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QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.
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Federally chartered corporation
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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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(State or other jurisdiction of incorporation or organization)
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McLean, Virginia 22102-3110
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(I.R.S. Employer Identification No.)
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(Registrant’s telephone number, including area code)
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(Address of principal executive offices, including zip code)
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Large accelerated filer
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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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PART I — FINANCIAL INFORMATION
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Item 1. Financial Statements
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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
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Executive Summary
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Selected Financial Data
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Consolidated Results of Operations
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Consolidated Balance Sheets Analysis
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Risk Management
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Liquidity and Capital Resources
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Fair Value Hierarchy and Valuations
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Off-Balance Sheet Arrangements
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Critical Accounting Policies and Estimates
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Forward-Looking Statements
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Legislative and Regulatory Matters
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Item 3. Quantitative and Qualitative Disclosures About Market Risk
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Item 4. Controls and Procedures
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PART II — OTHER INFORMATION
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Item 1. Legal Proceedings
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Item 1A. Risk Factors
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Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
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Item 5. Other Information
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Item 6. Exhibits
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SIGNATURES
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GLOSSARY
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EXHIBIT INDEX
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i
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Freddie Mac Form 10-Q
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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 Mortgage 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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Selected Financial Data
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4
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Summary Consolidated Statements of Comprehensive Income
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5
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Net Interest Income/Yield and Average Balance Analysis
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6
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Single-Family Impaired Loans with Specific Reserve Recorded
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7
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TDRs and Non-Accrual Mortgage Loans
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8
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Credit Loss Performance
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9
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Severity Ratios for Single-Family Mortgage Loans
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10
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Derivative Gains (Losses)
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11
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Other Gains (Losses) on Investment Securities Recognized in Earnings
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12
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Other Income (Loss)
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13
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Non-Interest Expense
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14
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Composition of Segment Mortgage Portfolios and Credit Risk Portfolios
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15
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Segment Earnings and Key Metrics — Single-Family Guarantee
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16
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Segment Earnings and Key Metrics — Investments
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17
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Segment Earnings and Key Metrics — Multifamily
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18
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Investments in Securities on Our Consolidated Balance Sheets
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19
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Characteristics of Mortgage-Related Securities on Our Consolidated Balance Sheets
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20
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Additional Characteristics of Mortgage-Related Securities on Our Consolidated Balance Sheets
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21
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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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22
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Mortgage Loan Purchases and Other Guarantee Commitment Issuances
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23
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REO Activity
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24
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Freddie Mac Mortgage-Related Securities
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25
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Issuances and Extinguishments of Debt Securities of Consolidated Trusts
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26
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Changes in Total Equity
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27
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Characteristics of Purchases for the Single-Family Credit Guarantee Portfolio
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28
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Risk Transfer Transactions
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29
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Characteristics of the Single-Family Credit Guarantee Portfolio
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30
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Single-Family Credit Guarantee Portfolio Data by Year of Origination
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31
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Single-Family Serious Delinquency Rate Trend
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32
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Single-Family Serious Delinquency Statistics
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33
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Certain Higher-Risk Categories in the Single-Family Credit Guarantee Portfolio
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34
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Single-Family Loans with Scheduled Payment Changes by Year at June 30, 2015
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35
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Credit Concentrations in the Single-Family Credit Guarantee Portfolio
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36
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Single-Family Credit Guarantee Portfolio by Attribute Combinations
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37
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Single-Family Relief Refinance Mortgage Loans
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38
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Single-Family Mortgage Loan Workout, Serious Delinquency, and Foreclosure Volumes
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39
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Quarterly Percentages of Modified Single-Family Mortgage Loans — Current or Paid Off
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40
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Foreclosure Timelines for Single-Family Mortgage Loans
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41
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Multifamily Mortgage Portfolio — by Attribute
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42
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Mortgage Insurance by Counterparty
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43
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Derivative Counterparty Credit Exposure
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44
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Activity in Other Debt
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45
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Freddie Mac Credit Ratings
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46
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PMVS and Duration Gap Results
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47
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Derivative Impact on PMVS-L (50 bps)
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ii
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Freddie Mac Form 10-Q
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Page
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Condensed Consolidated Statements of Comprehensive Income
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Condensed Consolidated Balance Sheets
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Condensed Consolidated Statements of Cash Flows
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Note 1: Summary of Significant Accounting Policies
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Note 2: Conservatorship and Related Matters
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Note 3: Variable Interest Entities
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Note 4: Mortgage Loans and Loan Loss Reserves
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Note 5: Impaired Loans
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Note 6: Real Estate Owned
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Note 7: Investments in Securities
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Note 8: Debt Securities and Subordinated Borrowings
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Note 9: Derivatives
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Note 10: Collateral and Offsetting of Assets and Liabilities
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Note 11: Stockholders’ Equity
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Note 12: Income Taxes
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Note 13: Segment Reporting
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Note 14: Financial Guarantees
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Note 15: Concentration of Credit and Other Risks
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Note 16: Fair Value Disclosures
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Note 17: Legal Contingencies
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Note 18: Regulatory Capital
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Note 19: Selected Financial Statement Line Items
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iii
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Freddie Mac Form 10-Q
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Economic vs. Accounting Interest-Rate Risk — We hold assets and liabilities that expose us to interest-rate risk. Through our use of derivatives, we manage our exposure to interest-rate risk on an economic basis to a low level. At times, the accounting measurement approach (i.e., amortized cost vs. fair value) we apply to our financial assets and liabilities, including derivatives, creates volatility in our earnings when we experience interest rate or implied volatility fluctuations that is not indicative of the underlying economics of our business.
