
Option ARM
|
82
|
|
|
(3
|
)
|
|
—
|
|
|
(3
|
)
|
|
5,182
|
|
|
(1,759
|
)
|
|
(23
|
)
|
|
(1,782
|
)
|
|
5,264
|
|
|
(1,762
|
)
|
|
(23
|
)
|
|
(1,785
|
)
|
||||||||||||
Alt-A and other
|
50
|
|
|
(4
|
)
|
|
—
|
|
|
(4
|
)
|
|
7,938
|
|
|
(961
|
)
|
|
(236
|
)
|
|
(1,197
|
)
|
|
7,988
|
|
|
(965
|
)
|
|
(236
|
)
|
|
(1,201
|
)
|
||||||||||||
Obligations of states and political subdivisions
|
37
|
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
|
45
|
|
|
—
|
|
|
(2
|
)
|
|
(2
|
)
|
|
82
|
|
|
—
|
|
|
(3
|
)
|
|
(3
|
)
|
||||||||||||
Manufactured housing
|
46
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
222
|
|
|
(26
|
)
|
|
(5
|
)
|
|
(31
|
)
|
|
268
|
|
|
(26
|
)
|
|
(5
|
)
|
|
(31
|
)
|
||||||||||||
Total available-for-sale securities in a gross unrealized loss position
|
$
|
2,834
|
|
|
$
|
(30
|
)
|
|
$
|
(29
|
)
|
|
$
|
(59
|
)
|
|
$
|
44,415
|
|
|
$
|
(10,598
|
)
|
|
$
|
(1,727
|
)
|
|
$
|
(12,325
|
)
|
|
$
|
47,249
|
|
|
$
|
(10,628
|
)
|
|
$
|
(1,756
|
)
|
|
$
|
(12,384
|
)
|
(1)
|
Represents the gross unrealized losses for securities for which we have previously recognized other-than-temporary impairments in earnings.
|
(2)
|
Represents the gross unrealized losses for securities for which we have not previously recognized other-than-temporary impairments in earnings.
|
|
210
|
Freddie Mac
|
•
|
whether we intend to sell the security or it is more likely than not that we will be required to sell the security before sufficient time elapses to recover all unrealized losses;
|
•
|
the use of a third-party model for single-family non-agency mortgage-related securities that considers the credit performance of the underlying collateral, including current LTV ratio, delinquency status, servicer performance, loan modification terms and status, and borrower credit information. The model also incorporates assumptions about the economic environment, including future home prices, unemployment, and interest rates to project underlying collateral prepayment speeds, default rates, loss severities, and delinquency rates. Our estimation approach for CMBS includes the use of a separate third-party model that utilizes underlying collateral performance, current and expected credit enhancements, and incorporates assumptions about the underlying collateral cash flows; and
|
•
|
the incorporation of security-level subordination information and the priority of cash flow payments by the models to project and estimate cash flows expected to be collected for each security.
|
|
211
|
Freddie Mac
|
|
December 31, 2013
|
||||||||||||||||||
|
|
|
|
|
Alt-A
(1)
|
||||||||||||||
|
Subprime First
Lien
(2)
|
|
Option ARM
|
|
Fixed Rate
|
|
Variable Rate
|
|
Hybrid Rate
|
||||||||||
|
(dollars in millions)
|
||||||||||||||||||
Issuance Date
|
|
|
|
|
|
|
|
|
|
||||||||||
2004 and prior:
|
|
|
|
|
|
|
|
|
|
||||||||||
UPB
|
$
|
896
|
|
|
$
|
49
|
|
|
$
|
498
|
|
|
$
|
336
|
|
|
$
|
342
|
|
Weighted average collateral defaults
(3)
|
37
|
%
|
|
23
|
%
|
|
13
|
%
|
|
31
|
%
|
|
19
|
%
|
|||||
Weighted average collateral severities
(4)
|
58
|
%
|
|
46
|
%
|
|
47
|
%
|
|
43
|
%
|
|
37
|
%
|
|||||
Weighted average voluntary prepayment rates
(5)
|
7
|
%
|
|
8
|
%
|
|
11
|
%
|
|
7
|
%
|
|
8
|
%
|
|||||
Average credit enhancements
(6)
|
38
|
%
|
|
4
|
%
|
|
15
|
%
|
|
15
|
%
|
|
12
|
%
|
|||||
2005:
|
|
|
|
|
|
|
|
|
|
||||||||||
UPB
|
$
|
3,687
|
|
|
$
|
2,221
|
|
|
$
|
714
|
|
|
$
|
591
|
|
|
$
|
3,068
|
|
Weighted average collateral defaults
(3)
|
46
|
%
|
|
34
|
%
|
|
20
|
%
|
|
40
|
%
|
|
24
|
%
|
|||||
Weighted average collateral severities
(4)
|
60
|
%
|
|
51
|
%
|
|
46
|
%
|
|
48
|
%
|
|
41
|
%
|
|||||
Weighted average voluntary prepayment rates
(5)
|
4
|
%
|
|
7
|
%
|
|
9
|
%
|
|
7
|
%
|
|
9
|
%
|
|||||
Average credit enhancements
(6)
|
46
|
%
|
|
3
|
%
|
|
—
|
%
|
|
21
|
%
|
|
2
|
%
|
|||||
2006:
|
|
|
|
|
|
|
|
|
|
||||||||||
UPB
|
$
|
16,547
|
|
|
$
|
4,870
|
|
|
$
|
397
|
|
|
$
|
846
|
|
|
$
|
907
|
|
Weighted average collateral defaults
(3)
|
54
|
%
|
|
44
|
%
|
|
28
|
%
|
|
47
|
%
|
|
26
|
%
|
|||||
Weighted average collateral severities
(4)
|
61
|
%
|
|
53
|
%
|
|
47
|
%
|
|
53
|
%
|
|
40
|
%
|
|||||
Weighted average voluntary prepayment rates
(5)
|
2
|
%
|
|
6
|
%
|
|
8
|
%
|
|
6
|
%
|
|
10
|
%
|
|||||
Average credit enhancements
(6)
|
5
|
%
|
|
(5
|
)%
|
|
—
|
%
|
|
(9
|
)%
|
|
(3
|
)%
|
|||||
2007:
|
|
|
|
|
|
|
|
|
|
||||||||||
UPB
|
$
|
18,287
|
|
|
$
|
3,286
|
|
|
$
|
138
|
|
|
$
|
1,085
|
|
|
$
|
225
|
|
Weighted average collateral defaults
(3)
|
53
|
%
|
|
44
|
%
|
|
47
|
%
|
|
46
|
%
|
|
43
|
%
|
|||||
Weighted average collateral severities
(4)
|
61
|
%
|
|
52
|
%
|
|
52
|
%
|
|
52
|
%
|
|
48
|
%
|
|||||
Weighted average voluntary prepayment rates
(5)
|
2
|
%
|
|
6
|
%
|
|
6
|
%
|
|
6
|
%
|
|
7
|
%
|
|||||
Average credit enhancements
(6)
|
4
|
%
|
|
4
|
%
|
|
(1
|
)%
|
|
(20
|
)%
|
|
—
|
%
|
|||||
Total:
|
|
|
|
|
|
|
|
|
|
||||||||||
UPB
|
$
|
39,417
|
|
|
$
|
10,426
|
|
|
$
|
1,747
|
|
|
$
|
2,858
|
|
|
$
|
4,542
|
|
Weighted average collateral defaults
(3)
|
52
|
%
|
|
42
|
%
|
|
22
|
%
|
|
43
|
%
|
|
25
|
%
|
|||||
Weighted average collateral severities
(4)
|
61
|
%
|
|
52
|
%
|
|
47
|
%
|
|
51
|
%
|
|
41
|
%
|
|||||
Weighted average voluntary prepayment rates
(5)
|
2
|
%
|
|
6
|
%
|
|
9
|
%
|
|
6
|
%
|
|
9
|
%
|
|||||
Average credit enhancements
(6)
|
9
|
%
|
|
—
|
%
|
|
4
|
%
|
|
(4
|
)%
|
|
1
|
%
|
(1)
|
Excludes non-agency mortgage-related securities backed by other loans, which primarily consist of securities backed by home equity lines of credit.
|
(2)
|
Excludes non-agency mortgage-related securities backed exclusively by subprime second liens. Certain securities identified as subprime first lien may be backed in part by subprime second-lien loans, as the underlying loans of these securities were permitted to include a small percentage of subprime second-lien loans.
|
(3)
|
The expected cumulative default rate is expressed as a percentage of the current collateral UPB.
|
(4)
|
The expected average loss given default is calculated as the ratio of cumulative loss over cumulative default for each security.
|
(5)
|
The security’s voluntary prepayment rate represents the average of the monthly voluntary prepayment rate weighted by the security’s outstanding UPB.
|
(6)
|
Positive values reflect the amount of subordination and other financial support (excluding credit enhancement provided by bond insurance) that will incur losses in the securitization structure before any losses are allocated to securities that we own. Percentage generally calculated based on: (a) the total UPB of securities subordinate to the securities we own; divided by (b) the total UPB of all of the securities issued by the trust (excluding notional balances).
Negative values are shown when unallocated collateral losses will be allocated to the securities that we own in excess of current remaining credit enhancement, if any. The unallocated collateral losses have been considered in our assessment of other-than-temporary impairment.
|
|
212
|
Freddie Mac
|
|
Net Impairment of Available-For-Sale Securities Recognized in Earnings For the Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
|
|
(in millions)
|
|
|
||||||
Available-for-sale securities:
(1)
|
|
|
|
|
|
||||||
CMBS
|
$
|
(14
|
)
|
|
$
|
(138
|
)
|
|
$
|
(353
|
)
|
Subprime
|
(1,258
|
)
|
|
(1,274
|
)
|
|
(1,315
|
)
|
|||
Option ARM
|
(58
|
)
|
|
(556
|
)
|
|
(424
|
)
|
|||
Alt-A and other
|
(179
|
)
|
|
(196
|
)
|
|
(198
|
)
|
|||
Manufactured housing
|
(1
|
)
|
|
(4
|
)
|
|
(11
|
)
|
|||
Total net impairment of available-for-sale securities recognized in earnings
|
$
|
(1,510
|
)
|
|
$
|
(2,168
|
)
|
|
$
|
(2,301
|
)
|
(1)
|
Includes
$568 million
,
$0 million
, and
$181 million
of other-than-temporary impairments recognized in earnings for the years ended
December 31, 2013
, 2012, and 2011, respectively, as we had the intent to sell the related securities before recovery of their amortized cost basis.
|
|
213
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||
|
2013
|
|
2012
|
||||
|
(in millions)
|
||||||
Credit-related other-than-temporary impairments on available-for-sale securities recognized in earnings:
|
|
|
|
||||
Beginning balance — remaining credit losses on available-for-sale securities where other-than-temporary impairments were recognized in earnings
|
$
|
16,745
|
|
|
$
|
15,988
|
|
Additions:
|
|
|
|
||||
Amounts related to credit losses for which an other-than-temporary impairment was not previously recognized
|
46
|
|
|
141
|
|
||
Amounts related to credit losses for which an other-than-temporary impairment was previously recognized
|
896
|
|
|
2,027
|
|
||
Reductions:
|
|
|
|
||||
Amounts related to securities which were sold, written off, or matured
|
(1,193
|
)
|
|
(1,289
|
)
|
||
Amounts for which we intend to sell the security or it is more likely than not that we will be required to sell the security before recovery of its amortized cost basis
|
(1,536
|
)
|
|
(15
|
)
|
||
Amounts related to amortization resulting from significant increases in cash flows expected to be collected and/or due to the passage of time that are recognized over the remaining life of the security
|
(495
|
)
|
|
(107
|
)
|
||
Ending balance — remaining credit losses on available-for-sale securities where other-than-temporary impairments were recognized in earnings
(1)
|
$
|
14,463
|
|
|
$
|
16,745
|
|
(1)
|
Excludes other-than-temporary impairments on securities that we intend to sell or it is more likely than not that we will be required to sell before recovery of the unrealized losses.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Gross realized gains
|
|
|
|
|
|
||||||
Mortgage-related securities:
|
|
|
|
|
|
||||||
Freddie Mac
|
$
|
547
|
|
|
$
|
34
|
|
|
$
|
77
|
|
Fannie Mae
|
17
|
|
|
14
|
|
|
14
|
|
|||
CMBS
|
1,301
|
|
|
82
|
|
|
37
|
|
|||
Option ARM
|
1
|
|
|
3
|
|
|
—
|
|
|||
Alt-A and other
|
70
|
|
|
—
|
|
|
—
|
|
|||
Obligations of states and political subdivisions
|
13
|
|
|
19
|
|
|
11
|
|
|||
Subprime
|
1
|
|
|
—
|
|
|
—
|
|
|||
Total mortgage-related securities gross realized gains
|
1,950
|
|
|
152
|
|
|
139
|
|
|||
Gross realized gains
|
1,950
|
|
|
152
|
|
|
139
|
|
|||
Gross realized losses
|
|
|
|
|
|
||||||
Mortgage related securities:
(1)
|
|
|
|
|
|
||||||
Freddie Mac
|
(25
|
)
|
|
—
|
|
|
—
|
|
|||
CMBS
|
—
|
|
|
—
|
|
|
(81
|
)
|
|||
Option ARM
|
(4
|
)
|
|
—
|
|
|
—
|
|
|||
Alt-A and other
|
(19
|
)
|
|
—
|
|
|
—
|
|
|||
Subprime
|
(3
|
)
|
|
—
|
|
|
—
|
|
|||
Total mortgage-related securities gross realized losses
|
(51
|
)
|
|
—
|
|
|
(81
|
)
|
|||
Gross realized losses
|
(51
|
)
|
|
—
|
|
|
(81
|
)
|
|||
Net realized gains (losses)
|
$
|
1,899
|
|
|
$
|
152
|
|
|
$
|
58
|
|
(1)
|
The individual sales do not change our conclusion, at period end, that we do not intend to sell our remaining mortgage-related available-for-sale securities that are in an unrealized loss position and it is not more likely than not that we will be required to sell these securities before a sufficient time to recover all unrealized losses.
|
|
214
|
Freddie Mac
|
|
As of December 31, 2013
|
||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
After One Year Through
|
|
After Five Years
|
|
|
|
|
||||||||||||||||||||||||
|
Total
|
|
Total
|
|
One Year or Less
|
|
Five Years
|
|
Through Ten Years
|
|
After Ten Years
|
||||||||||||||||||||||||||||
|
Amortized
|
|
Fair
|
|
Amortized
|
|
Fair
|
|
Amortized
|
|
Fair
|
|
Amortized
|
|
Fair
|
|
Amortized
|
|
Fair
|
||||||||||||||||||||
|
Cost
|
|
Value
|
|
Cost
|
|
Value
|
|
Cost
|
|
Value
|
|
Cost
|
|
Value
|
|
Cost
|
|
Value
|
||||||||||||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||||||||||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Freddie Mac
|
$
|
39,001
|
|
|
$
|
40,659
|
|
|
$
|
4
|
|
|
$
|
4
|
|
|
$
|
570
|
|
|
$
|
599
|
|
|
$
|
613
|
|
|
$
|
654
|
|
|
$
|
37,814
|
|
|
$
|
39,402
|
|
Fannie Mae
|
10,140
|
|
|
10,797
|
|
|
3
|
|
|
3
|
|
|
275
|
|
|
291
|
|
|
163
|
|
|
177
|
|
|
9,699
|
|
|
10,326
|
|
||||||||||
Ginnie Mae
|
149
|
|
|
167
|
|
|
—
|
|
|
—
|
|
|
7
|
|
|
8
|
|
|
12
|
|
|
14
|
|
|
130
|
|
|
145
|
|
||||||||||
CMBS
|
29,151
|
|
|
30,338
|
|
|
—
|
|
|
—
|
|
|
677
|
|
|
735
|
|
|
—
|
|
|
—
|
|
|
28,474
|
|
|
29,603
|
|
||||||||||
Subprime
|
29,897
|
|
|
27,499
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
29,897
|
|
|
27,499
|
|
||||||||||
Option ARM
|
6,617
|
|
|
6,574
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6,617
|
|
|
6,574
|
|
||||||||||
Alt-A and other
|
8,322
|
|
|
8,706
|
|
|
1
|
|
|
2
|
|
|
71
|
|
|
70
|
|
|
12
|
|
|
12
|
|
|
8,238
|
|
|
8,622
|
|
||||||||||
Obligations of states and political subdivisions
|
3,533
|
|
|
3,495
|
|
|
5
|
|
|
5
|
|
|
39
|
|
|
42
|
|
|
106
|
|
|
107
|
|
|
3,383
|
|
|
3,341
|
|
||||||||||
Manufactured housing
|
629
|
|
|
684
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
629
|
|
|
684
|
|
||||||||||
Total available-for-sale securities
|
$
|
127,439
|
|
|
$
|
128,919
|
|
|
$
|
13
|
|
|
$
|
14
|
|
|
$
|
1,639
|
|
|
$
|
1,745
|
|
|
$
|
906
|
|
|
$
|
964
|
|
|
$
|
124,881
|
|
|
$
|
126,196
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Weighted Average Yield
(2)
|
2.99
|
%
|
|
|
|
5.62
|
%
|
|
|
|
5.19
|
%
|
|
|
|
5.16
|
%
|
|
|
|
2.95
|
%
|
|
|
(1)
|
Maturity information provided is based on contractual maturities, which may not represent the expected life as obligations underlying these securities may be prepaid at any time without penalty.
|
(2)
|
The weighted average yield is calculated based on a yield for each individual lot held at December 31, 2013 excluding any fully taxable-equivalent adjustments related to tax exempt sources of interest income. The numerator for the individual lot yield consists of the sum of: (a) the year-end interest coupon rate multiplied by the year-end UPB; and (b) the annualized amortization income or expense calculated for December 2013 (excluding the accretion of non-credit-related other-than-temporary impairments and any adjustments recorded for changes in the effective rate). The denominator for the individual lot yield consists of the year-end amortized cost of the lot excluding effects of other-than-temporary impairments on the UPB of impaired lots.
|
|
December 31, 2013
|
|
December 31, 2012
|
||||
|
(in millions)
|
||||||
Mortgage-related securities:
|
|
|
|
||||
Freddie Mac
|
$
|
9,349
|
|
|
$
|
10,354
|
|
Fannie Mae
|
7,180
|
|
|
10,338
|
|
||
Ginnie Mae
|
98
|
|
|
131
|
|
||
Other
|
141
|
|
|
156
|
|
||
Total mortgage-related securities
|
16,768
|
|
|
20,979
|
|
||
Non-mortgage-related securities:
|
|
|
|
||||
Asset-backed securities
|
—
|
|
|
292
|
|
||
Treasury bills
|
2,254
|
|
|
1,160
|
|
||
Treasury notes
|
4,382
|
|
|
19,061
|
|
||
Total non-mortgage-related securities
|
6,636
|
|
|
20,513
|
|
||
Total fair value of trading securities
|
$
|
23,404
|
|
|
$
|
41,492
|
|
|
215
|
Freddie Mac
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||||||||||||||
|
Par Value
|
|
Balance, Net
(1)
|
|
Weighted Average
Effective Rate
(2)
|
|
Par Value
|
|
Balance, Net
(1)
|
|
Weighted Average
Effective Rate
(2)
|
||||||||||
|
(dollars in millions)
|
||||||||||||||||||||
Other short-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Reference Bills
®
securities and discount notes
|
$
|
137,767
|
|
|
$
|
137,712
|
|
|
0.13
|
%
|
|
$
|
117,930
|
|
|
$
|
117,889
|
|
|
0.15
|
%
|
Medium-term notes
|
4,000
|
|
|
4,000
|
|
|
0.16
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Total other short-term debt
|
$
|
141,767
|
|
|
$
|
141,712
|
|
|
0.13
|
|
|
$
|
117,930
|
|
|
$
|
117,889
|
|
|
0.15
|
|
(1)
|
Represents par value, net of associated discounts or premiums.
|
(2)
|
Represents the weighted average effective rate that remains constant over the life of the instrument, which includes the amortization of discounts or premiums, and issuance costs.
|
|
216
|
Freddie Mac
|
|
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||||||||||||||
|
Contractual Maturity
(1)
|
|
Par Value
|
|
Balance, Net
(2)
|
|
Weighted Average
Effective Rate
(3)
|
|
Par Value
|
|
Balance, Net
(2)
|
|
Weighted Average
Effective Rate
(3)
|
||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||
Other long-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Other senior debt:
(4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Fixed-rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Medium-term notes — callable
(5)
|
2014 - 2037
|
|
$
|
101,190
|
|
|
$
|
101,236
|
|
|
1.51
|
%
|
|
$
|
94,655
|
|
|
$
|
94,842
|
|
|
1.62
|
%
|
Medium-term notes — non-callable
|
2014 - 2028
|
|
37,878
|
|
|
38,107
|
|
|
0.99
|
|
|
42,623
|
|
|
42,877
|
|
|
1.08
|
|
||||
U.S. dollar Reference Notes securities — non-callable
|
2014 - 2032
|
|
190,371
|
|
|
190,406
|
|
|
2.71
|
|
|
225,857
|
|
|
225,885
|
|
|
2.82
|
|
||||
€Reference Notes securities — non-callable
|
2014
|
|
528
|
|
|
529
|
|
|
4.38
|
|
|
1,167
|
|
|
1,187
|
|
|
4.58
|
|
||||
Variable-rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Medium-term notes — callable
|
2014 - 2028
|
|
6,001
|
|
|
6,001
|
|
|
1.66
|
|
|
6,953
|
|
|
6,953
|
|
|
2.57
|
|
||||
Medium-term notes — non-callable
|
2014 - 2026
|
|
18,533
|
|
|
18,533
|
|
|
0.22
|
|
|
46,194
|
|
|
46,197
|
|
|
0.27
|
|
||||
STACR
|
2023
|
|
1,107
|
|
|
1,155
|
|
|
4.29
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Zero-coupon:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Medium-term notes — callable
|
2037 - 2040
|
|
1,200
|
|
|
311
|
|
|
5.82
|
|
|
1,300
|
|
|
324
|
|
|
5.71
|
|
||||
Medium-term notes — non-callable
|
2014 - 2039
|
|
12,217
|
|
|
8,334
|
|
|
3.08
|
|
|
15,240
|
|
|
10,923
|
|
|
4.03
|
|
||||
Hedging-related basis adjustments
|
|
|
N/A
|
|
|
41
|
|
|
|
|
N/A
|
|
|
57
|
|
|
|
||||||
Total other senior debt
|
|
|
369,025
|
|
|
364,653
|
|
|
|
|
433,989
|
|
|
429,245
|
|
|
|
||||||
Other subordinated debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Fixed-rate
|
2016 - 2018
|
|
221
|
|
|
218
|
|
|
6.60
|
|
|
221
|
|
|
218
|
|
|
6.59
|
|
||||
Zero-coupon
|
2019
|
|
332
|
|
|
184
|
|
|
10.51
|
|
|
332
|
|
|
166
|
|
|
10.51
|
|
||||
Total other subordinated debt
|
|
|
553
|
|
|
402
|
|
|
|
|
|
553
|
|
|
384
|
|
|
|
|
||||
Total other long-term debt
|
|
|
$
|
369,578
|
|
|
$
|
365,055
|
|
|
2.08
|
%
|
|
$
|
434,542
|
|
|
$
|
429,629
|
|
|
2.15
|
%
|
(1)
|
Represents contractual maturities at
December 31, 2013
.
|
(2)
|
Represents par value of long-term debt securities and subordinated borrowings, net of associated discounts or premiums and hedge-related basis adjustments, with
$2.6 billion
and
$2.2 billion
, respectively, of other long-term debt that represents the fair value of debt securities with the fair value option elected at
December 31, 2013
and 2012.
|
(3)
|
Represents the weighted average effective rate that remains constant over the life of the instrument, which includes the amortization of discounts or premiums, issuance costs, and hedging-related basis adjustments.
|
(4)
|
For debt denominated in a currency other than the U.S. dollar, the outstanding balance is based on the exchange rate at December 31, 2013 and 2012, respectively.
|
(5)
|
Includes callable FreddieNotes
®
securities of
$0.8 billion
and
$1.2 billion
at
December 31, 2013
and 2012, respectively.
|
|
217
|
Freddie Mac
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||||||||||||||||||
|
Contractual
Maturity
(1)
|
|
UPB
|
|
Balance,
Net
(2)
|
|
Weighted
Average
Coupon
(1)
|
|
Contractual
Maturity
(1)
|
|
UPB
|
|
Balance,
Net
(2)
|
|
Weighted
Average
Coupon
(1)
|
||||||||||
|
(dollars in millions)
|
|
(dollars in millions)
|
||||||||||||||||||||||
Single-family:
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
30-year or more, fixed-rate
|
2014 - 2052
|
|
$
|
969,270
|
|
|
$
|
993,683
|
|
|
4.14
|
%
|
|
2013 - 2048
|
|
$
|
960,176
|
|
|
$
|
982,718
|
|
|
4.53
|
%
|
20-year fixed-rate
|
2014 - 2034
|
|
75,910
|
|
|
78,252
|
|
|
3.81
|
|
|
2013 - 2033
|
|
73,902
|
|
|
76,079
|
|
|
4.09
|
|
||||
15-year fixed-rate
|
2014 - 2029
|
|
270,513
|
|
|
277,018
|
|
|
3.23
|
|
|
2013 - 2028
|
|
257,083
|
|
|
263,244
|
|
|
3.59
|
|
||||
Adjustable-rate
|
2014 - 2047
|
|
60,683
|
|
|
61,830
|
|
|
2.64
|
|
|
2013 - 2047
|
|
62,424
|
|
|
63,649
|
|
|
2.88
|
|
||||
Interest-only
(4)
|
2026 - 2041
|
|
21,352
|
|
|
21,390
|
|
|
3.70
|
|
|
2026 - 2041
|
|
31,588
|
|
|
31,642
|
|
|
4.37
|
|
||||
FHA/VA
|
2014 - 2041
|
|
1,284
|
|
|
1,303
|
|
|
5.67
|
|
|
2013 - 2041
|
|
1,638
|
|
|
1,663
|
|
|
5.67
|
|
||||
Total single-family
|
|
|
1,399,012
|
|
|
1,433,476
|
|
|
|
|
|
|
1,386,811
|
|
|
1,418,995
|
|
|
|
||||||
Multifamily
(5)
|
2018 - 2019
|
|
444
|
|
|
508
|
|
|
4.96
|
|
|
2018 - 2019
|
|
448
|
|
|
529
|
|
|
4.96
|
|
||||
Total debt securities of consolidated trusts held by third parties
(6)
|
|
|
$
|
1,399,456
|
|
|
$
|
1,433,984
|
|
|
|
|
|
|
$
|
1,387,259
|
|
|
$
|
1,419,524
|
|
|
|
(1)
|
Based on the contractual maturity and interest rate of debt securities of our consolidated trusts held by third parties.
|
(2)
|
Represents par value, net of associated discounts, premiums, and other basis adjustments.
|
(3)
|
Debt securities of consolidated trusts held by third parties are prepayable as the loans that collateralize the debt may prepay without penalty at any time.
|
(4)
|
Includes interest-only securities and interest-only mortgage loans that allow the borrowers to pay only interest for a fixed period of time before the loans begin to amortize.
|
(5)
|
Balance, Net includes interest-only securities recorded at fair value.
|
(6)
|
The effective rate for debt securities of consolidated trusts held by third parties was
3.39%
and
3.49%
as of
December 31, 2013
and 2012, respectively.
|
|
|
||
Annual Maturities
|
Par Value
(1)(2)
|
||
|
(in millions)
|
||
Other long-term debt:
|
|
||
2014
|
$
|
78,115
|
|
2015
|
70,303
|
|
|
2016
|
63,564
|
|
|
2017
|
51,908
|
|
|
2018
|
33,418
|
|
|
Thereafter
|
72,270
|
|
|
Debt securities of consolidated trusts held by third parties
(3)
|
1,399,456
|
|
|
Total
|
1,769,034
|
|
|
Net discounts, premiums, hedge-related and other basis adjustments
(4)
|
30,005
|
|
|
Total debt securities of consolidated trusts held by third parties and other long-term debt
|
$
|
1,799,039
|
|
(1)
|
Represents par value of long-term debt securities and subordinated borrowings and UPB of debt securities of our consolidated trusts held by third parties.
|
(2)
|
For other debt denominated in a currency other than the U.S. dollar, the par value is based on the exchange rate at
December 31, 2013
.
|
(3)
|
Contractual maturities of debt securities of consolidated trusts held by third parties may not represent expected maturity as they are prepayable at any time without penalty.
|
(4)
|
Other basis adjustments primarily represent changes in fair value attributable to instrument-specific credit risk and interest-rate risk related to other foreign-currency denominated debt.
|
|
218
|
Freddie Mac
|
•
|
LIBOR- and Euribor-based interest-rate swaps;
|
•
|
LIBOR- and Treasury-based options (including swaptions); and
|
•
|
LIBOR- and Treasury-based exchange-traded futures.
|
|
219
|
Freddie Mac
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||||||||||||||||
|
Notional or
Contractual
Amount
|
|
Derivatives at Fair Value
|
|
Notional or
Contractual
Amount
|
|
Derivatives at Fair Value
|
||||||||||||||||
|
Assets
|
|
Liabilities
|
|
Assets
|
|
Liabilities
|
||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Total derivative portfolio
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivatives not designated as hedging instruments under the accounting guidance for derivatives and hedging
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest-rate swaps:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Receive-fixed
|
$
|
281,727
|
|
|
$
|
4,475
|
|
|
$
|
(2,438
|
)
|
|
$
|
275,099
|
|
|
$
|
13,782
|
|
|
$
|
(97
|
)
|
Pay-fixed
|
242,597
|
|
|
5,540
|
|
|
(10,879
|
)
|
|
270,092
|
|
|
177
|
|
|
(30,147
|
)
|
||||||
Basis (floating to floating)
|
300
|
|
|
4
|
|
|
—
|
|
|
2,300
|
|
|
6
|
|
|
—
|
|
||||||
Total interest-rate swaps
|
524,624
|
|
|
10,019
|
|
|
(13,317
|
)
|
|
547,491
|
|
|
13,965
|
|
|
(30,244
|
)
|
||||||
Option-based:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Call swaptions
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Purchased
|
59,290
|
|
|
2,373
|
|
|
—
|
|
|
37,650
|
|
|
7,360
|
|
|
—
|
|
||||||
Written
|
5,945
|
|
|
—
|
|
|
(201
|
)
|
|
6,195
|
|
|
—
|
|
|
(749
|
)
|
||||||
Put Swaptions
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Purchased
|
33,410
|
|
|
698
|
|
|
—
|
|
|
43,200
|
|
|
288
|
|
|
—
|
|
||||||
Other option-based derivatives
(1)
|
23,365
|
|
|
1,041
|
|
|
(3
|
)
|
|
31,540
|
|
|
2,449
|
|
|
(1
|
)
|
||||||
Total option-based
|
122,010
|
|
|
4,112
|
|
|
(204
|
)
|
|
118,585
|
|
|
10,097
|
|
|
(750
|
)
|
||||||
Futures
|
50,270
|
|
|
—
|
|
|
—
|
|
|
41,123
|
|
|
37
|
|
|
(2
|
)
|
||||||
Foreign-currency swaps
|
528
|
|
|
39
|
|
|
—
|
|
|
1,167
|
|
|
73
|
|
|
(6
|
)
|
||||||
Commitments
|
18,731
|
|
|
61
|
|
|
(69
|
)
|
|
25,530
|
|
|
20
|
|
|
(47
|
)
|
||||||
Credit derivatives
|
5,386
|
|
|
—
|
|
|
(6
|
)
|
|
8,307
|
|
|
1
|
|
|
(5
|
)
|
||||||
Swap guarantee derivatives
|
3,477
|
|
|
—
|
|
|
(31
|
)
|
|
3,628
|
|
|
—
|
|
|
(35
|
)
|
||||||
Total derivatives not designated as hedging instruments
|
725,026
|
|
|
14,231
|
|
|
(13,627
|
)
|
|
745,831
|
|
|
24,193
|
|
|
(31,089
|
)
|
||||||
Derivative interest receivable (payable)
|
|
|
1,243
|
|
|
(1,835
|
)
|
|
|
|
1,409
|
|
|
(2,239
|
)
|
||||||||
Netting adjustments
(2)
|
|
|
(14,411
|
)
|
|
15,282
|
|
|
|
|
(24,945
|
)
|
|
33,150
|
|
||||||||
Total derivative portfolio, net
|
$
|
725,026
|
|
|
$
|
1,063
|
|
|
$
|
(180
|
)
|
|
$
|
745,831
|
|
|
$
|
657
|
|
|
$
|
(178
|
)
|
(1)
|
Primarily includes purchased interest-rate caps and floors.
