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 2014
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4
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Affordable Housing Goals and Results for 2013 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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Loan Loss Reserves Activity
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12
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Single-Family Impaired Loans with Specific Reserve Recorded
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13
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TDRs and Non-Accrual Mortgage Loans
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14
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Credit Loss Performance
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15
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Severity Ratios for Single-Family Loans
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16
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Single-Family Charge-offs and Recoveries by Region
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17
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Derivative Gains (Losses)
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18
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Other Income (Loss)
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19
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Non-Interest Expense
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20
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REO Operations (Income) Expense
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21
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Composition of Segment Mortgage Portfolios and Credit Risk Portfolios
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22
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Segment Earnings and Key Metrics — Single-Family Guarantee
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23
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Segment Earnings and Key Metrics — Investments
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24
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Segment Earnings and Key Metrics — Multifamily
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25
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Investments in Available-For-Sale Securities
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26
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Investments in Trading Securities
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27
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Characteristics of Mortgage-Related Securities on Our Consolidated Balance Sheets
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28
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Additional Characteristics of Mortgage-Related Securities on Our Consolidated Balance Sheets
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29
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Mortgage-Related Securities Purchase Activity
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30
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Non-Agency Mortgage-Related Securities Backed by Subprime, Option ARM, and Alt-A Loans and Certain Related Credit Statistics
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31
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Non-Agency Mortgage-Related Securities Backed by Subprime, Option ARM, Alt-A and Other Loans
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32
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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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33
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Mortgage Loan Purchases and Other Guarantee Commitment Issuances
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34
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REO Activity by Region
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35
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Reconciliation of the Par Value and UPB to Total Debt, Net
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36
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Other Short-Term Debt
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37
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Freddie Mac Mortgage-Related Securities
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38
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Issuances and Extinguishments of Debt Securities of Consolidated Trusts
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39
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Changes in Total Equity
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40
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Characteristics of Purchases for the Single-Family Credit Guarantee Portfolio
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41
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Risk Transfer Transactions
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42
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Characteristics of the Single-Family Credit Guarantee Portfolio
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43
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Single-Family Credit Guarantee Portfolio Data by Year of Origination
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44
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Single-Family Serious Delinquency Statistics
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45
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Certain Higher-Risk Categories in the Single-Family Credit Guarantee Portfolio
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ii
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Freddie Mac
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46
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Single-Family Loans with Scheduled Payment Changes by Year at December 31, 2014
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47
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Credit Concentrations in the Single-Family Credit Guarantee Portfolio
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48
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Single-Family Credit Guarantee Portfolio by Attribute Combinations
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49
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Single-Family Relief Refinance Loans
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50
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Single-Family Loan Workout, Serious Delinquency, and Foreclosure Volumes
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51
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Quarterly Percentages of Modified Single-Family Loans — Current or Paid Off
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52
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Foreclosure Timelines for Single-Family Loans
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53
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Single-Family REO Property Status
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54
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Multifamily Mortgage Portfolio — by Attribute
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55
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Mortgage Insurance by Counterparty
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56
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Bond Insurance by Counterparty
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57
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Derivative Counterparty Credit Exposure
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58
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Activity in Other Debt
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59
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Freddie Mac Credit Ratings
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60
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Contractual Obligations by Year at December 31, 2014
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61
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PMVS and Duration Gap Results
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62
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Derivative Impact on PMVS-L (50 bps)
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63
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2015 Target TDC
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64
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Board of Directors Committee Membership
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65
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2014 Target TDC
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66
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Achievement of Conservatorship Scorecard Performance Measures
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67
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Achievement of Corporate Scorecard Goals
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68
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2014 Deferred Salary
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69
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Summary Compensation Table — 2014
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70
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Grants of Plan-Based Awards — 2014
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71
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Outstanding Equity Awards at Fiscal Year-End — 2014
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72
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Pension Benefits — 2014
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73
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Nonqualified Deferred Compensation
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74
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Potential Payments Upon Termination of Employment or Change-in-Control as of December 31, 2014
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75
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Board Compensation — 2014 Non-Employee Director Compensation Levels
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76
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2014 Director Compensation
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77
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Stock Ownership by Directors, Executive Officers, and Greater-Than-5% Holders
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78
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Equity Compensation Plan Information
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79
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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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to support U.S. homeowners and renters by maintaining mortgage availability even when other sources of financing are scarce and by providing struggling homeowners with alternatives that allow them to stay in their homes or avoid foreclosure;
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to reduce taxpayer exposure to losses by increasing the role of private capital in the mortgage market and reducing our overall risk profile;
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to build a commercially strong and efficient business enterprise to succeed in a to-be-determined “future state;” and
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to support and improve the secondary mortgage market.
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2
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Freddie Mac
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(1)
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Excludes modification, repayment, and forbearance activities that have not been made effective, such as loans in modification trial periods. As of
December 31, 2014
, approximately 24,000 borrowers were in modification trial periods. These categories are not mutually exclusive and a loan in one category may also be included in another category in the same period.
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We participated with FHFA and Fannie Mae in open forum meetings in certain cities to inform community leaders about HARP eligibility criteria and benefits.
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We worked with FHFA and Fannie Mae to develop neighborhood stabilization plans in certain cities. These plans involve short sales and REO sales, including expanded auctions of properties. In these areas we also expanded: (a) our efforts with locally-based private entities to facilitate REO dispositions; and (b) our first look opportunities, which provide an initial period for REO properties to be purchased by owner occupants and non-profits dedicated to neighborhood stabilization before we consider offers from investors.
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We continued to work with FHFA and Fannie Mae to assess or pilot new strategies for loss mitigation, including implementing a new temporary modification initiative targeted to assist troubled borrowers in certain cities.
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managing the performance of our servicers through our contracts with them;
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3
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Freddie Mac
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transferring to private investors part of the credit risk of our New single-family book and our Multifamily mortgage portfolio;
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improving our returns on short sales and REO sales;
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protecting our contractual rights with sellers;
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pursuing our rights against mortgage insurers;
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recovering losses on non-agency mortgage-related securities; and
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reducing our mortgage-related investments portfolio over time.
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4
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Freddie Mac
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Better serving our customers: Our customers are our sellers, servicers, and investors/dealers. Based on feedback from our customers, we are enhancing our processes and programs to improve their experience when doing business with us. This includes providing seller/servicers with greater certainty that the loans they sell to us or service for us meet our requirements, thereby reducing the number of repurchase requests we make to them and the amount of compensatory fees they pay to us. We are providing greater certainty by enhancing the tools we make available to our customers (including Loan Prospector, Loan Quality Advisor, and Home Value Explorer), and expanding and leveraging the data standards of the Uniform Mortgage Data Program.
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5
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Freddie Mac
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Providing market leadership and innovation: We continue to develop innovative programs and services that benefit our customers and leverage our existing capabilities and product offerings to better meet the needs of an evolving mortgage market. We are doing this primarily by: (a) expanding access to credit for credit-worthy borrowers, such as the recently announced initiative for loans with LTV ratios up to 97%; (b) continuing to execute our credit risk transfer transactions and seeking to expand and refine our offerings of these transactions; and (c) continuing to work with FHFA and Fannie Mae on enhancing the secondary mortgage market, including the development of a new common securitization platform and a single (common) security. We completed ten credit risk transfer transactions in 2014 and three in 2013. Our 2014 transactions consisted of: (a) seven STACR debt note transactions that transferred $4.9 billion in mezzanine credit risk to third parties associated with
$147.5 billion
in principal of loans in our New single-family book; and (b) three ACIS transactions that transferred $0.7 billion in mezzanine credit risk to third parties. The 2015 Conservatorship Scorecard sets a goal for us to complete credit risk transfer transactions for at least $120 billion in UPB using at least two transaction types.
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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 made various changes to our credit policies in the last several years, including changes to improve our underwriting standards, have purchased fewer loans with higher risk characteristics, and have assisted in improving our mortgage insurers’ and lenders’ underwriting practices. The credit quality of the New single-family book reflects the impact of these changes, as measured by original LTV ratios, credit scores, delinquency rates, credit losses, and the proportion of loans underwritten with full documentation. However, in 2014 and 2013, as refinancing volumes have declined, the composition of our loan purchase activity has been shifting to a higher proportion of home purchase loans, which generally have higher original LTV ratios than loans sold to us during 2010 through 2012.
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Reducing our credit losses: We continue to develop and implement plans intended to reduce our credit losses and identify and address emerging mortgage credit risks. As part of our loss mitigation strategy, we sold certain seriously delinquent loans during 2014. We also facilitated the transfer of servicing for certain groups of loans that were delinquent or deemed to be at risk of default to servicers that we believe have the capabilities and resources necessary to improve loss mitigation for those loans. We expect to execute similar loan sales and servicing transfers in 2015. Our portfolio includes several types of mortgage products that contain terms which may result in scheduled increases in monthly payments after specified initial periods (e.g., HAMP loans). A significant number of these will experience payment changes in 2015. To help address this risk, we implemented a new principal reduction incentive for our HAMP loans in January 2015.
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Optimizing the economics of our single-family business: We seek to achieve strong economic returns on our single-family credit guarantee portfolio while considering and balancing our: (a) housing mission and goals; (b) seller diversification; and (c) security price performance (i.e., the trading value of our PCs relative to comparable Fannie Mae securities in the market). However, economic returns on our guarantee activities are limited by, and subject to, FHFA's oversight.
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Improving our infrastructure: We continue to make strategic investments to maintain and improve our ability to operate the company for the foreseeable future in conservatorship, and potentially afterwards. We are improving our information technology to provide the necessary capabilities to meet our needs, the needs of the Conservator, and the mortgage industry. We are investing to continuously address risk, especially in the information security area and the recently deployed out-of-region disaster recovery capability. We are actively striving to operate our information technology at world class levels by investing in capabilities that will support the future mortgage market while also acting as good stewards of our technology assets by maintaining, standardizing and simplifying our existing technology portfolio.
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Strengthening our operations: We continue to strengthen and streamline our operations. We are conducting a multi-year project focused on eliminating redundant control activities. We are also conducting detailed operational control design reviews to identify ways to simplify our controls structure. We are improving our risk management capabilities by further enhancing our three-lines-of-defense risk management framework. As part of this effort, we have moved or are moving several key functions within the organization to better align business decision-making with the first line of defense. We believe these enhancements will improve our risk management effectiveness. Our enhanced framework is designed to balance ownership of the risk by our business units with corporate oversight and independent assessment. See “MD&A — RISK MANAGEMENT” for more information.
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6
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Freddie Mac
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Common Securitization Platform: We continue to work with FHFA, Fannie Mae, and Common Securitization Solutions, LLC (or CSS) on the development of a new common securitization platform. CSS is equally owned by us and Fannie Mae, and was formed to build and operate the platform. We and FHFA expect this will be a multi-year effort. In November 2014, we and Fannie Mae announced that a chief executive officer had been named for CSS. Additionally, we and Fannie Mae each appointed two executives to the CSS Board of Managers and signed governance and operating agreements for CSS.
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Single-Security Initiative: FHFA is seeking ways to improve the liquidity of mortgage-backed securities issued by us and Fannie Mae and reduce the disparities in trading value between our PCs and Fannie Mae's single-class mortgage-backed securities. Part of this effort is the proposed single (common) security, which would be issued and guaranteed by either Freddie Mac or Fannie Mae. The proposed single security would use the features of the current Fannie Mae mortgage-backed security and the disclosure framework of the current Freddie Mac PC. One of the goals for the proposed single security is for Freddie Mac PCs and Fannie Mae mortgage-backed securities to be fungible with the single security to facilitate trading in a single TBA market for these securities. In August 2014, FHFA requested public input on the single security project as further discussed in "Regulation and Supervision —
Legislative and Regulatory Developments
—
FHFA Request for Input on Proposed Single Security Structure
." We continue to work on a detailed implementation plan, and we expect that the implementation will be a multi-year effort.
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Uniform Mortgage Data Program: We and Fannie Mae continue to collaborate with the industry to develop and implement uniform data standards for single-family mortgages. This includes active support for the following mortgage data standardization initiatives: (a) the Uniform Closing Disclosure Dataset; and (b) the Uniform Loan Application Dataset. We have also made improvements to the Uniform Collateral Data Portal, which provides standardized appraisal data for loans we purchase and provides our sellers with real-time feedback that is intended to help them evaluate the quality of property appraisals.
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Improve mortgage industry standards: We continue to: (a) develop approaches to reduce borrower costs for lender placed insurance; (b) align mortgage insurer eligibility requirements; and (c) enhance our representation and warranty framework that governs our contractual obligations with our seller/servicers. We announced changes in servicing standards for situations in which servicers obtain property hazard insurance on properties securing single-family loans we own or guarantee. As a result, beginning in June 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. During 2014, we continued to develop counterparty risk management standards for mortgage insurers, including: (a) revised eligibility requirements that include financial requirements under a risk-based framework; and (b) revised master policies that provide greater certainty of coverage and facilitate timely claims processing. The revised standards are designed to promote the ability of mortgage insurers to fulfill their intended role of providing private capital to the mortgage market even under a stressful economic scenario. The revised master policies were implemented in October 2014. FHFA published draft insurer eligibility requirements for public input during a comment period that concluded in September 2014. We expect to publish new eligibility requirements in early 2015.
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Improve the underwriting processes with our single-family sellers: We continued our initiative for enhanced early-risk assessment by sellers through the use of Loan Prospector and Loan Quality Advisor, our automated tools for use in evaluating the credit and product eligibility of loans and identifying non-compliance issues. We implemented requirements for our sellers and servicers in response to certain final rules from the CFPB. We also used our loan sampling strategy, appeal requirements, alternative remedies for resolving repurchase obligations, and our recently implemented standard timelines for reviews and appeals as part of our efforts to enhance post-delivery quality control practices and our representation and warranty framework.
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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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7
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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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8
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Freddie Mac
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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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•
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lender recourse, where we may require a lender to repurchase a loan upon default;
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•
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indemnification agreements, where we may require a lender to reimburse us for realized credit losses; and
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collateral pledged by lenders, and subordinated security structures.
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14
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Freddie Mac
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•
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Forbearance agreements, where reduced or no payments are required during a defined period, generally less than one year. These agreements provide additional time for the borrower to return to compliance with the original terms of the
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15
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Freddie Mac
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•
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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 2014, the average time period granted for completed repayment plans was approximately four 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. We have used principal forbearance but have not used 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.
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Foreclosure alternatives, which are short sale and deed in lieu of foreclosure transactions.
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16
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Freddie Mac
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•
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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 activities (e.g., resecuritizing existing agency securities into REMICs and selling some or all of the REMIC tranches).
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•
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Maintaining a portfolio of liquid mortgage assets consistent with our liquidity management guidelines: We evaluate the liquidity of our investments based on two categories: (a) single-class and multiclass agency securities (excluding certain structured agency securities collateralized by non-agency mortgage-related securities); and (b) assets that are less liquid than the agency securities noted above (e.g., mortgage loans and non-agency mortgage-related securities). We are focusing our efforts on reducing the balance of less liquid assets in the mortgage-related investments portfolio. Our less liquid assets collectively represented $239.3 billion and $286.3 billion, or approximately 59% and 62% of the UPB of the portfolio, at
December 31, 2014
and 2013, respectively.
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•
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Managing the single-family performing loans obtained through our cash purchase program: In conjunction with the single-family business, we purchase loans from lenders for cash and securitize the majority of them into Freddie Mac agency securities. These agency securities may be sold to dealers or investors, or retained in our Investments segment mortgage investments portfolio.
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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 selling loans, and could include other disposition strategies in the future.
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•
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Managing single-family reperforming loans and performing modified loans: This includes securitizing loans, structuring the resulting securities and selling some or all of the tranches, and could include selling loans or other disposition strategies in the future.
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•
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Reducing the balance of our non-agency mortgage-related securities through liquidations and sales, subject to a variety of constraints, including market conditions.
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•
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Managing the treasury function for the entire company, including funding and liquidity, through the issuance of short-term and long-term unsecured debt: We maintain a liquidity and contingency operating portfolio of cash and non-mortgage investments for short-term liquidity management.
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•
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Managing the interest-rate risk for the entire company through the use of derivatives and unsecured debt.
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17
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Freddie Mac
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•
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Continuing to provide stability to the multifamily mortgage market, particularly the market for affordable housing, while meeting FHFA's Scorecard requirements relating to our new business volumes.
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•
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Maintaining a strong credit and capital management discipline.
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18
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Freddie Mac
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19
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Freddie Mac
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20
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Freddie Mac
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|
December 31, 2014
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|
December 31, 2013
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||||||||||||||||||||
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More Liquid
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Less Liquid
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Total
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More Liquid
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Less Liquid
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Total
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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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|
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||||||||||||
Single-family unsecuritized mortgage loans
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$
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—
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$
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82,778
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$
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82,778
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$
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—
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$
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84,411
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$
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84,411
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Freddie Mac mortgage-related securities
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150,852
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|
7,363
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|
158,215
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|
|
156,438
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|
8,809
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|
|
165,247
|
|
||||||
Non-agency mortgage-related securities
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—
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44,230
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|
|
44,230
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|
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—
|
|
|
64,524
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|
|
64,524
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||||||
Non-Freddie Mac agency mortgage-related securities
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16,341
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|
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—
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16,341
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|
|
16,889
|
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—
|
|
|
16,889
|
|
||||||
Total Investments segment — Mortgage investments portfolio
|
167,193
|
|
|
134,371
|
|
|
301,564
|
|
|
173,327
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|
|
157,744
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|
|
331,071
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||||||
Single-family Guarantee segment — Single-family unsecuritized seriously delinquent mortgage loans
|
—
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|
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28,738
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28,738
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—
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|
|
37,726
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|
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37,726
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||||||
Multifamily segment — Mortgage investments portfolio
|
1,911
|
|
|
76,201
|
|
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78,112
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|
|
1,411
|
|
|
90,816
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|
|
92,227
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||||||
Total mortgage-related investments portfolio
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$
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169,104
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|
|
$
|
239,310
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|
|
$
|
408,414
|
|
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$
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174,738
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|
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$
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286,286
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$
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461,024
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Percentage of total mortgage-related investments portfolio
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41
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%
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|
59
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%
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|
100
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%
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|
38
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%
|
|
62
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%
|
|
100
|
%
|
||||||
Mortgage-related investments portfolio cap
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|
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$
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469,625
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$
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552,500
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21
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Freddie Mac
|
|
22
|
Freddie Mac
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•
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pay dividends on or repurchase our equity securities (other than the senior preferred stock or warrant);
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•
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issue any additional equity securities (except in limited instances);
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•
|
sell, transfer, lease or otherwise dispose of any assets, other than dispositions for fair market value in limited circumstances including: (a) if the transaction is in the ordinary course of business, consistent with past practice, or (b) in one transaction or a series of related transactions if the assets have a fair market value individually or in the aggregate of less than $250 million; and
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•
|
issue any subordinated debt.
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|
23
|
Freddie Mac
|
|
|
Goals for 2014
|
|
Single -family purchase money goals (benchmark levels):
|
|
|
|
Low-income
|
|
23
|
%
|
Very low-income
|
|
7
|
%
|
Low-income areas
(1)
|
|
18
|
%
|
Low-income areas subgoal
|
|
11
|
%
|
Single -family refinance low-income goal (benchmark level)
|
|
20
|
%
|
Multifamily low-income goal (in units)
|
|
200,000
|
|
Multifamily low-income subgoal (in units)
|
|
40,000
|
|
(1)
|
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 2014, FHFA set the benchmark level at 18%.
|
|
24
|
Freddie Mac
|
|
|
Goals for 2013
|
|
Market Level for 2013
|
|
Results for 2013
|
|
Goals for 2012
|
|
Market Level for 2012
|
|
Results for 2012
|
||||||
Single-family purchase money goals (benchmark levels):
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Low-income
|
|
23
|
%
|
|
24.0
|
%
|
|
21.8
|
%
|
|
23
|
%
|
|
26.6
|
%
|
|
24.4
|
%
|
Very low-income
|
|
7
|
%
|
|
6.3
|
%
|
|
5.5
|
%
|
|
7
|
%
|
|
7.7
|
%
|
|
7.1
|
%
|
Low-income areas
(1)
|
|
21
|
%
|
|
22.1
|
%
|
|
20.0
|
%
|
|
20
|
%
|
|
20.5
|
%
|
|
20.6
|
%
|
Low-income areas subgoal
|
|
11
|
%
|
|
14.2
|
%
|
|
12.3
|
%
|
|
11
|
%
|
|
13.6
|
%
|
|
11.4
|
%
|
Single-family refinance low-income goal (benchmark level)
|
|
20
|
%
|
|
24.3
|
%
|
|
24.1
|
%
|
|
20
|
%
|
|
22.3
|
%
|
|
22.4
|
%
|
Multifamily low-income goal (in units)
|
|
215,000
|
|
|
N/A
|
|
|
254,628
|
|
|
225,000
|
|
|
N/A
|
|
|
298,529
|
|
Multifamily low-income subgoal (in units)
|
|
50,000
|
|
|
N/A
|
|
|
56,752
|
|
|
59,000
|
|
|
N/A
|
|
|
60,084
|
|
(1)
|
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 2013 and 2012, FHFA set the benchmark level at 21% and 20%, respectively.
|
•
|
The amount we will set aside each fiscal year, commencing with fiscal year 2015, will be based on our total new business purchases during such fiscal year; and
|
•
|
Within 60 days after the end of each fiscal year commencing with fiscal year 2015, we will allocate or otherwise transfer the amount set aside. However, if we have made a draw under the Purchase Agreement during that fiscal year or if such allocation or transfer will cause us to have to make a draw, then we will not make an allocation or transfer and the amount set aside for that fiscal year will be reversed.
|
|
25
|
Freddie Mac
|
|
26
|
Freddie Mac
|
•
|
Securities we issue or guarantee are “exempted securities” 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.
|
|
27
|
Freddie Mac
|
•
|
Maintain
, in a safe and sound manner, foreclosure prevention activities and credit availability for new and refinanced mortgages to foster liquid, efficient, competitive and resilient national housing finance markets.
|
•
|
Reduce
taxpayer risk through increasing the role of private capital in the mortgage market.
|
•
|
Build
a new single-family securitization infrastructure for use by the Enterprises and adaptable for use by other participants in the secondary market in the future.
|
|
28
|
Freddie Mac
|
|
29
|
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 Conservatorship Scorecards and other objectives 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;
|
•
|
changes in our charter or in applicable legislative or regulatory requirements (including any legislation affecting the future status of our company);
|
•
|
changes in the fiscal and monetary policies of the Federal Reserve, including any changes to its policy of maintaining sizable holdings of mortgage-related securities and any future sales of such securities;
|
•
|
the success of our efforts to mitigate our losses on our Legacy single-family books and our investments in non-agency mortgage-related securities;
|
•
|
the success of our strategy to transfer mortgage credit risk through STACR debt note, ACIS and other credit risk transfer transactions;
|
•
|
our ability to maintain the security of our operating systems and infrastructure (e.g., against cyber attacks);
|
•
|
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;
|
•
|
the adequacy of our risk management framework;
|
•
|
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);
|
•
|
changes in the practices of loan originators, investors and other participants in the secondary mortgage market; and
|
•
|
other factors and assumptions described in this Form 10-K, including in the “MD&A” section.
|
|
30
|
Freddie Mac
|
•
|
declines 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 affect derivatives and mortgage-related securities held by us and increase realized and unrealized losses recorded in earnings or AOCI;
|
•
|
the required reductions in the size of our mortgage-related investments portfolio or reductions of higher yielding assets, and other limitations on our investment activities that reduce our earnings capacity;
|
•
|
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;
|
•
|
effects of the MHA Program and other government initiatives, including any future requirements to forgive 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;
|
•
|
changes in business practices resulting from legislative and regulatory developments or direction from our Conservator; or
|
•
|
reductions in corporate tax rates resulting in an inability to realize our net deferred tax asset at its current book value.
|
|
31
|
Freddie Mac
|
|
32
|
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 and the terms of the senior preferred stock, we are required to pay quarterly dividends to Treasury equal to the amount, if any, by which our Net Worth Amount exceeds a permitted Capital Reserve Amount that decreases to zero over time. Accordingly, 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 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 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 and the voting rights of the common stockholders are restored.
|
|
33
|
Freddie Mac
|
|
34
|
Freddie Mac
|
|
35
|
Freddie Mac
|
|
36
|
Freddie Mac
|
|
37
|
Freddie Mac
|
•
|
changes in U.S. government support for us;
|
•
|
reduced demand for our debt securities;
|
|
38
|
Freddie Mac
|
•
|
competition for debt funding from other debt issuers; and
|
•
|
other market factors.
|
|
39
|
Freddie Mac
|
|
40
|
Freddie Mac
|
|
41
|
Freddie Mac
|
|
42
|
Freddie Mac
|
|
43
|
Freddie Mac
|
|
44
|
Freddie Mac
|
|
45
|
Freddie Mac
|
|
46
|
Freddie Mac
|
|
47
|
Freddie Mac
|
|
High
|
|
Low
|
||||
2014 Quarter Ended
|
|
|
|
||||
December 31
|
$
|
2.50
|
|
|
$
|
1.44
|
|
September 30
|
4.58
|
|
|
2.56
|
|
||
June 30
|
4.78
|
|
|
3.63
|
|
||
March 31
|
6.00
|
|
|
2.63
|
|
||
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
|
|
|
48
|
Freddie Mac
|
|
49
|
Freddie Mac
|
|
50
|
Freddie Mac
|
|
At or For The Year Ended December 31,
|
||||||||||||||||||
|
2014
|
|
2013
|
|
2012
|
|
2011
|
|
2010
|
||||||||||
|
(dollars in millions, except share-related amounts)
|
||||||||||||||||||
Statements of Comprehensive Income Data
|
|
|
|
|
|
|
|
|
|
||||||||||
Net interest income
|
$
|
14,263
|
|
|
$
|
16,468
|
|
|
$
|
17,611
|
|
|
$
|
18,397
|
|
|
$
|
16,856
|
|
(Provision) benefit for credit losses
|
(58
|
)
|
|
2,465
|
|
|
(1,890
|
)
|
|
(10,702
|
)
|
|
(17,218
|
)
|
|||||
Non-interest income (loss)
|
(113
|
)
|
|
8,519
|
|
|
(4,083
|
)
|
|
(10,878
|
)
|
|
(11,588
|
)
|
|||||
Non-interest expense
|
(3,090
|
)
|
|
(2,089
|
)
|
|
(2,193
|
)
|
|
(2,483
|
)
|
|
(2,932
|
)
|
|||||
Income tax (expense) benefit
|
(3,312
|
)
|
|
23,305
|
|
|
1,537
|
|
|
400
|
|
|
856
|
|
|||||
Net income (loss)
|
7,690
|
|
|
48,668
|
|
|
10,982
|
|
|
(5,266
|
)
|
|
(14,025
|
)
|
|||||
Comprehensive income (loss)
|
9,426
|
|
|
51,600
|
|
|
16,039
|
|
|
(1,230
|
)
|
|
282
|
|
|||||
Net loss attributable to common stockholders
(1)
|
(2,336
|
)
|
|
(3,531
|
)
|
|
(2,074
|
)
|
|
(11,764
|
)
|
|
(19,774
|
)
|
|||||
Net loss per common share – basic and diluted
|
(0.72
|
)
|
|
(1.09
|
)
|
|
(0.64
|
)
|
|
(3.63
|
)
|
|
(6.09
|
)
|
|||||
Cash dividends per common share
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Weighted average common shares outstanding (in millions) – basic and diluted
|
3,236
|
|
|
3,238
|
|
|
3,240
|
|
|
3,245
|
|
|
3,249
|
|
|||||
|
|
|
|
|
|
|
|
|
|
||||||||||
Balance Sheets Data
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage loans held-for-investment, at amortized cost by consolidated trusts (net of allowances for loan losses)
|
$
|
1,558,094
|
|
|
$
|
1,529,905
|
|
|
$
|
1,495,932
|
|
|
$
|
1,564,131
|
|
|
$
|
1,646,172
|
|
Total assets
|
1,945,539
|
|
|
1,966,061
|
|
|
1,989,856
|
|
|
2,147,216
|
|
|
2,261,780
|
|
|||||
Debt securities of consolidated trusts held by third parties
|
1,479,473
|
|
|
1,433,984
|
|
|
1,419,524
|
|
|
1,471,437
|
|
|
1,528,648
|
|
|||||
Other debt
|
450,069
|
|
|
506,767
|
|
|
547,518
|
|
|
660,546
|
|
|
713,940
|
|
|||||
All other liabilities
|
13,346
|
|
|
12,475
|
|
|
13,987
|
|
|
15,379
|
|
|
19,593
|
|
|||||
Total stockholders’ equity (deficit)
|
2,651
|
|
|
12,835
|
|
|
8,827
|
|
|
(146
|
)
|
|
(401
|
)
|
|||||
Portfolio Balances - UPB
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-related investments portfolio
|
$
|
408,414
|
|
|
$
|
461,024
|
|
|
$
|
557,544
|
|
|
$
|
653,313
|
|
|
$
|
696,874
|
|
Total Freddie Mac mortgage-related securities
(2)
|
1,637,086
|
|
|
1,592,511
|
|
|
1,562,040
|
|
|
1,624,684
|
|
|
1,712,918
|
|
|||||
Total mortgage portfolio
|
1,910,106
|
|
|
1,914,661
|
|
|
1,956,276
|
|
|
2,075,394
|
|
|
2,164,859
|
|
|||||
TDRs on accrual status
|
82,908
|
|
|
78,708
|
|
|
66,590
|
|
|
45,254
|
|
|
27,517
|
|
|||||
Non-accrual loans
|
33,130
|
|
|
43,457
|
|
|
63,005
|
|
|
76,575
|
|
|
88,988
|
|
|||||
|
|
|
|
|
|
|
|
|
|
||||||||||
Ratios
(3)
|
|
|
|
|
|
|
|
|
|
||||||||||
Return on average assets
(4)
|
0.4
|
%
|
|
2.5
|
%
|
|
0.5
|
%
|
|
(0.2
|
)%
|
|
(0.6
|
)%
|
|||||
Allowance for loans losses as percentage of mortgage loans, held-for-investment
(5)
|
1.3
|
|
|
1.4
|
|
|
1.8
|
|
|
2.2
|
|
|
2.1
|
|
|||||
Equity to assets ratio
(6)
|
0.4
|
|
|
0.5
|
|
|
0.2
|
|
|
—
|
|
|
(0.2
|
)
|
(1)
|
For a discussion of the change in the manner in which the senior preferred stock dividend is determined and how it 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)
|
See ‘‘
Table 37 — Freddie Mac Mortgage-Related Securities
’’ for the composition of this line item.
|
(3)
|
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 stockholders’ equity, net of preferred stock (at redemption value) is less than zero for all periods presented.
|
(4)
|
Ratio computed as net income (loss) divided by the simple average of the beginning and ending balances of total assets.
|
(5)
|
Ratio computed as the allowance for loan losses divided by the total recorded investment of held-for-investment mortgage loans.
|
(6)
|
Ratio computed as the simple average of the beginning and ending balances of total stockholders’ equity (deficit) divided by the simple average of the beginning and ending balances of total assets.
|
|
51
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
Home sale units (in thousands)
(1)
|
5,365
|
|
|
5,519
|
|
|
5,028
|
|
|||
National home price change
(2)
|
5.2
|
%
|
|
9.3
|
%
|
|
6.0
|
%
|
|||
Single-family originations (in billions)
(3)
|
$
|
1,240
|
|
|
$
|
1,890
|
|
|
$
|
2,120
|
|
ARM share
(4)
|
18
|
%
|
|
14
|
%
|
|
11
|
%
|
|||
Refinance share
(5)
|
60
|
%
|
|
73
|
%
|
|
84
|
%
|
|||
U.S. single-family mortgage debt outstanding (in billions)
(6)
|
$
|
9,855
|
|
|
$
|
9,887
|
|
|
$
|
9,983
|
|
U.S. multifamily mortgage debt outstanding (in billions)
(6)
|
$
|
969
|
|
|
$
|
932
|
|
|
$
|
895
|
|
(1)
|
Consists of sales of new and existing homes in the U.S. Source: National Association of Realtors news release dated January 23, 2015 (sales of existing homes) and U.S. Census Bureau news release dated January 27, 2015 (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, 2014. 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 30, 2015.
|
(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 11, 2014. The outstanding amounts for 2014 presented above reflect balances as of September 30, 2014.
|
|
52
|
Freddie Mac
|
•
|
REO disposition and short sale severity ratios to remain high; and
|
•
|
The number of seriously delinquent loans and the volume of our loan workouts to continue to decline.
|
|
53
|
Freddie Mac
|
|
|
Year Ended December 31,
|
|
Variance
|
||||||||||||||||
|
|
2014
|
|
2013
|
|
2012
|
|
2014 vs. 2013
|
|
2013 vs. 2012
|
||||||||||
|
(in millions)
|
|||||||||||||||||||
Net interest income
|
|
$
|
14,263
|
|
|
$
|
16,468
|
|
|
$
|
17,611
|
|
|
$
|
(2,205
|
)
|
|
$
|
(1,143
|
)
|
(Provision) benefit for credit losses
|
|
(58
|
)
|
|
2,465
|
|
|
(1,890
|
)
|
|
(2,523
|
)
|
|
4,355
|
|
|||||
Net interest income after (provision) benefit for credit losses
|
|
14,205
|
|
|
18,933
|
|
|
15,721
|
|
|
(4,728
|
)
|
|
3,212
|
|
|||||
Non-interest income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Gains (losses) on extinguishment of debt securities of consolidated trusts
|
|
(451
|
)
|
|
314
|
|
|
(58
|
)
|
|
(765
|
)
|
|
372
|
|
|||||
Gains (losses) on retirement of other debt
|
|
29
|
|
|
132
|
|
|
(77
|
)
|
|
(103
|
)
|
|
209
|
|
|||||
Derivative gains (losses)
|
|
(8,291
|
)
|
|
2,632
|
|
|
(2,448
|
)
|
|
(10,923
|
)
|
|
5,080
|
|
|||||
Net impairment of available-for-sale securities recognized in earnings
|
|
(938
|
)
|
|
(1,510
|
)
|
|
(2,168
|
)
|
|
572
|
|
|
658
|
|
|||||
Other gains (losses) on investment securities recognized in earnings
|
|
1,494
|
|
|
301
|
|
|
(1,522
|
)
|
|
1,193
|
|
|
1,823
|
|
|||||
Other income (loss)
|
|
8,044
|
|
|
6,650
|
|
|
2,190
|
|
|
1,394
|
|
|
4,460
|
|
|||||
Total non-interest income (loss)
|
|
(113
|
)
|
|
8,519
|
|
|
(4,083
|
)
|
|
(8,632
|
)
|
|
12,602
|
|
|||||
Non-interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Administrative expense
|
|
(1,881
|
)
|
|
(1,805
|
)
|
|
(1,561
|
)
|
|
(76
|
)
|
|
(244
|
)
|
|||||
REO operations (expense) income
|
|
(196
|
)
|
|
140
|
|
|
(59
|
)
|
|
(336
|
)
|
|
199
|
|
|||||
Temporary Payroll Tax Cut Continuation Act of 2011 expense
|
|
(775
|
)
|
|
(533
|
)
|
|
(108
|
)
|
|
(242
|
)
|
|
(425
|
)
|
|||||
Other (expense) income
|
|
(238
|
)
|
|
109
|
|
|
(465
|
)
|
|
(347
|
)
|
|
574
|
|
|||||
Total non-interest expense
|
|
(3,090
|
)
|
|
(2,089
|
)
|
|
(2,193
|
)
|
|
(1,001
|
)
|
|
104
|
|
|||||
Income before income tax (expense) benefit
|
|
11,002
|
|
|
25,363
|
|
|
9,445
|
|
|
(14,361
|
)
|
|
15,918
|
|
|||||
Income tax (expense) benefit
|
|
(3,312
|
)
|
|
23,305
|
|
|
1,537
|
|
|
(26,617
|
)
|
|
21,768
|
|
|||||
Net income
|
|
7,690
|
|
|
48,668
|
|
|
10,982
|
|
|
(40,978
|
)
|
|
37,686
|
|
|||||
Other comprehensive income (loss), net of taxes and reclassification adjustments
|
|
1,736
|
|
|
2,932
|
|
|
5,057
|
|
|
(1,196
|
)
|
|
(2,125
|
)
|
|||||
Comprehensive income
|
|
$
|
9,426
|
|
|
$
|
51,600
|
|
|
$
|
16,039
|
|
|
$
|
(42,174
|
)
|
|
$
|
35,561
|
|
|
54
|
Freddie Mac
|
|
Years Ended December 31,
|
|||||||||||||||||||||||||||||||||
|
2014
|
|
2013
|
|
2012
|
|||||||||||||||||||||||||||||
|
Average
Balance
|
|
Interest
Income
(Expense)
|
|
Average
Rate
|
|
Average
Balance
|
|
Interest
Income
(Expense)
|
|
Average
Rate
|
|
Average
Balance
|
|
Interest
Income
(Expense)
|
|
Average
Rate
|
|||||||||||||||||
|
(dollars in millions)
|
|||||||||||||||||||||||||||||||||
Interest-earning assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Cash and cash equivalents
|
$
|
13,889
|
|
|
$
|
4
|
|
|
0.03
|
%
|
|
$
|
31,087
|
|
|
$
|
15
|
|
|
0.05
|
%
|
|
$
|
35,476
|
|
|
$
|
20
|
|
|
0.06
|
%
|
||
Federal funds sold and securities purchased under agreements to resell
|
42,905
|
|
|
28
|
|
|
0.06
|
|
|
44,897
|
|
|
36
|
|
|
0.08
|
|
|
38,944
|
|
|
66
|
|
|
0.17
|
|
||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Mortgage-related securities
|
256,548
|
|
|
10,027
|
|
|
3.91
|
|
|
313,707
|
|
|
12,787
|
|
|
4.08
|
|
|
357,197
|
|
|
15,853
|
|
|
4.44
|
|
||||||||
Extinguishment of PCs held by Freddie Mac
|
(111,545
|
)
|
|
(4,190
|
)
|
|
(3.76
|
)
|
|
(127,999
|
)
|
|
(5,045
|
)
|
|
(3.94
|
)
|
|
(119,181
|
)
|
|
(5,328
|
)
|
|
(4.47
|
)
|
||||||||
Total mortgage-related securities, net
|
145,003
|
|
|
5,837
|
|
|
4.03
|
|
|
185,708
|
|
|
7,742
|
|
|
4.17
|
|
|
238,016
|
|
|
10,525
|
|
|
4.42
|
|
||||||||
Non-mortgage-related securities
|
9,983
|
|
|
6
|
|
|
0.06
|
|
|
21,385
|
|
|
26
|
|
|
0.12
|
|
|
23,763
|
|
|
58
|
|
|
0.25
|
|
||||||||
Mortgage loans held by consolidated trusts
(1)(2)
|
1,540,570
|
|
|
57,036
|
|
|
3.70
|
|
|
1,511,128
|
|
|
57,189
|
|
|
3.78
|
|
|
1,529,213
|
|
|
65,089
|
|
|
4.26
|
|
||||||||
Unsecuritized mortgage loans
(1)(3)
|
170,017
|
|
|
6,569
|
|
|
3.86
|
|
|
203,760
|
|
|
7,694
|
|
|
3.78
|
|
|
237,942
|
|
|
8,960
|
|
|
3.77
|
|
||||||||
Total interest-earning assets
|
$
|
1,922,367
|
|
|
$
|
69,480
|
|
|
3.61
|
|
|
$
|
1,997,965
|
|
|
$
|
72,702
|
|
|
3.63
|
|
|
$
|
2,103,354
|
|
|
$
|
84,718
|
|
|
4.03
|
|
||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Debt securities of consolidated trusts including PCs held by Freddie Mac
|
$
|
1,557,895
|
|
|
$
|
(52,193
|
)
|
|
(3.35
|
)
|
|
$
|
1,532,032
|
|
|
$
|
(52,395
|
)
|
|
(3.42
|
)
|
|
$
|
1,552,207
|
|
|
$
|
(61,437
|
)
|
|
(3.96
|
)
|
||
Extinguishment of PCs held by Freddie Mac
|
(111,545
|
)
|
|
4,190
|
|
|
3.76
|
|
|
(127,999
|
)
|
|
5,045
|
|
|
3.94
|
|
|
(119,181
|
)
|
|
5,328
|
|
|
4.47
|
|
||||||||
Total debt securities of consolidated trusts held by third parties
|
1,446,350
|
|
|
(48,003
|
)
|
|
(3.32
|
)
|
|
1,404,033
|
|
|
(47,350
|
)
|
|
(3.37
|
)
|
|
1,433,026
|
|
|
(56,109
|
)
|
|
(3.92
|
)
|
||||||||
Other debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Short-term debt
|
118,211
|
|
|
(145
|
)
|
|
(0.12
|
)
|
|
132,674
|
|
|
(178
|
)
|
|
(0.13
|
)
|
|
129,504
|
|
|
(176
|
)
|
|
(0.14
|
)
|
||||||||
Long-term debt
|
331,887
|
|
|
(6,768
|
)
|
|
(2.04
|
)
|
|
393,094
|
|
|
(8,251
|
)
|
|
(2.10
|
)
|
|
463,308
|
|
|
(10,217
|
)
|
|
(2.21
|
)
|
||||||||
Total other debt
|
450,098
|
|
|
(6,913
|
)
|
|
(1.54
|
)
|
|
525,768
|
|
|
(8,429
|
)
|
|
(1.60
|
)
|
|
592,812
|
|
|
(10,393
|
)
|
|
(1.75
|
)
|
||||||||
Total interest-bearing liabilities
|
1,896,448
|
|
|
(54,916
|
)
|
|
(2.89
|
)
|
|
1,929,801
|
|
|
(55,779
|
)
|
|
(2.89
|
)
|
|
2,025,838
|
|
|
(66,502
|
)
|
|
(3.28
|
)
|
||||||||
Expense related to derivatives
(4)
|
—
|
|
|
(301
|
)
|
|
(0.02
|
)
|
|
—
|
|
|
(455
|
)
|
|
(0.02
|
)
|
|
—
|
|
|
(605
|
)
|
|
(0.03
|
)
|
||||||||
Impact of net non-interest-bearing funding
|
25,919
|
|
|
—
|
|
|
0.04
|
|
|
68,164
|
|
|
—
|
|
|
0.10
|
|
|
77,516
|
|
|
—
|
|
|
0.12
|
|
||||||||
Total funding of interest-earning assets
|
$
|
1,922,367
|
|
|
$
|
(55,217
|
)
|
|
(2.87
|
)
|
|
$
|
1,997,965
|
|
|
$
|
(56,234
|
)
|
|
(2.81
|
)
|
|
$
|
2,103,354
|
|
|
$
|
(67,107
|
)
|
|
(3.19
|
)
|
||
Net interest income/yield
|
|
|
$
|
14,263
|
|
|
0.74
|
|
|
|
|
$
|
16,468
|
|
|
0.82
|
|
|
|
|
$
|
17,611
|
|
|
0.84
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
|
|
|
|
|
|
2014 vs. 2013 Variance Due to
|
|
2013 vs. 2012 Variance Due to
|
|||||||||||||||||||||||||
|
|
|
|
|
|
|
Rate
(5)
|
|
Volume
(5)
|
|
Total Change
|
|
Rate
(5)
|
|
Volume
(5)
|
|
Total Change
|
|||||||||||||||||
|
|
|
|
|
|
|
(in millions)
|
|||||||||||||||||||||||||||
Interest-earning assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Cash and cash equivalents
|
|
|
|
|
|
|
$
|
(5
|
)
|
|
$
|
(6
|
)
|
|
$
|
(11
|
)
|
|
$
|
(8
|
)
|
|
$
|
3
|
|
|
$
|
(5
|
)
|
|||||
Federal funds sold and securities purchased under agreements to resell
|
|
|
|
|
|
|
(7
|
)
|
|
(1
|
)
|
|
(8
|
)
|
|
(38
|
)
|
|
8
|
|
|
(30
|
)
|
|||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Mortgage-related securities
|
|
|
|
|
|
|
(508
|
)
|
|
(2,252
|
)
|
|
(2,760
|
)
|
|
(1,229
|
)
|
|
(1,837
|
)
|
|
(3,066
|
)
|
|||||||||||
Extinguishment of PCs held by Freddie Mac
|
|
|
|
|
|
|
229
|
|
|
626
|
|
|
855
|
|
|
659
|
|
|
(376
|
)
|
|
283
|
|
|||||||||||
Total mortgage-related securities, net
|
|
|
|
|
|
|
(279
|
)
|
|
(1,626
|
)
|
|
(1,905
|
)
|
|
(570
|
)
|
|
(2,213
|
)
|
|
(2,783
|
)
|
|||||||||||
Non-mortgage-related securities
|
|
|
|
|
|
|
(10
|
)
|
|
(10
|
)
|
|
(20
|
)
|
|
(27
|
)
|
|
(5
|
)
|
|
(32
|
)
|
|||||||||||
Mortgage loans held by consolidated
trusts
(2)(3)
|
|
|
|
|
|
|
(1,256
|
)
|
|
1,103
|
|
|
(153
|
)
|
|
(7,139
|
)
|
|
(761
|
)
|
|
(7,900
|
)
|
|||||||||||
Unsecuritized mortgage loans
(1)(3)
|
|
|
|
|
|
|
175
|
|
|
(1,300
|
)
|
|
(1,125
|
)
|
|
24
|
|
|
(1,290
|
)
|
|
(1,266
|
)
|
|||||||||||
Total interest-earning assets
|
|
|
|
|
|
|
$
|
(1,382
|
)
|
|
$
|
(1,840
|
)
|
|
$
|
(3,222
|
)
|
|
$
|
(7,758
|
)
|
|
$
|
(4,258
|
)
|
|
$
|
(12,016
|
)
|
|||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Debt securities of consolidated trusts including PCs held by Freddie Mac
|
|
|
|
|
|
|
$
|
1,079
|
|
|
$
|
(877
|
)
|
|
$
|
202
|
|
|
$
|
8,253
|
|
|
$
|
789
|
|
|
$
|
9,042
|
|
|||||
Extinguishment of PCs held by Freddie Mac
|
|
|
|
|
|
|
(229
|
)
|
|
(626
|
)
|
|
(855
|
)
|
|
(659
|
)
|
|
376
|
|
|
(283
|
)
|
|||||||||||
Total debt securities of consolidated trusts held by third parties
|
|
|
|
|
|
|
850
|
|
|
(1,503
|
)
|
|
(653
|
)
|
|
7,594
|
|
|
1,165
|
|
|
8,759
|
|
|||||||||||
Other debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Short-term debt
|
|
|
|
|
|
|
15
|
|
|
18
|
|
|
33
|
|
|
2
|
|
|
(4
|
)
|
|
(2
|
)
|
|||||||||||
Long-term debt
|
|
|
|
|
|
|
229
|
|
|
1,254
|
|
|
1,483
|
|
|
474
|
|
|
1,492
|
|
|
1,966
|
|
|||||||||||
Total other debt
|
|
|
|
|
|
|
244
|
|
|
1,272
|
|
|
1,516
|
|
|
476
|
|
|
1,488
|
|
|
1,964
|
|
|||||||||||
Total interest-bearing liabilities
|
|
|
|
|
|
|
1,094
|
|
|
(231
|
)
|
|
863
|
|
|
8,070
|
|
|
2,653
|
|
|
10,723
|
|
|||||||||||
Expense related to derivatives
(4)
|
|
|
|
|
|
|
154
|
|
|
—
|
|
|
154
|
|
|
150
|
|
|
—
|
|
|
150
|
|
|||||||||||
Total funding of interest-earning assets
|
|
|
|
|
|
|
$
|
1,248
|
|
|
$
|
(231
|
)
|
|
$
|
1,017
|
|
|
$
|
8,220
|
|
|
$
|
2,653
|
|
|
$
|
10,873
|
|
|||||
Net interest income
|
|
|
|
|
|
|
$
|
(134
|
)
|
|
$
|
(2,071
|
)
|
|
$
|
(2,205
|
)
|
|
$
|
462
|
|
|
$
|
(1,605
|
)
|
|
$
|
(1,143
|
)
|
(1)
|
Mortgage loans on non-accrual status, where interest income is generally recognized when collected, are included in average balances.
|
|
55
|
Freddie Mac
|
(2)
|
Loan fees, primarily consisting of delivery fees, included in interest income for mortgage loans held by consolidated trusts were $1.4 billion, $1.2 billion, and $929 million for 2014, 2013, and 2012, respectively.
|
(3)
|
Loan fees, primarily consisting of delivery fees and multifamily prepayment fees, included in unsecuritized mortgage loans interest income were $373 million, $294 million, and $446 million for 2014, 2013, and 2012, respectively.
|
(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 interest expense associated with the hedged forecasted issuance of debt affects earnings.
|
(5)
|
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,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Contractual amounts of net interest income
(1)
|
$
|
12,229
|
|
|
$
|
14,114
|
|
|
$
|
16,162
|
|
Amortization income (expense), net:
(2)
|
|
|
|
|
|
||||||
Accretion of impairments on available-for-sale securities
|
798
|
|
|
521
|
|
|
214
|
|
|||
Asset-related amortization income (expense), net:
|
|
|
|
|
|
||||||
Mortgage loans held by consolidated trusts
|
(4,110
|
)
|
|
(4,935
|
)
|
|
(4,536
|
)
|
|||
Unsecuritized mortgage loans
|
235
|
|
|
266
|
|
|
156
|
|
|||
Mortgage-related securities
|
(326
|
)
|
|
(168
|
)
|
|
(59
|
)
|
|||
Other assets
|
(73
|
)
|
|
(282
|
)
|
|
(281
|
)
|
|||
Asset-related amortization expense, net
|
(4,274
|
)
|
|
(5,119
|
)
|
|
(4,720
|
)
|
|||
Debt-related amortization income (expense), net:
|
|
|
|
|
|
||||||
Debt securities of consolidated trusts
|
6,022
|
|
|
7,726
|
|
|
7,112
|
|
|||
Other debt securities
|
(211
|
)
|
|
(319
|
)
|
|
(552
|
)
|
|||
Debt-related amortization income, net
|
5,811
|
|
|
7,407
|
|
|
6,560
|
|
|||
Total amortization income, net
|
2,335
|
|
|
2,809
|
|
|
2,054
|
|
|||
Expense related to derivatives
(3)
|
(301
|
)
|
|
(455
|
)
|
|
(605
|
)
|
|||
Net interest income
|
$
|
14,263
|
|
|
$
|
16,468
|
|
|
$
|
17,611
|
|
(1)
|
Includes the reversal of interest income accrued, net of interest received on a cash basis, related to mortgage loans that are on non-accrual status.
|
(2)
|
Represents amortization related to premiums, discounts, deferred fees and other adjustments to the carrying value of our financial instruments, and the reclassification of previously deferred balances from AOCI for certain derivatives in closed cash flow hedge relationships related to individual debt issuances and mortgage purchase transactions.
|
(3)
|
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.
|
|
56
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||||||||||
|
2014
|
|
2013
|
|
2012
|
|
2011
|
|
2010
|
||||||||||
|
(dollars in millions)
|
||||||||||||||||||
Total loan loss reserves:
|
|
|
|
|
|
|
|||||||||||||
Beginning balance
|
$
|
24,729
|
|
|
$
|
30,890
|
|
|
$
|
39,461
|
|
|
$
|
39,926
|
|
|
$
|
33,857
|
|
Adjustments to beginning balance
(2)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(186
|
)
|
|||||
Provision (benefit) for credit losses
|
58
|
|
|
(2,465
|
)
|
|
1,890
|
|
|
10,702
|
|
|
17,218
|
|
|||||
Charge-offs, gross
|
(4,895
|
)
|
|
(9,002
|
)
|
|
(13,556
|
)
|
|
(14,810
|
)
|
|
(16,322
|
)
|
|||||
Recoveries
|
1,259
|
|
|
4,314
|
|
|
2,264
|
|
|
2,765
|
|
|
3,363
|
|
|||||
Transfers, net
(3)
|
736
|
|
|
992
|
|
|
831
|
|
|
878
|
|
|
1,996
|
|
|||||
Ending balance
|
$
|
21,887
|
|
|
$
|
24,729
|
|
|
$
|
30,890
|
|
|
$
|
39,461
|
|
|
$
|
39,926
|
|
Components of loan loss reserves:
|
|
|
|
|
|
|
|||||||||||||
Single-family
|
$
|
21,793
|
|
|
$
|
24,578
|
|
|
$
|
30,508
|
|
|
$
|
38,916
|
|
|
$
|
39,098
|
|
Multifamily
|
$
|
94
|
|
|
$
|
151
|
|
|
$
|
382
|
|
|
$
|
545
|
|
|
$
|
828
|
|
Total loan loss reserve, as a percentage of the total mortgage portfolio, excluding non-Freddie Mac securities
|
1.20
|
%
|
|
1.37
|
%
|
|
1.71
|
%
|
|
2.08
|
%
|
|
2.03
|
%
|
(1)
|
Consists of reserves for loans held-for-investment and loans 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)
|
Consist primarily of net amounts attributable to recapitalization of past due interest on modified mortgage loans. Transfers in 2010 also include approximately $0.8 billion related to settlement agreements with certain sellers to compensate us for previously incurred and recognized losses.