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1
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Freddie Mac Form 10-Q
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Spread Volatility — Spread volatility is the risk associated with changes in interest rates in excess of the changes in the risk-free rates (i.e., credit spreads, liquidity spreads, risk premiums, etc.). We hold assets and liabilities that expose us to spread volatility. However, we have limited ability to manage spread volatility. Changes in spreads may contribute to significant earnings volatility period to period.
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Non-Recurring Events — From time to time, we will likely experience, and have experienced, significant earnings volatility from non-recurring events related to the financial crisis, including settlements with counterparties and changes in certain valuation allowances (i.e., allowance for loan losses and deferred tax asset).
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to support U.S. homeowners and renters by maintaining mortgage availability even when other sources of financing are scarce and providing struggling homeowners with alternatives that allow them to stay in their homes or to 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 Form 10-Q
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(1)
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Excludes modification, repayment, and forbearance activities that have not been made effective, such as mortgage loans in modification trial periods. As of
June 30, 2015
, approximately 24,000 borrowers were in modification trial periods. These categories are not mutually exclusive and a mortgage 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 several cities to inform community leaders about HARP eligibility criteria and benefits.
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In June 2015, we announced that we are extending our streamlined modification program indefinitely.
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We also continued to work with FHFA and Fannie Mae to develop and execute neighborhood stabilization plans in certain cities. In these cities we continue to work with locally-based private entities to facilitate REO dispositions and provide an initial period for REO properties to be purchased by owner occupants and others before we consider offers from investors.
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transferring to private investors part of the credit risk of our New single-family book and our total multifamily portfolio;
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3
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Freddie Mac Form 10-Q
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managing the performance of our servicers through our contracts with them;
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selling non-performing single-family mortgage loans;
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improving our returns on property dispositions;
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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 Form 10-Q
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Better serving our customers: Our customers are our sellers, servicers, and investors/dealers. Based on feedback from our customers, we continue to enhance our processes and programs to improve their experience when doing business with us. This includes providing seller/servicers with greater certainty that the mortgage 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, and expanding and leveraging the data standards of the Uniform Mortgage Data Program. In January 2015, we launched Loan Coverage Advisor, a new tool that allows our sellers to track significant events for the mortgage loans they sell us, including the dates when the seller obtains relief from certain representations and warranties. Additionally, in May 2015, we announced that, effective June 1, 2015, we will no longer charge a fee to use our Loan Prospector automated underwriting tool. Results from our latest customer satisfaction surveys show that our efforts are being recognized by our sellers and servicers.
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Providing market leadership and innovation: We continue to develop innovative programs and services that benefit the mortgage industry and 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) continuing to execute our credit risk transfer transactions and seeking to expand and refine our offerings of these transactions; (b) expanding access to credit for credit-worthy borrowers, such as through the initiative we announced in December 2014 for loans with LTV ratios up to 97%; and (c) continuing to work with FHFA and Fannie Mae on enhancing the secondary mortgage loan market, including the development of a new common securitization platform and a single (common) security. During the first half of 2015, we completed our first five STACR debt note transactions that transfer a portion of the first loss position in addition to a mezzanine loss position associated with the related reference pool. During the second quarter of 2015, we completed two STACR debt note transactions for which allocation of credit losses to the debt notes will be based on actual losses rather than a calculated loss approach. In March 2015, we and one of our ACIS counterparties revised a number of our existing ACIS policies and changed the coverage from calculated losses using a
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5
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Freddie Mac Form 10-Q
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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 believe the credit quality of the single-family mortgage loans in our New single-family book reflects sound underwriting standards as evidenced by their average original LTV ratios and credit scores as well as their credit performance in recent periods.