|
(2)
|
Represents counterparty netting and cash collateral netting. Net cash collateral posted was
$871 million
and
$8.2 billion
at
December 31, 2013
and 2012, respectively.
|
|
220
|
Freddie Mac
|
Derivatives not designated as hedging
instruments under the accounting
guidance for derivatives and hedging
|
Derivative Gains (Losses)
(1)
|
||||||||||
Year Ended December 31,
|
|||||||||||
2013
|
|
2012
|
|
2011
|
|||||||
|
(in millions)
|
||||||||||
Interest-rate swaps:
|
|
|
|
|
|
||||||
Receive-fixed
|
|
|
|
|
|
||||||
Foreign-currency denominated
|
$
|
(21
|
)
|
|
$
|
(33
|
)
|
|
$
|
(49
|
)
|
U.S. dollar denominated
|
(10,400
|
)
|
|
2,686
|
|
|
12,686
|
|
|||
Total receive-fixed swaps
|
(10,421
|
)
|
|
2,653
|
|
|
12,637
|
|
|||
Pay-fixed
|
19,021
|
|
|
(2,865
|
)
|
|
(22,999
|
)
|
|||
Basis (floating to floating)
|
(2
|
)
|
|
8
|
|
|
(5
|
)
|
|||
Total interest-rate swaps
|
8,598
|
|
|
(204
|
)
|
|
(10,367
|
)
|
|||
Option based:
|
|
|
|
|
|
||||||
Call swaptions
|
|
|
|
|
|
||||||
Purchased
|
(2,547
|
)
|
|
1,365
|
|
|
10,234
|
|
|||
Written
|
546
|
|
|
(38
|
)
|
|
(2,337
|
)
|
|||
Put swaptions
|
|
|
|
|
|
||||||
Purchased
|
(8
|
)
|
|
(273
|
)
|
|
(1,614
|
)
|
|||
Written
|
—
|
|
|
6
|
|
|
14
|
|
|||
Other option-based derivatives
(2)
|
(413
|
)
|
|
190
|
|
|
879
|
|
|||
Total option-based
|
(2,422
|
)
|
|
1,250
|
|
|
7,176
|
|
|||
Futures
|
21
|
|
|
12
|
|
|
(150
|
)
|
|||
Foreign-currency swaps
|
30
|
|
|
(8
|
)
|
|
(41
|
)
|
|||
Commitments
|
(131
|
)
|
|
298
|
|
|
(1,340
|
)
|
|||
Credit derivatives
|
(3
|
)
|
|
—
|
|
|
—
|
|
|||
Swap guarantee derivatives
|
9
|
|
|
7
|
|
|
3
|
|
|||
Other
(3)
|
(3
|
)
|
|
(1
|
)
|
|
(1
|
)
|
|||
Subtotal
|
6,099
|
|
|
1,354
|
|
|
(4,720
|
)
|
|||
Accrual of periodic settlements:
(4)
|
|
|
|
|
|
||||||
Receive-fixed interest-rate swaps
|
3,764
|
|
|
3,511
|
|
|
4,173
|
|
|||
Pay-fixed interest-rate swaps
|
(7,233
|
)
|
|
(7,318
|
)
|
|
(9,241
|
)
|
|||
Foreign-currency swaps
|
—
|
|
|
4
|
|
|
22
|
|
|||
Other
|
2
|
|
|
1
|
|
|
14
|
|
|||
Total accrual of periodic settlements
|
(3,467
|
)
|
|
(3,802
|
)
|
|
(5,032
|
)
|
|||
Total
|
$
|
2,632
|
|
|
$
|
(2,448
|
)
|
|
$
|
(9,752
|
)
|
(1)
|
Gains (losses) are reported as derivative gains (losses) on our consolidated statements of comprehensive income.
|
(2)
|
Primarily includes purchased interest-rate caps and floors.
|
(3)
|
Includes fees and commissions paid on cleared and exchange-traded derivatives and, in 2011, a
$3 million
benefit related to the bankruptcy of Lehman Brothers Holdings Inc.
|
(4)
|
For derivatives not in qualifying hedge accounting relationships, the accrual of periodic cash settlements is recorded in derivative gains (losses) on our consolidated statements of comprehensive income.
|
|
221
|
Freddie Mac
|
|
222
|
Freddie Mac
|
|
December 31, 2013
|
||||||||||||||||||
|
Gross
Amount
Recognized
(1)
|
|
Amount Offset
in the Consolidated
Balance Sheets
|
|
Net Amount
Presented in
the Consolidated
Balance Sheets
(2)
|
|
Gross Amount
Not Offset in
the Consolidated
Balance Sheets
|
|
Net
Amount
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Derivatives:
|
|
|
|
|
|
|
|
|
|
||||||||||
Over-the-counter interest-rate and foreign-currency swaps, and option-based derivatives
|
$
|
13,886
|
|
|
$
|
(13,266
|
)
|
|
$
|
620
|
|
|
$
|
(432
|
)
|
|
$
|
188
|
|
Cleared and exchange-traded derivatives
|
1,527
|
|
|
(1,145
|
)
|
|
382
|
|
|
—
|
|
|
382
|
|
|||||
Other
(3)
|
61
|
|
|
—
|
|
|
61
|
|
|
—
|
|
|
61
|
|
|||||
Total derivatives
|
15,474
|
|
|
(14,411
|
)
|
|
1,063
|
|
|
(432
|
)
|
|
631
|
|
|||||
Securities purchased under agreements to resell
|
62,383
|
|
|
—
|
|
|
62,383
|
|
|
(62,383
|
)
|
|
—
|
|
|||||
Total
|
$
|
77,857
|
|
|
$
|
(14,411
|
)
|
|
$
|
63,446
|
|
|
$
|
(62,815
|
)
|
|
$
|
631
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Derivatives:
|
|
|
|
|
|
|
|
|
|
||||||||||
Over-the-counter interest-rate and foreign-currency swaps, and option-based derivatives
|
$
|
(14,616
|
)
|
|
$
|
14,545
|
|
|
$
|
(71
|
)
|
|
$
|
—
|
|
|
$
|
(71
|
)
|
Cleared and exchange-traded derivatives
|
(737
|
)
|
|
737
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Other
(3)
|
(109
|
)
|
|
—
|
|
|
(109
|
)
|
|
—
|
|
|
(109
|
)
|
|||||
Total
|
$
|
(15,462
|
)
|
|
$
|
15,282
|
|
|
$
|
(180
|
)
|
|
$
|
—
|
|
|
$
|
(180
|
)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
December 31, 2012
|
||||||||||||||||||
|
Gross
Amount
Recognized
(1)
|
|
Amount Offset in
the Consolidated
Balance Sheets
|
|
Net Amount
Presented in the
Consolidated
Balance Sheets
(2)
|
|
Gross Amount
Not Offset in the
Consolidated
Balance Sheets
|
|
Net
Amount
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Derivatives:
|
|
|
|
|
|
|
|
|
|
||||||||||
Over-the-counter interest-rate and foreign-currency swaps, and option-based derivatives
|
$
|
25,515
|
|
|
$
|
(24,945
|
)
|
|
$
|
570
|
|
|
$
|
(501
|
)
|
|
$
|
69
|
|
Cleared and exchange-traded derivatives
|
66
|
|
|
—
|
|
|
66
|
|
|
—
|
|
|
66
|
|
|||||
Other
(3)
|
21
|
|
|
—
|
|
|
21
|
|
|
—
|
|
|
21
|
|
|||||
Total derivatives
|
25,602
|
|
|
(24,945
|
)
|
|
657
|
|
|
(501
|
)
|
|
156
|
|
|||||
Securities purchased under agreements to resell
|
37,563
|
|
|
—
|
|
|
37,563
|
|
|
(37,563
|
)
|
|
—
|
|
|||||
Total
|
$
|
63,165
|
|
|
$
|
(24,945
|
)
|
|
$
|
38,220
|
|
|
$
|
(38,064
|
)
|
|
$
|
156
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Derivatives:
|
|
|
|
|
|
|
|
|
|
||||||||||
Over-the-counter interest-rate and foreign-currency swaps, and option-based derivatives
|
$
|
(33,233
|
)
|
|
$
|
33,150
|
|
|
$
|
(83
|
)
|
|
$
|
—
|
|
|
$
|
(83
|
)
|
Cleared and exchange-traded derivatives
|
(8
|
)
|
|
—
|
|
|
(8
|
)
|
|
—
|
|
|
(8
|
)
|
|||||
Other
(3)
|
(87
|
)
|
|
—
|
|
|
(87
|
)
|
|
—
|
|
|
(87
|
)
|
|||||
Total
|
$
|
(33,328
|
)
|
|
$
|
33,150
|
|
|
$
|
(178
|
)
|
|
$
|
—
|
|
|
$
|
(178
|
)
|
(1)
|
For derivatives, includes interest receivable or payable and trade/settle receivable or payable.
|
(2)
|
For derivatives, includes cash collateral posted or held in excess of exposure.
|
(3)
|
Includes commitments, swap guarantee derivatives, certain written options and credit derivatives.
|
|
223
|
Freddie Mac
|
|
December 31, 2013
|
|
December 31, 2012
|
||||
|
(in millions)
|
||||||
Securities pledged with the ability for the secured party to repledge:
|
|
|
|
||||
Debt securities of consolidated trusts held by third parties
(1)
|
$
|
10,654
|
|
|
$
|
10,390
|
|
Available-for-sale securities
|
70
|
|
|
132
|
|
||
Trading securities
|
365
|
|
|
—
|
|
||
Securities pledged without the ability for the secured party to repledge:
|
|
|
|
||||
Debt securities of consolidated trusts held by third parties
(1)
|
—
|
|
|
148
|
|
||
Total securities pledged
|
$
|
11,089
|
|
|
$
|
10,670
|
|
(1)
|
Represents PCs held by us in our Investments segment mortgage investments portfolio and pledged as collateral which are recorded as a reduction to debt securities of consolidated trusts held by third parties on our consolidated balance sheets.
|
|
224
|
Freddie Mac
|
|
Year Ended December 31, 2013
|
||||||||||||||
|
AOCI Related
to Available-
For-Sale
Securities
(1)
|
|
AOCI Related
to Cash Flow
Hedge
Relationships
(2)
|
|
AOCI Related
to Defined
Benefit Plans
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
Beginning balance
|
$
|
(1,444
|
)
|
|
$
|
(1,316
|
)
|
|
$
|
(178
|
)
|
|
$
|
(2,938
|
)
|
Other comprehensive income before reclassifications
(3)
|
2,659
|
|
|
—
|
|
|
169
|
|
|
2,828
|
|
||||
Amounts reclassified from accumulated other comprehensive income
|
(253
|
)
|
|
316
|
|
|
41
|
|
|
104
|
|
||||
Changes in AOCI by component
|
2,406
|
|
|
316
|
|
|
210
|
|
|
2,932
|
|
||||
Ending balance
|
$
|
962
|
|
|
$
|
(1,000
|
)
|
|
$
|
32
|
|
|
$
|
(6
|
)
|
|
|
|
|
|
|
|
|
||||||||
|
Year Ended December 31, 2012
|
||||||||||||||
|
AOCI Related
to Available-
For-Sale
Securities
(1)
|
|
AOCI Related
to Cash Flow
Hedge
Relationships
(2)
|
|
AOCI Related
to Defined
Benefit Plans
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
Beginning balance
|
$
|
(6,213
|
)
|
|
$
|
(1,730
|
)
|
|
$
|
(52
|
)
|
|
$
|
(7,995
|
)
|
Other comprehensive income before reclassifications
(3)
|
3,458
|
|
|
—
|
|
|
(131
|
)
|
|
3,327
|
|
||||
Amounts reclassified from accumulated other comprehensive income
(4)
|
1,311
|
|
|
414
|
|
|
5
|
|
|
1,730
|
|
||||
Changes in AOCI by component
|
4,769
|
|
|
414
|
|
|
(126
|
)
|
|
5,057
|
|
||||
Ending balance
|
$
|
(1,444
|
)
|
|
$
|
(1,316
|
)
|
|
$
|
(178
|
)
|
|
$
|
(2,938
|
)
|
(1)
|
The amounts reclassified from AOCI represent the gain or loss recognized in earnings due to a sale of an available-for-sale security or the recognition of a net impairment recognized in earnings. See “NOTE 7: INVESTMENTS IN SECURITIES” for more information.
|
(2)
|
The amounts reclassified from AOCI represent the AOCI amount that was recognized in earnings as the originally hedged forecasted transactions affected earnings, unless it was deemed probable that the forecasted transaction would not occur. If it is probable that the forecasted transaction will not occur, then the deferred gain or loss associated with the hedge related to the forecasted transaction would be reclassified into earnings immediately. See “NOTE 9: DERIVATIVES” for more information about our derivatives.
|
(3)
|
For the years ended
December 31, 2013
and 2012, net of tax expense of
$1.4 billion
and
$1.9 billion
, respectively, for AOCI related to available-for-sale securities.
|
(4)
|
For the year ended
December 31, 2012
, net of tax benefit of
$706 million
for AOCI related to available-for-sale securities and net of tax benefit of
$198 million
for AOCI related to cash flow hedge relationships.
|
|
225
|
Freddie Mac
|
Details about Accumulated Other
Comprehensive Income Components
|
|
Three Months Ended December 31, 2013
|
|
Year Ended December 31, 2013
|
|
Affected Line Item in the Consolidated
Statements of Comprehensive Income
|
||||
|
|
(in millions)
|
|
|
||||||
AOCI related to available-for-sale securities
|
|
|
|
|
|
|
||||
|
|
$
|
717
|
|
|
$
|
1,899
|
|
|
Other gains (losses) on investment securities recognized in earnings
|
|
|
(1,297
|
)
|
|
(1,510
|
)
|
|
Net impairment of available-for-sale securities recognized in earnings
|
||
|
|
(580
|
)
|
|
389
|
|
|
Total before tax
|
||
|
|
203
|
|
|
(136
|
)
|
|
Tax (expense) or benefit
|
||
|
|
(377
|
)
|
|
253
|
|
|
Net of tax
|
||
AOCI related to cash flow hedge relationships
|
|
|
|
|
|
|
||||
|
|
(1
|
)
|
|
(5
|
)
|
|
Interest expense — Other debt
|
||
|
|
(94
|
)
|
|
(455
|
)
|
|
Expense related to derivatives
|
||
|
|
(95
|
)
|
|
(460
|
)
|
|
Total before tax
|
||
|
|
29
|
|
|
144
|
|
|
Tax (expense) or benefit
|
||
|
|
(66
|
)
|
|
(316
|
)
|
|
Net of tax
|
||
AOCI related to defined benefit plans
|
|
|
|
|
|
|
||||
|
|
8
|
|
|
2
|
|
|
Salaries and employee benefits
|
||
|
|
(43
|
)
|
|
(43
|
)
|
|
Tax (expense) or benefit
|
||
|
|
(35
|
)
|
|
(41
|
)
|
|
Net of tax
|
||
Total reclassifications in the period
|
|
$
|
(478
|
)
|
|
$
|
(104
|
)
|
|
Net of tax
|
|
226
|
Freddie Mac
|
(1)
|
Amounts stated at redemption value.
|
(2)
|
We did not receive any cash proceeds from Treasury as a result of issuing these shares.
|
(3)
|
Represents an increase in the liquidation preference of our senior preferred stock due to the receipt of funds from Treasury.
|
|
227
|
Freddie Mac
|
|
228
|
Freddie Mac
|
|
Issue Date
|
Shares
Authorized
|
Shares
Outstanding
|
Total
Par Value
|
Redemption
Price per
Share
|
Total
Outstanding
Balance
(1)
|
Redeemable
On or After
(2)
|
OTCQB
Symbol
(3)
|
||||||||
Preferred stock:
|
|
(in millions, except redemption price per share)
|
|
|
||||||||||||
1996 Variable-rate
(4)
|
April 26, 1996
|
5.00
|
|
5.00
|
|
$
|
5.00
|
|
$
|
50.00
|
|
$
|
250
|
|
June 30, 2001
|
FMCCI
|
5.81%
|
October 27, 1997
|
3.00
|
|
3.00
|
|
3.00
|
|
50.00
|
|
150
|
|
October 27, 1998
|
(5)
|
|||
5%
|
March 23, 1998
|
8.00
|
|
8.00
|
|
8.00
|
|
50.00
|
|
400
|
|
March 31, 2003
|
FMCKK
|
|||
1998 Variable-rate
(6)
|
September 23 and 29, 1998
|
4.40
|
|
4.40
|
|
4.40
|
|
50.00
|
|
220
|
|
September 30, 2003
|
FMCCG
|
|||
5.10%
|
September 23, 1998
|
8.00
|
|
8.00
|
|
8.00
|
|
50.00
|
|
400
|
|
September 30, 2003
|
FMCCH
|
|||
5.30%
|
October 28, 1998
|
4.00
|
|
4.00
|
|
4.00
|
|
50.00
|
|
200
|
|
October 30, 2000
|
(5)
|
|||
5.10%
|
March 19, 1999
|
3.00
|
|
3.00
|
|
3.00
|
|
50.00
|
|
150
|
|
March 31, 2004
|
(5)
|
|||
5.79%
|
July 21, 1999
|
5.00
|
|
5.00
|
|
5.00
|
|
50.00
|
|
250
|
|
June 30, 2009
|
FMCCK
|
|||
1999 Variable-rate
(7)
|
November 5, 1999
|
5.75
|
|
5.75
|
|
5.75
|
|
50.00
|
|
287
|
|
December 31, 2004
|
FMCCL
|
|||
2001 Variable-rate
(8)
|
January 26, 2001
|
6.50
|
|
6.50
|
|
6.50
|
|
50.00
|
|
325
|
|
March 31, 2003
|
FMCCM
|
|||
2001 Variable-rate
(9)
|
March 23, 2001
|
4.60
|
|
4.60
|
|
4.60
|
|
50.00
|
|
230
|
|
March 31, 2003
|
FMCCN
|
|||
5.81%
|
March 23, 2001
|
3.45
|
|
3.45
|
|
3.45
|
|
50.00
|
|
173
|
|
March 31, 2011
|
FMCCO
|
|||
6%
|
May 30, 2001
|
3.45
|
|
3.45
|
|
3.45
|
|
50.00
|
|
173
|
|
June 30, 2006
|
FMCCP
|
|||
2001 Variable-rate
(10)
|
May 30, 2001
|
4.02
|
|
4.02
|
|
4.02
|
|
50.00
|
|
201
|
|
June 30, 2003
|
FMCCJ
|
|||
5.70%
|
October 30, 2001
|
6.00
|
|
6.00
|
|
6.00
|
|
50.00
|
|
300
|
|
December 31, 2006
|
FMCKP
|
|||
5.81%
|
January 29, 2002
|
6.00
|
|
6.00
|
|
6.00
|
|
50.00
|
|
300
|
|
March 31, 2007
|
(5)
|
|||
2006 Variable-rate
(11)
|
July 17, 2006
|
15.00
|
|
15.00
|
|
15.00
|
|
50.00
|
|
750
|
|
June 30, 2011
|
FMCCS
|
|||
6.42%
|
July 17, 2006
|
5.00
|
|
5.00
|
|
5.00
|
|
50.00
|
|
250
|
|
June 30, 2011
|
FMCCT
|
|||
5.90%
|
October 16, 2006
|
20.00
|
|
20.00
|
|
20.00
|
|
25.00
|
|
500
|
|
September 30, 2011
|
FMCKO
|
|||
5.57%
|
January 16, 2007
|
44.00
|
|
44.00
|
|
44.00
|
|
25.00
|
|
1,100
|
|
December 31, 2011
|
FMCKM
|
|||
5.66%
|
April 16, 2007
|
20.00
|
|
20.00
|
|
20.00
|
|
25.00
|
|
500
|
|
March 31, 2012
|
FMCKN
|
|||
6.02%
|
July 24, 2007
|
20.00
|
|
20.00
|
|
20.00
|
|
25.00
|
|
500
|
|
June 30, 2012
|
FMCKL
|
|||
6.55%
|
September 28, 2007
|
20.00
|
|
20.00
|
|
20.00
|
|
25.00
|
|
500
|
|
September 30, 2017
|
FMCKI
|
|||
2007 Fixed-to-floating rate
(12)
|
December 4, 2007
|
240.00
|
|
240.00
|
|
240.00
|
|
25.00
|
|
6,000
|
|
December 31, 2012
|
FMCKJ
|
|||
Total, preferred stock
|
|
464.17
|
|
464.17
|
|
$
|
464.17
|
|
|
$
|
14,109
|
|
|
|
(1)
|
Amounts stated at redemption value.
|
(2)
|
In accordance with the Purchase Agreement, until the senior preferred stock is repaid or redeemed in full, we may not, without the prior written consent of Treasury, redeem, purchase, retire or otherwise acquire any Freddie Mac equity securities (other than the senior preferred stock or warrant).
|
(3)
|
Preferred stock trades exclusively through the OTCQB Marketplace unless otherwise noted.
|
(4)
|
Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 1% divided by 1.377, and is capped at 9.00%.
|
(5)
|
Issued through private placement.
|
(6)
|
Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 1% divided by 1.377, and is capped at 7.50%
.
|
(7)
|
Dividend rate resets on January 1 every five years after January 1, 2005 based on a five-year Constant Maturity Treasury rate, and is capped at 11.00%.
Optional redemption on December 31, 2004 and on December 31 every five years thereafter.
|
(8)
|
Dividend rate resets on April 1 every two years after April 1, 2003 based on the two-year Constant Maturity Treasury rate plus 0.10%, and is capped at 11.00%
.
Optional redemption on March 31, 2003 and on March 31 every two years thereafter.
|
(9)
|
Dividend rate resets on April 1 every year based on 12-month LIBOR minus 0.20%, and is capped at 11.00%.
Optional redemption on March 31, 2003 and on March 31 every year thereafter.
|
(10)
|
Dividend rate resets on July 1 every two years after July 1, 2003 based on the two-year Constant Maturity Treasury rate plus 0.20%, and is capped at 11.00%.
Optional redemption on June 30, 2003 and on June 30 every two years thereafter.
|
(11)
|
Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 0.50% but not less than 4.00%.
|
(12)
|
Dividend rate is set at an annual fixed rate of 8.375% from December 4, 2007 through December 31, 2012. For the period beginning on or after January 1, 2013, dividend rate resets quarterly and is equal to the higher of: (a) the sum of three-month LIBOR plus 4.16% per annum; or (b) 7.875% per annum. Optional redemption on December 31, 2012, and on December 31 every five years thereafter.
|
|
229
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Current income tax (expense) benefit
|
$
|
(117
|
)
|
|
$
|
1,540
|
|
|
$
|
283
|
|
Deferred income tax benefit (expense)
|
23,422
|
|
|
(3
|
)
|
|
117
|
|
|||
Total income tax benefit
|
$
|
23,305
|
|
|
$
|
1,537
|
|
|
$
|
400
|
|
|
230
|
Freddie Mac
|
|
2013
|
|
2012
|
||||
|
(in millions)
|
||||||
Deferred tax assets:
|
|
|
|
||||
Deferred fees
|
$
|
5,035
|
|
|
$
|
4,330
|
|
Basis differences related to derivative instruments
|
6,946
|
|
|
10,294
|
|
||
Credit related items and allowance for loan losses
|
3,648
|
|
|
6,785
|
|
||
Unrealized (gains) losses related to available-for-sale securities
|
—
|
|
|
778
|
|
||
LIHTC and AMT credit carryforward
|
3,997
|
|
|
3,408
|
|
||
Net operating loss carryforward
|
3,978
|
|
|
11,479
|
|
||
Other items, net
|
40
|
|
|
146
|
|
||
Total deferred tax assets
|
23,644
|
|
|
37,220
|
|
||
Deferred tax liabilities:
|
|
|
|
||||
Basis differences related to assets held for investment
(1)
|
(375
|
)
|
|
(4,609
|
)
|
||
Unrealized (gains) losses related to available-for-sale securities
|
(518
|
)
|
|
—
|
|
||
Basis differences related to debt
|
(35
|
)
|
|
(149
|
)
|
||
Total deferred tax liabilities
|
(928
|
)
|
|
(4,758
|
)
|
||
Valuation allowance
|
—
|
|
|
(31,684
|
)
|
||
Deferred tax assets (liabilities), net
|
$
|
22,716
|
|
|
$
|
778
|
|
(1)
|
The deferred tax liability balance for basis differences related to assets held for investment includes a basis adjustment on seriously delinquent loans. This deferred tax liability offsets a portion of the deferred tax asset for credit related items and the allowance for loan losses.
|
|
231
|
Freddie Mac
|
•
|
Our three-year cumulative income position;
|
•
|
The strong positive trend in our financial performance over six consecutive quarters;
|
•
|
The 2012 taxable income reported in our federal tax return which was filed in 2013;
|
•
|
Our forecasted 2013 and future period taxable income;
|
•
|
Our net operating loss carryforwards do not begin to expire until 2030; and
|
•
|
The continuing positive trend in the housing market.
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Balance at January 1
|
$
|
—
|
|
|
$
|
1,355
|
|
|
$
|
1,220
|
|
Changes based on tax positions in prior years
|
—
|
|
|
(41
|
)
|
|
130
|
|
|||
Changes based on tax positions in current years
|
—
|
|
|
(28
|
)
|
|
6
|
|
|||
Decreases in unrecognized tax benefits due to settlements with taxing authorities
|
—
|
|
|
(1,286
|
)
|
|
(1
|
)
|
|||
Balance at December 31
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,355
|
|
|
232
|
Freddie Mac
|
|
233
|
Freddie Mac
|
•
|
Net guarantee fee is reclassified in Segment Earnings from net interest income to management and guarantee income.
|
•
|
Implied management and guarantee fee related to unsecuritized mortgage loans held in the mortgage investments portfolio is reclassified in Segment Earnings from net interest income to management and guarantee income.
|
•
|
The portion of the amount reversed for accrued but uncollected interest upon placing loans on a non-accrual status that relates to guarantee fees is reclassified in Segment Earnings from net interest income to management and guarantee income. The remaining portion of the allowance for lost interest is reclassified in Segment Earnings from net interest income to provision for credit losses.
|
•
|
The accrual of periodic cash settlements of all derivatives is reclassified in Segment Earnings from derivative gains (losses) into net interest income to fully reflect the periodic cost associated with the protection provided by these contracts.
|
•
|
Up-front cash paid or received upon the purchase or writing of swaptions and other option contracts is reclassified in Segment Earnings prospectively on a straight-line basis from derivative gains (losses) into net interest income over the contractual life of the instrument to fully reflect the periodic cost associated with the protection provided by these contracts.
|
•
|
Amortization related to derivative commitment basis adjustments associated with mortgage-related and non-mortgage-related securities.
|
•
|
Amortization related to accretion of other-than-temporary impairments on available-for-sale securities held.
|
•
|
Amortization related to premiums and discounts associated with PCs and Other Guarantee Transactions issued by our consolidated trusts that we previously held and subsequently transferred to third parties. The amortization is related to deferred gains (losses) on transfers of these securities.
|
•
|
We adjust our Segment Earnings management and guarantee income for the Single-family Guarantee segment to include the amortization of buy-down fees and credit delivery fees recorded in periods prior to the January 1, 2010 adoption of accounting guidance for the transfers of financial assets and the consolidation of VIEs. As of
December 31, 2013
, the unamortized balance of buy-down fees was
$0.4 billion
and the unamortized balance of credit delivery fees
|
|
234
|
Freddie Mac
|
•
|
We adjust our Segment Earnings net interest income for the Investments segment to include the amortization of cash premiums and discounts, as well as buy-up fees, on the consolidated Freddie Mac mortgage-related securities we purchase as investments. As of
December 31, 2013
, the unamortized balance of such premiums and discounts, net was
$3.2 billion
and the unamortized balance of buy-up fees was
$0.5 billion
. These adjustments are necessary to reflect the effective yield realized on investments in consolidated Freddie Mac mortgage-related securities purchased at a premium or discount or with buy-up fees.
|
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Segment Earnings (loss), net of taxes:
|
|
|
|
|
|
||||||
Single-family Guarantee
|
$
|
5,796
|
|
|
$
|
(164
|
)
|
|
$
|
(10,000
|
)
|
Investments
|
16,602
|
|
|
8,212
|
|
|
3,366
|
|
|||
Multifamily
|
2,378
|
|
|
2,146
|
|
|
1,319
|
|
|||
All Other
(1)
|
23,892
|
|
|
788
|
|
|
49
|
|
|||
Total Segment Earnings (loss), net of taxes
|
48,668
|
|
|
10,982
|
|
|
(5,266
|
)
|
|||
Net income (loss)
|
$
|
48,668
|
|
|
$
|
10,982
|
|
|
$
|
(5,266
|
)
|
Comprehensive income (loss) of segments:
|
|
|
|
|
|
||||||
Single-family Guarantee
|
$
|
5,845
|
|
|
$
|
(227
|
)
|
|
$
|
(9,970
|
)
|
Investments
|
20,287
|
|
|
11,397
|
|
|
6,473
|
|
|||
Multifamily
|
1,455
|
|
|
4,081
|
|
|
2,218
|
|
|||
All Other
(1)
|
24,013
|
|
|
788
|
|
|
49
|
|
|||
Comprehensive income (loss) of segments
|
51,600
|
|
|
16,039
|
|
|
(1,230
|
)
|
|||
Comprehensive income (loss)
|
$
|
51,600
|
|
|
$
|
16,039
|
|
|
$
|
(1,230
|
)
|
(1)
|
For the year ended
December 31, 2013
, includes a benefit for federal income taxes that resulted from the release of our valuation allowance against our net deferred tax assets.