|
|
57
|
Freddie Mac
|
|
|
2014
|
|
2013
|
||||||||||
|
|
Number of Loans
|
|
Amount
|
|
Number of Loans
|
|
Amount
|
||||||
|
|
(dollars in millions)
|
||||||||||||
TDRs, at January 1,
|
|
514,497
|
|
|
$
|
92,505
|
|
|
449,145
|
|
|
$
|
83,484
|
|
New additions
|
|
84,334
|
|
|
12,581
|
|
|
129,428
|
|
|
20,234
|
|
||
Repayments and reclassifications to held-for-sale
|
|
(33,104
|
)
|
|
(6,218
|
)
|
|
(29,877
|
)
|
|
(5,074
|
)
|
||
Foreclosure transfers and foreclosure alternatives
|
|
(26,137
|
)
|
|
(4,467
|
)
|
|
(34,199
|
)
|
|
(6,139
|
)
|
||
TDRs, at December 31,
|
|
539,590
|
|
|
94,401
|
|
|
514,497
|
|
|
92,505
|
|
||
Loans impaired upon purchase
|
|
9,949
|
|
|
741
|
|
|
13,790
|
|
|
1,195
|
|
||
Total impaired loans with specific reserve
|
|
549,539
|
|
|
95,142
|
|
|
528,287
|
|
|
93,700
|
|
||
Total allowance for loan losses of individually impaired single-family loans
|
|
|
|
(17,837
|
)
|
|
|
|
(18,554
|
)
|
||||
Net investment, at December 31,
|
|
|
|
$
|
77,305
|
|
|
|
|
$
|
75,146
|
|
|
58
|
Freddie Mac
|
|
|
December 31,
|
||||||||||||||||||
|
|
2014
|
|
2013
|
|
2012
|
|
2011
|
|
2010
|
||||||||||
|
|
(in millions)
|
||||||||||||||||||
TDRs on accrual status:
|
|
|
|
|
|
|
||||||||||||||
Single-family
|
|
$
|
82,373
|
|
|
$
|
78,033
|
|
|
$
|
65,784
|
|
|
$
|
44,440
|
|
|
$
|
26,612
|
|
Multifamily
|
|
535
|
|
|
675
|
|
|
806
|
|
|
814
|
|
|
905
|
|
|||||
Subtotal —TDRs on accrual status
|
|
82,908
|
|
|
78,708
|
|
|
66,590
|
|
|
45,254
|
|
|
27,517
|
|
|||||
Non-accrual loans:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Single-family
(1)
|
|
32,745
|
|
|
42,829
|
|
|
61,517
|
|
|
74,686
|
|
|
87,238
|
|
|||||
Multifamily
(2)
|
|
385
|
|
|
628
|
|
|
1,488
|
|
|
1,889
|
|
|
1,750
|
|
|||||
Subtotal — non-accrual loans
|
|
33,130
|
|
|
43,457
|
|
|
63,005
|
|
|
76,575
|
|
|
88,988
|
|
|||||
Total TDRs and non-accrual mortgage loans
|
|
$
|
116,038
|
|
|
$
|
122,165
|
|
|
$
|
129,595
|
|
|
$
|
121,829
|
|
|
$
|
116,505
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Loan loss reserves associated with:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
TDRs on accrual status
|
|
$
|
13,749
|
|
|
$
|
14,254
|
|
|
$
|
12,478
|
|
|
$
|
11,640
|
|
|
$
|
7,195
|
|
Non-accrual loans
|
|
6,966
|
|
|
8,870
|
|
|
14,759
|
|
|
20,971
|
|
|
23,493
|
|
|||||
Total loan loss reserves associated with TDRs and non-accrual loans
|
|
$
|
20,715
|
|
|
$
|
23,124
|
|
|
$
|
27,237
|
|
|
$
|
32,611
|
|
|
$
|
30,688
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
|
Year Ended December 31,
|
||||||||||||||||||
|
|
2014
|
|
2013
|
|
2012
|
|
2011
|
|
2010
|
||||||||||
|
|
(in millions)
|
||||||||||||||||||
Foregone interest income on TDR and non-accrual mortgage loans
(3)
:
|
|
|
||||||||||||||||||
Single-family
|
|
$
|
3,235
|
|
|
$
|
3,552
|
|
|
$
|
4,126
|
|
|
$
|
4,369
|
|
|
$
|
4,159
|
|
Multifamily
|
|
4
|
|
|
8
|
|
|
11
|
|
|
15
|
|
|
12
|
|
|||||
Total foregone interest income on TDR and non-accrual mortgage loans
|
|
$
|
3,239
|
|
|
$
|
3,560
|
|
|
$
|
4,137
|
|
|
$
|
4,384
|
|
|
$
|
4,171
|
|
(1)
|
Includes $18.0 billion, $19.6 billion, $22.0 billion, $11.6 billion, and $3.1 billion in UPB of seriously delinquent loans classified as TDRs at
December 31, 2014
, 2013, 2012, 2011, and 2010, respectively.
|
(2)
|
Includes $0.4 billion, $0.6 billion, $1.4 billion, $1.8 billion, and $1.6 billion in UPB of loans that were current as of
December 31, 2014
, 2013, 2012, 2011, and 2010, respectively.
|
(3)
|
Represents the amount of interest income that we would have recognized for loans outstanding at the end of each period, had the loans performed according to their original contractual terms.
|
|
59
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(dollars in millions)
|
||||||||||
REO
|
|
|
|
|
|
||||||
REO balances, net:
|
|
|
|
|
|
||||||
Single-family
|
$
|
2,558
|
|
|
$
|
4,541
|
|
|
$
|
4,314
|
|
Multifamily
|
—
|
|
|
10
|
|
|
64
|
|
|||
Total
|
$
|
2,558
|
|
|
$
|
4,551
|
|
|
$
|
4,378
|
|
REO operations (income) expense:
|
|
|
|
|
|
||||||
Single-family
|
$
|
205
|
|
|
$
|
(124
|
)
|
|
$
|
62
|
|
Multifamily
|
(9
|
)
|
|
(16
|
)
|
|
(3
|
)
|
|||
Total
|
$
|
196
|
|
|
$
|
(140
|
)
|
|
$
|
59
|
|
Charge-offs
|
|
|
|
|
|
||||||
Single-family:
|
|
|
|
|
|
||||||
Charge-offs, gross
(1)
(including $4.9 billion, $9.0 billion, and $13.5 billion relating to loan loss reserves, respectively)
|
$
|
4,972
|
|
|
$
|
9,225
|
|
|
$
|
13,825
|
|
Recoveries
(2)
|
(1,258
|
)
|
|
(4,313
|
)
|
|
(2,262
|
)
|
|||
Single-family, net
|
$
|
3,714
|
|
|
$
|
4,912
|
|
|
$
|
11,563
|
|
Multifamily:
|
|
|
|
|
|
||||||
Charge-offs, gross
(1)
(including $3 million, $7 million, and $36 million relating to loan loss reserves, respectively)
|
$
|
3
|
|
|
$
|
29
|
|
|
$
|
39
|
|
Recoveries
(2)
|
(1
|
)
|
|
(1
|
)
|
|
(2
|
)
|
|||
Multifamily, net
|
$
|
2
|
|
|
$
|
28
|
|
|
$
|
37
|
|
Total Charge-offs:
|
|
|
|
|
|
||||||
Charge-offs, gross
(1)
(including $4.9 billion, $9.0 billion, and $13.6 billion relating to loan loss reserves, respectively)
|
$
|
4,975
|
|
|
$
|
9,254
|
|
|
$
|
13,864
|
|
Recoveries
(2)
|
(1,259
|
)
|
|
(4,314
|
)
|
|
(2,264
|
)
|
|||
Total Charge-offs, net
|
$
|
3,716
|
|
|
$
|
4,940
|
|
|
$
|
11,600
|
|
Credit Losses:
|
|
|
|
|
|
||||||
Single-family
|
$
|
3,919
|
|
|
$
|
4,788
|
|
|
$
|
11,625
|
|
Multifamily
|
(7
|
)
|
|
12
|
|
|
34
|
|
|||
Total
|
$
|
3,912
|
|
|
$
|
4,800
|
|
|
$
|
11,659
|
|
Total (in bps)
|
21.6
|
|
|
26.7
|
|
|
63.8
|
|
|||
|
|
|
|
|
|
||||||
Ratio of total loan loss reserves (excluding reserves for TDR concessions) to net charge-offs for single-family loans
(3)
|
2.5
|
|
|
1.9
|
|
|
2.1
|
|
|||
Ratio of total loan loss reserves to net charge-offs for single-family loans
(3)
|
5.2
|
|
|
3.5
|
|
|
2.7
|
|
(1)
|
Charge-offs include
$80 million
, $252 million, and $308 million for the years ended December 31, 2014, 2013 and 2012, respectively, related to: (a) losses on loans purchased that were recorded within other expenses on our consolidated statements of comprehensive income, which relate to certain loans purchased under financial guarantees; and (b) cumulative fair value losses recognized through the date of foreclosure for Multifamily loans we elected to carry at fair value at the time of our purchase.
|
(2)
|
Includes
$0.5 billion
, $2.8 billion, and $0.7 billion in 2014,
2013
, and
2012
, respectively, related to repurchase requests made to our seller/servicers (including
$0.3 billion
,
$2.1 billion
, and $0 in 2014,
2013
, and
2012
, 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 amounts associated with loans acquired with deteriorated credit quality (at the time of acquisition) and recoveries related to settlements.
|
|
60
|
Freddie Mac
|
|
Year Ended December 31,
|
|||||||
|
2014
|
|
2013
|
|
2012
|
|||
REO disposition severity ratio:
(1)
|
|
|
|
|
|
|||
Florida
|
37.4
|
%
|
|
41.9
|
%
|
|
48.9
|
%
|
Illinois
|
40.2
|
|
|
46.2
|
|
|
51.3
|
|
New Jersey
|
41.8
|
|
|
45.6
|
|
|
48.6
|
|
Maryland
|
36.9
|
|
|
38.7
|
|
|
47.6
|
|
California
|
25.2
|
|
|
30.4
|
|
|
44.0
|
|
Total U.S.
|
34.7
|
|
|
36.5
|
|
|
41.8
|
|
Short sale severity ratio
|
31.6
|
|
|
36.0
|
|
|
39.9
|
|
(1)
|
States presented represent the five states where our credit losses were greatest during 2014.
|
|
|
Year Ended December 31,
|
||||||||||||||||||||||||||||||||||
|
|
2014
|
|
2013
|
|
2012
|
||||||||||||||||||||||||||||||
|
|
Charge-offs,
gross
|
|
Recoveries
|
|
Charge-offs,
net
|
|
Charge-offs,
gross
|
|
Recoveries
|
|
Charge-offs,
net
|
|
Charge-offs,
gross
|
|
Recoveries
|
|
Charge-offs,
net
|
||||||||||||||||||
|
|
(in millions)
|
||||||||||||||||||||||||||||||||||
Northeast
|
|
$
|
1,138
|
|
|
$
|
(238
|
)
|
|
$
|
900
|
|
|
$
|
1,357
|
|
|
$
|
(656
|
)
|
|
$
|
701
|
|
|
$
|
1,180
|
|
|
$
|
(249
|
)
|
|
$
|
931
|
|
Southeast
|
|
1,703
|
|
|
(393
|
)
|
|
1,310
|
|
|
3,015
|
|
|
(1,331
|
)
|
|
1,684
|
|
|
3,530
|
|
|
(694
|
)
|
|
2,836
|
|
|||||||||
North Central
|
|
1,018
|
|
|
(259
|
)
|
|
759
|
|
|
1,870
|
|
|
(810
|
)
|
|
1,060
|
|
|
2,726
|
|
|
(526
|
)
|
|
2,200
|
|
|||||||||
Southwest
|
|
238
|
|
|
(85
|
)
|
|
153
|
|
|
394
|
|
|
(245
|
)
|
|
149
|
|
|
647
|
|
|
(160
|
)
|
|
487
|
|
|||||||||
West
|
|
875
|
|
|
(283
|
)
|
|
592
|
|
|
2,589
|
|
|
(1,271
|
)
|
|
1,318
|
|
|
5,742
|
|
|
(633
|
)
|
|
5,109
|
|
|||||||||
Total
|
|
$
|
4,972
|
|
|
$
|
(1,258
|
)
|
|
$
|
3,714
|
|
|
$
|
9,225
|
|
|
$
|
(4,313
|
)
|
|
$
|
4,912
|
|
|
$
|
13,825
|
|
|
$
|
(2,262
|
)
|
|
$
|
11,563
|
|
(1)
|
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).
|
|
61
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Interest-rate swaps
|
$
|
(7,294
|
)
|
|
$
|
8,598
|
|
|
$
|
(204
|
)
|
Option-based derivatives
|
1,437
|
|
|
(2,422
|
)
|
|
1,250
|
|
|||
Other derivatives
(1)
|
191
|
|
|
(77
|
)
|
|
308
|
|
|||
Accrual of periodic settlements
|
(2,625
|
)
|
|
(3,467
|
)
|
|
(3,802
|
)
|
|||
Total
|
$
|
(8,291
|
)
|
|
$
|
2,632
|
|
|
$
|
(2,448
|
)
|
(1)
|
Primarily includes futures, foreign-currency swaps, commitments, credit derivatives and swap guarantee derivatives. Our last foreign-currency swaps matured in January 2014.
|
|
62
|
Freddie Mac
|
|
63
|
Freddie Mac
|
|
|
Year Ended December 31,
|
||||||||||
|
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
|||||||||||
Other income (loss):
|
|
|
|
|
|
|
||||||
Non-agency mortgage-related securities settlements
|
|
$
|
6,084
|
|
|
$
|
5,501
|
|
|
$
|
—
|
|
Gains (losses) on mortgage loans
|
|
731
|
|
|
(336
|
)
|
|
1,010
|
|
|||
Recoveries on loans acquired with deteriorated credit quality
(1)
|
|
203
|
|
|
261
|
|
|
380
|
|
|||
Guarantee-related income, net
(2)
|
|
266
|
|
|
400
|
|
|
343
|
|
|||
All other
|
|
760
|
|
|
824
|
|
|
457
|
|
|||
Total other income (loss)
|
|
$
|
8,044
|
|
|
$
|
6,650
|
|
|
$
|
2,190
|
|
(1)
|
Primarily relates to loans acquired with deteriorated credit quality prior to 2010. Consequently, our recoveries on these loans will generally decline over time.
|
(2)
|
Primarily relates to securitized mortgage loans where we have not consolidated the securitization trusts on our consolidated balance sheets.
|
|
64
|
Freddie Mac
|
|
|
Year Ended December 31,
|
||||||||||
|
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
|||||||||||
Administrative expense:
|
|
|
|
|
|
|
||||||
Salaries and employee benefits
|
|
$
|
914
|
|
|
$
|
833
|
|
|
$
|
810
|
|
Professional services
|
|
527
|
|
|
543
|
|
|
361
|
|
|||
Occupancy expense
|
|
58
|
|
|
54
|
|
|
57
|
|
|||
Other administrative expense
|
|
382
|
|
|
375
|
|
|
333
|
|
|||
Total administrative expense
|
|
1,881
|
|
|
1,805
|
|
|
1,561
|
|
|||
REO operations expense (income)
|
|
196
|
|
|
(140
|
)
|
|
59
|
|
|||
Temporary Payroll Tax Cut Continuation Act of 2011 expense
|
|
775
|
|
|
533
|
|
|
108
|
|
|||
Other expense (income)
|
|
238
|
|
|
(109
|
)
|
|
465
|
|
|||
Total non-interest expense
|
|
$
|
3,090
|
|
|
$
|
2,089
|
|
|
$
|
2,193
|
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
REO operations (income) expense:
|
|
|
|
|
|
||||||
Single-family:
|
|
|
|
|
|
||||||
REO property expenses
|
$
|
829
|
|
|
$
|
962
|
|
|
$
|
1,203
|
|
Disposition gains, net
|
(454
|
)
|
|
(746
|
)
|
|
(682
|
)
|
|||
Change in valuation allowance
|
75
|
|
|
23
|
|
|
(117
|
)
|
|||
Recoveries
|
(245
|
)
|
|
(363
|
)
|
|
(342
|
)
|
|||
Total single-family REO operations (income) expense
|
205
|
|
|
(124
|
)
|
|
62
|
|
|||
Multifamily REO operations (income) expense
|
(9
|
)
|
|
(16
|
)
|
|
(3
|
)
|
|||
Total REO operations (income) expense
|
$
|
196
|
|
|
$
|
(140
|
)
|
|
$
|
59
|
|
|
65
|
Freddie Mac
|
|
66
|
Freddie Mac
|
|
67
|
Freddie Mac
|
|
|
December 31,
|
||||||
|
|
2014
|
|
2013
|
||||
|
|
(in millions)
|
||||||
Segment mortgage portfolios:
|
|
|
|
|
||||
Single-family Guarantee — Managed loan portfolio:
(1)
|
|
|
|
|
||||
Single-family unsecuritized seriously delinquent mortgage loans
|
|
$
|
28,738
|
|
|
$
|
37,726
|
|
Single-family Freddie Mac mortgage-related securities held by us
|
|
158,215
|
|
|
165,247
|
|
||
Single-family Freddie Mac mortgage-related securities held by third parties
|
|
1,397,050
|
|
|
1,361,972
|
|
||
Single-family other guarantee commitments
|
|
16,806
|
|
|
19,872
|
|
||
Total Single-family Guarantee — Managed loan portfolio
|
|
1,600,809
|
|
|
1,584,817
|
|
||
Investments — Mortgage investments portfolio:
|
|
|
|
|
||||
Single-family unsecuritized performing mortgage loans
|
|
82,778
|
|
|
84,411
|
|
||
Freddie Mac mortgage-related securities
|
|
158,215
|
|
|
165,247
|
|
||
Non-agency mortgage-related securities
|
|
44,230
|
|
|
64,524
|
|
||
Non-Freddie Mac agency mortgage-related securities
|
|
16,341
|
|
|
16,889
|
|
||
Total Investments — Mortgage investments portfolio
|
|
301,564
|
|
|
331,071
|
|
||
Multifamily — Guarantee portfolio:
|
|
|
|
|
||||
Multifamily Freddie Mac mortgage-related securities held by us
|
|
3,326
|
|
|
2,787
|
|
||
Multifamily Freddie Mac mortgage-related securities held by third parties
|
|
78,495
|
|
|
62,505
|
|
||
Multifamily other guarantee commitments
|
|
9,341
|
|
|
9,288
|
|
||
Total Multifamily — Guarantee portfolio
|
|
91,162
|
|
|
74,580
|
|
||
Multifamily — Mortgage investments portfolio:
|
|
|
|
|
||||
Multifamily investment securities portfolio
|
|
25,156
|
|
|
33,056
|
|
||
Multifamily unsecuritized loan portfolio
|
|
52,956
|
|
|
59,171
|
|
||
Total Multifamily — Mortgage investments portfolio
|
|
78,112
|
|
|
92,227
|
|
||
Total Multifamily portfolio
|
|
169,274
|
|
|
166,807
|
|
||
Less: Freddie Mac single-family and multifamily securities held by us
|
|
(161,541
|
)
|
|
(168,034
|
)
|
||
Total mortgage portfolio
|
|
$
|
1,910,106
|
|
|
$
|
1,914,661
|
|
Credit risk portfolios:
|
|
|
|
|
||||
Single-family credit guarantee portfolio:
(1)
|
|
|
|
|
||||
Single-family mortgage loans, on-balance sheet
|
|
$
|
1,645,872
|
|
|
$
|
1,630,859
|
|
Non-consolidated Freddie Mac mortgage-related securities
|
|
6,233
|
|
|
6,961
|
|
||
Other guarantee commitments
|
|
16,806
|
|
|
19,872
|
|
||
Less: HFA initiative-related guarantees
|
|
(3,357
|
)
|
|
(4,051
|
)
|
||
Less: Freddie Mac mortgage-related securities backed by Ginnie Mae certificates
|
|
(433
|
)
|
|
(541
|
)
|
||
Total single-family credit guarantee portfolio
|
|
$
|
1,665,121
|
|
|
$
|
1,653,100
|
|
Multifamily mortgage portfolio:
|
|
|
|
|
||||
Multifamily mortgage loans, on-balance sheet
|
|
$
|
53,480
|
|
|
$
|
59,615
|
|
Non-consolidated Freddie Mac mortgage-related securities
|
|
81,296
|
|
|
64,848
|
|
||
Other guarantee commitments
|
|
9,341
|
|
|
9,288
|
|
||
Less: HFA initiative-related guarantees
|
|
(772
|
)
|
|
(905
|
)
|
||
Total multifamily mortgage portfolio
|
|
$
|
143,345
|
|
|
$
|
132,846
|
|
(1)
|
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.
|
|
68
|
Freddie Mac
|
|
|
Year Ended December 31,
|
||||||||||
|
|
2014
|
|
2013
|
|
2012
|
||||||
|
(dollars in millions)
|
|||||||||||
Segment Earnings:
|
|
|
|
|
|
|
||||||
Net interest income (expense)
(1)
|
|
$
|
(111
|
)
|
|
$
|
320
|
|
|
$
|
(147
|
)
|
(Provision) benefit for credit losses
|
|
(982
|
)
|
|
1,409
|
|
|
(3,168
|
)
|
|||
Non-interest income:
|
|
|
|
|
|
|
||||||
Management and guarantee income
|
|
5,172
|
|
|
4,930
|
|
|
4,389
|
|
|||
Other non-interest income
|
|
712
|
|
|
1,162
|
|
|
931
|
|
|||
Total non-interest income
|
|
5,884
|
|
|
6,092
|
|
|
5,320
|
|
|||
Non-interest expense:
|
|
|
|
|
|
|
||||||
Administrative expense
|
|
(1,170
|
)
|
|
(1,025
|
)
|
|
(890
|
)
|
|||
REO operations (expense) income
|
|
(205
|
)
|
|
124
|
|
|
(62
|
)
|
|||
Temporary Payroll Tax Cut Continuation Act of 2011 expense
|
|
(775
|
)
|
|
(533
|
)
|
|
(108
|
)
|
|||
Other non-interest expense
|
|
(191
|
)
|
|
(179
|
)
|
|
(285
|
)
|
|||
Total non-interest expense
|
|
(2,341
|
)
|
|
(1,613
|
)
|
|
(1,345
|
)
|
|||
Segment adjustments
|
|
(303
|
)
|
|
(694
|
)
|
|
(832
|
)
|
|||
Segment Earnings before income tax (expense) benefit
|
|
2,147
|
|
|
5,514
|
|
|
(172
|
)
|
|||
Income tax (expense) benefit
|
|
(600
|
)
|
|
282
|
|
|
8
|
|
|||
Segment Earnings (loss), net of taxes
|
|
1,547
|
|
|
5,796
|
|
|
(164
|
)
|
|||
Total other comprehensive income (loss), net of taxes
|
|
(10
|
)
|
|
49
|
|
|
(63
|
)
|
|||
Total comprehensive income (loss)
|
|
$
|
1,537
|
|
|
$
|
5,845
|
|
|
$
|
(227
|
)
|
Key metrics:
|
|
|
|
|
|
|
||||||
Balances and Volume (in billions, except rate):
|
|
|
|
|
|
|
||||||
Average balance of single-family credit guarantee portfolio and HFA guarantees
|
|
$
|
1,655
|
|
|
$
|
1,644
|
|
|
$
|
1,692
|
|
Issuance — Single-family credit guarantees
(2)
|
|
$
|
260
|
|
|
$
|
435
|
|
|
$
|
446
|
|
Fixed-rate products — Percentage of purchases
|
|
94
|
%
|
|
96
|
%
|
|
96
|
%
|
|||
Liquidation rate — Single-family credit guarantees
(3)
|
|
15
|
%
|
|
28
|
%
|
|
33
|
%
|
|||
Average Management and Guarantee Rate (in bps)
|
|
|
|
|
|
|
||||||
Segment Earnings management and guarantee income
(4)
|
|
31.2
|
|
|
30.0
|
|
|
25.9
|
|
|||
Guarantee fee charged on new acquisitions
(5)
|
|
57.4
|
|
|
51.4
|
|
|
38.3
|
|
|||
Credit:
|
|
|
|
|
|
|
||||||
Serious delinquency rate, at end of period
|
|
1.88
|
%
|
|
2.39
|
%
|
|
3.25
|
%
|
|||
REO inventory, at end of period (number of properties)
|
|
25,768
|
|
|
47,307
|
|
|
49,071
|
|
|||
Single-family credit losses, in bps
|
|
23.4
|
|
|
28.8
|
|
|
68.3
|
|
|||
Market:
|
|
|
|
|
|
|
||||||
Single-family mortgage debt outstanding (total U.S. market, in billions)
(6)
|
|
$
|
9,855
|
|
|
$
|
9,887
|
|
|
$
|
9,983
|
|
(1)
|
Includes interest expense associated with our STACR debt notes that we began issuing in July 2013.
|
(2)
|
Includes conversions of previously issued other guarantee commitments into Freddie Mac mortgage-related securities.
|
(3)
|
Calculated based on 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. Also includes terminations of other guarantee commitments.
|
(4)
|
Calculated based on 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.
|
(5)
|
Represents the estimated average 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.
|
(6)
|
Source: Federal Reserve Financial Accounts of the United States of America dated December 11, 2014. The outstanding amounts reflect the balances as of September 30, 2014.
|
|
69
|
Freddie Mac
|
|
70
|
Freddie Mac
|
|
71
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(dollars in millions)
|
||||||||||
Segment Earnings:
|
|
|
|
|
|
||||||
Net interest income
|
$
|
2,966
|
|
|
$
|
3,525
|
|
|
$
|
5,726
|
|
Non-interest income (loss):
|
|
|
|
|
|
||||||
Net impairment of available-for-sale securities recognized in earnings
|
(140
|
)
|
|
(974
|
)
|
|
(1,831
|
)
|
|||
Derivative gains (losses)
|
(5,158
|
)
|
|
5,543
|
|
|
1,034
|
|
|||
Gains (losses) on trading securities
|
(276
|
)
|
|
(1,466
|
)
|
|
(1,794
|
)
|
|||
Non-agency mortgage-related securities settlements
|
6,084
|
|
|
5,501
|
|
|
—
|
|
|||
Other non-interest income
|
2,797
|
|
|
3,401
|
|
|
2,719
|
|
|||
Total non-interest income (loss)
|
3,307
|
|
|
12,005
|
|
|
128
|
|
|||
Non-interest expense:
|
|
|
|
|
|
||||||
Administrative expense
|
(437
|
)
|
|
(523
|
)
|
|
(430
|
)
|
|||
Other non-interest expense (income)
|
(6
|
)
|
|
349
|
|
|
(1
|
)
|
|||
Total non-interest expense
|
(443
|
)
|
|
(174
|
)
|
|
(431
|
)
|
|||
Segment adjustments
|
635
|
|
|
1,037
|
|
|
799
|
|
|||
Segment Earnings before income tax (expense) benefit
|
6,465
|
|
|
16,393
|
|
|
6,222
|
|
|||
Income tax (expense) benefit
|
(1,945
|
)
|
|
(463
|
)
|
|
1,145
|
|
|||
Segment Earnings, net of taxes
|
4,520
|
|
|
15,930
|
|
|
7,367
|
|
|||
Total other comprehensive income, net of taxes
|
1,951
|
|
|
4,357
|
|
|
4,030
|
|
|||
Comprehensive income
|
$
|
6,471
|
|
|
$
|
20,287
|
|
|
$
|
11,397
|
|
Key metrics:
|
|
|
|
|
|
||||||
Portfolio balances:
|
|
|
|
|
|
||||||
Average balances of interest-earning assets (based on amortized cost):
|
|
|
|
|
|
||||||
Mortgage-related securities
(1)
|
$
|
235,847
|
|
|
$
|
278,200
|
|
|
$
|
308,698
|
|
Non-mortgage-related investments
(2)
|
63,408
|
|
|
97,070
|
|
|
98,176
|
|
|||
Single-family unsecuritized performing loans
|
83,023
|
|
|
88,827
|
|
|
97,951
|
|
|||
Total average balances of interest-earning assets
|
$
|
382,278
|
|
|
$
|
464,097
|
|
|
$
|
504,825
|
|
Return:
|
|
|
|
|
|
||||||
Net interest yield — Segment Earnings basis
|
0.78
|
%
|
|
0.76
|
%
|
|
1.13
|
%
|
(1)
|
Includes our investments in single-family PCs and certain Other Guarantee Transactions, which are consolidated under GAAP on our consolidated balance sheets.
|
(2)
|
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.
|
|
72
|
Freddie Mac
|
|
73
|
Freddie Mac
|
|
74
|
Freddie Mac
|
|
|
Year Ended December 31,
|
||||||||||
|
|
2014
|
|
2013
|
|
2012
|
||||||
|
|
(dollars in millions)
|
||||||||||
Segment Earnings:
|
|
|
|
|
|
|
||||||
Net interest income
|
|
$
|
948
|
|
|
$
|
1,186
|
|
|
$
|
1,291
|
|
Benefit for credit losses
|
|
55
|
|
|
218
|
|
|
123
|
|
|||
Non-interest income:
|
|
|
|
|
|
|
||||||
Management and guarantee income
|
|
254
|
|
|
206
|
|
|
151
|
|
|||
Gains (losses) on mortgage loans
|
|
870
|
|
|
(336
|
)
|
|
1,010
|
|
|||
Derivative gains
|
|
335
|
|
|
1,281
|
|
|
943
|
|
|||
Other non-interest income
|
|
234
|
|
|
1,203
|
|
|
294
|
|
|||
Total non-interest income
|
|
1,693
|
|
|
2,354
|
|
|
2,398
|
|
|||
Non-interest expense:
|
|
|
|
|
|
|
||||||
Administrative expense
|
|
(274
|
)
|
|
(257
|
)
|
|
(241
|
)
|
|||
REO operations income
|
|
9
|
|
|
16
|
|
|
3
|
|
|||
Other non-interest expense
|
|
(23
|
)
|
|
(24
|
)
|
|
(129
|
)
|
|||
Total non-interest expense
|
|
(288
|
)
|
|
(265
|
)
|
|
(367
|
)
|
|||
Segment Earnings before income tax expense
|
|
2,408
|
|
|
3,493
|
|
|
3,445
|
|
|||
Income tax expense
|
|
(772
|
)
|
|
(443
|
)
|
|
(454
|
)
|
|||
Segment Earnings, net of taxes
|
|
1,636
|
|
|
3,050
|
|
|
2,991
|
|
|||
Total other comprehensive income (loss), net of taxes
|
|
(177
|
)
|
|
(1,595
|
)
|
|
1,090
|
|
|||
Total comprehensive income
|
|
$
|
1,459
|
|
|
$
|
1,455
|
|
|
$
|
4,081
|
|
Key metrics:
|
|
|
|
|
|
|
||||||
New Business Activity:
|
|
|
|
|
|
|
||||||
Multifamily new business activity
|
|
$
|
28,336
|
|
|
$
|
25,872
|
|
|
$
|
28,774
|
|
Multifamily units financed from new business activity
|
|
413,367
|
|
|
387,940
|
|
|
435,653
|
|
|||
Securitization Activity:
(1)
|
|
|
|
|
|
|
||||||
Multifamily securitization transactions — guaranteed portion
|
|
$
|
19,219
|
|
|
$
|
24,554
|
|
|
$
|
17,922
|
|
Multifamily securitization transactions — unguaranteed portion
(2)
|
|
$
|
3,152
|
|
|
$
|
4,588
|
|
|
$
|
3,281
|
|
Average subordination, at issuance
|
|
14.1
|
%
|
|
15.7
|
%
|
|
15.5
|
%
|
|||
K Certificate guarantees:
|
|
|
|
|
|
|
||||||
Average guarantee fee rate, in bps
|
|
21.0
|
|
|
19.7
|
|
|
19.0
|
|
|||
Average K Certificate guaranteed UPB
|
|
$
|
67,025
|
|
|
$
|
49,197
|
|
|
$
|
28,154
|
|
Credit:
|
|
|
|
|
|
|
||||||
Multifamily mortgage portfolio delinquency rate (at period end):
|
|
|
|
|
|
|
||||||
K Certificates
|
|
0.01
|
%
|
|
0.07
|
%
|
|
0.07
|
%
|
|||
All other
|
|
0.07
|
%
|
|
0.11
|
%
|
|
0.25
|
%
|
|||
Total
|
|
0.04
|
%
|
|
0.09
|
%
|
|
0.19
|
%
|
|||
REO inventory, at period end (number of properties)
|
|
—
|
|
|
1
|
|
|
6
|
|
(1)
|
Consists primarily of K Certificate transactions.
|
(2)
|
Represents subordinated securities (i.e., CMBS), which are not issued or guaranteed by us.
|
|
75
|
Freddie Mac
|
|
76
|
Freddie Mac
|
|
December 31,
|
||||||||||||||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||||||||||||||
|
Amortized
Cost |
|
Fair Value
|
|
Amortized
Cost |
|
Fair Value
|
|
Amortized
Cost
|
|
Fair Value
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Available-for-sale mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Freddie Mac
|
$
|
37,710
|
|
|
$
|
39,099
|
|
|
$
|
39,001
|
|
|
$
|
40,659
|
|
|
$
|
53,965
|
|
|
$
|
58,515
|
|
Fannie Mae
|
10,860
|
|
|
11,313
|
|
|
10,140
|
|
|
10,797
|
|
|
14,183
|
|
|
15,280
|
|
||||||
Ginnie Mae
|
183
|
|
|
199
|
|
|
149
|
|
|
167
|
|
|
183
|
|
|
209
|
|
||||||
CMBS
|
20,988
|
|
|
21,822
|
|
|
29,151
|
|
|
30,338
|
|
|
47,606
|
|
|
51,307
|
|
||||||
Subprime
|
20,210
|
|
|
20,589
|
|
|
29,897
|
|
|
27,499
|
|
|
35,503
|
|
|
26,457
|
|
||||||
Option ARM
|
5,460
|
|
|
5,649
|
|
|
6,617
|
|
|
6,574
|
|
|
7,454
|
|
|
5,717
|
|
||||||
Alt-A and other
|
4,500
|
|
|
5,043
|
|
|
8,322
|
|
|
8,706
|
|
|
11,861
|
|
|
10,904
|
|
||||||
Obligations of states and political subdivisions
|
2,166
|
|
|
2,198
|
|
|
3,533
|
|
|
3,495
|
|
|
5,647
|
|
|
5,798
|
|
||||||
Manufactured housing
|
556
|
|
|
638
|
|
|
629
|
|
|
684
|
|
|
716
|
|
|
709
|
|
||||||
Total investments in available-for-sale mortgage-related securities
|
$
|
102,633
|
|
|
$
|
106,550
|
|
|
$
|
127,439
|
|
|
$
|
128,919
|
|
|
$
|
177,118
|
|
|
$
|
174,896
|
|
|
December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Trading mortgage-related securities:
|
|
|
|
|
|
||||||
Freddie Mac
|
$
|
17,469
|
|
|
$
|
9,349
|
|
|
$
|
10,354
|
|
Fannie Mae
|
6,099
|
|
|
7,180
|
|
|
10,338
|
|
|||
Ginnie Mae
|
16
|
|
|
98
|
|
|
131
|
|
|||
Other
|
171
|
|
|
141
|
|
|
156
|
|
|||
Total trading mortgage-related securities
|
23,755
|
|
|
16,768
|
|
|
20,979
|
|
|||
Trading non-mortgage-related securities:
|
|
|
|
|
|
||||||
Asset-backed securities
|
—
|
|
|
—
|
|
|
292
|
|
|||
U.S. Treasury securities
|
6,682
|
|
|
6,636
|
|
|
20,221
|
|
|||
Total trading non-mortgage-related securities
|
6,682
|
|
|
6,636
|
|
|
20,513
|
|
|||
Total fair value of investments in trading securities
|
$
|
30,437
|
|
|
$
|
23,404
|
|
|
$
|
41,492
|
|
|
77
|
Freddie Mac
|
|
December 31, 2014
|
|
December 31, 2013
|
||||||||||||||||||||
|
Fixed
Rate
|
|
Variable
Rate
(1)
|
|
Total
|
|
Fixed
Rate
|
|
Variable
Rate
(1)
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Freddie Mac mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family
|
$
|
41,340
|
|
|
$
|
6,552
|
|
|
$
|
47,892
|
|
|
$
|
38,472
|
|
|
$
|
4,401
|
|
|
$
|
42,873
|
|
Multifamily
|
1,897
|
|
|
1,429
|
|
|
3,326
|
|
|
1,318
|
|
|
1,469
|
|
|
2,787
|
|
||||||
Total Freddie Mac mortgage-related securities
|
43,237
|
|
|
7,981
|
|
|
51,218
|
|
|
39,790
|
|
|
5,870
|
|
|
45,660
|
|
||||||
Non-Freddie Mac mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Agency securities:
(2)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fannie Mae:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family
|
6,852
|
|
|
9,303
|
|
|
16,155
|
|
|
7,240
|
|
|
9,421
|
|
|
16,661
|
|
||||||
Multifamily
|
—
|
|
|
—
|
|
|
—
|
|
|
3
|
|
|
—
|
|
|
3
|
|
||||||
Ginnie Mae:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family
|
119
|
|
|
67
|
|
|
186
|
|
|
150
|
|
|
78
|
|
|
228
|
|
||||||
Multifamily
|
12
|
|
|
—
|
|
|
12
|
|
|
15
|
|
|
—
|
|
|
15
|
|
||||||
Total Non-Freddie Mac agency securities
|
6,983
|
|
|
9,370
|
|
|
16,353
|
|
|
7,408
|
|
|
9,499
|
|
|
16,907
|
|
||||||
Non-agency mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family:
(3)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Subprime
|
11
|
|
|
27,675
|
|
|
27,686
|
|
|
116
|
|
|
39,583
|
|
|
39,699
|
|
||||||
Option ARM
|
—
|
|
|
8,287
|
|
|
8,287
|
|
|
—
|
|
|
10,426
|
|
|
10,426
|
|
||||||
Alt-A and other
|
955
|
|
|
5,035
|
|
|
5,990
|
|
|
1,417
|
|
|
9,594
|
|
|
11,011
|
|
||||||
CMBS
(3)
|
9,326
|
|
|
11,886
|
|
|
21,212
|
|
|
13,069
|
|
|
16,254
|
|
|
29,323
|
|
||||||
Obligations of states and political subdivisions
(4)
|
2,157
|
|
|
12
|
|
|
2,169
|
|
|
3,524
|
|
|
14
|
|
|
3,538
|
|
||||||
Manufactured housing
|
521
|
|
|
183
|
|
|
704
|
|
|
577
|
|
|
201
|
|
|
778
|
|
||||||
Total non-agency mortgage-related securities
|
12,970
|
|
|
53,078
|
|
|
66,048
|
|
|
18,703
|
|
|
76,072
|
|
|
94,775
|
|
||||||
Total UPB of mortgage-related securities
|
$
|
63,190
|
|
|
$
|
70,429
|
|
|
133,619
|
|
|
$
|
65,901
|
|
|
$
|
91,441
|
|
|
157,342
|
|
||
Premiums, discounts, deferred fees, impairments of UPB and other basis adjustments
|
|
|
|
|
(8,187
|
)
|
|
|
|
|
|
(14,036
|
)
|
||||||||||
Net unrealized gains (losses) on mortgage-related securities, pre-tax
|
|
|
|
|
4,873
|
|
|
|
|
|
|
2,381
|
|
||||||||||
Total carrying value of mortgage-related securities
|
|
|
|
|
$
|
130,305
|
|
|
|
|
|
|
$
|
145,687
|
|
(1)
|
Variable-rate mortgage-related securities include those with a contractual coupon rate that, prior to contractual maturity, is either scheduled to change or subject to change based on changes in the composition of the underlying collateral.
|
(2)
|
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.
|
(3)
|
For information about how these securities are rated, see ‘‘
Table 32 — Ratings of Non-Agency Mortgage-Related Securities Backed by Subprime, Option ARM, Alt-A and Other Loans, and CMBS
.’’
|
(4)
|
Consists of housing revenue bonds. Approximately 31% and 28% of these securities held at
December 31, 2014
and 2013, respectively, were AAA-rated as of those dates, based on the UPB and the lowest rating available.
|
|
78
|
Freddie Mac
|
|
December 31, 2014
|
|
December 31, 2013
|
||||||||||||
|
UPB
|
|
Fair Value
|
|
UPB
|
|
Fair Value
|
||||||||
|
(in millions)
|
||||||||||||||
Agency pass-through securities
|
$
|
11,289
|
|
|
$
|
12,196
|
|
|
$
|
12,951
|
|
|
$
|
13,867
|
|
Other agency securities:
|
|
|
|
|
|
|
|
||||||||
Interest-only securities
|
—
|
|
|
2,093
|
|
|
—
|
|
|
1,966
|
|
||||
Principal-only securities
|
2,427
|
|
|
2,086
|
|
|
2,724
|
|
|
2,252
|
|
||||
Inverse floating-rate securities
(1)
|
1,156
|
|
|
1,619
|
|
|
1,594
|
|
|
2,280
|
|
||||
REMICs and Other Structured Securities
|
52,699
|
|
|
56,201
|
|
|
45,298
|
|
|
47,885
|
|
||||
Total agency securities
|
67,571
|
|
|
74,195
|
|
|
62,567
|
|
|
68,250
|
|
||||
Non-agency securities
|
66,048
|
|
|
56,110
|
|
|
94,775
|
|
|
77,437
|
|
||||
Total mortgage-related securities
|
$
|
133,619
|
|
|
$
|
130,305
|
|
|
$
|
157,342
|
|
|
$
|
145,687
|
|
(1)
|
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.
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Non-Freddie Mac mortgage-related securities purchased for resecuritization:
|
|
|
|
|
|
||||||
Ginnie Mae Certificates
|
$
|
—
|
|
|
$
|
26
|
|
|
$
|
21
|
|
Non-Freddie Mac mortgage-related securities purchased as investments in securities:
|
|
|
|
|
|
||||||
Agency securities:
|
|
|
|
|
|
||||||
Fannie Mae:
|
|
|
|
|
|
||||||
Fixed-rate
|
2,695
|
|
|
4,251
|
|
|
—
|
|
|||
Variable-rate
|
5,005
|
|
|
50
|
|
|
170
|
|
|||
Total Fannie Mae
|
7,700
|
|
|
4,301
|
|
|
170
|
|
|||
Ginnie Mae:
|
|
|
|
|
|
||||||
Variable-rate
|
73
|
|
|
—
|
|
|
—
|
|
|||
Total non-Freddie Mac agency securities
|
7,773
|
|
|
4,301
|
|
|
170
|
|
|||
Non-agency mortgage-related securities:
|
|
|
|
|
|
||||||
CMBS:
(1)
|
|
|
|
|
|
||||||
Variable-rate
|
35
|
|
|
—
|
|
|
—
|
|
|||
Total non-agency mortgage-related securities
|
35
|
|
|
—
|
|
|
—
|
|
|||
Total non-Freddie Mac mortgage-related securities purchased as investments in securities
|
7,808
|
|
|
4,301
|
|
|
170
|
|
|||
Total non-Freddie Mac mortgage-related securities purchased
|
$
|
7,808
|
|
|
$
|
4,327
|
|
|
$
|
191
|
|
Freddie Mac mortgage-related securities purchased:
(2)
|
|
|
|
|
|
||||||
Single-family:
|
|
|
|
|
|
||||||
Fixed-rate
|
$
|
43,922
|
|
|
$
|
44,760
|
|
|
$
|
13,272
|
|
Variable-rate
|
7,568
|
|
|
296
|
|
|
3,045
|
|
|||
Multifamily:
|
|
|
|
|
|
||||||
Fixed-rate
|
392
|
|
|
—
|
|
|
119
|
|
|||
Total Freddie Mac mortgage-related securities purchased
|
$
|
51,882
|
|
|
$
|
45,056
|
|
|
$
|
16,436
|
|
(1)
|
Consists of our purchases of subordinated tranches issued in K Certificate transactions.
|
(2)
|
Primarily consists of purchases of Freddie Mac mortgage-related securities from third parties.
|
|
79
|
Freddie Mac
|
•
|
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.
|
•
|
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 — Mortgage Credit Risk Overview —
Single-Family Mortgage Credit Risk Framework and Profile
—
Monitoring Loan Performance
.”
|
|
80
|
Freddie Mac
|
|
As of
|
||||||||||||||||||
|
12/31/2014
|
|
9/30/2014
|
|
6/30/2014
|
|
3/31/2014
|
|
12/31/2013
|
||||||||||
|
(dollars in millions)
|
||||||||||||||||||
UPB:
(1)
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime
|
$
|
27,682
|
|
|
$
|
30,706
|
|
|
$
|
34,083
|
|
|
$
|
37,958
|
|
|
$
|
39,694
|
|
Option ARM
|
8,287
|
|
|
8,493
|
|
|
9,716
|
|
|
10,197
|
|
|
10,426
|
|
|||||
Alt-A
|
4,549
|
|
|
4,995
|
|
|
6,339
|
|
|
7,904
|
|
|
9,147
|
|
|||||
Gross unrealized losses, pre-tax:
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime
|
$
|
610
|
|
|
$
|
880
|
|
|
$
|
1,577
|
|
|
$
|
2,037
|
|
|
$
|
2,780
|
|
Option ARM
|
183
|
|
|
223
|
|
|
346
|
|
|
381
|
|
|
381
|
|
|||||
Alt-A
|
32
|
|
|
30
|
|
|
59
|
|
|
83
|
|
|
135
|
|
|||||
Present value of expected future credit losses:
(2)(3)
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime
|
$
|
4,262
|
|
|
$
|
4,568
|
|
|
$
|
4,954
|
|
|
$
|
6,024
|
|
|
$
|
6,400
|
|
Option ARM
|
987
|
|
|
1,161
|
|
|
1,470
|
|
|
1,651
|
|
|
1,802
|
|
|||||
Alt-A
|
457
|
|
|
546
|
|
|
785
|
|
|
1,084
|
|
|
1,165
|
|
|||||
Collateral delinquency rate:
(4)
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime
|
32
|
%
|
|
32
|
%
|
|
33
|
%
|
|
34
|
%
|
|
35
|
%
|
|||||
Option ARM
|
27
|
|
|
27
|
|
|
29
|
|
|
31
|
|
|
32
|
|
|||||
Alt-A
|
20
|
|
|
20
|
|
|
21
|
|
|
22
|
|
|
22
|
|
|||||
Average credit enhancement:
(5)
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime
|
9
|
%
|
|
9
|
%
|
|
6
|
%
|
|
7
|
%
|
|
9
|
%
|
|||||
Option ARM
|
—
|
|
|
—
|
|
|
(2
|
)
|
|
(1
|
)
|
|
—
|
|
|||||
Alt-A
|
2
|
|
|
2
|
|
|
(1
|
)
|
|
(1
|
)
|
|
—
|
|
|||||
Cumulative collateral loss:
(6)
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime
|
32
|
%
|
|
32
|
%
|
|
32
|
%
|
|
31
|
%
|
|
30
|
%
|
|||||
Option ARM
|
25
|
|
|
25
|
|
|
25
|
|
|
24
|
|
|
24
|
|
|||||
Alt-A
|
15
|
|
|
15
|
|
|
15
|
|
|
15
|
|
|
13
|
|
(1)
|
Not affected by settlement amounts we received 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)
|
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.
|
(3)
|
We regularly evaluate the underlying estimates and models we use when determining the present value of expected future credit losses and update our assumptions to reflect our historical experience and current view of economic factors. As a result, data in different periods may not be comparable.
|
(4)
|
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.
|
(5)
|
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 total UPB of all of the securities issued by the trust (excluding notional balances). Only includes credit enhancement provided by subordinated securities; excludes credit enhancement provided by bond insurance. 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. Average credit enhancements increased at September 30, 2014 primarily due to sales of non-agency mortgage-related securities included as part of a settlement agreement in the third quarter of 2014.
|
(6)
|
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.
|
|
81
|
Freddie Mac
|
|
Three Months Ended
|
||||||||||||||||||
|
12/31/2014
|
|
9/30/2014
|
|
6/30/2014
|
|
3/31/2014
|
|
12/31/2013
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Principal repayments and cash shortfalls:
(1)
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime:
|
|
|
|
|
|
|
|
|
|
||||||||||
Principal repayments
|
$
|
770
|
|
|
$
|
845
|
|
|
$
|
877
|
|
|
$
|
889
|
|
|
$
|
1,021
|
|
Principal cash shortfalls
|
2
|
|
|
5
|
|
|
3
|
|
|
(4
|
)
|
|
8
|
|
|||||
Option ARM:
|
|
|
|
|
|
|
|
|
|
||||||||||
Principal repayments
|
$
|
154
|
|
|
$
|
158
|
|
|
$
|
157
|
|
|
$
|
142
|
|
|
$
|
192
|
|
Principal cash shortfalls
|
52
|
|
|
74
|
|
|
93
|
|
|
88
|
|
|
100
|
|
|||||
Alt-A and other:
|
|
|
|
|
|
|
|
|
|
||||||||||
Principal repayments
|
$
|
199
|
|
|
$
|
225
|
|
|
$
|
285
|
|
|
$
|
247
|
|
|
$
|
324
|
|
Principal cash shortfalls
|
21
|
|
|
25
|
|
|
31
|
|
|
41
|
|
|
43
|
|
(1)
|
Not affected by settlement amounts we received related to our investments in certain non-agency mortgage-related securities.
|
|
82
|
Freddie Mac
|
|
83
|
Freddie Mac
|
Credit Ratings as of December 31, 2014
|
UPB
|
|
Percentage
of UPB
|
|
Amortized
Cost
|
|
Gross
Unrealized
Losses
|
|
Bond
Insurance
Coverage
(1)
|
|||||||||
|
(dollars in millions)
|
|||||||||||||||||
Subprime, option ARM, Alt-A and other loans:
|
|
|
|
|
|
|
|
|
|
|||||||||
AAA-rated
|
$
|
21
|
|
|
—
|
%
|
|
$
|
20
|
|
|
$
|
—
|
|
|
$
|
7
|
|
Other investment grade
|
1,456
|
|
|
3
|
|
|
1,378
|
|
|
(10
|
)
|
|
390
|
|
||||
Below investment grade
(2)
|
40,486
|
|
|
97
|
|
|
28,773
|
|
|
(818
|
)
|
|
2,349
|
|
||||
Total
|
$
|
41,963
|
|
|
100
|
%
|
|
$
|
30,171
|
|
|
$
|
(828
|
)
|
|
$
|
2,746
|
|
CMBS:
|
|
|
|
|
|
|
|
|
|
|||||||||
AAA-rated
|
$
|
8,998
|
|
|
42
|
%
|
|
$
|
9,003
|
|
|
$
|
—
|
|
|
$
|
40
|
|
Other investment grade
|
10,512
|
|
|
50
|
|
|
10,459
|
|
|
(11
|
)
|
|
1,639
|
|
||||
Below investment grade
(2)
|
1,702
|
|
|
8
|
|
|
1,686
|
|
|
(45
|
)
|
|
1,546
|
|
||||
Total
|
$
|
21,212
|
|
|
100
|
%
|
|
$
|
21,148
|
|
|
$
|
(56
|
)
|
|
$
|
3,225
|
|
Total subprime, option ARM, Alt-A and other loans, and CMBS:
|
|
|
|
|
|
|
|
|
|
|||||||||
AAA-rated
|
$
|
9,019
|
|
|
14
|
%
|
|
$
|
9,023
|
|
|
$
|
—
|
|
|
$
|
47
|
|
Other investment grade
|
11,968
|
|
|
19
|
|
|
11,837
|
|
|
(21
|
)
|
|
2,029
|
|
||||
Below investment grade
(2)
|
42,188
|
|
|
67
|
|
|
30,459
|
|
|
(863
|
)
|
|
3,895
|
|
||||
Total
|
$
|
63,175
|
|
|
100
|
%
|
|
$
|
51,319
|
|
|
$
|
(884
|
)
|
|
$
|
5,971
|
|
Total investments in mortgage-related securities
|
$
|
133,619
|
|
|
|
|
|
|
|
|
|
|||||||
Percentage of subprime, option ARM, Alt-A and other loans, and CMBS of total investments in mortgage-related securities
|
47
|
%
|
|
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||
Credit Ratings as of December 31, 2013
|
|
|
|
|
|
|
|
|
|
|||||||||
Subprime, option ARM, Alt-A and other loans:
|
|
|
|
|
|
|
|
|
|
|||||||||
AAA-rated
|
$
|
114
|
|
|
—
|
%
|
|
$
|
110
|
|
|
$
|
(1
|
)
|
|
$
|
7
|
|
Other investment grade
|
2,417
|
|
|
4
|
|
|
2,308
|
|
|
(39
|
)
|
|
582
|
|
||||
Below investment grade
(2)
|
58,605
|
|
|
96
|
|
|
42,420
|
|
|
(3,263
|
)
|
|
2,936
|
|
||||
Total
|
$
|
61,136
|
|
|
100
|
%
|
|
$
|
44,838
|
|
|
$
|
(3,303
|
)
|
|
$
|
3,525
|
|
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
|
%
|
|
|
|
|
|
|
|
|
(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.