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Reducing our credit losses and addressing emerging risks: 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 mortgage loans during the first half of 2015. In addition, our mortgage portfolio includes several mortgage loan products with terms that may result in scheduled increases in monthly payments after specified initial periods (e.g., HAMP mortgage loans). A significant number of these mortgage loans have experienced, or will experience, payment changes beginning in 2015, which could increase the risk that the borrowers will default. To help address this risk, in the first quarter of 2015 we implemented a sixth year of borrower incentives for HAMP mortgage loans and expanded participation in some of our non-HAMP modification programs to eligible borrowers with HAMP mortgage loans.
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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 market share; and (c) security price performance (i.e., the disparities in 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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Broadening access to credit: We continue to explore the feasibility of: (a) increasing our purchases of mortgage loans securitized by manufactured housing; (b) improving the effectiveness of counseling with borrowers before their home purchase or those experiencing financial hardships; and (c) utilizing alternative credit score models and credit history in mortgage loan eligibility decisions.
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Reducing the balance of less liquid mortgage assets, specifically non-agency mortgage related securities, and single-family reperforming, performing modified and delinquent loans;
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Managing the corporate treasury function, including managing funding, interest-rate and liquidity risks, through the use of derivatives, our liquidity and contingency operating portfolio and unsecured debt; and
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Continuing to provide secondary market liquidity for our agency mortgage-related securities.
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Increasing our commitment to customers: We consider customer focus to be a key priority in our efforts to build value and support the creation of a strong, long-lasting rental housing system that positively affects the economy and communities nationwide. We look to increase efficiencies for our customers by standardizing and improving the ways in which they provide data to us in order to foster greater transparency and liquidity in the market.
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Providing a reliable flow of capital for affordable and workforce housing: In May 2015, FHFA expanded the affordable housing categories that are excluded from the volume limit in our 2015 Scorecard. These revisions will enable us to further support the needs of the affordable rental housing market across more communities. In addition, we are continuing to grow our presence in the small balance mortgage loan and manufactured housing community mortgage loan markets.
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Continuing to create innovative programs to transfer credit risk: We are developing and enhancing programs and offerings that support risk transfer and/or mission-focused activities. We are pursuing alternative methods to transfer credit risk of our mortgage portfolio using transactions other than our existing K Certificates to reduce exposure to mortgage credit risk for the company and U.S. taxpayers.
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Improving our risk-adjusted returns: By leveraging private capital in our K Certificate and other credit risk transfer transactions, we are able to reduce capital allocation costs, decrease our potential exposure to credit losses, and build a steady source of management and guarantee fee income while increasing overall returns.
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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 in a manner designed to address the evolving requirements of the company, the Conservator,
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6
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Freddie Mac Form 10-Q
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Strengthening our operations: We continue to strengthen and streamline our operations. We continue to improve our risk management capabilities by strengthening our three-lines-of-defense risk management framework. We are expanding our second-line-of-defense testing capabilities over our operational controls. We are also conducting a multi-year project focused on identifying and eliminating redundant control activities. In addition, we are conducting select organizational design reviews focused on reducing the number of operating layers within the organization.
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Build the 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.
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Implement the Single-Security Initiative: FHFA is seeking ways to improve the overall liquidity of mortgage-backed securities issued by us and Fannie Mae. This includes working towards the development of a single (common) security, which is intended to reduce the disparities in trading value between our PCs and Fannie Mae's single-class mortgage-backed securities. The proposed single (common) security would be issued and guaranteed by either Freddie Mac or Fannie Mae. 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. We continue to work on a detailed implementation plan, and we expect that the implementation will be a multi-year effort. On May 15, 2015, FHFA issued a report titled “An Update on the Structure of the Single Security,” which provides an update on this project.
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Improve seller and servicer eligibility standards: In the second quarter of 2015, at the direction of FHFA, we and Fannie Mae announced changes to our single-family seller and servicer eligibility requirements. These changes include revisions to net worth requirements, adoption of new capital and liquidity requirements and enhancements to certain servicer operational requirements. Our revised operational requirements will take effect on August 18, 2015 and our revised financial requirements will take effect on December 31, 2015.