|
|
235
|
Freddie Mac
|
|
Year Ended December 31, 2013
|
||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
Total Segment
Earnings (Loss),
Net of Tax
|
|
Reconciliation to Consolidated Statements of
Comprehensive Income
|
|
Total per
Consolidated
Statements of
Comprehensive
Income
|
||||||||||||||||||||||
|
Single-family
Guarantee
|
|
Investments
|
|
Multifamily
|
|
All
Other
|
|
|
Reclassifications
(1)
|
|
Segment
Adjustments
(2)
|
|
Total
Reconciling
Items
|
|
||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||
Net interest income
|
$
|
320
|
|
|
$
|
3,525
|
|
|
$
|
1,186
|
|
|
$
|
—
|
|
|
$
|
5,031
|
|
|
$
|
10,400
|
|
|
$
|
1,037
|
|
|
$
|
11,437
|
|
|
$
|
16,468
|
|
Benefit (provision) for credit losses
|
1,409
|
|
|
—
|
|
|
218
|
|
|
—
|
|
|
1,627
|
|
|
838
|
|
|
—
|
|
|
838
|
|
|
2,465
|
|
|||||||||
Non-interest income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Management and guarantee income
(3)
|
4,930
|
|
|
—
|
|
|
206
|
|
|
—
|
|
|
5,136
|
|
|
(4,171
|
)
|
|
(694
|
)
|
|
(4,865
|
)
|
|
271
|
|
|||||||||
Net impairment of available-for-sale securities recognized in earnings
|
—
|
|
|
(974
|
)
|
|
(15
|
)
|
|
—
|
|
|
(989
|
)
|
|
(521
|
)
|
|
—
|
|
|
(521
|
)
|
|
(1,510
|
)
|
|||||||||
Derivative gains (losses)
|
(3
|
)
|
|
6,806
|
|
|
18
|
|
|
—
|
|
|
6,821
|
|
|
(4,189
|
)
|
|
—
|
|
|
(4,189
|
)
|
|
2,632
|
|
|||||||||
Gains (losses) on trading securities
|
—
|
|
|
(1,588
|
)
|
|
(10
|
)
|
|
—
|
|
|
(1,598
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,598
|
)
|
|||||||||
Gains (losses) on mortgage loans
|
—
|
|
|
(817
|
)
|
|
481
|
|
|
—
|
|
|
(336
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(336
|
)
|
|||||||||
Other non-interest income
|
1,165
|
|
|
9,612
|
|
|
640
|
|
|
—
|
|
|
11,417
|
|
|
(2,357
|
)
|
|
—
|
|
|
(2,357
|
)
|
|
9,060
|
|
|||||||||
Non-interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Administrative expenses
|
(1,025
|
)
|
|
(523
|
)
|
|
(257
|
)
|
|
—
|
|
|
(1,805
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,805
|
)
|
|||||||||
REO operations income (expense)
|
124
|
|
|
—
|
|
|
16
|
|
|
—
|
|
|
140
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
140
|
|
|||||||||
Other non-interest expense
|
(712
|
)
|
|
349
|
|
|
(24
|
)
|
|
(37
|
)
|
|
(424
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(424
|
)
|
|||||||||
Segment adjustments
(2)
|
(694
|
)
|
|
1,037
|
|
|
—
|
|
|
—
|
|
|
343
|
|
|
—
|
|
|
(343
|
)
|
|
(343
|
)
|
|
—
|
|
|||||||||
Income tax (expense) benefit
|
282
|
|
|
(825
|
)
|
|
(81
|
)
|
|
23,929
|
|
|
23,305
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
23,305
|
|
|||||||||
Net income
|
5,796
|
|
|
16,602
|
|
|
2,378
|
|
|
23,892
|
|
|
48,668
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
48,668
|
|
|||||||||
Total other comprehensive income (loss), net of taxes
|
49
|
|
|
3,685
|
|
|
(923
|
)
|
|
121
|
|
|
2,932
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,932
|
|
|||||||||
Comprehensive income
|
$
|
5,845
|
|
|
$
|
20,287
|
|
|
$
|
1,455
|
|
|
$
|
24,013
|
|
|
$
|
51,600
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
51,600
|
|
|
236
|
Freddie Mac
|
|
Year Ended December 31, 2012
|
||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
Total Segment
Earnings (Loss),
Net of Tax
|
|
Reconciliation to Consolidated Statements of
Comprehensive Income
|
|
Total per
Consolidated
Statements of
Comprehensive
Income
|
||||||||||||||||||||||
|
Single-family
Guarantee
|
|
Investments
|
|
Multifamily
|
|
All
Other
|
|
|
Reclassifications
(1)
|
|
Segment
Adjustments
(2)
|
|
Total
Reconciling
Items
|
|
||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||
Net interest income
|
$
|
(147
|
)
|
|
$
|
5,726
|
|
|
$
|
1,291
|
|
|
$
|
—
|
|
|
$
|
6,870
|
|
|
$
|
9,942
|
|
|
$
|
799
|
|
|
$
|
10,741
|
|
|
$
|
17,611
|
|
Benefit (provision) for credit losses
|
(3,168
|
)
|
|
—
|
|
|
123
|
|
|
—
|
|
|
(3,045
|
)
|
|
1,155
|
|
|
—
|
|
|
1,155
|
|
|
(1,890
|
)
|
|||||||||
Non-interest income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Management and guarantee income
(3)
|
4,389
|
|
|
—
|
|
|
151
|
|
|
—
|
|
|
4,540
|
|
|
(3,507
|
)
|
|
(832
|
)
|
|
(4,339
|
)
|
|
201
|
|
|||||||||
Net impairment of available-for-sale securities recognized in earnings
|
—
|
|
|
(1,831
|
)
|
|
(123
|
)
|
|
—
|
|
|
(1,954
|
)
|
|
(214
|
)
|
|
—
|
|
|
(214
|
)
|
|
(2,168
|
)
|
|||||||||
Derivative gains (losses)
|
—
|
|
|
1,970
|
|
|
7
|
|
|
—
|
|
|
1,977
|
|
|
(4,425
|
)
|
|
—
|
|
|
(4,425
|
)
|
|
(2,448
|
)
|
|||||||||
Gains (losses) on trading securities
|
—
|
|
|
(1,755
|
)
|
|
81
|
|
|
—
|
|
|
(1,674
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,674
|
)
|
|||||||||
Gains (losses) on mortgage loans
|
—
|
|
|
303
|
|
|
707
|
|
|
—
|
|
|
1,010
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,010
|
|
|||||||||
Other non-interest income
|
931
|
|
|
2,741
|
|
|
275
|
|
|
—
|
|
|
3,947
|
|
|
(2,951
|
)
|
|
—
|
|
|
(2,951
|
)
|
|
996
|
|
|||||||||
Non-interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Administrative expenses
|
(890
|
)
|
|
(430
|
)
|
|
(241
|
)
|
|
—
|
|
|
(1,561
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,561
|
)
|
|||||||||
REO operations income (expense)
|
(62
|
)
|
|
—
|
|
|
3
|
|
|
—
|
|
|
(59
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(59
|
)
|
|||||||||
Other non-interest expense
|
(393
|
)
|
|
(1
|
)
|
|
(129
|
)
|
|
(50
|
)
|
|
(573
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(573
|
)
|
|||||||||
Segment adjustments
(2)
|
(832
|
)
|
|
799
|
|
|
—
|
|
|
—
|
|
|
(33
|
)
|
|
—
|
|
|
33
|
|
|
33
|
|
|
—
|
|
|||||||||
Income tax benefit
|
8
|
|
|
690
|
|
|
1
|
|
|
838
|
|
|
1,537
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,537
|
|
|||||||||
Net income (loss)
|
(164
|
)
|
|
8,212
|
|
|
2,146
|
|
|
788
|
|
|
10,982
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10,982
|
|
|||||||||
Total other comprehensive income (loss), net of taxes
|
(63
|
)
|
|
3,185
|
|
|
1,935
|
|
|
—
|
|
|
5,057
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5,057
|
|
|||||||||
Comprehensive income (loss)
|
$
|
(227
|
)
|
|
$
|
11,397
|
|
|
$
|
4,081
|
|
|
$
|
788
|
|
|
$
|
16,039
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
16,039
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Year Ended December 31, 2011
|
||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
Total Segment
Earnings (Loss),
Net of Tax
|
|
Reconciliation to Consolidated Statements of
Comprehensive Income
|
|
Total per
Consolidated
Statements of
Comprehensive
Income
|
||||||||||||||||||||||
|
Single-family
Guarantee
|
|
Investments
|
|
Multifamily
|
|
All
Other
|
|
|
Reclassifications
(1)
|
|
Segment
Adjustments
(2)
|
|
Total
Reconciling
Items
|
|
||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||
Net interest income
|
$
|
(23
|
)
|
|
$
|
7,168
|
|
|
$
|
1,200
|
|
|
$
|
—
|
|
|
$
|
8,345
|
|
|
$
|
9,391
|
|
|
$
|
661
|
|
|
$
|
10,052
|
|
|
$
|
18,397
|
|
Benefit (provision) for credit losses
|
(12,294
|
)
|
|
—
|
|
|
196
|
|
|
—
|
|
|
(12,098
|
)
|
|
1,396
|
|
|
—
|
|
|
1,396
|
|
|
(10,702
|
)
|
|||||||||
Non-interest income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Management and guarantee income
(3)
|
3,647
|
|
|
—
|
|
|
127
|
|
|
—
|
|
|
3,774
|
|
|
(2,905
|
)
|
|
(699
|
)
|
|
(3,604
|
)
|
|
170
|
|
|||||||||
Net impairment of available-for-sale securities recognized in earnings
|
—
|
|
|
(1,833
|
)
|
|
(353
|
)
|
|
—
|
|
|
(2,186
|
)
|
|
(115
|
)
|
|
—
|
|
|
(115
|
)
|
|
(2,301
|
)
|
|||||||||
Derivative gains (losses)
|
—
|
|
|
(3,597
|
)
|
|
3
|
|
|
—
|
|
|
(3,594
|
)
|
|
(6,158
|
)
|
|
—
|
|
|
(6,158
|
)
|
|
(9,752
|
)
|
|||||||||
Gains (losses) on trading securities
|
—
|
|
|
(993
|
)
|
|
39
|
|
|
—
|
|
|
(954
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(954
|
)
|
|||||||||
Gains (losses) on mortgage loans
|
—
|
|
|
529
|
|
|
300
|
|
|
—
|
|
|
829
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
829
|
|
|||||||||
Other non-interest income
|
1,216
|
|
|
1,437
|
|
|
86
|
|
|
—
|
|
|
2,739
|
|
|
(1,609
|
)
|
|
—
|
|
|
(1,609
|
)
|
|
1,130
|
|
|||||||||
Non-interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Administrative expenses
|
(888
|
)
|
|
(398
|
)
|
|
(220
|
)
|
|
—
|
|
|
(1,506
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,506
|
)
|
|||||||||
REO operations income (expense)
|
(596
|
)
|
|
—
|
|
|
11
|
|
|
—
|
|
|
(585
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(585
|
)
|
|||||||||
Other non-interest expense
|
(321
|
)
|
|
(2
|
)
|
|
(69
|
)
|
|
—
|
|
|
(392
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(392
|
)
|
|||||||||
Segment adjustments
(2)
|
(699
|
)
|
|
661
|
|
|
—
|
|
|
—
|
|
|
(38
|
)
|
|
—
|
|
|
38
|
|
|
38
|
|
|
—
|
|
|||||||||
Income tax (expense) benefit
|
(42
|
)
|
|
394
|
|
|
(1
|
)
|
|
49
|
|
|
400
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
400
|
|
|||||||||
Net income (loss)
|
(10,000
|
)
|
|
3,366
|
|
|
1,319
|
|
|
49
|
|
|
(5,266
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5,266
|
)
|
|||||||||
Total other comprehensive income, net of taxes
|
30
|
|
|
3,107
|
|
|
899
|
|
|
—
|
|
|
4,036
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,036
|
|
|||||||||
Comprehensive income (loss)
|
$
|
(9,970
|
)
|
|
$
|
6,473
|
|
|
$
|
2,218
|
|
|
$
|
49
|
|
|
$
|
(1,230
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(1,230
|
)
|
|
237
|
Freddie Mac
|
(1)
|
See “Segment Earnings —
Investment Activity-Related Reclassifications
” and “—
Credit Guarantee Activity-Related Reclassifications
” for information regarding these reclassifications.
|
(2)
|
See “Segment Earnings —
Segment Adjustments
” for information regarding these adjustments.
|
(3)
|
Management and guarantee income total per consolidated statements of comprehensive income is included in other income on our GAAP consolidated statements of comprehensive income.
|
|
Year Ended December 31, 2013
|
||||||||||||||||||||||
|
|
|
Other Comprehensive Income (Loss), Net of Taxes
|
|
|
|
|
||||||||||||||||
|
Net Income
(Loss)
|
|
Changes in
Unrealized Gains
(Losses) Related to
Available-For-Sale
Securities
|
|
Changes in
Unrealized Gains
(Losses) Related to
Cash Flow Hedge
Relationships
|
|
Changes in Defined
Benefit Plans
|
|
Total Other
Comprehensive
Income (Loss),
Net of Taxes
|
|
Comprehensive Income
(Loss)
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Total comprehensive income (loss) of segments:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family Guarantee
|
$
|
5,796
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
49
|
|
|
$
|
49
|
|
|
$
|
5,845
|
|
Investments
|
16,602
|
|
|
3,338
|
|
|
316
|
|
|
31
|
|
|
3,685
|
|
|
20,287
|
|
||||||
Multifamily
|
2,378
|
|
|
(932
|
)
|
|
—
|
|
|
9
|
|
|
(923
|
)
|
|
1,455
|
|
||||||
All Other
|
23,892
|
|
|
—
|
|
|
—
|
|
|
121
|
|
|
121
|
|
|
24,013
|
|
||||||
Total per consolidated statements of comprehensive income
|
$
|
48,668
|
|
|
$
|
2,406
|
|
|
$
|
316
|
|
|
$
|
210
|
|
|
$
|
2,932
|
|
|
$
|
51,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Year Ended December 31, 2012
|
||||||||||||||||||||||
|
|
|
Other Comprehensive Income (Loss), Net of Taxes
|
|
|
|
|
||||||||||||||||
|
Net Income
(Loss)
|
|
Changes in
Unrealized Gains
(Losses) Related to
Available-For-Sale
Securities
|
|
Changes in
Unrealized Gains
(Losses) Related to
Cash Flow Hedge
Relationships
|
|
Changes in Defined
Benefit Plans
|
|
Total Other
Comprehensive
Income (Loss),
Net of Taxes
|
|
Comprehensive Income
(Loss)
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Total comprehensive income (loss) of segments:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family Guarantee
|
$
|
(164
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(63
|
)
|
|
$
|
(63
|
)
|
|
$
|
(227
|
)
|
Investments
|
8,212
|
|
|
2,821
|
|
|
414
|
|
|
(50
|
)
|
|
3,185
|
|
|
11,397
|
|
||||||
Multifamily
|
2,146
|
|
|
1,948
|
|
|
—
|
|
|
(13
|
)
|
|
1,935
|
|
|
4,081
|
|
||||||
All Other
|
788
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
788
|
|
||||||
Total per consolidated statements of comprehensive income
|
$
|
10,982
|
|
|
$
|
4,769
|
|
|
$
|
414
|
|
|
$
|
(126
|
)
|
|
$
|
5,057
|
|
|
$
|
16,039
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Year Ended December 31, 2011
|
||||||||||||||||||||||
|
|
|
Other Comprehensive Income (Loss), Net of Taxes
|
|
|
|
|
||||||||||||||||
|
Net Income
(Loss)
|
|
Changes in
Unrealized Gains
(Losses) Related to
Available-For-Sale
Securities
|
|
Changes in
Unrealized Gains
(Losses) Related to
Cash Flow Hedge
Relationships
|
|
Changes in Defined
Benefit Plans
|
|
Total Other
Comprehensive
Income (Loss),
Net of Taxes
|
|
Comprehensive Income
(Loss)
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Total comprehensive income (loss) of segments:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family Guarantee
|
$
|
(10,000
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
30
|
|
|
$
|
30
|
|
|
$
|
(9,970
|
)
|
Investments
|
3,366
|
|
|
2,573
|
|
|
508
|
|
|
26
|
|
|
3,107
|
|
|
6,473
|
|
||||||
Multifamily
|
1,319
|
|
|
892
|
|
|
1
|
|
|
6
|
|
|
899
|
|
|
2,218
|
|
||||||
All Other
|
49
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
49
|
|
||||||
Total per consolidated statements of comprehensive income
|
$
|
(5,266
|
)
|
|
$
|
3,465
|
|
|
$
|
509
|
|
|
$
|
62
|
|
|
$
|
4,036
|
|
|
$
|
(1,230
|
)
|
|
238
|
Freddie Mac
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||||||||||||
|
Maximum
Exposure
(1)
|
|
Recognized
Liability
(2)
|
|
Maximum
Remaining
Term
|
|
Maximum
Exposure
(1)
|
|
Recognized
Liability
(2)
|
|
Maximum
Remaining
Term
|
||||||||
|
(dollars in millions, terms in years)
|
||||||||||||||||||
Non-consolidated Freddie Mac securities
(3)
|
$
|
71,809
|
|
|
$
|
731
|
|
|
40
|
|
$
|
50,715
|
|
|
$
|
430
|
|
|
41
|
Other guarantee commitments
|
29,160
|
|
|
791
|
|
|
36
|
|
23,455
|
|
|
575
|
|
|
37
|
||||
Derivative instruments
(4)
|
9,856
|
|
|
239
|
|
|
32
|
|
10,306
|
|
|
789
|
|
|
33
|
||||
Servicing-related premium guarantees
|
281
|
|
|
—
|
|
|
5
|
|
210
|
|
|
—
|
|
|
5
|
(1)
|
Maximum exposure represents the contractual amounts that could be lost under the non-consolidated guarantees if counterparties or borrowers defaulted, without consideration of possible recoveries under credit enhancement arrangements, such as recourse provisions, third-party insurance contracts, or from collateral held or pledged. The maximum exposure disclosed above is not representative of the actual loss we are likely to incur, based on our historical loss experience and after consideration of proceeds from related collateral liquidation. The maximum exposure for our liquidity guarantees is not mutually exclusive of our default guarantees on the same securities; therefore, these amounts are included within the maximum exposure of non-consolidated Freddie Mac securities and other guarantee commitments.
|
(2)
|
For non-consolidated Freddie Mac securities and other guarantee commitments, this amount represents the guarantee obligation on our consolidated balance sheets. This amount excludes our reserve for guarantee losses, which totaled
$111 million
and
$183 million
as of December 31, 2013 and 2012, respectively, and is included within other liabilities on our consolidated balance sheets.
|
(3)
|
In addition to our guarantee of principal and interest, we also provide liquidity guarantees for certain multifamily housing revenue bonds included in this category. However, no advances under these liquidity guarantees were outstanding at
December 31, 2013
or
2012
.
|
(4)
|
See “NOTE 9: DERIVATIVES” for information about these derivative guarantees.
|
|
239
|
Freddie Mac
|
|
240
|
Freddie Mac
|
|
December 31, 2013
|
|
December 31, 2012
|
|
Percent of Credit Losses
(1)
Year Ended
|
||||||||||||
|
Percentage of
Portfolio
(2)
|
|
Serious
Delinquency
Rate
|
|
Percentage of
Portfolio
(2)
|
|
Serious
Delinquency
Rate
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||
Year of Origination
|
|
|
|
|
|
|
|
|
|
|
|
||||||
2013
|
16
|
%
|
|
—
|
%
|
|
N/A
|
|
|
N/A
|
|
|
<1
|
%
|
|
N/A
|
|
2012
|
16
|
|
|
—
|
|
|
14
|
%
|
|
—
|
%
|
|
<1
|
|
|
<1
|
%
|
2011
|
8
|
|
|
0.2
|
|
|
10
|
|
|
0.1
|
|
|
<1
|
|
|
<1
|
|
2010
|
7
|
|
|
0.4
|
|
|
10
|
|
|
0.3
|
|
|
1
|
|
|
1
|
|
2009
|
7
|
|
|
0.9
|
|
|
11
|
|
|
0.7
|
|
|
2
|
|
|
1
|
|
Subtotal - New single-family book
|
54
|
|
|
0.2
|
|
|
45
|
|
|
0.3
|
|
|
3
|
|
|
2
|
|
HARP and other relief refinance loans
(3)
|
21
|
|
|
0.6
|
|
|
18
|
|
|
0.7
|
|
|
7
|
|
|
2
|
|
2005 to 2008 Legacy single-family book
|
16
|
|
|
8.8
|
|
|
24
|
|
|
9.6
|
|
|
81
|
|
|
87
|
|
Pre-2005 Legacy single-family book
|
9
|
|
|
3.2
|
|
|
13
|
|
|
3.2
|
|
|
9
|
|
|
9
|
|
Total
|
100
|
%
|
|
2.4
|
%
|
|
100
|
%
|
|
3.3
|
%
|
|
100
|
%
|
|
100
|
%
|
Region
(4)
|
|
|
|
|
|
|
|
|
|
|
|
||||||
West
|
28
|
%
|
|
1.7
|
%
|
|
28
|
%
|
|
2.8
|
%
|
|
24
|
%
|
|
44
|
%
|
Northeast
|
26
|
|
|
3.2
|
|
|
25
|
|
|
3.8
|
|
|
15
|
|
|
8
|
|
North Central
|
18
|
|
|
1.8
|
|
|
18
|
|
|
2.5
|
|
|
23
|
|
|
20
|
|
Southeast
|
16
|
|
|
3.4
|
|
|
17
|
|
|
5.0
|
|
|
35
|
|
|
24
|
|
Southwest
|
12
|
|
|
1.4
|
|
|
12
|
|
|
1.7
|
|
|
3
|
|
|
4
|
|
Total
|
100
|
%
|
|
2.4
|
%
|
|
100
|
%
|
|
3.3
|
%
|
|
100
|
%
|
|
100
|
%
|
State
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Arizona, California, Florida, and Nevada
(5)
|
26
|
%
|
|
3.0
|
%
|
|
25
|
%
|
|
5.0
|
%
|
|
47
|
%
|
|
54
|
%
|
Illinois, Michigan, and Ohio
(6)
|
11
|
|
|
2.1
|
|
|
11
|
|
|
3.0
|
|
|
19
|
|
|
15
|
|
New York and New Jersey
(7)
|
9
|
|
|
5.1
|
|
|
9
|
|
|
5.5
|
|
|
3
|
|
|
2
|
|
All other
|
54
|
|
|
1.9
|
|
|
55
|
|
|
2.4
|
|
|
31
|
|
|
29
|
|
Total
|
100
|
%
|
|
2.4
|
%
|
|
100
|
%
|
|
3.3
|
%
|
|
100
|
%
|
|
100
|
%
|
(1)
|
Credit losses consist of the aggregate amount of charge-offs, net of recoveries, and REO operations expense in each of the respective periods and exclude foregone interest on non-performing loans and other market-based losses recognized on our consolidated statements of comprehensive income.
|
(2)
|
Based on the UPB of our single-family credit guarantee portfolio, which includes unsecuritized single-family mortgage loans held by us on our consolidated balance sheets and those underlying Freddie Mac mortgage-related securities, or covered by our other guarantee commitments.
|
(3)
|
HARP and other relief refinance loans are presented separately rather than in the year that the refinancing occurred (from 2009 to 2013). All other refinance loans are presented in the year that the refinancing occurred. Prior period information has been revised to conform with the current period presentation.
|
(4)
|
Region designation: West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA); Northeast (CT, DE, DC, MA, ME, MD, NH, NJ, NY, PA, RI, VT, VA, WV); North Central (IL, IN, IA, MI, MN, ND, OH, SD, WI); Southeast (AL, FL, GA, KY, MS, NC, PR, SC, TN, VI); Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY).
|
(5)
|
Represents the four states that had the largest cumulative declines in home prices during the housing crisis that began in 2006, as measured using Freddie Mac’s home price index.
|
(6)
|
Represents selected states in the North Central region that have experienced adverse economic conditions since 2006.
|
(7)
|
Represents two states with a judicial foreclosure process in which there are a significant number of seriously delinquent loans within our single-family credit guarantee portfolio.
|
|
241
|
Freddie Mac
|
|
Percentage of Portfolio
(1)
|
|
Serious Delinquency Rate
|
||||||||
|
December 31, 2013
|
|
December 31, 2012
|
|
December 31, 2013
|
|
December 31, 2012
|
||||
Interest-only
|
2
|
%
|
|
3
|
%
|
|
12.5
|
%
|
|
16.3
|
%
|
Option ARM
(2)
|
<1
|
|
|
<1
|
|
|
12.3
|
|
|
16.3
|
|
Alt-A
(3)
|
3
|
|
|
5
|
|
|
10.1
|
|
|
11.4
|
|
Original LTV ratio greater than 90%
(4)
|
16
|
|
|
13
|
|
|
3.2
|
|
|
4.8
|
|
Lower FICO scores at origination (less than 620)
|
3
|
|
|
3
|
|
|
10.0
|
|
|
12.2
|
|
(1)
|
Based on UPB.
|
(2)
|
For reporting purposes, loans within the option ARM category continue to be reported in that category following modification, even though the modified loan no longer provides for optional payment provisions.
|
(3)
|
Alt-A loans may not include those loans that were previously classified as Alt-A and that have been refinanced as either a relief refinance mortgage or in another refinance mortgage initiative.
|
(4)
|
Includes HARP loans, which we are required to purchase as part of our participation in the MHA Program.
|
|
242
|
Freddie Mac
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||||||
|
UPB
|
|
Delinquency
Rate
(1)
|
|
UPB
|
|
Delinquency
Rate
(1)
|
||||||
|
(dollars in billions)
|
||||||||||||
State
(2)
|
|
|
|
|
|
||||||||
California
|
$
|
22.4
|
|
|
0.03
|
%
|
|
$
|
21.1
|
|
|
0.12
|
%
|
Texas
|
16.7
|
|
|
0.02
|
|
|
15.9
|
|
|
0.13
|
|
||
New York
|
11.4
|
|
|
0.12
|
|
|
10.7
|
|
|
0.09
|
|
||
Florida
|
9.3
|
|
|
0.28
|
|
|
8.4
|
|
|
0.12
|
|
||
Virginia
|
7.0
|
|
|
0.37
|
|
|
6.6
|
|
|
—
|
|
||
Maryland
|
6.7
|
|
|
—
|
|
|
6.9
|
|
|
—
|
|
||
All other states
|
59.3
|
|
|
0.08
|
|
|
57.8
|
|
|
0.32
|
|
||
Total
|
$
|
132.8
|
|
|
0.09
|
%
|
|
$
|
127.4
|
|
|
0.19
|
%
|
Region
(3)
|
|
|
|
|
|
|
|
||||||
Northeast
|
$
|
37.5
|
|
|
0.10
|
%
|
|
$
|
36.1
|
|
|
0.04
|
%
|
West
|
33.8
|
|
|
0.07
|
|
|
31.8
|
|
|
0.09
|
|
||
Southwest
|
26.2
|
|
|
0.05
|
|
|
25.4
|
|
|
0.22
|
|
||
Southeast
|
24.1
|
|
|
0.16
|
|
|
23.4
|
|
|
0.54
|
|
||
North Central
|
11.2
|
|
|
0.07
|
|
|
10.7
|
|
|
0.19
|
|
||
Total
|
$
|
132.8
|
|
|
0.09
|
%
|
|
$
|
127.4
|
|
|
0.19
|
%
|
Other Categories
(4)
|
|
|
|
|
|
|
|
||||||
Original LTV ratio greater than 80%
|
$
|
5.6
|
|
|
0.19
|
%
|
|
$
|
5.8
|
|
|
2.31
|
%
|
Original DSCR below 1.10
|
2.2
|
|
|
—
|
|
|
2.3
|
|
|
2.97
|
|
(1)
|
Based on the UPB of multifamily mortgages two monthly payments or more delinquent or in foreclosure.
|
(2)
|
Represents the six states with the highest UPB at
December 31, 2013
.
|
(3)
|
See endnote (4) to “
Table 15.1 — Concentration of Credit Risk — Single-Family Credit Guarantee Portfolio
” for a description of these regions.
|
(4)
|
These categories are not mutually exclusive and a loan in one category may also be included within another category.
|
|
243
|
Freddie Mac
|
|
244
|
Freddie Mac
|
|
245
|
Freddie Mac
|
•
|
$50.3 billion
of securities purchased under agreements to resell with
11
counterparties that had short-term S&P ratings of A-1 or above;
|
•
|
$6.1 billion
of securities purchased under agreements to resell with
one
counterparty that had a short-term S&P rating of A-2;
|
•
|
$6.0 billion
of securities purchased under agreements to resell with
one
counterparty that does not have a short-term S&P or other third-party credit rating, but was evaluated under the company's counterparty credit risk system and was determined to be eligible for this transaction (by providing more than 100% in approved collateral);
|
•
|
$3.9 billion
of cash equivalents invested in Treasury securities; and
|
•
|
$19.4 billion
of cash deposited with the Federal Reserve Bank of New York (as a non-interest-bearing deposit).