|
|
84
|
Freddie Mac
|
|
Year Ended December 31,
|
|||||||||||||||||||
|
2014
|
|
2013
|
|
2012
|
|||||||||||||||
|
Amount
|
|
% of Total
(2)
|
|
Amount
|
|
% of Total
(2)
|
|
Amount
|
|
% of Total
(2)
|
|||||||||
|
(dollars in millions)
|
|||||||||||||||||||
Mortgage loan purchases and other guarantee commitment issuances:
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
30-year or more amortizing fixed-rate
|
$
|
192,458
|
|
|
68
|
%
|
|
$
|
287,773
|
|
|
63
|
%
|
|
$
|
275,632
|
|
|
60
|
%
|
20-year amortizing fixed-rate
|
8,677
|
|
|
3
|
|
|
21,658
|
|
|
5
|
|
|
29,614
|
|
|
7
|
|
|||
15-year amortizing fixed-rate
|
38,200
|
|
|
13
|
|
|
97,025
|
|
|
22
|
|
|
103,141
|
|
|
23
|
|
|||
Adjustable-rate
|
15,711
|
|
|
6
|
|
|
16,007
|
|
|
4
|
|
|
18,075
|
|
|
4
|
|
|||
FHA/VA and other governmental
|
207
|
|
|
—
|
|
|
279
|
|
|
—
|
|
|
387
|
|
|
—
|
|
|||
Total single-family
(3)
|
255,253
|
|
|
90
|
|
|
422,742
|
|
|
94
|
|
|
426,849
|
|
|
94
|
|
|||
Multifamily:
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
10-year
(4)
|
11,069
|
|
|
4
|
|
|
14,977
|
|
|
3
|
|
|
16,223
|
|
|
3
|
|
|||
7-year
(4)
|
11,773
|
|
|
4
|
|
|
7,393
|
|
|
2
|
|
|
8,045
|
|
|
2
|
|
|||
Other
(5)
|
5,494
|
|
|
2
|
|
|
3,502
|
|
|
1
|
|
|
4,506
|
|
|
1
|
|
|||
Total multifamily
(6)
|
28,336
|
|
|
10
|
|
|
25,872
|
|
|
6
|
|
|
28,774
|
|
|
6
|
|
|||
Total mortgage loan purchases and other guarantee commitment issuances
|
$
|
283,589
|
|
|
100
|
%
|
|
$
|
448,614
|
|
|
100
|
%
|
|
$
|
455,623
|
|
|
100
|
%
|
Percentage of mortgage loan purchases and other guarantee commitment issuances with credit enhancements
(7)
|
23
|
%
|
|
|
|
16
|
%
|
|
|
|
12
|
%
|
|
|
(1)
|
Excludes the removal of seriously delinquent loans and balloon/reset mortgages from PC trusts. Includes purchases of mortgage loans for securitization that were previously associated with other guarantee commitments.
|
(2)
|
Within these columns, "—" represents less than 0.5%.
|
(3)
|
Includes $21.1 billion, $29.0 billion, and $32.6 billion of conforming jumbo loan purchases and $0.3 billion, $1.0 billion, and $0.9 billion of conforming jumbo loans underlying other guarantee commitment issuances for the years ended
December 31, 2014
,
2013
, and
2012
, respectively. The UPB of conforming jumbo loans in our single-family credit guarantee portfolio as of
December 31, 2014
and
2013
was $79.1 billion and $69.0 billion, respectively. Includes issuances of other guarantee commitments on single-family loans of $2.6 billion, $9.9 billion, and $6.8 billion during the years ended
December 31, 2014
,
2013
, and
2012
, respectively.
|
(4)
|
Includes interest-only and amortizing loans that may either be fixed or adjustable-rate.
|
(5)
|
Includes other guarantee commitments on multifamily loans and multifamily mortgage loans with original maturities other than 10 years and 7 years.
|
(6)
|
Includes loans and bonds underlying tax-exempt securitization transactions.
|
|
85
|
Freddie Mac
|
(7)
|
Excludes credit enhancement coverage occurring subsequent to our purchase or guarantee, such as through STACR debt notes or other risk transfer transactions (e.g., K Certificate transactions).
|
|
86
|
Freddie Mac
|
|
|
December 31,
|
|||||||
|
|
2014
|
|
2013
|
|
2012
|
|||
|
|
(number of properties)
|
|||||||
REO Inventory
|
|
|
|
|
|
|
|||
Single-family:
|
|
|
|
|
|
|
|||
Inventory, beginning of period
|
|
47,307
|
|
|
49,071
|
|
|
60,535
|
|
Acquisitions, by region:
|
|
|
|
|
|
|
|||
Northeast
|
|
7,657
|
|
|
10,023
|
|
|
7,352
|
|
Southeast
|
|
15,183
|
|
|
23,827
|
|
|
23,906
|
|
North Central
|
|
10,662
|
|
|
20,834
|
|
|
27,586
|
|
Southwest
|
|
3,721
|
|
|
6,996
|
|
|
10,197
|
|
West
|
|
5,042
|
|
|
9,001
|
|
|
13,771
|
|
Total single-family acquisitions
|
|
42,265
|
|
|
70,681
|
|
|
82,812
|
|
Dispositions, by region:
|
|
|
|
|
|
|
|||
Northeast
|
|
(9,435
|
)
|
|
(7,071
|
)
|
|
(7,544
|
)
|
Southeast
|
|
(21,969
|
)
|
|
(20,956
|
)
|
|
(25,803
|
)
|
North Central
|
|
(18,785
|
)
|
|
(25,946
|
)
|
|
(28,137
|
)
|
Southwest
|
|
(5,905
|
)
|
|
(8,395
|
)
|
|
(12,134
|
)
|
West
|
|
(7,710
|
)
|
|
(10,077
|
)
|
|
(20,658
|
)
|
Total single-family dispositions
|
|
(63,804
|
)
|
|
(72,445
|
)
|
|
(94,276
|
)
|
Inventory, end of year
|
|
25,768
|
|
|
47,307
|
|
|
49,071
|
|
|
|
|
|
|
|
|
|||
Multifamily:
|
|
|
|
|
|
|
|||
Inventory, beginning of period
|
|
1
|
|
|
6
|
|
|
20
|
|
Acquisitions
|
|
1
|
|
|
4
|
|
|
6
|
|
Dispositions
|
|
(2
|
)
|
|
(9
|
)
|
|
(20
|
)
|
Inventory, end of year
|
|
—
|
|
|
1
|
|
|
6
|
|
Total inventory, end of year
|
|
25,768
|
|
|
47,308
|
|
|
49,077
|
|
(1)
|
See endnote (1) to “
Table 16 — Single-Family Charge-offs and Recoveries by Region
” for a description of these regions.
|
|
87
|
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,
|
||||||
|
2014
|
|
2013
|
||||
|
(in millions)
|
||||||
Total debt:
|
|
|
|
||||
Other debt:
|
|
|
|
||||
Par value
|
$
|
454,029
|
|
|
$
|
511,345
|
|
Unamortized balance of discounts and premiums
|
(3,918
|
)
|
|
(4,667
|
)
|
||
Hedging-related and other basis adjustments
|
(42
|
)
|
|
89
|
|
||
Subtotal
|
450,069
|
|
|
506,767
|
|
||
Debt securities of consolidated trusts held by third parties:
|
|
|
|
||||
UPB
|
1,440,325
|
|
|
1,399,456
|
|
||
Unamortized balance of discounts and premiums
|
39,148
|
|
|
34,528
|
|
||
Subtotal
|
1,479,473
|
|
|
1,433,984
|
|
||
Total debt, net
|
$
|
1,929,542
|
|
|
$
|
1,940,751
|
|
|
88
|
Freddie Mac
|
|
2014
|
||||||||||||||||
|
December 31,
|
|
Average Outstanding
During the Year
|
|
Maximum
Carrying Value
Outstanding at
Any Month End
|
||||||||||||
|
Carrying Value
|
|
Weighted
Average
Effective Rate
|
|
Carrying Value
(1)
|
|
Weighted
Average
Effective Rate
|
|
|||||||||
|
(dollars in millions)
|
||||||||||||||||
Reference Bills
®
securities and discount notes
|
$
|
134,619
|
|
|
0.12
|
%
|
|
$
|
116,388
|
|
|
0.12
|
%
|
|
$
|
134,619
|
|
Medium-term notes
|
—
|
|
|
—
|
|
|
750
|
|
|
0.16
|
|
|
4,000
|
|
|||
Federal funds purchased and securities sold under agreements to repurchase
|
—
|
|
|
—
|
|
|
15
|
|
|
0.11
|
|
|
—
|
|
|||
Other short-term debt
|
$
|
134,619
|
|
|
0.12
|
|
|
|
|
|
|
|
|||||
|
2013
|
||||||||||||||||
|
December 31,
|
|
Average Outstanding
During the Year
|
|
Maximum
Carrying Value
Outstanding at
Any Month End
|
||||||||||||
|
Carrying Value
|
|
Weighted
Average
Effective Rate
|
|
Carrying Value
(1)
|
|
Weighted
Average
Effective Rate
|
|
|||||||||
|
(dollars in millions)
|
||||||||||||||||
Reference Bills
®
securities and discount notes
|
$
|
137,712
|
|
|
0.13
|
%
|
|
$
|
130,919
|
|
|
0.13
|
%
|
|
$
|
140,082
|
|
Medium-term notes
|
4,000
|
|
|
0.16
|
|
|
2,291
|
|
|
0.16
|
|
|
4,000
|
|
|||
Federal funds purchased and securities sold under agreements to repurchase
|
—
|
|
|
—
|
|
|
15
|
|
|
0.16
|
|
|
—
|
|
|||
Other short-term debt
|
$
|
141,712
|
|
|
0.13
|
|
|
|
|
|
|
|
|||||
|
2012
|
||||||||||||||||
|
December 31,
|
|
Average Outstanding
During the Year
|
|
Maximum
Carrying Value
Outstanding at
Any Month End
|
||||||||||||
|
Carrying Value
|
|
Weighted
Average
Effective Rate
|
|
Carrying Value
(1)
|
|
Weighted
Average
Effective Rate
|
|
|||||||||
|
(dollars in millions)
|
||||||||||||||||
Reference Bills
®
securities and discount notes
|
$
|
117,889
|
|
|
0.15
|
%
|
|
$
|
126,919
|
|
|
0.14
|
%
|
|
$
|
155,285
|
|
Medium-term notes
|
—
|
|
|
—
|
|
|
21
|
|
|
0.44
|
|
|
250
|
|
|||
Federal funds purchased and securities sold under agreements to repurchase
|
—
|
|
|
—
|
|
|
12
|
|
|
0.28
|
|
|
—
|
|
|||
Other short-term debt
|
$
|
117,889
|
|
|
0.15
|
|
|
|
|
|
|
|
|
89
|
Freddie Mac
|
|
|
December 31, 2014
|
|
December 31, 2013
|
||||||||||||||||||||
|
|
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
|
|
$
|
1,088,340
|
|
|
$
|
—
|
|
|
$
|
1,088,340
|
|
|
$
|
1,040,602
|
|
|
$
|
—
|
|
|
$
|
1,040,602
|
|
20-year amortizing fixed-rate
|
|
78,603
|
|
|
—
|
|
|
78,603
|
|
|
81,214
|
|
|
—
|
|
|
81,214
|
|
||||||
15-year amortizing fixed-rate
|
|
278,282
|
|
|
—
|
|
|
278,282
|
|
|
291,347
|
|
|
—
|
|
|
291,347
|
|
||||||
Adjustable-rate
(1)
|
|
69,683
|
|
|
—
|
|
|
69,683
|
|
|
66,250
|
|
|
—
|
|
|
66,250
|
|
||||||
Interest-only
|
|
23,941
|
|
|
—
|
|
|
23,941
|
|
|
29,083
|
|
|
—
|
|
|
29,083
|
|
||||||
FHA/VA and other governmental
|
|
3,154
|
|
|
—
|
|
|
3,154
|
|
|
3,366
|
|
|
—
|
|
|
3,366
|
|
||||||
Total single-family
|
|
1,542,003
|
|
|
—
|
|
|
1,542,003
|
|
|
1,511,862
|
|
|
—
|
|
|
1,511,862
|
|
||||||
Multifamily
|
|
84
|
|
|
4,846
|
|
|
4,930
|
|
|
—
|
|
|
4,778
|
|
|
4,778
|
|
||||||
Total single-family and multifamily
|
|
1,542,087
|
|
|
4,846
|
|
|
1,546,933
|
|
|
1,511,862
|
|
|
4,778
|
|
|
1,516,640
|
|
||||||
Other Guarantee Transactions:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Non-HFA bonds:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family
(2)
|
|
7,030
|
|
|
2,760
|
|
|
9,790
|
|
|
8,396
|
|
|
3,079
|
|
|
11,475
|
|
||||||
Multifamily
|
|
440
|
|
|
75,730
|
|
|
76,170
|
|
|
444
|
|
|
59,326
|
|
|
59,770
|
|
||||||
Total Non-HFA bonds
|
|
7,470
|
|
|
78,490
|
|
|
85,960
|
|
|
8,840
|
|
|
62,405
|
|
|
71,245
|
|
||||||
HFA Initiative Bonds:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family
|
|
—
|
|
|
3,040
|
|
|
3,040
|
|
|
—
|
|
|
3,341
|
|
|
3,341
|
|
||||||
Multifamily
|
|
—
|
|
|
720
|
|
|
720
|
|
|
—
|
|
|
744
|
|
|
744
|
|
||||||
Total HFA Initiative Bonds
|
|
—
|
|
|
3,760
|
|
|
3,760
|
|
|
—
|
|
|
4,085
|
|
|
4,085
|
|
||||||
Total Other Guarantee Transactions
|
|
7,470
|
|
|
82,250
|
|
|
89,720
|
|
|
8,840
|
|
|
66,490
|
|
|
75,330
|
|
||||||
REMICs and Other Structured Securities backed by Ginnie Mae certificates
|
|
—
|
|
|
433
|
|
|
433
|
|
|
—
|
|
|
541
|
|
|
541
|
|
||||||
Total Freddie Mac Mortgage-Related Securities
|
|
$
|
1,549,557
|
|
|
$
|
87,529
|
|
|
$
|
1,637,086
|
|
|
$
|
1,520,702
|
|
|
$
|
71,809
|
|
|
$
|
1,592,511
|
|
Less: Repurchased Freddie Mac Mortgage-Related Securities
(3)
|
|
(109,232
|
)
|
|
|
|
|
|
(121,246
|
)
|
|
|
|
|
||||||||||
Total UPB of debt securities of consolidated trusts held by third parties
|
|
$
|
1,440,325
|
|
|
|
|
|
|
$
|
1,399,456
|
|
|
|
|
|
(1)
|
Includes $0.8 billion and $0.9 billion in UPB of option ARM mortgage loans as of
December 31, 2014
and 2013, respectively.
|
(2)
|
Backed by non-agency mortgage-related securities that include prime, FHA/VA, and subprime mortgage loans and also include $4.9 billion and $5.5 billion in UPB of securities backed by option ARM mortgage loans at
December 31, 2014
and 2013, respectively.
|
(3)
|
Our holdings of non-consolidated Freddie Mac mortgage-related securities are presented in “
Table 27 — Characteristics of Mortgage-Related Securities on Our Consolidated Balance Sheets
.”
|
|
90
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||
|
2014
|
|
2013
|
||||
|
(in millions)
|
||||||
Beginning balance of debt securities of consolidated trusts held by third parties
|
$
|
1,399,456
|
|
|
$
|
1,387,259
|
|
Issuances of debt securities of consolidated trusts
|
257,293
|
|
|
425,619
|
|
||
Debt securities of consolidated trusts retained by us at issuance
(1)
|
(47,792
|
)
|
|
(38,390
|
)
|
||
Net issuances of debt securities of consolidated trusts
|
209,501
|
|
|
387,229
|
|
||
Reissuances of debt securities of consolidated trusts previously held by us
(2)
|
92,053
|
|
|
55,704
|
|
||
Total issuances to third parties of debt securities of consolidated trusts
|
301,554
|
|
|
442,933
|
|
||
Extinguishments, net
(3)
|
(260,685
|
)
|
|
(430,736
|
)
|
||
Ending balance of debt securities of consolidated trusts held by third parties
|
$
|
1,440,325
|
|
|
$
|
1,399,456
|
|
(1)
|
Represents mortgage loans that we had purchased for cash, subsequently securitized, and retained in our mortgage-related investments portfolio.
|
(2)
|
Represents sales of PCs and certain Other Guarantee Transactions previously held by us.
|
(3)
|
Includes: (a) purchases of PCs and certain Other Guarantee Transactions from third parties; and (b) principal repayments related to PCs and certain Other Guarantee Transactions issued by our consolidated trusts.
|
|
Three Months Ended
|
|
Year
Ended
|
||||||||||||||||||||
|
12/31/2014
|
|
9/30/2014
|
|
6/30/2014
|
|
3/31/2014
|
|
12/31/2013
|
|
12/31/2014
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Beginning balance
|
$
|
5,186
|
|
|
$
|
4,290
|
|
|
$
|
6,899
|
|
|
$
|
12,835
|
|
|
$
|
33,436
|
|
|
$
|
12,835
|
|
Net income
|
227
|
|
|
2,081
|
|
|
1,362
|
|
|
4,020
|
|
|
8,613
|
|
|
7,690
|
|
||||||
Other comprehensive income (loss), net of taxes:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Changes in unrealized gains (losses) related to available-for-sale securities
|
22
|
|
|
656
|
|
|
479
|
|
|
427
|
|
|
970
|
|
|
1,584
|
|
||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships
|
46
|
|
|
50
|
|
|
49
|
|
|
52
|
|
|
66
|
|
|
197
|
|
||||||
Changes in defined benefit plans
|
(44
|
)
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
186
|
|
|
(45
|
)
|
||||||
Comprehensive income
|
251
|
|
|
2,786
|
|
|
1,890
|
|
|
4,499
|
|
|
9,835
|
|
|
9,426
|
|
||||||
Capital draw funded by Treasury
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Senior preferred stock dividends declared
|
(2,786
|
)
|
|
(1,890
|
)
|
|
(4,499
|
)
|
|
(10,435
|
)
|
|
(30,436
|
)
|
|
(19,610
|
)
|
||||||
Total equity/Net worth
|
$
|
2,651
|
|
|
$
|
5,186
|
|
|
$
|
4,290
|
|
|
$
|
6,899
|
|
|
$
|
12,835
|
|
|
$
|
2,651
|
|
Aggregate draws under the Purchase Agreement (as of period end)
(1)
|
$
|
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)
|
$
|
90,955
|
|
|
$
|
88,169
|
|
|
$
|
86,279
|
|
|
$
|
81,780
|
|
|
$
|
71,345
|
|
|
$
|
90,955
|
|
(1)
|
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 does not reduce the outstanding liquidation preference.
|
|
91
|
Freddie Mac
|
|
92
|
Freddie Mac
|
•
|
Original LTV Ratio:
We use the original LTV ratio to measure the ability of the underlying property to protect our interests in the loan. The higher the LTV ratio, the greater the risk we could incur a loss if the borrower defaults on the loan, as the proceeds we could obtain on the sale of the underlying property might not be enough to cover our exposure on the loan. We require credit enhancement on loans with an original LTV ratio greater than 80%. Due to our participation in HARP, we have purchased a significant number of loans that have LTV ratios over 100% in the last several years. HARP loans with LTV ratios over 100% represented 3% and 8% of our single-family mortgage purchases in
2014
and
2013
, respectively.
|
|
93
|
Freddie Mac
|
•
|
Credit Score:
We use credit scores as one measure for assessing the credit quality of a borrower. We primarily use FICO scores, which are currently the most commonly used credit scores. Statistically, borrowers with higher credit scores are more likely to repay or have the ability to refinance than those with lower scores. Credit scores presented in this Form 10-K are at the time of origination and may not be indicative of the borrowers’ creditworthiness at
December 31, 2014
.
|
•
|
Loan Purpose:
We use loan purpose to measure credit risk. Loan purpose indicates how the borrower intends to use the funds from a mortgage loan. For example, in a purchase transaction, the funds are used to acquire a property. Cash-out refinancings generally have had a higher risk of default than mortgages originated in other refinance or purchase transactions. In 2014, the portion of home purchase loans in our loan acquisition volume increased (and refinancing loans declined) compared to 2013.
|
•
|
Property and Occupancy Type: We use the property type and occupancy type to measure credit risk. Detached single-family houses and townhomes are the predominant type of single-family property. Condominiums are a property type that historically has experienced greater volatility in home prices than detached single-family residences. Condominium loans in our single-family credit guarantee portfolio have a higher percentage of first-time homebuyers and homebuyers whose purpose is for investment or a second home. Our single-family credit guarantee portfolio consists predominantly of first-lien mortgage loans secured by the borrower’s primary residence. Mortgage loans on properties occupied by the borrower as a primary residence tend to have a lower credit risk than mortgages on investment properties or second homes.
|
•
|
Geographic Concentration: We also monitor geographic concentrations. Local economic conditions can affect borrowers’ ability to repay loans and the value of the collateral underlying the loans. Because our business involves purchasing mortgages from every geographic region in the U.S., we maintain a geographically diverse single-family credit guarantee portfolio. In recent years, our credit losses have been greatest in those states that experienced significant cumulative declines in property values since 2006, such as California, Florida, Nevada and Arizona. See "
Table 47 — Credit Concentrations in the Single-Family Credit Guarantee Portfolio
," and “NOTE 15: CONCENTRATION OF CREDIT AND OTHER RISKS” for more information concerning the distribution of our single-family credit guarantee portfolio by geographic region.
|
•
|
Mortgages with Second Liens: We monitor mortgages with identified second liens at origination. The presence of a second lien can increase the risk that a borrower will default. Based on data collected by us at loan delivery, approximately 14% of the loans in our single-family credit guarantee portfolio, as of both
December 31, 2014
and
2013
, had second-lien financing by third parties at origination of the first mortgage. As of
December 31, 2014
and
2013
, we estimate that these loans comprised 18% and 17% of our seriously delinquent loans based on UPB, respectively. Borrowers are free to obtain second-lien financing after origination, and we are not entitled to receive notification when a borrower does so. Therefore, it is likely that additional borrowers have post-origination second-lien mortgages.
|
•
|
Attribute Combinations:
We monitor certain combinations of loan characteristics that often can indicate a higher degree of credit risk. For example, single-family mortgages with both high LTV ratios and borrowers who have lower credit scores typically experience higher rates of serious delinquency and default. We estimate that there were $12.5 billion and $12.8 billion of UPB at
December 31, 2014
and
2013
, respectively, of loans in our single-family credit guarantee portfolio with both original LTV ratios greater than 90% and credit scores less than 620 at the time of loan origination, and that $0.4 billion and $0.3 billion, respectively, of the UPB of such loans was in our New single-family book. We continue to purchase certain of these loans if they are covered by credit enhancements for the UPB in excess of 80% or if they are HARP loans. See “
Table 48 — Single-Family Credit Guarantee Portfolio by Attribute Combinations
” for information about certain attribute combinations of our single-family mortgage loans.
|
|
94
|
Freddie Mac
|
|
|
Percent of Purchases During the Year Ended December 31,
|
|||||||||||||||||||||||||
|
|
2014
|
|
2013
|
|
2012
|
|||||||||||||||||||||
|
|
Relief Refi
|
|
All Other
|
|
Total
|
|
Relief Refi
|
|
All Other
|
|
Total
|
|
Relief Refi
|
|
All Other
|
|
Total
|
|||||||||
Original LTV Ratio Range
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
60% and below
|
|
2
|
%
|
|
14
|
%
|
|
16
|
%
|
|
3
|
%
|
|
19
|
%
|
|
22
|
%
|
|
4
|
%
|
|
21
|
%
|
|
25
|
%
|
Above 60% to 70%
|
|
1
|
|
|
11
|
|
|
12
|
|
|
2
|
|
|
12
|
|
|
14
|
|
|
2
|
|
|
12
|
|
|
14
|
|
Above 70% to 80%
|
|
2
|
|
|
40
|
|
|
42
|
|
|
3
|
|
|
33
|
|
|
36
|
|
|
3
|
|
|
29
|
|
|
32
|
|
Above 80% to 100%
|
|
3
|
|
|
24
|
|
|
27
|
|
|
7
|
|
|
13
|
|
|
20
|
|
|
8
|
|
|
9
|
|
|
17
|
|
Above 100% to 125%
|
|
2
|
|
|
—
|
|
|
2
|
|
|
5
|
|
|
—
|
|
|
5
|
|
|
7
|
|
|
—
|
|
|
7
|
|
Above 125%
|
|
1
|
|
|
—
|
|
|
1
|
|
|
3
|
|
|
—
|
|
|
3
|
|
|
5
|
|
|
—
|
|
|
5
|
|
Total
|
|
11
|
%
|
|
89
|
%
|
|
100
|
%
|
|
23
|
%
|
|
77
|
%
|
|
100
|
%
|
|
29
|
%
|
|
71
|
%
|
|
100
|
%
|
Weighted average original LTV ratio
|
|
82
|
%
|
|
76
|
%
|
|
76
|
%
|
|
91
|
%
|
|
71
|
%
|
|
75
|
%
|
|
97
|
%
|
|
68
|
%
|
|
76
|
%
|
Credit Score
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
740 and above
|
|
5
|
%
|
|
56
|
%
|
|
61
|
%
|
|
11
|
%
|
|
55
|
%
|
|
66
|
%
|
|
17
|
%
|
|
55
|
%
|
|
72
|
%
|
700 to 739
|
|
2
|
|
|
20
|
|
|
22
|
|
|
5
|
|
|
15
|
|
|
20
|
|
|
6
|
|
|
11
|
|
|
17
|
|
660 to 699
|
|
2
|
|
|
10
|
|
|
12
|
|
|
4
|
|
|
6
|
|
|
10
|
|
|
4
|
|
|
4
|
|
|
8
|
|
620 to 659
|
|
1
|
|
|
3
|
|
|
4
|
|
|
2
|
|
|
1
|
|
|
3
|
|
|
1
|
|
|
1
|
|
|
2
|
|
Less than 620
|
|
1
|
|
|
—
|
|
|
1
|
|
|
1
|
|
|
—
|
|
|
1
|
|
|
1
|
|
|
—
|
|
|
1
|
|
Total
|
|
11
|
%
|
|
89
|
%
|
|
100
|
%
|
|
23
|
%
|
|
77
|
%
|
|
100
|
%
|
|
29
|
%
|
|
71
|
%
|
|
100
|
%
|
Weighted average credit score:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Total mortgages
|
|
713
|
|
|
748
|
|
|
744
|
|
|
727
|
|
|
756
|
|
|
749
|
|
|
740
|
|
|
762
|
|
|
756
|
|
|
|
|
Percent of Purchases During the Year Ended December 31,
|
|||||||
|
|
|
2014
|
|
2013
|
|
2012
|
|||
Loan Purpose
|
|
|
|
|
|
|
|
|||
Purchase
|
|
|
52
|
%
|
|
27
|
%
|
|
18
|
%
|
Cash-out refinance
|
|
|
17
|
|
|
16
|
|
|
15
|
|
Other refinance
(2)
|
|
|
31
|
|
|
57
|
|
|
67
|
|
Total
|
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
Property Type
|
|
|
|
|
|
|
|
|||
Detached/townhome
(3)
|
|
|
92
|
%
|
|
93
|
%
|
|
94
|
%
|
Condo/Co-op
|
|
|
8
|
|
|
7
|
|
|
6
|
|
Total
|
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
Occupancy Type
|
|
|
|
|
|
|
|
|||
Primary residence
|
|
|
88
|
%
|
|
88
|
%
|
|
91
|
%
|
Second/vacation home
|
|
|
4
|
|
|
4
|
|
|
4
|
|
Investment
|
|
|
8
|
|
|
8
|
|
|
5
|
|
Total
|
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
(1)
|
Within this table, "—" represents less than 0.5%.
|
(2)
|
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.
|
(3)
|
Includes manufactured housing and homes within planned unit development communities.
|
|
95
|
Freddie Mac
|
•
|
We transfer a portion of the credit risk on the position to investors through the issuance of STACR debt notes;
|
•
|
We may insure an additional portion of the position through an ACIS transaction; and
|
•
|
We retain the remaining credit risk related to the position.
|
|
96
|
Freddie Mac
|
|
|
Year Ended December 31,
|
||||||||||||||||||||||
|
|
2014
|
|
2013
|
||||||||||||||||||||
|
|
Retained by Freddie Mac
|
|
Transferred to Third Parties
|
|
Total
|
|
Retained by Freddie Mac
|
|
Transferred to Third Parties
|
|
Total
|
||||||||||||
|
|
(in millions)
|
||||||||||||||||||||||
Issuance information:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
First loss positions
|
|
$
|
683
|
|
|
$
|
—
|
|
|
$
|
683
|
|
|
$
|
174
|
|
|
$
|
—
|
|
|
$
|
174
|
|
Mezzanine loss positions:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
STACR debt notes
|
|
—
|
|
|
4,916
|
|
|
4,916
|
|
|
—
|
|
|
1,130
|
|
|
1,130
|
|
||||||
Non-issued (and ACIS)
(1)
|
|
1,623
|
|
|
439
|
|
|
2,062
|
|
|
356
|
|
|
78
|
|
|
434
|
|
||||||
Subtotal mezzanine loss positions
|
|
$
|
1,623
|
|
|
$
|
5,355
|
|
|
6,978
|
|
|
$
|
356
|
|
|
$
|
1,208
|
|
|
1,564
|
|
||
Senior (remaining) loss positions
|
|
$
|
139,823
|
|
|
$
|
—
|
|
|
139,823
|
|
|
$
|
56,174
|
|
|
$
|
—
|
|
|
56,174
|
|
||
Total reference pools
|
|
|
|
|
|
$
|
147,484
|
|
|
|
|
|
|
$
|
57,912
|
|
||||||||
Additional ACIS transactions
(2)
|
|
|
|
|
|
$
|
270
|
|
|
|
|
|
|
$
|
—
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
As of December 31, 2014
|
|
As of December 31, 2013
|
||||||||||||||||||||
|
|
Retained by Freddie Mac
|
|
Transferred to Third Parties
|
|
Total
|
|
Retained by Freddie Mac
|
|
Transferred to Third Parties
|
|
Total
|
||||||||||||
|
|
(in millions)
|
||||||||||||||||||||||
Remaining balance information:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
First loss positions
|
|
$
|
853
|
|
|
$
|
—
|
|
|
$
|
853
|
|
|
$
|
174
|
|
|
$
|
—
|
|
|
$
|
174
|
|
Mezzanine loss positions:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
STACR debt notes
|
|
—
|
|
|
5,896
|
|
|
5,896
|
|
|
—
|
|
|
1,107
|
|
|
1,107
|
|
||||||
Non-issued (and ACIS)
(1)
|
|
1,680
|
|
|
761
|
|
|
2,441
|
|
|
350
|
|
|
76
|
|
|
426
|
|
||||||
Subtotal mezzanine loss positions
|
|
$
|
1,680
|
|
|
$
|
6,657
|
|
|
8,337
|
|
|
$
|
350
|
|
|
$
|
1,183
|
|
|
1,533
|
|
||
Senior (remaining) loss positions
|
|
$
|
183,336
|
|
|
$
|
—
|
|
|
183,336
|
|
|
$
|
55,196
|
|
|
$
|
—
|
|
|
55,196
|
|
||
Total reference pools
|
|
|
|
|
|
$
|
192,526
|
|
|
|
|
|
|
$
|
56,903
|
|
(1)
|
Amounts retained by Freddie Mac represent the balance of our mezzanine loss positions in STACR transactions reduced by coverage under ACIS transactions. Amounts transferred to third parties represent coverage under ACIS transactions, and are the maximum amount of coverage provided by insurance counterparties to absorb a portion of our mezzanine losses. Not all of our non-issued, mezzanine positions had coverage under ACIS transactions at December 31, 2014.
|
(2)
|
Represents an ACIS transaction during 2014 that relates to the mezzanine loss position of a STACR transaction completed in 2013.
|
|
97
|
Freddie Mac
|
|
98
|
Freddie Mac
|
|
|
Portfolio Balance at December 31,
(2)
|
|||||||
|
|
2014
|
|
2013
|
|
2012
|
|||
Original LTV Ratio Range
|
|
|
|
|
|
|
|||
60% and below
|
|
21
|
%
|
|
22
|
%
|
|
22
|
%
|
Above 60% to 70%
|
|
14
|
|
|
15
|
|
|
15
|
|
Above 70% to 80%
|
|
38
|
|
|
38
|
|
|
40
|
|
Above 80% to 100%
|
|
21
|
|
|
19
|
|
|
18
|
|
Above 100%
|
|
6
|
|
|
6
|
|
|
5
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
Weighted average original LTV ratio
|
|
75
|
%
|
|
75
|
%
|
|
74
|
%
|
Estimated Current LTV Ratio Range
(3)
|
|
|
|
|
|
|
|||
60% and below
|
|
39
|
%
|
|
33
|
%
|
|
28
|
%
|
Above 60% to 70%
|
|
18
|
|
|
18
|
|
|
14
|
|
Above 70% to 80%
|
|
19
|
|
|
20
|
|
|
21
|
|
Above 80% to 90%
|
|
12
|
|
|
12
|
|
|
13
|
|
Above 90% to 100%
|
|
6
|
|
|
7
|
|
|
9
|
|
Above 100% to 120%
|
|
4
|
|
|
6
|
|
|
8
|
|
Above 120%
|
|
2
|
|
|
4
|
|
|
7
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
Weighted average estimated current LTV ratio:
|
|
|
|
|
|
|
|||
Relief refinance mortgages
|
|
75
|
%
|
|
81
|
%
|
|
83
|
%
|
All other mortgages
|
|
64
|
|
|
66
|
|
|
74
|
|
Total mortgages
|
|
66
|
|
|
69
|
|
|
75
|
|
Credit Score
(4)
|
|
|
|
|
|
|
|||
740 and above
|
|
58
|
%
|
|
58
|
%
|
|
56
|
%
|
700 to 739
|
|
20
|
|
|
20
|
|
|
21
|
|
660 to 699
|
|
13
|
|
|
13
|
|
|
14
|
|
620 to 659
|
|
6
|
|
|
6
|
|
|
6
|
|
Less than 620
|
|
3
|
|
|
3
|
|
|
3
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
Weighted average credit score:
|
|
|
|
|
|
|
|||
Relief refinance mortgages
|
|
733
|
|
|
735
|
|
|
741
|
|
All other mortgages
|
|
742
|
|
|
740
|
|
|
736
|
|
Total mortgages
|
|
740
|
|
|
739
|
|
|
737
|
|
Loan Purpose
|
|
|
|
|
|
|
|||
Purchase
|
|
30
|
%
|
|
26
|
%
|
|
27
|
%
|
Cash-out refinance
|
|
21
|
|
|
22
|
|
|
24
|
|
Other refinance
(5)
|
|
49
|
|
|
52
|
|
|
49
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
Property Type
|
|
|
|
|
|
|
|||
Detached/townhome
(6)
|
|
93
|
%
|
|
93
|
%
|
|
92
|
%
|
Condo/Co-op
|
|
7
|
|
|
7
|
|
|
8
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
Occupancy Type
|
|
|
|
|
|
|
|||
Primary residence
|
|
90
|
%
|
|
90
|
%
|
|
90
|
%
|
Second/vacation home
|
|
4
|
|
|
4
|
|
|
5
|
|
Investment
|
|
6
|
|
|
6
|
|
|
5
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
(1)
|
Other Guarantee Transactions with ending balances of $1 billion at
December 31, 2014
,
2013
and
2012
, respectively, 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 comprised approximately
20%
, 21%, and 18% of our single-family credit guarantee portfolio based on UPB as of
December 31, 2014
,
2013
, and
2012
, respectively.
|
(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 geographic area since that time.
|
(4)
|
Credit score data was not available for less than 0.5% of loans in the single-family credit guarantee portfolio at
December 31, 2014
,
2013
, and
2012
.
|
(5)
|
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.
|
(6)
|
Includes manufactured housing and homes within planned unit development communities.
|
|
99
|
Freddie Mac
|
|
|
December 31, 2014
|
|
Year Ended December 31, 2014
|
||||||||||||||||||||
|
|
Percent of
Portfolio
|
|
Average
Credit
Score
(2)
|
|
Original
LTV Ratio
|
|
Current
LTV Ratio (3) |
|
Current
LTV Ratio
>100%
(3)(4)
|
|
Serious
Delinquency Rate |
|
Foreclosure
and Short Sale Rate (5) |
|
Percent
of Credit Losses (4) |
||||||||
Year of Origination
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
2014
|
|
12
|
%
|
|
748
|
|
|
76
|
%
|
|
75
|
%
|
|
—
|
%
|
|
0.02
|
%
|
|
—
|
%
|
|
—
|
%
|
2013
|
|
16
|
|
|
754
|
|
|
71
|
|
|
63
|
|
|
—
|
|
|
0.06
|
|
|
—
|
|
|
—
|
|
2012
|
|
14
|
|
|
761
|
|
|
69
|
|
|
56
|
|
|
—
|
|
|
0.09
|
|
|
0.01
|
|
|
—
|
|
2011
|
|
6
|
|
|
757
|
|
|
69
|
|
|
54
|
|
|
—
|
|
|
0.26
|
|
|
0.06
|
|
|
—
|
|
2010
|
|
6
|
|
|
754
|
|
|
69
|
|
|
56
|
|
|
—
|
|
|
0.46
|
|
|
0.15
|
|
|
1
|
|
2009
|
|
6
|
|
|
751
|
|
|
68
|
|
|
59
|
|
|
1
|
|
|
0.92
|
|
|
0.42
|
|
|
2
|
|
Subtotal - New single-family book
|
|
60
|
|
|
755
|
|
|
71
|
|
|
62
|
|
|
—
|
|
|
0.24
|
|
|
0.14
|
|
|
3
|
|
HARP and other relief refinance loans
(6)
|
|
20
|
|
|
733
|
|
|
89
|
|
|
75
|
|
|
15
|
|
|
0.75
|
|
|
0.75
|
|
|
8
|
|
2005-2008 Legacy single-family book
|
|
13
|
|
|
702
|
|
|
75
|
|
|
83
|
|
|
24
|
|
|
7.59
|
|
|
8.62
|
|
|
81
|
|
Pre-2005 Legacy single-family book
|
|
7
|
|
|
709
|
|
|
73
|
|
|
47
|
|
|
2
|
|
|
3.10
|
|
|
1.42
|
|
|
8
|
|
Total
|
|
100
|
%
|
|
740
|
|
|
75
|
|
|
66
|
|
|
6
|
|
|
1.88
|
|
|
|
|
|
100
|
%
|
(1)
|
Except for the foreclosure and short sale rate, the data presented is based on the loans remaining in the portfolio at
December 31, 2014
, which totaled
$1.7 trillion
.
|
(2)
|
Excludes less than 0.5% of loans in the portfolio because the credit scores at origination were not available.
|
(3)
|
See endnote (3) to "
Table 42 — Characteristics of the Single-Family Credit Guarantee Portfolio
" for information about current LTV ratios.
|
(4)
|
Within these columns, "—" represents less than 0.5%.
|
(5)
|
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, 2014
, divided by the number of loans originated in that year that were acquired in our single-family credit guarantee portfolio. 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.
|
(6)
|
HARP and other relief refinance loans are presented separately rather than in the year that the refinancing occurred (from 2009 to 2014). All other refinance loans are presented in the year that the refinancing occurred.
|
|
100
|
Freddie Mac
|
|
As of December 31, 2014
|
|
As of December 31, 2013
|
|
As of December 31, 2012
|
|||||||||||||||||||||
|
|
|
Percentage
|
|
Serious
Delinquency
Rate
(1)
|
|
|
|
Percentage
|
|
Serious
Delinquency
Rate
(1)
|
|
|
|
Percentage
|
|
Serious
Delinquency Rate (1) |
|||||||||
Credit Protection:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Non-credit-enhanced
|
|
|
77
|
%
|
|
1.74
|
%
|
|
|
|
83
|
%
|
|
2.09
|
%
|
|
|
|
87
|
%
|
|
2.66
|
%
|
|||
Credit-enhanced:
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Primary mortgage insurance
|
|
|
14
|
%
|
|
3.10
|
%
|
|
|
|
12
|
%
|
|
4.40
|
%
|
|
|
|
12
|
%
|
|
7.08
|
%
|
|||
Other
(3)
|
|
|
12
|
%
|
|
1.21
|
%
|
|
|
|
5
|
%
|
|
3.66
|
%
|
|
|
|
1
|
%
|
|
8.56
|
%
|
|||
Total
(4)
|
|
|
|
|
|
1.88
|
%
|
|
|
|
|
|
|
2.39
|
%
|
|
|
|
|
|
3.25
|
%
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
# 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:
(5)(6)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Florida
|
25,656
|
|
|
13
|
%
|
|
3.92
|
%
|
|
42,948
|
|
|
17
|
%
|
|
6.44
|
%
|
|
69,034
|
|
|
20
|
%
|
|
9.87
|
%
|
New York
|
19,462
|
|
|
10
|
|
|
4.06
|
|
|
21,459
|
|
|
8
|
|
|
4.41
|
|
|
22,592
|
|
|
6
|
|
|
4.59
|
|
New Jersey
|
16,960
|
|
|
8
|
|
|
5.49
|
|
|
19,306
|
|
|
8
|
|
|
6.20
|
|
|
21,742
|
|
|
6
|
|
|
6.87
|
|
Illinois
|
11,902
|
|
|
6
|
|
|
2.17
|
|
|
15,521
|
|
|
6
|
|
|
2.79
|
|
|
22,923
|
|
|
7
|
|
|
4.08
|
|
California
|
11,386
|
|
|
6
|
|
|
0.92
|
|
|
15,620
|
|
|
6
|
|
|
1.30
|
|
|
27,620
|
|
|
8
|
|
|
2.34
|
|
All others
|
112,700
|
|
|
57
|
|
|
1.52
|
|
|
137,907
|
|
|
55
|
|
|
1.85
|
|
|
185,683
|
|
|
53
|
|
|
2.45
|
|
Total
|
198,066
|
|
|
100
|
%
|
|
|
|
252,761
|
|
|
100
|
%
|
|
|
|
349,594
|
|
|
100
|
%
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
# of Seriously
Delinquent
Loans
|
|
Percent
|
|
|
|
# of Seriously
Delinquent
Loans
|
|
Percent
|
|
|
|
# of Seriously
Delinquent Loans |
|
Percent
|
|
|
|||||||||
Aging, by locality:
(6)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Judicial states:
(7)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Less than or equal to 1 year
|
50,138
|
|
|
25
|
%
|
|
|
|
59,129
|
|
|
23
|
%
|
|
|
|
79,422
|
|
|
23
|
%
|
|
|
|||
More than 1 year and less than or equal to 2 years
|
21,919
|
|
|
11
|
|
|
|
|
30,604
|
|
|
12
|
|
|
|
|
50,506
|
|
|
14
|
|
|
|
|||
More than 2 years
|
48,984
|
|
|
25
|
|
|
|
|
65,154
|
|
|
26
|
|
|
|
|
77,766
|
|
|
22
|
|
|
|
|||
Non-judicial states:
(7)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Less than or equal to 1 year
|
49,657
|
|
|
25
|
|
|
|
|
60,175
|
|
|
24
|
|
|
|
|
87,641
|
|
|
25
|
|
|
|
|||
More than 1 year and less than or equal to 2 years
|
12,989
|
|
|
7
|
|
|
|
|
17,968
|
|
|
7
|
|
|
|
|
30,435
|
|
|
9
|
|
|
|
|||
More than 2 years
|
14,379
|
|
|
7
|
|
|
|
|
19,731
|
|
|
8
|
|
|
|
|
23,824
|
|
|
7
|
|
|
|
|||
Combined:
(7)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Less than or equal to 1 year
|
99,795
|
|
|
50
|
|
|
|
|
119,304
|
|
|
47
|
|
|
|
|
167,063
|
|
|
48
|
|
|
|
|||
More than 1 year and less than or equal to 2 years
|
34,908
|
|
|
18
|
|
|
|
|
48,572
|
|
|
19
|
|
|
|
|
80,941
|
|
|
23
|
|
|
|
|||
More than 2 years
|
63,363
|
|
|
32
|
|
|
|
|
84,885
|
|
|
34
|
|
|
|
|
101,590
|
|
|
29
|
|
|
|
|||
Total
|
198,066
|
|
|
100
|
%
|
|
|
|
252,761
|
|
|
100
|
%
|
|
|
|
349,594
|
|
|
100
|
%
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Payment Status:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
One month past due
|
1.52
|
%
|
|
|
|
|
|
1.73
|
%
|
|
|
|
|
|
1.85
|
%
|
|
|
|
|
||||||
Two months past due
|
0.49
|
%
|
|
|
|
|
|
0.57
|
%
|
|
|
|
|
|
0.66
|
%
|
|
|
|
|
(1)
|
In the third quarter of 2014, we revised our presentation of single-family non-credit enhanced and credit-enhanced serious delinquency rates. As part of this revision, we began categorizing loans covered by our STACR and ACIS risk transfer transactions as credit-enhanced, whereas they had previously been categorized as non-credit-enhanced. This revision did not affect our total single-family serious delinquency rate. Prior periods have been revised to conform with the current presentation.
|
(2)
|
The credit enhanced categories are not mutually exclusive as a single loan may be covered by both primary mortgage insurance and other credit protection. See “Institutional Credit Risk Profile” for information about our counterparties that provide credit enhancement on loans in our single-family credit guarantee portfolio.
|
|
101
|
Freddie Mac
|
(3)
|
Consists of single-family mortgage loans covered by financial arrangements (other than primary mortgage insurance) that are designed to reduce our credit risk exposure, including loans in reference pools covered by STACR transactions as well as other forms of credit protection.
|
(4)
|
As of
December 31, 2014
,
2013
, and
2012
, approximately 53%, 61%, and 68%, respectively, of the single-family loans reported as seriously delinquent were in the process of foreclosure.
|
(5)
|
States presented have the highest number of seriously delinquent loans as of
December 31, 2014
.
|
(6)
|
Excludes loans underlying certain single-family Other Guarantee Transactions since the geographic information is not available to us for these loans. The serious delinquency rate for all single-family Other Guarantee Transactions was 10.11%, 10.91%, and 10.60% as of
December 31, 2014
,
2013
, and
2012
, respectively. Single-family Other Guarantee Transactions generally have underlying mortgage loans with higher risk characteristics.
|
(7)
|
The states and territories classified as having a judicial foreclosure process consist of: CT, DC, 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.
|
|
|
As of December 31, 2014
|
|||||||||||
|
|
UPB
|
|
Estimated
Current LTV
(2)
|
|
Percentage
Modified
|
|
Serious
Delinquency
Rate
|
|||||
|
|
(dollars in billions)
|
|||||||||||
Loans with one or more specified characteristics
|
|
$
|
364.3
|
|
|
88
|
%
|
|
8.5
|
%
|
|
4.16
|
%
|
Categories (individual characteristics):
|
|
|
|
|
|
|
|
|
|||||
Alt-A
|
|
48.3
|
|
|
82
|
|
|
19.9
|
|
|
8.53
|
|
|
Interest-only
(3)
|
|
27.8
|
|
|
87
|
|
|
0.2
|
|
|
9.36
|
|
|
Option ARM
(4)
|
|
5.7
|
|
|
79
|
|
|
12.5
|
|
|
9.87
|
|
|
Original LTV ratio greater than 90%, non-HARP mortgages
|
|
123.2
|
|
|
87
|
|
|
9.4
|
|
|
3.97
|
|
|
Original LTV ratio greater than 90%, HARP mortgages
|
|
149.0
|
|
|
96
|
|
|
0.8
|
|
|
1.18
|
|
|
Lower credit scores at origination (less than 620)
|
|
44.9
|
|
|
79
|
|
|
19.2
|
|
|
8.57
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
|
As of December 31, 2013
|
|||||||||||
|
|
UPB
|
|
Estimated
Current LTV
(2)
|
|
Percentage
Modified
|
|
Serious
Delinquency
Rate
|
|||||
|
|
(dollars in billions)
|
|||||||||||
Loans with one or more specified characteristics
|
|
$
|
364.5
|
|
|
94
|
%
|
|
8.1
|
%
|
|
5.31
|
%
|
Categories (individual characteristics):
|
|
|
|
|
|
|
|
|
|||||
Alt-A
|
|
56.9
|
|
|
87
|
|
|
16.3
|
|
|
10.06
|
|
|
Interest-only
(3)
|
|
34.7
|
|
|
93
|
|
|
0.2
|
|
|
12.51
|
|
|
Option ARM
(4)
|
|
6.4
|
|
|
86
|
|
|
11.0
|
|
|
12.30
|
|
|
Original LTV ratio greater than 90%, non-HARP mortgages
|
|
103.4
|
|
|
91
|
|
|
10.1
|
|
|
5.66
|
|
|
Original LTV ratio greater than 90%, HARP mortgages
|
|
154.3
|
|
|
103
|
|
|
0.5
|
|
|
0.97
|
|
|
Lower credit scores at origination (less than 620)
|
|
47.8
|
|
|
83
|
|
|
17.4
|
|
|
9.99
|
|
(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. Excludes loans underlying certain Other Guarantee Transactions for which data was not available.
|
(2)
|
See endnote (3) to “
Table 42 — Characteristics of the Single-Family Credit Guarantee Portfolio
” for information about current LTV ratios.
|
(3)
|
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.
|
(4)
|
For reporting purposes, loans in 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.
|
|
102
|
Freddie Mac
|
|
2014 and Prior
|
|
2015
|
|
2016
|
|
2017
|
|
2018
|
|
2019
|
|
Thereafter
|
|
Total
|
||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||
ARM/interest-only
(2)
|
$
|
9,343
|
|
|
$
|
2,371
|
|
|
$
|
3,512
|
|
|
$
|
5,634
|
|
|
$
|
2,261
|
|
|
$
|
132
|
|
|
$
|
311
|
|
|
$
|
23,564
|
|
Fixed/interest-only
(2)
|
7
|
|
|
125
|
|
|
588
|
|
|
2,731
|
|
|
587
|
|
|
7
|
|
|
192
|
|
|
4,237
|
|
||||||||
ARM/amortizing
(3)
|
17,897
|
|
|
2,559
|
|
|
5,078
|
|
|
5,470
|
|
|
6,097
|
|
|
10,333
|
|
|
21,714
|
|
|
69,148
|
|
||||||||
Step-rate modified
(4)
|
3,724
|
|
|
19,708
|
|
|
27,851
|
|
|
29,037
|
|
|
18,876
|
|
|
6,360
|
|
|
3,480
|
|
|
42,255
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
139,204
|
|
(1)
|
Excludes mortgage loans underlying Other Guarantee Transactions (such as option ARM loans), since the payment change information is not available to us for these loans.
|
(2)
|
Categorized by the year in which the loan begins requiring payment of principal.
|
(3)
|
Categorized by the year of next scheduled contractual reset date.
|
(4)
|
Represents 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. As such, individual years will not sum to the total. Includes the portion, if any, of UPB that is non-interest bearing under the terms of the modification.