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Implement the Uniform Mortgage Data Program: We and Fannie Mae continue to collaborate with the industry to develop and implement uniform data standards for single-family mortgage loans. This involves active support for the mortgage loan data standardization initiatives, including the Uniform Closing Dataset and the Uniform Loan Application Dataset.
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Improve mortgage insurer eligibility standards: In the second quarter of 2015, at the direction of FHFA, we published revised eligibility requirements for mortgage insurers that include financial requirements determined using a risk-based framework. The revised eligibility requirements will become effective for all Freddie Mac-approved mortgage insurers on December 31, 2015. These revised eligibility requirements are designed to strengthen the mortgage insurance industry and enable a financially strong and resilient system that can provide consistent liquidity through the mortgage cycle.
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Improve the underwriting processes with our single-family sellers: We meet with selected sellers to review and discuss improvements in their underwriting process. We also continually seek improvements to our automated tools for use in evaluating the credit and product eligibility of loans and identifying non-compliance issues.
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The U.S. real gross domestic product rose by 2.3% on an annualized basis during the second quarter of 2015, compared to an annualized increase of 0.6% during the first quarter of 2015, according to the Bureau of Economic Analysis.
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The national unemployment rate was 5.3% in June 2015, compared to 5.6% in December 2014, based on data from the U.S. Bureau of Labor Statistics.
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An average of approximately 208,000 and 260,000 monthly net new jobs (non-farm) were added to the economy during the first half of 2015 and the full year of 2014, respectively.
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The average interest rate on new 30-year fixed-rate conforming mortgage loans was 3.8% during the second quarter of 2015, compared to 3.7% during the first quarter of 2015 and 4.3% during the first half of 2014, based on our weekly Primary Mortgage Market Survey.
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7
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Freddie Mac Form 10-Q
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As reported by the U.S. Census Bureau,
t
he U.S. homeownership rate was 63.7% in the first quarter of 2015, lower than the high point of 69.2% in the fourth quarter of 2004, and the average of 66.3% since 1990.
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Sales of existing homes during the second quarter of 2015 were 5.30 million, increasing 7% from 4.97 million during the first quarter of 2015 (on a seasonally-adjusted annual basis), based on data from the National Association of Realtors.
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Sales of new homes during the second quarter of 2015 were approximately 507,000, declining 2% from approximately 517,000 during the first quarter of 2015, (on a seasonally-adjusted annual basis) based on data from the U.S. Census Bureau and HUD.
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Total mortgage loan origination volume increased during the first half of 2015 compared to the first half of 2014, as lower average long-term mortgage interest rates caused the volume of refinance activity to increase.
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There was continued home price appreciation during the second quarter and first half of 2015.
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Home prices increased on a national basis by 3.7% during the second quarter of 2015 and 5.4% since June 2014 (based on our non-seasonally adjusted index), compared to a 3.3% increase during the second quarter of 2014 and a 6.2% increase from June 2013 to June 2014. These estimates were based on our own price index of one-family homes funded by mortgage loans owned or guaranteed by us or Fannie Mae.
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Declines in the market’s inventory of vacant housing have supported stabilization and increases in home prices in a number of metropolitan areas.
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National home prices at
June 30, 2015
were approximately 6.5% below their peak levels in June 2006 (based on our index).
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The multifamily market continues to experience strong fundamentals. Based on data reported by Reis, Inc.:
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The national apartment vacancy rate was
4.2%
at June 30, 2015 and remains low compared to the long-term average of 5.6% since 1980.
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Effective rents (i.e., the average rent paid by the tenant over the term of the lease adjusted for concessions by the landlord and costs borne by the tenant) grew by
1.1%
on an annualized basis during the second quarter of 2015 consistent with the long-term average. The annual growth rate in effective rents has not been less than 3% since 2011.
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Market Conditions
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Near-term performance of the single-family housing market is affected by key macroeconomic drivers of the economy, such as income growth, employment, and inflation. In the near term, we believe:
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Home price growth rates will continue to be consistent with long-term historical averages (approximately 2 to 5 percent per year).
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Mortgage loan interest rates will remain relatively low compared to historical levels, but begin trending slowly upward.
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Housing affordability for potential home buyers will remain relatively high in most metropolitan housing markets.
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The volume of home sales during 2015 will likely be slightly higher than during 2014.
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Relatively weak employment rates in certain areas and relatively modest family income growth are important factors that will continue to have a negative effect on single-family housing demand.