|
|
246
|
Freddie Mac
|
•
|
General Electric Company and affiliates (January 2013)
|
•
|
Citigroup Inc. and affiliates (May 2013)
|
•
|
UBS Americas, Inc. (July 2013)
|
•
|
JPMorgan Chase & Co. and certain affiliated entities and other persons (October 2013)
|
•
|
Ally Financial Inc. (October 2013)
|
•
|
Deutsche Bank AG (December 2013)
|
|
247
|
Freddie Mac
|
|
248
|
Freddie Mac
|
|
Fair Value at December 31, 2013
|
||||||||||||||||||
|
Quoted Prices in
Active Markets for
Identical Assets
(Level 1)
|
|
Significant Other
Observable Inputs
(Level 2)
|
|
Significant
Unobservable
Inputs
(Level 3)
|
|
Netting
Adjustment
(1)
|
|
Total
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Available-for-sale, at fair value:
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
$
|
—
|
|
|
$
|
38,720
|
|
|
$
|
1,939
|
|
|
$
|
—
|
|
|
$
|
40,659
|
|
Fannie Mae
|
—
|
|
|
10,666
|
|
|
131
|
|
|
—
|
|
|
10,797
|
|
|||||
Ginnie Mae
|
—
|
|
|
155
|
|
|
12
|
|
|
—
|
|
|
167
|
|
|||||
CMBS
|
—
|
|
|
27,229
|
|
|
3,109
|
|
|
—
|
|
|
30,338
|
|
|||||
Subprime
|
—
|
|
|
—
|
|
|
27,499
|
|
|
—
|
|
|
27,499
|
|
|||||
Option ARM
|
—
|
|
|
—
|
|
|
6,574
|
|
|
—
|
|
|
6,574
|
|
|||||
Alt-A and other
|
—
|
|
|
—
|
|
|
8,706
|
|
|
—
|
|
|
8,706
|
|
|||||
Obligations of states and political subdivisions
|
—
|
|
|
—
|
|
|
3,495
|
|
|
—
|
|
|
3,495
|
|
|||||
Manufactured housing
|
—
|
|
|
—
|
|
|
684
|
|
|
—
|
|
|
684
|
|
|||||
Total available-for-sale securities, at fair value
|
—
|
|
|
76,770
|
|
|
52,149
|
|
|
—
|
|
|
128,919
|
|
|||||
Trading, at fair value:
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
—
|
|
|
9,006
|
|
|
343
|
|
|
—
|
|
|
9,349
|
|
|||||
Fannie Mae
|
—
|
|
|
6,959
|
|
|
221
|
|
|
—
|
|
|
7,180
|
|
|||||
Ginnie Mae
|
—
|
|
|
24
|
|
|
74
|
|
|
—
|
|
|
98
|
|
|||||
Other
|
—
|
|
|
133
|
|
|
8
|
|
|
—
|
|
|
141
|
|
|||||
Total mortgage-related securities
|
—
|
|
|
16,122
|
|
|
646
|
|
|
—
|
|
|
16,768
|
|
|||||
Non-mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Treasury bills
|
2,254
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,254
|
|
|||||
Treasury notes
|
4,382
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,382
|
|
|||||
Total non-mortgage-related securities
|
6,636
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6,636
|
|
|||||
Total trading securities, at fair value
|
6,636
|
|
|
16,122
|
|
|
646
|
|
|
—
|
|
|
23,404
|
|
|||||
Total investments in securities
|
6,636
|
|
|
92,892
|
|
|
52,795
|
|
|
—
|
|
|
152,323
|
|
|||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
||||||||||
Held-for-sale, at fair value
|
—
|
|
|
8,727
|
|
|
—
|
|
|
—
|
|
|
8,727
|
|
|||||
Derivative assets, net:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest-rate swaps
|
—
|
|
|
10,009
|
|
|
10
|
|
|
—
|
|
|
10,019
|
|
|||||
Option-based derivatives
|
—
|
|
|
4,112
|
|
|
—
|
|
|
—
|
|
|
4,112
|
|
|||||
Other
|
—
|
|
|
99
|
|
|
1
|
|
|
—
|
|
|
100
|
|
|||||
Subtotal, before netting adjustments
|
—
|
|
|
14,220
|
|
|
11
|
|
|
—
|
|
|
14,231
|
|
|||||
Netting adjustments
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
(13,168
|
)
|
|
(13,168
|
)
|
|||||
Total derivative assets, net
|
—
|
|
|
14,220
|
|
|
11
|
|
|
(13,168
|
)
|
|
1,063
|
|
|||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Guarantee asset, at fair value
|
—
|
|
|
—
|
|
|
1,611
|
|
|
—
|
|
|
1,611
|
|
|||||
All other, at fair value
|
—
|
|
|
—
|
|
|
9
|
|
|
—
|
|
|
9
|
|
|||||
Total other assets
|
—
|
|
|
—
|
|
|
1,620
|
|
|
—
|
|
|
1,620
|
|
|||||
Total assets carried at fair value on a recurring basis
|
$
|
6,636
|
|
|
$
|
115,839
|
|
|
$
|
54,426
|
|
|
$
|
(13,168
|
)
|
|
$
|
163,733
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Debt securities of consolidated trusts held by third parties, at fair value
|
$
|
—
|
|
|
$
|
59
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
59
|
|
Other debt, at fair value
|
—
|
|
|
1,155
|
|
|
1,528
|
|
|
—
|
|
|
2,683
|
|
|||||
Derivative liabilities, net:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest-rate swaps
|
—
|
|
|
13,022
|
|
|
295
|
|
|
—
|
|
|
13,317
|
|
|||||
Option-based derivatives
|
—
|
|
|
201
|
|
|
3
|
|
|
—
|
|
|
204
|
|
|||||
Other
|
—
|
|
|
68
|
|
|
38
|
|
|
—
|
|
|
106
|
|
|||||
Subtotal, before netting adjustments
|
—
|
|
|
13,291
|
|
|
336
|
|
|
—
|
|
|
13,627
|
|
|||||
Netting adjustments
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
(13,447
|
)
|
|
(13,447
|
)
|
|||||
Total derivative liabilities, net
|
—
|
|
|
13,291
|
|
|
336
|
|
|
(13,447
|
)
|
|
180
|
|
|||||
Total liabilities carried at fair value on a recurring basis
|
$
|
—
|
|
|
$
|
14,505
|
|
|
$
|
1,864
|
|
|
$
|
(13,447
|
)
|
|
$
|
2,922
|
|
|
249
|
Freddie Mac
|
|
Fair Value at December 31, 2012
|
||||||||||||||||||
|
Quoted Prices in
Active Markets for
Identical Assets
(Level 1)
|
|
Significant Other
Observable Inputs
(Level 2)
|
|
Significant
Unobservable
Inputs
(Level 3)
|
|
Netting
Adjustment
(1)
|
|
Total
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Available-for-sale, at fair value:
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
$
|
—
|
|
|
$
|
56,713
|
|
|
$
|
1,802
|
|
|
$
|
—
|
|
|
$
|
58,515
|
|
Fannie Mae
|
—
|
|
|
15,117
|
|
|
163
|
|
|
—
|
|
|
15,280
|
|
|||||
Ginnie Mae
|
—
|
|
|
193
|
|
|
16
|
|
|
—
|
|
|
209
|
|
|||||
CMBS
|
—
|
|
|
47,878
|
|
|
3,429
|
|
|
—
|
|
|
51,307
|
|
|||||
Subprime
|
—
|
|
|
—
|
|
|
26,457
|
|
|
—
|
|
|
26,457
|
|
|||||
Option ARM
|
—
|
|
|
—
|
|
|
5,717
|
|
|
—
|
|
|
5,717
|
|
|||||
Alt-A and other
|
—
|
|
|
—
|
|
|
10,904
|
|
|
—
|
|
|
10,904
|
|
|||||
Obligations of states and political subdivisions
|
—
|
|
|
—
|
|
|
5,798
|
|
|
—
|
|
|
5,798
|
|
|||||
Manufactured housing
|
—
|
|
|
—
|
|
|
709
|
|
|
—
|
|
|
709
|
|
|||||
Total available-for-sale securities, at fair value
|
—
|
|
|
119,901
|
|
|
54,995
|
|
|
—
|
|
|
174,896
|
|
|||||
Trading, at fair value:
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
—
|
|
|
9,189
|
|
|
1,165
|
|
|
—
|
|
|
10,354
|
|
|||||
Fannie Mae
|
—
|
|
|
10,026
|
|
|
312
|
|
|
—
|
|
|
10,338
|
|
|||||
Ginnie Mae
|
—
|
|
|
39
|
|
|
92
|
|
|
—
|
|
|
131
|
|
|||||
Other
|
—
|
|
|
135
|
|
|
21
|
|
|
—
|
|
|
156
|
|
|||||
Total mortgage-related securities
|
—
|
|
|
19,389
|
|
|
1,590
|
|
|
—
|
|
|
20,979
|
|
|||||
Non-mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Asset-backed securities
|
—
|
|
|
292
|
|
|
—
|
|
|
—
|
|
|
292
|
|
|||||
Treasury bills
|
1,160
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,160
|
|
|||||
Treasury notes
|
19,061
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
19,061
|
|
|||||
Total non-mortgage-related securities
|
20,221
|
|
|
292
|
|
|
—
|
|
|
—
|
|
|
20,513
|
|
|||||
Total trading securities, at fair value
|
20,221
|
|
|
19,681
|
|
|
1,590
|
|
|
—
|
|
|
41,492
|
|
|||||
Total investments in securities
|
20,221
|
|
|
139,582
|
|
|
56,585
|
|
|
—
|
|
|
216,388
|
|
|||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
||||||||||
Held-for-sale, at fair value
|
—
|
|
|
—
|
|
|
14,238
|
|
|
—
|
|
|
14,238
|
|
|||||
Derivative assets, net:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest-rate swaps
|
27
|
|
|
13,920
|
|
|
18
|
|
|
—
|
|
|
13,965
|
|
|||||
Option-based derivatives
|
—
|
|
|
10,097
|
|
|
—
|
|
|
—
|
|
|
10,097
|
|
|||||
Other
|
37
|
|
|
92
|
|
|
2
|
|
|
—
|
|
|
131
|
|
|||||
Subtotal, before netting adjustments
|
64
|
|
|
24,109
|
|
|
20
|
|
|
—
|
|
|
24,193
|
|
|||||
Netting adjustments
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
(23,536
|
)
|
|
(23,536
|
)
|
|||||
Total derivative assets, net
|
64
|
|
|
24,109
|
|
|
20
|
|
|
(23,536
|
)
|
|
657
|
|
|||||
Other assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Guarantee asset, at fair value
|
—
|
|
|
—
|
|
|
1,029
|
|
|
—
|
|
|
1,029
|
|
|||||
All other, at fair value
|
—
|
|
|
—
|
|
|
114
|
|
|
—
|
|
|
114
|
|
|||||
Total other assets
|
—
|
|
|
—
|
|
|
1,143
|
|
|
—
|
|
|
1,143
|
|
|||||
Total assets carried at fair value on a recurring basis
|
$
|
20,285
|
|
|
$
|
163,691
|
|
|
$
|
71,986
|
|
|
$
|
(23,536
|
)
|
|
$
|
232,426
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Debt securities of consolidated trusts held by third parties, at fair value
|
$
|
—
|
|
|
$
|
70
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
70
|
|
Other debt, at fair value
|
—
|
|
|
—
|
|
|
2,187
|
|
|
—
|
|
|
2,187
|
|
|||||
Derivative liabilities, net:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest-rate swaps
|
5
|
|
|
30,213
|
|
|
26
|
|
|
—
|
|
|
30,244
|
|
|||||
Option-based derivatives
|
—
|
|
|
749
|
|
|
1
|
|
|
—
|
|
|
750
|
|
|||||
Other
|
3
|
|
|
52
|
|
|
40
|
|
|
—
|
|
|
95
|
|
|||||
Subtotal, before netting adjustments
|
8
|
|
|
31,014
|
|
|
67
|
|
|
—
|
|
|
31,089
|
|
|||||
Netting adjustments
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
(30,911
|
)
|
|
(30,911
|
)
|
|||||
Total derivative liabilities, net
|
8
|
|
|
31,014
|
|
|
67
|
|
|
(30,911
|
)
|
|
178
|
|
|||||
Total liabilities carried at fair value on a recurring basis
|
$
|
8
|
|
|
$
|
31,084
|
|
|
$
|
2,254
|
|
|
$
|
(30,911
|
)
|
|
$
|
2,435
|
|
|
250
|
Freddie Mac
|
(1)
|
Represents counterparty netting, cash collateral netting and net derivative interest receivable or payable. The net cash collateral posted was
$871 million
and
$8.2 billion
, respectively, at
December 31, 2013
and 2012. The net interest receivable (payable) of derivative assets and derivative liabilities was
$(0.6) billion
and
$(0.8) billion
at
December 31, 2013
and 2012, respectively, which was mainly related to interest rate swaps.
|
|
251
|
Freddie Mac
|
|
|
|
Year Ended December 31, 2013
|
||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
Realized and unrealized gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
|
Balance,
January 1,
2013
|
|
Included in
earnings
(1)(2)(3)(4)
|
|
Included in
other
comprehensive
income
(1)
|
|
Total
|
|
Purchases
|
|
Issues
|
|
Sales
|
|
Settlements,
net
|
|
Transfers
into
Level 3
(5)
|
|
Transfers
out of
Level 3
(5)
|
|
Balance,
December 31,
2013
|
|
Unrealized
gains (losses)
still held
(6)
|
||||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Available-for-sale, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
$
|
1,802
|
|
|
$
|
2
|
|
|
$
|
109
|
|
|
$
|
111
|
|
|
$
|
239
|
|
|
$
|
—
|
|
|
$
|
(86
|
)
|
|
$
|
(152
|
)
|
|
$
|
25
|
|
|
$
|
—
|
|
|
$
|
1,939
|
|
|
$
|
—
|
|
Fannie Mae
|
163
|
|
|
—
|
|
|
(3
|
)
|
|
(3
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(29
|
)
|
|
—
|
|
|
—
|
|
|
131
|
|
|
—
|
|
||||||||||||
Ginnie Mae
|
16
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(4
|
)
|
|
—
|
|
|
—
|
|
|
12
|
|
|
—
|
|
||||||||||||
CMBS
|
3,429
|
|
|
6
|
|
|
(266
|
)
|
|
(260
|
)
|
|
—
|
|
|
—
|
|
|
(36
|
)
|
|
(24
|
)
|
|
—
|
|
|
—
|
|
|
3,109
|
|
|
—
|
|
||||||||||||
Subprime
|
26,457
|
|
|
(1,260
|
)
|
|
6,648
|
|
|
5,388
|
|
|
—
|
|
|
—
|
|
|
(403
|
)
|
|
(3,943
|
)
|
|
—
|
|
|
—
|
|
|
27,499
|
|
|
(1,258
|
)
|
||||||||||||
Option ARM
|
5,717
|
|
|
(61
|
)
|
|
1,694
|
|
|
1,633
|
|
|
—
|
|
|
—
|
|
|
(75
|
)
|
|
(701
|
)
|
|
—
|
|
|
—
|
|
|
6,574
|
|
|
(58
|
)
|
||||||||||||
Alt-A and other
|
10,904
|
|
|
(128
|
)
|
|
1,341
|
|
|
1,213
|
|
|
—
|
|
|
—
|
|
|
(2,001
|
)
|
|
(1,410
|
)
|
|
—
|
|
|
—
|
|
|
8,706
|
|
|
(179
|
)
|
||||||||||||
Obligations of states and political subdivisions
|
5,798
|
|
|
13
|
|
|
(188
|
)
|
|
(175
|
)
|
|
(10
|
)
|
|
—
|
|
|
(533
|
)
|
|
(1,585
|
)
|
|
—
|
|
|
—
|
|
|
3,495
|
|
|
—
|
|
||||||||||||
Manufactured housing
|
709
|
|
|
(1
|
)
|
|
62
|
|
|
61
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(86
|
)
|
|
—
|
|
|
—
|
|
|
684
|
|
|
(1
|
)
|
||||||||||||
Total available-for-sale mortgage-related securities
|
54,995
|
|
|
(1,429
|
)
|
|
9,397
|
|
|
7,968
|
|
|
229
|
|
|
—
|
|
|
(3,134
|
)
|
|
(7,934
|
)
|
|
25
|
|
|
—
|
|
|
52,149
|
|
|
(1,496
|
)
|
||||||||||||
Trading, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Freddie Mac
|
1,165
|
|
|
(50
|
)
|
|
—
|
|
|
(50
|
)
|
|
1,271
|
|
|
269
|
|
|
(1,476
|
)
|
|
(64
|
)
|
|
1
|
|
|
(773
|
)
|
|
343
|
|
|
(53
|
)
|
||||||||||||
Fannie Mae
|
312
|
|
|
(42
|
)
|
|
—
|
|
|
(42
|
)
|
|
2
|
|
|
—
|
|
|
(2
|
)
|
|
(25
|
)
|
|
43
|
|
|
(67
|
)
|
|
221
|
|
|
(42
|
)
|
||||||||||||
Ginnie Mae
|
92
|
|
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
|
3
|
|
|
—
|
|
|
—
|
|
|
(15
|
)
|
|
—
|
|
|
(5
|
)
|
|
74
|
|
|
(1
|
)
|
||||||||||||
Other
|
21
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
|
—
|
|
|
(10
|
)
|
|
8
|
|
|
—
|
|
||||||||||||
Total trading mortgage-related securities
|
1,590
|
|
|
(93
|
)
|
|
—
|
|
|
(93
|
)
|
|
1,276
|
|
|
269
|
|
|
(1,478
|
)
|
|
(107
|
)
|
|
44
|
|
|
(855
|
)
|
|
646
|
|
|
(96
|
)
|
||||||||||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Held-for-sale, at fair value
|
14,238
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(14,238
|
)
|
|
—
|
|
|
—
|
|
||||||||||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Guarantee asset
(7)
|
1,029
|
|
|
4
|
|
|
—
|
|
|
4
|
|
|
—
|
|
|
688
|
|
|
—
|
|
|
(110
|
)
|
|
—
|
|
|
—
|
|
|
1,611
|
|
|
4
|
|
||||||||||||
All other, at fair value
|
114
|
|
|
30
|
|
|
—
|
|
|
30
|
|
|
—
|
|
|
—
|
|
|
(135
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9
|
|
|
7
|
|
||||||||||||
Total other assets
|
1,143
|
|
|
34
|
|
|
—
|
|
|
34
|
|
|
—
|
|
|
688
|
|
|
(135
|
)
|
|
(110
|
)
|
|
—
|
|
|
—
|
|
|
1,620
|
|
|
11
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
|
|
|
Realized and unrealized (gains) losses
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
|
Balance,
January 1,
2013
|
|
Included in
earnings
(1)(2)(3)(4)
|
|
Included in
other
comprehensive
income
(1)
|
|
Total
|
|
Purchases
|
|
Issues
|
|
Sales
|
|
Settlements,
net
|
|
Transfers
into
Level 3
(5)
|
|
Transfers
out of
Level 3
(5)
|
|
Balance,
December 31,
2013
|
|
Unrealized
(gains)
losses
still held
(6)
|
||||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Other debt, at fair value
|
$
|
2,187
|
|
|
$
|
11
|
|
|
$
|
—
|
|
|
$
|
11
|
|
|
$
|
—
|
|
|
$
|
1,130
|
|
|
$
|
—
|
|
|
$
|
(670
|
)
|
|
$
|
—
|
|
|
$
|
(1,130
|
)
|
|
$
|
1,528
|
|
|
$
|
4
|
|
Net derivatives
(8)
|
47
|
|
|
301
|
|
|
—
|
|
|
301
|
|
|
—
|
|
|
12
|
|
|
—
|
|
|
(35
|
)
|
|
—
|
|
|
—
|
|
|
325
|
|
|
274
|
|
|
252
|
Freddie Mac
|
|
|
|
Year Ended December 31, 2012
|
||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
Realized and unrealized gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
|
Balance,
January 1,
2012
|
|
Included in
earnings
(1)(2)(3)(4)
|
|
Included in
other
comprehensive
income
(1)
|
|
Total
|
|
Purchases
|
|
Issues
|
|
Sales
|
|
Settlements,
net
|
|
Transfers
into
Level 3
|
|
Transfers
out of
Level 3
|
|
Balance,
December 31,
2012
|
|
Unrealized
gains (losses)
still held
(6)
|
||||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Available-for-sale, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
$
|
2,048
|
|
|
$
|
—
|
|
|
$
|
18
|
|
|
$
|
18
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(144
|
)
|
|
$
|
—
|
|
|
$
|
(120
|
)
|
|
$
|
1,802
|
|
|
$
|
—
|
|
Fannie Mae
|
172
|
|
|
—
|
|
|
1
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(31
|
)
|
|
21
|
|
|
—
|
|
|
163
|
|
|
—
|
|
||||||||||||
Ginnie Mae
|
12
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(4
|
)
|
|
8
|
|
|
—
|
|
|
16
|
|
|
—
|
|
||||||||||||
CMBS
|
3,756
|
|
|
76
|
|
|
(38
|
)
|
|
38
|
|
|
—
|
|
|
—
|
|
|
(331
|
)
|
|
(34
|
)
|
|
—
|
|
|
—
|
|
|
3,429
|
|
|
—
|
|
||||||||||||
Subprime
|
27,999
|
|
|
(1,274
|
)
|
|
4,301
|
|
|
3,027
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(4,569
|
)
|
|
—
|
|
|
—
|
|
|
26,457
|
|
|
(1,274
|
)
|
||||||||||||
Option ARM
|
5,865
|
|
|
(552
|
)
|
|
1,417
|
|
|
865
|
|
|
—
|
|
|
—
|
|
|
(15
|
)
|
|
(998
|
)
|
|
—
|
|
|
—
|
|
|
5,717
|
|
|
(556
|
)
|
||||||||||||
Alt-A and other
|
10,868
|
|
|
(196
|
)
|
|
1,822
|
|
|
1,626
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,601
|
)
|
|
11
|
|
|
—
|
|
|
10,904
|
|
|
(196
|
)
|
||||||||||||
Obligations of states and political subdivisions
|
7,824
|
|
|
19
|
|
|
108
|
|
|
127
|
|
|
—
|
|
|
—
|
|
|
(482
|
)
|
|
(1,671
|
)
|
|
—
|
|
|
—
|
|
|
5,798
|
|
|
—
|
|
||||||||||||
Manufactured housing
|
766
|
|
|
(4
|
)
|
|
47
|
|
|
43
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(100
|
)
|
|
—
|
|
|
—
|
|
|
709
|
|
|
(4
|
)
|
||||||||||||
Total available-for-sale mortgage-related securities
|
59,310
|
|
|
(1,931
|
)
|
|
7,676
|
|
|
5,745
|
|
|
—
|
|
|
—
|
|
|
(828
|
)
|
|
(9,152
|
)
|
|
40
|
|
|
(120
|
)
|
|
54,995
|
|
|
(2,030
|
)
|
||||||||||||
Trading, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
1,866
|
|
|
(389
|
)
|
|
—
|
|
|
(389
|
)
|
|
25
|
|
|
95
|
|
|
(76
|
)
|
|
(206
|
)
|
|
92
|
|
|
(242
|
)
|
|
1,165
|
|
|
(390
|
)
|
||||||||||||
Fannie Mae
|
538
|
|
|
(131
|
)
|
|
—
|
|
|
(131
|
)
|
|
(5
|
)
|
|
—
|
|
|
5
|
|
|
(35
|
)
|
|
—
|
|
|
(60
|
)
|
|
312
|
|
|
(131
|
)
|
||||||||||||
Ginnie Mae
|
22
|
|
|
1
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(16
|
)
|
|
98
|
|
|
(13
|
)
|
|
92
|
|
|
1
|
|
||||||||||||
Other
|
90
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
18
|
|
|
(10
|
)
|
|
(3
|
)
|
|
—
|
|
|
(74
|
)
|
|
21
|
|
|
(1
|
)
|
||||||||||||
Total trading mortgage-related securities
|
2,516
|
|
|
(519
|
)
|
|
—
|
|
|
(519
|
)
|
|
20
|
|
|
113
|
|
|
(81
|
)
|
|
(260
|
)
|
|
190
|
|
|
(389
|
)
|
|
1,590
|
|
|
(521
|
)
|
||||||||||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Held-for-sale, at fair value
|
9,710
|
|
|
1,011
|
|
|
—
|
|
|
1,011
|
|
|
25,340
|
|
|
—
|
|
|
(21,764
|
)
|
|
(59
|
)
|
|
—
|
|
|
—
|
|
|
14,238
|
|
|
263
|
|
||||||||||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Guarantee asset
(7)
|
752
|
|
|
(23
|
)
|
|
—
|
|
|
(23
|
)
|
|
—
|
|
|
382
|
|
|
—
|
|
|
(82
|
)
|
|
—
|
|
|
—
|
|
|
1,029
|
|
|
(23
|
)
|
||||||||||||
All other, at fair value
|
151
|
|
|
(37
|
)
|
|
—
|
|
|
(37
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
114
|
|
|
(37
|
)
|
||||||||||||
Total other assets
|
903
|
|
|
(60
|
)
|
|
—
|
|
|
(60
|
)
|
|
—
|
|
|
382
|
|
|
—
|
|
|
(82
|
)
|
|
—
|
|
|
—
|
|
|
1,143
|
|
|
(60
|
)
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
|
|
|
Realized and unrealized (gains) losses
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
|
Balance,
January 1,
2012
|
|
Included in
earnings
(1)(2)(3)(4)
|
|
Included in
other
comprehensive
income
(1)
|
|
Total
|
|
Purchases
|
|
Issues
|
|
Sales
|
|
Settlements,
net
|
|
Transfers
into
Level 3
|
|
Transfers
out of
Level 3
|
|
Balance,
December 31,
2012
|
|
Unrealized
(gains) losses
still held
(6)
|
||||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Other debt, at fair value
|
$
|
—
|
|
|
$
|
(16
|
)
|
|
$
|
—
|
|
|
$
|
(16
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(812
|
)
|
|
$
|
3,015
|
|
|
$
|
—
|
|
|
$
|
2,187
|
|
|
$
|
(6
|
)
|
Net derivatives
(8)
|
(17
|
)
|
|
30
|
|
|
—
|
|
|
30
|
|
|
—
|
|
|
3
|
|
|
—
|
|
|
(2
|
)
|
|
—
|
|
|
33
|
|
|
47
|
|
|
15
|
|
(1)
|
Changes in fair value for available-for-sale investment securities are recorded in AOCI, while gains and losses from sales are recorded in other gains (losses) on investment securities recognized in earnings on our consolidated statements of comprehensive income. For mortgage-related securities classified as trading, the realized and unrealized gains (losses) are recorded in other gains (losses) on investment securities recognized in earnings on our consolidated statements of comprehensive income.
|
(2)
|
Changes in fair value of derivatives not designated as accounting hedges are recorded in derivative gains (losses) on our consolidated statements of comprehensive income.
|
(3)
|
Changes in fair value of the guarantee asset are recorded in other income on our consolidated statements of comprehensive income.
|
|
253
|
Freddie Mac
|
(4)
|
For held-for-sale mortgage loans with the fair value option elected, gains (losses) on fair value changes and from sales of mortgage loans are recorded in other income on our consolidated statements of comprehensive income.
|
(5)
|
Transfers out of Level 3 during the year ended December 31, 2013 are due to: (a) our enhancement to our pricing methodology for multifamily mortgage loans, held-for-sale, to more directly reflect the increasingly observable nature of our exit market of loan securitization; and (b) an increased volume and level of activity in the market and availability of price quotes from dealers and third-party pricing services for: (i) trading mortgage-related securities; and (ii) STACR debt notes included in other debt at fair value.
|
(6)
|
Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains and losses related to assets and liabilities classified as Level 3 that were still held at
December 31, 2013
and 2012, respectively. Included in these amounts are credit-related other-than-temporary impairments recorded on available-for-sale securities.
|
(7)
|
We estimate that all amounts recorded for unrealized gains and losses on our guarantee asset relate to those guarantee asset amounts still recorded on our balance sheet. The amounts reflected as included in earnings represent the periodic fair value changes of our guarantee asset.
|
(8)
|
Net derivatives include derivative assets and derivative liabilities prior to counterparty netting, cash collateral netting, net trade/settle receivable or payable and net derivative interest receivable or payable.
|
|
Fair Value at December 31,
|
||||||||||||||||||||||||||||||
|
2013
|
|
2012
|
||||||||||||||||||||||||||||
|
Quoted Prices
in Active Markets
for Identical
Assets (Level 1)
|
|
Significant Other
Observable
Inputs
(Level 2)
|
|
Significant
Unobservable
Inputs
(Level 3)
|
|
Total
|
|
Quoted Prices
in Active Markets
for Identical
Assets (Level 1)
|
|
Significant Other
Observable
Inputs (Level 2)
|
|
Significant
Unobservable
Inputs
(Level 3)
|
|
Total
|
||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||
Assets measured at fair value on a non-recurring basis:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Mortgage loans:
(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Held-for-investment
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
515
|
|
|
$
|
515
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,025
|
|
|
$
|
1,025
|
|
REO, net
(2)
|
—
|
|
|
—
|
|
|
1,837
|
|
|
1,837
|
|
|
—
|
|
|
—
|
|
|
776
|
|
|
776
|
|
||||||||
Total assets measured at fair value on a non-recurring basis
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,352
|
|
|
$
|
2,352
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,801
|
|
|
$
|
1,801
|
|
|
Total Gains (Losses)
(3)
|
||||||||||
|
Year Ended December 31,
|
||||||||||
|
2013
|
|
2012
|
|
2011
|
||||||
|
(in millions)
|
||||||||||
Assets measured at fair value on a non-recurring basis:
|
|
|
|
|
|
||||||
Mortgage loans:
(1)
|
|
|
|
|
|
||||||
Held-for-investment
|
$
|
22
|
|
|
$
|
(49
|
)
|
|
$
|
(16
|
)
|
REO, net
(2)
|
(50
|
)
|
|
(22
|
)
|
|
(118
|
)
|
|||
Total gains (losses)
|
$
|
(28
|
)
|
|
$
|
(71
|
)
|
|
$
|
(134
|
)
|
(1)
|
Represents carrying value and related write-downs of loans for which adjustments are based on the fair value amounts. These loans consist of impaired multifamily mortgage loans that are classified as held-for-investment and have a related valuation allowance.
|
(2)
|
Represents the fair value and related losses of foreclosed properties that were measured at fair value subsequent to their initial classification as REO, net. The carrying amount of REO, net was written down to fair value of
$1.8 billion
, less estimated costs to sell of
$118 million
(or approximately
$1.7 billion
) at
December 31, 2013
. The carrying amount of REO, net was written down to fair value of
$0.8 billion
, less estimated costs to sell of
$50 million
(or approximately
$0.7 billion
) at
December 31, 2012
.
|
(3)
|
Represents the total net gains (losses) recorded on items measured at fair value on a non-recurring basis for the years ended December 31, 2013, 2012, and 2011, respectively.