|
|
103
|
Freddie Mac
|
|
104
|
Freddie Mac
|
|
105
|
Freddie Mac
|
|
|
As of December 31,
|
||||||||||||||||||||||
|
|
2014
|
|
2013
|
||||||||||||||||||||
|
|
Alt-A
UPB
|
|
Non Alt-A
UPB
|
|
Total
UPB
|
|
Alt-A
UPB
|
|
Non Alt-A
UPB |
|
Total
UPB |
||||||||||||
|
|
(in billions)
|
||||||||||||||||||||||
Geographic distribution:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Arizona, California, Florida, and Nevada
(1)
|
|
$
|
21
|
|
|
$
|
413
|
|
|
$
|
434
|
|
|
$
|
23
|
|
|
$
|
399
|
|
|
$
|
422
|
|
Illinois, Michigan, and Ohio
(2)
|
|
3
|
|
|
169
|
|
|
172
|
|
|
4
|
|
|
172
|
|
|
176
|
|
||||||
New York and New Jersey
(3)
|
|
7
|
|
|
138
|
|
|
145
|
|
|
7
|
|
|
138
|
|
|
145
|
|
||||||
All other states
|
|
19
|
|
|
895
|
|
|
914
|
|
|
23
|
|
|
887
|
|
|
910
|
|
||||||
Book year category
(4)
:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
New single-family book
|
|
—
|
|
|
994
|
|
|
994
|
|
|
—
|
|
|
888
|
|
|
888
|
|
||||||
HARP and other relief refinance loans
(4)
|
|
—
|
|
|
331
|
|
|
331
|
|
|
—
|
|
|
342
|
|
|
342
|
|
||||||
2005-2008 Legacy single-family book
|
|
42
|
|
|
176
|
|
|
218
|
|
|
48
|
|
|
220
|
|
|
268
|
|
||||||
Pre-2005 Legacy single-family book
|
|
8
|
|
|
114
|
|
|
122
|
|
|
9
|
|
|
146
|
|
|
155
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
Year Ended December 31,
|
||||||||||||||||||||||
|
|
2014
|
|
2013
|
||||||||||||||||||||
|
|
Alt-A
|
|
Non Alt-A
|
|
Total
|
|
Alt-A
|
|
Non Alt-A
|
|
Total
|
||||||||||||
|
|
(in millions)
|
||||||||||||||||||||||
Credit Losses
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Geographic distribution:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Arizona, California, Florida, and Nevada
(1)
|
|
$
|
275
|
|
|
$
|
1,145
|
|
|
$
|
1,420
|
|
|
$
|
802
|
|
|
$
|
1,438
|
|
|
$
|
2,240
|
|
Illinois, Michigan, and Ohio
(2)
|
|
80
|
|
|
582
|
|
|
662
|
|
|
158
|
|
|
773
|
|
|
931
|
|
||||||
New York and New Jersey
(3)
|
|
102
|
|
|
313
|
|
|
415
|
|
|
56
|
|
|
106
|
|
|
162
|
|
||||||
All other states
|
|
170
|
|
|
1,252
|
|
|
1,422
|
|
|
231
|
|
|
1,224
|
|
|
1,455
|
|
||||||
Book year category
(4)
:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
New single-family book
|
|
—
|
|
|
97
|
|
|
97
|
|
|
—
|
|
|
135
|
|
|
135
|
|
||||||
HARP and other relief refinance loans
(4)
|
|
—
|
|
|
299
|
|
|
299
|
|
|
—
|
|
|
348
|
|
|
348
|
|
||||||
2005-2008 Legacy single-family book
|
|
597
|
|
|
2,596
|
|
|
3,193
|
|
|
1,190
|
|
|
2,688
|
|
|
3,878
|
|
||||||
Pre-2005 Legacy single-family book
|
|
30
|
|
|
300
|
|
|
330
|
|
|
57
|
|
|
370
|
|
|
427
|
|
(1)
|
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.
|
(2)
|
Represents selected states in the North Central region that have experienced adverse economic conditions since 2006.
|
(3)
|
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.
|
(4)
|
The New single-family book reflects loans originated since 2008. HARP and other relief refinance loans are presented separately rather than in the year that the refinancing occurred (from 2009 to 2014). All other refinance loans are presented in the year that the refinancing occurred.
|
|
106
|
Freddie Mac
|
|
107
|
Freddie Mac
|
|
|
As of December 31, 2014
|
|||||||||||||||||||||||||
|
|
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
|
|
Serious
Delinquency
Rate
|
|||||||||
New single-family book
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
By Credit score:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Credit scores < 620
|
|
0.2
|
%
|
|
2.77
|
%
|
|
—
|
%
|
|
5.05
|
%
|
|
—
|
%
|
|
16.43
|
%
|
|
0.2
|
%
|
|
2.5
|
%
|
|
3.34
|
%
|
Credit scores of 620 to 659
|
|
1.0
|
|
|
1.21
|
|
|
0.2
|
|
|
2.11
|
|
|
—
|
|
|
7.48
|
|
|
1.2
|
|
|
1.1
|
|
|
1.38
|
|
Credit scores ≥ 660
|
|
50.3
|
|
|
0.16
|
|
|
7.9
|
|
|
0.39
|
|
|
0.1
|
|
|
2.14
|
|
|
58.3
|
|
|
0.1
|
|
|
0.19
|
|
Credit scores not available
|
|
0.1
|
|
|
1.64
|
|
|
—
|
|
|
3.93
|
|
|
—
|
|
|
10.06
|
|
|
0.1
|
|
|
2.1
|
|
|
3.77
|
|
Total New single-family book
|
|
51.6
|
|
|
0.19
|
|
|
8.1
|
|
|
0.47
|
|
|
0.1
|
|
|
3.75
|
|
|
59.8
|
|
|
0.2
|
|
|
0.24
|
|
By Region
:
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
North Central
|
|
8.2
|
|
|
0.16
|
|
|
1.7
|
|
|
0.41
|
|
|
—
|
|
|
2.25
|
|
|
9.9
|
|
|
0.1
|
|
|
0.20
|
|
Northeast
|
|
13.6
|
|
|
0.28
|
|
|
2.3
|
|
|
0.73
|
|
|
—
|
|
|
4.41
|
|
|
15.9
|
|
|
0.2
|
|
|
0.34
|
|
Southeast
|
|
6.9
|
|
|
0.24
|
|
|
1.6
|
|
|
0.45
|
|
|
—
|
|
|
5.45
|
|
|
8.5
|
|
|
0.2
|
|
|
0.29
|
|
Southwest
|
|
6.8
|
|
|
0.18
|
|
|
1.2
|
|
|
0.30
|
|
|
—
|
|
|
3.48
|
|
|
8.0
|
|
|
0.1
|
|
|
0.20
|
|
West
|
|
16.1
|
|
|
0.13
|
|
|
1.3
|
|
|
0.33
|
|
|
0.1
|
|
|
1.76
|
|
|
17.5
|
|
|
0.1
|
|
|
0.15
|
|
Total New single-family book
|
|
51.6
|
|
|
0.19
|
|
|
8.1
|
|
|
0.47
|
|
|
0.1
|
|
|
3.75
|
|
|
59.8
|
|
|
0.2
|
|
|
0.24
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
HARP and other relief refinance loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
By Credit score:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Credit scores < 620
|
|
0.4
|
|
|
1.85
|
|
|
0.3
|
|
|
3.10
|
|
|
0.2
|
|
|
4.15
|
|
|
0.9
|
|
|
2.3
|
|
|
2.63
|
|
Credit scores of 620 to 659
|
|
0.7
|
|
|
1.12
|
|
|
0.4
|
|
|
2.02
|
|
|
0.3
|
|
|
2.86
|
|
|
1.4
|
|
|
1.3
|
|
|
1.71
|
|
Credit scores ≥ 660
|
|
10.5
|
|
|
0.28
|
|
|
4.5
|
|
|
0.90
|
|
|
2.6
|
|
|
1.53
|
|
|
17.6
|
|
|
0.4
|
|
|
0.58
|
|
Total HARP and other relief refinance loans
|
|
11.6
|
|
|
0.38
|
|
|
5.2
|
|
|
1.11
|
|
|
3.1
|
|
|
1.83
|
|
|
19.9
|
|
|
0.5
|
|
|
0.75
|
|
By Region
:
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
North Central
|
|
2.1
|
|
|
0.37
|
|
|
1.2
|
|
|
1.03
|
|
|
0.7
|
|
|
1.91
|
|
|
4.0
|
|
|
0.5
|
|
|
0.77
|
|
Northeast
|
|
2.6
|
|
|
0.55
|
|
|
1.4
|
|
|
1.60
|
|
|
0.7
|
|
|
2.88
|
|
|
4.7
|
|
|
0.8
|
|
|
1.11
|
|
Southeast
|
|
1.8
|
|
|
0.38
|
|
|
1.0
|
|
|
0.91
|
|
|
0.7
|
|
|
1.33
|
|
|
3.5
|
|
|
0.4
|
|
|
0.68
|
|
Southwest
|
|
1.4
|
|
|
0.26
|
|
|
0.2
|
|
|
1.06
|
|
|
0.1
|
|
|
1.44
|
|
|
1.7
|
|
|
0.3
|
|
|
0.43
|
|
West
|
|
3.7
|
|
|
0.34
|
|
|
1.4
|
|
|
0.94
|
|
|
0.9
|
|
|
1.52
|
|
|
6.0
|
|
|
0.6
|
|
|
0.61
|
|
Total HARP and other relief refinance loans
|
|
11.6
|
|
|
0.38
|
|
|
5.2
|
|
|
1.11
|
|
|
3.1
|
|
|
1.83
|
|
|
19.9
|
|
|
0.5
|
|
|
0.75
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Legacy single-family book
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
By Credit score:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Credit scores < 620
|
|
0.8
|
|
|
7.93
|
|
|
0.4
|
|
|
15.58
|
|
|
0.4
|
|
|
23.56
|
|
|
1.6
|
|
|
27.1
|
|
|
11.29
|
|
Credit scores of 620 to 659
|
|
1.6
|
|
|
5.71
|
|
|
0.7
|
|
|
12.36
|
|
|
0.6
|
|
|
20.05
|
|
|
2.9
|
|
|
21.7
|
|
|
8.66
|
|
Credit scores ≥ 660
|
|
10.2
|
|
|
2.26
|
|
|
3.2
|
|
|
8.11
|
|
|
2.2
|
|
|
14.31
|
|
|
15.6
|
|
|
9.6
|
|
|
3.90
|
|
Credit scores not available
|
|
0.2
|
|
|
5.75
|
|
|
—
|
|
|
18.51
|
|
|
—
|
|
|
25.47
|
|
|
0.2
|
|
|
11.4
|
|
|
6.96
|
|
Total Legacy single-family book
|
|
12.8
|
|
|
3.13
|
|
|
4.3
|
|
|
9.62
|
|
|
3.2
|
|
|
16.56
|
|
|
20.3
|
|
|
12.5
|
|
|
5.13
|
|
By Region
:
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
North Central
|
|
2.0
|
|
|
2.42
|
|
|
0.8
|
|
|
7.18
|
|
|
0.5
|
|
|
13.23
|
|
|
3.3
|
|
|
11.3
|
|
|
4.08
|
|
Northeast
|
|
3.3
|
|
|
4.63
|
|
|
1.2
|
|
|
15.87
|
|
|
0.8
|
|
|
26.95
|
|
|
5.3
|
|
|
12.7
|
|
|
7.77
|
|
Southeast
|
|
2.5
|
|
|
3.39
|
|
|
0.9
|
|
|
8.59
|
|
|
0.9
|
|
|
16.14
|
|
|
4.3
|
|
|
12.6
|
|
|
5.63
|
|
Southwest
|
|
1.9
|
|
|
2.48
|
|
|
0.2
|
|
|
8.76
|
|
|
0.1
|
|
|
15.68
|
|
|
2.2
|
|
|
7.0
|
|
|
3.12
|
|
West
|
|
3.1
|
|
|
2.26
|
|
|
1.2
|
|
|
7.23
|
|
|
0.9
|
|
|
11.08
|
|
|
5.2
|
|
|
17.6
|
|
|
3.91
|
|
Total Legacy single-family book
|
|
12.8
|
|
|
3.13
|
|
|
4.3
|
|
|
9.62
|
|
|
3.2
|
|
|
16.56
|
|
|
20.3
|
|
|
12.5
|
|
|
5.13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Total single-family credit guarantee portfolio
|
|
76.0
|
%
|
|
1.13
|
%
|
|
17.6
|
%
|
|
3.21
|
%
|
|
6.4
|
%
|
|
9.06
|
%
|
|
100.0
|
%
|
|
4.1
|
%
|
|
1.88
|
%
|
|
108
|
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
|
|
Serious
Delinquency
Rate
|
|||||||||
New single-family book
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
By Credit score:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Credit scores < 620
|
|
0.1
|
%
|
|
2.74
|
%
|
|
0.1
|
%
|
|
6.69
|
%
|
|
—
|
%
|
|
15.66
|
%
|
|
0.2
|
%
|
|
1.9
|
%
|
|
3.75
|
%
|
Credit scores of 620 to 659
|
|
0.8
|
|
|
1.40
|
|
|
0.2
|
|
|
2.79
|
|
|
—
|
|
|
6.33
|
|
|
1.0
|
|
|
0.8
|
|
|
1.65
|
|
Credit scores ≥ 660
|
|
45.2
|
|
|
0.15
|
|
|
7.3
|
|
|
0.45
|
|
|
0.1
|
|
|
2.10
|
|
|
52.6
|
|
|
0.1
|
|
|
0.19
|
|
Credit scores not available
|
|
—
|
|
|
1.43
|
|
|
—
|
|
|
3.58
|
|
|
—
|
|
|
11.74
|
|
|
—
|
|
|
1.2
|
|
|
4.28
|
|
Total New single-family book
|
|
46.1
|
|
|
0.18
|
|
|
7.6
|
|
|
0.54
|
|
|
0.1
|
|
|
3.58
|
|
|
53.8
|
|
|
0.1
|
|
|
0.24
|
|
By Region
:
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
North Central
|
|
7.4
|
|
|
0.14
|
|
|
1.7
|
|
|
0.49
|
|
|
0.1
|
|
|
2.46
|
|
|
9.2
|
|
|
0.1
|
|
|
0.22
|
|
Northeast
|
|
12.6
|
|
|
0.26
|
|
|
2.2
|
|
|
0.71
|
|
|
—
|
|
|
4.05
|
|
|
14.8
|
|
|
0.1
|
|
|
0.33
|
|
Southeast
|
|
6.0
|
|
|
0.22
|
|
|
1.5
|
|
|
0.51
|
|
|
—
|
|
|
5.28
|
|
|
7.5
|
|
|
0.1
|
|
|
0.31
|
|
Southwest
|
|
5.8
|
|
|
0.16
|
|
|
1.3
|
|
|
0.40
|
|
|
—
|
|
|
2.71
|
|
|
7.1
|
|
|
0.1
|
|
|
0.21
|
|
West
|
|
14.3
|
|
|
0.13
|
|
|
0.9
|
|
|
0.59
|
|
|
—
|
|
|
3.57
|
|
|
15.2
|
|
|
0.1
|
|
|
0.16
|
|
Total New single-family book
|
|
46.1
|
|
|
0.18
|
|
|
7.6
|
|
|
0.54
|
|
|
0.1
|
|
|
3.58
|
|
|
53.8
|
|
|
0.1
|
|
|
0.24
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
HARP and other relief refinance loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
By Credit score:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Credit scores < 620
|
|
0.3
|
|
|
1.83
|
|
|
0.3
|
|
|
2.75
|
|
|
0.2
|
|
|
3.23
|
|
|
0.8
|
|
|
1.3
|
|
|
2.45
|
|
Credit scores of 620 to 659
|
|
0.5
|
|
|
0.94
|
|
|
0.4
|
|
|
1.63
|
|
|
0.4
|
|
|
2.14
|
|
|
1.3
|
|
|
0.7
|
|
|
1.46
|
|
Credit scores ≥ 660
|
|
9.5
|
|
|
0.24
|
|
|
5.3
|
|
|
0.71
|
|
|
3.8
|
|
|
1.03
|
|
|
18.6
|
|
|
0.2
|
|
|
0.50
|
|
Total HARP and other relief refinance loans
|
|
10.3
|
|
|
0.33
|
|
|
6.0
|
|
|
0.87
|
|
|
4.4
|
|
|
1.25
|
|
|
20.7
|
|
|
0.3
|
|
|
0.64
|
|
By Region
:
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
North Central
|
|
1.7
|
|
|
0.28
|
|
|
1.4
|
|
|
0.74
|
|
|
1.0
|
|
|
1.41
|
|
|
4.1
|
|
|
0.3
|
|
|
0.66
|
|
Northeast
|
|
2.4
|
|
|
0.44
|
|
|
1.5
|
|
|
1.30
|
|
|
0.9
|
|
|
1.95
|
|
|
4.8
|
|
|
0.4
|
|
|
0.91
|
|
Southeast
|
|
1.5
|
|
|
0.32
|
|
|
1.1
|
|
|
0.69
|
|
|
1.0
|
|
|
0.88
|
|
|
3.6
|
|
|
0.2
|
|
|
0.56
|
|
Southwest
|
|
1.2
|
|
|
0.19
|
|
|
0.4
|
|
|
0.58
|
|
|
0.2
|
|
|
0.99
|
|
|
1.8
|
|
|
0.1
|
|
|
0.33
|
|
West
|
|
3.5
|
|
|
0.35
|
|
|
1.6
|
|
|
0.88
|
|
|
1.3
|
|
|
1.05
|
|
|
6.4
|
|
|
0.3
|
|
|
0.60
|
|
Total HARP and other relief refinance loans
|
|
10.3
|
|
|
0.33
|
|
|
6.0
|
|
|
0.87
|
|
|
4.4
|
|
|
1.25
|
|
|
20.7
|
|
|
0.3
|
|
|
0.64
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Legacy single-family book
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
By Credit score:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Credit scores < 620
|
|
0.9
|
|
|
8.36
|
|
|
0.5
|
|
|
16.38
|
|
|
0.5
|
|
|
25.42
|
|
|
1.9
|
|
|
23.1
|
|
|
12.67
|
|
Credit scores of 620 to 659
|
|
1.8
|
|
|
5.90
|
|
|
0.9
|
|
|
12.71
|
|
|
0.9
|
|
|
21.45
|
|
|
3.6
|
|
|
17.9
|
|
|
9.71
|
|
Credit scores ≥ 660
|
|
12.0
|
|
|
2.25
|
|
|
4.2
|
|
|
8.19
|
|
|
3.6
|
|
|
15.55
|
|
|
19.8
|
|
|
7.6
|
|
|
4.44
|
|
Credit scores not available
|
|
0.2
|
|
|
5.82
|
|
|
—
|
|
|
18.34
|
|
|
—
|
|
|
27.12
|
|
|
0.2
|
|
|
9.7
|
|
|
7.45
|
|
Total Legacy single-family book
|
|
14.9
|
|
|
3.13
|
|
|
5.6
|
|
|
9.73
|
|
|
5.0
|
|
|
17.72
|
|
|
25.5
|
|
|
10.0
|
|
|
5.75
|
|
By Region
:
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
North Central
|
|
2.3
|
|
|
2.34
|
|
|
1.1
|
|
|
6.95
|
|
|
0.8
|
|
|
13.00
|
|
|
4.2
|
|
|
9.0
|
|
|
4.48
|
|
Northeast
|
|
4.0
|
|
|
4.46
|
|
|
1.5
|
|
|
15.90
|
|
|
1.0
|
|
|
26.52
|
|
|
6.5
|
|
|
9.9
|
|
|
7.90
|
|
Southeast
|
|
2.8
|
|
|
3.66
|
|
|
1.2
|
|
|
9.27
|
|
|
1.4
|
|
|
20.18
|
|
|
5.4
|
|
|
10.0
|
|
|
7.15
|
|
Southwest
|
|
2.3
|
|
|
2.33
|
|
|
0.4
|
|
|
7.59
|
|
|
0.2
|
|
|
13.78
|
|
|
2.9
|
|
|
5.6
|
|
|
3.15
|
|
West
|
|
3.5
|
|
|
2.31
|
|
|
1.4
|
|
|
8.21
|
|
|
1.6
|
|
|
13.18
|
|
|
6.5
|
|
|
14.5
|
|
|
4.78
|
|
Total Legacy single-family book
|
|
14.9
|
|
|
3.13
|
|
|
5.6
|
|
|
9.73
|
|
|
5.0
|
|
|
17.72
|
|
|
25.5
|
|
|
10.0
|
|
|
5.75
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Total single-family credit guarantee portfolio
|
|
71.3
|
%
|
|
1.28
|
%
|
|
19.2
|
%
|
|
3.75
|
%
|
|
9.5
|
%
|
|
9.95
|
%
|
|
100.0
|
%
|
|
3.8
|
%
|
|
2.39
|
%
|
(1)
|
The current LTV ratios are our estimates. See endnote (3) to “
Table 42 — Characteristics of the Single-Family Credit Guarantee Portfolio
” for further information.
|
(2)
|
Based on UPB. Within these columns, "—" represents less than 0.05%.
|
(3)
|
See endnote (1) to "
Table 16 — Single-Family Charge-offs and Recoveries by Region
" for a description of these regions.
|
|
109
|
Freddie Mac
|
|
|
Year Ended December 31, 2014
|
|
Year Ended December 31, 2013
|
||||||||||||||||||
|
|
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
|
|
$
|
1,439
|
|
|
8,794
|
|
|
$
|
164,000
|
|
|
$
|
11,574
|
|
|
62,652
|
|
|
$
|
185,000
|
|
Above 100% to 125% LTV ratio
|
|
4,295
|
|
|
24,113
|
|
|
178,000
|
|
|
21,005
|
|
|
110,302
|
|
|
190,000
|
|
||||
Above 80% to 100% LTV ratio
|
|
8,356
|
|
|
49,340
|
|
|
169,000
|
|
|
29,958
|
|
|
167,420
|
|
|
179,000
|
|
||||
Other (80% and below LTV ratio)
|
|
13,204
|
|
|
96,409
|
|
|
137,000
|
|
|
36,658
|
|
|
270,138
|
|
|
136,000
|
|
||||
Total relief refinance mortgages
|
|
$
|
27,294
|
|
|
178,656
|
|
|
153,000
|
|
|
$
|
99,195
|
|
|
610,512
|
|
|
162,000
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
|
As of December 31, 2014
|
|
As of December 31, 2013
|
||||||||||||||||||
|
|
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
|
|
$
|
30,233
|
|
|
162,299
|
|
|
1.36
|
%
|
|
$
|
30,579
|
|
|
158,531
|
|
|
0.90
|
%
|
||
Above 100% to 125% LTV ratio
|
|
66,091
|
|
|
346,220
|
|
|
1.19
|
|
|
68,416
|
|
|
344,832
|
|
|
1.01
|
|
||||
Above 80% to 100% LTV ratio
|
|
109,618
|
|
|
609,239
|
|
|
0.93
|
|
|
114,688
|
|
|
610,128
|
|
|
0.85
|
|
||||
Other (80% and below LTV ratio)
|
|
125,158
|
|
|
957,435
|
|
|
0.36
|
|
|
127,991
|
|
|
936,038
|
|
|
0.32
|
|
||||
Total relief refinance mortgages
|
|
$
|
331,100
|
|
|
2,075,193
|
|
|
0.75
|
|
|
$
|
341,674
|
|
|
2,049,529
|
|
|
0.64
|
|
(1)
|
Includes purchases of mortgage loans for securitization that were previously associated with other guarantee commitments.
|
(2)
|
Rounded to the nearest thousand.
|
|
110
|
Freddie Mac
|
|
|
Years Ended December 31,
|
|||||||||||||||||||
|
|
2014
|
|
2013
|
|
2012
|
|||||||||||||||
|
|
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)
|
|
320
|
|
|
$
|
41
|
|
|
213
|
|
|
$
|
25
|
|
|
533
|
|
|
$
|
95
|
|
with term extension
|
|
15,781
|
|
|
2,311
|
|
|
6,645
|
|
|
700
|
|
|
3,894
|
|
|
313
|
|
|||
with change in interest rate and, in certain cases, term extension
|
|
34,191
|
|
|
6,579
|
|
|
46,739
|
|
|
7,314
|
|
|
38,871
|
|
|
6,246
|
|
|||
with change in interest rate, term extension and principal forbearance
|
|
16,860
|
|
|
3,864
|
|
|
29,591
|
|
|
9,368
|
|
|
26,283
|
|
|
8,483
|
|
|||
Total loan modifications
(3)
|
|
67,152
|
|
|
12,795
|
|
|
83,188
|
|
|
17,407
|
|
|
69,581
|
|
|
15,137
|
|
|||
Repayment plans
(4)
|
|
25,219
|
|
|
3,551
|
|
|
28,610
|
|
|
4,016
|
|
|
33,350
|
|
|
4,746
|
|
|||
Forbearance agreements
|
|
8,553
|
|
|
1,587
|
|
|
12,019
|
|
|
2,331
|
|
|
13,026
|
|
|
2,557
|
|
|||
Total home retention actions
|
|
100,924
|
|
|
17,933
|
|
|
123,817
|
|
|
23,754
|
|
|
115,957
|
|
|
22,440
|
|
|||
Foreclosure alternatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Short sale
|
|
15,382
|
|
|
3,281
|
|
|
41,362
|
|
|
9,016
|
|
|
51,972
|
|
|
11,626
|
|
|||
Deed in lieu of foreclosure transactions
|
|
3,634
|
|
|
575
|
|
|
2,720
|
|
|
437
|
|
|
1,036
|
|
|
179
|
|
|||
Total foreclosure alternatives
|
|
19,016
|
|
|
3,856
|
|
|
44,082
|
|
|
9,453
|
|
|
53,008
|
|
|
11,805
|
|
|||
Total single-family loan workouts
(5)
|
|
119,940
|
|
|
$
|
21,789
|
|
|
167,899
|
|
|
$
|
33,207
|
|
|
168,965
|
|
|
$
|
34,245
|
|
Single-family foreclosures
(6)
|
|
52,168
|
|
|
|
|
81,605
|
|
|
|
|
105,060
|
|
|
|
||||||
Seriously delinquent loan additions
|
|
193,000
|
|
|
|
|
237,580
|
|
|
|
|
305,449
|
|
|
|
||||||
Seriously delinquent loans, at period end
(7)
|
|
200,069
|
|
|
|
|
255,325
|
|
|
|
|
352,860
|
|
|
|
(1)
|
Excludes those modification, repayment and forbearance activities for which the borrower has started the required process, but the actions have not become effective, such as loans in modification trial periods. These categories are not mutually exclusive, and a loan in one category may also be included in another category in the same period.
|
(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.
|
(5)
|
Workouts relate to borrowers with financial hardship, regardless of the payment status (i.e., less than seriously delinquent).
|
(6)
|
Includes third-party sales at foreclosure auction in which ownership of the property is transferred directly to a third party rather than to us.
|
(7)
|
The number of seriously delinquent loans is also reduced when borrowers resume scheduled payments and the loans return to performing status.
|
|
111
|
Freddie Mac
|
|
|
Quarter of Loan Modification Completion
(2)
|
||||||||||||||||||||||
|
|
4Q 2013
|
|
3Q 2013
|
|
2Q 2013
|
|
1Q 2013
|
|
4Q 2012
|
|
3Q 2012
|
|
2Q 2012
|
|
1Q 2012
|
||||||||
One Year Post-Modification
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
HAMP modifications
|
|
81
|
%
|
|
80
|
%
|
|
80
|
%
|
|
82
|
%
|
|
80
|
%
|
|
80
|
%
|
|
81
|
%
|
|
81
|
%
|
Non-HAMP modifications
|
|
70
|
|
|
73
|
|
|
74
|
|
|
76
|
|
|
72
|
|
|
72
|
|
|
74
|
|
|
62
|
|
Total
|
|
72
|
|
|
75
|
|
|
76
|
|
|
78
|
|
|
75
|
|
|
76
|
|
|
78
|
|
|
76
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Two Years Post-Modification
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
HAMP modifications
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
77
|
%
|
|
76
|
%
|
|
78
|
%
|
|
77
|
%
|
Non-HAMP modifications
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
68
|
|
|
67
|
|
|
69
|
|
|
57
|
|
Total
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
71
|
|
|
71
|
|
|
75
|
|
|
73
|
|
(1)
|
Represents the percentage of loans that were current and performing or had been paid in full. For loans modified in a quarterly period, the reperformance rates for one year and two years post-modification represent the percentage of loans that were current or paid off after 12 to 14 months and 24 to 26 months, respectively.
|
(2)
|
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.
|
|
|
Year Ended December 31,
|
|||||||
|
|
2014
|
|
2013
|
|
2012
|
|||
|
|
(average days)
|
|||||||
Judicial states:
|
|
|
|
|
|
|
|||
Florida
|
|
1,312
|
|
|
1,231
|
|
|
1,026
|
|
New Jersey
|
|
1,373
|
|
|
1,224
|
|
|
873
|
|
New York
|
|
1,299
|
|
|
1,123
|
|
|
720
|
|
All other judicial states
|
|
779
|
|
|
770
|
|
|
686
|
|
Judicial states, in aggregate
|
|
1,018
|
|
|
943
|
|
|
773
|
|
Non-judicial states, in aggregate
|
|
663
|
|
|
567
|
|
|
475
|
|
Total
|
|
870
|
|
|
773
|
|
|
611
|
|
(1)
|
All averages exclude those loans underlying our Other Guarantee Transactions.
|
|
112
|
Freddie Mac
|
|
113
|
Freddie Mac
|
|
|
As of December 31,
|
||||
|
|
2014
|
|
2013
|
||
|
|
(percent of properties)
|
||||
Available for sale
|
|
28
|
%
|
|
30
|
%
|
Pending settlement of sale
(1)
|
|
15
|
|
|
14
|
|
Pre-listing
(2)
|
|
11
|
|
|
10
|
|
Unable to market:
|
|
|
|
|
||
Redemption period
|
|
12
|
|
|
11
|
|
Occupied (waiting for eviction or vacancy)
|
|
15
|
|
|
18
|
|
Under repair and other
(3)
|
|
19
|
|
|
17
|
|
Subtotal — unable to market
|
|
46
|
|
|
46
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
(1)
|
Consists of properties where we have an executed sales contract and settlement has not yet occurred.
|
(2)
|
Consists of properties that are not being actively marketed because we are evaluating the property condition or determining our sale strategy.
|
(3)
|
Includes properties where we are preparing the property for sale and properties where marketing is on hold, including where we are involved in litigation or other legal and regulatory issues concerning the property.
|
|
|
UPB at
|
|
Delinquency Rate
(1)
at
|
||||||||||
|
|
December 31, 2014
|
|
December 31, 2013
|
|
December 31, 2014
|
|
December 31, 2013
|
||||||
|
|
(dollars in billions)
|
|
|
|
|
||||||||
Mortgage Portfolio:
|
|
|
|
|
|
|
|
|
||||||
Legal Structure:
|
|
|
|
|
|
|
|
|
||||||
Unsecuritized loans
|
|
$
|
53.0
|
|
|
$
|
59.2
|
|
|
0.02
|
%
|
|
0.08
|
%
|
K-Certificates
|
|
76.2
|
|
|
59.8
|
|
|
0.01
|
|
|
0.07
|
|
||
Other Freddie Mac mortgage-related securities
|
|
4.8
|
|
|
4.8
|
|
|
0.66
|
|
|
0.59
|
|
||
Other guarantee commitments
|
|
9.3
|
|
|
9.0
|
|
|
—
|
|
|
—
|
|
||
Total
|
|
$
|
143.3
|
|
|
$
|
132.8
|
|
|
0.04
|
%
|
|
0.09
|
%
|
Unsecuritized loans, excluding held-for-sale loans:
(2)
|
|
|
|
|
|
|
|
|
||||||
Original LTV ratio:
|
|
|
|
|
|
|
|
|
||||||
Below 75%
|
|
$
|
30.3
|
|
|
$
|
36.7
|
|
|
0.04
|
%
|
|
0.09
|
%
|
75% to 80%
|
|
9.8
|
|
|
13.0
|
|
|
—
|
|
|
0.10
|
|
||
Above 80%
|
|
0.7
|
|
|
0.7
|
|
|
—
|
|
|
—
|
|
||
Total
|
|
$
|
40.8
|
|
|
$
|
50.4
|
|
|
0.03
|
%
|
|
0.09
|
%
|
Weighted average LTV ratio at origination
|
|
68
|
%
|
|
68
|
%
|
|
|
|
|
|
114
|
Freddie Mac
|
Maturity Dates:
|
|
|
|
|
|
|
|
|
||||||
2014
|
|
N/A
|
|
|
$
|
1.8
|
|
|
N/A
|
|
|
—
|
%
|
|
2015
|
|
$
|
3.0
|
|
|
6.5
|
|
|
—
|
%
|
|
—
|
|
|
2016
|
|
5.8
|
|
|
8.5
|
|
|
—
|
|
|
—
|
|
||
2017
|
|
5.8
|
|
|
7.1
|
|
|
—
|
|
|
0.23
|
|
||
2018
|
|
8.4
|
|
|
9.1
|
|
|
—
|
|
|
—
|
|
||
2019
|
|
7.4
|
|
|
7.4
|
|
|
0.15
|
|
|
0.17
|
|
||
Beyond 2019
|
|
10.4
|
|
|
10.0
|
|
|
—
|
|
|
0.17
|
|
||
Total
|
|
$
|
40.8
|
|
|
$
|
50.4
|
|
|
0.03
|
%
|
|
0.09
|
%
|
Year of Acquisition:
|
|
|
|
|
|
|
|
|
||||||
2010 and prior
|
|
$
|
35.5
|
|
|
$
|
46.7
|
|
|
0.03
|
%
|
|
0.10
|
%
|
2011
|
|
1.1
|
|
|
1.5
|
|
|
—
|
|
|
—
|
|
||
2012
|
|
0.7
|
|
|
0.8
|
|
|
—
|
|
|
—
|
|
||
2013
|
|
1.5
|
|
|
1.4
|
|
|
—
|
|
|
—
|
|
||
2014
|
|
2.0
|
|
|
N/A
|
|
|
—
|
|
|
N/A
|
|
||
Total
|
|
$
|
40.8
|
|
|
$
|
50.4
|
|
|
0.03
|
%
|
|
0.09
|
%
|
Current Loan Size:
|
|
|
|
|
|
|
|
|
||||||
Above $25 million
|
|
$
|
16.3
|
|
|
$
|
19.1
|
|
|
—
|
%
|
|
—
|
%
|
Above $15 million to $25 million
|
|
7.5
|
|
|
10.4
|
|
|
—
|
|
|
0.32
|
|
||
Above $5 million to $15 million
|
|
12.4
|
|
|
15.6
|
|
|
0.09
|
|
|
0.06
|
|
||
$5 million and below
|
|
4.6
|
|
|
5.3
|
|
|
—
|
|
|
0.07
|
|
||
Total
|
|
$
|
40.8
|
|
|
$
|
50.4
|
|
|
0.03
|
%
|
|
0.09
|
%
|
Freddie Mac Mortgage-Related Securities:
(3)
|
|
|
|
|
|
|
|
|
||||||
Year of Issuance
:
(4)
|
|
|
|
|
|
|
|
|
||||||
2009 and prior
|
|
$
|
5.6
|
|
|
$
|
5.7
|
|
|
0.61
|
%
|
|
0.93
|
%
|
2010
|
|
5.4
|
|
|
5.5
|
|
|
0.14
|
|
|
0.20
|
|
||
2011
|
|
11.2
|
|
|
11.4
|
|
|
—
|
|
|
0.05
|
|
||
2012
|
|
16.5
|
|
|
17.3
|
|
|
—
|
|
|
—
|
|
||
2013
|
|
23.9
|
|
|
24.7
|
|
|
—
|
|
|
—
|
|
||
2014
|
|
18.5
|
|
|
N/A
|
|
|
—
|
|
|
N/A
|
|
||
Total
|
|
$
|
81.1
|
|
|
$
|
64.6
|
|
|
0.05
|
%
|
|
0.12
|
%
|
Subordination Level at Issuance:
|
|
|
|
|
|
|
|
|
||||||
No subordination
|
|
$
|
0.8
|
|
|
$
|
0.8
|
|
|
0.06
|
%
|
|
0.09
|
%
|
Below 10%
|
|
4.4
|
|
|
3.0
|
|
|
—
|
|
|
—
|
|
||
10% to 15%
|
|
32.0
|
|
|
25.0
|
|
|
0.14
|
|
|
0.29
|
|
||
Above 15%
|
|
43.9
|
|
|
35.8
|
|
|
—
|
|
|
—
|
|
||
Total
|
|
$
|
81.1
|
|
|
$
|
64.6
|
|
|
0.05
|
%
|
|
0.12
|
%
|
Year of Underlying Loan Maturity
|
|
|
|
|
|
|
|
|
||||||
2014
|
|
N/A
|
|
|
$
|
—
|
|
|
N/A
|
|
|
—
|
%
|
|
2015
|
|
$
|
0.1
|
|
|
0.1
|
|
|
—
|
%
|
|
2.16
|
|
|
2016
|
|
1.3
|
|
|
1.6
|
|
|
—
|
|
|
—
|
|
||
2017
|
|
2.5
|
|
|
2.6
|
|
|
—
|
|
|
1.01
|
|
||
2018
|
|
7.6
|
|
|
7.5
|
|
|
—
|
|
|
—
|
|
||
2019
|
|
10.0
|
|
|
9.3
|
|
|
—
|
|
|
—
|
|
||
Beyond 2019
|
|
59.6
|
|
|
43.5
|
|
|
0.07
|
|
|
0.10
|
|
||
Total
|
|
$
|
81.1
|
|
|
$
|
64.6
|
|
|
0.05
|
%
|
|
0.12
|
%
|
(1)
|
Within these columns, "—" represents less than 0.005%.
|
(2)
|
Multifamily held-for-sale loans are primarily those awaiting securitization, and were $12.1 billion and $8.7 billion as of December 31, 2014 and 2013, respectively.
|
(3)
|
Consists of loans and bonds underlying Freddie Mac mortgage-related securities, which are primarily our K Certificates. Excludes other guarantee commitments.
|
(4)
|
Based on the year that we issued our guarantee.
|
|
115
|
Freddie Mac
|
|
116
|
Freddie Mac
|
|
117
|
Freddie Mac
|
|
118
|
Freddie Mac
|
|
|
|
|
|
|
As of December 31, 2014
|
||||||||||||||
|
|
|
|
|
|
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 millions)
|
||||||||||||||
Radian Guaranty Inc. (Radian)
|
|
BB-
|
|
Positive
|
|
$
|
50,524
|
|
|
$
|
2,358
|
|
|
$
|
12,861
|
|
|
$
|
764
|
|
United Guaranty Residential Insurance Company
|
|
BBB+
|
|
Stable
|
|
49,013
|
|
|
115
|
|
|
12,603
|
|
|
31
|
|
||||
Mortgage Guaranty Insurance Corporation (MGIC)
|
|
BB-
|
|
Stable
|
|
48,718
|
|
|
226
|
|
|
12,495
|
|
|
3
|
|
||||
Genworth Mortgage Insurance Corporation
|
|
BB-
|
|
Positive
|
|
31,940
|
|
|
200
|
|
|
8,112
|
|
|
39
|
|
||||
Essent Guaranty, Inc.
|
|
BBB
|
|
Stable
|
|
17,106
|
|
|
—
|
|
|
4,363
|
|
|
—
|
|
||||
PMI Mortgage Insurance Co. (PMI)
(4)
|
|
Not Rated
|
|
N/A
|
|
11,843
|
|
|
126
|
|
|
2,929
|
|
|
68
|
|
||||
Republic Mortgage Insurance Company (RMIC)
(5)
|
|
Not Rated
|
|
N/A
|
|
9,382
|
|
|
117
|
|
|
2,338
|
|
|
36
|
|
||||
Triad Guaranty Insurance Corporation (Triad)
(6)
|
|
Not Rated
|
|
N/A
|
|
4,359
|
|
|
55
|
|
|
1,098
|
|
|
6
|
|
||||
Arch Mortgage Insurance Company (Arch)
(7)
|
|
BBB+
|
|
Positive
|
|
3,299
|
|
|
1
|
|
|
821
|
|
|
—
|
|
||||
Others
|
|
N/A
|
|
N/A
|
|
1,311
|
|
|
—
|
|
|
318
|
|
|
—
|
|
||||
Total
|
|
|
|
|
|
$
|
227,495
|
|
|
$
|
3,198
|
|
|
$
|
57,938
|
|
|
$
|
947
|
|
(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 5, 2015. 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 “NOTE 4: MORTGAGE LOANS AND LOAN LOSS RESERVES —
Table 4.5 — Recourse and Other Forms of Credit Protection
” 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.
|
|
119
|
Freddie Mac
|
(4)
|
In March 2014, PMI began paying valid claims 67% in cash and 33% in deferred payment obligations and made a one-time cash payment to us for claims that were previously settled for 55% in cash.
|
(5)
|
In June 2014, RMIC announced it would resume paying valid claims at 100% for claims settled on or after July 1, 2014 and pay, in full, all deferred payment obligations outstanding as of June 30, 2014.
|
(6)
|
In December 2013, Triad began paying valid claims 75% in cash and 25% in deferred payment obligations and made a one-time cash payment to us for claims that were previously settled for 60% in cash.
|
(7)
|
In January 2014, Arch announced it had completed the acquisition of CMG Mortgage Insurance Company (CMG) and the purchase of the mortgage insurance operating platform of PMI. Arch assumed the obligations of CMG in that transaction.
|
|
|
|
|
|
|
As of December 31, 2014
|
|||||||||
Counterparty Name
|
|
Credit Rating
|
|
Credit Rating
Outlook
|
|
Gross Unrealized Losses
|
|
Coverage
Outstanding
|
|
Percent of
Total Coverage
Outstanding
(2)
|
|||||
|
|
|
|
|
|
(dollars in millions)
|
|||||||||
Ambac Assurance Corporation (Ambac)
(3)
|
|
Not Rated
|
|
N/A
|
|
$
|
50
|
|
|
$
|
3,371
|
|
|
50
|
%
|
National Public Finance Guarantee Corp.
|
|
A-
|
|
Negative
|
|
4
|
|
|
1,054
|
|
|
15
|
|
||
Financial Guaranty Insurance Company (FGIC)
(3)
|
|
Not Rated
|
|
N/A
|
|
5
|
|
|
1,051
|
|
|
15
|
|
||
MBIA Insurance Corp.
|
|
B
|
|
Stable
|
|
2
|
|
|
798
|
|
|
12
|
|
||
Assured Guaranty Municipal Corp.
|
|
A
|
|
Stable
|
|
1
|
|
|
455
|
|
|
7
|
|
||
Syncora Guarantee Inc. (Syncora)
(3)
|
|
Not Rated
|
|
N/A
|
|
—
|
|
|
40
|
|
|
1
|
|
||
CIFG Assurance North America, Inc.
|
|
Not Rated
|
|
N/A
|
|
4
|
|
|
30
|
|
|
—
|
|
||
Total
|
|
|
|
|
|
$
|
66
|
|
|
$
|
6,799
|
|
|
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 5, 2015. Represents the lower of S&P and Moody’s credit ratings stated in terms of the S&P equivalent.
|
(2)
|
Within this column, "—" represents less than 0.5%.
|
(3)
|
Ambac, FGIC, and Syncora are currently operating under regulatory or court-ordered supervision.
|
|
120
|
Freddie Mac
|
|
121
|
Freddie Mac
|
•
|
master netting agreements and collateral agreements;
|
•
|
review and analysis of external credit ratings;
|
•
|
internal standards for approving new derivative counterparties, clearinghouses, and clearing members;
|
•
|
ongoing monitoring of our positions with each counterparty, clearinghouse, and clearing member;
|
•
|
managing diversification mix among counterparties; and
|
•
|
stress-testing to evaluate potential exposure under possible adverse market scenarios.
|
•
|
Cleared derivatives: Beginning with contracts executed or modified on or after June 10, 2013, the types of interest-rate swaps that we use most frequently became subject to a central clearing requirement. 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 clearinghouses we use to clear such interest-rate derivatives, and to the clearing members that administer our transactions once accepted for clearing, has increased and may become more concentrated over time. However, the use of cleared derivatives (interest-rate swaps), as a whole, mitigates our institutional credit risk exposure to individual counterparties because a central counterparty is substituted
|
|
122
|
Freddie Mac
|
•
|
Exchange-traded derivatives: We are an active user of exchange-traded derivatives, such as Treasury and Eurodollar futures, and options on 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. The collateral posting thresholds assigned to these counterparties depend on the credit rating of the counterparty and are based on our credit risk policies.
|
|
As of December 31, 2014
|
|||||||||||||||||
Ratings of OTC interest-rate swaps and swaptions counterparties
|
Number of
Counter-parties
(1)
|
|
Net Derivative Asset on the Consolidated Balance Sheets
(2)
|
|
Non-Cash Collateral Held by Us
(3)
|
|
Net Derivative Asset Less Non-Cash Collateral Held by Us
|
|
Cleared and Exchange-Traded Initial Margin and OTC Non-Cash Collateral Posted by Us in Excess of Exposure
|
|||||||||
|
(dollars in millions)
|
|||||||||||||||||
AA- or above
|
4
|
|
|
$
|
175
|
|
|
$
|
(159
|
)
|
|
$
|
16
|
|
|
$
|
—
|
|
A+, A or A-
|
11
|
|
|
452
|
|
|
(294
|
)
|
|
158
|
|
|
386
|
|
||||
BBB+ or below
|
2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4
|
|
||||
Total OTC
|
17
|
|
|
627
|
|
|
(453
|
)
|
|
174
|
|
|
390
|
|
||||
Cleared and exchange-traded derivatives
(4)
|
|
|
128
|
|
|
—
|
|
|
128
|
|
|
2,269
|
|
|||||
Other derivatives
(5)
|
|
|
67
|
|
|
—
|
|
|
67
|
|
|
—
|
|
|||||
Total
|
|
|
$
|
822
|
|
|
$
|
(453
|
)
|
|
$
|
369
|
|
|
$
|
2,659
|
|
(1)
|
Based on legal entities. 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)
|
Includes cash collateral posted by us in excess of exposure.
|
(3)
|
Does not include the fair value amount of non-cash collateral held by us that exceeds the associated net asset presented on the consolidated balance sheets.
|
(4)
|
The ultimate parent entities of the clearinghouses we use were rated AA- and BBB as of December 31, 2014.
|
(5)
|
Consists primarily of commitments and ACIS insurance contracts.
|
|
123
|
Freddie Mac
|
|
124
|
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;
|
|
125
|
Freddie Mac
|
•
|
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.
|
•
|
manage intraday cash needs and provide for the contingency of an unexpected cash demand (e.g., we do not have access to the Federal Reserve’s discount window);
|
•
|
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;
|
•
|
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; and
|
•
|
manage the maturity of our unsecured debt based on our asset profile.
|
|
126
|
Freddie Mac
|
|
127
|
Freddie Mac
|
|
For the Year Ended December 31,
|
||||||
|
2014
|
|
2013
|
||||
|
(dollars in millions)
|
||||||
Beginning balance
|
$
|
511,345
|
|
|
$
|
552,472
|
|
Issued during the period:
|
|
|
|
||||
Short-term:
|
|
|
|
||||
Amount
|
$
|
217,716
|
|
|
$
|
297,349
|
|
Weighted-average effective interest rate
|
0.11
|
%
|
|
0.12
|
%
|
||
Long-term:
|
|
|
|
||||
Amount
|
$
|
92,641
|
|
|
$
|
112,220
|
|
Weighted-average effective interest rate
|
1.16
|
%
|
|
0.98
|
%
|
||
Total issued:
|
|
|
|
||||
Amount
|
$
|
310,357
|
|
|
$
|
409,569
|
|
Weighted-average effective interest rate
|
0.42
|
%
|
|
0.35
|
%
|
||
Paid off during the period:
(1)
|
|
|
|
||||
Short-term:
|
|
|
|
||||
Amount
|
$
|
(224,814
|
)
|
|
$
|
(273,513
|
)
|
Weighted-average effective interest rate
|
0.12
|
%
|
|
0.13
|
%
|
||
Long-term:
|
|
|
|
||||
Amount
|
$
|
(142,859
|
)
|
|
$
|
(177,183
|
)
|
Weighted-average effective interest rate
|
1.61
|
%
|
|
1.57
|
%
|
||
Total paid off:
|
|
|
|
||||
Amount
|
$
|
(367,673
|
)
|
|
$
|
(450,696
|
)
|
Weighted-average effective interest rate
|
0.70
|
%
|
|
0.70
|
%
|
||
Ending balance
|
$
|
454,029
|
|
|
$
|
511,345
|
|
(1)
|
Calls and repurchases of zero-coupon debt are reported at original face value, which does not equal the amount of actual cash payment.
|
|
128
|
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
|
Outlook
|
Stable
|
|
Stable
|
|
Stable
|
(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.
|
|
129
|
Freddie Mac
|
|
130
|
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.
|
|
131
|
Freddie Mac
|
|
132
|
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, 2014, the aggregate liquidation preference of the senior preferred stock was
$72.3 billion
. See “BUSINESS — Conservatorship and Related Matters —
Treasury Agreements and Senior Preferred Stock
” 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.
|
|
133
|
Freddie Mac
|
|
Total
|
|
2015
|
|
2016
|
|
2017
|
|
2018
|
|
2019
|
|
Thereafter
|
||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||
Long-term debt
(1)
|
$
|
319,359
|
|
|
$
|
58,841
|
|
|
$
|
72,503
|
|
|
$
|
77,482
|
|
|
$
|
30,850
|
|
|
$
|
30,671
|
|
|
$
|
49,012
|
|
Short-term debt
(1)
|
134,670
|
|
|
134,670
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Interest payable
(2)
|
34,124
|
|
|
11,498
|
|
|
4,927
|
|
|
3,535
|
|
|
2,261
|
|
|
1,849
|
|
|
10,054
|
|
|||||||
Other liabilities reflected on our consolidated balance sheet:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Other contractual liabilities
(3)(4)
|
1,756
|
|
|
935
|
|
|
10
|
|
|
8
|
|
|
7
|
|
|
6
|
|
|
790
|
|
|||||||
Purchase obligations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Purchase commitments
(5)
|
19,764
|
|
|
19,764
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Other purchase obligations
(6)
|
407
|
|
|
119
|
|
|
59
|
|
|
52
|
|
|
50
|
|
|
47
|
|
|
80
|
|
|||||||
Operating lease obligations
|
29
|
|
|
9
|
|
|
7
|
|
|
4
|
|
|
3
|
|
|
3
|
|
|
3
|
|
|||||||
Total specified contractual obligations
|
$
|
510,109
|
|
|
$
|
225,836
|
|
|
$
|
77,506
|
|
|
$
|
81,081
|
|
|
$
|
33,171
|
|
|
$
|
32,576
|
|
|
$
|
59,939
|
|
(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.
|
(3)
|
Includes obligations related to our 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, most of which 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.
|
|
134
|
Freddie Mac
|
|
135
|
Freddie Mac
|
|
136
|
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.
|
|
137
|
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.
|
|
138
|
Freddie Mac
|
•
|
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.