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Mortgage Loan Volumes
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Our mortgage loan purchase activity during the first half of 2015 increased to
$181.3 billion
in UPB, compared to $107.6 billion in UPB during the first half of 2014. We expect total mortgage loan origination volume during the second half of 2015 will be lower compared to the same period of 2014 due to a decline in the volume of refinance mortgage loans.
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Refinance mortgage loans comprised approximately
63%
of our single-family loan volume during the first half of 2015, compared to 48% during the first half of 2014.
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The volume of our HARP mortgage loan purchases will likely continue to remain low during the second half of 2015 since the pool of borrowers eligible to participate in the program has declined.
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8
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Freddie Mac Form 10-Q
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◦
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We continue to explore opportunities for expanding our affordable lending programs.
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Credit Performance
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Our charge-offs, gross, were
$0.9 billion
during the second quarter of 2015 compared to $1.2 billion during the second quarter of 2014. We expect our charge-offs and credit losses to decline over time, but to remain elevated in the near term.
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For the near term, we also expect REO disposition and short sale severity ratios to remain high while we expect the number of seriously delinquent mortgage loans and the volume of our mortgage loan workouts may continue to decline.
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Market Conditions
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Lower vacancy rates and higher average rents present favorable conditions for the multifamily market and our business, as multifamily mortgage loans are dependent on the cash flow of the underlying properties.
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The decline in the U.S. homeownership rate in recent periods represents a significant increase in demand for rental housing. Net absorption (the change in occupied rental units in the market) also continues to be positive.
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We expect that new supply of multifamily housing, at the national level, will be absorbed by market demand in the near term, driven by continued improvements in the economy and favorable demographics.
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We believe there has been significant growth in the multifamily market during the first half of 2015. As reported by the Federal Reserve, total multifamily mortgage loan debt outstanding was more than $1.0 trillion at March 31, 2015 (the latest available information), representing an increase of 9% since March 31, 2014.
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New Business Volumes
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Our new multifamily business activity during the first half of 2015 was $23.1 billion compared to
$7.1 billion
during the first half of 2014.
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In May 2015, FHFA announced revisions that expanded the affordable housing categories that are excluded from the volume limit in our 2015 Scorecard. Based on the revised 2015 Scorecard guidance, approximately 70% of our
$23.1 billion
in new business activity during the first half of 2015 was counted towards the 2015 volume limit and the remaining 30% was excluded from the 2015 Scorecard measure.
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While we continue exploring opportunities to provide financing for affordable and workforce housing, we expect to remain within the 2015 Scorecard limit for new business volume.
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Securitization Activity
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Since the beginning of 2009, we have sold more than $100 billion of mortgage loans through K Certificate transactions and transferred the expected credit risk to third party investors through the use of subordination.
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We expect to continue transferring credit risk through K Certificate transactions during the second half of 2015. We also expect to identify new opportunities for transferring the mortgage credit risk of our multifamily mortgage portfolio.
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Credit Performance
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◦
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The delinquency rate on our multifamily mortgage portfolio was
0.01%
at June 30, 2015. Multifamily credit losses as a percentage of the average balance of our multifamily mortgage portfolio were
0.8
basis points in the first half of 2015.
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◦
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We expect the credit losses and delinquency rates for the multifamily mortgage portfolio to remain low in the near term.