|
|
254
|
Freddie Mac
|
|
255
|
Freddie Mac
|
|
256
|
Freddie Mac
|
|
257
|
Freddie Mac
|
|
258
|
Freddie Mac
|
|
259
|
Freddie Mac
|
|
December 31, 2013
|
||||||||||||||||
|
Total
Fair
Value
|
|
Level 3
Fair
Value
|
|
Predominant
Valuation
Technique(s)
|
|
Unobservable Inputs
(1)
|
||||||||||
|
Type
|
|
Range
|
|
Weighted
Average
|
||||||||||||
|
(dollars in millions)
|
|
|
|
|
|
|
|
|
||||||||
Recurring fair value measurements
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Investments in securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Available-for-sale, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage-related securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Agency securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Freddie Mac
|
|
|
$
|
1,547
|
|
|
Risk metric
|
|
Effective duration
(2)
|
|
2.25 - 5.17 years
|
|
2.44 years
|
|
|||
|
|
|
133
|
|
|
Single external source
|
|
External pricing source
|
|
$99.3 - $99.3
|
|
$
|
99.3
|
|
|||
|
|
|
259
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total Freddie Mac
|
$
|
40,659
|
|
|
1,939
|
|
|
|
|
|
|
|
|
|
|||
Fannie Mae
|
|
|
91
|
|
|
Single external source
|
|
External pricing source
|
|
$110.5 - $110.5
|
|
$
|
110.5
|
|
|||
|
|
|
26
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$104.1 - $105.3
|
|
$
|
104.7
|
|
|||
|
|
|
14
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total Fannie Mae
|
10,797
|
|
|
131
|
|
|
|
|
|
|
|
|
|
||||
Ginnie Mae
|
|
|
6
|
|
|
Median of external sources
|
|
|
|
|
|
|
|||||
|
|
|
6
|
|
|
Discounted cash flows
|
|
|
|
|
|
|
|||||
Total Ginnie Mae
|
167
|
|
|
12
|
|
|
|
|
|
|
|
|
|
||||
CMBS
|
|
|
2,942
|
|
|
Single external source
|
|
External pricing source
|
|
$90.9 - $90.9
|
|
$
|
90.9
|
|
|||
|
|
|
167
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total CMBS
|
30,338
|
|
|
3,109
|
|
|
|
|
|
|
|
|
|
||||
Subprime, option ARM, and Alt-A:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Subprime
|
|
|
25,367
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$64.5 - $73.8
|
|
$
|
68.7
|
|
|||
|
|
|
2,132
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total subprime
|
27,499
|
|
|
27,499
|
|
|
|
|
|
|
|
|
|
||||
Option ARM
|
|
|
4,995
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$60.8- $67.0
|
|
$
|
64.4
|
|
|||
|
|
|
705
|
|
|
Discounted cash flows
|
|
OAS
|
|
461 - 944 bps
|
|
729 bps
|
|
||||
|
|
|
874
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total option ARM
|
6,574
|
|
|
6,574
|
|
|
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Alt-A and other
|
|
|
4,028
|
|
|
Single external source
|
|
External pricing source
|
|
$83.4 - $83.4
|
|
$
|
83.4
|
|
|||
|
|
|
3,503
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$72.5 - $79.1
|
|
$
|
75.7
|
|
|||
|
|
|
1,175
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total Alt-A and other
|
8,706
|
|
|
8,706
|
|
|
|
|
|
|
|
|
|
||||
Obligations of states and political subdivisions
|
|
|
3,067
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$98.7 - $99.7
|
|
$
|
99.2
|
|
|||
|
|
|
428
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total obligations of states and political subdivisions
|
3,495
|
|
|
3,495
|
|
|
|
|
|
|
|
|
|
||||
Manufactured housing
|
|
|
577
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$86.7 - $92.8
|
|
$
|
89.7
|
|
|||
|
|
|
107
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total manufactured housing
|
684
|
|
|
684
|
|
|
|
|
|
|
|
|
|
||||
Total available-for-sale mortgage-related securities
|
128,919
|
|
|
52,149
|
|
|
|
|
|
|
|
|
|
||||
Trading, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage-related securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Agency securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Freddie Mac
|
|
|
297
|
|
|
Discounted cash flows
|
|
OAS
|
|
(5) - 9,441 bps
|
|
364 bps
|
|
||||
|
|
|
46
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total Freddie Mac
|
9,349
|
|
|
343
|
|
|
|
|
|
|
|
|
|
||||
Fannie Mae
|
|
|
191
|
|
|
Discounted cash flows
|
|
OAS
|
|
(2,257) - 2,295 bps
|
|
199 bps
|
|
||||
|
|
|
30
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total Fannie Mae
|
7,180
|
|
|
221
|
|
|
|
|
|
|
|
|
|
||||
Ginnie Mae
|
|
|
74
|
|
|
Median of external sources
|
|
|
|
|
|
|
|||||
Total Ginnie Mae
|
98
|
|
|
74
|
|
|
|
|
|
|
|
|
|
||||
Other
|
|
|
7
|
|
|
Single external source
|
|
|
|
|
|
|
|||||
|
|
|
1
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total other
|
141
|
|
|
8
|
|
|
|
|
|
|
|
|
|
||||
Total trading mortgage-related securities
|
16,768
|
|
|
646
|
|
|
|
|
|
|
|
|
|
||||
Total investments in securities
|
$
|
145,687
|
|
|
$
|
52,795
|
|
|
|
|
|
|
|
|
|
||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Guarantee asset, at fair value
|
|
|
1,163
|
|
|
Discounted cash flows
|
|
OAS
|
|
16 - 202 bps
|
|
53 bps
|
|
||||
|
|
|
448
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$11.6 - $25.4
|
|
$
|
19.2
|
|
|||
Total guarantee asset, at fair value
|
1,611
|
|
|
1,611
|
|
|
|
|
|
|
|
|
|
||||
All other, at fair value
|
|
|
9
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total all other, at fair value
|
9
|
|
|
9
|
|
|
|
|
|
|
|
|
|
||||
Total other assets
|
1,620
|
|
|
1,620
|
|
|
|
|
|
|
|
|
|
||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Other debt, at fair value
|
|
|
1,000
|
|
|
Single external source
|
|
External pricing source
|
|
$100.0 - $100.0
|
|
$
|
100.0
|
|
|||
|
|
|
528
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$100.0 - $100.1
|
|
100.0
|
|
||||
Total other debt recorded at fair value
|
2,683
|
|
|
1,528
|
|
|
|
|
|
|
|
|
|
||||
Net derivatives
|
|
|
283
|
|
|
Single external source
|
|
External pricing source
|
|
$0.8 - $0.8
|
|
$
|
0.8
|
|
|||
|
|
|
37
|
|
|
Discounted cash flows
|
|
|
|
|
|
|
|||||
|
|
|
5
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total net derivatives
|
(883
|
)
|
|
325
|
|
|
|
|
|
|
|
|
|
|
260
|
Freddie Mac
|
|
December 31, 2012
|
||||||||||||||||
|
Total
Fair
Value
|
|
Level 3
Fair
Value
|
|
Predominant
Valuation
Technique(s)
|
|
Unobservable Inputs
(1)
|
||||||||||
|
Type
|
|
Range
|
|
Weighted
Average
|
||||||||||||
|
(dollars in millions)
|
|
|
|
|
|
|
|
|
||||||||
Recurring fair value measurements
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Investments in securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Available-for-sale, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage-related securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Agency securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Freddie Mac
|
|
|
$
|
1,477
|
|
|
Risk metric
|
|
Effective duration
(2)
|
|
0.89 -1.98 years
|
|
0.89 years
|
|
|||
|
|
|
325
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total Freddie Mac
|
$
|
58,515
|
|
|
1,802
|
|
|
|
|
|
|
|
|
|
|||
Fannie Mae
|
|
|
78
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$103.9 - $106.0
|
|
$
|
105.2
|
|
|||
|
|
|
65
|
|
|
Single external source
|
|
External pricing source
|
|
$116.0 - $116.0
|
|
$
|
116.0
|
|
|||
|
|
|
20
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total Fannie Mae
|
15,280
|
|
|
163
|
|
|
|
|
|
|
|
|
|
||||
Ginnie Mae
|
|
|
8
|
|
|
Discounted cash flows
|
|
|
|
|
|
|
|||||
|
|
|
8
|
|
|
Median of external sources
|
|
|
|
|
|
|
|||||
Total Ginnie Mae
|
209
|
|
|
16
|
|
|
|
|
|
|
|
|
|
||||
CMBS
|
|
|
2,462
|
|
|
Single external source
|
|
External pricing source
|
|
$99.4 - $99.4
|
|
$
|
99.4
|
|
|||
|
|
|
432
|
|
|
Risk metric
|
|
Effective duration
(2)
|
|
9.3 -14.8 years
|
|
12.0 years
|
|
||||
|
|
|
535
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total CMBS
|
51,307
|
|
|
3,429
|
|
|
|
|
|
|
|
|
|
||||
Subprime, option ARM, and Alt-A:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Subprime
|
|
|
24,890
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$54.4 - $64.4
|
|
$
|
59.2
|
|
|||
|
|
|
1,567
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total subprime
|
26,457
|
|
|
26,457
|
|
|
|
|
|
|
|
|
|
||||
Option ARM
|
|
|
5,631
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$43.8 - $52.6
|
|
$
|
47.9
|
|
|||
|
|
|
86
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total option ARM
|
5,717
|
|
|
5,717
|
|
|
|
|
|
|
|
|
|
||||
Alt-A and other
|
|
|
8,562
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$69.6 - $77.9
|
|
$
|
73.8
|
|
|||
|
|
|
1,901
|
|
|
Single external source
|
|
External pricing source
|
|
$71.8 - $71.8
|
|
$
|
71.8
|
|
|||
|
|
|
441
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total Alt-A and other
|
10,904
|
|
|
10,904
|
|
|
|
|
|
|
|
|
|
||||
Obligations of states and political subdivisions
|
|
|
5,533
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$102.3 - $103.2
|
|
$
|
102.7
|
|
|||
|
|
|
265
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total obligations of states and political subdivisions
|
5,798
|
|
|
5,798
|
|
|
|
|
|
|
|
|
|
||||
Manufactured housing
|
|
|
693
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$80.0 - $85.5
|
|
$
|
82.8
|
|
|||
|
|
|
16
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total manufactured housing
|
709
|
|
|
709
|
|
|
|
|
|
|
|
|
|
||||
Total available-for-sale mortgage-related securities
|
174,896
|
|
|
54,995
|
|
|
|
|
|
|
|
|
|
||||
Trading, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage-related securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Agency securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Freddie Mac
|
|
|
1,112
|
|
|
Discounted cash flows
|
|
OAS
|
|
(33,702) - 3,251 bps
|
|
502 bps
|
|
||||
|
|
|
53
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total Freddie Mac
|
10,354
|
|
|
1,165
|
|
|
|
|
|
|
|
|
|
||||
Fannie Mae
|
|
|
312
|
|
|
Discounted cash flows
|
|
OAS
|
|
(1,263) - 3,251 bps
|
|
810 bps
|
|
||||
Total Fannie Mae
|
10,338
|
|
|
312
|
|
|
|
|
|
|
|
|
|
||||
Ginnie Mae
|
|
|
87
|
|
|
Median of external sources
|
|
|
|
|
|
|
|||||
|
|
|
5
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total Ginnie Mae
|
131
|
|
|
92
|
|
|
|
|
|
|
|
|
|
||||
Other
|
|
|
12
|
|
|
Discounted cash flows
|
|
|
|
|
|
|
|||||
|
|
|
9
|
|
|
Median of external sources
|
|
|
|
|
|
|
|||||
Total other
|
156
|
|
|
21
|
|
|
|
|
|
|
|
|
|
||||
Total trading mortgage-related securities
|
20,979
|
|
|
1,590
|
|
|
|
|
|
|
|
|
|
||||
Total investments in securities
|
$
|
195,875
|
|
|
$
|
56,585
|
|
|
|
|
|
|
|
|
|
||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Held-for-sale, at fair value
|
$
|
14,238
|
|
|
$
|
14,238
|
|
|
Discounted cash flows
|
|
DSCR
|
|
1.25 - 6.88
|
|
1.97
|
|
|
|
|
|
|
|
|
|
Current LTV
|
|
19% - 80%
|
|
69
|
%
|
|||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Guarantee asset, at fair value
|
|
|
870
|
|
|
Discounted cash flows
|
|
OAS
|
|
0 - 368 bps
|
|
55 bps
|
|
||||
|
|
|
159
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total guarantee asset, at fair value
|
1,029
|
|
|
1,029
|
|
|
|
|
|
|
|
|
|
||||
All other, at fair value
|
|
|
112
|
|
|
Discounted cash flows
|
|
Prepayment rate
|
|
7.73% -39.87%
|
|
21.23
|
%
|
||||
|
|
|
|
|
|
|
Servicing income per loan
|
|
0.19% - 0.52%
|
|
0.25
|
%
|
|||||
|
|
|
|
|
|
|
Cost to service per loan
|
|
$78 - $354
|
|
$
|
141
|
|
||||
|
|
|
2
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total all other, at fair value
|
114
|
|
|
114
|
|
|
|
|
|
|
|
|
|
||||
Total other assets
|
1,143
|
|
|
1,143
|
|
|
|
|
|
|
|
|
|
||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Other debt, at fair value
|
|
|
1,188
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$101.7 - $102.0
|
|
$
|
101.7
|
|
|||
|
|
|
999
|
|
|
Single external source
|
|
External pricing source
|
|
$99.9 - $99.9
|
|
$
|
99.9
|
|
|||
Total other debt recorded at fair value
|
2,187
|
|
|
2,187
|
|
|
|
|
|
|
|
|
|
||||
Net derivatives
|
(479
|
)
|
|
47
|
|
|
Other
|
|
|
|
|
|
|
(1)
|
Certain unobservable input types, range, and weighted average data are not disclosed in this table if they are associated with a class: (a) that has a Level 3 fair value measurement that is not considered material; or (b) where we have disclosed the predominant valuation technique with related unobservable inputs for the most significant portion of that class.
|
(2)
|
Effective duration is used as a proxy to represent the aggregate impact of key rate durations.
|
|
261
|
Freddie Mac
|
|
December 31, 2013
|
||||||||||||||||
|
Total
Fair
Value
|
|
Level 3
Fair
Value
|
|
Predominant
Valuation
Technique(s)
|
|
Unobservable Inputs
(1)
|
||||||||||
|
Type
|
|
Range
|
|
Weighted
Average
|
||||||||||||
|
(dollars in millions)
|
|
|
|
|
|
|
|
|
||||||||
Non-recurring fair value measurements
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage loans
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Held-for-investment
|
|
|
$
|
298
|
|
|
Income capitalization
|
|
Capitalization rates
(2)
|
|
6% - 9%
|
|
7%
|
||||
|
|
|
217
|
|
|
Third-party appraisal
|
|
Property value
|
|
$4 million - $44 million
|
|
$27 million
|
|||||
Total held-for-investment
|
$
|
515
|
|
|
515
|
|
|
|
|
|
|
|
|
|
|||
REO, net
|
|
|
1,837
|
|
|
Internal model
(3)
|
|
Historical average sales
proceeds per property
by state
(4)
|
|
$17,500 - $318,391
|
|
$
|
105,508
|
|
|||
Total REO, net
|
1,837
|
|
|
1,837
|
|
|
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
December 31, 2012
|
||||||||||||||||
|
Total
Fair
Value
|
|
Level 3
Fair
Value
|
|
Predominant
Valuation
Technique(s)
|
|
Unobservable Inputs
(1)
|
||||||||||
|
Type
|
|
Range
|
|
Weighted
Average
|
||||||||||||
|
(dollars in millions)
|
|
|
|
|
|
|
|
|
||||||||
Non-recurring fair value measurements
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage loans
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Held-for-investment
|
|
|
$
|
711
|
|
|
Income capitalization
|
|
Capitalization rates
(2)
|
|
5% - 9%
|
|
7%
|
||||
|
|
|
314
|
|
|
Third-party appraisal
|
|
Property value
|
|
$2 million - $43 million
|
|
$21 million
|
|||||
Total held-for-investment
|
$
|
1,025
|
|
|
1,025
|
|
|
|
|
|
|
|
|
|
|||
REO, net
|
|
|
771
|
|
|
Internal model
(3)
|
|
Historical average sales
proceeds per property
by state
(4)
|
|
$32,186 - $356,397
|
|
$102,697
|
|||||
|
|
|
5
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total REO, net
|
776
|
|
|
776
|
|
|
|
|
|
|
|
|
|
(1)
|
Certain unobservable input types, range, and weighted average data are not disclosed in this table if they are associated with a class: (a) that has a Level 3 fair value measurement that is not considered material; or (b) where we have disclosed the predominant valuation technique with related unobservable inputs for the most significant portion of that class.
|
(2)
|
The capitalization rate “Range” and “Weighted Average” represent those loans that are valued using the Income Capitalization approach, which is the predominant valuation technique used for this population. Certain loans in this population are valued using other techniques, and the capitalization rate for those is not represented in the “Range” or “Weighted Average” above.
|
(3)
|
Represents an internal model that uses actual REO disposition prices for the prior three months, calibrated to the most recent month's disposition prices, to determine the average sales proceeds per property at the state level, expressed as a fixed percentage based on the ratio of the disposition price to the UPB of the associated loan. This valuation technique is used to measure both the initial value of REO and the subsequent write-down to current fair value.
|
(4)
|
Represents the average of three months of REO sales proceeds by state. The national average REO disposition severity ratio for our REO properties was
35.8%
and
39.5%
for the years ended
December 31, 2013
and 2012, respectively.
|
|
262
|
Freddie Mac
|
|
December 31, 2013
|
||||||||||||||||||||||
|
|
|
Fair Value
|
||||||||||||||||||||
|
Carrying Amount
(1)
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Netting Adjustments
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Financial Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Cash and cash equivalents
|
$
|
11,281
|
|
|
$
|
7,360
|
|
|
$
|
3,921
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
11,281
|
|
Restricted cash and cash equivalents
|
12,265
|
|
|
12,264
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
12,265
|
|
||||||
Federal funds sold and securities purchased under agreements to resell
|
62,383
|
|
|
—
|
|
|
62,383
|
|
|
—
|
|
|
—
|
|
|
62,383
|
|
||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Available-for-sale, at fair value
|
128,919
|
|
|
—
|
|
|
76,770
|
|
|
52,149
|
|
|
—
|
|
|
128,919
|
|
||||||
Trading, at fair value
|
23,404
|
|
|
6,636
|
|
|
16,122
|
|
|
646
|
|
|
—
|
|
|
23,404
|
|
||||||
Total investments in securities
|
152,323
|
|
|
6,636
|
|
|
92,892
|
|
|
52,795
|
|
|
—
|
|
|
152,323
|
|
||||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Mortgage loans held by consolidated trusts
|
1,529,905
|
|
|
—
|
|
|
1,258,049
|
|
|
249,693
|
|
|
—
|
|
|
1,507,742
|
|
||||||
Unsecuritized mortgage loans
|
154,885
|
|
|
—
|
|
|
16,145
|
|
|
122,065
|
|
|
—
|
|
|
138,210
|
|
||||||
Total mortgage loans
(2)
|
1,684,790
|
|
|
—
|
|
|
1,274,194
|
|
|
371,758
|
|
|
—
|
|
|
1,645,952
|
|
||||||
Derivative assets, net
|
1,063
|
|
|
—
|
|
|
14,220
|
|
|
11
|
|
|
(13,168
|
)
|
|
1,063
|
|
||||||
Guarantee asset
|
1,611
|
|
|
—
|
|
|
—
|
|
|
1,879
|
|
|
—
|
|
|
1,879
|
|
||||||
Total financial assets
|
$
|
1,925,716
|
|
|
$
|
26,260
|
|
|
$
|
1,447,611
|
|
|
$
|
426,443
|
|
|
$
|
(13,168
|
)
|
|
$
|
1,887,146
|
|
Financial Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Debt, net:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Debt securities of consolidated trusts held by third parties
|
$
|
1,433,984
|
|
|
$
|
—
|
|
|
$
|
1,435,894
|
|
|
$
|
1,004
|
|
|
$
|
—
|
|
|
$
|
1,436,898
|
|
Other debt
|
506,767
|
|
|
—
|
|
|
499,756
|
|
|
13,089
|
|
|
—
|
|
|
512,845
|
|
||||||
Total debt, net
|
1,940,751
|
|
|
—
|
|
|
1,935,650
|
|
|
14,093
|
|
|
—
|
|
|
1,949,743
|
|
||||||
Derivative liabilities, net
|
180
|
|
|
—
|
|
|
13,291
|
|
|
336
|
|
|
(13,447
|
)
|
|
180
|
|
||||||
Guarantee obligation
|
1,522
|
|
|
—
|
|
|
—
|
|
|
3,067
|
|
|
—
|
|
|
3,067
|
|
||||||
Total financial liabilities
|
$
|
1,942,453
|
|
|
$
|
—
|
|
|
$
|
1,948,941
|
|
|
$
|
17,496
|
|
|
$
|
(13,447
|
)
|
|
$
|
1,952,990
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2012
|
||||||||||||||||||||||
|
|
|
Fair Value
|
||||||||||||||||||||
|
Carrying Amount
(1)
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Netting Adjustments
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Financial Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Cash and cash equivalents
|
$
|
8,513
|
|
|
$
|
8,513
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
8,513
|
|
Restricted cash and cash equivalents
|
14,592
|
|
|
14,576
|
|
|
16
|
|
|
—
|
|
|
—
|
|
|
14,592
|
|
||||||
Federal funds sold and securities purchased under agreements to resell
|
37,563
|
|
|
—
|
|
|
37,563
|
|
|
—
|
|
|
—
|
|
|
37,563
|
|
||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Available-for-sale, at fair value
|
174,896
|
|
|
—
|
|
|
119,901
|
|
|
54,995
|
|
|
—
|
|
|
174,896
|
|
||||||
Trading, at fair value
|
41,492
|
|
|
20,221
|
|
|
19,681
|
|
|
1,590
|
|
|
—
|
|
|
41,492
|
|
||||||
Total investments in securities
|
216,388
|
|
|
20,221
|
|
|
139,582
|
|
|
56,585
|
|
|
—
|
|
|
216,388
|
|
||||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Mortgage loans held by consolidated trusts
|
1,495,932
|
|
|
—
|
|
|
1,130,438
|
|
|
409,722
|
|
|
—
|
|
|
1,540,160
|
|
||||||
Unsecuritized mortgage loans
|
190,415
|
|
|
—
|
|
|
16,428
|
|
|
151,175
|
|
|
—
|
|
|
167,603
|
|
||||||
Total mortgage loans
|
1,686,347
|
|
|
—
|
|
|
1,146,866
|
|
|
560,897
|
|
|
—
|
|
|
1,707,763
|
|
||||||
Derivative assets, net
|
657
|
|
|
64
|
|
|
24,109
|
|
|
20
|
|
|
(23,536
|
)
|
|
657
|
|
||||||
Guarantee asset
|
1,029
|
|
|
—
|
|
|
—
|
|
|
1,325
|
|
|
—
|
|
|
1,325
|
|
||||||
Total financial assets
|
$
|
1,965,089
|
|
|
$
|
43,374
|
|
|
$
|
1,348,136
|
|
|
$
|
618,827
|
|
|
$
|
(23,536
|
)
|
|
$
|
1,986,801
|
|
Financial Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Debt, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Debt securities of consolidated trusts held by third parties
|
$
|
1,419,524
|
|
|
$
|
—
|
|
|
$
|
1,484,228
|
|
|
$
|
2,867
|
|
|
$
|
—
|
|
|
$
|
1,487,095
|
|
Other debt
|
547,518
|
|
|
—
|
|
|
546,955
|
|
|
18,646
|
|
|
—
|
|
|
565,601
|
|
||||||
Total debt, net
|
1,967,042
|
|
|
—
|
|
|
2,031,183
|
|
|
21,513
|
|
|
—
|
|
|
2,052,696
|
|
||||||
Derivative liabilities, net
|
178
|
|
|
8
|
|
|
31,014
|
|
|
67
|
|
|
(30,911
|
)
|
|
178
|
|
||||||
Guarantee obligation
|
1,004
|
|
|
—
|
|
|
—
|
|
|
2,487
|
|
|
—
|
|
|
2,487
|
|
||||||
Total financial liabilities
|
$
|
1,968,224
|
|
|
$
|
8
|
|
|
$
|
2,062,197
|
|
|
$
|
24,067
|
|
|
$
|
(30,911
|
)
|
|
$
|
2,055,361
|
|
(1)
|
Equals the amount reported on our GAAP consolidated balance sheets.
|
(2)
|
The fair value of single-family mortgage loans as of December 31, 2013 includes the effect of a change in estimate related to enhancements implemented to align our economic capital methodology with external capital benchmarks.
|
|
263
|
Freddie Mac
|
|
264
|
Freddie Mac
|
|
265
|
Freddie Mac
|
|
266
|
Freddie Mac
|
|
December 31,
|
||||||||||||||
|
2013
|
|
2012
|
||||||||||||
|
Multifamily
Held-For-Sale
Mortgage Loans
|
|
Other Debt -
Long Term
|
|
Multifamily
Held-For-Sale
Mortgage Loans
|
|
Other Debt -
Long Term
|
||||||||
|
(in millions)
|
||||||||||||||
Fair value
|
$
|
8,727
|
|
|
$
|
2,683
|
|
|
$
|
14,238
|
|
|
$
|
2,187
|
|
Unpaid principal balance
|
8,721
|
|
|
2,635
|
|
|
13,972
|
|
|
2,167
|
|
||||
Difference
|
$
|
6
|
|
|
$
|
48
|
|
|
$
|
266
|
|
|
$
|
20
|
|
|
267
|
Freddie Mac
|
|
268
|
Freddie Mac
|
•
|
Short-term lending claim: The Liquidation Plan treated this claim as a senior unsecured claim, pursuant to which we would have ultimately received an estimated distribution of approximately
21%
(or approximately
$250 million
). However, the Liquidation Plan left open for subsequent determination whether our claim would be accorded priority status, and the Lehman estate set aside
$1.2 billion
to pay our claim in full if, after litigation or settlement, it was allowed as a priority claim. On September 13, 2013, Lehman filed a motion to have the Court classify and allow the claim as a senior unsecured claim. Freddie Mac opposed the motion and, as a result, the issue of the proper classification of the claim was in litigation between the parties.
|
•
|
Repurchase claim: The Liquidation Plan did not adjudge or allow this claim, but instead permitted claims allowance proceedings to continue. To the extent the claim was allowed, it would have been treated as a general unsecured claim, for which Freddie Mac would ultimately have received a distribution of approximately
19.9%
of the allowed amount.
|
|
269
|
Freddie Mac
|
•
|
A putative class action lawsuit filed on July 29, 2013 styled
Cacciapelle and Bareiss vs. Federal National Mortgage Association, Federal Home Loan Mortgage Corporation and FHFA
;
|
•
|
A putative class action lawsuit filed on July 30, 2013 styled
American European Insurance Company vs. Federal National Mortgage Association, Federal Home Loan Mortgage Corporation and FHFA
;
|
•
|
A putative class action and shareholder derivative lawsuit filed on September 18, 2013 styled
Marneu Holdings, Co. vs. FHFA, Treasury, Federal National Mortgage Association and Federal Home Loan Mortgage Corporation
; and
|
•
|
A lawsuit filed on September 20, 2013 styled
Arrowood Indemnity Company vs. Federal National Mortgage Association, Federal Home Loan Mortgage Corporation, FHFA and Treasury
.
|
|
270
|
Freddie Mac
|
|
271
|
Freddie Mac
|
|
December 31, 2013
|
|
December 31, 2012
|
||||
|
(in millions)
|
||||||
GAAP net worth
(1)
|
$
|
12,835
|
|
|
$
|
8,827
|
|
Core capital (deficit)
(2)(3)
|
$
|
(59,495
|
)
|
|
$
|
(60,571
|
)
|
Less: Minimum capital requirement
(2)
|
21,404
|
|
|
22,063
|
|
||
Minimum capital surplus (deficit)
(2)
|
$
|
(80,899
|
)
|
|
$
|
(82,634
|
)
|
(1)
|
Net worth (deficit) represents the difference between our assets and liabilities under GAAP.
|
(2)
|
Core capital and minimum capital figures for December 31, 2013 are estimates. FHFA is the authoritative source for our regulatory capital.
|
(3)
|
Core capital excludes certain components of GAAP total equity (deficit) (i.e., AOCI and the liquidation preference of the senior preferred stock) as these items do not meet the statutory definition of core capital.
|
|
272
|
Freddie Mac
|
|
December 31, 2013
|
|
December 31, 2012
|
||||
|
(in millions)
|
||||||
Other assets:
|
|
|
|
||||
Accounts and other receivables
(1)
|
$
|
4,367
|
|
|
$
|
10,091
|
|
Guarantee asset
|
1,611
|
|
|
1,029
|
|
||
All other
|
2,561
|
|
|
2,645
|
|
||
Total other assets
|
$
|
8,539
|
|
|
$
|
13,765
|
|
Other liabilities:
|
|
|
|
||||
Servicer liabilities
|
$
|
2,277
|
|
|
$
|
3,304
|
|
Guarantee obligation
|
1,522
|
|
|
1,004
|
|
||
Accounts payable and accrued expenses
|
886
|
|
|
984
|
|
||
All other
|
807
|
|
|
807
|
|
||
Total other liabilities
|
$
|
5,492
|
|
|
$
|
6,099
|
|
(1)
|
Primarily consists of servicer receivables.
|
|
273
|
Freddie Mac
|
|
2013
|
||||||||||||||||||
|
1Q
|
|
2Q
|
|
3Q
|
|
4Q
|
|
Full-Year
|
||||||||||
|
(in millions, except share-related amounts)
|
||||||||||||||||||
Net interest income
|
$
|
4,265
|
|
|
$
|
4,144
|
|
|
$
|
4,276
|
|
|
$
|
3,783
|
|
|
$
|
16,468
|
|
Benefit (provision) for credit losses
|
503
|
|
|
623
|
|
|
1,138
|
|
|
201
|
|
|
2,465
|
|
|||||
Non-interest income (loss):
|
|
|
|
|
|
|
|
|
|
||||||||||
Derivative gains (losses)
|
375
|
|
|
1,362
|
|
|
(74
|
)
|
|
969
|
|
|
2,632
|
|
|||||
Net impairments of available-for-sale securities recognized in earnings
|
(43
|
)
|
|
(44
|
)
|
|
(126
|
)
|
|
(1,297
|
)
|
|
(1,510
|
)
|
|||||
Other non-interest income (loss)
|
70
|
|
|
(640
|
)
|
|
1,889
|
|
|
6,078
|
|
|
7,397
|
|
|||||
Non-interest income (loss)
|
402
|
|
|
678
|
|
|
1,689
|
|
|
5,750
|
|
|
8,519
|
|
|||||
Non-interest expense:
|
|
|
|
|
|
|
|
|
|
||||||||||
Administrative expenses
|
(432
|
)
|
|
(444
|
)
|
|
(455
|
)
|
|
(474
|
)
|
|
(1,805
|
)
|
|||||
REO operations income (expense)
|
(6
|
)
|
|
110
|
|
|
79
|
|
|
(43
|
)
|
|
140
|
|
|||||
Other non-interest expense
|
(186
|
)
|
|
(164
|
)
|
|
(201
|
)
|
|
127
|
|
|
(424
|
)
|
|||||
Non-interest expense
|
(624
|
)
|
|
(498
|
)
|
|
(577
|
)
|
|
(390
|
)
|
|
(2,089
|
)
|
|||||
Income tax (expense) benefit
|
35
|
|
|
41
|
|
|
23,960
|
|
|
(731
|
)
|
|
23,305
|
|
|||||
Net income
|
$
|
4,581
|
|
|
$
|
4,988
|
|
|
$
|
30,486
|
|
|
$
|
8,613
|
|
|
$
|
48,668
|
|
Total other comprehensive income (loss), net of taxes
|
$
|
2,390
|
|
|
$
|
(631
|
)
|
|
$
|
(49
|
)
|
|
$
|
1,222
|
|
|
$
|
2,932
|
|
Comprehensive income
|
$
|
6,971
|
|
|
$
|
4,357
|
|
|
$
|
30,437
|
|
|
$
|
9,835
|
|
|
$
|
51,600
|
|
Income (loss) attributable to common stockholders
(1)
|
$
|
(2,390
|
)
|
|
$
|
631
|
|
|
$
|
50
|
|
|
$
|
(1,822
|
)
|
|
$
|
(3,531
|
)
|
Income (loss) per common share – basic and diluted
(2)
|
$
|
(0.74
|
)
|
|
$
|
0.19
|
|
|
$
|
0.02
|
|
|
$
|
(0.56
|
)
|
|
$
|
(1.09
|
)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
2012
|
||||||||||||||||||
|
1Q
|
|
2Q
|
|
3Q
|
|
4Q
|
|
Full-Year
|
||||||||||
|
(in millions, except share-related amounts)
|
||||||||||||||||||
Net interest income
|
$
|
4,500
|
|
|
$
|
4,386
|
|
|
$
|
4,269
|
|
|
$
|
4,456
|
|
|
$
|
17,611
|
|
Benefit (provision) for credit losses
|
(1,825
|
)
|
|
(155
|
)
|
|
(610
|
)
|
|
700
|
|
|
(1,890
|
)
|
|||||
Non-interest income (loss):
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Derivative gains (losses)
|
(1,056
|
)
|
|
(882
|
)
|
|
(488
|
)
|
|
(22
|
)
|
|
(2,448
|
)
|
|||||
Net impairments of available-for-sale securities recognized in earnings
|
(564
|
)
|
|
(98
|
)
|
|
(267
|
)
|
|
(1,239
|
)
|
|
(2,168
|
)
|
|||||
Other non-interest income
|
104
|
|
|
229
|
|
|
195
|
|
|
5
|
|
|
533
|
|
|||||
Non-interest income (loss)
|
(1,516
|
)
|
|
(751
|
)
|
|
(560
|
)
|
|
(1,256
|
)
|
|
(4,083
|
)
|
|||||
Non-interest expense:
|
|
|
|
|
|
|
|
|
|
||||||||||
Administrative expenses
|
(337
|
)
|
|
(401
|
)
|
|
(401
|
)
|
|
(422
|
)
|
|
(1,561
|
)
|
|||||
REO operations income (expense)
|
(171
|
)
|
|
30
|
|
|
49
|
|
|
33
|
|
|
(59
|
)
|
|||||
Other non-interest expense
|
(88
|
)
|
|
(165
|
)
|
|
(121
|
)
|
|
(199
|
)
|
|
(573
|
)
|
|||||
Non-interest expense
|
(596
|
)
|
|
(536
|
)
|
|
(473
|
)
|
|
(588
|
)
|
|
(2,193
|
)
|
|||||
Income tax benefit
|
14
|
|
|
76
|
|
|
302
|
|
|
1,145
|
|
|
1,537
|
|
|||||
Net income
|
$
|
577
|
|
|
$
|
3,020
|
|
|
$
|
2,928
|
|
|
$
|
4,457
|
|
|
$
|
10,982
|
|
Total other comprehensive income (loss), net of taxes
|
$
|
1,212
|
|
|
$
|
(128
|
)
|
|
$
|
2,702
|
|
|
$
|
1,271
|
|
|
$
|
5,057
|
|
Comprehensive income
|
$
|
1,789
|
|
|
$
|
2,892
|
|
|
$
|
5,630
|
|
|
$
|
5,728
|
|
|
$
|
16,039
|
|
Income (loss) attributable to common stockholders
(1)
|
$
|
(1,227
|
)
|
|
$
|
1,212
|
|
|
$
|
1,119
|
|
|
$
|
(3,178
|
)
|
|
$
|
(2,074
|
)
|
Income (loss) per common share – basic and diluted
(2)
|
$
|
(0.38
|
)
|
|
$
|
0.37
|
|
|
$
|
0.35
|
|
|
$
|
(0.98
|
)
|
|
$
|
(0.64
|
)
|
(1)
|
For a discussion of how the change in the manner in which the senior preferred stock dividend is determined affects net income (loss) attributable to common stockholders beginning in the fourth quarter of 2012, see “NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — Earnings Per Common Share.”