|
|
139
|
Freddie Mac
|
|
|
|
|
|
|
|
PMVS-YC
|
|
PMVS-L
|
|||||||||||||
|
|
|
|
|
|
|
25 bps
|
|
50 bps
|
|
100 bps
|
|||||||||||
|
|
|
(in millions)
|
|||||||||||||||||||
Assuming shifts of the LIBOR yield curve:
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
December 31, 2014
|
|
|
|
|
|
|
$
|
—
|
|
|
$
|
102
|
|
|
$
|
396
|
|
|||||
December 31, 2013
|
|
|
|
|
|
|
$
|
—
|
|
|
$
|
176
|
|
|
$
|
368
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Year Ended December 31,
|
|||||||||||||||||||||
|
2014
|
|
2013
|
|||||||||||||||||||
|
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
|
(0.1
|
)
|
|
$
|
14
|
|
|
$
|
69
|
|
|
0.2
|
|
|
$
|
21
|
|
|
$
|
235
|
|
|
Minimum
|
(2.4
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
(1.2
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Maximum
|
0.7
|
|
|
$
|
65
|
|
|
$
|
509
|
|
|
2.0
|
|
|
$
|
78
|
|
|
$
|
673
|
|
|
Standard deviation
|
0.4
|
|
|
$
|
14
|
|
|
$
|
79
|
|
|
0.5
|
|
|
$
|
16
|
|
|
$
|
121
|
|
|
Before
Derivatives
|
|
After
Derivatives
|
|
Effect of
Derivatives
|
||||||
|
(in millions)
|
||||||||||
At:
|
|
|
|
|
|
||||||
December 31, 2014
|
$
|
3,226
|
|
|
$
|
102
|
|
|
$
|
(3,124
|
)
|
December 31, 2013
|
$
|
2,166
|
|
|
$
|
176
|
|
|
$
|
(1,990
|
)
|
|
140
|
Freddie Mac
|
|
141
|
Freddie Mac
|
|
142
|
Freddie Mac
|
|
|
Year Ended December 31,
|
||||||||||
|
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions, except share-related amounts)
|
|||||||||||
Interest income
|
|
|
|
|
|
|
||||||
Mortgage loans:
|
|
|
|
|
|
|
||||||
Held by consolidated trusts
|
|
$
|
57,036
|
|
|
$
|
57,189
|
|
|
$
|
65,089
|
|
Unsecuritized
|
|
6,569
|
|
|
7,694
|
|
|
8,960
|
|
|||
Total mortgage loans
|
|
63,605
|
|
|
64,883
|
|
|
74,049
|
|
|||
Investments in securities
|
|
5,843
|
|
|
7,768
|
|
|
10,583
|
|
|||
Other
|
|
32
|
|
|
51
|
|
|
86
|
|
|||
Total interest income
|
|
69,480
|
|
|
72,702
|
|
|
84,718
|
|
|||
Interest expense
|
|
|
|
|
|
|
||||||
Debt securities of consolidated trusts
|
|
(48,003
|
)
|
|
(47,350
|
)
|
|
(56,109
|
)
|
|||
Other debt:
|
|
|
|
|
|
|
||||||
Short-term debt
|
|
(145
|
)
|
|
(178
|
)
|
|
(176
|
)
|
|||
Long-term debt
|
|
(6,768
|
)
|
|
(8,251
|
)
|
|
(10,217
|
)
|
|||
Total interest expense
|
|
(54,916
|
)
|
|
(55,779
|
)
|
|
(66,502
|
)
|
|||
Expense related to derivatives
|
|
(301
|
)
|
|
(455
|
)
|
|
(605
|
)
|
|||
Net interest income
|
|
14,263
|
|
|
16,468
|
|
|
17,611
|
|
|||
(Provision) benefit for credit losses
|
|
(58
|
)
|
|
2,465
|
|
|
(1,890
|
)
|
|||
Net interest income after (provision) benefit for credit losses
|
|
14,205
|
|
|
18,933
|
|
|
15,721
|
|
|||
Non-interest income (loss)
|
|
|
|
|
|
|
||||||
Gains (losses) on extinguishment of debt securities of consolidated trusts
|
|
(451
|
)
|
|
314
|
|
|
(58
|
)
|
|||
Gains (losses) on retirement of other debt
|
|
29
|
|
|
132
|
|
|
(77
|
)
|
|||
Derivative gains (losses)
|
|
(8,291
|
)
|
|
2,632
|
|
|
(2,448
|
)
|
|||
Impairment of available-for-sale securities:
|
|
|
|
|
|
|
||||||
Total other-than-temporary impairment of available-for-sale securities
|
|
(860
|
)
|
|
(763
|
)
|
|
(1,236
|
)
|
|||
Portion of other-than-temporary impairment recognized in AOCI
|
|
(78
|
)
|
|
(747
|
)
|
|
(932
|
)
|
|||
Net impairment of available-for-sale securities recognized in earnings
|
|
(938
|
)
|
|
(1,510
|
)
|
|
(2,168
|
)
|
|||
Other gains (losses) on investment securities recognized in earnings
|
|
1,494
|
|
|
301
|
|
|
(1,522
|
)
|
|||
Other income (loss)
|
|
8,044
|
|
|
6,650
|
|
|
2,190
|
|
|||
Non-interest income (loss)
|
|
(113
|
)
|
|
8,519
|
|
|
(4,083
|
)
|
|||
Non-interest expense
|
|
|
|
|
|
|
||||||
Salaries and employee benefits
|
|
(914
|
)
|
|
(833
|
)
|
|
(810
|
)
|
|||
Professional services
|
|
(527
|
)
|
|
(543
|
)
|
|
(361
|
)
|
|||
Occupancy expense
|
|
(58
|
)
|
|
(54
|
)
|
|
(57
|
)
|
|||
Other administrative expense
|
|
(382
|
)
|
|
(375
|
)
|
|
(333
|
)
|
|||
Total administrative expense
|
|
(1,881
|
)
|
|
(1,805
|
)
|
|
(1,561
|
)
|
|||
Real estate owned operations (expense) income
|
|
(196
|
)
|
|
140
|
|
|
(59
|
)
|
|||
Temporary Payroll Tax Cut Continuation Act of 2011 expense
|
|
(775
|
)
|
|
(533
|
)
|
|
(108
|
)
|
|||
Other (expense) income
|
|
(238
|
)
|
|
109
|
|
|
(465
|
)
|
|||
Non-interest expense
|
|
(3,090
|
)
|
|
(2,089
|
)
|
|
(2,193
|
)
|
|||
Income before income tax (expense) benefit
|
|
11,002
|
|
|
25,363
|
|
|
9,445
|
|
|||
Income tax (expense) benefit
|
|
(3,312
|
)
|
|
23,305
|
|
|
1,537
|
|
|||
Net income
|
|
7,690
|
|
|
48,668
|
|
|
10,982
|
|
|||
Other comprehensive income (loss), net of taxes and reclassification adjustments:
|
|
|
|
|
|
|
||||||
Changes in unrealized gains (losses) related to available-for-sale securities
|
|
1,584
|
|
|
2,406
|
|
|
4,769
|
|
|||
Changes in unrealized gains (losses) related to cash flow hedge relationships
|
|
197
|
|
|
316
|
|
|
414
|
|
|||
Changes in defined benefit plans
|
|
(45
|
)
|
|
210
|
|
|
(126
|
)
|
|||
Total other comprehensive income (loss), net of taxes and reclassification adjustments
|
|
1,736
|
|
|
2,932
|
|
|
5,057
|
|
|||
Comprehensive income
|
|
$
|
9,426
|
|
|
$
|
51,600
|
|
|
$
|
16,039
|
|
Net income
|
|
$
|
7,690
|
|
|
$
|
48,668
|
|
|
$
|
10,982
|
|
Undistributed net worth sweep and senior preferred stock dividends
|
|
(10,026
|
)
|
|
(52,199
|
)
|
|
(13,056
|
)
|
|||
Net income (loss) attributable to common stockholders
|
|
$
|
(2,336
|
)
|
|
$
|
(3,531
|
)
|
|
$
|
(2,074
|
)
|
Net income (loss) per common share — basic and diluted
|
|
$
|
(0.72
|
)
|
|
$
|
(1.09
|
)
|
|
$
|
(0.64
|
)
|
Weighted average common shares outstanding (in millions) — basic and diluted
|
|
3,236
|
|
|
3,238
|
|
|
3,240
|
|
|
143
|
Freddie Mac
|
|
December 31, 2014
|
|
December 31, 2013
|
||||
|
(in millions,
except share-related amounts)
|
||||||
Assets
|
|
|
|
||||
Cash and cash equivalents (includes $2 and $1, respectively, related to our consolidated VIEs)
|
$
|
10,928
|
|
|
$
|
11,281
|
|
Restricted cash and cash equivalents (includes $8,532 and $12,193, respectively, related to our consolidated VIEs)
|
8,535
|
|
|
12,265
|
|
||
Federal funds sold and securities purchased under agreements to resell (includes $13,500 and $3,150, respectively, related to our consolidated VIEs)
|
51,903
|
|
|
62,383
|
|
||
Investments in securities:
|
|
|
|
||||
Available-for-sale, at fair value (includes $9 and $70, respectively, pledged as collateral that may be repledged)
|
106,550
|
|
|
128,919
|
|
||
Trading, at fair value (includes $1,884 and $365, respectively, pledged as collateral that may be repledged)
|
30,437
|
|
|
23,404
|
|
||
Total investments in securities
|
136,987
|
|
|
152,323
|
|
||
Mortgage loans:
|
|
|
|
||||
Held-for-investment, at amortized cost:
|
|
|
|
||||
By consolidated trusts (net of allowances for loan losses of $2,884 and $3,006, respectively)
|
1,558,094
|
|
|
1,529,905
|
|
||
Unsecuritized (net of allowances for loan losses of $18,877 and $21,612, respectively)
|
130,118
|
|
|
146,158
|
|
||
Total held-for-investment mortgage loans, net
|
1,688,212
|
|
|
1,676,063
|
|
||
Held-for-sale, at lower-of-cost-or-fair-value (includes $12,130 and $8,727 at fair value, respectively)
|
12,368
|
|
|
8,727
|
|
||
Total mortgage loans, net
|
1,700,580
|
|
|
1,684,790
|
|
||
Accrued interest receivable (includes $5,124 and $5,111, respectively, related to our consolidated VIEs)
|
6,034
|
|
|
6,150
|
|
||
Derivative assets, net
|
822
|
|
|
1,063
|
|
||
Real estate owned, net (includes $44 and $49, respectively, related to our consolidated VIEs)
|
2,558
|
|
|
4,551
|
|
||
Deferred tax assets, net
|
19,498
|
|
|
22,716
|
|
||
Other assets (Note 19) (includes $2,596 and $2,172, respectively, related to our consolidated VIEs)
|
7,694
|
|
|
8,539
|
|
||
Total assets
|
$
|
1,945,539
|
|
|
$
|
1,966,061
|
|
Liabilities and equity
|
|
|
|
||||
Liabilities
|
|
|
|
||||
Accrued interest payable (includes $4,702 and $4,702, respectively, related to our consolidated VIEs)
|
$
|
6,325
|
|
|
$
|
6,803
|
|
Debt, net:
|
|
|
|
||||
Debt securities of consolidated trusts held by third parties (includes $42 and $59 at fair value, respectively)
|
1,479,473
|
|
|
1,433,984
|
|
||
Other debt (includes $5,820 and $2,683 at fair value, respectively)
|
450,069
|
|
|
506,767
|
|
||
Total debt, net
|
1,929,542
|
|
|
1,940,751
|
|
||
Derivative liabilities, net
|
1,963
|
|
|
180
|
|
||
Other liabilities (Note 19) (includes $1 and $6, respectively, related to our consolidated VIEs)
|
5,058
|
|
|
5,492
|
|
||
Total liabilities
|
1,942,888
|
|
|
1,953,226
|
|
||
Commitments and contingencies (Notes 9, 14, and 17)
|
|
|
|
||||
Equity
|
|
|
|
||||
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 650,043,899 shares and 650,039,533 shares outstanding, respectively
|
—
|
|
|
—
|
|
||
Additional paid-in capital
|
—
|
|
|
—
|
|
||
Retained earnings (accumulated deficit)
|
(81,639
|
)
|
|
(69,719
|
)
|
||
AOCI, net of taxes, related to:
|
|
|
|
||||
Available-for-sale securities (includes $839 and ($1,100), respectively, related to net unrealized gains (losses) on securities for which other-than-temporary impairment has been recognized in earnings)
|
2,546
|
|
|
962
|
|
||
Cash flow hedge relationships
|
(803
|
)
|
|
(1,000
|
)
|
||
Defined benefit plans
|
(13
|
)
|
|
32
|
|
||
Total AOCI, net of taxes
|
1,730
|
|
|
(6
|
)
|
||
Treasury stock, at cost, 75,819,987 shares and 75,824,353 shares, respectively
|
(3,885
|
)
|
|
(3,885
|
)
|
||
Total equity (See NOTE 11: STOCKHOLDERS’ EQUITY for information on our dividend obligation to Treasury)
|
2,651
|
|
|
12,835
|
|
||
Total liabilities and equity
|
$
|
1,945,539
|
|
|
$
|
1,966,061
|
|
|
144
|
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
|
|||||||||||||||||||||||
|
Senior
Preferred
Stock
|
|
Preferred
Stock
|
|
Common
Stock
|
|
||||||||||||||||||||||||||||||||||
|
(in millions)
|
|||||||||||||||||||||||||||||||||||||||
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 as of 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
|
|
Balance as of December 31, 2013
|
1
|
|
|
464
|
|
|
650
|
|
|
$
|
72,336
|
|
|
$
|
14,109
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(69,719
|
)
|
|
$
|
(6
|
)
|
|
$
|
(3,885
|
)
|
|
$
|
12,835
|
|
Comprehensive income:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7,690
|
|
|
—
|
|
|
—
|
|
|
7,690
|
|
||||||||
Other comprehensive income, net of taxes
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,736
|
|
|
—
|
|
|
1,736
|
|
||||||||
Comprehensive income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7,690
|
|
|
1,736
|
|
|
—
|
|
|
9,426
|
|
||||||||
Senior preferred stock dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(19,610
|
)
|
|
—
|
|
|
—
|
|
|
(19,610
|
)
|
||||||||
Ending balance at December 31, 2014
|
1
|
|
|
464
|
|
|
650
|
|
|
$
|
72,336
|
|
|
$
|
14,109
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(81,639
|
)
|
|
$
|
1,730
|
|
|
$
|
(3,885
|
)
|
|
$
|
2,651
|
|
|
145
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Cash flows from operating activities
|
|
|
|
|
|
||||||
Net income
|
$
|
7,690
|
|
|
$
|
48,668
|
|
|
$
|
10,982
|
|
Adjustments to reconcile net income to net cash provided by operating activities:
|
|
|
|
|
|
||||||
Derivative losses (gains)
|
5,652
|
|
|
(6,097
|
)
|
|
(1,350
|
)
|
|||
Asset related amortization — premiums, discounts, and basis adjustments
|
3,518
|
|
|
4,627
|
|
|
4,624
|
|
|||
Debt related amortization — premiums and discounts on certain debt securities and basis adjustments
|
(5,368
|
)
|
|
(6,779
|
)
|
|
(5,782
|
)
|
|||
Losses (gains) on extinguishment of debt securities of consolidated trusts and other debt
|
422
|
|
|
(446
|
)
|
|
135
|
|
|||
Provision (benefit) for credit losses
|
58
|
|
|
(2,465
|
)
|
|
1,890
|
|
|||
(Gains) losses on investment activity
|
(1,287
|
)
|
|
1,545
|
|
|
2,680
|
|
|||
Deferred income tax expense (benefit)
|
2,284
|
|
|
(23,422
|
)
|
|
3
|
|
|||
Purchases of held-for-sale mortgage loans
|
(24,593
|
)
|
|
(23,103
|
)
|
|
(25,340
|
)
|
|||
Sales of mortgage loans acquired as held-for-sale
|
21,995
|
|
|
28,123
|
|
|
21,764
|
|
|||
Repayments of mortgage loans acquired as held-for-sale
|
67
|
|
|
167
|
|
|
59
|
|
|||
Payments to servicers for pre-foreclosure expense and servicer incentive fees
|
(932
|
)
|
|
(1,302
|
)
|
|
(1,269
|
)
|
|||
Change in:
|
|
|
|
|
|
||||||
Accrued interest receivable
|
116
|
|
|
725
|
|
|
1,187
|
|
|||
Accrued interest payable
|
(440
|
)
|
|
(849
|
)
|
|
(1,094
|
)
|
|||
Income taxes receivable
|
268
|
|
|
117
|
|
|
(1,523
|
)
|
|||
Other, net
|
(565
|
)
|
|
(2,957
|
)
|
|
(1,722
|
)
|
|||
Net cash provided by operating activities
|
8,885
|
|
|
16,552
|
|
|
5,244
|
|
|||
Cash flows from investing activities
|
|
|
|
|
|
||||||
Purchases of trading securities
|
(42,477
|
)
|
|
(53,753
|
)
|
|
(33,880
|
)
|
|||
Proceeds from sales of trading securities
|
18,513
|
|
|
57,380
|
|
|
17,641
|
|
|||
Proceeds from maturities of trading securities
|
17,118
|
|
|
12,542
|
|
|
31,106
|
|
|||
Purchases of available-for-sale securities
|
(25,290
|
)
|
|
(9,681
|
)
|
|
(3,252
|
)
|
|||
Proceeds from sales of available-for-sale securities
|
32,062
|
|
|
24,675
|
|
|
1,729
|
|
|||
Proceeds from maturities of available-for-sale securities
|
20,734
|
|
|
33,630
|
|
|
38,517
|
|
|||
Purchases of held-for-investment mortgage loans
|
(75,298
|
)
|
|
(79,028
|
)
|
|
(79,492
|
)
|
|||
Proceeds from sales of mortgage loans acquired as held-for-investment
|
454
|
|
|
196
|
|
|
5
|
|
|||
Repayments of mortgage loans acquired as held-for-investment
|
241,552
|
|
|
410,455
|
|
|
522,242
|
|
|||
Decrease in restricted cash
|
3,730
|
|
|
2,327
|
|
|
13,471
|
|
|||
Net proceeds from dispositions of real estate owned and other recoveries
|
7,712
|
|
|
11,274
|
|
|
11,265
|
|
|||
Net decrease (increase) in federal funds sold and securities purchased under agreements to resell
|
10,480
|
|
|
(24,820
|
)
|
|
(25,519
|
)
|
|||
Derivative premiums and terminations and swap collateral, net
|
(3,888
|
)
|
|
6,062
|
|
|
569
|
|
|||
Other investing activities, net
|
(134
|
)
|
|
—
|
|
|
—
|
|
|||
Net cash provided by investing activities
|
205,268
|
|
|
391,259
|
|
|
494,402
|
|
|||
Cash flows from financing activities
|
|
|
|
|
|
||||||
Proceeds from issuance of debt securities of consolidated trusts held by third parties
|
124,887
|
|
|
113,841
|
|
|
95,601
|
|
|||
Repayments of debt securities of consolidated trusts held by third parties
|
(262,920
|
)
|
|
(430,118
|
)
|
|
(494,275
|
)
|
|||
Proceeds from issuance of other debt
|
451,854
|
|
|
701,342
|
|
|
718,731
|
|
|||
Repayments of other debt
|
(508,710
|
)
|
|
(742,510
|
)
|
|
(832,552
|
)
|
|||
Increase in liquidation preference of senior preferred stock
|
—
|
|
|
—
|
|
|
165
|
|
|||
Payment of cash dividends on senior preferred stock
|
(19,610
|
)
|
|
(47,591
|
)
|
|
(7,233
|
)
|
|||
Other financing activities, net
|
(7
|
)
|
|
(7
|
)
|
|
(12
|
)
|
|||
Net cash used in financing activities
|
(214,506
|
)
|
|
(405,043
|
)
|
|
(519,575
|
)
|
|||
Net (decrease) increase in cash and cash equivalents
|
(353
|
)
|
|
2,768
|
|
|
(19,929
|
)
|
|||
Cash and cash equivalents at beginning of year
|
11,281
|
|
|
8,513
|
|
|
28,442
|
|
|||
Cash and cash equivalents at end of year
|
$
|
10,928
|
|
|
$
|
11,281
|
|
|
$
|
8,513
|
|
|
|
|
|
|
|
||||||
Supplemental cash flow information
|
|
|
|
|
|
||||||
Cash paid (received) for:
|
|
|
|
|
|
||||||
Debt interest
|
$
|
62,257
|
|
|
$
|
65,614
|
|
|
75,328
|
|
|
Net cash settlement on interest rate swaps
|
2,537
|
|
|
3,701
|
|
|
4,044
|
|
|||
Income taxes
|
760
|
|
|
—
|
|
|
(18
|
)
|
|||
Non-cash investing and financing activities (Notes 3, 4, 6 and 7)
|
|
|
|
|
|
|
146
|
Freddie Mac
|
|
147
|
Freddie Mac
|
|
148
|
Freddie Mac
|
|
149
|
Freddie Mac
|
|
150
|
Freddie Mac
|
|
151
|
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.
|
|
152
|
Freddie Mac
|
|
153
|
Freddie Mac
|
|
154
|
Freddie Mac
|
|
155
|
Freddie Mac
|
|
156
|
Freddie Mac
|
|
157
|
Freddie Mac
|
|
158
|
Freddie Mac
|
•
|
Maintain
, in a safe and sound manner, foreclosure prevention activities and credit availability for new and refinanced mortgages to foster liquid, efficient, competitive and resilient national housing finance markets.
|
•
|
Reduce
taxpayer risk through increasing the role of private capital in the mortgage market.
|
•
|
Build
a new single-family securitization infrastructure for use by the Enterprises and adaptable for use by other participants in the secondary market in the future.
|
|
159
|
Freddie Mac
|
|
160
|
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.
|
|
161
|
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
|
|
162
|
Freddie Mac
|
•
|
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.
|
|
163
|
Freddie Mac
|
|
164
|
Freddie Mac
|
|
December 31, 2014
|
||||||||||||||
|
Mortgage-Related
Security Trusts
|
|
Unsecuritized
Multifamily
Loans
(3)
|
|
|
||||||||||
|
Freddie Mac
Securities
(1)
|
|
Non-Freddie Mac
Securities
(2)
|
|
|
Other
(2)
|
|||||||||
|
(in millions)
|
||||||||||||||
Assets and Liabilities Recorded on our Consolidated Balance Sheets
|
|
|
|
|
|
|
|
||||||||
Assets:
|
|
|
|
|
|
|
|
||||||||
Restricted cash and cash equivalents
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3
|
|
Investments in securities:
|
|
|
|
|
|
|
|
||||||||
Available-for-sale, at fair value
|
39,099
|
|
|
65,253
|
|
|
—
|
|
|
—
|
|
||||
Trading, at fair value
|
17,469
|
|
|
6,282
|
|
|
—
|
|
|
—
|
|
||||
Mortgage loans:
|
|
|
|
|
|
|
|
||||||||
Held-for-investment, unsecuritized
|
—
|
|
|
—
|
|
|
40,753
|
|
|
—
|
|
||||
Held-for-sale
|
—
|
|
|
—
|
|
|
12,368
|
|
|
—
|
|
||||
Accrued interest receivable
|
236
|
|
|
165
|
|
|
221
|
|
|
7
|
|
||||
Other assets
|
914
|
|
|
2
|
|
|
369
|
|
|
495
|
|
||||
Liabilities:
|
|
|
|
|
|
|
|
||||||||
Derivative liabilities, net
|
—
|
|
|
—
|
|
|
—
|
|
|
(30
|
)
|
||||
Other liabilities
|
(1,005
|
)
|
|
—
|
|
|
(10
|
)
|
|
(560
|
)
|
||||
Maximum Exposure to Loss
|
$
|
87,529
|
|
|
$
|
69,206
|
|
|
$
|
53,711
|
|
|
$
|
10,419
|
|
Total Assets of Non-Consolidated VIEs
(4)
|
$
|
103,253
|
|
|
$
|
390,515
|
|
|
$
|
95,874
|
|
|
$
|
22,855
|
|
|
|
|
|
|
|
|
|
||||||||
|
December 31, 2013
|
||||||||||||||
|
Mortgage-Related
Security Trusts
|
|
Unsecuritized
Multifamily
Loans
(3)
|
|
|
||||||||||
|
Freddie Mac
Securities
(1)
|
|
Non-Freddie Mac
Securities
(2)
|
|
|
Other
(2)
|
|||||||||
|
(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
|
|
(1)
|
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. Our maximum exposure to loss on Freddie Mac securities excludes investments in single-family multiclass REMICs and Other Structured Securities, because we already consolidate the collateral of these trusts on our consolidated balance sheets.
|
(2)
|
Our maximum exposure to loss for non-Freddie Mac security trusts and certain other VIEs 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 recorded on our consolidated balance sheets.
|
(3)
|
Our maximum exposure to loss includes accrued interest receivable associated with these loans.
|
(4)
|
Except for unsecuritized multifamily loans, this represents the UPB of assets held by non-consolidated VIEs using the most current information available. For unsecuritized multifamily loans, this represents the fair value of the property serving as collateral for the loan.
|
|
165
|
Freddie Mac
|
|
166
|
Freddie Mac
|
|
December 31, 2014
|
|
December 31, 2013
|
||||||||||||||||||||
|
Unsecuritized
|
|
Held By
Consolidated
Trusts
|
|
Total
|
|
Unsecuritized
|
|
Held By
Consolidated
Trusts
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fixed-rate
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Amortizing
|
$
|
105,560
|
|
|
$
|
1,431,872
|
|
|
$
|
1,537,432
|
|
|
$
|
113,597
|
|
|
$
|
1,402,841
|
|
|
$
|
1,516,438
|
|
Interest-only
|
939
|
|
|
3,298
|
|
|
4,237
|
|
|
1,476
|
|
|
4,826
|
|
|
6,302
|
|
||||||
Total fixed-rate
|
106,499
|
|
|
1,435,170
|
|
|
1,541,669
|
|
|
115,073
|
|
|
1,407,667
|
|
|
1,522,740
|
|
||||||
Adjustable-rate
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Amortizing
|
1,353
|
|
|
68,632
|
|
|
69,985
|
|
|
1,935
|
|
|
65,429
|
|
|
67,364
|
|
||||||
Interest-only
|
3,191
|
|
|
20,373
|
|
|
23,564
|
|
|
4,576
|
|
|
23,841
|
|
|
28,417
|
|
||||||
Total adjustable-rate
|
4,544
|
|
|
89,005
|
|
|
93,549
|
|
|
6,511
|
|
|
89,270
|
|
|
95,781
|
|
||||||
Other Guarantee Transactions
|
—
|
|
|
7,042
|
|
|
7,042
|
|
|
—
|
|
|
8,431
|
|
|
8,431
|
|
||||||
FHA/VA and other governmental
|
473
|
|
|
3,139
|
|
|
3,612
|
|
|
553
|
|
|
3,354
|
|
|
3,907
|
|
||||||
Total single-family
|
111,516
|
|
|
1,534,356
|
|
|
1,645,872
|
|
|
122,137
|
|
|
1,508,722
|
|
|
1,630,859
|
|
||||||
Multifamily:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fixed-rate
|
43,632
|
|
|
524
|
|
|
44,156
|
|
|
50,701
|
|
|
444
|
|
|
51,145
|
|
||||||
Adjustable-rate
|
9,321
|
|
|
—
|
|
|
9,321
|
|
|
8,467
|
|
|
—
|
|
|
8,467
|
|
||||||
Other governmental
|
3
|
|
|
—
|
|
|
3
|
|
|
3
|
|
|
—
|
|
|
3
|
|
||||||
Total multifamily
|
52,956
|
|
|
524
|
|
|
53,480
|
|
|
59,171
|
|
|
444
|
|
|
59,615
|
|
||||||
Total UPB of mortgage loans
|
164,472
|
|
|
1,534,880
|
|
|
1,699,352
|
|
|
181,308
|
|
|
1,509,166
|
|
|
1,690,474
|
|
||||||
Deferred fees, unamortized premiums, discounts and other cost basis adjustments
|
(3,366
|
)
|
|
26,098
|
|
|
22,732
|
|
|
(4,817
|
)
|
|
23,745
|
|
|
18,928
|
|
||||||
Fair value adjustments on loans held-for sale
|
257
|
|
|
—
|
|
|
257
|
|
|
6
|
|
|
—
|
|
|
6
|
|
||||||
Allowance for loan losses on mortgage loans held-for-investment
|
(18,877
|
)
|
|
(2,884
|
)
|
|
(21,761
|
)
|
|
(21,612
|
)
|
|
(3,006
|
)
|
|
(24,618
|
)
|
||||||
Total mortgage loans, net
|
$
|
142,486
|
|
|
$
|
1,558,094
|
|
|
$
|
1,700,580
|
|
|
$
|
154,885
|
|
|
$
|
1,529,905
|
|
|
$
|
1,684,790
|
|
Mortgage loans, net:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Held-for-investment
|
$
|
130,118
|
|
|
$
|
1,558,094
|
|
|
$
|
1,688,212
|
|
|
$
|
146,158
|
|
|
$
|
1,529,905
|
|
|
$
|
1,676,063
|
|
Held-for-sale
|
12,368
|
|
|
—
|
|
|
12,368
|
|
|
8,727
|
|
|
—
|
|
|
8,727
|
|
||||||
Total mortgage loans, net
|
$
|
142,486
|
|
|
$
|
1,558,094
|
|
|
$
|
1,700,580
|
|
|
$
|
154,885
|
|
|
$
|
1,529,905
|
|
|
$
|
1,684,790
|
|
|
167
|
Freddie Mac
|
|
As of December 31, 2014
|
|
As of December 31, 2013
|
||||||||||||||||||||||||||||
|
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)
|
$
|
911,071
|
|
|
$
|
258,126
|
|
|
$
|
85,398
|
|
|
$
|
1,254,595
|
|
|
$
|
819,509
|
|
|
$
|
269,110
|
|
|
$
|
124,491
|
|
|
$
|
1,213,110
|
|
15-year amortizing fixed-rate
(3)
|
265,098
|
|
|
14,101
|
|
|
3,338
|
|
|
282,537
|
|
|
270,211
|
|
|
19,658
|
|
|
5,748
|
|
|
295,617
|
|
||||||||
Adjustable-rate
|
60,463
|
|
|
6,701
|
|
|
709
|
|
|
67,873
|
|
|
56,208
|
|
|
6,714
|
|
|
1,578
|
|
|
64,500
|
|
||||||||
Alt-A, interest-only, and option ARM
|
28,935
|
|
|
18,232
|
|
|
16,448
|
|
|
63,615
|
|
|
29,927
|
|
|
21,564
|
|
|
25,089
|
|
|
76,580
|
|
||||||||
Total single-family loans
|
$
|
1,265,567
|
|
|
$
|
297,160
|
|
|
$
|
105,893
|
|
|
1,668,620
|
|
|
$
|
1,175,855
|
|
|
$
|
317,046
|
|
|
$
|
156,906
|
|
|
1,649,807
|
|
||
Multifamily loans
|
|
|
|
|
|
|
41,353
|
|
|
|
|
|
|
|
|
50,874
|
|
||||||||||||||
Total recorded investment of held-for-investment loans
|
|
|
|
|
|
|
$
|
1,709,973
|
|
|
|
|
|
|
|
|
$
|
1,700,681
|
|
(1)
|
The current LTV ratios are management estimates, which are updated on a monthly basis. 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 geographic area since that time. 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.
|
(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
9.01%
and
9.89%
as of
December 31, 2014
and 2013, respectively.
|
(3)
|
The majority of our loan modifications result in new terms that include fixed interest rates after modification. As of
December 31, 2014
and 2013, we have categorized UPB of approximately
$42.3 billion
and
$43.8 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.
|
|
168
|
Freddie Mac
|
(1)
|
For the years ended
December 31, 2014
and 2013, consists of: (a) approximately
$1.0 billion
and
$3.4 billion
, respectively, of reclassified single-family reserves related to our removal of loans previously held by consolidated trusts, net of reclassifications for single-family loans subsequently resecuritized after such removal; and (b) approximately
$0.7 billion
and
$1.0 billion
, respectively, attributable to capitalization of past due interest on modified mortgage loans.
|
(2)
|
Excludes amounts associated with loans acquired with deteriorated credit quality (at the time of our acquisition) and recoveries related to settlements.
|
|
169
|
Freddie Mac
|
|
December 31, 2014
|
|
December 31, 2013
|
||||||||||||||||||||
|
Single-family
|
|
Multifamily
|
|
Total
|
|
Single-family
|
|
Multifamily
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Recorded investment:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Collectively evaluated
|
$
|
1,568,237
|
|
|
$
|
40,451
|
|
|
$
|
1,608,688
|
|
|
$
|
1,551,667
|
|
|
$
|
49,598
|
|
|
$
|
1,601,265
|
|
Individually evaluated
|
100,383
|
|
|
902
|
|
|
101,285
|
|
|
98,140
|
|
|
1,276
|
|
|
99,416
|
|
||||||
Total recorded investment
|
1,668,620
|
|
|
41,353
|
|
|
1,709,973
|
|
|
1,649,807
|
|
|
50,874
|
|
|
1,700,681
|
|
||||||
Ending balance of the allowance for loan losses:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Collectively evaluated
|
(3,847
|
)
|
|
(25
|
)
|
|
(3,872
|
)
|
|
(5,939
|
)
|
|
(45
|
)
|
|
(5,984
|
)
|
||||||
Individually evaluated
|
(17,837
|
)
|
|
(52
|
)
|
|
(17,889
|
)
|
|
(18,554
|
)
|
|
(80
|
)
|
|
(18,634
|
)
|
||||||
Total ending balance of the allowance
|
(21,684
|
)
|
|
(77
|
)
|
|
(21,761
|
)
|
|
(24,493
|
)
|
|
(125
|
)
|
|
(24,618
|
)
|
||||||
Net investment in mortgage loans
|
$
|
1,646,936
|
|
|
$
|
41,276
|
|
|
$
|
1,688,212
|
|
|
$
|
1,625,314
|
|
|
$
|
50,749
|
|
|
$
|
1,676,063
|
|
|
UPB at
|
|
Maximum Coverage
(2)
at
|
||||||||||||
|
December 31, 2014
|
|
December 31, 2013
|
|
December 31, 2014
|
|
December 31, 2013
|
||||||||
|
(in millions)
|
||||||||||||||
Single-family:
|
|
|
|
|
|
|
|
||||||||
Primary mortgage insurance
|
$
|
227,495
|
|
|
$
|
203,470
|
|
|
$
|
57,938
|
|
|
$
|
50,823
|
|
Other credit protection:
|
|
|
|
|
|
|
|
||||||||
Credit risk transfer transactions
(3)
|
144,272
|
|
|
56,903
|
|
|
6,657
|
|
|
1,183
|
|
||||
Lender recourse and indemnifications
|
6,527
|
|
|
7,119
|
|
|
6,092
|
|
|
6,726
|
|
||||
Pool insurance
(4)
|
2,284
|
|
|
4,683
|
|
|
947
|
|
|
1,186
|
|
||||
HFA indemnification
|
3,357
|
|
|
4,051
|
|
|
3,324
|
|
|
3,323
|
|
||||
Subordination
(5)
|
2,377
|
|
|
2,644
|
|
|
339
|
|
|
399
|
|
||||
Other credit enhancements
|
20
|
|
|
38
|
|
|
18
|
|
|
38
|
|
||||
Total
|
$
|
386,332
|
|
|
$
|
278,908
|
|
|
$
|
75,315
|
|
|
$
|
63,678
|
|
Multifamily:
|
|
|
|
|
|
|
|
||||||||
K Certificates
|
$
|
75,541
|
|
|
$
|
59,326
|
|
|
$
|
13,576
|
|
|
$
|
10,601
|
|
Subordination
(5)
|
4,724
|
|
|
4,435
|
|
|
796
|
|
|
756
|
|
||||
HFA indemnification
|
772
|
|
|
905
|
|
|
699
|
|
|
699
|
|
||||
Other credit enhancements
|
5,706
|
|
|
6,666
|
|
|
1,685
|
|
|
1,834
|
|
||||
Total
|
$
|
86,743
|
|
|
$
|
71,332
|
|
|
$
|
16,756
|
|
|
$
|
13,890
|
|
(1)
|
Except for our credit risk transfer transactions, our credit enhancements generally provide protection for the first, or initial credit losses associated with the related loans. Excludes: (a) FHA/VA and other governmental loans; (b) purchased credit protection associated with
$9.8 billion
and
$11.5 billion
in UPB of single-family loans underlying Other Guarantee Transactions as of
December 31, 2014
and 2013, respectively; and (c) 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.
|
|
170
|
Freddie Mac
|
(3)
|
Excludes
$48.3 billion
in UPB at
December 31, 2014
where the related loans are also covered by primary mortgage insurance. Maximum coverage amounts presented represent the outstanding balance of STACR debt securities held by third parties as well as the remaining aggregate limit of insurance purchased from third parties in ACIS transactions.
|
(4)
|
Excludes approximately
$0.9 billion
and
$1.8 billion
in UPB at
December 31, 2014
and 2013, respectively, where the related loans are also covered by primary mortgage insurance.
|
(5)
|
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.
|
|
171
|
Freddie Mac
|
|
|
Balance at December 31, 2014
|
|
For the Year Ended December 31, 2014
|
||||||||||||||||||||||||
|
|
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
|
|
$
|
6,041
|
|
|
$
|
4,007
|
|
|
N/A
|
|
|
$
|
4,007
|
|
|
$
|
3,727
|
|
|
$
|
376
|
|
|
$
|
33
|
|
|
15-year amortizing fixed-rate
|
|
63
|
|
|
44
|
|
|
N/A
|
|
|
44
|
|
|
39
|
|
|
10
|
|
|
1
|
|
|||||||
Adjustable-rate
|
|
27
|
|
|
22
|
|
|
N/A
|
|
|
22
|
|
|
17
|
|
|
1
|
|
|
—
|
|
|||||||
Alt-A, interest-only, and option ARM
|
|
1,717
|
|
|
1,168
|
|
|
N/A
|
|
|
1,168
|
|
|
1,133
|
|
|
81
|
|
|
6
|
|
|||||||
Total with no specific allowance recorded
|
|
7,848
|
|
|
5,241
|
|
|
N/A
|
|
|
5,241
|
|
|
4,916
|
|
|
468
|
|
|
40
|
|
|||||||
With specific allowance recorded:
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
20 and 30-year or more, amortizing fixed-rate
|
|
77,798
|
|
|
76,708
|
|
|
$
|
(14,051
|
)
|
|
62,657
|
|
|
75,773
|
|
|
2,357
|
|
|
279
|
|
||||||
15-year amortizing fixed-rate
|
|
1,226
|
|
|
1,233
|
|
|
(40
|
)
|
|
1,193
|
|
|
1,242
|
|
|
54
|
|
|
10
|
|
|||||||
Adjustable-rate
|
|
868
|
|
|
866
|
|
|
(65
|
)
|
|
801
|
|
|
881
|
|
|
23
|
|
|
6
|
|
|||||||
Alt-A, interest-only, and option ARM
|
|
16,734
|
|
|
16,335
|
|
|
(3,681
|
)
|
|
12,654
|
|
|
16,476
|
|
|
380
|
|
|
58
|
|
|||||||
Total with specific allowance recorded
|
|
96,626
|
|
|
95,142
|
|
|
(17,837
|
)
|
|
77,305
|
|
|
94,372
|
|
|
2,814
|
|
|
353
|
|
|||||||
Combined single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
20 and 30-year or more, amortizing fixed-rate
|
|
83,839
|
|
|
80,715
|
|
|
(14,051
|
)
|
|
66,664
|
|
|
79,500
|
|
|
2,733
|
|
|
312
|
|
|||||||
15-year amortizing fixed-rate
|
|
1,289
|
|
|
1,277
|
|
|
(40
|
)
|
|
1,237
|
|
|
1,281
|
|
|
64
|
|
|
11
|
|
|||||||
Adjustable-rate
|
|
895
|
|
|
888
|
|
|
(65
|
)
|
|
823
|
|
|
898
|
|
|
24
|
|
|
6
|
|
|||||||
Alt-A, interest-only, and option ARM
|
|
18,451
|
|
|
17,503
|
|
|
(3,681
|
)
|
|
13,822
|
|
|
17,609
|
|
|
461
|
|
|
64
|
|
|||||||
Total single-family
|
|
$
|
104,474
|
|
|
$
|
100,383
|
|
|
$
|
(17,837
|
)
|
|
$
|
82,546
|
|
|
$
|
99,288
|
|
|
$
|
3,282
|
|
|
$
|
393
|
|
Multifamily —
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
With no specific allowance recorded
(4)
|
|
$
|
440
|
|
|
$
|
431
|
|
|
N/A
|
|
|
$
|
431
|
|
|
$
|
659
|
|
|
$
|
29
|
|
|
$
|
9
|
|
|
With specific allowance recorded
|
|
480
|
|
|
471
|
|
|
$
|
(52
|
)
|
|
419
|
|
|
535
|
|
|
26
|
|
|
16
|
|
||||||
Total multifamily
|
|
$
|
920
|
|
|
$
|
902
|
|
|
$
|
(52
|
)
|
|
$
|
850
|
|
|
$
|
1,194
|
|
|
$
|
55
|
|
|
$
|
25
|
|
Total single-family and multifamily
|
|
$
|
105,394
|
|
|
$
|
101,285
|
|
|
$
|
(17,889
|
)
|
|
$
|
83,396
|
|
|
$
|
100,482
|
|
|
$
|
3,337
|
|
|
$
|
418
|
|
|
|
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
|
|
$
|
5,927
|
|
|
$
|
3,355
|
|
|
N/A
|
|
|
$
|
3,355
|
|
|
$
|
3,370
|
|
|
$
|
394
|
|
|
$
|
34
|
|
|
15-year amortizing fixed-rate
|
|
62
|
|
|
34
|
|
|
N/A
|
|
|
34
|
|
|
31
|
|
|
6
|
|
|
1
|
|
|||||||
Adjustable rate
|
|
19
|
|
|
13
|
|
|
N/A
|
|
|
13
|
|
|
13
|
|
|
1
|
|
|
—
|
|
|||||||
Alt-A, interest-only, and option ARM
|
|
1,758
|
|
|
1,038
|
|
|
N/A
|
|
|
1,038
|
|
|
978
|
|
|
72
|
|
|
6
|
|
|||||||
Total with no specific allowance recorded
|
|
7,766
|
|
|
4,440
|
|
|
N/A
|
|
|
4,440
|
|
|
4,392
|
|
|
473
|
|
|
41
|
|
|||||||
With specific allowance recorded:
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
20 and 30-year or more, amortizing fixed-rate
|
|
75,633
|
|
|
74,554
|
|
|
$
|
(14,431
|
)
|
|
60,123
|
|
|
69,922
|
|
|
2,127
|
|
|
282
|
|
||||||
15-year amortizing fixed-rate
|
|
1,324
|
|
|
1,324
|
|
|
(43
|
)
|
|
1,281
|
|
|
1,109
|
|
|
50
|
|
|
11
|
|
|||||||
Adjustable rate
|
|
967
|
|
|
962
|
|
|
(84
|
)
|
|
878
|
|
|
855
|
|
|
22
|
|
|
6
|
|
|||||||
Alt-A, interest-only, and option ARM
|
|
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
|
|
81,560
|
|
|
77,909
|
|
|
(14,431
|
)
|
|
63,478
|
|
|
73,292
|
|
|
2,521
|
|
|
316
|
|
|||||||
15-year amortizing fixed-rate
|
|
1,386
|
|
|
1,358
|
|
|
(43
|
)
|
|
1,315
|
|
|
1,140
|
|
|
56
|
|
|
12
|
|
|||||||
Adjustable rate
|
|
986
|
|
|
975
|
|
|
(84
|
)
|
|
891
|
|
|
868
|
|
|
23
|
|
|
6
|
|
|||||||
Alt-A, interest-only, and option ARM
|
|
18,968
|
|
|
17,898
|
|
|
(3,996
|
)
|
|
13,902
|
|
|
17,504
|
|
|
441
|
|
|
75
|
|
|||||||
Total single-family
|
|
$
|
102,900
|
|
|
$
|
98,140
|
|
|
$
|
(18,554
|
)
|
|
$
|
79,586
|
|
|
$
|
92,804
|
|
|
$
|
3,041
|
|
|
$
|
409
|
|
Multifamily —
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
With no specific allowance recorded
(4)
|
|
$
|
694
|
|
|
$
|
681
|
|
|
N/A
|
|
|
$
|
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
|
|
(1)
|
Consists of income recognized during the period related to loans on non-accrual status.
|
|
172
|
Freddie Mac
|
(2)
|
Individually impaired single-family 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)
|
Consists primarily of mortgage loans classified as TDRs.
|
(4)
|
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.
|
|
December 31, 2014
|
||||||||||||||||||||||
|
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
|
$
|
1,207,826
|
|
|
$
|
17,516
|
|
|
$
|
5,817
|
|
|
$
|
23,436
|
|
|
$
|
1,254,595
|
|
|
$
|
23,433
|
|
15-year amortizing fixed-rate
|
280,629
|
|
|
1,010
|
|
|
216
|
|
|
682
|
|
|
282,537
|
|
|
682
|
|
||||||
Adjustable-rate
|
66,737
|
|
|
406
|
|
|
118
|
|
|
612
|
|
|
67,873
|
|
|
612
|
|
||||||
Alt-A, interest-only, and option ARM
|
53,251
|
|
|
2,368
|
|
|
948
|
|
|
7,048
|
|
|
63,615
|
|
|
7,045
|
|
||||||
Total single-family
|
1,608,443
|
|
|
21,300
|
|
|
7,099
|
|
|
31,778
|
|
|
1,668,620
|
|
|
31,772
|
|
||||||
Total multifamily
|
41,335
|
|
|
7
|
|
|
11
|
|
|
—
|
|
|
41,353
|
|
|
385
|
|
||||||
Total single-family and multifamily
|
$
|
1,649,778
|
|
|
$
|
21,307
|
|
|
$
|
7,110
|
|
|
$
|
31,778
|
|
|
$
|
1,709,973
|
|
|
$
|
32,157
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
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
|
$
|
1,157,057
|
|
|
$
|
19,743
|
|
|
$
|
6,675
|
|
|
$
|
29,635
|
|
|
$
|
1,213,110
|
|
|
$
|
29,620
|
|
15-year amortizing fixed-rate
|
293,286
|
|
|
1,196
|
|
|
271
|
|
|
864
|
|
|
295,617
|
|
|
863
|
|
||||||
Adjustable-rate
|
62,987
|
|
|
495
|
|
|
147
|
|
|
871
|
|
|
64,500
|
|
|
871
|
|
||||||
Alt-A, interest-only, and option ARM
|
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
|
|
|
173
|
Freddie Mac
|
|
December 31, 2014
|
|
December 31, 2013
|
||||
Single-family:
(1)
|
|
|
|
||||
Non-credit-enhanced portfolio
|
|
|
|
||||
Serious delinquency rate
|
1.74
|
%
|
|
2.09
|
%
|
||
Total number of seriously delinquent loans
|
150,300
|
|
|
190,119
|
|
||
Credit-enhanced portfolio:
(2)
|
|
|
|
||||
Primary mortgage insurance:
|
|
|
|
||||
Serious delinquency rate
|
3.10
|
%
|
|
4.40
|
%
|
||
Total number of seriously delinquent loans
|
38,595
|
|
|
51,600
|
|
||
Other credit protection:
(3)
|
|
|
|
||||
Serious delinquency rate
|
1.21
|
%
|
|
3.66
|
%
|
||
Total number of seriously delinquent loans
|
12,175
|
|
|
15,828
|
|
||
Total single-family:
|
|
|
|
||||
Serious delinquency rate
|
1.88
|
%
|
|
2.39
|
%
|
||
Total number of seriously delinquent loans
|
200,069
|
|
|
255,325
|
|
||
Multifamily:
(4)
|
|
|
|
||||
Non-credit-enhanced portfolio:
|
|
|
|
||||
Delinquency rate
|
0.02
|
%
|
|
0.07
|
%
|
||
UPB of delinquent loans (in millions)
|
$
|
11
|
|
|
$
|
46
|
|
Credit-enhanced portfolio:
|
|
|
|
||||
Delinquency rate
|
0.05
|
%
|
|
0.11
|
%
|
||
UPB of delinquent loans (in millions)
|
$
|
44
|
|
|
$
|
75
|
|
Total Multifamily:
|
|
|
|
||||
Delinquency rate
|
0.04
|
%
|
|
0.09
|
%
|
||
UPB of delinquent loans (in millions)
|
$
|
55
|
|
|
$
|
121
|
|
(1)
|
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. In the third quarter of 2014, we revised our presentation of single-family non-credit enhanced and credit-enhanced serious delinquency rates. This revision did not impact our total single-family serious delinquency rate. Prior periods have been revised to conform with the current presentation.
|
(2)
|
The credit enhanced categories are not mutually exclusive as a single loan may be covered by both primary mortgage insurance and other credit protection.
|
(3)
|
Consists of single-family mortgage loans covered by financial arrangements (other than primary mortgage insurance) that are designed to reduce our credit risk exposure. See "
Table 4.5 — Recourse and Other Forms of Credit Protection
" for more information.
|
(4)
|
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).
|
|
174
|
Freddie Mac
|
|
175
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||||
|
2014
|
|
2013
|
||||||||||
|
Number of Loans
|
|
Post-TDR
Recorded
Investment
|
|
Number of Loans
|
|
Post-TDR
Recorded
Investment
|
||||||
|
(dollars in millions)
|
||||||||||||
Single-family:
(1)
|
|
|
|
|
|
|
|
||||||
20 and 30-year or more, amortizing fixed-rate
|
68,186
|
|
|
$
|
10,172
|
|
|
101,538
|
|
|
$
|
16,014
|
|
15-year amortizing fixed-rate
|
7,189
|
|
|
528
|
|
|
11,671
|
|
|
825
|
|
||
Adjustable-rate
|
1,849
|
|
|
285
|
|
|
3,604
|
|
|
574
|
|
||
Alt-A, interest-only, and option ARM
|
9,112
|
|
|
1,865
|
|
|
17,770
|
|
|
3,941
|
|
||
Total Single-family
|
86,336
|
|
|
12,850
|
|
|
134,583
|
|
|
21,354
|
|
||
Multifamily
|
2
|
|
|
15
|
|
|
8
|
|
|
98
|
|
||
Total
|
86,338
|
|
|
$
|
12,865
|
|
|
134,591
|
|
|
$
|
21,452
|
|
(1)
|
The pre-TDR recorded investment for single-family loans initially classified as TDR during the years ended
December 31, 2014
and
2013
was
$12.8 billion
and
$21.2 billion
, respectively.
|
|
Year Ended December 31,
|
||||||||||||
|
2014
|
|
2013
|
||||||||||
|
Number of Loans
|
|
Post-TDR
Recorded
Investment
(2)
|
|
Number of Loans
|
|
Post-TDR
Recorded
Investment
(2)
|
||||||
|
(dollars in millions)
|
||||||||||||
Single-family:
|
|
|
|
|
|
|
|
||||||
20 and 30-year or more, amortizing fixed-rate
|
19,101
|
|
|
$
|
3,384
|
|
|
14,964
|
|
|
$
|
2,766
|
|
15-year amortizing fixed-rate
|
645
|
|
|
62
|
|
|
471
|
|
|
52
|
|
||
Adjustable-rate
|
332
|
|
|
61
|
|
|
237
|
|
|
50
|
|
||
Alt-A, interest-only, and option ARM
|
2,357
|
|
|
564
|
|
|
2,256
|
|
|
587
|
|
||
Total single-family
|
22,435
|
|
|
$
|
4,071
|
|
|
17,928
|
|
|
$
|
3,455
|
|
Multifamily
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
—
|
|
(1)
|
Represents TDR loans that experienced a payment default during the period and had completed a modification during the year preceding the payment default.
|
(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.
|
|
176
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Beginning balance — REO
|
$
|
4,602
|
|
|
$
|
4,407
|
|
|
$
|
5,827
|
|
Additions
|
4,110
|
|
|
6,498
|
|
|
7,029
|
|
|||
Dispositions
|
(6,028
|
)
|
|
(6,303
|
)
|
|
(8,449
|
)
|
|||
Ending balance — REO
|
2,684
|
|
|
4,602
|
|
|
4,407
|
|
|||
Beginning balance, valuation allowance
|
(51
|
)
|
|
(29
|
)
|
|
(147
|
)
|
|||
Change in valuation allowance
|
(75
|
)
|
|
(22
|
)
|
|
118
|
|
|||
Ending balance, valuation allowance
|
(126
|
)
|
|
(51
|
)
|
|
(29
|
)
|
|||
Ending balance — REO, net
|
$
|
2,558
|
|
|
$
|
4,551
|
|
|
$
|
4,378
|
|
|
177
|
Freddie Mac
|
|
|
|
|
|
Gross Unrealized Losses
|
|
|
||||||||||||
December 31, 2014
|
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Other-Than-Temporary Impairment
(1)
|
|
Temporary Impairment
(2)
|
|
Fair
Value
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
$
|
37,710
|
|
|
$
|
1,435
|
|
|
$
|
—
|
|
|
$
|
(46
|
)
|
|
$
|
39,099
|
|
Fannie Mae
|
10,860
|
|
|
463
|
|
|
—
|
|
|
(10
|
)
|
|
11,313
|
|
|||||
Ginnie Mae
|
183
|
|
|
16
|
|
|
—
|
|
|
—
|
|
|
199
|
|
|||||
CMBS
|
20,988
|
|
|
890
|
|
|
(2
|
)
|
|
(54
|
)
|
|
21,822
|
|
|||||
Subprime
|
20,210
|
|
|
989
|
|
|
(518
|
)
|
|
(92
|
)
|
|
20,589
|
|
|||||
Option ARM
|
5,460
|
|
|
372
|
|
|
(179
|
)
|
|
(4
|
)
|
|
5,649
|
|
|||||
Alt-A and other
|
4,500
|
|
|
578
|
|
|
(29
|
)
|
|
(6
|
)
|
|
5,043
|
|
|||||
Obligations of states and political subdivisions
|
2,166
|
|
|
34
|
|
|
—
|
|
|
(2
|
)
|
|
2,198
|
|
|||||
Manufactured housing
|
556
|
|
|
84
|
|
|
(2
|
)
|
|
—
|
|
|
638
|
|
|||||
Total available-for-sale securities
|
$
|
102,633
|
|
|
$
|
4,861
|
|
|
$
|
(730
|
)
|
|
$
|
(214
|
)
|
|
$
|
106,550
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
December 31, 2013
|
|
|
|
|
|
|
|
|
|
||||||||||
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
|
|
|
(23
|
)
|
|
(314
|
)
|
|
30,338
|
|
|||||
Subprime
|
29,897
|
|
|
382
|
|
|
(2,467
|
)
|
|
(313
|
)
|
|
27,499
|
|
|||||
Option ARM
|
6,617
|
|
|
338
|
|
|
(376
|
)
|
|
(5
|
)
|
|
6,574
|
|
|||||
Alt-A and other
|
8,322
|
|
|
526
|
|
|
(118
|
)
|
|
(24
|
)
|
|
8,706
|
|
|||||
Obligations of states and political subdivisions
|
3,533
|
|
|
23
|
|
|
(7
|
)
|
|
(54
|
)
|
|
3,495
|
|
|||||
Manufactured housing
|
629
|
|
|
61
|
|
|
(4
|
)
|
|
(2
|
)
|
|
684
|
|
|||||
Total available-for-sale securities
|
$
|
127,439
|
|
|
$
|
5,379
|
|
|
$
|
(2,995
|
)
|
|
$
|
(904
|
)
|
|
$
|
128,919
|
|
(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.