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9
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Freddie Mac Form 10-Q
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June 30, 2015
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December 31, 2014
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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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||||||||||||
Single-family unsecuritized mortgage loans
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$
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—
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$
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82,959
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$
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82,959
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$
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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
|
|
Freddie Mac mortgage-related securities
|
143,577
|
|
|
6,716
|
|
|
150,293
|
|
|
150,852
|
|
|
7,363
|
|
|
158,215
|
|
||||||
Non-agency mortgage-related securities
|
—
|
|
|
34,611
|
|
|
34,611
|
|
|
—
|
|
|
44,230
|
|
|
44,230
|
|
||||||
Non-Freddie Mac agency mortgage-related securities
|
14,599
|
|
|
—
|
|
|
14,599
|
|
|
16,341
|
|
|
—
|
|
|
16,341
|
|
||||||
Total Investments segment — Mortgage investments portfolio
|
158,176
|
|
|
124,286
|
|
|
282,462
|
|
|
167,193
|
|
|
134,371
|
|
|
301,564
|
|
||||||
Single-family Guarantee segment — Single-family unsecuritized seriously delinquent mortgage loans
|
—
|
|
|
23,596
|
|
|
23,596
|
|
|
—
|
|
|
28,738
|
|
|
28,738
|
|
||||||
Multifamily segment — Mortgage investments portfolio
|
2,826
|
|
|
73,648
|
|
|
76,474
|
|
|
1,911
|
|
|
76,201
|
|
|
78,112
|
|
||||||
Total mortgage-related investments portfolio
|
$
|
161,002
|
|
|
$
|
221,530
|
|
|
$
|
382,532
|
|
|
$
|
169,104
|
|
|
$
|
239,310
|
|
|
$
|
408,414
|
|
Percentage of total mortgage-related investments portfolio
|
42
|
%
|
|
58
|
%
|
|
100
|
%
|
|
41
|
%
|
|
59
|
%
|
|
100
|
%
|
||||||
Mortgage-related investments portfolio cap at December 31, 2015 and 2014, respectively
|
|
|
|
|
$
|
399,181
|
|
|
|
|
|
|
$
|
469,625
|
|
||||||||
90% of mortgage-related investments portfolio cap at December 31, 2015
(1)
|
|
|
|
|
$
|
359,263
|
|
|
|
|
|
|
|
(1)
|
Represents 90% of the mortgage-related investments portfolio annual cap established by the Purchase Agreement, which we manage to, subject to certain exceptions.
|
•
|
Single-class and multiclass agency securities (excluding certain structured agency securities collateralized by non-agency mortgage-related securities); and
|
•
|
Assets that are less liquid than the agency securities noted above. Assets that we consider to be less liquid than agency securities include unsecuritized single-family and multifamily mortgage loans, certain structured agency securities collateralized by non-agency mortgage-related securities, and our investments in non-agency mortgage-related securities.
|
|
10
|
Freddie Mac Form 10-Q
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
(dollars in millions, except share-related amounts)
|
||||||||||||||
Statements of Comprehensive Income Data
|
|
|
|
|
|
|
|
||||||||
Net interest income
|
$
|
3,969
|
|
|
$
|
3,503
|
|
|
$
|
7,616
|
|
|
$
|
7,013
|
|
Benefit for credit losses
|
857
|
|
|
618
|
|
|
1,356
|
|
|
533
|
|
||||
Non-interest income (loss)
|
2,541
|
|
|
(1,406
|
)
|
|
394
|
|
|
1,705
|
|
||||
Non-interest expense
|
(1,289
|
)
|
|
(680
|
)
|
|
(2,500
|
)
|
|
(1,451
|
)
|
||||
Income tax expense
|
(1,909
|
)
|
|
(673
|
)
|
|
(2,173
|
)
|
|
(2,418
|
)
|
||||
Net income
|
4,169
|
|
|
1,362
|
|
|
4,693
|
|
|
5,382
|
|
||||
Comprehensive income
|
3,913
|
|
|
1,890
|
|
|
4,659
|
|
|
6,389
|
|
||||
Net income (loss) attributable to common stockholders
(1)
|
256
|
|
|
(528
|
)
|
|
34
|
|
|
(1,007
|
)
|
||||
Net income (loss) per common share – basic and diluted
|
0.08
|
|
|
(0.16
|
)
|
|
0.01
|
|
|
(0.31
|
)
|
||||
Cash dividends per common share
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Weighted average common shares outstanding (in millions) – basic and diluted
|
3,234
|
|
|
3,236
|
|
|
3,235
|
|
|
3,237
|
|
||||
|
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||
|
|
|
(dollars in millions)
|
||||||||||||
Balance Sheets Data
|
|
|
|
|
|
|
|
||||||||
Mortgage loans held-for-investment, at amortized cost by consolidated trusts (net of allowances for loan losses)
|
|
|
|
|
$
|
1,586,188
|
|
|
$
|
1,558,094
|
|
||||
Total assets
|
|
|
|
|
1,947,462
|
|
|
1,945,539
|
|
||||||
Debt securities of consolidated trusts held by third parties
|
|
|
|
|
1,515,132
|
|
|
1,479,473
|
|
||||||
Other debt
|
|
|
|
|
413,937
|
|
|
450,069
|
|
||||||
All other liabilities
|
|
|
|
|
12,680
|
|
|
13,346
|
|
||||||
Total stockholders’ equity
|
|
|
|
|
5,713
|
|
|
2,651
|
|
||||||
Portfolio Balances - UPB
|
|
|
|
|
|
|
|
||||||||
Mortgage-related investments portfolio
|
|
|
|
|
$
|
382,532
|
|
|
$
|
408,414
|
|
||||
Total Freddie Mac mortgage-related securities
(2)
|
|
|
|
|
1,677,867
|
|
|
1,637,086
|
|
||||||
Total mortgage portfolio
|
|
|
|
|
1,923,976
|
|
|
1,910,106
|
|
||||||
TDRs on accrual status
|
|
|
|
|
83,530
|
|
|
82,908
|
|
||||||
Non-accrual loans
|
|
|
|
|
26,835
|
|
|
33,130
|
|
||||||
|
|
|
|
|
|
|
|
||||||||
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Ratios
(3)
|
|
|
|
|
|
|
|
||||||||
Return on average assets
(4)
|
0.9
|
%
|
|
0.3
|
%
|
|
0.5
|
%
|
|
0.6
|
%
|
||||
Allowance for loans losses as percentage of mortgage loans, held-for-investment
(5)
|
1.0
|
|
|
1.3
|
|
|
1.0
|
|
|
1.3
|
|
||||
Equity to assets ratio
(6)
|
0.2
|
|
|
0.3
|
|
|
0.2
|
|
|
0.4
|
|
(1)
|
For a discussion of the manner in which the senior preferred stock dividend is determined and how it affects net income (loss) attributable to common stockholders, see “NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — Earnings Per Common Share” in our 2014 Annual Report.