|
(2)
|
Earnings (loss) per common share is computed independently for each of the quarters presented. Due to the use of weighted average common shares outstanding when calculating earnings (loss) per share, the sum of the four quarters may not equal the full-year amount. Earnings (loss) per common share amounts may not recalculate using the amounts shown in this table due to rounding.
|
|
274
|
Freddie Mac
|
|
275
|
Freddie Mac
|
•
|
FHFA has established the Office of Conservatorship Operations, which is intended to facilitate operation of the company with the oversight of the Conservator.
|
•
|
We provide drafts of our SEC filings to FHFA personnel for their review and comment prior to filing. We also provide drafts of external press releases, statements and speeches to FHFA personnel for their review and comment prior to release.
|
•
|
FHFA personnel, including senior officials, review our SEC filings prior to filing, including this Form 10-K, and engage in discussions regarding issues associated with the information contained in those filings. Prior to filing this Form 10-K, FHFA provided us with a written acknowledgement that it had reviewed the Form 10-K, was not aware of any material misstatements or omissions in the Form 10-K, and had no objection to our filing the Form 10-K.
|
•
|
The Director of FHFA is in frequent communication with our Chief Executive Officer, typically meeting (in person or by phone) on at least a bi-weekly basis.
|
•
|
FHFA representatives hold frequent meetings with various groups within the company to enhance the flow of information and to provide oversight on a variety of matters, including accounting, credit and capital markets management, external communications, and legal matters.
|
•
|
Senior officials within FHFA’s accounting group meet frequently with our senior financial executives regarding our accounting policies, practices, and procedures.
|
•
|
On November 11, 2013, James G. Mackey, Executive Vice President — Chief Financial Officer, joined Freddie Mac, replacing Ross J. Kari.
|
|
276
|
Freddie Mac
|
Named Executive Officer
|
Base Salary
|
|
Fixed
Deferred Salary
|
|
At-Risk
Deferred Salary
|
|
Target TDC
|
||||||||
Donald H. Layton
|
$
|
600,000
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
600,000
|
|
James G. Mackey
|
500,000
|
|
|
1,600,000
|
|
|
900,000
|
|
|
3,000,000
|
|
||||
David B. Lowman
|
500,000
|
|
|
1,600,000
|
|
|
900,000
|
|
|
3,000,000
|
|
||||
William H. McDavid
|
500,000
|
|
|
1,320,000
|
|
|
780,000
|
|
|
2,600,000
|
|
||||
Jerry Weiss
|
500,000
|
|
|
900,000
|
|
|
600,000
|
|
|
2,000,000
|
|
•
|
People: Maximize the contributions of our people.
|
•
|
Customers: Strive to achieve industry-leading customer experience levels.
|
•
|
Mission: Help people own, rent, and stay in their homes.
|
•
|
Financial Performance: Improve our efficiency and core financial performance.
|
•
|
Risk Management: Make risk management a competitive advantage.
|
•
|
Technology and Infrastructure: Utilize technology and infrastructure to prepare for a future competitive market.
|
•
|
Execution: Do everything better, faster and more cost effectively through superior execution.
|
•
|
People: Build the right culture; retain high performer talent; and improve leadership diversity.
|
•
|
Customers: Strengthen market presence and relevance; continue focus on five distinct customer sets, both direct and indirect; provide more efficient customer service; and expand customer communication.
|
•
|
Mission: Achieve single-family affordable housing goals; increase percent of multifamily purchases with rents less than or equal to small area fair market rents; and increase loan modifications and repayment plans efficiency ratio.
|
•
|
Financial Performance: Improve single-family profitability; maintain profitable multifamily business; actively manage retained portfolio assets; and strengthen expense management discipline.
|
•
|
Risk Management: Reinforce risk ownership; make informed risk-reward decisions; and maintain control environment.
|
•
|
Technology and Infrastructure: Deploy an out-of-region disaster recovery capability; enhance availability of critical, customer-facing applications; and improve facilities utilization.
|
•
|
Execution: Emphasis on timeliness and quality and focus on efficiency.
|
|
277
|
Freddie Mac
|
•
|
Carolyn H. Byrd joined the Board in December 2008. She is 65 years old. She is an experienced finance executive who has held a variety of leadership positions. She also has significant public company audit committee experience. Ms. Byrd’s internal audit and public company audit committee experience enables her to support the Board’s oversight of our internal control over financial reporting and compliance matters.
|
•
|
Richard C. Hartnack joined the Board in May 2013. He is 68 years old. Mr. Hartnack is a seasoned industry executive with proven leadership experience and a deep understanding of our industry. He has detailed knowledge of underwriting, servicing and technology.
|
|
278
|
Freddie Mac
|
•
|
Steven W. Kohlhagen joined the Board in February 2013. He is 66 years old. He is nationally recognized as a leading financial expert with extensive knowledge of mortgage finance and the capital markets. He brings to the Board a unique combination of senior executive leadership skills and a deep understanding of economics, modeling and complex financial instruments.
|
•
|
Donald H. Layton joined the Board in May 2012, upon commencement of his employment as Chief Executive Officer. He is 63 years old. He is an experienced finance executive and leader of finance and investment organizations. Mr. Layton’s experience as a leader of financial organizations enables him to provide valuable business and operating perspectives to the Board.
|
•
|
Christopher S. Lynch joined the Board in December 2008. He is 56 years old. He is an experienced senior accounting executive who served as the lead audit signing partner and account executive for several large financial institutions with mortgage lending businesses. He also has significant public company audit committee experience and risk management experience. Mr. Lynch’s extensive experience in finance, accounting and risk management enables him to provide valuable guidance to the Board on complex accounting and risk management issues.
|
|
279
|
Freddie Mac
|
•
|
Sara Mathew joined the Board in December 2013. She is 58 years old. She is an executive with global financial and general management experience. Ms. Mathew’s extensive business, financial and management experience, and her public company board and audit committee experience, enable her to contribute to the Board’s oversight of the management and operation of the Company and of its financial reporting.
|
•
|
Saiyid T. Naqvi joined the Board in August 2013. He is 64 years old. He is a seasoned financial executive with proven leadership experience and detailed knowledge of mortgage and consumer financial operations, as well as a deep background in risk and operational management.
|
•
|
Nicolas P. Retsinas joined the Board in June 2007. He is 67 years old. He is an experienced leader in the governmental and educational sectors, with in-depth knowledge of the mortgage lending, real estate and homebuilding industries. He also has represented consumer and community interests and has demonstrated a career commitment to the provision of housing for low-income households. Mr. Retsinas’ public, private and academic experience, including his service on the boards of several not-for-profit organizations, enables him to bring to the Board broad knowledge and understanding of housing and consumer and community issues.
|
•
|
Eugene B. Shanks, Jr. joined the Board in December 2008. He is 66 years old. He is an experienced finance executive with leadership and risk management expertise. Mr. Shanks’ leadership and risk management experience enables him to provide the Board with valuable guidance on risk management issues and our strategic direction.
|
|
280
|
Freddie Mac
|
•
|
Anthony A. Williams joined the Board in December 2008. He is 62 years old. He is an experienced leader in national, state and local governments, with extensive knowledge concerning real estate and housing for low-income individuals. He also has significant experience in financial matters and is an experienced academic focusing on public management issues. Mr. Williams’ leadership and operating experience in the public sector allows him to provide a unique perspective on state and local housing issues.
|
•
|
matters requiring the approval of or consultation with Treasury under the covenants of the Purchase Agreement (see “BUSINESS — Conservatorship and Related Matters — Treasury Agreements – Covenants Under Treasury Agreement”);
|
•
|
redemptions or repurchases of subordinated debt, except as necessary to comply with the limit in the Purchase Agreement;
|
•
|
increases in Board risk limits, material changes in accounting policy, and reasonably foreseeable material increases in operational risk;
|
•
|
matters that relate to the Conservator’s powers, the status of Freddie Mac in conservatorship, or the legal effect of the conservatorship on contracts, such as, but not limited to, the initiation of material actions in connection with litigation addressing the actions or authority of the Conservator, repudiation of contracts, qualified financial contracts in dispute due to conservatorship status, and counterparties attempting to nullify or amend contracts due to conservatorship status;
|
•
|
retention and termination of external auditors and law firms serving as consultants to the Board;
|
•
|
agreements relating to litigation, claims, regulatory proceedings, or tax-related matters where the value of the claim is in excess of $50 million, including related matters that aggregate to more than $50 million (but excluding loan workouts);
|
•
|
alterations or changes to the terms of any master agreement between us and any of our top five single-family sellers or servicers that are not otherwise mandated by FHFA and that will alter, in a material way, the business relationship between the parties;
|
|
281
|
Freddie Mac
|
•
|
termination of a contract (other than by expiration pursuant to its terms) between us and any of our top five single-family sellers or servicers;
|
•
|
actions that, in the reasonable business judgment of management at the time that the action is to be taken, are likely to cause significant reputational risk to us or result in substantial negative publicity;
|
•
|
creation of any subsidiary or affiliate, or entering into a substantial transaction with a subsidiary or affiliate, except for the creation of, or a transaction with, a subsidiary or affiliate undertaken in the ordinary course of business (e.g., creation of a securitization trust or REMIC);
|
•
|
setting or increasing the compensation or benefits payable to directors;
|
•
|
entering into new compensation arrangements or increasing amounts or benefits payable under existing compensation arrangements for senior vice presidents and above and other officers as FHFA may deem necessary to successfully execute its role as Conservator;
|
•
|
any establishment or modification by us of performance management processes for such officers, including the establishment or modification of a Conservator scorecard;
|
•
|
any assessment by us of our performance against a Conservator scorecard; and
|
•
|
establishing the annual operating budget.
|
|
Director
|
Audit
|
|
Business
and Risk
|
|
Compensation
|
|
Executive
|
|
Nominating and
Governance
|
|
C. Byrd
|
C
|
|
|
|
|
|
|
|
|
|
R. Hartnack
|
|
|
|
|
|
|
|
|
|
|
S. Kohlhagen
|
|
|
C
|
|
|
|
|
|
|
|
D. Layton
|
|
|
|
|
|
|
|
|
|
|
C. Lynch
|
|
|
|
|
|
|
C
|
|
|
|
S. Mathew
|
|
|
|
|
|
|
|
|
|
|
S. Naqvi
|
|
|
|
|
|
|
|
|
|
|
N. Retsinas
|
|
|
|
|
|
|
|
|
|
|
E. Shanks
|
|
|
|
|
|
|
|
|
C
|
|
A. Williams
|
|
|
|
|
C
|
|
|
|
|
|
= Member of the Committee
|
|
|
|
|
|
|
|
|
|
C
|
=Chairman of the Committee
|
|
|
|
|
|
|
|
|
|
|
282
|
Freddie Mac
|
Name
|
Age
|
|
Year of
Affiliation
|
|
Position
|
Donald H. Layton
|
63
|
|
2012
|
|
Chief Executive Officer
|
James G. Mackey
|
46
|
|
2013
|
|
Executive Vice President — Chief Financial Officer
|
David M. Brickman
|
48
|
|
1999
|
|
Executive Vice President — Multifamily
|
David B. Lowman
|
56
|
|
2013
|
|
Executive Vice President —Single-Family Business
|
William H. McDavid
|
67
|
|
2012
|
|
Executive Vice President — General Counsel & Corporate Secretary
|
Jerry Weiss
|
56
|
|
2003
|
|
Executive Vice President — Chief Administrative Officer
|
Paige H. Wisdom
|
52
|
|
2008
|
|
Executive Vice President — Chief Enterprise Risk Officer
|
Michael T. Hutchins
|
58
|
|
2013
|
|
Senior Vice President — Investments and Capital Markets
|
Timothy F. Kenny
|
52
|
|
2007
|
|
Senior Vice President — General Auditor
|
Robert Lux
|
50
|
|
2010
|
|
Senior Vice President — Chief Information Officer
|
Robert D. Mailloux
|
46
|
|
2002
|
|
Senior Vice President — Corporate Controller & Principal Accounting Officer
|
Dwight P. Robinson
|
60
|
|
1998
|
|
Senior Vice President — Human Resources, Diversity and Outreach
|
Carol A. Wambeke
|
54
|
|
1997
|
|
Senior Vice President — Chief Compliance Officer
|
|
283
|
Freddie Mac
|
|
284
|
Freddie Mac
|
•
|
Donald H. Layton, Chief Executive Officer
|
•
|
James G. Mackey, Executive Vice President — Chief Financial Officer
|
•
|
Ross J. Kari, Former Executive Vice President — Chief Financial Officer
|
•
|
David B. Lowman, Executive Vice President — Single-Family Business
|
•
|
William H. McDavid, Executive Vice President — General Counsel and Corporate Secretary
|
•
|
Jerry Weiss, Executive Vice President — Chief Administrative Officer
|
|
285
|
Freddie Mac
|
•
|
Reduction of target compensation by 10% in 2009 and by 10% again in 2012 for most of the senior executives working for us at the beginning of those years;
|
•
|
Termination of the pension plan and Pension SERP at the end of 2013 at FHFA's direction;
|
•
|
Institution by FHFA of a freeze in salary and total compensation for all of 2011 and 2012, such that changes to base salaries and Target TDC were only provided for promotions and other significant increases in responsibility;
|
•
|
Reduction of annual CEO compensation to $600,000; and
|
•
|
Elimination of bonuses and the potential for the at-risk elements of compensation for our senior executives to exceed target levels, regardless of the level of company and/or individual performance.
|
1.
|
The forfeiture provision for Fixed Deferred Salary was extended, such that the 25-month vesting schedule will reset annually and earned but unpaid amounts will be reduced by 2% for each full or partial month by which a termination precedes January 31 of the second year following the performance year;
|
2.
|
A retirement provision was added that provides that officers who are at least 65 years old, regardless of their length of service, will be considered retirement-eligible and not subject to the 2% reduction described above; and
|
3.
|
At-Risk Deferred Salary was linked to corporate goals which are complementary to Conservatorship Scorecard objectives (the Complementary Corporate Goals), such that the portion of At-Risk Deferred Salary that in prior years was linked only to individual performance is now linked to both individual performance and the company’s performance against the Complementary Corporate Goals.
|
•
|
When FHFA was appointed as our Conservator in September 2008, it assumed all of the rights, titles, powers, and privileges of the company and its stockholders, directors and management, including the authority to set executive compensation. Under the terms of the Purchase Agreement, FHFA is required to consult with Treasury on any increases in compensation or new compensation arrangements for our executive officers.
|
•
|
Our directors serve on behalf of FHFA and exercise their authority as directed by FHFA. More information about the role of our directors is provided above in “DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE — Authority of the Board and Board Committees.”
|
|
286
|
Freddie Mac
|
•
|
FHFA has directed that its approval be obtained before taking action involving: (i) entering into new compensation arrangements or increasing amounts or benefits payable under existing compensation arrangements for officers at the senior vice president level and above and for other officers as FHFA may deem necessary to successfully carry out its role as Conservator; (ii) any establishment or modification by us of performance management processes for such officers; and (iii) any assessment by us of our performance against conservatorship scorecards.
|
•
|
FHFA retains the authority not only to approve both the terms and amount of any compensation prior to payment to any of our executive officers, but also to modify any existing compensation arrangements.
|
•
|
No agreements that guarantee a specific amount of compensation for a specified term of employment;
|
•
|
No tax “gross-ups”;
|
•
|
Limited executive perquisites;
|
•
|
Clawback provisions that result in a significant portion of compensation earned being subject to recapture and/or forfeiture; and
|
•
|
No golden parachute payments or other change in control provisions in any of our compensation or benefit programs.
|
Element of
Compensation
|
Description
|
Primary
Compensation Objective
|
Key Features
|
Base Salary
|
Earned and paid each bi-weekly pay period
|
To provide a fixed level of compensation to each NEO for the responsibility level of his/her position
|
Cannot exceed $500,000 per year, except as approved by FHFA
|
Deferred Salary
|
Fixed Deferred Salary
is earned each bi-weekly pay period. The amount earned each quarter is paid on the last business day of the corresponding quarter of the following year, referred to as the Approved Payment Schedule
|
To encourage executive retention
|
Equal to Target TDC less Base Salary and At-Risk Deferred Salary
|
At-Risk Deferred Salary
is earned and paid in the same manner as Fixed Deferred Salary, but is subject to reduction based on corporate and individual performance
|
To encourage achievement of corporate and individual performance goals
|
Equal to 30% of Target TDC. Half of At-Risk Deferred Salary is subject to reduction based on Conservatorship Scorecard performance, and half is subject to reduction based on a combination of corporate performance against Complementary Corporate Goals and individual performance.
The objectives against which 2013 corporate performance was measured are described in “
At-Risk Deferred Salary Based on Conservatorship Scorecard Performance
” and “
At-Risk Deferred Salary Based on Complementary Corporate Goals and Individual Performance.”
|
|
287
|
Freddie Mac
|
|
|
|
|
|
Allstate
|
|
Fannie Mae
|
|
PNC
|
Ally Financial
|
|
Fifth Third Bancorp
|
|
Prudential
|
AIG
|
|
Freddie Mac
|
|
Regions Financial
|
Bank of America*
|
|
The Hartford
|
|
State Street
|
Bank of New York Mellon
|
|
JPMorgan Chase*
|
|
SunTrust
|
BB&T
|
|
MetLife
|
|
U.S. Bancorp
|
Capital One
|
|
Northern Trust
|
|
Wells Fargo*
|
Citigroup*
|
|
|
|
|
*
|
Only mortgage or real estate division-level compensation data from these diversified banking firms may be utilized where available and appropriate for the position being benchmarked.
|
|
288
|
Freddie Mac
|
|
2013 Target TDC (Annualized)
|
||||||||||||||||
Named Executive Officer
|
Base
Salary
|
|
Fixed
Deferred
Salary
|
|
At-Risk
Deferred
Salary
|
|
Target TDC
|
|
Percent Change v. Prior Year
|
||||||||
Donald H. Layton
|
$
|
600,000
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
600,000
|
|
|
0%
|
James G. Mackey
|
500,000
|
|
|
1,600,000
|
|
|
900,000
|
|
|
3,000,000
|
|
|
N/A
|
||||
Ross J. Kari
|
675,000
|
|
|
1,530,000
|
|
|
945,000
|
|
|
3,150,000
|
|
|
0%
|
||||
David B. Lowman
|
500,000
|
|
|
1,600,000
|
|
|
900,000
|
|
|
3,000,000
|
|
|
N/A
|
||||
William H. McDavid
|
500,000
|
|
|
1,320,000
|
|
|
780,000
|
|
|
2,600,000
|
|
|
0%
|
||||
Jerry Weiss
|
495,000
|
|
|
891,000
|
|
|
594,000
|
|
|
1,980,000
|
|
|
0%
|
•
|
The quality, thoroughness, creativity, effectiveness, and timeliness of our work products;
|
•
|
Collaboration and cooperation with FHFA, Fannie Mae and the industry; and
|
•
|
The extent to which the outcomes of our activities support a competitive secondary mortgage market with lower barriers to entry and exit of participants.
|
•
|
The company's accomplishment of the vast majority of Conservatorship Scorecard objectives, scoring 100% on most of its objectives;
|
•
|
The thought leadership and creativity provided by Freddie Mac personnel involved in the risk sharing transactions; and
|
•
|
The on-time delivery of the integration plan for the Common Securitization Platform.
|
Performance Goals
|
FHFA's Summary of Performance
|
||||||
1
|
Build a new infrastructure for the secondary mortgage market (30%)
|
||||||
|
Common Securitization Platform (CSP)
|
All goals were achieved with the following exceptions, which will be carried over to the 2014 Scorecard:
|
|||||
|
In conjunction with FHFA, continue the foundational development of the CSP:
|
||||||
|
•
|
Establish initial ownership and governance structure for the CSP. Assign dedicated resources and establish independent location site for the CSP Team.
|
|
•
•
|
Completion of functional requirements
Development of a servicer integration plan
|
||
|
•
|
Develop the design, scope and functional requirements for the CSP's modules and develop the initial business operational process model.
|
|
|
|
|
289
|
Freddie Mac
|
|
290
|
Freddie Mac
|
|
291
|
Freddie Mac
|
Complementary Corporate Goal and Specific Criteria
|
Assessment of Performance
|
||||
People
- Make Freddie Mac a fulfilling place to work
|
While we met or exceeded all but one of the external benchmarks related to the employee survey used to measure success for this goal, we did not achieve the desired level of increased positive responses for several of the survey questions.
|
||||
|
•
|
Achieve culture change goals at all levels
|
|||
|
•
|
Invest in people to strengthen commitment
|
|||
|
•
|
Enhance diversity efforts targeting higher-level positions
|
|||
Customers
- Substantially enhance the customer experience
|
With one exception, we achieved or exceeded all aspects of this goal, which included completing a process for identifying and addressing causes of dissatisfaction among our key customers. We also established measurable service level standards designed to have a significant positive impact on external customer service. These actions were borne out by increased customer satisfaction index scores among both single-family and multifamily customers.
|
||||
|
•
|
Strengthen market presence and relevance
|
|||
|
•
|
Increasingly focus on five distinct customer sets, both direct and indirect
|
|||
|
•
|
Address customer dissatisfiers
|
|||
|
•
|
Focus on service
|
|||
Enhanced Mission
- Help people own, rent, and stay in their homes
|
All elements of this goal were either met or exceeded, including those related to HARP purchases, loan modifications, short sales, REO dispositions in repaired condition and cases resolved with a non-foreclosure solution.
|
||||
|
•
|
Continue to provide liquidity
|
|||
|
•
|
Enhance our reputation by considering the impact of our actions
|
|||
Financial Performance
- Enhance business capabilities and performance to position the company for financial success in a competitive future
|
With one exception, all elements of this goal were either met or exceeded. While we succeeded in strengthening our expense management discipline, our general and administrative expenses were higher than anticipated due primarily to FHFA-driven activity, specifically private label securities litigation and development of the Common Securitization Platform.
|
||||
|
•
|
Improve single-family profitability and market presence
|
|||
|
•
|
Maintain profitable and quality multifamily business
|
|||
|
•
|
Enhance retained portfolio value and market presence
|
|||
|
•
|
Strengthen our expense management discipline
|
|||
|
•
|
Sharpen our decision-making capabilities
|
|||
Risk Management
- Take responsibility for risk management to make it a competitive advantage
|
All but one element of this goal was either met or exceeded. While closure of significant deficiencies has far outpaced identification of new issues, we did not achieve timely remediation of all open issues.
|
||||
|
•
|
Reinforce risk ownership by instilling “everyone is a risk manager”
|
|||
|
•
|
Address risks and resolve findings in a timely manner by being proactive
|
|||
|
•
|
Make informed risk-reward decisions
|
|||
Execution
- Improve the urgency and quality of execution
|
While we established and executed internal service-level agreements, we did not do so by the date set by management. All other aspects of this goal were either met or exceeded, including:
|
||||
|
•
|
Focus on quality
|
|||
|
•
|
Increase decisiveness
|
|||
|
|
|
|
•
|
Developing customer satisfaction scorecards;
|
|
|
|
|
•
|
Delivering projects managed by the Enterprise Project Management Office on schedule and on budget; and
|
|
|
|
|
•
|
Conducting more than the planned number of process improvement reviews to identify opportunities to reduce bureaucracy or improve the speed of decision-making.
|
|
292
|
Freddie Mac
|
|
293
|
Freddie Mac
|
|
Target 2013 Deferred Salary
|
|
Actual 2013 Deferred Salary
|
||||||||||||||||||||||||||||
|
|
|
At-Risk
|
|
|
|
|
|
At-Risk
|
|
|
||||||||||||||||||||
Named Executive Officer
|
Fixed
|
|
Conservatorship Scorecard
|
|
Complementary Goals/ Individual
|
|
Total Target
Deferred
Salary
|
|
Fixed
|
|
Conservatorship Scorecard
|
|
Complementary Goals/ Individual
|
|
Total Actual
Deferred
Salary
|
||||||||||||||||
Mr. Mackey
1
|
$
|
230,303
|
|
|
$
|
64,773
|
|
|
$
|
64,772
|
|
|
$
|
359,848
|
|
|
$
|
230,303
|
|
|
$
|
62,830
|
|
|
$
|
64,772
|
|
|
$
|
357,905
|
|
Mr. Kari
|
1,530,000
|
|
|
472,500
|
|
|
472,500
|
|
|
2,475,000
|
|
|
1,530,000
|
|
|
458,325
|
|
|
448,875
|
|
|
2,437,200
|
|
||||||||
Mr. Lowman
1
|
1,048,485
|
|
|
294,887
|
|
|
294,886
|
|
|
1,638,258
|
|
|
1,048,485
|
|
|
286,040
|
|
|
294,886
|
|
|
1,629,411
|
|
||||||||
Mr. McDavid
|
1,320,000
|
|
|
390,000
|
|
|
390,000
|
|
|
2,100,000
|
|
|
1,320,000
|
|
|
378,300
|
|
|
390,000
|
|
|
2,088,300
|
|
||||||||
Mr. Weiss
|
891,000
|
|
|
297,000
|
|
|
297,000
|
|
|
1,485,000
|
|
|
891,000
|
|
|
288,090
|
|
|
282,150
|
|
|
1,461,240
|
|
(1)
|
Amounts for Messrs. Lowman and Mackey are pro-rated based on their dates of hire in May and November, 2013, respectively.
|
|
294
|
Freddie Mac
|
•
|
Materially Inaccurate Information
|
◦
|
Forfeiture Event
: The NEO has earned or obtained the legally binding right to a payment of Deferred Salary based on materially inaccurate financial statements or any other materially inaccurate performance measure.
|
◦
|
Compensation Subject to Recapture and/or Forfeiture
: Any Deferred Salary in excess of the amount that the Board of Directors determines would likely have been otherwise earned using accurate measures during the two years prior to the Forfeiture Event.
|
•
|
Termination for Felony Conviction or Willful Misconduct
|
◦
|
Forfeiture Event
: The NEO’s employment is terminated in any of the following circumstances:
|
▪
|
Termination of employment because the NEO is convicted of, or pleads guilty or nolo contendere to, a felony;
|
▪
|
Subsequent to termination of employment, the NEO is convicted of, or pleads guilty or nolo contendere to, a felony, based on conduct occurring prior to termination, and within one year of such conviction or plea, the Board of Directors determines that such conduct is materially harmful to Freddie Mac.
|
▪
|
Termination of employment because, or within two years of termination, the Board of Directors determines that, the NEO engaged in willful misconduct in the performance of his or her duties that was materially harmful to Freddie Mac.
|
|
295
|
Freddie Mac
|
◦
|
Compensation Subject to Recapture and/or Forfeiture
: Any Deferred Salary earned during the two years prior to the date that the NEO is terminated, any Deferred Salary scheduled to be paid within two years after termination and any cash payment made or to be made as consideration for any release of claims agreement.
|
•
|
Gross Neglect or Gross Misconduct
|
◦
|
Forfeiture Event
: The NEO’s employment is terminated because, in carrying out his or her duties, the NEO engages in conduct that constitutes gross neglect or gross misconduct that is materially harmful to Freddie Mac, or within two years after the NEO’s termination of employment, the Board of Directors determines that the NEO, prior to his or her termination, engaged in such conduct.
|
◦
|
Compensation Subject to Recapture and/or Forfeiture
: Any Deferred Salary paid at the time of termination or subsequent to the date of termination, including any cash payment made as consideration for any release of claims agreement.
|
•
|
Violation of a Post-Termination Non-Competition Covenant
|
•
|
Forfeiture Event
: The NEO violates a post-termination non-competition covenant set forth in the restrictive covenant and confidentiality agreement in effect when a payment of Deferred Salary is scheduled to be made.
|
•
|
Compensation Subject to Recapture and/or Forfeiture
: 50% of the Deferred Salary paid during the twelve months immediately preceding the violation and 100% of any unpaid Deferred Salary.
|
•
|
Accounting Restatement Resulting from the Executive’s Misconduct
- If misconduct by the CEO and/or CFO necessitates the preparation of an accounting restatement due to material non-compliance with financial reporting requirements, the compensation subject to recapture will be determined in accordance with Section 304 of the Sarbanes-Oxley Act.
|
|
296
|
Freddie Mac
|
|
297
|
Freddie Mac
|
Anthony A. Williams, Chairman
|
Steven W. Kohlhagen
|
Christopher S. Lynch
|
Sara Mathew
|
Saiyid T. Naqvi
|
•
|
the mix of fixed and at-risk compensation;
|
•
|
eligibility for participation in compensation programs;
|
•
|
the process by which Target TDC levels are established;
|
•
|
the process for establishing performance objectives and for evaluating performance against those objectives; and
|
•
|
the involvement of the Compensation Committee and FHFA in the compensation process.
|
|
298
|
Freddie Mac
|
|
|
Salary
|
|
Non-Equity Incentive
Plan Compensation
(4)
|
Change in
Pension Value
and Nonqualified
Deferred
Compensation
Earnings
(5)
|
All Other Compensation
(6)
|
|
||||||||||||||||||
Name and Principal Position
|
Year
|
Earned During
Year
(1)
|
Deferred
(2)
|
Bonus
(3)
|
At-Risk
Deferred Salary
|
Target
Opportunity
|
Total
|
||||||||||||||||||
Donald H. Layton
|
2013
|
$
|
600,000
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
23,827
|
|
$
|
623,827
|
|
Chief Executive Officer
|
2012
|
368,750
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
368,750
|
|
||||||||
James G. Mackey
|
2013
|
70,881
|
|
230,303
|
|
510,000
|
|
127,602
|
|
—
|
|
—
|
|
—
|
|
938,786
|
|
||||||||
EVP — Chief Financial Officer
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Ross J. Kari
|
2013
|
675,000
|
|
1,530,000
|
|
—
|
|
907,200
|
|
—
|
|
82,457
|
|
114,362
|
|
3,309,019
|
|
||||||||
Former EVP — Chief Financial Officer
|
2012
|
675,000
|
|
1,530,000
|
|
—
|
|
921,375
|
|
554,167
|
|
156,794
|
|
133,464
|
|
3,970,800
|
|
||||||||
|
2011
|
675,000
|
|
829,167
|
|
—
|
|
721,375
|
|
988,771
|
|
118,428
|
|
55,292
|
|
3,388,033
|
|
||||||||
David B. Lowman
|
2013
|
329,502
|
|
1,048,485
|
|
150,000
|
|
580,926
|
|
—
|
|
—
|
|
—
|
|
2,108,913
|
|
||||||||
EVP — Single-Family Business
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
William H. McDavid
|
2013
|
500,000
|
|
1,320,000
|
|
—
|
|
768,300
|
|
—
|
|
—
|
|
29,713
|
|
2,618,013
|
|
||||||||
EVP — General Counsel and Corporate Secretary
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Jerry Weiss
|
2013
|
495,000
|
|
891,000
|
|
—
|
|
570,240
|
|
—
|
|
26,394
|
|
84,015
|
|
2,066,649
|
|
||||||||
EVP — Chief Administrative Officer
|
2012
|
495,000
|
|
891,000
|
|
—
|
|
579,150
|
|
348,333
|
|
218,711
|
|
94,584
|
|
2,626,778
|
|
||||||||
|
2011
|
450,000
|
|
508,334
|
|
—
|
|
442,249
|
|
618,732
|
|
164,482
|
|
73,735
|
|
2,257,532
|
|
(1)
|
The amounts shown reflect Base Salary under the Executive Compensation Program as described in “Compensation Discussion and Analysis — Executive Management Compensation Program.”