|
|
178
|
Freddie Mac
|
|
Less than 12 Months
|
|
12 Months or Greater
|
||||||||||||
December 31, 2014
|
Fair
Value
|
|
Gross Unrealized Losses
|
|
Fair
Value
|
|
Gross Unrealized Losses
|
||||||||
|
(in millions)
|
||||||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
||||||||
Freddie Mac
|
$
|
2,531
|
|
|
$
|
(14
|
)
|
|
$
|
936
|
|
|
$
|
(32
|
)
|
Fannie Mae
|
2,693
|
|
|
(9
|
)
|
|
5
|
|
|
(1
|
)
|
||||
Ginnie Mae
|
66
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
CMBS
|
184
|
|
|
(5
|
)
|
|
1,149
|
|
|
(51
|
)
|
||||
Subprime
|
286
|
|
|
(3
|
)
|
|
6,533
|
|
|
(607
|
)
|
||||
Option ARM
|
77
|
|
|
—
|
|
|
1,490
|
|
|
(183
|
)
|
||||
Alt-A and other
|
185
|
|
|
(5
|
)
|
|
499
|
|
|
(30
|
)
|
||||
Obligations of states and political subdivisions
|
48
|
|
|
—
|
|
|
28
|
|
|
(2
|
)
|
||||
Manufactured housing
|
42
|
|
|
—
|
|
|
15
|
|
|
(2
|
)
|
||||
Total available-for-sale securities in a gross unrealized loss position
|
$
|
6,112
|
|
|
$
|
(36
|
)
|
|
$
|
10,655
|
|
|
$
|
(908
|
)
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2013
|
|
|
|
|
|
|
|
||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
||||||||
Freddie Mac
|
$
|
7,957
|
|
|
$
|
(144
|
)
|
|
$
|
649
|
|
|
$
|
(45
|
)
|
Fannie Mae
|
248
|
|
|
(2
|
)
|
|
19
|
|
|
(1
|
)
|
||||
CMBS
|
1,147
|
|
|
(85
|
)
|
|
1,992
|
|
|
(252
|
)
|
||||
Subprime
|
472
|
|
|
(19
|
)
|
|
19,103
|
|
|
(2,761
|
)
|
||||
Option ARM
|
77
|
|
|
(2
|
)
|
|
2,608
|
|
|
(379
|
)
|
||||
Alt-A and other
|
262
|
|
|
(5
|
)
|
|
1,854
|
|
|
(137
|
)
|
||||
Obligations of states and political subdivisions
|
1,885
|
|
|
(56
|
)
|
|
24
|
|
|
(5
|
)
|
||||
Manufactured housing
|
—
|
|
|
—
|
|
|
65
|
|
|
(6
|
)
|
||||
Total available-for-sale securities in a gross unrealized loss position
|
$
|
12,048
|
|
|
$
|
(313
|
)
|
|
$
|
26,314
|
|
|
$
|
(3,586
|
)
|
•
|
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.
|
|
179
|
Freddie Mac
|
|
180
|
Freddie Mac
|
|
December 31, 2014
|
||||||||||||||||||
|
|
|
|
|
Alt-A
|
||||||||||||||
|
Subprime
|
|
Option ARM
|
|
Fixed Rate
|
|
Variable Rate
|
|
Hybrid Rate
|
||||||||||
|
(dollars in millions)
|
||||||||||||||||||
Issuance Date
|
|
|
|
|
|
|
|
|
|
||||||||||
2004 and prior:
|
|
|
|
|
|
|
|
|
|
||||||||||
UPB
|
$
|
534
|
|
|
$
|
38
|
|
|
$
|
335
|
|
|
$
|
258
|
|
|
$
|
189
|
|
Weighted average collateral defaults
(1)
|
33
|
%
|
|
19
|
%
|
|
13
|
%
|
|
30
|
%
|
|
15
|
%
|
|||||
Weighted average collateral severities
(2)
|
61
|
%
|
|
46
|
%
|
|
45
|
%
|
|
42
|
%
|
|
38
|
%
|
|||||
Weighted average voluntary prepayment rates
(3)
|
7
|
%
|
|
11
|
%
|
|
13
|
%
|
|
8
|
%
|
|
10
|
%
|
|||||
Average credit enhancements
(4)
|
31
|
%
|
|
—
|
%
|
|
14
|
%
|
|
11
|
%
|
|
13
|
%
|
|||||
2005:
|
|
|
|
|
|
|
|
|
|
||||||||||
UPB
|
$
|
2,667
|
|
|
$
|
1,743
|
|
|
$
|
479
|
|
|
$
|
374
|
|
|
$
|
1,107
|
|
Weighted average collateral defaults
(1)
|
43
|
%
|
|
26
|
%
|
|
18
|
%
|
|
37
|
%
|
|
21
|
%
|
|||||
Weighted average collateral severities
(2)
|
63
|
%
|
|
47
|
%
|
|
45
|
%
|
|
52
|
%
|
|
41
|
%
|
|||||
Weighted average voluntary prepayment rates
(3)
|
4
|
%
|
|
10
|
%
|
|
12
|
%
|
|
8
|
%
|
|
11
|
%
|
|||||
Average credit enhancements
(4)
|
48
|
%
|
|
1
|
%
|
|
(1
|
)%
|
|
17
|
%
|
|
2
|
%
|
|||||
2006:
|
|
|
|
|
|
|
|
|
|
||||||||||
UPB
|
$
|
11,204
|
|
|
$
|
4,063
|
|
|
$
|
226
|
|
|
$
|
418
|
|
|
$
|
422
|
|
Weighted average collateral defaults
(1)
|
49
|
%
|
|
35
|
%
|
|
25
|
%
|
|
38
|
%
|
|
30
|
%
|
|||||
Weighted average collateral severities
(2)
|
63
|
%
|
|
47
|
%
|
|
44
|
%
|
|
48
|
%
|
|
41
|
%
|
|||||
Weighted average voluntary prepayment rates
(3)
|
3
|
%
|
|
8
|
%
|
|
10
|
%
|
|
8
|
%
|
|
10
|
%
|
|||||
Average credit enhancements
(4)
|
7
|
%
|
|
(3
|
)%
|
|
(2
|
)%
|
|
1
|
%
|
|
(4
|
)%
|
|||||
2007:
|
|
|
|
|
|
|
|
|
|
||||||||||
UPB
|
$
|
13,277
|
|
|
$
|
2,443
|
|
|
$
|
118
|
|
|
$
|
458
|
|
|
$
|
165
|
|
Weighted average collateral defaults
(1)
|
49
|
%
|
|
34
|
%
|
|
40
|
%
|
|
38
|
%
|
|
29
|
%
|
|||||
Weighted average collateral severities
(2)
|
63
|
%
|
|
48
|
%
|
|
51
|
%
|
|
49
|
%
|
|
43
|
%
|
|||||
Weighted average voluntary prepayment rates
(3)
|
3
|
%
|
|
8
|
%
|
|
7
|
%
|
|
8
|
%
|
|
10
|
%
|
|||||
Average credit enhancements
(4)
|
1
|
%
|
|
3
|
%
|
|
(1
|
)%
|
|
(19
|
)%
|
|
—
|
%
|
|||||
Total:
|
|
|
|
|
|
|
|
|
|
||||||||||
UPB
|
$
|
27,682
|
|
|
$
|
8,287
|
|
|
$
|
1,158
|
|
|
$
|
1,508
|
|
|
$
|
1,883
|
|
Weighted average collateral defaults
(1)
|
48
|
%
|
|
33
|
%
|
|
20
|
%
|
|
36
|
%
|
|
23
|
%
|
|||||
Weighted average collateral severities
(2)
|
63
|
%
|
|
47
|
%
|
|
46
|
%
|
|
48
|
%
|
|
41
|
%
|
|||||
Weighted average voluntary prepayment rates
(3)
|
3
|
%
|
|
8
|
%
|
|
12
|
%
|
|
8
|
%
|
|
11
|
%
|
|||||
Average credit enhancements
(4)
|
9
|
%
|
|
—
|
%
|
|
3
|
%
|
|
1
|
%
|
|
2
|
%
|
(1)
|
The expected cumulative default rate is expressed as a percentage of the current collateral UPB.
|
(2)
|
The expected average loss given default is calculated as the ratio of cumulative loss over cumulative default for each security.
|
(3)
|
The security’s voluntary prepayment rate represents the average of the monthly voluntary prepayment rate weighted by the security’s outstanding UPB.
|
(4)
|
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.
|
|
181
|
Freddie Mac
|
|
Net Impairment of Available-For-Sale Securities Recognized in Earnings For the Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Available-for-sale securities:
(1)
|
|
|
|
|
|
||||||
CMBS
|
$
|
—
|
|
|
$
|
(14
|
)
|
|
$
|
(138
|
)
|
Subprime
|
(794
|
)
|
|
(1,258
|
)
|
|
(1,274
|
)
|
|||
Option ARM
|
(101
|
)
|
|
(58
|
)
|
|
(556
|
)
|
|||
Alt-A and other
|
(42
|
)
|
|
(179
|
)
|
|
(196
|
)
|
|||
Manufactured housing
|
(1
|
)
|
|
(1
|
)
|
|
(4
|
)
|
|||
Total net impairment of available-for-sale securities recognized in earnings
|
$
|
(938
|
)
|
|
$
|
(1,510
|
)
|
|
$
|
(2,168
|
)
|
(1)
|
Includes
$817 million
,
$568 million
, and
$0 million
of other-than-temporary impairments recognized in earnings for the years ended December 31, 2014, 2013, and 2012, respectively, as we had the intent to sell the related securities before recovery of their amortized cost basis.
|
|
182
|
Freddie Mac
|
|
|
Year Ended December 31,
|
||||||
|
|
2014
|
|
2013
|
||||
|
(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
|
|
$
|
14,463
|
|
|
$
|
16,745
|
|
Additions:
|
|
|
|
|
||||
Amounts related to credit losses for which an other-than-temporary impairment was not previously recognized
|
|
—
|
|
|
46
|
|
||
Amounts related to credit losses for which an other-than-temporary impairment was previously recognized
|
|
121
|
|
|
896
|
|
||
Reductions:
|
|
|
|
|
||||
Amounts related to securities which were sold, written off, or matured
|
|
(1,188
|
)
|
|
(1,193
|
)
|
||
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
|
|
(6,113
|
)
|
|
(1,536
|
)
|
||
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
|
|
(485
|
)
|
|
(495
|
)
|
||
Ending balance — remaining credit losses on available-for-sale securities where other-than-temporary impairments were recognized in earnings
(1)
|
|
$
|
6,798
|
|
|
$
|
14,463
|
|
(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,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Gross realized gains
|
$
|
1,897
|
|
|
$
|
1,950
|
|
|
$
|
152
|
|
Gross realized losses
|
(185
|
)
|
|
(51
|
)
|
|
—
|
|
|||
Net realized gains (losses)
|
$
|
1,712
|
|
|
$
|
1,899
|
|
|
$
|
152
|
|
|
As of December 31, 2014
|
||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
After One Year Through Five Years
|
|
After Five Years Through Ten Years
|
|
|
|
|
||||||||||||||||||||||||
|
Total Amortized Cost
|
|
Total Fair Value
|
|
One Year or Less
|
|
|
|
After Ten Years
|
||||||||||||||||||||||||||||||
|
|
|
Amortized Cost
|
|
Fair Value
|
|
Amortized Cost
|
|
Fair Value
|
|
Amortized Cost
|
|
Fair Value
|
|
Amortized Cost
|
|
Fair Value
|
||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||||||||||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Freddie Mac
|
$
|
37,710
|
|
|
$
|
39,099
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
300
|
|
|
$
|
309
|
|
|
$
|
526
|
|
|
$
|
559
|
|
|
$
|
36,884
|
|
|
$
|
38,231
|
|
Fannie Mae
|
10,860
|
|
|
11,313
|
|
|
1
|
|
|
1
|
|
|
61
|
|
|
64
|
|
|
108
|
|
|
120
|
|
|
10,690
|
|
|
11,128
|
|
||||||||||
Ginnie Mae
|
183
|
|
|
199
|
|
|
—
|
|
|
—
|
|
|
4
|
|
|
4
|
|
|
22
|
|
|
26
|
|
|
157
|
|
|
169
|
|
||||||||||
CMBS
|
20,988
|
|
|
21,822
|
|
|
—
|
|
|
—
|
|
|
316
|
|
|
330
|
|
|
8
|
|
|
8
|
|
|
20,664
|
|
|
21,484
|
|
||||||||||
Subprime
|
20,210
|
|
|
20,589
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
20,210
|
|
|
20,589
|
|
||||||||||
Option ARM
|
5,460
|
|
|
5,649
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5,460
|
|
|
5,649
|
|
||||||||||
Alt-A and other
|
4,500
|
|
|
5,043
|
|
|
1
|
|
|
1
|
|
|
31
|
|
|
31
|
|
|
2
|
|
|
2
|
|
|
4,466
|
|
|
5,009
|
|
||||||||||
Obligations of states and political subdivisions
|
2,166
|
|
|
2,198
|
|
|
—
|
|
|
—
|
|
|
40
|
|
|
43
|
|
|
48
|
|
|
49
|
|
|
2,078
|
|
|
2,106
|
|
||||||||||
Manufactured housing
|
556
|
|
|
638
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9
|
|
|
11
|
|
|
547
|
|
|
627
|
|
||||||||||
Total available-for-sale securities
|
$
|
102,633
|
|
|
$
|
106,550
|
|
|
$
|
2
|
|
|
$
|
2
|
|
|
$
|
752
|
|
|
$
|
781
|
|
|
$
|
723
|
|
|
$
|
775
|
|
|
$
|
101,156
|
|
|
$
|
104,992
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Weighted Average Yield
(1)
|
2.65
|
%
|
|
|
|
7.63
|
%
|
|
|
|
5.04
|
%
|
|
|
|
5.10
|
%
|
|
|
|
2.61
|
%
|
|
|
|
183
|
Freddie Mac
|
(1)
|
The weighted average yield is calculated based on a yield for each individual lot held at December 31, 2014 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 amortization income or expense calculated for December 2014 (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, 2014
|
|
December 31, 2013
|
||||
|
(in millions)
|
||||||
Mortgage-related securities:
|
|
|
|
||||
Freddie Mac
|
$
|
17,469
|
|
|
$
|
9,349
|
|
Fannie Mae
|
6,099
|
|
|
7,180
|
|
||
Ginnie Mae
|
16
|
|
|
98
|
|
||
Other
|
171
|
|
|
141
|
|
||
Total mortgage-related securities
|
23,755
|
|
|
16,768
|
|
||
U.S. Treasury securities
|
6,682
|
|
|
6,636
|
|
||
Total fair value of trading securities
|
$
|
30,437
|
|
|
$
|
23,404
|
|
|
184
|
Freddie Mac
|
|
December 31, 2014
|
|
December 31, 2013
|
||||||||||||||||||
|
Par Value
|
|
Carrying Amount
|
|
Weighted
Average
Effective Rate
|
|
Par Value
|
|
Carrying Amount
|
|
Weighted
Average
Effective Rate
|
||||||||||
|
(dollars in millions)
|
||||||||||||||||||||
Other short-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Reference Bills
®
securities and discount notes
|
$
|
134,670
|
|
|
$
|
134,619
|
|
|
0.12
|
%
|
|
$
|
137,767
|
|
|
$
|
137,712
|
|
|
0.13
|
%
|
Medium-term notes
|
—
|
|
|
—
|
|
|
—
|
|
|
4,000
|
|
|
4,000
|
|
|
0.16
|
|
||||
Total other short-term debt
|
$
|
134,670
|
|
|
$
|
134,619
|
|
|
0.12
|
|
|
$
|
141,767
|
|
|
$
|
141,712
|
|
|
0.13
|
|
|
December 31, 2014
|
|
December 31, 2013
|
||||||||||||||||||||
|
Contractual Maturity
|
|
Par Value
|
|
Carrying Amount
(1)
|
|
Weighted Average
Effective Rate
|
|
Par Value
|
|
Carrying Amount
(1)
|
|
Weighted Average
Effective Rate
|
||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||
Other long-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Other senior debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Fixed-rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Medium-term notes — callable
|
2015 - 2037
|
|
$
|
98,860
|
|
|
$
|
98,856
|
|
|
1.35
|
%
|
|
$
|
101,190
|
|
|
$
|
101,236
|
|
|
1.51
|
%
|
Medium-term notes — non-callable
|
2015 - 2028
|
|
20,059
|
|
|
20,383
|
|
|
0.86
|
|
|
37,878
|
|
|
38,107
|
|
|
0.99
|
|
||||
U.S. dollar Reference Notes securities — non-callable
|
2015 - 2032
|
|
151,701
|
|
|
151,751
|
|
|
2.80
|
|
|
190,371
|
|
|
190,406
|
|
|
2.71
|
|
||||
€Reference Notes securities — non-callable
|
|
|
—
|
|
|
—
|
|
|
|
|
|
528
|
|
|
529
|
|
|
4.38
|
|
||||
Variable-rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Medium-term notes — callable
|
2015 - 2029
|
|
7,210
|
|
|
7,210
|
|
|
2.00
|
|
|
6,001
|
|
|
6,001
|
|
|
1.66
|
|
||||
Medium-term notes — non-callable
|
2015 - 2026
|
|
23,971
|
|
|
23,971
|
|
|
0.19
|
|
|
18,533
|
|
|
18,533
|
|
|
0.22
|
|
||||
STACR
|
2023 - 2024
|
|
5,896
|
|
|
5,820
|
|
|
3.16
|
|
|
1,107
|
|
|
1,155
|
|
|
4.29
|
|
||||
Zero-coupon:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Medium-term notes — callable
|
2037
|
|
1,000
|
|
|
264
|
|
|
6.17
|
|
|
1,200
|
|
|
311
|
|
|
5.82
|
|
||||
Medium-term notes — non-callable
|
2015 - 2039
|
|
10,109
|
|
|
6,739
|
|
|
2.53
|
|
|
12,217
|
|
|
8,334
|
|
|
3.08
|
|
||||
Hedging-related basis adjustments
|
|
|
N/A
|
|
|
34
|
|
|
|
|
N/A
|
|
|
41
|
|
|
|
||||||
Total other senior debt
|
|
|
318,806
|
|
|
315,028
|
|
|
|
|
369,025
|
|
|
364,653
|
|
|
|
||||||
Other subordinated debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Fixed-rate
|
2016 - 2018
|
|
221
|
|
|
219
|
|
|
6.60
|
|
|
221
|
|
|
218
|
|
|
6.60
|
|
||||
Zero-coupon
|
2019
|
|
332
|
|
|
203
|
|
|
10.51
|
|
|
332
|
|
|
184
|
|
|
10.51
|
|
||||
Total other subordinated debt
|
|
|
553
|
|
|
422
|
|
|
|
|
553
|
|
|
402
|
|
|
|
||||||
Total other long-term debt
|
|
|
$
|
319,359
|
|
|
$
|
315,450
|
|
|
2.02
|
%
|
|
$
|
369,578
|
|
|
$
|
365,055
|
|
|
2.08
|
%
|
(1)
|
Includes
$5.8 billion
and
$2.6 billion
, respectively, of other long-term debt that represents the fair value of debt securities with the fair value option elected at December 31, 2014 and 2013.
|
|
185
|
Freddie Mac
|
|
December 31, 2014
|
|
December 31, 2013
|
||||||||||||||||||||||
|
Contractual
Maturity
|
|
UPB
|
|
Carrying Amount
|
|
Weighted
Average
Coupon
(1)
|
|
Contractual
Maturity
|
|
UPB
|
|
Carrying Amount
|
|
Weighted
Average
Coupon
(1)
|
||||||||||
|
(dollars in millions)
|
|
(dollars in millions)
|
||||||||||||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
30-year or more, fixed-rate
|
2015 - 2053
|
|
$
|
1,018,357
|
|
|
$
|
1,047,302
|
|
|
4.04
|
%
|
|
2014 - 2052
|
|
$
|
969,270
|
|
|
$
|
993,683
|
|
|
4.14
|
%
|
20-year fixed-rate
|
2015 - 2035
|
|
71,545
|
|
|
73,764
|
|
|
3.74
|
|
|
2014 - 2034
|
|
75,910
|
|
|
78,252
|
|
|
3.81
|
|
||||
15-year fixed-rate
|
2015 - 2030
|
|
266,117
|
|
|
272,538
|
|
|
3.13
|
|
|
2014 - 2029
|
|
270,513
|
|
|
277,018
|
|
|
3.23
|
|
||||
Adjustable-rate
|
2015 - 2047
|
|
65,082
|
|
|
66,518
|
|
|
2.62
|
|
|
2014 - 2047
|
|
60,683
|
|
|
61,830
|
|
|
2.64
|
|
||||
Interest-only
|
2026 - 2041
|
|
17,474
|
|
|
17,524
|
|
|
3.29
|
|
|
2026 - 2041
|
|
21,352
|
|
|
21,390
|
|
|
3.70
|
|
||||
FHA/VA
|
2015 - 2044
|
|
1,226
|
|
|
1,250
|
|
|
5.42
|
|
|
2014 - 2041
|
|
1,284
|
|
|
1,303
|
|
|
5.67
|
|
||||
Total single-family
|
|
|
1,439,801
|
|
|
1,478,896
|
|
|
|
|
|
|
1,399,012
|
|
|
1,433,476
|
|
|
|
||||||
Multifamily
(2)
|
2017 - 2019
|
|
524
|
|
|
577
|
|
|
4.93
|
|
|
2018 - 2019
|
|
444
|
|
|
508
|
|
|
4.96
|
|
||||
Total debt securities of consolidated trusts held by third parties
|
|
|
$
|
1,440,325
|
|
|
$
|
1,479,473
|
|
|
|
|
|
|
$
|
1,399,456
|
|
|
$
|
1,433,984
|
|
|
|
(1)
|
The effective rate for debt securities of consolidated trusts held by third parties was
3.19%
and
3.39%
as of
December 31, 2014
and 2013, respectively.
|
(2)
|
Carrying amount includes interest-only securities recorded at fair value.
|
Annual Maturities
|
Par Value
|
||
|
(in millions)
|
||
Other long-term debt:
|
|
||
2015
|
$
|
58,841
|
|
2016
|
72,503
|
|
|
2017
|
77,482
|
|
|
2018
|
30,850
|
|
|
2019
|
30,671
|
|
|
Thereafter
|
49,012
|
|
|
Debt securities of consolidated trusts held by third parties
(1)
|
1,440,325
|
|
|
Total
|
1,759,684
|
|
|
Net discounts, premiums, hedge-related and other basis adjustments
(2)
|
35,239
|
|
|
Total debt securities of consolidated trusts held by third parties and other long-term debt
|
$
|
1,794,923
|
|
(1)
|
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.
|
(2)
|
Other basis adjustments primarily represent changes in fair value attributable to instrument-specific credit risk.
|
|
186
|
Freddie Mac
|
•
|
LIBOR-based interest-rate swaps;
|
•
|
LIBOR- and Treasury-based options (including swaptions); and
|
•
|
LIBOR- and Treasury-based exchange-traded futures.
|
|
187
|
Freddie Mac
|
|
December 31, 2014
|
|
December 31, 2013
|
||||||||||||||||||||
|
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
|
$
|
205,219
|
|
|
$
|
5,243
|
|
|
$
|
(487
|
)
|
|
$
|
281,727
|
|
|
$
|
4,475
|
|
|
$
|
(2,438
|
)
|
Pay-fixed
|
213,325
|
|
|
408
|
|
|
(12,829
|
)
|
|
242,597
|
|
|
5,540
|
|
|
(10,879
|
)
|
||||||
Basis (floating to floating)
|
300
|
|
|
2
|
|
|
—
|
|
|
300
|
|
|
4
|
|
|
—
|
|
||||||
Total interest-rate swaps
|
418,844
|
|
|
5,653
|
|
|
(13,316
|
)
|
|
524,624
|
|
|
10,019
|
|
|
(13,317
|
)
|
||||||
Option-based:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Call swaptions
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Purchased
|
56,390
|
|
|
3,315
|
|
|
—
|
|
|
59,290
|
|
|
2,373
|
|
|
—
|
|
||||||
Written
|
10,660
|
|
|
—
|
|
|
(90
|
)
|
|
5,945
|
|
|
—
|
|
|
(201
|
)
|
||||||
Put Swaptions
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Purchased
|
22,125
|
|
|
179
|
|
|
—
|
|
|
33,410
|
|
|
698
|
|
|
—
|
|
||||||
Written
|
3,560
|
|
|
—
|
|
|
(9
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Other option-based derivatives
(1)
|
19,733
|
|
|
730
|
|
|
(28
|
)
|
|
23,365
|
|
|
1,041
|
|
|
(3
|
)
|
||||||
Total option-based
|
112,468
|
|
|
4,224
|
|
|
(127
|
)
|
|
122,010
|
|
|
4,112
|
|
|
(204
|
)
|
||||||
Futures
|
40,263
|
|
|
—
|
|
|
—
|
|
|
50,270
|
|
|
—
|
|
|
—
|
|
||||||
Foreign-currency swaps
|
—
|
|
|
—
|
|
|
—
|
|
|
528
|
|
|
39
|
|
|
—
|
|
||||||
Commitments
|
27,054
|
|
|
40
|
|
|
(79
|
)
|
|
18,731
|
|
|
61
|
|
|
(69
|
)
|
||||||
Credit derivatives
|
5,207
|
|
|
27
|
|
|
(11
|
)
|
|
5,386
|
|
|
—
|
|
|
(6
|
)
|
||||||
Swap guarantee derivatives
|
3,204
|
|
|
—
|
|
|
(27
|
)
|
|
3,477
|
|
|
—
|
|
|
(31
|
)
|
||||||
Total derivatives not designated as hedging instruments
|
607,040
|
|
|
9,944
|
|
|
(13,560
|
)
|
|
725,026
|
|
|
14,231
|
|
|
(13,627
|
)
|
||||||
Derivative interest receivable (payable)
|
|
|
817
|
|
|
(1,500
|
)
|
|
|
|
1,243
|
|
|
(1,835
|
)
|
||||||||
Netting adjustments
(2)
|
|
|
(9,939
|
)
|
|
13,097
|
|
|
|
|
(14,411
|
)
|
|
15,282
|
|
||||||||
Total derivative portfolio, net
|
$
|
607,040
|
|
|
$
|
822
|
|
|
$
|
(1,963
|
)
|
|
$
|
725,026
|
|
|
$
|
1,063
|
|
|
$
|
(180
|
)
|
(1)
|
Primarily includes purchased interest-rate caps and floors and options on Treasury futures.
|
(2)
|
Represents counterparty netting and cash collateral netting. Net cash collateral posted was
$3.2 billion
and
$871 million
at
December 31, 2014
and 2013, respectively.
|
|
188
|
Freddie Mac
|
Derivatives not designated as hedging
instruments under the accounting
guidance for derivatives and hedging
|
Derivative Gains (Losses)
|
||||||||||
Year Ended December 31,
|
|||||||||||
2014
|
|
2013
|
|
2012
|
|||||||
|
(in millions)
|
||||||||||
Interest-rate swaps:
|
|
|
|
|
|
||||||
Receive-fixed
|
|
|
|
|
|
||||||
Foreign-currency denominated
|
$
|
(1
|
)
|
|
$
|
(21
|
)
|
|
$
|
(33
|
)
|
U.S. dollar denominated
|
4,074
|
|
|
(10,400
|
)
|
|
2,686
|
|
|||
Total receive-fixed swaps
|
4,073
|
|
|
(10,421
|
)
|
|
2,653
|
|
|||
Pay-fixed
|
(11,366
|
)
|
|
19,021
|
|
|
(2,865
|
)
|
|||
Basis (floating to floating)
|
(1
|
)
|
|
(2
|
)
|
|
8
|
|
|||
Total interest-rate swaps
|
(7,294
|
)
|
|
8,598
|
|
|
(204
|
)
|
|||
Option based:
|
|
|
|
|
|
||||||
Call swaptions
|
|
|
|
|
|
||||||
Purchased
|
2,355
|
|
|
(2,547
|
)
|
|
1,365
|
|
|||
Written
|
(168
|
)
|
|
546
|
|
|
(38
|
)
|
|||
Put swaptions
|
|
|
|
|
|
||||||
Purchased
|
(1,006
|
)
|
|
(8
|
)
|
|
(273
|
)
|
|||
Written
|
8
|
|
|
—
|
|
|
6
|
|
|||
Other option-based derivatives
(1)
|
248
|
|
|
(413
|
)
|
|
190
|
|
|||
Total option-based
|
1,437
|
|
|
(2,422
|
)
|
|
1,250
|
|
|||
Futures
|
(54
|
)
|
|
21
|
|
|
12
|
|
|||
Foreign-currency swaps
|
(7
|
)
|
|
30
|
|
|
(8
|
)
|
|||
Commitments
|
239
|
|
|
(131
|
)
|
|
298
|
|
|||
Credit derivatives
|
8
|
|
|
(3
|
)
|
|
—
|
|
|||
Swap guarantee derivatives
|
8
|
|
|
9
|
|
|
7
|
|
|||
Other
|
(3
|
)
|
|
(3
|
)
|
|
(1
|
)
|
|||
Subtotal
|
(5,666
|
)
|
|
6,099
|
|
|
1,354
|
|
|||
Accrual of periodic settlements:
|
|
|
|
|
|
||||||
Receive-fixed interest-rate swaps
|
3,033
|
|
|
3,764
|
|
|
3,511
|
|
|||
Pay-fixed interest-rate swaps
|
(5,660
|
)
|
|
(7,233
|
)
|
|
(7,318
|
)
|
|||
Foreign-currency swaps
|
—
|
|
|
—
|
|
|
4
|
|
|||
Other
|
2
|
|
|
2
|
|
|
1
|
|
|||
Total accrual of periodic settlements
|
(2,625
|
)
|
|
(3,467
|
)
|
|
(3,802
|
)
|
|||
Total
|
$
|
(8,291
|
)
|
|
$
|
2,632
|
|
|
$
|
(2,448
|
)
|
(1)
|
Primarily includes purchased interest-rate caps and floors and options on Treasury futures.
|
|
189
|
Freddie Mac
|
|
190
|
Freddie Mac
|
|
December 31, 2014
|
||||||||||||||||||
|
Gross
Amount
Recognized
|
|
Amount Offset
in the Consolidated
Balance Sheets
|
|
Net Amount
Presented in
the Consolidated
Balance Sheets
(1)
|
|
Gross Amount
Not Offset in
the Consolidated
Balance Sheets
(2)
|
|
Net
Amount
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Derivatives:
|
|
|
|
|
|
|
|
|
|
||||||||||
Over-the-counter interest-rate swaps and option-based derivatives
|
$
|
10,315
|
|
|
$
|
(9,688
|
)
|
|
$
|
627
|
|
|
$
|
(453
|
)
|
|
$
|
174
|
|
Cleared and exchange-traded derivatives
|
379
|
|
|
(251
|
)
|
|
128
|
|
|
—
|
|
|
128
|
|
|||||
Other
|
67
|
|
|
—
|
|
|
67
|
|
|
—
|
|
|
67
|
|
|||||
Total derivatives
|
10,761
|
|
|
(9,939
|
)
|
|
822
|
|
|
(453
|
)
|
|
369
|
|
|||||
Securities purchased under agreements to resell
|
51,903
|
|
|
—
|
|
|
51,903
|
|
|
(51,903
|
)
|
|
—
|
|
|||||
Total
|
$
|
62,664
|
|
|
$
|
(9,939
|
)
|
|
$
|
52,725
|
|
|
$
|
(52,356
|
)
|
|
$
|
369
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Derivatives:
|
|
|
|
|
|
|
|
|
|
||||||||||
Over-the-counter interest-rate swaps and option-based derivatives
|
$
|
(10,666
|
)
|
|
$
|
8,845
|
|
|
$
|
(1,821
|
)
|
|
$
|
1,743
|
|
|
$
|
(78
|
)
|
Cleared and exchange-traded derivatives
|
(4,277
|
)
|
|
4,252
|
|
|
(25
|
)
|
|
—
|
|
|
(25
|
)
|
|||||
Other
|
(117
|
)
|
|
—
|
|
|
(117
|
)
|
|
—
|
|
|
(117
|
)
|
|||||
Total
|
$
|
(15,060
|
)
|
|
$
|
13,097
|
|
|
$
|
(1,963
|
)
|
|
$
|
1,743
|
|
|
$
|
(220
|
)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
December 31, 2013
|
||||||||||||||||||
|
Gross
Amount
Recognized
|
|
Amount Offset in
the Consolidated
Balance Sheets
|
|
Net Amount
Presented in the
Consolidated
Balance Sheets
(1)
|
|
Gross Amount
Not Offset in the
Consolidated
Balance Sheets
(2)
|
|
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
|
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
|
(109
|
)
|
|
—
|
|
|
(109
|
)
|
|
—
|
|
|
(109
|
)
|
|||||
Total
|
$
|
(15,462
|
)
|
|
$
|
15,282
|
|
|
$
|
(180
|
)
|
|
$
|
—
|
|
|
$
|
(180
|
)
|
(1)
|
For derivatives, includes cash collateral posted or held in excess of exposure.
|
(2)
|
Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability presented on the consolidated balance sheets. For cleared and exchange-traded derivatives, does not include non-cash collateral posted by us with an aggregate fair value of
$2.3 billion
and
$0.6 billion
as of
December 31, 2014
and 2013, respectively.
|
|
191
|
Freddie Mac
|
(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.
|
|
192
|
Freddie Mac
|
|
Year Ended December 31, 2014
|
||||||||||||||
|
AOCI Related
to Available-
For-Sale
Securities
|
|
AOCI Related
to Cash Flow
Hedge
Relationships
|
|
AOCI Related
to Defined
Benefit Plans
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
Beginning balance
|
$
|
962
|
|
|
$
|
(1,000
|
)
|
|
$
|
32
|
|
|
$
|
(6
|
)
|
Other comprehensive income before reclassifications
(1)
|
2,087
|
|
|
—
|
|
|
(43
|
)
|
|
2,044
|
|
||||
Amounts reclassified from accumulated other comprehensive income
|
(503
|
)
|
|
197
|
|
|
(2
|
)
|
|
(308
|
)
|
||||
Changes in AOCI by component
|
1,584
|
|
|
197
|
|
|
(45
|
)
|
|
1,736
|
|
||||
Ending balance
|
$
|
2,546
|
|
|
$
|
(803
|
)
|
|
$
|
(13
|
)
|
|
$
|
1,730
|
|
|
|
|
|
|
|
|
|
||||||||
|
Year Ended December 31, 2013
|
||||||||||||||
|
AOCI Related
to Available-
For-Sale
Securities
|
|
AOCI Related
to Cash Flow
Hedge
Relationships
|
|
AOCI Related
to Defined
Benefit Plans
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
Beginning balance
|
$
|
(1,444
|
)
|
|
$
|
(1,316
|
)
|
|
$
|
(178
|
)
|
|
$
|
(2,938
|
)
|
Other comprehensive income before reclassifications
(1)
|
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
|
)
|
(1)
|
For the years ended
December 31, 2014
and 2013, net of tax expense of
$1.1 billion
and
$1.4 billion
, respectively, for AOCI related to available-for-sale securities.
|
Details about Accumulated Other
Comprehensive Income Components
|
|
Three Months Ended December 31,
|
|
Year Ended December 31,
|
|
Affected Line Item in the Consolidated
Statements of Comprehensive Income
|
||||||||||||
|
|
2014
|
|
2013
|
|
2014
|
|
2013
|
|
|
||||||||
|
|
(in millions)
|
|
|
||||||||||||||
AOCI related to available-for-sale securities
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
$
|
500
|
|
|
$
|
717
|
|
|
$
|
1,712
|
|
|
$
|
1,899
|
|
|
Other gains (losses) on investment securities recognized in earnings
|
|
|
(251
|
)
|
|
(1,297
|
)
|
|
(938
|
)
|
|
(1,510
|
)
|
|
Net impairment of available-for-sale securities recognized in earnings
|
||||
|
|
249
|
|
|
(580
|
)
|
|
774
|
|
|
389
|
|
|
Total before tax
|
||||
|
|
(87
|
)
|
|
203
|
|
|
(271
|
)
|
|
(136
|
)
|
|
Tax (expense) or benefit
|
||||
|
|
162
|
|
|
(377
|
)
|
|
503
|
|
|
253
|
|
|
Net of tax
|
||||
AOCI related to cash flow hedge relationships
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
|
(5
|
)
|
|
Interest expense — Other debt
|
||||
|
|
(71
|
)
|
|
(95
|
)
|
|
(301
|
)
|
|
(455
|
)
|
|
Expense related to derivatives
|
||||
|
|
(71
|
)
|
|
(95
|
)
|
|
(303
|
)
|
|
(460
|
)
|
|
Total before tax
|
||||
|
|
25
|
|
|
29
|
|
|
106
|
|
|
144
|
|
|
Tax (expense) or benefit
|
||||
|
|
(46
|
)
|
|
(66
|
)
|
|
(197
|
)
|
|
(316
|
)
|
|
Net of tax
|
||||
AOCI related to defined benefit plans
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
1
|
|
|
8
|
|
|
4
|
|
|
2
|
|
|
Salaries and employee benefits
|
||||
|
|
(1
|
)
|
|
(43
|
)
|
|
(2
|
)
|
|
(43
|
)
|
|
Tax (expense) or benefit
|
||||
|
|
—
|
|
|
(35
|
)
|
|
2
|
|
|
(41
|
)
|
|
Net of tax
|
||||
Total reclassifications in the period
|
|
$
|
116
|
|
|
$
|
(478
|
)
|
|
$
|
308
|
|
|
$
|
(104
|
)
|
|
Net of tax
|
|
193
|
Freddie Mac
|
|
194
|
Freddie Mac
|
Draw Date
|
|
Shares
Authorized
|
|
Shares
Outstanding
|
|
Total
Par Value
|
|
Initial
Liquidation
Preference
Price per Share
|
|
Total
Liquidation
Preference
|
||||||||
|
|
(in millions, except initial liquidation preference price per share)
|
||||||||||||||||
September 8, 2008
|
|
1.00
|
|
|
1.00
|
|
|
$
|
1.00
|
|
|
$
|
1,000
|
|
|
$
|
1,000
|
|
November 24, 2008
|
|
—
|
|
|
—
|
|
|
—
|
|
|
N/A
|
|
|
13,800
|
|
|||
March 31, 2009
|
|
—
|
|
|
—
|
|
|
—
|
|
|
N/A
|
|
|
30,800
|
|
|||
June 30, 2009
|
|
—
|
|
|
—
|
|
|
—
|
|
|
N/A
|
|
|
6,100
|
|
|||
June 30, 2010
|
|
—
|
|
|
—
|
|
|
—
|
|
|
N/A
|
|
|
10,600
|
|
|||
September 30, 2010
|
|
—
|
|
|
—
|
|
|
—
|
|
|
N/A
|
|
|
1,800
|
|
|||
December 30, 2010
|
|
—
|
|
|
—
|
|
|
—
|
|
|
N/A
|
|
|
100
|
|
|||
March 31, 2011
|
|
—
|
|
|
—
|
|
|
—
|
|
|
N/A
|
|
|
500
|
|
|||
September 30, 2011
|
|
—
|
|
|
—
|
|
|
—
|
|
|
N/A
|
|
|
1,479
|
|
|||
December 30, 2011
|
|
—
|
|
|
—
|
|
|
—
|
|
|
N/A
|
|
|
5,992
|
|
|||
March 30, 2012
|
|
—
|
|
|
—
|
|
|
—
|
|
|
N/A
|
|
|
146
|
|
|||
June 29, 2012
|
|
—
|
|
|
—
|
|
|
—
|
|
|
N/A
|
|
|
19
|
|
|||
Total, senior preferred stock
|
|
1.00
|
|
|
1.00
|
|
|
$
|
1.00
|
|
|
|
|
$
|
72,336
|
|
|
195
|
Freddie Mac
|
|
Issue Date
|
Shares
Authorized
|
Shares
Outstanding
|
Total
Par Value
|
Redemption
Price per
Share
|
Total
Outstanding
Balance
|
Redeemable
On or After
|
OTCQB
Symbol
|
||||||||
Preferred stock:
|
|
(in millions, except redemption price per share)
|
|
|
||||||||||||
1996 Variable-rate
(1)
|
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
|
(2)
|
|||
5%
|
March 23, 1998
|
8.00
|
|
8.00
|
|
8.00
|
|
50.00
|
|
400
|
|
March 31, 2003
|
FMCKK
|
|||
1998 Variable-rate
(3)
|
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
|
(2)
|
|||
5.10%
|
March 19, 1999
|
3.00
|
|
3.00
|
|
3.00
|
|
50.00
|
|
150
|
|
March 31, 2004
|
(2)
|
|||
5.79%
|
July 21, 1999
|
5.00
|
|
5.00
|
|
5.00
|
|
50.00
|
|
250
|
|
June 30, 2009
|
FMCCK
|
|||
1999 Variable-rate
(4)
|
November 5, 1999
|
5.75
|
|
5.75
|
|
5.75
|
|
50.00
|
|
287
|
|
December 31, 2004
|
FMCCL
|
|||
2001 Variable-rate
(5)
|
January 26, 2001
|
6.50
|
|
6.50
|
|
6.50
|
|
50.00
|
|
325
|
|
March 31, 2003
|
FMCCM
|
|||
2001 Variable-rate
(6)
|
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
(7)
|
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
|
(2)
|
|||
2006 Variable-rate
(8)
|
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
(9)
|
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)
|
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%.
|
(2)
|
Issued through private placement.
|
(3)
|
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%.
|
(4)
|
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.
|
(5)
|
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.
|
(6)
|
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.
|
(7)
|
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.
|
(8)
|
Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 0.50% but not less than 4.00%.
|
(9)
|
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.
|
|
196
|
Freddie Mac
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Current income tax (expense) benefit
|
$
|
(1,028
|
)
|
|
$
|
(117
|
)
|
|
$
|
1,540
|
|
Deferred income tax (expense) benefit
|
(2,284
|
)
|
|
23,422
|
|
|
(3
|
)
|
|||
Total income tax (expense) benefit
|
$
|
(3,312
|
)
|
|
$
|
23,305
|
|
|
$
|
1,537
|
|
|
197
|
Freddie Mac
|
|
2014
|
|
2013
|
||||
|
(in millions)
|
||||||
Deferred tax assets:
|
|
|
|
||||
Deferred fees
|
$
|
6,245
|
|
|
$
|
5,035
|
|
Basis differences related to derivative instruments
|
7,059
|
|
|
6,946
|
|
||
Credit related items and allowance for loan losses
|
2,311
|
|
|
3,648
|
|
||
Basis differences related to assets held for investment
(1)
|
1,902
|
|
|
—
|
|
||
LIHTC and AMT credit carryforward
|
3,465
|
|
|
3,997
|
|
||
Net operating loss carryforward
|
—
|
|
|
3,978
|
|
||
Other items, net
|
10
|
|
|
40
|
|
||
Total deferred tax assets
|
20,992
|
|
|
23,644
|
|
||
Deferred tax liabilities:
|
|
|
|
||||
Basis differences related to assets held for investment
(1)
|
—
|
|
|
(375
|
)
|
||
Unrealized gains related to available-for-sale securities
|
(1,371
|
)
|
|
(518
|
)
|
||
Basis differences related to debt
|
(123
|
)
|
|
(35
|
)
|
||
Total deferred tax liabilities
|
(1,494
|
)
|
|
(928
|
)
|
||
Deferred tax assets, net
|
$
|
19,498
|
|
|
$
|
22,716
|
|
(1)
|
Includes a basis adjustment on seriously delinquent loans, which offsets a portion of the deferred tax asset for credit related items and the allowance for loan losses.
|
•
|
Our three-year cumulative income position;
|
•
|
The
2013
taxable income reported in our federal tax return which was filed in
2014
;
|
•
|
Our forecasted
2014
and future period taxable income;
|
•
|
Our LIHTC carryforwards do not begin to expire until 2028; and
|
•
|
The continuing positive trend in the housing market.
|
|
198
|
Freddie Mac
|
|
199
|
Freddie Mac
|
Segment
|
Description
|
Activities/Items
|
|
|
|
|
|
Single-family Guarantee
|
The Single-family Guarantee segment reflects results from our single-family credit guarantee activities. In our Single-family Guarantee segment, we purchase and guarantee single-family mortgage loans originated by our seller/servicers in the primary mortgage market and manage our seriously delinquent loans. In most instances, we use the mortgage securitization process to package the mortgage loans into guaranteed mortgage-related securities. We guarantee the payment of principal and interest on the mortgage-related securities in exchange for management and guarantee fees. Segment Earnings for this segment consist primarily of management and guarantee fee revenues, including amortization of upfront fees, less credit-related expenses, administrative expenses, allocated funding costs, and amounts related to net float benefits or expenses.
|
•
|
Management and guarantee fees on PCs, including those retained by us, and single-family mortgage loans in the mortgage investments portfolio, inclusive of up-front credit delivery and buy-down fees
|
•
|
Recognition and remittance to Treasury of guarantee fees resulting from the 10 basis point legislated increase
|
||
•
|
Adjustments for the price performance of our PCs relative to comparable Fannie Mae securities
|
||
•
|
Costs and recoveries of risk transfer transactions
|
||
•
|
Credit losses on all single-family assets
|
||
•
|
Guarantee buy-downs
|
||
•
|
Expected net float income or expense on the single-family credit guarantee portfolio
|
||
•
|
Tax expense/benefit and changes in the deferred tax asset valuation allowance (if any)
|
||
•
|
Allocated debt costs, administrative expenses and taxes
|
||
•
|
Representation and warranty settlements
|
||
Investments
|
The Investments segment reflects results from three primary activities: (a) managing the company’s mortgage-related investments portfolio, excluding Multifamily segment investments and single-family seriously delinquent loans; (b) managing the treasury function for the entire company, including funding and liquidity; and (c) managing interest-rate risk for the entire company. In our Investments segment, we invest principally in mortgage-related securities and single-family performing mortgage loans. Segment Earnings for this segment consist primarily of the returns on these investments, less the related funding, hedging, and administrative expenses.
|
•
|
Investments in mortgage-related securities and single-family performing mortgage loans
|
•
|
All other traded instruments / securities, excluding CMBS and multifamily housing revenue bonds
|
||
•
|
Debt issuances
|
||
•
|
Interest rate risk management returns
|
||
•
|
Guarantee buy-ups, net of execution gains / losses
|
||
•
|
Cash and liquidity management
|
||
•
|
Tax expense/benefit and changes in the deferred tax asset valuation allowance (if any)
|
||
•
|
Allocated administrative expenses and taxes
|
||
•
|
Non-agency mortgage-related securities settlements
|
||
Multifamily
|
The Multifamily segment reflects results from our investment (both purchases and sales), securitization, and guarantee activities in multifamily mortgage loans and securities. Our primary business model is to purchase multifamily mortgage loans for aggregation and then securitization through issuance of multifamily K Certificates. To a lesser extent, we provide guarantees of the payment of principal and interest on tax-exempt multifamily pass-through certificates backed by multifamily housing revenue bonds. In addition, we guarantee the payment of principal and interest on tax-exempt multifamily housing revenue bonds secured by low- and moderate-income multifamily mortgage loans. Segment Earnings for this segment consist primarily of returns on assets related to multifamily investment activities and management and guarantee fee income, less credit-related expenses, administrative expenses, and allocated funding costs.
|
•
|
Multifamily mortgage loans held-for-sale and associated securitization activities
|
•
|
Investments in CMBS, multifamily housing revenue bonds, and multifamily mortgage loans held-for-investment
|
||
•
|
Allocated debt costs, administrative expenses and taxes
|
||
•
|
Other guarantee commitments on multifamily housing revenue bonds
|
||
•
|
Other Structured Securities of multifamily housing revenue bonds
|
||
•
|
Tax expense/benefit and changes in the deferred tax asset valuation allowance (if any)
|
||
All Other
|
The All Other category consists of material corporate-level activities that are: (a) infrequent in nature; and (b) based on decisions outside the control of the management of our reportable segments.
|
•
|
Tax settlements, as applicable
|
•
|
Legal settlements, as applicable
|
||
•
|
Tax expense/benefit and changes in the deferred tax asset valuation allowance (if any), including the release of the deferred tax asset valuation allowance
|
||
•
|
Termination of our pension plan
|
|
200
|
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.
|
|
201
|
Freddie Mac
|
•
|
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, 2014
, the unamortized balance of buy-down fees was
$0.3 billion
and the unamortized balance of credit delivery fees was
$0.7 billion
. We consider such fees to be part of the effective rate of the guarantee fee on guaranteed mortgage loans. These adjustments are necessary to better reflect the realization of revenue associated with guarantee contracts over the life of the underlying loans.