|
(2)
|
See ‘‘
Table 24 — 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 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 divided by the simple average of the beginning and ending balances of total assets.
|
|
11
|
Freddie Mac Form 10-Q
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||||||||||
|
|
2015
|
|
2014
|
|
Variance
|
|
2015
|
|
2014
|
|
Variance
|
||||||||||||
|
|
(in millions)
|
||||||||||||||||||||||
Net interest income
|
|
$
|
3,969
|
|
|
$
|
3,503
|
|
|
$
|
466
|
|
|
$
|
7,616
|
|
|
$
|
7,013
|
|
|
$
|
603
|
|
Benefit for credit losses
|
|
857
|
|
|
618
|
|
|
239
|
|
|
1,356
|
|
|
533
|
|
|
823
|
|
||||||
Net interest income after benefit for credit losses
|
|
4,826
|
|
|
4,121
|
|
|
705
|
|
|
8,972
|
|
|
7,546
|
|
|
1,426
|
|
||||||
Non-interest income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Gains (losses) on extinguishment of debt securities of consolidated trusts
|
|
(54
|
)
|
|
(188
|
)
|
|
134
|
|
|
(134
|
)
|
|
(176
|
)
|
|
42
|
|
||||||
Gains (losses) on retirement of other debt
|
|
(26
|
)
|
|
1
|
|
|
(27
|
)
|
|
(25
|
)
|
|
8
|
|
|
(33
|
)
|
||||||
Derivative gains (losses)
|
|
3,135
|
|
|
(1,926
|
)
|
|
5,061
|
|
|
732
|
|
|
(4,277
|
)
|
|
5,009
|
|
||||||
Net impairment of available-for-sale securities recognized in earnings
|
|
(98
|
)
|
|
(157
|
)
|
|
59
|
|
|
(191
|
)
|
|
(521
|
)
|
|
330
|
|
||||||
Other gains (losses) on investment securities recognized in earnings
|
|
152
|
|
|
372
|
|
|
(220
|
)
|
|
569
|
|
|
1,138
|
|
|
(569
|
)
|
||||||
Other income (loss)
|
|
(568
|
)
|
|
492
|
|
|
(1,060
|
)
|
|
(557
|
)
|
|
5,533
|
|
|
(6,090
|
)
|
||||||
Total non-interest income (loss)
|
|
2,541
|
|
|
(1,406
|
)
|
|
3,947
|
|
|
394
|
|
|
1,705
|
|
|
(1,311
|
)
|
||||||
Non-interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Administrative expense
|
|
(501
|
)
|
|
(453
|
)
|
|
(48
|
)
|
|
(952
|
)
|
|
(921
|
)
|
|
(31
|
)
|
||||||
REO operations (expense) income
|
|
(52
|
)
|
|
50
|
|
|
(102
|
)
|
|
(127
|
)
|
|
(9
|
)
|
|
(118
|
)
|
||||||
Temporary Payroll Tax Cut Continuation Act of 2011 expense
|
|
(235
|
)
|
|
(187
|
)
|
|
(48
|
)
|
|
(457
|
)
|
|
(365
|
)
|
|
(92
|
)
|
||||||
Other expense
|
|
(501
|
)
|
|
(90
|
)
|
|
(411
|
)
|
|
(964
|
)
|
|
(156
|
)
|
|
(808
|
)
|
||||||
Total non-interest expense
|
|
(1,289
|
)
|
|
(680
|
)
|
|
(609
|
)
|
|
(2,500
|
)
|
|
(1,451
|
)
|
|
(1,049
|
)
|
||||||
Income before income tax expense
|
|
6,078
|
|
|
2,035
|
|
|
4,043
|
|
|
6,866
|
|
|
7,800
|
|
|