|
(2)
|
The amounts shown for 2013 and 2012 reflect the Fixed Deferred Salary earned under the terms of the Executive Compensation Program. The Fixed Deferred Salary earned during each calendar quarter is paid in cash on the last business day of the corresponding quarter in the following year. The remaining portion of Deferred Salary is reported in “Non-Equity Incentive Plan Compensation” and is referred to as "At-Risk" because it is subject to reduction based upon corporate and individual performance. The amounts shown for 2011 reflect the Fixed Deferred Base Salary earned under the prior executive compensation program in place for that year. The timing of payments for Fixed Deferred Base Salary earned during 2011 is the same as described above under the Executive Compensation Program. As with the amounts reported for 2013 and 2012, a portion of 2011 Deferred Base Salary is reflected in "Non-Equity Incentive Plan Compensation" because it is performance-based.
|
(3)
|
The amounts shown reflect cash sign-on payments made to Messrs. Mackey and Lowman upon their hiring in 2013. See “Compensation Discussion and Analysis — Written Agreements Relating to Our NEOs' Employment" for additional information.
|
(4)
|
The 2013 amounts reflect At-Risk Deferred Salary earned during 2013. At-Risk Deferred Salary earned during each calendar quarter will be paid on the last business day of the corresponding quarter in 2014. See “Compensation Discussion and Analysis — Executive Management Compensation Program — Performance Measures for the Performance-Based Elements of Compensation.”
|
(5)
|
The amounts reported in this column reflect the actuarial increase in the present value of each NEO's accrued benefits under the Pension Plan and the Pension SERP Benefit determined using the time periods and assumptions applied in our consolidated financial statements for the years ended December 31, 2013, 2012, and 2011, respectively.
|
(6)
|
Amounts reflect (i) contributions we made to our tax-qualified Thrift/401(k) Savings Plan; (ii) accruals we made pursuant to the Thrift/401(k) SERP Benefit; and (iii) Perquisites. The amounts for 2013 are as follows:
|
|
299
|
Freddie Mac
|
|
Thrift/401(k)
Savings Plan
Contributions
|
|
Thrift/401(k)
SERP Benefit
Accruals
|
|
Perquisites
|
||||||
Mr. Layton
|
$
|
3,300
|
|
|
$
|
20,527
|
|
|
$
|
—
|
|
Mr. Mackey
|
—
|
|
|
—
|
|
|
—
|
|
|||
Mr. Kari
|
21,550
|
|
|
92,812
|
|
|
—
|
|
|||
Mr. Lowman
|
—
|
|
|
—
|
|
|
—
|
|
|||
Mr. McDavid
|
300
|
|
|
29,413
|
|
|
—
|
|
|||
Mr. Weiss
|
21,700
|
|
|
62,315
|
|
|
—
|
|
|
|
|
|
Estimated Future Payouts Under
Non-Equity Incentive Plan Awards
(1)
|
|||||
Name
|
|
At-Risk Deferred Salary Award
|
|
Threshold
|
|
Target/Maximum
|
|||
Mr. Layton
(2)
|
|
Conservatorship Scorecard
|
|
$ —
|
|
|
$
|
—
|
|
|
|
Complementary Goals/Individual
|
|
—
|
|
|
—
|
|
|
|
|
Total
|
|
—
|
|
|
—
|
|
|
Mr. Mackey
|
|
Conservatorship Scorecard
|
|
—
|
|
|
64,773
|
|
|
|
|
Complementary Goals/Individual
|
|
—
|
|
|
64,772
|
|
|
|
|
Total
|
|
—
|
|
|
129,545
|
|
|
Mr. Kari
|
|
Conservatorship Scorecard
|
|
—
|
|
|
472,500
|
|
|
|
|
Complementary Goals/Individual
|
|
—
|
|
|
472,500
|
|
|
|
|
Total
|
|
—
|
|
|
945,000
|
|
|
Mr. Lowman
|
|
Conservatorship Scorecard
|
|
—
|
|
|
294,887
|
|
|
|
|
Complementary Goals/Individual
|
|
—
|
|
|
294,886
|
|
|
|
|
Total
|
|
—
|
|
|
589,773
|
|
|
Mr. McDavid
|
|
Conservatorship Scorecard
|
|
—
|
|
|
390,000
|
|
|
|
|
Complementary Goals/Individual
|
|
—
|
|
|
390,000
|
|
|
|
|
Total
|
|
—
|
|
|
780,000
|
|
|
Mr. Weiss
|
|
Conservatorship Scorecard
|
|
—
|
|
|
297,000
|
|
|
|
|
Complementary Goals/Individual
|
|
—
|
|
|
297,000
|
|
|
|
|
Total
|
|
—
|
|
|
594,000
|
|
(1)
|
The amounts reported reflect At-Risk Deferred Salary granted in 2013 which is subject to reduction based on (i) corporate performance against the Conservatorship Scorecard; and (ii) an officer's individual performance and the company's performance against the Complementary Corporate Goals. The amount of At-Risk Deferred Salary actually earned can range from 0% of target (reported in the Threshold column) up to a maximum of 100% of target (reported in the Target/Maximum column). Actual At-Risk Deferred Salary amounts earned are reported in the “Non-Equity Incentive Plan Compensation” column of “
Table 80 — Summary Compensation Table — 2013
.”
|
(2)
|
Mr. Layton is not eligible to receive Deferred Salary.
|
|
300
|
Freddie Mac
|
|
|
|
Option Awards
(1)
|
||||||||||||
|
Grant Date
|
|
Number of Securities
Underlying Unexercised Options
|
|
Option Exercise Price
(2)
|
|
Option
Expiration
Date
|
||||||||
Name
|
|
Exercisable
|
|
Unexercisable
|
|
|
|||||||||
Mr. Layton
|
—
|
|
|
—
|
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
Mr. Mackey
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
Mr. Kari
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
Mr. Lowman
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
Mr. McDavid
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
Mr. Weiss
|
8/9/2004
|
|
|
4,970
|
|
|
—
|
|
|
64.36
|
|
|
8/8/2014
|
|
|
|
5/6/2005
|
|
|
5,640
|
|
|
—
|
|
|
62.69
|
|
|
5/5/2015
|
|
|
|
6/5/2006
|
|
|
5,980
|
|
|
—
|
|
|
60.45
|
|
|
6/4/2016
|
|
•
|
Stock options granted on August 9, 2004 vested at a rate of 25% beginning on the first anniversary of the grant date, and 25% on April 1, 2006, April 1, 2007, and April 1, 2008.
|
|||
•
|
Stock options granted on May 6, 2005 and June 5, 2006 vested at a rate of 25% annually beginning on the first anniversary of the grant dates.
|
Name
|
Plan Name
|
|
Number of Years
Credited Service
(1)
|
|
Present value of
Accumulated Benefit
(2)
|
|
Payments During
Last Fiscal Year
|
|||||
Mr. Layton
|
Pension Plan
|
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Pension SERP Benefit
|
|
—
|
|
|
—
|
|
|
—
|
|
||
Mr. Mackey
|
Pension Plan
|
|
—
|
|
|
—
|
|
|
—
|
|
||
|
Pension SERP Benefit
|
|
—
|
|
|
—
|
|
|
—
|
|
||
Mr. Kari
|
Pension Plan
|
|
4.2
|
|
|
92,944
|
|
|
—
|
|
||
|
Pension SERP Benefit
|
|
4.2
|
|
|
334,477
|
|
|
—
|
|
||
Mr. Lowman
|
Pension Plan
|
|
—
|
|
|
—
|
|
|
—
|
|
||
|
Pension SERP Benefit
|
|
—
|
|
|
—
|
|
|
—
|
|
||
Mr. McDavid
|
Pension Plan
|
|
—
|
|
|
—
|
|
|
—
|
|
||
|
Pension SERP Benefit
|
|
—
|
|
|
—
|
|
|
—
|
|
||
Mr. Weiss
|
Pension Plan
|
|
10.2
|
|
|
279,052
|
|
|
—
|
|
||
|
Pension SERP Benefit
|
|
10.2
|
|
|
536,777
|
|
|
—
|
|
|
301
|
Freddie Mac
|
(1)
|
Amounts reported represent the credited years of service for each NEO as of December 31, 2013, under the Pension Plan and the Pension SERP Benefit, respectively.
|
(2)
|
Amounts reported reflect the present value, expressed as a lump sum as of December 31, 2013, of each NEO’s benefits under the Pension Plan and the Pension SERP Benefit, respectively. Amounts reported are calculated assuming a lump sum payment date as of December 31, 2014. Pension Plan and Pension SERP Benefits reflected are fully vested. Messrs. Layton, Mackey, Lowman and McDavid were not eligible to participate in the Pension Plan or Pension SERP Benefit since they were hired after December 31, 2011, when the plans closed to new hires.
|
•
|
1% of the participant’s highest average monthly compensation for the 36-consecutive month period during which the participant’s compensation was the highest;
|
•
|
multiplied by the participant’s full and partial years of credited service through December 31, 2013 under the Pension Plan.
|
|
302
|
Freddie Mac
|
|
303
|
Freddie Mac
|
Name
|
Executive
Contribution in
Last FY ($)
(1)
|
|
Freddie Mac
Accruals in
Last FY ($)
(2)
|
|
Aggregate
Earnings in
Last FY ($)
(3)
|
|
Aggregate
Withdrawals/
Distributions ($)
|
|
Aggregate
Balance at
Last FYE ($)
(4)
|
||||||||||
Mr. Layton
|
|
|
|
|
|
|
|
|
|
||||||||||
Thrift/401(k) SERP Benefit
|
$
|
—
|
|
|
$
|
20,527
|
|
|
$
|
4
|
|
|
$
|
—
|
|
|
$
|
20,531
|
|
Mr. Mackey
|
|
|
|
|
|
|
|
|
|
||||||||||
Thrift/401(k) SERP Benefit
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Mr. Kari
|
|
|
|
|
|
|
|
|
|
||||||||||
Thrift/401(k) SERP Benefit
|
—
|
|
|
92,812
|
|
|
(4,590
|
)
|
|
—
|
|
|
235,094
|
|
|||||
Mr. Lowman
|
|
|
|
|
|
|
|
|
|
||||||||||
Thrift/401(k) SERP Benefit
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Mr. McDavid
|
|
|
|
|
|
|
|
|
|
||||||||||
Thrift/401(k) SERP Benefit
|
—
|
|
|
29,413
|
|
|
5
|
|
|
—
|
|
|
29,418
|
|
|||||
Mr. Weiss
|
|
|
|
|
|
|
|
|
|
||||||||||
Thrift/401(k) SERP Benefit
|
—
|
|
|
62,315
|
|
|
133,495
|
|
|
—
|
|
|
672,437
|
|
(1)
|
The SERP does not allow for employee contributions.
|
(2)
|
Amounts reported reflect accruals under the Thrift/401(k) SERP Benefit during 2013. These amounts are also reported in the “All Other Compensation” column in the Summary Compensation Table.
|
(3)
|
Amounts reported represent the total interest and other earnings credited to each NEO under the Thrift/401(k) SERP Benefit.
|
(4)
|
Amounts reported reflect the accumulated balances under the Thrift/401(k) SERP Benefit for each NEO. Messrs. Mackey and Lowman have not satisfied the one year service requirement for matching and Discretionary Contributions. Messrs. Layton, McDavid and Weiss are fully vested in their account balances. Mr. Kari is only partially vested in his account balance and the difference between his aggregate balance above and his vested balance is equal to the unvested Basic Contribution plus earnings. The vested and unvested components under the Thrift/401(k) SERP Benefit for Mr. Kari are $226,128 and $8,966, respectively. For a more detailed discussion of the matching contribution accruals and Discretionary Contribution accruals, see “
Supplemental Executive Retirement Plan—Thrift/401(k) SERP Benefit”
above.
|
|
304
|
Freddie Mac
|
•
|
Forfeiture Event — All earned but unpaid Fixed and At-Risk Deferred Salary is subject to forfeiture upon the occurrence of a Forfeiture Event, as described above under “—
Recapture and Forfeiture Agreement
.”
|
•
|
Death — All earned but unpaid Fixed and At-Risk Deferred Salary is paid in full as soon as administratively possible, but not later than 90 calendar days after the date of death and any earned but unpaid At-Risk Deferred Salary is not subject to reduction based on corporate and individual performance.
|
•
|
Long-Term Disability — All earned but unpaid Fixed and At-Risk Deferred Salary is paid in full in accordance with the Approved Payment Schedule and any earned but unpaid At-Risk Deferred Salary is not subject to reduction based on corporate and individual performance.
|
•
|
Any Other Reason (including, but not limited to, voluntary termination, retirement, and involuntary termination for any reason other than a Forfeiture Event) — All earned but unpaid Deferred Salary is paid in accordance with the Approved Payment Schedule and earned but unpaid At-Risk Deferred Salary remains subject to the performance assessment and reduction process. Except in the case of retirement, the amount of earned but unpaid Fixed Deferred Salary will be reduced by 2% for each full or partial month by which the NEO’s termination precedes January 31 of the second calendar year following the calendar year in which the Fixed Deferred Salary is earned. No such reduction is applicable if an NEO retires, which is deemed to have occurred upon a voluntary termination of employment after attaining or exceeding 65 years of age, without regard to length of service.
|
|
Death
|
|
Disability
|
|
Retirement
(4)
|
|
All Other Not
For Cause
Terminations
(5)
|
||||||||
James G. Mackey
|
|
|
|
|
|
|
|
||||||||
Deferred Salary:
|
|
|
|
|
|
|
|
||||||||
Fixed
(1)
|
$
|
230,303
|
|
|
$
|
230,303
|
|
|
$
|
—
|
|
|
$
|
170,424
|
|
At Risk-Conservatorship Scorecard
(2)
|
64,773
|
|
|
64,773
|
|
|
—
|
|
|
62,830
|
|
||||
At Risk-Complementary Goals/Individual
(3)
|
64,772
|
|
|
64,772
|
|
|
—
|
|
|
64,772
|
|
||||
Total
|
$
|
359,848
|
|
|
$
|
359,848
|
|
|
$
|
—
|
|
|
$
|
298,026
|
|
David B. Lowman
|
|
|
|
|
|
|
|
||||||||
Deferred Salary:
|
|
|
|
|
|
|
|
||||||||
Fixed
(1)
|
$
|
1,048,485
|
|
|
$
|
1,048,485
|
|
|
$
|
—
|
|
|
$
|
775,879
|
|
At Risk-Conservatorship Scorecard
(2)
|
294,887
|
|
|
294,887
|
|
|
—
|
|
|
286,040
|
|
||||
At Risk-Complementary Goals/Individual
(3)
|
294,886
|
|
|
294,886
|
|
|
—
|
|
|
294,886
|
|
||||
Total
|
$
|
1,638,258
|
|
|
$
|
1,638,258
|
|
|
$
|
—
|
|
|
$
|
1,356,805
|
|
William H. McDavid
|
|
|
|
|
|
|
|
||||||||
Deferred Salary:
|
|
|
|
|
|
|
|
||||||||
Fixed
(1)
|
$
|
1,320,000
|
|
|
$
|
1,320,000
|
|
|
$
|
1,320,000
|
|
|
$
|
—
|
|
At Risk-Conservatorship Scorecard
(2)
|
390,000
|
|
|
390,000
|
|
|
378,300
|
|
|
—
|
|
||||
At Risk-Complementary Goals/Individual
(3)
|
390,000
|
|
|
390,000
|
|
|
390,000
|
|
|
—
|
|
||||
Total
|
$
|
2,100,000
|
|
|
$
|
2,100,000
|
|
|
$
|
2,088,300
|
|
|
$
|
—
|
|
Jerry Weiss
|
|
|
|
|
|
|
|
||||||||
Deferred Salary:
|
|
|
|
|
|
|
|
||||||||
Fixed
(1)
|
$
|
891,000
|
|
|
$
|
891,000
|
|
|
$
|
—
|
|
|
$
|
659,340
|
|
At Risk-Conservatorship Scorecard
(2)
|
297,000
|
|
|
297,000
|
|
|
—
|
|
|
288,090
|
|
||||
At Risk-Complementary Goals/Individual
(3)
|
297,000
|
|
|
297,000
|
|
|
—
|
|
|
282,150
|
|
||||
Total
|
$
|
1,485,000
|
|
|
$
|
1,485,000
|
|
|
$
|
—
|
|
|
$
|
1,229,580
|
|
|
305
|
Freddie Mac
|
(1)
|
In accordance with early termination provisions in the Executive Compensation Program, the amounts disclosed for Deferred Salary: Fixed in the All Other Not For Cause Terminations column have been reduced by 26% to reflect a December 31, 2013 termination scenario.
|
(2)
|
The amounts reported for Deferred Salary: At Risk-Conservatorship Scorecard in the Retirement and All Other Not For Cause Terminations columns reflect the funding level determined by FHFA with respect to performance against the 2013 Conservatorship Scorecard.
|
(3)
|
The amounts reported for Deferred Salary: At Risk-Complementary Goals/Individual in the Retirement and All Other Not For Cause Terminations columns reflect the assessment of 2013 performance approved by the Compensation Committee and FHFA.
|
(4)
|
Mr. McDavid is the only NEO who meets the requirement for retirement eligibility under the 2013 Executive Compensation Program.
|
(5)
|
All Other Not For Cause Terminations refer to voluntary terminations other than for retirement and involuntary terminations other than for cause. No amounts are displayed for Mr. McDavid because he is retirement eligible.
|
•
|
Death.
Stock options remain exercisable until the earlier of the original expiration date or three years after the date of termination in the event of death.
|
•
|
Disability.
Stock options remain exercisable for the full balance of their term in the event of disability.
|
•
|
Retirement.
Stock options remain exercisable for the full balance of their term in the event of retirement.
|
•
|
All Other Terminations.
If the individual’s employment is terminated for any reason other than those described above, the stock options remain exercisable until the earlier of the original expiration date or 90 days following termination.
|
|
306
|
Freddie Mac
|
|
|
||
Board Service
|
|
||
Cash Compensation
|
|
||
Annual Retainer
|
$
|
160,000
|
|
Annual Retainer for Non-Executive Chairman
|
290,000
|
|
|
Committee Service
(Cash)
|
|
||
Annual Retainer for Audit Committee Chair
|
$
|
25,000
|
|
Annual Retainer for Business and Risk Committee Chair
|
15,000
|
|
|
Annual Retainer for Committee Chairs (other than Audit or Business and Risk)
|
10,000
|
|
|
Annual Retainer for Audit Committee Members
|
10,000
|
|
Name
|
Fees Earned or
Paid in Cash
|
|
Change in Pension Value and
Nonqualified Deferred
Compensation Earnings
(2)
|
|
All Other
Compensation
(3)
|
|
Total
|
||||||||
C. Lynch
|
$
|
300,000
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
300,000
|
|
L. Bammann
(1)
|
102,242
|
|
|
—
|
|
|
—
|
|
|
102,242
|
|
||||
C. Byrd
|
185,000
|
|
|
—
|
|
|
20,000
|
|
|
205,000
|
|
||||
R. Hartnack
(1)
|
104,615
|
|
|
—
|
|
|
20,000
|
|
|
124,615
|
|
||||
S. Kohlhagen
(1)
|
147,973
|
|
|
—
|
|
|
20,000
|
|
|
167,973
|
|
||||
S. Mathew
(1)
|
8,587
|
|
|
—
|
|
|
—
|
|
|
8,587
|
|
||||
S. Naqvi
(1)
|
64,348
|
|
|
—
|
|
|
20,000
|
|
|
84,348
|
|
||||
N. Retsinas
|
160,000
|
|
|
—
|
|
|
5,750
|
|
|
165,750
|
|
||||
E. Shanks, Jr.
|
170,000
|
|
|
—
|
|
|
20,000
|
|
|
190,000
|
|
||||
A. Williams
|
180,000
|
|
|
—
|
|
|
—
|
|
|
180,000
|
|
(1)
|
The amount represents partial annual compensation for the period served during 2013. Mr. Kohlhagen joined the Board in February 2013, Mr. Hartnack joined the Board in May 2013, Mr. Naqvi joined the Board in August 2013, and Ms. Mathew joined the Board in December 2013. Ms. Bammann resigned from the Board in July 2013.
|
(2)
|
We do not have any pension or retirement plans for our non-employee directors.
|
(3)
|
In 2013, the Freddie Mac Foundation provided a dollar-for-dollar match to eligible organizations and institutions, up to an aggregate amount of $20,000 per director per calendar year. Matching contributions made to charities designated by the non-employee directors were as follows: Ms. Byrd, $20,000; Mr. Hartnack, $20,000; Mr. Kohlhagen, $20,000; Mr. Naqvi, $20,000; Mr. Retsinas, $5,750; and Mr. Shanks, Jr., $20,000.
|
|
307
|
Freddie Mac
|
Name
|
Position
|
|
Common Stock
Beneficially Owned
Excluding
Stock Options
(1)
|
|
Stock Options
Exercisable
Within 60 Days of
Feb. 25, 2014
|
|
Total Common Stock
Beneficially Owned
|
|||
Carolyn H. Byrd
|
Director
|
|
—
|
|
|
—
|
|
|
—
|
|
Richard C. Hartnack
|
Director
|
|
—
|
|
|
—
|
|
|
—
|
|
Steven W. Kohlhagen
|
Director
|
|
—
|
|
|
—
|
|
|
—
|
|
Christopher S. Lynch
|
Director
|
|
—
|
|
|
—
|
|
|
—
|
|
Sara Mathew
|
Director
|
|
—
|
|
|
—
|
|
|
—
|
|
Saiyid T. Naqvi
|
Director
|
|
—
|
|
|
—
|
|
|
—
|
|
Nicolas P. Retsinas
|
Director
|
|
10,824
(2)
|
|
|
—
|
|
|
10,824
|
|
Eugene B. Shanks, Jr.
|
Director
|
|
—
|
|
|
—
|
|
|
—
|
|
Anthony A. Williams
|
Director
|
|
—
|
|
|
—
|
|
|
—
|
|
Donald H. Layton
|
Chief Executive Officer
|
|
—
|
|
|
—
|
|
|
—
|
|
James G. Mackey
|
EVP — Chief Financial Officer
|
|
—
|
|
|
—
|
|
|
—
|
|
Ross J. Kari
|
Former EVP — Chief Financial Officer
|
|
—
|
|
|
—
|
|
|
—
|
|
David B. Lowman
|
EVP — Single Family Business
|
|
—
|
|
|
—
|
|
|
—
|
|
William H. McDavid
|
EVP — General Counsel & Corp. Sec.
|
|
|
|
|
|
|
|||
Jerry Weiss
|
EVP — Chief Administrative Officer
|
|
—
|
|
|
16,590
|
|
|
16,590
|
|
All directors and executive officers as a group (23 persons)
|
|
102,261
(2)
|
|
|
37,240
|
|
|
139,501
|
|
|
|
|
5% Holder
|
Common Stock Beneficially Owned
|
Percent of Class
|
U.S. Department of the Treasury
1500 Pennsylvania Avenue, NW
Washington, D.C. 20220
|
Variable
(3)
|
79.9%
|
Pershing Square Capital Management, L.P.
888 Seventh Avenue, 42nd Floor
New York, New York 10019
|
Common
|
9.77%
(4)
|
(1)
|
Includes shares of stock beneficially owned as of February 25, 2014.
|
(2)
|
Includes distribution of 6,866 RSUs and 169 dividend equivalents on RSUs, previously deferred with no remaining restrictions.
|
(3)
|
In September 2008, we issued to Treasury a warrant to purchase, for one one-thousandth of a cent ($0.00001) per share, shares of our common stock equal to 79.9% of the total number of shares of our common stock outstanding on a fully diluted basis at the time the warrant is exercised. The warrant may be exercised in whole or in part at any time until September 7, 2028. As of the date of this filing, Treasury has not exercised the warrant. The information above assumes Treasury beneficially owns no other shares of our common stock.
|
(4)
|
The source of this data is the Schedule 13D filed with the SEC by Pershing on November 15, 2013. Pershing's beneficial ownership percentage calculation is based solely on the 650,039,533 shares of our common stock outstanding as reported in our Form 10-Q for the Quarter ended September 30, 2013, and excludes the shares issuable to Treasury pursuant to the warrant. According to the Schedule 13D, Pershing Square Capital Management, L.P., as investment adviser for a number of funds for which it purchased the shares reported in the table above, and PS Management GP, LLC, its general partner, may be deemed to share voting and dispositive power for the shares. Pershing Square GP, LLC, as general partner of two of the funds, may be deemed to share voting and dispositive power for 21,592,526 of the shares held for the account of Pershing Square, L.P. and 451,065 shares of common stock held for the account of Pershing Square II, L.P. As the Chief Executive Officer of Pershing Square Capital Management, L.P. and managing member of each of PS Management GP, LLC and Pershing Square GP, LLC, William A. Ackman may be deemed to share voting and dispositive power for all of the shares reported in the table above.
|
|
308
|
Freddie Mac
|
|
|
|
|
|
|
Plan Category
|
Number of securities to be issued
upon exercise of outstanding options,
warrants and rights
|
|
Weighted average exercise price of
outstanding options,
warrants and rights
|
|
Number of securities remaining
available for future issuance under
equity compensation plans (excluding
securities reflected in column (a))
|
Equity compensation plans approved by stockholders
|
877,936
(1)
|
|
$57.01
(2)
|
|
35,051,033
(3)
|
Equity compensation plans not approved by stockholders
|
None
|
|
N/A
|
|
None
|
(1)
|
Includes 61,501 restricted stock units and shares of restricted stock issued under the Directors’ Plan and the Employee Plans.
|
(2)
|
For the purpose of calculating this amount, the restricted stock units and shares of restricted stock are assigned a value of zero.
|
(3)
|
Includes 27,570,685 shares, 5,845,739 shares, and 1,634,609 shares available for issuance under the 2004 Employee Plan, the ESPP and the Directors’ Plan, respectively. No shares are available for issuance under the 1995 Employee Plan.
|
|
309
|
Freddie Mac
|
•
|
Board Memberships With For-Profit Business Partners.
During 2013 and currently, Ms. Byrd and Messrs. Lynch, Retsinas, and Shanks serve as directors of other companies that engage or have engaged in business with us resulting in payments between us and such companies during the past three fiscal years. After considering the nature and extent of the specific relationship between each of those companies and us, and the fact that these Board members are directors of these other companies rather than employees, the non-employee members of the Board concluded that those business relationships do not constitute material relationships between any of the Directors and us that would impair their independence as our Directors.
|
•
|
Board Memberships With Charitable Organizations To Which We Have Made Contributions.
During 2013, Mr. Retsinas served as a board member of a charitable organization that received monetary contributions from us or the Freddie Mac Foundation. The total annual amount contributed was below the applicable threshold in our Guidelines that would require a specific determination that Mr. Retsinas is independent in spite of the contributions. The non-employee members of the Board considered the contributions and the nature of the organization and concluded that the relationship with the charitable organization did not constitute a material relationship between Mr. Retsinas and us that would impair his independence as our Director.
|
•
|
Financial Relationships with For-Profit Business Partners.