|
•
|
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, 2014
, the unamortized balance of such premiums and discounts, net was
$3.5 billion
and the unamortized balance of buy-up fees was
$0.4 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,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Segment Earnings (loss), net of taxes:
|
|
|
|
|
|
||||||
Single-family Guarantee
|
$
|
1,547
|
|
|
$
|
5,796
|
|
|
$
|
(164
|
)
|
Investments
|
4,520
|
|
|
15,930
|
|
|
7,367
|
|
|||
Multifamily
|
1,636
|
|
|
3,050
|
|
|
2,991
|
|
|||
All Other
|
(13
|
)
|
|
23,892
|
|
|
788
|
|
|||
Total Segment Earnings, net of taxes
|
7,690
|
|
|
48,668
|
|
|
10,982
|
|
|||
Net income
|
$
|
7,690
|
|
|
$
|
48,668
|
|
|
$
|
10,982
|
|
Comprehensive income (loss) of segments:
|
|
|
|
|
|
||||||
Single-family Guarantee
|
$
|
1,537
|
|
|
$
|
5,845
|
|
|
$
|
(227
|
)
|
Investments
|
6,471
|
|
|
20,287
|
|
|
11,397
|
|
|||
Multifamily
|
1,459
|
|
|
1,455
|
|
|
4,081
|
|
|||
All Other
|
(41
|
)
|
|
24,013
|
|
|
788
|
|
|||
Comprehensive income of segments
|
9,426
|
|
|
51,600
|
|
|
16,039
|
|
|||
Comprehensive income
|
$
|
9,426
|
|
|
$
|
51,600
|
|
|
$
|
16,039
|
|
|
202
|
Freddie Mac
|
|
Year Ended December 31, 2014
|
||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
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
|
|
Segment
Adjustments
|
|
Total
Reconciling
Items
|
|
||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||
Net interest income
|
$
|
(111
|
)
|
|
$
|
2,966
|
|
|
$
|
948
|
|
|
$
|
—
|
|
|
$
|
3,803
|
|
|
$
|
9,825
|
|
|
$
|
635
|
|
|
$
|
10,460
|
|
|
$
|
14,263
|
|
(Provision) benefit for credit losses
|
(982
|
)
|
|
—
|
|
|
55
|
|
|
—
|
|
|
(927
|
)
|
|
869
|
|
|
—
|
|
|
869
|
|
|
(58
|
)
|
|||||||||
Non-interest income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Management and guarantee income
(1)
|
5,172
|
|
|
—
|
|
|
254
|
|
|
—
|
|
|
5,426
|
|
|
(4,794
|
)
|
|
(303
|
)
|
|
(5,097
|
)
|
|
329
|
|
|||||||||
Net impairment of available-for-sale securities recognized in earnings
|
—
|
|
|
(140
|
)
|
|
—
|
|
|
—
|
|
|
(140
|
)
|
|
(798
|
)
|
|
—
|
|
|
(798
|
)
|
|
(938
|
)
|
|||||||||
Derivative gains (losses)
|
7
|
|
|
(5,158
|
)
|
|
335
|
|
|
—
|
|
|
(4,816
|
)
|
|
(3,475
|
)
|
|
—
|
|
|
(3,475
|
)
|
|
(8,291
|
)
|
|||||||||
Gains (losses) on trading securities
|
—
|
|
|
(276
|
)
|
|
58
|
|
|
—
|
|
|
(218
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(218
|
)
|
|||||||||
Gains (losses) on mortgage loans
|
(139
|
)
|
|
—
|
|
|
870
|
|
|
—
|
|
|
731
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
731
|
|
|||||||||
Other non-interest income
|
844
|
|
|
8,881
|
|
|
176
|
|
|
—
|
|
|
9,901
|
|
|
(1,627
|
)
|
|
—
|
|
|
(1,627
|
)
|
|
8,274
|
|
|||||||||
Non-interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Administrative expense
|
(1,170
|
)
|
|
(437
|
)
|
|
(274
|
)
|
|
—
|
|
|
(1,881
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,881
|
)
|
|||||||||
REO operations income (expense)
|
(205
|
)
|
|
—
|
|
|
9
|
|
|
—
|
|
|
(196
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(196
|
)
|
|||||||||
Temporary Payroll Tax Cut Continuation Act of 2011 expense
|
(775
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(775
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(775
|
)
|
|||||||||
Other non-interest expense
|
(191
|
)
|
|
(6
|
)
|
|
(23
|
)
|
|
(18
|
)
|
|
(238
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(238
|
)
|
|||||||||
Segment adjustments
|
(303
|
)
|
|
635
|
|
|
—
|
|
|
—
|
|
|
332
|
|
|
—
|
|
|
(332
|
)
|
|
(332
|
)
|
|
—
|
|
|||||||||
Income tax (expense) benefit
|
(600
|
)
|
|
(1,945
|
)
|
|
(772
|
)
|
|
5
|
|
|
(3,312
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3,312
|
)
|
|||||||||
Net income (loss)
|
1,547
|
|
|
4,520
|
|
|
1,636
|
|
|
(13
|
)
|
|
7,690
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7,690
|
|
|||||||||
Changes in unrealized gains (losses) related to available-for-sale securities
|
—
|
|
|
1,759
|
|
|
(175
|
)
|
|
—
|
|
|
1,584
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,584
|
|
|||||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships
|
—
|
|
|
197
|
|
|
—
|
|
|
—
|
|
|
197
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
197
|
|
|||||||||
Changes in defined benefit plans
|
(10
|
)
|
|
(5
|
)
|
|
(2
|
)
|
|
(28
|
)
|
|
(45
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(45
|
)
|
|||||||||
Total other comprehensive income (loss), net of taxes
|
(10
|
)
|
|
1,951
|
|
|
(177
|
)
|
|
(28
|
)
|
|
1,736
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,736
|
|
|||||||||
Comprehensive income (loss)
|
$
|
1,537
|
|
|
$
|
6,471
|
|
|
$
|
1,459
|
|
|
$
|
(41
|
)
|
|
$
|
9,426
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
9,426
|
|
|
203
|
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
|
|
Segment
Adjustments
|
|
Total
Reconciling
Items
|
|
||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||
Net interest income
|
$
|
320
|
|
|
$
|
3,525
|
|
|
$
|
1,186
|
|
|
$
|
—
|
|
|
$
|
5,031
|
|
|
$
|
10,400
|
|
|
$
|
1,037
|
|
|
$
|
11,437
|
|
|
$
|
16,468
|
|
Benefit for credit losses
|
1,409
|
|
|
—
|
|
|
218
|
|
|
—
|
|
|
1,627
|
|
|
838
|
|
|
—
|
|
|
838
|
|
|
2,465
|
|
|||||||||
Non-interest income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Management and guarantee income
(1)
|
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
|
)
|
|
5,543
|
|
|
1,281
|
|
|
—
|
|
|
6,821
|
|
|
(4,189
|
)
|
|
—
|
|
|
(4,189
|
)
|
|
2,632
|
|
|||||||||
Gains (losses) on trading securities
|
—
|
|
|
(1,466
|
)
|
|
(132
|
)
|
|
—
|
|
|
(1,598
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,598
|
)
|
|||||||||
Gains (losses) on mortgage loans
|
—
|
|
|
—
|
|
|
(336
|
)
|
|
—
|
|
|
(336
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(336
|
)
|
|||||||||
Other non-interest income
|
1,165
|
|
|
8,902
|
|
|
1,350
|
|
|
—
|
|
|
11,417
|
|
|
(2,357
|
)
|
|
—
|
|
|
(2,357
|
)
|
|
9,060
|
|
|||||||||
Non-interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Administrative expense
|
(1,025
|
)
|
|
(523
|
)
|
|
(257
|
)
|
|
—
|
|
|
(1,805
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,805
|
)
|
|||||||||
REO operations income (expense)
|
124
|
|
|
—
|
|
|
16
|
|
|
—
|
|
|
140
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
140
|
|
|||||||||
Temporary Payroll Tax Cut Continuation Act of 2011 expense
|
(533
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(533
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(533
|
)
|
|||||||||
Other non-interest expense (income)
|
(179
|
)
|
|
349
|
|
|
(24
|
)
|
|
(37
|
)
|
|
109
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
109
|
|
|||||||||
Segment adjustments
|
(694
|
)
|
|
1,037
|
|
|
—
|
|
|
—
|
|
|
343
|
|
|
—
|
|
|
(343
|
)
|
|
(343
|
)
|
|
—
|
|
|||||||||
Income tax (expense) benefit
|
282
|
|
|
(463
|
)
|
|
(443
|
)
|
|
23,929
|
|
|
23,305
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
23,305
|
|
|||||||||
Net income (loss)
|
5,796
|
|
|
15,930
|
|
|
3,050
|
|
|
23,892
|
|
|
48,668
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
48,668
|
|
|||||||||
Changes in unrealized gains (losses) related to available-for-sale securities
|
—
|
|
|
4,010
|
|
|
(1,604
|
)
|
|
—
|
|
|
2,406
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,406
|
|
|||||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships
|
—
|
|
|
316
|
|
|
—
|
|
|
—
|
|
|
316
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
316
|
|
|||||||||
Changes in defined benefit plans
|
49
|
|
|
31
|
|
|
9
|
|
|
121
|
|
|
210
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
210
|
|
|||||||||
Total other comprehensive income (loss), net of taxes
|
49
|
|
|
4,357
|
|
|
(1,595
|
)
|
|
121
|
|
|
2,932
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,932
|
|
|||||||||
Comprehensive income
|
$
|
5,845
|
|
|
$
|
20,287
|
|
|
$
|
1,455
|
|
|
$
|
24,013
|
|
|
$
|
51,600
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
51,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
204
|
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
|
|
Segment
Adjustments
|
|
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
(1)
|
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)
|
—
|
|
|
1,034
|
|
|
943
|
|
|
—
|
|
|
1,977
|
|
|
(4,425
|
)
|
|
—
|
|
|
(4,425
|
)
|
|
(2,448
|
)
|
|||||||||
Gains (losses) on trading securities
|
—
|
|
|
(1,794
|
)
|
|
120
|
|
|
—
|
|
|
(1,674
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,674
|
)
|
|||||||||
Gains (losses) on mortgage loans
|
—
|
|
|
—
|
|
|
1,010
|
|
|
—
|
|
|
1,010
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,010
|
|
|||||||||
Other non-interest income
|
931
|
|
|
2,719
|
|
|
297
|
|
|
—
|
|
|
3,947
|
|
|
(2,951
|
)
|
|
—
|
|
|
(2,951
|
)
|
|
996
|
|
|||||||||
Non-interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Administrative expense
|
(890
|
)
|
|
(430
|
)
|
|
(241
|
)
|
|
—
|
|
|
(1,561
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,561
|
)
|
|||||||||
REO operations income (expense)
|
(62
|
)
|
|
—
|
|
|
3
|
|
|
—
|
|
|
(59
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(59
|
)
|
|||||||||
Temporary Payroll Tax Cut Continuation Act of 2011 expense
|
(108
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(108
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(108
|
)
|
|||||||||
Other non-interest expense
|
(285
|
)
|
|
(1
|
)
|
|
(129
|
)
|
|
(50
|
)
|
|
(465
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(465
|
)
|
|||||||||
Segment adjustments
|
(832
|
)
|
|
799
|
|
|
—
|
|
|
—
|
|
|
(33
|
)
|
|
—
|
|
|
33
|
|
|
33
|
|
|
—
|
|
|||||||||
Income tax (expense) benefit
|
8
|
|
|
1,145
|
|
|
(454
|
)
|
|
838
|
|
|
1,537
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,537
|
|
|||||||||
Net income (loss)
|
(164
|
)
|
|
7,367
|
|
|
2,991
|
|
|
788
|
|
|
10,982
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10,982
|
|
|||||||||
Changes in unrealized gains (losses) related to available-for-sale securities
|
—
|
|
|
3,666
|
|
|
1,103
|
|
|
—
|
|
|
4,769
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,769
|
|
|||||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships
|
—
|
|
|
414
|
|
|
—
|
|
|
—
|
|
|
414
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
414
|
|
|||||||||
Changes in defined benefit plans
|
(63
|
)
|
|
(50
|
)
|
|
(13
|
)
|
|
—
|
|
|
(126
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(126
|
)
|
|||||||||
Total other comprehensive income (loss), net of taxes
|
(63
|
)
|
|
4,030
|
|
|
1,090
|
|
|
—
|
|
|
5,057
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5,057
|
|
|||||||||
Comprehensive income (loss)
|
$
|
(227
|
)
|
|
$
|
11,397
|
|
|
$
|
4,081
|
|
|
$
|
788
|
|
|
$
|
16,039
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
16,039
|
|
(1)
|
Management and guarantee income is included in other income on our GAAP consolidated statements of comprehensive income.
|
|
205
|
Freddie Mac
|
|
December 31, 2014
|
|
December 31, 2013
|
||||||||||||||||
|
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
|
$
|
87,529
|
|
|
$
|
861
|
|
|
39
|
|
$
|
71,809
|
|
|
$
|
731
|
|
|
40
|
Other guarantee commitments
|
26,147
|
|
|
772
|
|
|
39
|
|
29,160
|
|
|
791
|
|
|
36
|
||||
Derivative instruments
|
21,336
|
|
|
154
|
|
|
31
|
|
9,856
|
|
|
239
|
|
|
32
|
(1)
|
The maximum exposure represents the contractual amounts that could be lost 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
$126 million
and
$111 million
as of
December 31, 2014
and
2013
, respectively, and is included within other liabilities on our consolidated balance sheets.
|
|
206
|
Freddie Mac
|
|
207
|
Freddie Mac
|
|
December 31, 2014
|
|
December 31, 2013
|
|
Percent of Credit Losses
(1)
Twelve Months Ended
|
||||||||||||
|
Percentage of
Portfolio
(1)
|
|
Serious
Delinquency
Rate
|
|
Percentage of
Portfolio
(1)
|
|
Serious
Delinquency
Rate
|
|
December 31, 2014
|
|
December 31, 2013
|
||||||
Year of Origination
|
|
|
|
|
|
|
|
|
|
|
|
||||||
2014
|
12
|
%
|
|
0.02
|
%
|
|
N/A
|
|
|
N/A
|
|
|
—
|
%
|
|
N/A
|
|
2013
|
16
|
|
|
0.06
|
|
|
16
|
%
|
|
0.01
|
%
|
|
—
|
|
|
—
|
%
|
2012
|
14
|
|
|
0.09
|
|
|
16
|
|
|
0.04
|
|
|
—
|
|
|
—
|
|
2011
|
6
|
|
|
0.26
|
|
|
8
|
|
|
0.18
|
|
|
—
|
|
|
—
|
|
2010
|
6
|
|
|
0.46
|
|
|
7
|
|
|
0.39
|
|
|
1
|
|
|
1
|
|
2009
|
6
|
|
|
0.92
|
|
|
7
|
|
|
0.88
|
|
|
2
|
|
|
2
|
|
Subtotal - New single-family book
|
60
|
|
|
0.24
|
|
|
54
|
|
|
0.24
|
|
|
3
|
|
|
3
|
|
HARP and other relief refinance loans
(2)
|
20
|
|
|
0.75
|
|
|
21
|
|
|
0.64
|
|
|
8
|
|
|
7
|
|
2005 to 2008 Legacy single-family book
|
13
|
|
|
7.59
|
|
|
16
|
|
|
8.77
|
|
|
81
|
|
|
81
|
|
Pre-2005 Legacy single-family book
|
7
|
|
|
3.10
|
|
|
9
|
|
|
3.24
|
|
|
8
|
|
|
9
|
|
Total
|
100
|
%
|
|
1.88
|
%
|
|
100
|
%
|
|
2.39
|
%
|
|
100
|
%
|
|
100
|
%
|
Region
(3)
|
|
|
|
|
|
|
|
|
|
|
|
||||||
West
|
29
|
%
|
|
1.23
|
%
|
|
28
|
%
|
|
1.73
|
%
|
|
13
|
%
|
|
24
|
%
|
Northeast
|
26
|
|
|
2.81
|
|
|
26
|
|
|
3.23
|
|
|
26
|
|
|
15
|
|
North Central
|
17
|
|
|
1.48
|
|
|
18
|
|
|
1.81
|
|
|
22
|
|
|
23
|
|
Southeast
|
16
|
|
|
2.40
|
|
|
16
|
|
|
3.42
|
|
|
35
|
|
|
35
|
|
Southwest
|
12
|
|
|
1.16
|
|
|
12
|
|
|
1.36
|
|
|
4
|
|
|
3
|
|
Total
|
100
|
%
|
|
1.88
|
%
|
|
100
|
%
|
|
2.39
|
%
|
|
100
|
%
|
|
100
|
%
|
State
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Arizona, California, Florida, and Nevada
(4)
|
26
|
%
|
|
1.91
|
%
|
|
26
|
%
|
|
3.01
|
%
|
|
36
|
%
|
|
47
|
%
|
Illinois, Michigan, and Ohio
(5)
|
10
|
|
|
1.70
|
|
|
11
|
|
|
2.11
|
|
|
17
|
|
|
19
|
|
New York and New Jersey
(6)
|
9
|
|
|
4.62
|
|
|
9
|
|
|
5.11
|
|
|
11
|
|
|
3
|
|
All other
|
55
|
|
|
1.53
|
|
|
54
|
|
|
1.85
|
|
|
36
|
|
|
31
|
|
Total
|
100
|
%
|
|
1.88
|
%
|
|
100
|
%
|
|
2.39
|
%
|
|
100
|
%
|
|
100
|
%
|
(1)
|
Within these columns, "—" represents less than 0.5%.
|
(2)
|
HARP and other relief refinance loans are presented separately rather than in the year that the refinancing occurred (from 2009 to 2014). All other refinance loans are presented in the year that the refinancing occurred.
|
(3)
|
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).
|
(4)
|
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.
|
(5)
|
Represents selected states in the North Central region that have experienced adverse economic conditions since 2006.
|
(6)
|
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.
|
|
208
|
Freddie Mac
|
|
Percentage of Portfolio
(2)
|
|
Serious Delinquency Rate
|
||||||||
|
December 31, 2014
|
|
December 31, 2013
|
|
December 31, 2014
|
|
December 31, 2013
|
||||
Interest-only
|
2
|
%
|
|
2
|
%
|
|
9.36
|
%
|
|
12.51
|
%
|
Option ARM
(3)
|
—
|
|
|
—
|
|
|
9.87
|
|
|
12.30
|
|
Alt-A
|
3
|
|
|
3
|
|
|
8.53
|
|
|
10.06
|
|
Original LTV ratio greater than 90%
(4)
|
16
|
|
|
16
|
|
|
2.58
|
|
|
3.22
|
|
Lower credit scores at origination (less than 620)
|
3
|
|
|
3
|
|
|
8.57
|
|
|
9.99
|
|
(1)
|
Excludes loans underlying certain Other Guarantee Transactions for which data was not available.
|
(2)
|
Within these columns, "—" represents less than 0.5%.
|
(3)
|
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.
|
(4)
|
Includes HARP loans, which we are required to purchase as part of our participation in the MHA Program.
|
|
209
|
Freddie Mac
|
|
December 31, 2014
|
|
December 31, 2013
|
||||||||||
|
UPB
|
|
Delinquency
Rate
(1)
|
|
UPB
|
|
Delinquency
Rate
(1)
|
||||||
|
(dollars in billions)
|
||||||||||||
State
(2)
|
|
|
|
|
|
||||||||
California
|
$
|
23.2
|
|
|
—
|
%
|
|
$
|
22.4
|
|
|
0.03
|
%
|
Texas
|
18.3
|
|
|
0.06
|
|
|
16.7
|
|
|
0.02
|
|
||
New York
|
12.1
|
|
|
—
|
|
|
11.4
|
|
|
0.12
|
|
||
Florida
|
10.0
|
|
|
—
|
|
|
9.3
|
|
|
0.28
|
|
||
Virginia
|
7.3
|
|
|
—
|
|
|
7.0
|
|
|
0.37
|
|
||
Maryland
|
7.2
|
|
|
—
|
|
|
6.7
|
|
|
—
|
|
||
All other states
|
65.2
|
|
|
0.07
|
|
|
59.3
|
|
|
0.08
|
|
||
Total
|
$
|
143.3
|
|
|
0.04
|
%
|
|
$
|
132.8
|
|
|
0.09
|
%
|
Region
(3)
|
|
|
|
|
|
|
|
||||||
Northeast
|
$
|
39.0
|
|
|
—
|
%
|
|
$
|
37.5
|
|
|
0.10
|
%
|
West
|
36.3
|
|
|
—
|
|
|
33.8
|
|
|
0.07
|
|
||
Southwest
|
29.1
|
|
|
0.07
|
|
|
26.2
|
|
|
0.05
|
|
||
Southeast
|
26.7
|
|
|
0.09
|
|
|
24.1
|
|
|
0.16
|
|
||
North Central
|
12.2
|
|
|
0.06
|
|
|
11.2
|
|
|
0.07
|
|
||
Total
|
$
|
143.3
|
|
|
0.04
|
%
|
|
$
|
132.8
|
|
|
0.09
|
%
|
Other Categories
(4)
|
|
|
|
|
|
|
|
||||||
Original LTV ratio greater than 80%
|
$
|
6.1
|
|
|
0.04
|
%
|
|
$
|
5.6
|
|
|
0.19
|
%
|
Original DSCR below 1.10
|
2.1
|
|
|
—
|
|
|
2.2
|
|
|
—
|
|
(1)
|
Based on mortgages two monthly payments or more delinquent or in foreclosure.
|
(2)
|
States presented have the highest aggregate UPB at
December 31, 2014
.
|
(3)
|
See endnote (3) 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.
|
|
210
|
Freddie Mac
|
|
211
|
Freddie Mac
|
|
212
|
Freddie Mac
|
•
|
$42.2 billion
of securities purchased under agreements to resell with
15
counterparties that had short-term S&P ratings of A-1 or above;
|
•
|
$1.2 billion
of securities purchased under agreements to resell with
three
counterparties that had short-term S&P ratings of A-2;
|
•
|
$8.6 billion
of securities purchased under agreements to resell with
four
counterparties that do not have short-term S&P or other third-party credit ratings, but were evaluated under the company's counterparty credit risk system and were determined to be eligible for these transactions (by providing more than 100% in approved collateral);
|
•
|
$4.4 billion
of cash equivalents invested in Treasury securities; and
|
•
|
$15.0 billion
of cash deposited with the Federal Reserve Bank of New York (as a non-interest-bearing deposit).
|
|
213
|
Freddie Mac
|
•
|
Morgan Stanley (February 2014)
|
•
|
Societe Generale (February 2014)
|
•
|
Credit Suisse Holdings (USA), Inc. (March 2014)
|
•
|
Bank of America Corporation (March 2014)
|
•
|
Barclays Bank PLC (April 2014)
|
•
|
First Horizon National Corporation (April 2014)
|
•
|
RBS Securities, Inc. (June 2014; resolved claims against RBS in FHFA's lawsuit against Ally Financial Inc.)
|
•
|
Goldman Sachs and Co. (August 2014)
|
•
|
HSBC North America Holdings, Inc. (September 2014)
|
•
|
In April 2014, Citigroup Inc. announced a settlement to resolve certain claims with respect to a number of mortgage securitization trusts. In December 2014, the trustees of the securitizations filed suit in New York state court seeking approval of the settlement.
|
•
|
In November 2013, J.P. Morgan Chase & Co. announced a settlement to resolve certain claims with respect to a number of mortgage securitization trusts. In October 2014, the trustees of the securitizations filed suit in New York state court seeking approval of the settlement.
|
•
|
In June 2011, Bank of America Corporation, BAC Home Loans Servicing, LP, Countrywide Financial Corporation and Countrywide Home Loans, Inc. entered into a settlement agreement with The Bank of New York Mellon, as trustee, to resolve certain claims with respect to a number of Countrywide mortgage securitization trusts. In January 2014, a New York state court approved a significant portion of the settlement. An appeal of this decision is pending. There can be no assurance that final court approval of the entire settlement will be obtained.
|
|
214
|
Freddie Mac
|
|
215
|
Freddie Mac
|
|
December 31, 2014
|
||||||||||||||||||
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Netting
Adjustment
(1)
|
|
Total
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Available-for-sale, at fair value:
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
$
|
—
|
|
|
$
|
34,868
|
|
|
$
|
4,231
|
|
|
$
|
—
|
|
|
$
|
39,099
|
|
Fannie Mae
|
—
|
|
|
11,228
|
|
|
85
|
|
|
—
|
|
|
11,313
|
|
|||||
Ginnie Mae
|
—
|
|
|
195
|
|
|
4
|
|
|
—
|
|
|
199
|
|
|||||
CMBS
|
—
|
|
|
18,348
|
|
|
3,474
|
|
|
—
|
|
|
21,822
|
|
|||||
Subprime
|
—
|
|
|
—
|
|
|
20,589
|
|
|
—
|
|
|
20,589
|
|
|||||
Option ARM
|
—
|
|
|
—
|
|
|
5,649
|
|
|
—
|
|
|
5,649
|
|
|||||
Alt-A and other
|
—
|
|
|
16
|
|
|
5,027
|
|
|
—
|
|
|
5,043
|
|
|||||
Obligations of states and political subdivisions
|
—
|
|
|
—
|
|
|
2,198
|
|
|
—
|
|
|
2,198
|
|
|||||
Manufactured housing
|
—
|
|
|
—
|
|
|
638
|
|
|
—
|
|
|
638
|
|
|||||
Total available-for-sale securities, at fair value
|
—
|
|
|
64,655
|
|
|
41,895
|
|
|
—
|
|
|
106,550
|
|
|||||
Trading, at fair value:
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
—
|
|
|
16,542
|
|
|
927
|
|
|
—
|
|
|
17,469
|
|
|||||
Fannie Mae
|
—
|
|
|
5,867
|
|
|
232
|
|
|
—
|
|
|
6,099
|
|
|||||
Ginnie Mae
|
—
|
|
|
15
|
|
|
1
|
|
|
—
|
|
|
16
|
|
|||||
Other
|
—
|
|
|
167
|
|
|
4
|
|
|
—
|
|
|
171
|
|
|||||
Total mortgage-related securities
|
—
|
|
|
22,591
|
|
|
1,164
|
|
|
—
|
|
|
23,755
|
|
|||||
U.S. Treasury securities
|
6,682
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6,682
|
|
|||||
Total trading securities, at fair value
|
6,682
|
|
|
22,591
|
|
|
1,164
|
|
|
—
|
|
|
30,437
|
|
|||||
Total investments in securities
|
6,682
|
|
|
87,246
|
|
|
43,059
|
|
|
—
|
|
|
136,987
|
|
|||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
||||||||||
Held-for-sale, at fair value
|
—
|
|
|
12,130
|
|
|
—
|
|
|
—
|
|
|
12,130
|
|
|||||
Derivative assets, net:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest-rate swaps
|
—
|
|
|
5,653
|
|
|
—
|
|
|
—
|
|
|
5,653
|
|
|||||
Option-based derivatives
|
5
|
|
|
4,219
|
|
|
—
|
|
|
—
|
|
|
4,224
|
|
|||||
Other
|
—
|
|
|
40
|
|
|
27
|
|
|
—
|
|
|
67
|
|
|||||
Subtotal, before netting adjustments
|
5
|
|
|
9,912
|
|
|
27
|
|
|
—
|
|
|
9,944
|
|
|||||
Netting adjustments
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
(9,122
|
)
|
|
(9,122
|
)
|
|||||
Total derivative assets, net
|
5
|
|
|
9,912
|
|
|
27
|
|
|
(9,122
|
)
|
|
822
|
|
|||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Guarantee asset, at fair value
|
—
|
|
|
—
|
|
|
1,626
|
|
|
—
|
|
|
1,626
|
|
|||||
All other, at fair value
|
—
|
|
|
—
|
|
|
5
|
|
|
—
|
|
|
5
|
|
|||||
Total other assets
|
—
|
|
|
—
|
|
|
1,631
|
|
|
—
|
|
|
1,631
|
|
|||||
Total assets carried at fair value on a recurring basis
|
$
|
6,687
|
|
|
$
|
109,288
|
|
|
$
|
44,717
|
|
|
$
|
(9,122
|
)
|
|
$
|
151,570
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Debt securities of consolidated trusts held by third parties, at fair value
|
$
|
—
|
|
|
$
|
42
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
42
|
|
Other debt, at fair value
|
—
|
|
|
5,820
|
|
|
—
|
|
|
—
|
|
|
5,820
|
|
|||||
Derivative liabilities, net:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest-rate swaps
|
—
|
|
|
13,316
|
|
|
—
|
|
|
—
|
|
|
13,316
|
|
|||||
Option-based derivatives
|
28
|
|
|
99
|
|
|
—
|
|
|
—
|
|
|
127
|
|
|||||
Other
|
—
|
|
|
80
|
|
|
37
|
|
|
—
|
|
|
117
|
|
|||||
Subtotal, before netting adjustments
|
28
|
|
|
13,495
|
|
|
37
|
|
|
—
|
|
|
13,560
|
|
|||||
Netting adjustments
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
(11,597
|
)
|
|
(11,597
|
)
|
|||||
Total derivative liabilities, net
|
28
|
|
|
13,495
|
|
|
37
|
|
|
(11,597
|
)
|
|
1,963
|
|
|||||
Total liabilities carried at fair value on a recurring basis
|
$
|
28
|
|
|
$
|
19,357
|
|
|
$
|
37
|
|
|
$
|
(11,597
|
)
|
|
$
|
7,825
|
|
|
216
|
Freddie Mac
|
|
Fair Value at December 31, 2013
|
||||||||||||||||||
|
Level 1
|
|
Level 2
|
|
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
|
|
|||||
U.S. Treasury 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
|
|
(1)
|
Represents counterparty netting, cash collateral netting and net derivative interest receivable or payable. The net cash collateral posted was
$3.2 billion
and
$871 million
, respectively, at
December 31, 2014
and 2013. The net interest receivable (payable) of derivative assets and derivative liabilities was
$(0.7) billion
and
$(0.6) billion
at
December 31, 2014
and 2013, respectively, which was mainly related to interest rate swaps.
|
|
217
|
Freddie Mac
|
|
218
|
Freddie Mac
|
|
Year Ended December 31, 2014
|
||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
Realized and unrealized gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
|
Balance,
January 1,
2014
|
|
Included in
earnings
(1)
|
|
Included in
other
comprehensive
income
(1)
|
|
Total
|
|
Purchases
|
|
Issues
|
|
Sales
|
|
Settlements,
net
|
|
Transfers
into
Level 3
(2)
|
|
Transfers
out of
Level 3
(2)
|
|
Balance,
December 31,
2014
|
|
Unrealized
gains (losses)
still held
|
||||||||||||||||||||||||
|
in millions
|
||||||||||||||||||||||||||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Available-for-sale, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
$
|
1,939
|
|
|
$
|
2
|
|
|
$
|
71
|
|
|
$
|
73
|
|
|
$
|
5,742
|
|
|
$
|
—
|
|
|
$
|
(3,346
|
)
|
|
$
|
(138
|
)
|
|
$
|
3
|
|
|
$
|
(42
|
)
|
|
$
|
4,231
|
|
|
$
|
—
|
|
Fannie Mae
|
131
|
|
|
—
|
|
|
(2
|
)
|
|
(2
|
)
|
|
48
|
|
|
—
|
|
|
(59
|
)
|
|
(29
|
)
|
|
45
|
|
|
(49
|
)
|
|
85
|
|
|
—
|
|
||||||||||||
Ginnie Mae
|
12
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(6
|
)
|
|
(3
|
)
|
|
1
|
|
|
—
|
|
|
4
|
|
|
—
|
|
||||||||||||
CMBS
|
3,109
|
|
|
—
|
|
|
397
|
|
|
397
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
(31
|
)
|
|
—
|
|
|
—
|
|
|
3,474
|
|
|
—
|
|
||||||||||||
Subprime
|
27,499
|
|
|
(524
|
)
|
|
2,778
|
|
|
2,254
|
|
|
—
|
|
|
—
|
|
|
(7,469
|
)
|
|
(1,695
|
)
|
|
—
|
|
|
—
|
|
|
20,589
|
|
|
(794
|
)
|
||||||||||||
Option ARM
|
6,574
|
|
|
(71
|
)
|
|
232
|
|
|
161
|
|
|
—
|
|
|
—
|
|
|
(791
|
)
|
|
(295
|
)
|
|
—
|
|
|
—
|
|
|
5,649
|
|
|
(102
|
)
|
||||||||||||
Alt-A and other
|
8,706
|
|
|
111
|
|
|
158
|
|
|
269
|
|
|
—
|
|
|
—
|
|
|
(3,659
|
)
|
|
(272
|
)
|
|
—
|
|
|
(17
|
)
|
|
5,027
|
|
|
(42
|
)
|
||||||||||||
Obligations of states and political subdivisions
|
3,495
|
|
|
1
|
|
|
71
|
|
|
72
|
|
|
1
|
|
|
—
|
|
|
(13
|
)
|
|
(1,357
|
)
|
|
—
|
|
|
—
|
|
|
2,198
|
|
|
—
|
|
||||||||||||
Manufactured housing
|
684
|
|
|
—
|
|
|
28
|
|
|
28
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(74
|
)
|
|
—
|
|
|
—
|
|
|
638
|
|
|
—
|
|
||||||||||||
Total available-for-sale mortgage-related securities
|
52,149
|
|
|
(481
|
)
|
|
3,733
|
|
|
3,252
|
|
|
5,791
|
|
|
—
|
|
|
(15,344
|
)
|
|
(3,894
|
)
|
|
49
|
|
|
(108
|
)
|
|
41,895
|
|
|
(938
|
)
|
||||||||||||
Trading, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Freddie Mac
|
343
|
|
|
8
|
|
|
—
|
|
|
8
|
|
|
2,282
|
|
|
95
|
|
|
(1,690
|
)
|
|
(43
|
)
|
|
—
|
|
|
(68
|
)
|
|
927
|
|
|
11
|
|
||||||||||||
Fannie Mae
|
221
|
|
|
(45
|
)
|
|
—
|
|
|
(45
|
)
|
|
79
|
|
|
—
|
|
|
—
|
|
|
(14
|
)
|
|
21
|
|
|
(30
|
)
|
|
232
|
|
|
(45
|
)
|
||||||||||||
Ginnie Mae
|
74
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
(70
|
)
|
|
(4
|
)
|
|
—
|
|
|
—
|
|
|
1
|
|
|
(2
|
)
|
||||||||||||
Other
|
8
|
|
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
|
—
|
|
|
—
|
|
|
4
|
|
|
(1
|
)
|
||||||||||||
Total trading mortgage-related securities
|
646
|
|
|
(38
|
)
|
|
—
|
|
|
(38
|
)
|
|
2,362
|
|
|
95
|
|
|
(1,760
|
)
|
|
(64
|
)
|
|
21
|
|
|
(98
|
)
|
|
1,164
|
|
|
(37
|
)
|
||||||||||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Guarantee asset
(3)
|
1,611
|
|
|
(184
|
)
|
|
—
|
|
|
(184
|
)
|
|
—
|
|
|
427
|
|
|
—
|
|
|
(228
|
)
|
|
—
|
|
|
—
|
|
|
1,626
|
|
|
(263
|
)
|
||||||||||||
All other, at fair value
|
9
|
|
|
(4
|
)
|
|
—
|
|
|
(4
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5
|
|
|
(4
|
)
|
||||||||||||
Total other assets
|
1,620
|
|
|
(188
|
)
|
|
—
|
|
|
(188
|
)
|
|
—
|
|
|
427
|
|
|
—
|
|
|
(228
|
)
|
|
—
|
|
|
—
|
|
|
1,631
|
|
|
(267
|
)
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
|
|
|
Realized and unrealized (gains) losses
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
|
Balance,
January 1, 2014 |
|
Included in
earnings
(1)
|
|
Included in
other
comprehensive
income
(1)
|
|
Total
|
|
Purchases
|
|
Issues
|
|
Sales
|
|
Settlements,
net
|
|
Transfers
into
Level 3
(2)
|
|
Transfers
out of
Level 3
(2)
|
|
Balance,
December 31, 2014 |
|
Unrealized
(gains)
losses
still held
|
||||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Other debt, at fair value
|
$
|
1,528
|
|
|
$
|
(7
|
)
|
|
$
|
—
|
|
|
$
|
(7
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(1,521
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Net derivatives
(4)
|
325
|
|
|
(94
|
)
|
|
—
|
|
|
(94
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
60
|
|
|
—
|
|
|
(281
|
)
|
|
10
|
|
|
(30
|
)
|
|
219
|
Freddie Mac
|
|
Year Ended December 31, 2013
|
||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
Realized and unrealized gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
|
Balance,
January 1,
2013
|
|
Included in
earnings
(1)
|
|
Included in
other
comprehensive
income
(1)
|
|
Total
|
|
Purchases
|
|
Issues
|
|
Sales
|
|
Settlements,
net
|
|
Transfers
into
Level 3
|
|
Transfers
out of
Level 3
|
|
Balance,
December 31,
2013
|
|
Unrealized
gains (losses)
still held
|
||||||||||||||||||||||||
|
(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
(5)
|
14,238
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(14,238
|
)
|
|
—
|
|
|
—
|
|
||||||||||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Guarantee asset
(3)
|
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)
|
|
Included in
other
comprehensive
income
(1)
|
|
Total
|
|
Purchases
|
|
Issues
|
|
Sales
|
|
Settlements,
net
|
|
Transfers
into
Level 3
|
|
Transfers
out of
Level 3
|
|
Balance,
December 31, 2013 |
|
Unrealized
(gains)
losses
still held
|
||||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Other debt, at fair value
|
$
|
2,187
|
|
|
$
|
11
|
|
|
$
|
—
|
|
|
$
|
11
|
|
|
$
|
—
|
|
|
$
|
1,130
|
|
|
$
|
—
|
|
|
$
|
(670
|
)
|
|
$
|
—
|
|
|
$
|
(1,130
|
)
|
|
$
|
1,528
|
|
|
$
|
4
|
|
Net derivatives
(4)
|
47
|
|
|
301
|
|
|
—
|
|
|
301
|
|
|
—
|
|
|
12
|
|
|
—
|
|
|
(35
|
)
|
|
—
|
|
|
—
|
|
|
$
|
325
|
|
|
274
|
|
|
|
|
|
(1)
|
Changes in fair value for available-for-sale 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)
|
Transfers out of Level 3 during the year ended
December 31, 2014
consist primarily of certain mortgage-related securities and certain derivatives due to an increased volume and level of activity in the market and availability of price quotes from dealers and third-party pricing services. Transfers into Level 3 during the year ended
December 31, 2014
consist primarily of certain mortgage-related securities due to a lack of market activity and relevant price quotes from dealers and third-party pricing services.
|
(3)
|
Changes in fair value of the guarantee asset are recorded in other income on our consolidated statements of comprehensive income.
|
(4)
|
Amounts are prior to counterparty netting, cash collateral netting, net trade/settle receivable or payable and net derivative interest receivable or payable.
|
(5)
|
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.
|
|
220
|
Freddie Mac
|
|
December 31,
|
||||||||||||||||||||||||||||||
|
2014
|
|
2013
|
||||||||||||||||||||||||||||
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||
Assets measured at fair value on a non-recurring basis:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Mortgage loans
(1)
|
$
|
—
|
|
|
$
|
80
|
|
|
$
|
8,962
|
|
|
$
|
9,042
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
515
|
|
|
$
|
515
|
|
REO, net
(2)
|
—
|
|
|
—
|
|
|
1,665
|
|
|
1,665
|
|
|
—
|
|
|
—
|
|
|
1,837
|
|
|
1,837
|
|
||||||||
Total assets measured at fair value on a non-recurring basis
|
$
|
—
|
|
|
$
|
80
|
|
|
$
|
10,627
|
|
|
$
|
10,707
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,352
|
|
|
$
|
2,352
|
|
(1)
|
Includes impaired single-family and multifamily mortgage loans that are classified as held-for-investment and have a related valuation allowance based on the fair value of the underlying collateral and held-for-sale multifamily mortgage loans where the fair value is below cost.
|
(2)
|
Represents the fair value 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
$1.7 billion
, less estimated costs to sell of
$109 million
(or approximately
$1.6 billion
) at
December 31, 2014
. 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
.
|
|
221
|
Freddie Mac
|
|
222
|
Freddie Mac
|
|
223
|
Freddie Mac
|
|
224
|
Freddie Mac
|
|
225
|
Freddie Mac
|
|
December 31, 2014
|
||||||||||||||||
|
Total
Fair
Value
|
|
Level 3
Fair
Value
|
|
Predominant
Valuation
Technique(s)
|
|
Unobservable Inputs
|
||||||||||
|
Type
|
|
Range
|
|
Weighted
Average
|
||||||||||||
|
(dollars in millions)
|
|
|
|
|
|
|
|
|
||||||||
Recurring fair value measurements
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Investments in securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Available-for-sale, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage-related securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Freddie Mac
|
|
|
$
|
2,980
|
|
|
Discounted cash flows
|
|
OAS
|
|
(146) - 144 bps
|
|
83 bps
|
|
|||
|
|
|
375
|
|
|
Risk metric
|
|
Effective duration
(1)
|
|
0.18 - 7.54 years
|
|
3.82 years
|
|
||||
|
|
|
143
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$103.2 - $104.4
|
|
$
|
103.8
|
|
|||
|
|
|
733
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total Freddie Mac
|
$
|
39,099
|
|
|
4,231
|
|
|
|
|
|
|
|
|
|
|
||
Fannie Mae
|
|
|
47
|
|
|
Median of external sources
|
|
|
|
|
|
|
|
||||
|
|
|
29
|
|
|
Discounted cash flows
|
|
|
|
|
|
|
|||||
|
|
|
9
|
|
|
Other
|
|
|
|
|
|
|
|
||||
Total Fannie Mae
|
11,313
|
|
|
85
|
|
|
|
|
|
|
|
|
|
||||
Ginnie Mae
|
|
|
4
|
|
|
Discounted cash flows
|
|
|
|
|
|
|
|||||
Total Ginnie Mae
|
199
|
|
|
4
|
|
|
|
|
|
|
|
|
|
||||
CMBS
|
|
|
2,726
|
|
|
Risk Metrics
|
|
Effective duration
(1)
|
|
5.84 - 10.65 years
|
|
9.59 years
|
|
||||
|
|
|
748
|
|
|
Discounted cash flows
|
|
OAS
|
|
181 -766 bps
|
|
421 bps
|
|
||||
Total CMBS
|
21,822
|
|
|
3,474
|
|
|
|
|
|
|
|
|
|
||||
Subprime, option ARM, and Alt-A:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Subprime
|
|
|
18,789
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$71.0 - $76.1
|
|
$
|
73.5
|
|
|||
|
|
|
1,800
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total subprime
|
20,589
|
|
|
20,589
|
|
|
|
|
|
|
|
|
|
||||
Option ARM
|
|
|
5,205
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$65.3 - $70.9
|
|
$
|
67.9
|
|
|||
|
|
|
444
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total option ARM
|
5,649
|
|
|
5,649
|
|
|
|
|
|
|
|
|
|
||||
Alt-A and other
|
|
|
4,116
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$83.0 - $86.2
|
|
$
|
84.5
|
|
|||
|
|
|
911
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total Alt-A and other
|
5,043
|
|
|
5,027
|
|
|
|
|
|
|
|
|
|
||||
Obligations of states and political subdivisions
|
|
|
1,992
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$101.3 - $101.9
|
|
$
|
101.6
|
|
|||
|
|
|
206
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total obligations of states and political subdivisions
|
2,198
|
|
|
2,198
|
|
|
|
|
|
|
|
|
|
||||
Manufactured housing
|
|
|
515
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$89.3 - $92.4
|
|
$
|
91.0
|
|
|||
|
|
|
123
|
|
|
Single external source
|
|
External pricing source
|
|
$89.8 - $89.8
|
|
$
|
89.8
|
|
|||
Total manufactured housing
|
638
|
|
|
638
|
|
|
|
|
|
|
|
|
|
||||
Total available-for-sale mortgage-related securities
|
106,550
|
|
|
41,895
|
|
|
|
|
|
|
|
|
|
||||
Trading, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage-related securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Freddie Mac
|
|
|
478
|
|
|
Discounted cash flows
|
|
OAS
|
|
(219) - 9,748 bps
|
|
169 bps
|
|
||||
|
|
|
320
|
|
|
Risk Metrics
|
|
Effective duration
(1)
|
|
1.78 - 2.30 years
|
|
2.27 years
|
|
||||
|
|
|
129
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total Freddie Mac
|
17,469
|
|
|
927
|
|
|
|
|
|
|
|
|
|
||||
Fannie Mae
|
|
|
207
|
|
|
Discounted cash flows
|
|
OAS
|
|
(173) - 2,027 bps
|
|
204 bps
|
|
||||
|
|
|
25
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total Fannie Mae
|
6,099
|
|
|
232
|
|
|
|
|
|
|
|
|
|
||||
Ginnie Mae
|
16
|
|
|
1
|
|
|
|
|
|
|
|
|
|
||||
Other
|
|
|
3
|
|
|
Median of external sources
|
|
|
|
|
|
|
|||||
|
|
|
|
1
|
|
|
Discounted cash flows
|
|
|
|
|
|
|
||||
Total other
|
171
|
|
|
4
|
|
|
|
|
|
|
|
|
|
||||
Total trading mortgage-related securities
|
23,755
|
|
|
1,164
|
|
|
|
|
|
|
|
|
|
||||
Total investments in securities
|
$
|
130,305
|
|
|
$
|
43,059
|
|
|
|
|
|
|
|
|
|
||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Guarantee asset, at fair value
|
|
|
$
|
1,285
|
|
|
Discounted cash flows
|
|
OAS
|
|
17 - 202 bps
|
|
53 bps
|
|
|||
|
|
|
341
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$10.0 - $21.2
|
|
$
|
16.6
|
|
|||
Total guarantee asset, at fair value
|
$
|
1,626
|
|
|
1,626
|
|
|
|
|
|
|
|
|
|
|||
All other, at fair value
|
|
|
5
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total all other, at fair value
|
5
|
|
|
5
|
|
|
|
|
|
|
|
|
|
||||
Total other assets
|
1,631
|
|
|
1,631
|
|
|
|
|
|
|
|
|
|
||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net derivatives
|
|
|
10
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total net derivatives
|
1,141
|
|
|
10
|
|
|
|
|
|
|
|
|
|
|
226
|
Freddie Mac
|
|
December 31, 2013
|
||||||||||||||||
|
Total
Fair
Value
|
|
Level 3
Fair
Value
|
|
Predominant
Valuation
Technique(s)
|
|
Unobservable Inputs
|
||||||||||
|
Type
|
|
Range
|
|
Weighted
Average
|
||||||||||||
|
(dollars in millions)
|
|
|
|
|
|
|
|
|
||||||||
Recurring fair value measurements
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Investments in securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Available-for-sale, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage-related securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Freddie Mac
|
|
|
$
|
1,547
|
|
|
Risk metric
|
|
Effective duration
(1)
|
|
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
|
|
|
|
|
|
|
|
|
|
|
|
||||||
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
|
|
|
|
|
|
|
|
|
|
(1)
|
Effective duration is used as a proxy to represent the aggregate impact of key rate durations.
|
|
227
|
Freddie Mac
|
|
December 31, 2014
|
||||||||||||||
|
Total
Fair
Value
|
|
Level 3
Fair
Value
|
|
Predominant
Valuation
Technique(s)
|
|
Unobservable Inputs
|
||||||||
|
Type
|
|
Range
|
|
Weighted
Average
|
||||||||||
|
(dollars in millions)
|
|
|
|
|
|
|
|
|
||||||
Non-recurring fair value measurements
|
|
|
|
|
|
|
|
|
|
|
|
||||
Mortgage loans
|
$
|
8,962
|
|
|
$
|
8,962
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Internal model
|
|
Historical sales
proceeds |
|
$3,000 - $896,519
|
|
$162,556
|
||||
|
|
|
|
|
Internal model
|
|
Housing sales index
|
|
38 - 294 bps
|
|
82 bps
|
||||
|
|
|
|
|
|
Third-party appraisal
|
|
Property value
|
|
$11 million - $44 million
|
|
$31 million
|
|||
|
|
|
|
|
Income capitalization
(1)
|
|
Capitalization rates
|
|
6%- 9%
|
|
7%
|
||||
REO, net
(2)
|
$
|
1,665
|
|
|
$
|
1,665
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Internal model
|
|
Historical sales
proceeds
|
|
$3,008 - $896,519
|
|
$154,165
|
||||
|
|
|
|
|
Internal model
|
|
Housing sales index
|
|
38 - 294 bps
|
|
82 bps
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
December 31, 2013
|
||||||||||||||
|
Total
Fair
Value
|
|
Level 3
Fair
Value
|
|
Predominant
Valuation
Technique(s)
|
|
Unobservable Inputs
|
||||||||
|
Type
|
|
Range
|
|
Weighted
Average
|
||||||||||
|
(dollars in millions)
|
|
|
|
|
|
|
|
|
||||||
Non-recurring fair value measurements
|
|
|
|
|
|
|
|
|
|
|
|
||||
Mortgage loans
|
$
|
515
|
|
|
$
|
515
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income capitalization
(1)
|
|
Capitalization rates
|
|
6% - 9%
|
|
7%
|
|||
|
|
|
|
|
|
Third-party appraisal
|
|
Property value
|
|
$4 million - $44 million
|
|
$27 million
|
|||
REO, net
(2)
|
$
|
1,837
|
|
|
$
|
1,837
|
|
|
Internal model
|
|
Historical average sales
proceeds per property
by state
|
|
$17,500- $318,391
|
|
$105,508
|
(1)
|
The predominant valuation technique used for multifamily mortgage loans. 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.
|
(2)
|
The national average REO disposition severity ratio for our REO properties was
34.7%
and
36.5%
for the years ended December 31, 2014 and 2013, respectively.
|
|
228
|
Freddie Mac
|
|
December 31, 2014
|
||||||||||||||||||||||
|
|
|
Fair Value
|
||||||||||||||||||||
|
GAAP Carrying Amount
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Netting Adjustments
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Financial Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Cash and cash equivalents
|
$
|
10,928
|
|
|
$
|
10,928
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
10,928
|
|
Restricted cash and cash equivalents
|
8,535
|
|
|
8,535
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8,535
|
|
||||||
Federal funds sold and securities purchased under agreements to resell
|
51,903
|
|
|
—
|
|
|
51,903
|
|
|
—
|
|
|
—
|
|
|
51,903
|
|
||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Available-for-sale, at fair value
|
106,550
|
|
|
—
|
|
|
64,655
|
|
|
41,895
|
|
|
—
|
|
|
106,550
|
|
||||||
Trading, at fair value
|
30,437
|
|
|
6,682
|
|
|
22,591
|
|
|
1,164
|
|
|
—
|
|
|
30,437
|
|
||||||
Total investments in securities
|
136,987
|
|
|
6,682
|
|
|
87,246
|
|
|
43,059
|
|
|
—
|
|
|
136,987
|
|
||||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Mortgage loans held by consolidated trusts
|
1,558,094
|
|
|
—
|
|
|
1,387,412
|
|
|
197,896
|
|
|
—
|
|
|
1,585,308
|
|
||||||
Unsecuritized mortgage loans
|
142,486
|
|
|
—
|
|
|
22,305
|
|
|
119,157
|
|
|
—
|
|
|
141,462
|
|
||||||
Total mortgage loans
|
1,700,580
|
|
|
—
|
|
|
1,409,717
|
|
|
317,053
|
|
|
—
|
|
|
1,726,770
|
|
||||||
Derivative assets, net
|
822
|
|
|
5
|
|
|
9,912
|
|
|
27
|
|
|
(9,122
|
)
|
|
822
|
|
||||||
Guarantee asset
|
1,626
|
|
|
—
|
|
|
—
|
|
|
1,837
|
|
|
—
|
|
|
1,837
|
|
||||||
Total financial assets
|
$
|
1,911,381
|
|
|
$
|
26,150
|
|
|
$
|
1,558,778
|
|
|
$
|
361,976
|
|
|
$
|
(9,122
|
)
|
|
$
|
1,937,782
|
|
Financial Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Debt, net:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Debt securities of consolidated trusts held by third parties
|
$
|
1,479,473
|
|
|
$
|
—
|
|
|
$
|
1,521,508
|
|
|
$
|
1,364
|
|
|
$
|
—
|
|
|
$
|
1,522,872
|
|
Other debt
|
450,069
|
|
|
—
|
|
|
444,748
|
|
|
13,371
|
|
|
—
|
|
|
458,119
|
|
||||||
Total debt, net
|
1,929,542
|
|
|
—
|
|
|
1,966,256
|
|
|
14,735
|
|
|
—
|
|
|
1,980,991
|
|
||||||
Derivative liabilities, net
|
1,963
|
|
|
28
|
|
|
13,495
|
|
|
37
|
|
|
(11,597
|
)
|
|
1,963
|
|
||||||
Guarantee obligation
|
1,623
|
|
|
—
|
|
|
—
|
|
|
3,127
|
|
|
—
|
|
|
3,127
|
|
||||||
Total financial liabilities
|
$
|
1,933,128
|
|
|
$
|
28
|
|
|
$
|
1,979,751
|
|
|
$
|
17,899
|
|
|
$
|
(11,597
|
)
|
|
$
|
1,986,081
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2013
|
||||||||||||||||||||||
|
|
|
Fair Value
|
||||||||||||||||||||
|
GAAP Carrying Amount
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Netting Adjustments
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Financial Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Cash and cash equivalents
(1)
|
$
|
11,281
|
|
|
$
|
11,281
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
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
|
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
|
|
|
$
|
30,181
|
|
|
$
|
1,443,690
|
|
|
$
|
426,443
|
|
|
$
|
(13,168
|
)
|
|
$
|
1,887,146
|
|
Financial Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Debt, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Debt securities of consolidated trusts held by third parties
(2)
|
$
|
1,433,984
|
|
|
$
|
—
|
|
|
$
|
1,434,208
|
|
|
$
|
2,690
|
|
|
$
|
—
|
|
|
$
|
1,436,898
|
|
Other debt
|
506,767
|
|
|
—
|
|
|
499,756
|
|
|
13,089
|
|
|
—
|
|
|
512,845
|
|
||||||
Total debt, net
|
1,940,751
|
|
|
—
|
|
|
1,933,964
|
|
|
15,779
|
|
|
—
|
|
|
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
|
|
|
$
|
—
|
|
|
$
|
1,947,255
|
|
|
$
|
19,182
|
|
|
$
|
(13,447
|
)
|
|
$
|
1,952,990
|
|
(1)
|
Includes a reclassification of
$3.9 billion
to the classification of previously disclosed amounts related to cash and cash equivalents between level 1 and level 2. This reclassification reflects a change in methodology and is not material to the financial statements.
|
(2)
|
Includes a reclassification of
$1.7 billion
to the classification of previously disclosed amounts related to debt securities of consolidated trusts held by third parties between level 2 and level 3. This reclassification reflects a correction of an error and is not material to the financial statements.
|
|
229
|
Freddie Mac
|
|
230
|
Freddie Mac
|
|
231
|
Freddie Mac
|
|
232
|
Freddie Mac
|
|
December 31,
|
||||||||||||||
|
2014
|
|
2013
|
||||||||||||
|
Multifamily
Held-For-Sale
Mortgage Loans
|
|
Other Debt -
Long Term
|
|
Multifamily
Held-For-Sale
Mortgage Loans
|
|
Other Debt -
Long Term
|
||||||||
|
(in millions)
|
||||||||||||||
Fair value
|
$
|
12,130
|
|
|
$
|
5,820
|
|
|
$
|
8,727
|
|
|
$
|
2,683
|
|
Unpaid principal balance
|
11,872
|
|
|
5,896
|
|
|
8,721
|
|
|
2,635
|
|
||||
Difference
|
$
|
258
|
|
|
$
|
(76
|
)
|
|
$
|
6
|
|
|
$
|
48
|
|
|
233
|
Freddie Mac
|
|
234
|
Freddie Mac
|
|
235
|
Freddie Mac
|
|
236
|
Freddie Mac
|
|
December 31, 2014
|
|
December 31, 2013
|
||||
|
(in millions)
|
||||||
GAAP net worth
|
$
|
2,651
|
|
|
$
|
12,835
|
|
Core capital (deficit)
(1)(2)
|
$
|
(71,415
|
)
|
|
$
|
(59,495
|
)
|
Less: Minimum capital requirement
(1)
|
20,090
|
|
|
21,404
|
|
||
Minimum capital surplus (deficit)
(1)
|
$
|
(91,505
|
)
|
|
$
|
(80,899
|
)
|
(1)
|
Core capital and minimum capital figures for
December 31, 2014
are estimates. FHFA is the authoritative source for our regulatory capital.
|
(2)
|
Core capital excludes certain components of GAAP total equity (i.e., AOCI and the liquidation preference of the senior preferred stock) as these items do not meet the statutory definition of core capital.
|
|
Year Ended December 31,
|
||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||
|
(in millions)
|
||||||||||
Other income (loss):
|
|
|
|
|
|
||||||
Non-agency mortgage-related securities settlements
(1)
|
$
|
6,084
|
|
|
$
|
5,501
|
|
|
$
|
—
|
|
Gains (losses) on mortgage loans
|
731
|
|
|
(336
|
)
|
|
1,010
|
|
|||
Other
|
1,229
|
|
|
1,485
|
|
|
1,180
|
|
|||
Total other income (loss)
|
$
|
8,044
|
|
|
$
|
6,650
|
|
|
$
|
2,190
|
|
(1)
|
Settlement agreements primarily related to lawsuits regarding our investments in certain non-agency mortgage-related securities is a significant component of other income in 2014 and 2013. For more information, see “NOTE 15: CONCENTRATION OF CREDIT AND OTHER RISKS — Non-Agency Mortgage-Related Security Issuers.”