Mr. Hartnack owns stock of US Bancorp. In the aggregate, this stock represents a material portion of his net worth. US Bancorp conducts significant business with Freddie Mac, including as a single-family seller/servicer and as trustee of some of Freddie Mac’s securitization transactions. In order to eliminate any potential conflict of interest that might arise as a result of this stock ownership, Mr. Hartnack has agreed to recuse himself from discussing and acting upon any matters that are to be considered by the full Board or any of the committees of which he is a member, and that relate directly to US Bancorp. The Audit Committee Chairman, in consultation with the Non-Executive Chairman, will address any questions that may arise regarding whether recusal from a particular discussion or action is appropriate.
|
|
310
|
Freddie Mac
|
|
311
|
Freddie Mac
|
|
312
|
Freddie Mac
|
|
2013
|
|
2012
|
||||
Audit Fees
(2)
|
$
|
30,085,013
|
|
|
$
|
30,651,367
|
|
Audit-Related Fees
(3)
|
105,025
|
|
|
76,119
|
|
||
Tax Fees
(4)
|
9,314
|
|
|
109,250
|
|
||
All Other Fees
(5)
|
12,000
|
|
|
—
|
|
||
Total
|
$
|
30,211,352
|
|
|
$
|
30,836,736
|
|
(1)
|
These fees represent amounts billed within the designated year and include reimbursable expenses of $199,956 and $365,016 for 2013 and 2012, respectively.
|
(2)
|
Audit fees include fees and reimbursable expenses billed by PricewaterhouseCoopers LLP in connection with the AU 722 quarterly reviews of our interim financial information and the audit of our annual consolidated financial statements. The audit fees billed during 2013 include fees and reimbursable expenses related to the 2013 ($19,610,667) and 2012 ($10,474,346) audits. In addition to the amounts shown above, approximately $8.3 million of fees and reimbursable expenses will be billed in 2014 for the 2013 audit. The audit fees billed during 2012 include fees and reimbursable expenses related to the 2012 ($19,911,326) and 2011 ($10,740,041) audits. Audit fees of $138,500 and $84,500 in 2013 and 2012, respectively, related to the Freddie Mac Foundation are excluded because these fees are incurred and paid separately by the Freddie Mac Foundation.
|
(3)
|
The 2013 and 2012 audit-related fees include fees billed by PricewaterhouseCoopers LLP for the performance of certain agreed-upon procedures regarding aspects of compliance with the Purchase Agreement covenants ($87,700 and $67,119, respectively), as well as the renewal of our Comperio subscription ($9,000 for each year). The 2013 audit-related fees also include fees billed by PricewaterhouseCoopers LLP for the performance of a compliance evaluation of the minimum servicing standards as set forth in the Uniform Single Attestation Program for Mortgage Bankers and the provision of an attestation report ($8,325).
|
(4)
|
The tax fees billed in 2013 and 2012 related to non-audit tax advisory services to provide assistance with the Internal Revenue Service tax audit matters and ongoing examinations, including information requests and associated responses.
|
(5)
|
All other fees for 2013 resulted from our subscription to a web-based suite of human resources benchmark data provided by PricewaterhouseCoopers LLP ($12,000).
|
|
313
|
Freddie Mac
|
|
314
|
Freddie Mac
|
|
315
|
Freddie Mac
|
Federal Home Loan Mortgage Corporation
|
|
|
|
By:
|
/s/ Donald H. Layton
|
|
Donald H. Layton
|
|
Chief Executive Officer
|
Date: February 27, 2014
|
Signature
|
|
Capacity
|
|
Date
|
||
|
|
|
|
|
|
|
/s/ Christopher S. Lynch*
|
|
Non-Executive Chairman of the Board
|
|
February 27, 2014
|
||
Christopher S. Lynch
|
|
|
|
|
||
|
|
|
|
|
|
|
/s/ Donald H. Layton
|
|
Chief Executive Officer and Director
|
|
February 27, 2014
|
||
Donald H. Layton
|
|
(Principal Executive Officer)
|
|
|
||
|
|
|
|
|
|
|
/s/ James G. Mackey
|
|
Executive Vice President — Chief Financial Officer
|
|
February 27, 2014
|
||
James G. Mackey
|
|
(Principal Financial Officer)
|
|
|
||
|
|
|
|
|
|
|
/s/ Robert D. Mailloux
|
|
Senior Vice President — Corporate Controller and
|
|
February 27, 2014
|
||
Robert D. Mailloux
|
|
Principal Accounting Officer (Principal Accounting Officer)
|
|
|
||
|
|
|
|
|
|
|
/s/ Carolyn H. Byrd*
|
|
Director
|
|
February 27, 2014
|
||
Carolyn H. Byrd
|
|
|
|
|
||
|
|
|
|
|
|
|
/s/ Richard C. Hartnack*
|
|
Director
|
|
February 27, 2014
|
||
Richard C. Hartnack
|
|
|
|
|
||
|
|
|
|
|
|
|
/s/ Steven W. Kohlhagen*
|
|
Director
|
|
February 27, 2014
|
||
Steven W. Kohlhagen
|
|
|
|
|
||
|
|
|
|
|
|
|
/s/ Sara Mathew*
|
|
Director
|
|
February 27, 2014
|
||
Sara Mathew
|
|
|
|
|
||
|
|
|
|
|
|
|
/s/ Saiyid T. Naqvi*
|
|
Director
|
|
February 27, 2014
|
||
Saiyid T. Naqvi
|
|
|
|
|
||
|
|
|
|
|
|
|
/s/ Nicolas P. Retsinas*
|
|
Director
|
|
February 27, 2014
|
||
Nicolas P. Retsinas
|
|
|
|
|
||
|
|
|
|
|
|
|
/s/ Eugene B. Shanks, Jr.*
|
|
Director
|
|
February 27, 2014
|
||
Eugene B. Shanks, Jr.
|
|
|
|
|
||
|
|
|
|
|
|
|
/s/ Anthony A. Williams*
|
|
Director
|
|
February 27, 2014
|
||
Anthony A. Williams
|
|
|
|
|
||
|
|
|
|
|
|
|
*By:
|
|
/s/ William H. McDavid
|
|
|
|
|
|
|
William H. McDavid
|
|
|
|
|
|
|
Attorney-in-Fact
|
|
|
|
|
|
316
|
Freddie Mac
|
|
317
|
Freddie Mac
|
|
318
|
Freddie Mac
|
|
319
|
Freddie Mac
|
|
320
|
Freddie Mac
|
|
321
|
Freddie Mac
|
|
322
|
Freddie Mac
|
|
323
|
Freddie Mac
|
|
324
|
Freddie Mac
|
Exhibit No.
|
|
Description*
|
3.1
|
|
Federal Home Loan Mortgage Corporation Act (12 U.S.C. §1451 et seq.), as amended through July 21, 2010 (incorporated by reference to Exhibit 3.1 to the Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2010, as filed on August 9, 2010)
|
|
|
|
3.2
|
|
Bylaws of the Federal Home Loan Mortgage Corporation, as amended and restated December 20, 2012 (incorporated by reference to Exhibit 3.1 to the Registrant’s Current Report on Form 8-K as filed on December 20, 2012)
|
|
|
|
4.1
|
|
Eighth Amended and Restated Certificate of Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of Voting Common Stock (no par value per share) dated September 10, 2008 (incorporated by reference to Exhibit 4.1 to the Registrant’s Current Report on Form 8-K as filed on September 11, 2008)
|
|
|
|
4.2
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of Variable Rate, Non-Cumulative Preferred Stock (par value $1.00 per share), dated April 23, 1996 (incorporated by reference to Exhibit 4.2 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.3
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of 5.81% Non-Cumulative Preferred Stock (par value $1.00 per share), dated October 27, 1997 (incorporated by reference to Exhibit 4.3 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.4
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of 5% Non-Cumulative Preferred Stock (par value $1.00 per share), dated March 23, 1998 (incorporated by reference to Exhibit 4.4 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.5
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of 5.1% Non-Cumulative Preferred Stock (par value $1.00 per share), dated September 23, 1998 (incorporated by reference to Exhibit 4.5 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.6
|
|
Amended and Restated Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of Variable Rate, Non-Cumulative Preferred Stock (par value $1.00 per share), dated September 29, 1998 (incorporated by reference to Exhibit 4.6 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.7
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of 5.3% Non-Cumulative Preferred Stock (par value $1.00 per share), dated October 28, 1998 (incorporated by reference to Exhibit 4.7 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.8
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of 5.1% Non-Cumulative Preferred Stock (par value $1.00 per share), dated March 19, 1999 (incorporated by reference to Exhibit 4.8 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.9
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of 5.79% Non-Cumulative Preferred Stock (par value $1.00 per share), dated July 21, 1999 (incorporated by reference to Exhibit 4.9 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.10
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of Variable Rate, Non-Cumulative Preferred Stock (par value $1.00 per share), dated November 5, 1999 (incorporated by reference to Exhibit 4.10 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.11
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of Variable Rate, Non-Cumulative Preferred Stock (par value $1.00 per share), dated January 26, 2001 (incorporated by reference to Exhibit 4.11 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.12
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of Variable Rate, Non-Cumulative Preferred Stock (par value $1.00 per share), dated March 23, 2001 (incorporated by reference to Exhibit 4.12 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.13
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of 5.81% Non-Cumulative Preferred Stock (par value $1.00 per share), dated March 23, 2001 (incorporated by reference to Exhibit 4.13 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.14
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of Variable Rate, Non-Cumulative Preferred Stock (par value $1.00 per share), dated May 30, 2001 (incorporated by reference to Exhibit 4.14 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
E-1
|
Freddie Mac
|
Exhibit No.
|
|
Description*
|
4.15
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of 6% Non-Cumulative Preferred Stock (par value $1.00 per share), dated May 30, 2001 (incorporated by reference to Exhibit 4.15 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.16
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of 5.7% Non-Cumulative Preferred Stock (par value $1.00 per share), dated October 30, 2001 (incorporated by reference to Exhibit 4.16 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.17
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of 5.81% Non-Cumulative Preferred Stock (par value $1.00 per share), dated January 29, 2002 (incorporated by reference to Exhibit 4.17 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.18
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of Variable Rate, Non-Cumulative Perpetual Preferred Stock (par value $1.00 per share), dated July 17, 2006 (incorporated by reference to Exhibit 4.18 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.19
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of 6.42% Non-Cumulative Perpetual Preferred Stock (par value $1.00 per share), dated July 17, 2006 (incorporated by reference to Exhibit 4.19 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.20
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of 5.9% Non-Cumulative Perpetual Preferred Stock (par value $1.00 per share), dated October 16, 2006 (incorporated by reference to Exhibit 4.20 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.21
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of 5.57% Non-Cumulative Perpetual Preferred Stock (par value $1.00 per share), dated January 16, 2007 (incorporated by reference to Exhibit 4.21 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.22
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of 5.66% Non-Cumulative Perpetual Preferred Stock (par value $1.00 per share), dated April 16, 2007 (incorporated by reference to Exhibit 4.22 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.23
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of 6.02% Non-Cumulative Perpetual Preferred Stock (par value $1.00 per share), dated July 24, 2007 (incorporated by reference to Exhibit 4.23 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.24
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of 6.55% Non-Cumulative Perpetual Preferred Stock (par value $1.00 per share), dated September 28, 2007 (incorporated by reference to Exhibit 4.24 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.25
|
|
Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of Fixed-to-Floating Rate Non-Cumulative Perpetual Preferred Stock (par value $1.00 per share), dated December 4, 2007 (incorporated by reference to Exhibit 4.25 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
4.26
|
|
Amended and Restated Certificate of Creation, Designation, Powers, Preferences, Rights, Privileges, Qualifications, Limitations, Restrictions, Terms and Conditions of Variable Liquidation Preference Senior Preferred Stock (par value $1.00 per share), dated September 27, 2012 (incorporated by reference to Exhibit 4.26 to the Registrant’s Annual Report on Form 10-K as filed on February 28, 2013)
|
|
|
|
4.27
|
|
Federal Home Loan Mortgage Corporation Global Debt Facility Agreement, dated March 1, 2013 (incorporated by reference to Exhibit 4.1 to the Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2013, as filed on May 8, 2013)
|
|
|
|
10.1
|
|
Federal Home Loan Mortgage Corporation 2004 Stock Compensation Plan (as amended and restated as of June 6, 2008) (incorporated by reference to Exhibit 10.1 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)†
|
|
|
|
10.2
|
|
First Amendment to the Federal Home Loan Mortgage Corporation 2004 Stock Compensation Plan (incorporated by reference to Exhibit 10.2 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)†
|
|
|
|
10.3
|
|
Second Amendment to the Federal Home Loan Mortgage Corporation 2004 Stock Compensation Plan (incorporated by reference to Exhibit 10.4 to the Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2009, as filed on August 7, 2009)†
|
|
|
|
10.4
|
|
Form of Nonqualified Stock Option Agreement for executive officers under the Federal Home Loan Mortgage Corporation 2004 Stock Compensation Plan for awards on and after March 4, 2005 but prior to January 1, 2006 (incorporated by reference to Exhibit 10.3 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)†
|
|
E-2
|
Freddie Mac
|
Exhibit No.
|
|
Description*
|
10.5
|
|
Form of Nonqualified Stock Option Agreement for executive officers under the Federal Home Loan Mortgage Corporation 2004 Stock Compensation Plan for awards on and after January 1, 2006 (incorporated by reference to Exhibit 10.4 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)†
|
|
|
|
10.6
|
|
Federal Home Loan Mortgage Corporation Global Amendment to Affected Stock Options under Nonqualified Stock Option Agreements and Separate Dividend Equivalent Rights, effective December 31, 2005 (incorporated by reference to Exhibit 10.9 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)†
|
|
|
|
10.7
|
|
Federal Home Loan Mortgage Corporation 1995 Stock Compensation Plan (incorporated by reference to Exhibit 10.10 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)†
|
|
|
|
10.8
|
|
First Amendment to the Federal Home Loan Mortgage Corporation 1995 Stock Compensation Plan (incorporated by reference to Exhibit 10.11 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)†
|
|
|
|
10.9
|
|
Second Amendment to the Federal Home Loan Mortgage Corporation 1995 Stock Compensation Plan (incorporated by reference to Exhibit 10.12 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)†
|
|
|
|
10.10
|
|
Third Amendment to the Federal Home Loan Mortgage Corporation 1995 Stock Compensation Plan (incorporated by reference to Exhibit 10.13 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)†
|
|
|
|
10.11
|
|
Form of Nonqualified Stock Option Agreement for executive officers under the Federal Home Loan Mortgage Corporation 1995 Stock Compensation Plan (incorporated by reference to Exhibit 10.14 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)†
|
|
|
|
10.12
|
|
Federal Home Loan Mortgage Corporation Employee Stock Purchase Plan (as amended and restated as of January 1, 2005) (incorporated by reference to Exhibit 10.16 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)†
|
|
|
|
10.13
|
|
Federal Home Loan Mortgage Corporation 1995 Directors’ Stock Compensation Plan (as amended and restated June 8, 2007) (incorporated by reference to Exhibit 10.17 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)†
|
|
|
|
10.14
|
|
Federal Home Loan Mortgage Corporation Directors’ Deferred Compensation Plan (as amended and restated April 3, 1998) (incorporated by reference to Exhibit 10.25 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)†
|
|
|
|
10.15
|
|
First Amendment to the Federal Home Loan Mortgage Corporation Directors’ Deferred Compensation Plan (as amended and restated April 3, 1998) (incorporated by reference to Exhibit 10.27 to the Registrant’s Annual Report on Form 10-K for the fiscal year ended December 31, 2008, as filed on March 11, 2009)†
|
|
|
|
10.16
|
|
Federal Home Loan Mortgage Corporation Executive Deferred Compensation Plan (as amended and restated effective January 1, 2008) (incorporated by reference to Exhibit 10.28 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)†
|
|
|
|
10.17
|
|
First Amendment to the Federal Home Loan Mortgage Corporation Executive Deferred Compensation Plan (as amended and restated effective January 1, 2008) (incorporated by reference to Exhibit 10.6 to the Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2008, as filed on November 14, 2008)†
|
|
|
|
10.18
|
|
Federal Home Loan Mortgage Corporation Supplemental Executive Retirement Plan (as amended and restated effective January 1, 2008) (incorporated by reference to Exhibit 10.33 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)†
|
|
|
|
10.19
|
|
First Amendment to the Federal Home Loan Mortgage Corporation Supplemental Executive Retirement Plan (As Amended and Restated January 1, 2008) (incorporated by reference to Exhibit 10.38 to the Registrant’s Annual Report on Form 10-K for the fiscal year ended December 31, 2009, as filed on February 24, 2010)†
|
|
|
|
10.20
|
|
Second Amendment to the Federal Home Loan Mortgage Corporation Supplemental Executive Retirement Plan (as Amended and Restated January 1, 2008) (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K as filed on June 28, 2011)†
|
|
|
|
10.21
|
|
Third Amendment to the Federal Home Loan Mortgage Corporation Supplemental Executive Retirement Plan (as Amended and Restated January 1, 2008) (incorporated by reference to Exhibit 10.1 to the Registrant’s Quarterly Report on Form 10-Q as filed on November 6, 2012)†
|
|
|
|
10.22
|
|
Fourth Amendment to the Federal Home Loan Mortgage Corporation Supplemental Executive Retirement Plan (As Amended and Restated January 1, 2008) (incorporated by reference to Exhibit 10.1 to the Registrant’s Quarterly Report on Form 10-Q as filed on August 7, 2013) †
|
|
|
|
|
E-3
|
Freddie Mac
|
Exhibit No.
|
|
Description*
|
10.23
|
|
Fifth Amendment to the Federal Home Loan Mortgage Corporation Supplemental Executive Retirement Plan (as Amended and Restated January 1, 2008) (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K, as filed on October 25, 2013) †
|
|
|
|
10.24
|
|
Federal Home Loan Mortgage Corporation Long-Term Disability Plan (incorporated by reference to Exhibit 10.34 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)†
|
|
|
|
10.25
|
|
First Amendment to the Federal Home Loan Mortgage Corporation Long-Term Disability Plan (incorporated by reference to Exhibit 10.35 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)†
|
|
|
|
10.26
|
|
Second Amendment to the Federal Home Loan Mortgage Corporation Long-Term Disability Plan (incorporated by reference to Exhibit 10.36 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)†
|
|
|
|
10.27
|
|
Executive Management Compensation Program (as amended and restated as of June 2, 2011) (incorporated by reference to Exhibit 10.4 to the Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2011, as filed on August 8, 2011)†
|
|
|
|
10.28
|
|
Federal Home Loan Mortgage Corporation Mandatory Executive Deferred Base Salary Plan, Effective as of January 1, 2009 (incorporated by reference to Exhibit 10.45 to the Registrant’s Annual Report on Form 10-K for the fiscal year ended December 31, 2009, as filed on February 24, 2010)†
|
|
|
|
10.29
|
|
First Amendment To The Federal Home Loan Mortgage Corporation Mandatory Executive Deferred Base Salary Plan (As Effective January 1, 2009) (incorporated by reference to Exhibit 10.5 to the Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2011, as filed on August 8, 2011)†
|
|
|
|
10.30
|
|
Second Amendment To The Federal Home Loan Mortgage Corporation Mandatory Executive Deferred Base Salary Plan (As Effective January 1, 2009) (incorporated by reference to Exhibit 10.4 to the Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2012, as filed on August 7, 2012)†
|
|
|
|
10.31
|
|
Executive Management Compensation Recapture Policy (incorporated by reference to Exhibit 10.4 to the Registrant’s Current Report on Form 8-K, as filed on December 24, 2009)†
|
|
|
|
10.32
|
|
2012 Executive Management Compensation Program Recapture and Forfeiture Agreement (incorporated by reference to Exhibit 10.3 to the Registrant’s Quarterly Report on Form 10-Q as filed on November 6, 2012)†
|
|
|
|
10.33
|
|
2013 Executive Management Compensation Program for Virginia-Based Covered Officers (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K as filed on June 12, 2013) †
|
|
|
|
10.34
|
|
2013 Executive Management Compensation Program for Non-Virginia-Based Covered Officers (incorporated by reference to Exhibit 10.2 to the Registrant’s Current Report on Form 8-K as filed on June 12, 2013) †
|
|
|
|
10.35
|
|
2013 Executive Management Compensation Program Recapture and Forfeiture Agreement (incorporated by reference to Exhibit 10.3 to the Registrant’s Current Report on Form 8-K as filed on June 12, 2013) †
|
|
|
|
10.36
|
|
2014 Executive Management Compensation Program for Virginia-Based Covered Officers (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K as filed on December 10, 2013) †
|
|
|
|
10.37
|
|
2014 Executive Management Compensation Program for Non-Virginia-Based Covered Officers (incorporated by reference to Exhibit 10.2 to the Registrant’s Current Report on Form 8-K as filed on December 10, 2013) †
|
|
|
|
10.38
|
|
Memorandum Agreement, dated May 7, 2012, between Freddie Mac and Donald H. Layton (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K as filed on May 10, 2012)†
|
|
|
|
10.39
|
|
Restrictive Covenant and Confidentiality Agreement, dated May 7, 2012, between Freddie Mac and Donald H. Layton (incorporated by reference to Exhibit 10.2 to the Registrant’s Current Report on Form 8-K as filed on May 10, 2012)†
|
|
|
|
10.40
|
|
Memorandum Agreement, dated September 24, 2013, between Freddie Mac and James Mackey (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K, as filed on September 30, 2013) †
|
|
|
|
10.41
|
|
Restrictive Covenant and Confidentiality Agreement, dated September 25, 2013, between Freddie Mac and James Mackey (incorporated by reference to Exhibit 10.2 to the Registrant’s Current Report on Form 8-K, as filed on September 30, 2013) †
|
|
|
|
10.42
|
|
Memorandum Agreement, dated September 24, 2009, between Freddie Mac and Ross J. Kari (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K, as filed on September 24, 2009)†
|
|
E-4
|
Freddie Mac
|
Exhibit No.
|
|
Description*
|
10.43
|
|
Recapture Agreement, dated September 24, 2009, between Freddie Mac and Ross J. Kari (incorporated by reference to Exhibit 10.2 to the Registrant’s Current Report on Form 8-K, as filed on September 24, 2009)†
|
|
|
|
10.44
|
|
Restrictive Covenant and Confidentiality Agreement, dated September 24, 2009, between Freddie Mac and Ross J. Kari (incorporated by reference to Exhibit 10.9 to the Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2009, as filed on November 6, 2009)†
|
|
|
|
10.45
|
|
Restrictive Covenant and Confidentiality Agreement, dated October 15, 2004, between Freddie Mac and Jerry Weiss (incorporated by reference to Exhibit 10.49 to the Registrant’s Annual Report on Form 10-K for the year ended December 31, 2011, as filed on March 9, 2012)†
|
|
|
|
10.46
|
|
Memorandum Agreement, dated July 3, 2012, between Freddie Mac and William H. McDavid (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K, as filed on July 9, 2012)†
|
|
|
|
10.47
|
|
Restrictive Covenant and Confidentiality Agreement, dated July 6, 2012, between Freddie Mac and William H. McDavid (incorporated by reference to Exhibit 10.2 to the Registrant’s Current Report on Form 8-K, as filed on July 9, 2012)†
|
|
|
|
10.48
|
|
Memorandum Agreement, dated April 7, 2013, between Freddie Mac and David B. Lowman†
|
|
|
|
10.49
|
|
Restrictive Covenant and Confidentiality Agreement, dated April 9, 2013, between Freddie Mac and David B. Lowman†
|
|
|
|
10.50
|
|
Description of non-employee director compensation (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K as filed on December 23, 2008)†
|
|
|
|
10.51
|
|
PC Master Trust Agreement dated October 24, 2013 (incorporated by reference to Exhibit 10.3 to the Registrant’s Quarterly Report on Form 10-Q as filed on November 7, 2013)
|
|
|
|
10.52
|
|
Form of Indemnification Agreement between the Federal Home Loan Mortgage Corporation and executive officers (for agreements with officers entered into prior to August 2011) and outside Directors (incorporated by reference to Exhibit 10.2 to the Registrant’s Current Report on Form 8-K as filed on December 23, 2008)†
|
|
|
|
10.53
|
|
Form of Indemnification Agreement between the Federal Home Loan Mortgage Corporation and executive officers (for agreements with officers entered into beginning in August 2011) (incorporated by reference to Exhibit 10.54 to the Registrant’s Annual Report on Form 10-K for the year ended December 31, 2011, as filed on March 9, 2012)†
|
|
|
|
10.54
|
|
Consent of Defendant Federal Home Loan Mortgage Corporation with the Securities and Exchange Commission, dated September 18, 2007 (incorporated by reference to Exhibit 10.65 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
10.55
|
|
Letters, dated September 1, 2005, setting forth an agreement between Freddie Mac and FHFA (incorporated by reference to Exhibit 10.67 to the Registrant’s Registration Statement on Form 10 as filed on July 18, 2008)
|
|
|
|
10.56
|
|
Amended and Restated Senior Preferred Stock Purchase Agreement dated as of September 26, 2008, between the United States Department of the Treasury and Federal Home Loan Mortgage Corporation, acting through the Federal Housing Finance Agency as its duly appointed Conservator (incorporated by reference to Exhibit 10.1 to the Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2008, as filed on November 14, 2008)
|
|
|
|
10.57
|
|
Amendment to Amended and Restated Senior Preferred Stock Purchase Agreement, dated as of May 6, 2009, between the United States Department of the Treasury and Federal Home Loan Mortgage Corporation, acting through the Federal Housing Finance Agency as its duly appointed Conservator (incorporated by reference to Exhibit 10.6 to the Registrant’s Quarterly Report on Form 10-Q for the period ended March 31, 2009, as filed on May 12, 2009)
|
|
|
|
10.58
|
|
Second Amendment dated as of December 24, 2009, to the Amended and Restated Senior Preferred Stock Purchase Agreement dated as of September 26, 2008, between the United States Department of the Treasury and Federal Home Loan Mortgage Corporation, acting through the Federal Housing Finance Agency as its duly appointed Conservator (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K, as filed on December 29, 2009)
|
|
|
|
10.59
|
|
Third Amendment dated as of August 17, 2012, to the Amended and Restated Senior Preferred Stock Purchase Agreement dated as of September 26, 2008, between the United States Department of the Treasury and Federal Home Loan Mortgage Corporation, acting through the Federal Housing Finance Agency as its duly appointed Conservator (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K, as filed on August 17, 2012)
|
|
|
|
10.60
|
|
Warrant to Purchase Common Stock, dated September 7, 2008 (incorporated by reference to Exhibit 10.2 to the Registrant’s Current Report on Form 8-K as filed on September 11, 2008)
|
|
|
|
|
E-5
|
Freddie Mac
|
Exhibit No.
|
|
Description*
|
10.61
|
|
Memorandum of Understanding Among the Department of Treasury, the Federal Housing Finance Agency, the Federal National Mortgage Association, and the Federal Home Loan Mortgage Corporation, dated October 19, 2009 (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K, as filed on October 23, 2009)
|
|
|
|
10.62
|
|
Omnibus Consent to HFA Initiative Program Modifications, dated November 23, 2011, among the U.S. Department of the Treasury, the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and the Federal Housing Finance Agency (incorporated by reference to Exhibit 10.62 to the Registrant’s Annual Report on Form 10-K for the year ended December 31, 2011, as filed on March 9, 2012)
|
|
|
|
12.1
|
|
Statement re: computation of ratio of earnings to fixed charges and computation of ratio of earnings to combined fixed charges and preferred stock dividends
|
|
|
|
24.1
|
|
Powers of Attorney
|
|
|
|
31.1
|
|
Certification of Chief Executive Officer pursuant to Securities Exchange Act Rule 13a-14(a)
|
|
|
|
31.2
|
|
Certification of Executive Vice President —Chief Financial Officer pursuant to Securities Exchange Act Rule 13a-14(a)
|
|
|
|
32.1
|
|
Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350
|
|
|
|
32.2
|
|
Certification of Executive Vice President —Chief Financial Officer pursuant to 18 U.S.C. Section 1350
|
101.INS
|
|
XBRL Instance Document
|
|
|
|
101.SCH
|
|
XBRL Taxonomy Extension Schema
|
|
|
|
101.CAL
|
|
XBRL Taxonomy Extension Calculation
|
|
|
|
101.LAB
|
|
XBRL Taxonomy Extension Labels
|
|
|
|
101.PRE
|
|
XBRL Taxonomy Extension Presentation
|
|
|
|
101.DEF
|
|
XBRL Taxonomy Extension Definition
|
*
|
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.
|
†
|
This exhibit is a management contract or compensatory plan or arrangement.
|
|
E-6
|
Freddie Mac
|
Date
|
To
|
April 7, 2013
|
David B. Lowman
|
|
|
From
|
|
Donald H. Layton
|
|
|
|
Subject
|
Your Compensation as Executive Vice President – Single-Family Business
|
|
I.
|
Compensation
|
•
|
At-Risk Deferred Salary – This portion of your Deferred Salary is equal to thirty percent (30%) of your Target TDC, or $900,000, up to half of which may be reduced based on the company’s performance against objectives established by FHFA and up to half of which may be reduced based on performance against objectives established by Freddie Mac and your individual performance.
|
•
|
Fixed Deferred Salary – This portion of your Deferred Salary is equal to your Target TDC less your Base Salary and At-Risk Deferred Salary, and is equal to $1,600,000.
|
•
|
You voluntarily resign employment; or,
|
•
|
We terminate your employment due to the occurrence of any of the Forfeiture Events described in the Recapture and Forfeiture Agreement that you will be required to sign in order to participate in the 2013 EMCP.
|
II.
|
Benefits
|
•
|
Healthcare Coverage– We offer a competitive healthcare program that provides medical, dental and vision coverage for you and your eligible dependents with several options to choose from.
|
•
|
Income Protection – We provide short- and long-term disability income protection, life insurance, accidental death and personal loss insurance, and business travel accident insurance.
|
•
|
Vacation - As an officer, you will accrue 20 days of vacation annually. This equates to 6.46 hours each semi-monthly pay period. You begin accruing vacation starting with your first full pay period. Beginning in your second calendar year of employment you have the option to purchase up to five (5) additional days of vacation.
|
•
|
Thrift/401(k) Savings Plan – You will be able to contribute to our Thrift/401(k) Savings Plan on a pre-tax and/or after-tax basis. Freddie Mac will begin matching a portion of your contributions after one year of service at up to six percent of pay. This plan also includes an annual company discretionary contribution that is based on company performance. This contribution, which is in addition to the matching contribution, is determined using a defined formula and is subject to a three-year vesting schedule.
|
•
|
Supplemental Executive Retirement Plan (SERP) – The SERP is an unfunded nonqualified plan for officers intended to make up for employer-provided contributions under the Thrift/401(k) Savings Plan that are capped due to Internal Revenue Code limitations.
|
III.
|
Personal Securities investments
|
IV.
|
Restrictive Covenant and Confidentiality Agreement
|
V.
|
FHFA’s Review and Approval Authority
|
VI.
|
Reservations of Rights:
|
|
Year Ended December 31,
|
||||||||||||||||||
|
2013
|
|
2012
|
|
2011
|
|
2010
|
|
2009
|
||||||||||
|
(dollars in millions)
|
||||||||||||||||||
Net income (loss) before income tax benefit (expense) and cumulative effect of changes in accounting principles
|
$
|
25,363
|
|
|
$
|
9,445
|
|
|
$
|
(5,666
|
)
|
|
$
|
(14,882
|
)
|
|
$
|
(22,384
|
)
|
Add:
|
|
|
|
|
|
|
|
|
|
||||||||||
Low-income housing tax credit partnerships
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,155
|
|
|||||
Total interest expense
|
55,779
|
|
|
66,502
|
|
|
79,988
|
|
|
92,131
|
|
|
22,150
|
|
|||||
Interest factor in rental expenses
|
4
|
|
|
4
|
|
|
4
|
|
|
5
|
|
|
7
|
|
|||||
Earnings (loss), as adjusted
|
$
|
81,146
|
|
|
$
|
75,951
|
|
|
$
|
74,326
|
|
|
$
|
77,254
|
|
|
$
|
3,928
|
|
Fixed charges:
|
|
|
|
|
|
|
|
|
|
||||||||||
Total interest expense
|
$
|
55,779
|
|
|
$
|
66,502
|
|
|
$
|
79,988
|
|
|
$
|
92,131
|
|
|
$
|
22,150
|
|
Interest factor in rental expenses
|
4
|
|
|
4
|
|
|
4
|
|
|
5
|
|
|
7
|
|
|||||
Total fixed charges
|
$
|
55,783
|
|
|
$
|
66,506
|
|
|
$
|
79,992
|
|
|
$
|
92,136
|
|
|
$
|
22,157
|
|
Senior preferred stock and preferred stock dividends
(1)
|
52,199
|
|
|
7,229
|
|
|
6,498
|
|
|
5,749
|
|
|
4,105
|
|
|||||
Total fixed charges including preferred stock dividends
|
$
|
107,982
|
|
|
$
|
73,735
|
|
|
$
|
86,490
|
|
|
$
|
97,885
|
|
|
$
|
26,262
|
|
Ratio of earnings to fixed charges
(2)
|
1.45
|
|
|
1.14
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Ratio of earnings to combined fixed charges and preferred stock dividends
(3)
|
—
|
|
|
1.03
|
|
|
—
|
|
|
—
|
|
|
—
|
|
(1)
|
Senior preferred stock and preferred stock dividends represent pre-tax earnings required to cover any senior preferred stock and preferred stock dividend requirements computed using our effective tax rate, whenever there is an income tax provision, for the relevant periods.
|
(2)
|
Ratio of earnings to fixed charges is computed by dividing earnings (loss), as adjusted by total fixed charges. For the ratio to equal 1.00, earnings (loss), as adjusted must increase by $5.7 billion, $14.9 billion, and $18.2 billion for the years ended December 31, 2011, 2010, and 2009, respectively.
|
(3)
|
Ratio of earnings to combined fixed charges and preferred stock dividends is computed by dividing earnings (loss), as adjusted by total fixed charges including preferred stock dividends. For the ratio to equal 1.00, earnings (loss), as adjusted must increase by $26.8 billion, $12.2 billion, $20.6 billion, and $22.3 billion for the years ended December 31, 2013, 2011, 2010, and 2009, respectively.
|
1.
|
I have reviewed this Annual Report on Form 10-K for the year ended December 31, 2013 of the Federal Home Loan Mortgage Corporation;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
|
a.
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
|
b.
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
c.
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
|
d.
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
|
a.
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
|
b.
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
|
|
/s/ Donald H. Layton
|
|
|
Donald H. Layton
|
|
|
Chief Executive Officer
|
1.
|
I have reviewed this Annual Report on Form 10-K for the year ended December 31, 2013 of the Federal Home Loan Mortgage Corporation;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
|
a.
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
|
b.
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
c.
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
|
d.
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
|
a.
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
|
b.
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
|
|
/s/ James G. Mackey
|
|
|
James G. Mackey
|
|
|
Executive Vice President — Chief Financial Officer
|
1.
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
2.
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
|
|
/s/ Donald H. Layton
|
|
|
Donald H. Layton
|
|
|
Chief Executive Officer
|
1.
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
2.
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
|
|
/s/ James G. Mackey
|
|
|
James G. Mackey
|
|
|
Executive Vice President — Chief Financial Officer
|