|
|
237
|
Freddie Mac
|
|
December 31, 2014
|
|
December 31, 2013
|
||||
|
(in millions)
|
||||||
Other assets:
|
|
|
|
||||
Accounts and other receivables
(1)
|
$
|
3,899
|
|
|
$
|
4,367
|
|
Current income tax receivable
|
1,048
|
|
|
1,316
|
|
||
Guarantee asset
|
1,626
|
|
|
1,611
|
|
||
All other
|
1,121
|
|
|
1,245
|
|
||
Total other assets
|
$
|
7,694
|
|
|
$
|
8,539
|
|
Other liabilities:
|
|
|
|
||||
Servicer liabilities
|
$
|
1,847
|
|
|
$
|
2,277
|
|
Guarantee obligation
|
1,623
|
|
|
1,522
|
|
||
Accounts payable and accrued expenses
|
803
|
|
|
886
|
|
||
All other
|
785
|
|
|
807
|
|
||
Total other liabilities
|
$
|
5,058
|
|
|
$
|
5,492
|
|
(1)
|
Primarily consists of servicer receivables and other non-interest receivables.
|
|
238
|
Freddie Mac
|
|
2014
|
||||||||||||||||||
|
1Q
|
|
2Q
|
|
3Q
|
|
4Q
|
|
Full-Year
|
||||||||||
|
(in millions, except share-related amounts)
|
||||||||||||||||||
Net interest income
|
$
|
3,510
|
|
|
$
|
3,503
|
|
|
$
|
3,663
|
|
|
$
|
3,587
|
|
|
$
|
14,263
|
|
Benefit (provision) for credit losses
|
(85
|
)
|
|
618
|
|
|
(574
|
)
|
|
(17
|
)
|
|
(58
|
)
|
|||||
Non-interest income (loss):
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Derivative gains (losses)
|
(2,351
|
)
|
|
(1,926
|
)
|
|
(617
|
)
|
|
(3,397
|
)
|
|
(8,291
|
)
|
|||||
Net impairments of available-for-sale securities recognized in earnings
|
(364
|
)
|
|
(157
|
)
|
|
(166
|
)
|
|
(251
|
)
|
|
(938
|
)
|
|||||
Other non-interest income (loss)
|
5,826
|
|
|
677
|
|
|
1,547
|
|
|
1,066
|
|
|
9,116
|
|
|||||
Non-interest income (loss)
|
3,111
|
|
|
(1,406
|
)
|
|
764
|
|
|
(2,582
|
)
|
|
(113
|
)
|
|||||
Non-interest expense:
|
|
|
|
|
|
|
|
|
|
||||||||||
Administrative expense
|
(468
|
)
|
|
(453
|
)
|
|
(472
|
)
|
|
(488
|
)
|
|
(1,881
|
)
|
|||||
REO operations income (expense)
|
(59
|
)
|
|
50
|
|
|
(103
|
)
|
|
(84
|
)
|
|
(196
|
)
|
|||||
Temporary Payroll Tax Cut Continuation Act of 2011 expense
|
(178
|
)
|
|
(187
|
)
|
|
(198
|
)
|
|
(212
|
)
|
|
(775
|
)
|
|||||
Other non-interest expense
|
(66
|
)
|
|
(90
|
)
|
|
(43
|
)
|
|
(39
|
)
|
|
(238
|
)
|
|||||
Non-interest expense
|
(771
|
)
|
|
(680
|
)
|
|
(816
|
)
|
|
(823
|
)
|
|
(3,090
|
)
|
|||||
Income tax (expense) benefit
|
(1,745
|
)
|
|
(673
|
)
|
|
(956
|
)
|
|
62
|
|
|
(3,312
|
)
|
|||||
Net income
|
$
|
4,020
|
|
|
$
|
1,362
|
|
|
$
|
2,081
|
|
|
$
|
227
|
|
|
$
|
7,690
|
|
Total other comprehensive income (loss), net of taxes
|
$
|
479
|
|
|
$
|
528
|
|
|
$
|
705
|
|
|
$
|
24
|
|
|
$
|
1,736
|
|
Comprehensive income
|
$
|
4,499
|
|
|
$
|
1,890
|
|
|
$
|
2,786
|
|
|
$
|
251
|
|
|
$
|
9,426
|
|
Income (loss) attributable to common stockholders
|
$
|
(479
|
)
|
|
$
|
(528
|
)
|
|
$
|
(705
|
)
|
|
$
|
(624
|
)
|
|
$
|
(2,336
|
)
|
Income (loss) per common share – basic and diluted
(1)
|
$
|
(0.15
|
)
|
|
$
|
(0.16
|
)
|
|
$
|
(0.22
|
)
|
|
$
|
(0.19
|
)
|
|
$
|
(0.72
|
)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
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
|
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
|
|
|||||
Temporary Payroll Tax Cut Continuation Act of 2011 expense
|
(93
|
)
|
|
(123
|
)
|
|
(150
|
)
|
|
(167
|
)
|
|
(533
|
)
|
|||||
Other non-interest expense
|
(93
|
)
|
|
(41
|
)
|
|
(51
|
)
|
|
294
|
|
|
109
|
|
|||||
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
|
$
|
(2,390
|
)
|
|
$
|
631
|
|
|
$
|
50
|
|
|
$
|
(1,822
|
)
|
|
$
|
(3,531
|
)
|
Income (loss) per common share – basic and diluted
(1)
|
$
|
(0.74
|
)
|
|
$
|
0.19
|
|
|
$
|
0.02
|
|
|
$
|
(0.56
|
)
|
|
$
|
(1.09
|
)
|
(1)
|
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.
|
|
239
|
Freddie Mac
|
|
240
|
Freddie Mac
|
•
|
FHFA has established the Division of Conservatorship, 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 with us regarding issues associated with the information contained in those filings. Prior to filing this Form 10-K, FHFA provided us with a written acknowledgment 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 attend meetings frequently 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.
|
|
241
|
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
|
|
|
1,075,000
|
|
|
675,000
|
|
|
2,250,000
|
|
•
|
Retirement Eligibility
— Retirement will be defined as voluntarily terminating employment after attaining or exceeding 62 years of age, regardless of length of service, or attaining or exceeding 55 years of age with 10 or more years of service. Previously, Covered Officers became retirement eligible only upon attaining age 65, without regard to their length of service.
|
|
242
|
Freddie Mac
|
•
|
Raphael W. Bostic joined the Board in January 2015. He is 48 years old. He is a leading real estate economist with extensive public policy, academic and research expertise.
|
•
|
Carolyn H. Byrd joined the Board in December 2008. She is 66 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.
|
|
243
|
Freddie Mac
|
•
|
Thomas M. Goldstein joined the Board in October 2014. He is 55 years old. He is an executive with extensive financial services, insurance, mortgage banking and risk management experience.
|
•
|
Richard C. Hartnack joined the Board in May 2013. He is 69 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.
|
•
|
Steven W. Kohlhagen joined the Board in February 2013. He is 67 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.
|
|
244
|
Freddie Mac
|
•
|
Donald H. Layton joined the Board in May 2012, upon commencement of his employment as Chief Executive Officer. He is 64 years old. He is an experienced financial institution executive and leader of finance and investment organizations. Mr. Layton’s experience enables him to provide valuable business and operating perspectives to the Board.
|
•
|
Christopher S. Lynch joined the Board in December 2008. He is 57 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.
|
•
|
Sara Mathew joined the Board in December 2013. She is 59 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 65 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.
|
|
245
|
Freddie Mac
|
•
|
Nicolas P. Retsinas joined the Board in June 2007. He is 68 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 67 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.
|
•
|
Anthony A. Williams joined the Board in December 2008. He is 63 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.
|
|
246
|
Freddie Mac
|
•
|
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;
|
•
|
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; and
|
•
|
establishing the annual operating budget.
|
|
247
|
Freddie Mac
|
|
Director
|
Audit
|
|
Compensation
|
|
Executive
|
|
Nominating and
Governance
|
|
Risk
|
|
R. Bostic
(1)
|
|
|
|
|
|
|
|
|
|
|
C. Byrd
|
C
|
|
|
|
|
|
|
|
|
|
T. Goldstein
|
|
|
|
|
|
|
|
|
|
|
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
|
|
|
|
|
|
|
|
|
|
(1)
|
Mr. Bostic has been appointed to serve as a member of the Compensation and Risk committees, effective March 1, 2015.
|
Name
|
Age
|
|
Year of
Affiliation
|
|
Position
|
Donald H. Layton
|
64
|
|
2012
|
|
Chief Executive Officer
|
James G. Mackey
|
47
|
|
2013
|
|
Executive Vice President — Chief Financial Officer
|
David M. Brickman
|
49
|
|
1999
|
|
Executive Vice President — Multifamily
|
Michael T. Hutchins
|
59
|
|
2013
|
|
Executive Vice President — Investments and Capital Markets
|
David B. Lowman
|
57
|
|
2013
|
|
Executive Vice President —Single-Family Business
|
Robert Lux
|
51
|
|
2010
|
|
Executive Vice President — Chief Information Officer
|
William H. McDavid
|
68
|
|
2012
|
|
Executive Vice President — General Counsel & Corporate Secretary
|
Jerry Weiss
|
56
|
|
2003
|
|
Executive Vice President — Chief Administrative Officer
|
Timothy F. Kenny
|
53
|
|
2007
|
|
Senior Vice President — General Auditor
|
Robert D. Mailloux
|
47
|
|
2002
|
|
Senior Vice President — Corporate Controller & Principal Accounting Officer
|
Dwight P. Robinson
|
61
|
|
1998
|
|
Senior Vice President — Human Resources, Diversity & Inclusion and Chief Diversity Officer
|
Carol A. Wambeke
|
55
|
|
1997
|
|
Senior Vice President — Chief Compliance Officer
|
Mark A. DeLong
|
61
|
|
2009
|
|
Interim Co-Chief Enterprise Risk Officer and Senior Vice President — Enterprise Operational Risk Management
|
Jorge A. Reis
|
50
|
|
2010
|
|
Interim Co-Chief Enterprise Risk Officer and Senior Vice President — Enterprise Chief Risk Officer — Investments and Capital Markets
|
|
248
|
Freddie Mac
|
|
249
|
Freddie Mac
|
|
250
|
Freddie Mac
|
•
|
Donald H. Layton, Chief Executive Officer
|
•
|
James G. Mackey, 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
|
•
|
The powers of FHFA as our Conservator include 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.”
|
•
|
FHFA has directed us to obtain its approval before we: (i) enter into new compensation arrangements or increase 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; or (ii) establish or modify performance management processes for such officers.
|
•
|
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.
|
|
251
|
Freddie Mac
|
•
|
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;
|
•
|
No golden parachute payments or other change in control provisions in any of our compensation or benefit programs;
|
•
|
Evaluation of company performance against multiple measures, including non-financial measures;
|
•
|
Annual compensation risk assessment and best practices review;
|
•
|
Engagement of an independent compensation consultant by the Board's Compensation Committee; and
|
•
|
No hedging or pledging of company securities.
|
Element of
Compensation
|
Description
|
Primary
Compensation Objective
|
Key Features
|
Base Salary
|
Earned and paid bi-weekly
|
To provide a fixed level of compensation to each NEO commensurate with 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 bi-weekly. The amount earned each quarter is paid on the last pay date 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 Corporate Scorecard goals and individual performance.
The objectives against which 2014 corporate performance was measured are described in “
Determination of Actual 2014 Compensation
—
At-Risk Deferred Salary Based on Conservatorship Scorecard Performance
” and “—
At-Risk Deferred Salary Based on Corporate Scorecard Goals and Individual Performance.”
|
|
252
|
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.
|
|
253
|
Freddie Mac
|
|
2014 Target TDC
|
||||||||||||||||
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
|
|
|
0%
|
||||
David B. Lowman
|
500,000
|
|
|
1,600,000
|
|
|
900,000
|
|
|
3,000,000
|
|
|
0%
|
||||
William H. McDavid
|
500,000
|
|
|
1,320,000
|
|
|
780,000
|
|
|
2,600,000
|
|
|
0%
|
||||
Jerry Weiss
|
500,000
|
|
|
900,000
|
|
|
600,000
|
|
|
2,000,000
|
|
|
1%
|
•
|
2014 was a year of review and reevaluation of priorities, as well as a year of transition for both FHFA and Freddie Mac, in part because of new leadership at FHFA, and as a result, the 2014 Conservatorship Scorecard was not finalized until May; and,
|
•
|
Freddie Mac met all the goals specified in the Maintain, Reduce and Build components of the Scorecard, and exceeded the goals in the areas of risk transfers and retained portfolio sales.
|
•
|
The extent to which the initiatives were undertaken in a safe and sound manner;
|
•
|
The quality, thoroughness, creativity, effectiveness, and timeliness of our work products;
|
•
|
Cooperation and collaboration with FHFA, Fannie Mae, CSS, and the industry;
|
•
|
The extent to which the outcomes of our activities supported a competitive and resilient secondary mortgage market to support homeowners and renters; and
|
•
|
The quality of the input provided by us to FHFA for periodic progress reports to the public.
|
|
254
|
Freddie Mac
|
|
255
|
Freddie Mac
|
|
|
•
|
Publish an industry announcement of the UCD dataset, as well as a timeline for the collection of the data.
|
|
|||
|
•
|
Uniform Loan Application Dataset (ULAD):
|
The goals were achieved
|
||||
|
|
•
|
Reassess loan application data needs;
|
|
|||
|
|
•
|
Update the physical format of the URLA; and
|
|
|||
|
|
•
|
Demonstrate progress towards creating a draft ULAD specification.
|
|
|
256
|
Freddie Mac
|
Corporate Scorecard Goal
|
Assessment of Performance
|
||||
People
|
All elements of this goal were achieved or exceeded. We worked to build the right culture, as indicated by significantly exceeding the desired level of improvement in employee survey indicators. Our high-performer turnover was low and we took steps to improve leadership diversity by improving diverse talent pipelines and external candidate pools.
|
||||
|
Maximize the contributions of our people
|
||||
|
|
|
|||
Our Customers
|
All elements of this goal were either achieved or exceeded, including maintaining or improving the customer satisfaction levels for the single-family and multifamily business lines. We also exceeded our desired single-family GSE market share, enhanced customer service and expanded customer communications with select large multifamily lenders.
|
||||
|
Strive to achieve industry-leading customer experience levels
|
||||
|
|
||||
The Mission
|
We believe that we did not achieve the benchmark level for two of the 2014 single-family affordable housing goals - Very Low Income Purchases and Low Income Purchases - despite employing a number of tactics intended to increase qualifying purchases. We believe, however, that we did achieve the remaining 2014 single-family affordable housing goals, and the 2014 multifamily affordable housing goal. We also exceeded a goal that measures loan modifications and repayment plans completed as a percentage of seriously delinquent loans.
|
||||
|
Help people own, rent and stay in their homes
|
||||
|
|
|
|||
Financial Performance
|
Certain elements of this goal, including earnings on New single-family book mortgages, liquid assets as a percent of the retained portfolio and reduced core operating expenses, fell just short of the desired level of achievement. While we have reduced operating expenses, the amount of reduction was less than planned due to higher than anticipated technology investments. We significantly exceeded the other elements of the goal related to the volume of retained portfolio agency structuring and non-agency sales, the amount of eligible single-family mortgages subject to risk transfer, maintaining multifamily profitability and actively managing the retained portfolio.
|
||||
|
Improve our efficiency and core financial performance
|
||||
|
|
|
|||
Risk Management
|
We achieved or exceeded all elements of this goal, which related primarily to making informed risk-reward decisions. Also, as part of managing the control environment, we continued to reduce the total number of open/active issues.
|
||||
|
Make risk management a competitive advantage
|
||||
|
|
|
|||
Technology & Infrastructure
|
We achieved all elements of this goal by:
|
||||
|
Utilize technology and infrastructure to prepare for a fully competitive market
|
|
•
|
Deploying a new out-of-region disaster recovery facility;
|
|
|
|
•
|
Implementing five critical, customer-facing information technology applications during the year;
|
||
|
|
|
|
|
|
|
|
|
|
•
|
Strengthening our information security; and
|
|
|
|
|
•
|
Improving our facilities utilization by moving out of a leased building and staffing certain critical positions outside of our home region.
|
Execution
|
We achieved all elements of this goal by delivering the vast majority of our key initiatives on schedule and on budget, significantly decreasing the number of operational events and reducing both redundant controls and the frequency with which certain controls are executed to enhance efficiency without increasing our risk profile.
|
||||
|
Do everything better, faster, and more cost effectively through superior execution
|
||||
|
|
257
|
Freddie Mac
|
|
2014 Actual Deferred Salary
|
|
||||||||||||||||||||
|
|
|
At-Risk
|
|
Total Actual Deferred
Salary
|
|
% of Target
|
|
||||||||||||||
Named Executive Officer
|
Fixed
|
|
Conservatorship Scorecard
|
|
% of Target
|
|
Corporate Scorecard/ Individual
|
|
% of Target
|
|
|
|||||||||||
Mr. Mackey
|
$
|
1,600,000
|
|
|
$
|
450,000
|
|
|
100%
|
|
$
|
450,000
|
|
|
100%
|
|
$
|
2,500,000
|
|
|
100%
|
|
Mr. Lowman
|
1,600,000
|
|
|
450,000
|
|
|
100%
|
|
450,000
|
|
|
100%
|
|
2,500,000
|
|
|
100%
|
|
||||
Mr. McDavid
|
1,320,000
|
|
|
390,000
|
|
|
100%
|
|
390,000
|
|
|
100%
|
|
2,100,000
|
|
|
100%
|
|
||||
Mr. Weiss
|
900,000
|
|
|
300,000
|
|
|
100%
|
|
300,000
|
|
|
100%
|
|
1,500,000
|
|
|
100%
|
|
|
258
|
Freddie Mac
|
|
259
|
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.
|
◦
|
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 Misconduct
- If, as a result of misconduct, we are required to prepare an accounting restatement due to material non-compliance with financial reporting requirements, the CEO and CFO are required to reimburse us for amounts determined in accordance with Section 304.
|
|
260
|
Freddie Mac
|
|
261
|
Freddie Mac
|
Anthony A. Williams, Chairman
|
Thomas M. Goldstein
|
Steven W. Kohlhagen
|
Christopher S. Lynch
|
Sara Mathew
|
Saiyid T. Naqvi
|
•
|
the mix of fixed and variable compensation;
|
•
|
eligibility for participation in compensation programs;
|
•
|
identification and evaluation of changes to Freddie Mac’s compensation plans;
|
•
|
the process for establishing performance objectives and for evaluating performance against those objectives;
|
•
|
the participation of our enterprise risk management team in strategic business planning and discussion to help ensure that management develops business objectives that are aligned with the company’s risk appetite; and
|
•
|
the involvement of the Compensation Committee and FHFA in the compensation process.
|
|
262
|
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
|
2014
|
$
|
600,000
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
60,586
|
|
$
|
660,586
|
|
Chief Executive Officer
|
2013
|
600,000
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
23,827
|
|
623,827
|
|
||||||||
|
2012
|
368,750
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
368,750
|
|
||||||||
James G. Mackey
|
2014
|
500,000
|
|
1,600,000
|
|
450,000
|
|
900,585
|
|
—
|
|
—
|
|
21,099
|
|
3,471,684
|
|
||||||||
EVP — Chief Financial Officer
|
2013
|
70,881
|
|
230,303
|
|
510,000
|
|
127,602
|
|
—
|
|
—
|
|
—
|
|
938,786
|
|
||||||||
David B. Lowman
|
2014
|
500,000
|
|
1,600,000
|
|
—
|
|
900,585
|
|
—
|
|
—
|
|
65,045
|
|
3,065,630
|
|
||||||||
EVP — Single-Family Business
|
2013
|
329,502
|
|
1,048,485
|
|
150,000
|
|
580,926
|
|
—
|
|
—
|
|
—
|
|
2,108,913
|
|
||||||||
William H. McDavid
|
2014
|
500,000
|
|
1,320,000
|
|
—
|
|
780,507
|
|
—
|
|
—
|
|
110,168
|
|
2,710,675
|
|
||||||||
EVP — General Counsel and Corporate Secretary
|
2013
|
500,000
|
|
1,320,000
|
|
—
|
|
768,300
|
|
—
|
|
—
|
|
29,713
|
|
2,618,013
|
|
||||||||
Jerry Weiss
|
2014
|
500,000
|
|
900,000
|
|
—
|
|
600,390
|
|
—
|
|
—
|
|
174,203
|
|
2,174,593
|
|
||||||||
EVP — Chief Administrative Officer
|
2013
|
495,000
|
|
891,000
|
|
—
|
|
570,240
|
|
—
|
|
26,394
|
|
84,015
|
|
2,066,649
|
|
||||||||
|
2012
|
495,000
|
|
891,000
|
|
—
|
|
579,150
|
|
348,333
|
|
218,711
|
|
94,584
|
|
2,626,778
|
|
(1)
|
The amounts shown reflect Base Salary under the executive compensation program in effect for the applicable year as described in “Compensation Discussion and Analysis — Executive Management Compensation Program.”
|
(2)
|
The amounts shown reflect the Fixed Deferred Salary earned under the terms of the executive compensation program in effect for the applicable year. 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. Interest on Fixed Deferred Salary earned during 2014 is included in All Other Compensation.
|
(3)
|
The amounts shown reflect cash sign-on payments made to Messrs. Mackey and Lowman in connection with their hiring in 2013. See “Compensation Discussion and Analysis — Written Agreements Relating to Our NEOs' Employment” for additional information.
|
(4)
|
The 2014 amounts reflect At-Risk Deferred Salary earned during 2014 and interest on that At-Risk Deferred Salary. The interest rate for At-Risk Deferred Salary earned during 2014 was 0.065%, equal to 50% of the one-year Treasury Bill rate as of December 31, 2013. At-Risk Deferred Salary earned during each calendar quarter will be paid on the last pay date of the corresponding quarter in 2015. See “Compensation Discussion and Analysis — Executive Management Compensation Program — Performance Measures for the Performance-Based Elements of Compensation.” The 2013 amounts reflect At-Risk Deferred Salary earned during each calendar quarter in 2013 and paid on the last pay date of the corresponding quarter in 2014. The 2012 amounts reflect (i) At-Risk Deferred Salary earned during each calendar quarter in 2012 and paid on the last business day of the corresponding quarter in 2013, and (ii) the portion of the 2011 Target Opportunity that was earned in 2012 and paid in February 2013.
|
(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, 2014, 2013, and 2012, respectively. The amounts reported do not include values associated with retiree medical benefits, which are generally available on the same terms to all employees.
|
(6)
|
Amounts reflect (i) contributions we made to our tax-qualified Thrift/401(k) Savings Plan and earned for plan year 2014; (ii) accruals we made pursuant to the Thrift/401(k) SERP Benefit and earned for plan year 2014; (iii) contributions that will be made to our Transitional Plan in 2015 for plan year 2014; (iv) SERP II accruals earned for plan year 2014; (v) interest on Fixed Deferred Salary earned during 2014; and (vi) perquisites. The amounts for 2014 are as follows:
|
|
Thrift/401(k)
Savings Plan
Contributions
|
|
Thrift/401(k)
SERP Benefit
Accruals
|
|
Transitional Plan Contributions
|
|
SERP II Accruals
|
|
Interest on Fixed Deferred Salary
|
|
Perquisites
|
||||||||||||
Mr. Layton
|
$
|
28,475
|
|
|
$
|
32,111
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Mr. Mackey
|
6,500
|
|
|
13,559
|
|
|
—
|
|
|
—
|
|
|
1,040
|
|
|
—
|
|
||||||
Mr. Lowman
|
11,730
|
|
|
52,275
|
|
|
—
|
|
|
—
|
|
|
1,040
|
|
|
—
|
|
||||||
Mr. McDavid
|
28,475
|
|
|
80,835
|
|
|
—
|
|
|
—
|
|
|
858
|
|
|
—
|
|
||||||
Mr. Weiss
|
21,975
|
|
|
62,251
|
|
|
18,900
|
|
|
70,492
|
|
|
585
|
|
|
—
|
|
|
263
|
Freddie Mac
|
|
|
|
|
Estimated Future Payouts Under
Non-Equity Incentive Plan Awards
(1)
|
|||||
Name
|
|
At-Risk Deferred Salary Award
|
|
Threshold
|
|
Target/Maximum
|
|||
Mr. Layton
(2)
|
|
Conservatorship Scorecard
|
|
$ —
|
|
|
$
|
—
|
|
|
|
Corporate Scorecard/Individual
|
|
—
|
|
|
—
|
|
|
|
|
Total
|
|
—
|
|
|
—
|
|
|
Mr. Mackey
|
|
Conservatorship Scorecard
|
|
—
|
|
|
450,000
|
|
|
|
|
Corporate Scorecard/Individual
|
|
—
|
|
|
450,000
|
|
|
|
|
Total
|
|
—
|
|
|
900,000
|
|
|
Mr. Lowman
|
|
Conservatorship Scorecard
|
|
—
|
|
|
450,000
|
|
|
|
|
Corporate Scorecard/Individual
|
|
—
|
|
|
450,000
|
|
|
|
|
Total
|
|
—
|
|
|
900,000
|
|
|
Mr. McDavid
|
|
Conservatorship Scorecard
|
|
—
|
|
|
390,000
|
|
|
|
|
Corporate Scorecard/Individual
|
|
—
|
|
|
390,000
|
|
|
|
|
Total
|
|
—
|
|
|
780,000
|
|
|
Mr. Weiss
|
|
Conservatorship Scorecard
|
|
—
|
|
|
300,000
|
|
|
|
|
Corporate Scorecard/Individual
|
|
—
|
|
|
300,000
|
|
|
|
|
Total
|
|
—
|
|
|
600,000
|
|
(1)
|
The amounts reported reflect At-Risk Deferred Salary granted in 2014 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 Corporate Scorecard goals. The amount of At-Risk Deferred Salary actually earned can range from 0% of target (reported in the Threshold column) 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 “Summary Compensation Table — 2014.”
|
(2)
|
Mr. Layton is not eligible to receive Deferred Salary.
|
|
264
|
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. Lowman
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
Mr. McDavid
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
Mr. Weiss
|
5/6/2005
|
|
|
5,640
|
|
|
—
|
|
|
62.69
|
|
|
5/5/2015
|
|
|
|
6/5/2006
|
|
|
5,980
|
|
|
—
|
|
|
60.45
|
|
|
6/4/2016
|
|
(1)
|
Consistent with the terms of our 2004 Employee Plan, the option exercise price was set at a price equal to the fair market value of our common stock on the grant date.
|
(2)
|
Amounts reported in this table represent the unexercised portion of stock option awards. The reported stock options are fully vested.
|
Name
|
Plan Name
|
|
Number of Years
Credited Service
(1)
|
|
Present value of
Accumulated Benefit
(2)
|
|
Payments During
Last Fiscal Year
(3)
|
|||||
Mr. Layton
|
Pension Plan
|
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Pension SERP Benefit
|
|
—
|
|
|
—
|
|
|
—
|
|
||
Mr. Mackey
|
Pension Plan
|
|
—
|
|
|
—
|
|
|
—
|
|
||
|
Pension SERP Benefit
|
|
—
|
|
|
—
|
|
|
—
|
|
||
Mr. Lowman
|
Pension Plan
|
|
—
|
|
|
—
|
|
|
—
|
|
||
|
Pension SERP Benefit
|
|
—
|
|
|
—
|
|
|
—
|
|
||
Mr. McDavid
|
Pension Plan
|
|
—
|
|
|
—
|
|
|
—
|
|
||
|
Pension SERP Benefit
|
|
—
|
|
|
—
|
|
|
—
|
|
||
Mr. Weiss
|
Pension Plan
|
|
10.2
|
|
|
312,325
|
|
|
—
|
|
||
|
Pension SERP Benefit
|
|
10.2
|
|
|
—
|
|
|
572,983
|
|
(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, 2014, of each NEO’s benefits under the Pension Plan. Pension Plan 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.
|
(3)
|
Amounts reported reflect the Pension SERP Benefit, which were fully distributed by October 31, 2014 pursuant to the termination of the Pension SERP. See “Other Executive Compensation Considerations - Supplemental Executive Retirement Plan and Supplemental Executive Retirement Plan II,” above.
|
|
265
|
Freddie Mac
|
•
|
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.
|
|
266
|
Freddie Mac
|
Name
|
Executive
Contribution in
Last FY ($)
(1)
|
|
Freddie Mac
Accruals in
Last FY ($)
(2)
|
|
Aggregate
Earnings in
Last FY ($)
(3)
|
|
Aggregate
Withdrawals/
Distrib. ($)
(4)
|
|
Aggregate
Balance at
Last FYE ($)
(5)
|
||||||||||
Mr. Layton
|
|
|
|
|
|
|
|
|
|
||||||||||
Thrift/401(k) SERP Benefit
|
$
|
—
|
|
|
$
|
32,111
|
|
|
$
|
3,695
|
|
|
$
|
—
|
|
|
$
|
56,337
|
|
Mr. Mackey
|
|
|
|
|
|
|
|
|
|
||||||||||
Thrift/401(k) SERP Benefit
|
—
|
|
|
13,559
|
|
|
—
|
|
|
—
|
|
|
13,559
|
|
|||||
Mr. Lowman
|
|
|
|
|
|
|
|
|
|
||||||||||
Thrift/401(k) SERP Benefit
|
—
|
|
|
52,275
|
|
|
(8,010
|
)
|
|
—
|
|
|
44,265
|
|
|||||
Mr. McDavid
|
|
|
|
|
|
|
|
|
|
||||||||||
Thrift/401(k) SERP Benefit
|
—
|
|
|
80,835
|
|
|
39
|
|
|
—
|
|
|
110,292
|
|
|||||
Mr. Weiss
|
|
|
|
|
|
|
|
|
|
||||||||||
Thrift/401(k) SERP Benefit
|
—
|
|
|
62,251
|
|
|
47,886
|
|
|
(3,270
|
)
|
|
779,304
|
|
|||||
SERP II
|
—
|
|
|
70,492
|
|
|
—
|
|
|
—
|
|
|
70,492
|
|
(1)
|
The SERP and SERP II do not allow for employee contributions.
|
(2)
|
Amounts reported reflect accruals under the Thrift/401(k) SERP Benefit and SERP II during 2014, including accruals for the plan year 2014 Fixed Contribution and 2014 age-based Transitional Employer Contribution that have not yet been posted to NEO accounts. 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 distributions made by October 31, 2014 associated with the Terminating SERP.
|
(5)
|
Amounts reported reflect the accumulated balances under the Thrift/401(k) SERP Benefit for each NEO and include the plan year 2014 2.5% contribution which will be allocated to NEO accounts in 2015. All NEOs are fully vested in their Thrift/401(k) SERP Benefit account balances. For a more detailed discussion of the matching contribution accruals and 2.5% contribution accruals, see
“Supplemental Executive Retirement Plan-Thrift/401(k) SERP Benefit”
above. Mr. Weiss is fully vested in his SERP II account balance. For a more detailed discussion on SERP II contribution accruals, see “Item 9B. Other Information” and “Other Executive Compensation Considerations
—
Supplemental Executive Retirement Plan and Supplemental Executive Retirement Plan II” above.
|
|
267
|
Freddie Mac
|
•
|
Forfeiture Event — All earned but unpaid Fixed and At-Risk Deferred Salary (including related interest) 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 (including related interest) is paid in full as soon as administratively possible, but not later than 90 calendar days after the date of death. Any earned but unpaid At-Risk Deferred Salary is not subject to reduction based on corporate and individual performance if the reduction has not been determined as of the date of death.
|
•
|
Long-Term Disability — All earned but unpaid Fixed and At-Risk Deferred Salary (including related interest) is paid in full in accordance with the Approved Payment Schedule. Any earned but unpaid At-Risk Deferred Salary is not subject to reduction based on corporate and individual performance if the reduction has not been determined as of the termination date.
|
•
|
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 (including related interest) 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.
|
|
268
|
Freddie Mac
|
|
Death
|
|
Disability
|
|
Retirement
(5)
|
|
All Other Not
For Cause
Terminations
(6)
|
||||||||
James G. Mackey
|
|
|
|
|
|
|
|
||||||||
Deferred Salary:
|
|
|
|
|
|
|
|
||||||||
Fixed
(1)
|
$
|
1,600,000
|
|
|
$
|
1,600,000
|
|
|
$
|
—
|
|
|
$
|
1,184,000
|
|
At Risk-Conservatorship Scorecard
(2)
|
450,000
|
|
|
450,000
|
|
|
—
|
|
|
450,000
|
|
||||
At Risk-Corporate Scorecard/Individual
(3)
|
450,000
|
|
|
450,000
|
|
|
—
|
|
|
450,000
|
|
||||
Interest on Deferred Salary
(4)
|
1,010
|
|
|
1,625
|
|
|
—
|
|
|
1,355
|
|
||||
Total
|
$
|
2,501,010
|
|
|
$
|
2,501,625
|
|
|
$
|
—
|
|
|
$
|
2,085,355
|
|
David B. Lowman
|
|
|
|
|
|
|
|
||||||||
Deferred Salary:
|
|
|
|
|
|
|
|
||||||||
Fixed
(1)
|
$
|
1,600,000
|
|
|
$
|
1,600,000
|
|
|
$
|
—
|
|
|
$
|
1,184,000
|
|
At Risk-Conservatorship Scorecard
(2)
|
450,000
|
|
|
450,000
|
|
|
—
|
|
|
450,000
|
|
||||
At Risk-Corporate Scorecard/Individual
(3)
|
450,000
|
|
|
450,000
|
|
|
—
|
|
|
450,000
|
|
||||
Interest on Deferred Salary
(4)
|
1,010
|
|
|
1,625
|
|
|
—
|
|
|
1,355
|
|
||||
Total
|
$
|
2,501,010
|
|
|
$
|
2,501,625
|
|
|
$
|
—
|
|
|
$
|
2,085,355
|
|
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
|
|
|
390,000
|
|
|
—
|
|
||||
At Risk-Corporate Scorecard/Individual
(3)
|
390,000
|
|
|
390,000
|
|
|
390,000
|
|
|
—
|
|
||||
Interest on Deferred Salary
(4)
|
848
|
|
|
1,365
|
|
|
1,365
|
|
|
—
|
|
||||
Total
|
$
|
2,100,848
|
|
|
$
|
2,101,365
|
|
|
$
|
2,101,365
|
|
|
$
|
—
|
|
Jerry Weiss
|
|
|
|
|
|
|
|
||||||||
Deferred Salary:
|
|
|
|
|
|
|
|
||||||||
Fixed
(1)
|
$
|
900,000
|
|
|
$
|
900,000
|
|
|
$
|
—
|
|
|
$
|
666,000
|
|
At Risk-Conservatorship Scorecard
(2)
|
300,000
|
|
|
300,000
|
|
|
—
|
|
|
300,000
|
|
||||
At Risk-Corporate Scorecard/Individual
(3)
|
300,000
|
|
|
300,000
|
|
|
—
|
|
|
300,000
|
|
||||
Interest on Deferred Salary
(4)
|
606
|
|
|
975
|
|
|
—
|
|
|
823
|
|
||||
Total
|
$
|
1,500,606
|
|
|
$
|
1,500,975
|
|
|
$
|
—
|
|
|
$
|
1,266,823
|
|
(1)
|
In accordance with early termination provisions in the 2014 EMCP, 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, 2014 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 2014 Conservatorship Scorecard.
|
(3)
|
The amounts reported for Deferred Salary: At Risk-Corporate Scorecard/Individual in the Retirement and All Other Not For Cause Terminations columns reflect the assessment of 2014 performance approved by the Compensation Committee and FHFA.
|
(4)
|
Interest on Deferred Salary is accrued and paid in accordance with the terms of the 2014 EMCP. The amount of interest in the Death column assumes that payment occurs on the 90th day following the date of death, which is assumed to be December 31, 2014.
|
(5)
|
Mr. McDavid is the only NEO who meets the requirement for retirement eligibility under the 2014 EMCP.
|
(6)
|
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.
|
|
269
|
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 Risk Committee Chair
|
15,000
|
|
|
Annual Retainer for Committee Chairs (other than Audit or 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
|
|
C. Byrd
|
185,000
|
|
|
—
|
|
|
19,067
|
|
|
204,067
|
|
||||
T. Goldstein
(1)
|
28,668
|
|
|
—
|
|
|
—
|
|
|
28,668
|
|
||||
R. Hartnack
|
170,000
|
|
|
—
|
|
|
20,000
|
|
|
190,000
|
|
||||
S. Kohlhagen
|
175,000
|
|
|
—
|
|
|
20,000
|
|
|
195,000
|
|
||||
S. Mathew
|
170,000
|
|
|
—
|
|
|
—
|
|
|
170,000
|
|
||||
S. Naqvi
|
160,000
|
|
|
—
|
|
|
20,000
|
|
|
180,000
|
|
||||
N. Retsinas
|
160,000
|
|
|
—
|
|
|
—
|
|
|
160,000
|
|
||||
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 2014. Mr. Goldstein joined the Board in October 2014.
|
(2)
|
We do not have any pension or retirement plans for our non-employee directors.
|
(3)
|
In 2014, 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. Amounts reflect matching contributions made to charities designated by the non-employee directors.
|
|
270
|
Freddie Mac
|
Name
|
Position
|
|
Common Stock
Beneficially Owned
Excluding
Stock Options
(1)
|
|
Stock Options
Exercisable
Within 60 Days of
Feb. 17, 2015
|
|
Total Common Stock
Beneficially Owned
|
|||
Raphael W. Bostic
|
Director
|
|
—
|
|
|
—
|
|
|
—
|
|
Carolyn H. Byrd
|
Director
|
|
—
|
|
|
—
|
|
|
—
|
|
Thomas M. Goldstein
|
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
|
|
—
|
|
|
—
|
|
|
—
|
|
David B. Lowman
|
EVP — Single Family Business
|
|
—
|
|
|
—
|
|
|
—
|
|
William H. McDavid
|
EVP — General Counsel & Corp. Sec.
|
|
—
|
|
|
—
|
|
|
—
|
|
Jerry Weiss
|
EVP — Chief Administrative Officer
|
|
—
|
|
|
11,620
|
|
|
11,620
|
|
All directors and executive officers as a group (25 persons)
|
|
79,710
(2)
|
|
|
20,800
|
|
|
100,510
|
|
|
|
|
5% Holder
(3)
|
Common Stock Beneficially Owned
|
Percent of Class
|
U.S. Department of the Treasury
1500 Pennsylvania Avenue, NW
Washington, D.C. 20220
|
Variable
(4)
|
79.9%
|
(1)
|
Includes shares of stock beneficially owned as of February 17, 2015.
|
(2)
|
Includes distribution of 6,866 shares and 169 dividend equivalents on RSUs previously deferred and which have no remaining restrictions.
|
(3)
|
Pershing Square Capital Management, L.P., PS Management GP, LLC, and William A. Ackerman (“Pershing”) have filed certain reports on Schedule 13D, the latest of which was filed on March 31, 2014. In that report, Pershing reported a beneficial ownership percentage calculation of 9.78%, based solely on the 650,039,533 shares of our common stock outstanding as reported in our Form 10-K for the fiscal year ended December 31, 2013, and excluding the shares issuable to Treasury pursuant to the warrant. The Schedule 13D indicated that Pershing also had additional economic exposure to approximately 8,434,958 notional shares of common stock, bringing the total aggregate economic exposure on the date of that filing to 72,010,523 shares of common stock (approximately 11.08% of the outstanding common stock). In that filing, Pershing indicated that because it believes our common stock is not a voting security, it had determined not to file future reports on Schedule 13D. We do not know Pershing's current beneficial ownership of our common stock.
|
(4)
|
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.
|
|
271
|
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
|
413,896
(1)
|
|
$54.29
(2)
|
|
35,510,707
(3)
|
Equity compensation plans not approved by stockholders
|
None
|
|
N/A
|
|
None
|
(1)
|
Includes 54,891 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 28,004,051 shares, 5,845,739 shares, and 1,660,917 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.
|
|
272
|
Freddie Mac
|
•
|
Board Memberships With For-Profit Business Partners.
During 2014 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 2014 and currently, Mr. Bostic has served as a board member of two charitable organizations that received monetary contributions from us or the Freddie Mac Foundation. The total annual amount contributed to each of the charitable organizations was below the applicable threshold in our Guidelines that would require a specific determination that Mr. Bostic is independent in spite of the contributions. During 2014 and currently, Mr. Retsinas served as Director Emeritus of a charitable organization that received monetary contributions from us or the Freddie Mac Foundation. The total annual amount contributed to the charitable organization was below the applicable threshold in our Guidelines that would require a specific determination that Mr. Retsinas is independent in spite of the contributions; however, since Mr. Retsinas is neither a board member nor a trustee of the charitable organization, the contributions would not require an independence determination in any event. The non-employee members of the Board considered the contributions and the nature of the organizations and concluded that the relationships with the charitable organizations did not constitute a material relationship between Mr. Bostic or Mr. Retsinas and us that would impair either of their 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.
|
|
273
|
Freddie Mac
|
|
274
|
Freddie Mac
|
|
275
|
Freddie Mac
|
|
2014
|
|
2013
|
||||
|
(in thousands)
|
||||||
Audit Fees
(2)
|
$
|
27,997
|
|
|
$
|
29,015
|
|
Audit-Related Fees
(3)
|
2,461
|
|
|
856
|
|
||
Tax Fees
(4)
|
27
|
|
|
9
|
|
||
All Other Fees
(5)
|
357
|
|
|
331
|
|
||
Total
|
$
|
30,842
|
|
|
$
|
30,211
|
|
(1)
|
These fees represent amounts billed within the designated year and include reimbursable expenses for 2014 and 2013.
|
(2)
|
Audit fees include fees in connection with quarterly reviews of our interim financial information and the audit of our annual consolidated financial statements.
|
(3)
|
The 2014 and 2013 audit-related fees include fees for the performance of certain agreed-upon procedures regarding aspects of compliance with the Purchase Agreement covenants and compliance evaluation of the minimum servicing standards as set forth in the Uniform Single Attestation Program for Mortgage Bankers. The 2014 audit-related fees also included transaction validation and attestation related to certain of Freddie Mac’s risk transfer and structured transactions.
|
(4)
|
The tax fees billed in 2014 and 2013 related to non-audit tax consulting services to provide advice on tax planning or reporting matters, as well as non-audit tax 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 2014 and 2013 included: (i) our subscription to a web-based suite of human resources benchmark data; (ii) assessment of retention strategies; (iii) our subscription to accounting research software; and (iv) non-audit services in connection with certain of our project deployments as part of implementing regulatory initiatives.
|
|
276
|
Freddie Mac
|
|
277
|
Freddie Mac
|
Federal Home Loan Mortgage Corporation
|
|
|
|
By:
|
/s/ Donald H. Layton
|
|
Donald H. Layton
|
|
Chief Executive Officer
|
Date: February 19, 2015
|
|
278
|
Freddie Mac
|
Signature
|
|
Capacity
|
|
Date
|
||
|
|
|
|
|
|
|
/s/ Christopher S. Lynch*
|
|
Non-Executive Chairman of the Board
|
|
February 19, 2015
|
||
Christopher S. Lynch
|
|
|
|
|
||
|
|
|
|
|
|
|
/s/ Donald H. Layton
|
|
Chief Executive Officer and Director
|
|
February 19, 2015
|
||
Donald H. Layton
|
|
(Principal Executive Officer)
|
|
|
||
|
|
|
|
|
|
|
/s/ James G. Mackey
|
|
Executive Vice President — Chief Financial Officer
|
|
February 19, 2015
|
||
James G. Mackey
|
|
(Principal Financial Officer)
|
|
|
||
|
|
|
|
|
|
|
/s/ Robert D. Mailloux
|
|
Senior Vice President — Corporate Controller and
|
|
February 19, 2015
|
||
Robert D. Mailloux
|
|
Principal Accounting Officer (Principal Accounting Officer)
|
|
|
||
|
|
|
|
|
|
|
/s/ Raphael W. Bostic*
|
|
Director
|
|
February 19, 2015
|
||
Raphael W. Bostic
|
|
|
|
|
||
|
|
|
|
|
|
|
/s/ Carolyn H. Byrd*
|
|
Director
|
|
February 19, 2015
|
||
Carolyn H. Byrd
|
|
|
|
|
||
|
|
|
|
|
|
|
/s/ Thomas M. Goldstein*
|
|
Director
|
|
February 19, 2015
|
||
Thomas M. Goldstein
|
|
|
|
|
||
|
|
|
|
|
|
|
/s/ Richard C. Hartnack*
|
|
Director
|
|
February 19, 2015
|
||
Richard C. Hartnack
|
|
|
|
|
||
|
|
|
|
|
|
|
/s/ Steven W. Kohlhagen*
|
|
Director
|
|
February 19, 2015
|
||
Steven W. Kohlhagen
|
|
|
|
|
||
|
|
|
|
|
|
|
/s/ Sara Mathew*
|
|
Director
|
|
February 19, 2015
|
||
Sara Mathew
|
|
|
|
|
||
|
|
|
|
|
|
|
/s/ Saiyid T. Naqvi*
|
|
Director
|
|
February 19, 2015
|
||
Saiyid T. Naqvi
|
|
|
|
|
||
|
|
|
|
|
|
|
/s/ Nicolas P. Retsinas*
|
|
Director
|
|
February 19, 2015
|
||
Nicolas P. Retsinas
|
|
|
|
|
||
|
|
|
|
|
|
|
/s/ Eugene B. Shanks, Jr.*
|
|
Director
|
|
February 19, 2015
|
||
Eugene B. Shanks, Jr.
|
|
|
|
|
||
|
|
|
|
|
|
|
/s/ Anthony A. Williams*
|
|
Director
|
|
February 19, 2015
|
||
Anthony A. Williams
|
|
|
|
|
||
|
|
|
|
|
|
|
*By:
|
|
/s/ Alicia S. Myara
|
|
|
|
|
|
|
Alicia S. Myara
|
|
|
|
|
|
|
Attorney-in-Fact
|
|
|
|
|
|
279
|
Freddie Mac
|
|
280
|
Freddie Mac
|
|
281
|
Freddie Mac
|
|
282
|
Freddie Mac
|
|
283
|
Freddie Mac
|
|
284
|
Freddie Mac
|
|
285
|
Freddie Mac
|
|
286
|
Freddie Mac
|
|
287
|
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 for the year ended December 31, 2012, as filed on February 28, 2013)
|
|
|
|
4.27
|
|
Federal Home Loan Mortgage Corporation Global Debt Facility Agreement, dated February 27, 2014 (incorporated by reference to Exhibit 4.1 to the Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2014, as filed on May 8, 2014)
|
|
|
|
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 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)†
|
|
|
|
10.8
|
|
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)†
|
|
|
|
10.9
|
|
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 year ended December 31, 2008, as filed on March 11, 2009)†
|
|
|
|
10.10
|
|
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)†
|
|
|
|
10.11
|
|
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)†
|
|
|
|
10.12
|
|
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)†
|
|
|
|
10.13
|
|
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 year ended December 31, 2009, as filed on February 24, 2010)†
|
|
|
|
10.14
|
|
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)†
|
|
|
|
10.15
|
|
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 for the quarterly period ended September 30, 2012, as filed on November 6, 2012)†
|
|
|
|
10.16
|
|
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 for the quarterly period ended June 30, 2013, as filed on August 7, 2013)†
|
|
|
|
10.17
|
|
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) †
|
|
|
|
10.18
|
|
Federal Home Loan Mortgage Corporation Supplemental Executive Retirement Plan II (effective January 1, 2014)†
|
|
|
|
10.19
|
|
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)†
|
|
|
|
10.20
|
|
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)†
|
|
|
|
10.21
|
|
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)†
|
|
|
|
10.22
|
|
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) †
|
|
|
|
10.23
|
|
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) †
|
|
E-3
|
Freddie Mac
|
Exhibit No.
|
|
Description*
|
10.24
|
|
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) †
|
|
|
|
10.25
|
|
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)†
|
|
|
|
10.26
|
|
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)†
|
|
|
|
10.27
|
|
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) †
|
|
|
|
10.28
|
|
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) †
|
|
|
|
10.29
|
|
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)†
|
|
|
|
10.30
|
|
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)†
|
|
|
|
10.31
|
|
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)†
|
|
|
|
10.32
|
|
Memorandum Agreement, dated April 7, 2013, between Freddie Mac and David B. Lowman (incorporated by reference to Exhibit 10.48 to the Registrant's Annual Report on Form 10-K for the year ended December 31, 2013, as filed on February 27, 2014)†
|
|
|
|
10.33
|
|
Restrictive Covenant and Confidentiality Agreement, dated April 9, 2013, between Freddie Mac and David B. Lowman (incorporated by reference to Exhibit 10.49 to the Registrant's Annual Report on Form 10-K for the year ended December 31, 2013, as filed on February 27, 2014)†
|
|
|
|
10.34
|
|
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)†
|
|
|
|
10.35
|
|
PC Master Trust Agreement dated April 3, 2014 (incorporated by reference to Exhibit 10.1 to the Registrant’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2014, as filed on May 8, 2014)
|
|
|
|
10.36
|
|
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)†
|
|
|
|
10.37
|
|
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)†
|
|
|
|
10.38
|
|
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)
|
|
|
|
10.39
|
|
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)
|
|
|
|
10.40
|
|
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)
|
|
|
|
10.41
|
|
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 quarterly period ended March 31, 2009, as filed on May 12, 2009)
|
|
E-4
|
Freddie Mac
|
Exhibit No.
|
|
Description*
|
10.42
|
|
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)
|
|
|
|
10.43
|
|
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)
|
|
|
|
10.44
|
|
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)
|
|
|
|
10.45
|
|
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)
|
|
|
|
10.46
|
|
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-5
|
Freddie Mac
|
Article I
|
Establishment of the Plan............................................................................ 1
|
Article II
|
Definitions................................................................................................... 1
|
Article III
|
Eligibility and Participation........................................................................ 4
|
Article IV
|
Supplemental Benefit Credit....................................................................... 6
|
Article V
|
Payment of Benefits.................................................................................... 9
|
Article VI
|
Administration.......................................................................................... 10
|
Article VII
|
Amendment and Termination.................................................................... 12
|
Article VIII
|
Miscellaneous........................................................................................... 13
|
|
|
|
|
FEDERAL HOME LOAN
|
|
|
MORTGAGE CORPORATION
|
|
|
|
|
|
|
|
|
By:
|
/s/ Daniel Scheinkman
|
|
|
DANIEL SCHEINKMAN
|
|
|
Vice President — Compensation and Benefits
|
|
|
|
|
|
|
ATTEST:
|
|
|
/s/ Carol Rakatansky
|
|
|
CAROL RAKATANSKY
|
|
|
Assistant Secretary
|
|
|
Year Ended December 31,
|
||||||||||||||||||
|
2014
|
|
2013
|
|
2012
|
|
2011
|
|
2010
|
||||||||||
|
(dollars in millions)
|
||||||||||||||||||
Net income (loss) before income tax (expense) benefit and cumulative effect of changes in accounting principles
|
$
|
11,002
|
|
|
$
|
25,363
|
|
|
$
|
9,445
|
|
|
$
|
(5,666
|
)
|
|
$
|
(14,882
|
)
|
Add:
|
|
|
|
|
|
|
|
|
|
||||||||||
Low-income housing tax credit partnerships
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Total interest expense
|
54,916
|
|
|
55,779
|
|
|
66,502
|
|
|
79,988
|
|
|
92,131
|
|
|||||
Interest factor in rental expenses
|
5
|
|
|
4
|
|
|
4
|
|
|
4
|
|
|
5
|
|
|||||
Earnings (loss), as adjusted
|
$
|
65,923
|
|
|
$
|
81,146
|
|
|
$
|
75,951
|
|
|
$
|
74,326
|
|
|
$
|
77,254
|
|
Fixed charges:
|
|
|
|
|
|
|
|
|
|
||||||||||
Total interest expense
|
$
|
54,916
|
|
|
$
|
55,779
|
|
|
$
|
66,502
|
|
|
$
|
79,988
|
|
|
$
|
92,131
|
|
Interest factor in rental expenses
|
5
|
|
|
4
|
|
|
4
|
|
|
4
|
|
|
5
|
|
|||||
Total fixed charges
|
$
|
54,921
|
|
|
$
|
55,783
|
|
|
$
|
66,506
|
|
|
$
|
79,992
|
|
|
$
|
92,136
|
|
Senior preferred stock and preferred stock dividends
(1)
|
19,610
|
|
|
47,591
|
|
|
7,229
|
|
|
6,498
|
|
|
5,749
|
|
|||||
Total fixed charges including preferred stock dividends
|
$
|
74,531
|
|
|
$
|
103,374
|
|
|
$
|
73,735
|
|
|
$
|
86,490
|
|
|
$
|
97,885
|
|
Ratio of earnings to fixed charges
(2)
|
1.20
|
|
|
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 and $14.9 billion for the years ended December 31, 2011 and 2010, 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 $8.6 billion, $22.2 billion, $12.2 billion, and $20.6 billion for the years ended December 31, 2014, 2013, 2011, and 2010, respectively.
|
1.
|
I have reviewed this Annual Report on Form 10-K for the year ended December 31, 2014 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, 2014 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
|