(934
|
)
|
||||||
Income tax expense
|
|
(1,909
|
)
|
|
(673
|
)
|
|
(1,236
|
)
|
|
(2,173
|
)
|
|
(2,418
|
)
|
|
245
|
|
||||||
Net income
|
|
4,169
|
|
|
1,362
|
|
|
2,807
|
|
|
4,693
|
|
|
5,382
|
|
|
(689
|
)
|
||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments
|
|
(256
|
)
|
|
528
|
|
|
(784
|
)
|
|
(34
|
)
|
|
1,007
|
|
|
(1,041
|
)
|
||||||
Comprehensive income
|
|
$
|
3,913
|
|
|
$
|
1,890
|
|
|
$
|
2,023
|
|
|
$
|
4,659
|
|
|
$
|
6,389
|
|
|
$
|
(1,730
|
)
|
|
12
|
Freddie Mac Form 10-Q
|
|
Three Months Ended June 30,
|
||||||||||||||||||||
|
2015
|
|
2014
|
||||||||||||||||||
|
Average
Balance
|
|
Interest
Income
(Expense)
|
|
Average
Rate
|
|
Average
Balance
|
|
Interest
Income
(Expense)
|
|
Average
Rate
|
||||||||||
|
(dollars in millions)
|
||||||||||||||||||||
Interest-earning assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Cash and cash equivalents
|
$
|
10,172
|
|
|
$
|
2
|
|
|
0.06
|
%
|
|
$
|
13,081
|
|
|
$
|
1
|
|
|
0.04
|
%
|
Federal funds sold and securities purchased under agreements to resell
|
50,358
|
|
|
13
|
|
|
0.10
|
|
|
33,574
|
|
|
5
|
|
|
0.06
|
|
||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-related securities
|
233,416
|
|
|
2,270
|
|
|
3.89
|
|
|
256,665
|
|
|
2,557
|
|
|
3.98
|
|
||||
Extinguishment of PCs held by Freddie Mac
|
(109,805
|
)
|
|
(1,017
|
)
|
|
(3.71
|
)
|
|
(110,559
|
)
|
|
(1,037
|
)
|
|
(3.75
|
)
|
||||
Total mortgage-related securities, net
|
123,611
|
|
|
1,253
|
|
|
4.06
|
|
|
146,106
|
|
|
1,520
|
|
|
4.16
|
|
||||
Non-mortgage-related securities
|
11,739
|
|
|
3
|
|
|
0.09
|
|
|
12,318
|
|
|
4
|
|
|
0.10
|
|
||||
Mortgage loans held by consolidated trusts
(1)
|
1,574,817
|
|
|
13,730
|
|
|
3.49
|
|
|
1,532,968
|
|
|
14,249
|
|
|
3.72
|
|
||||
Unsecuritized mortgage loans
(1)
|
163,468
|
|
|
1,654
|
|
|
4.05
|
|
|
171,029
|
|
|
1,660
|
|
|
3.88
|
|
||||
Total interest-earning assets
|
$
|
1,934,165
|
|
|
$
|
16,655
|
|
|
3.44
|
|
|
$
|
1,909,076
|
|
|
$
|
17,439
|
|
|
3.65
|
|
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Debt securities of consolidated trusts including PCs held by Freddie Mac
|
$
|
1,596,840
|
|
|
$
|
(12,022
|
)
|
|
(3.01
|
)
|
|
$
|
1,550,049
|
|
|
$
|
(13,142
|
)
|
|
(3.39
|
)
|
Extinguishment of PCs held by Freddie Mac
|
(109,805
|
)
|
|
1,017
|
|
|
3.71
|
|
|
(110,559
|
)
|
|
1,037
|
|
|
3.75
|
|
||||
Total debt securities of consolidated trusts held by third parties
|
1,487,035
|
|
|
(11,005
|
)
|
|
(2.96
|
)
|
|
1,439,490
|
|
|
(12,105
|
)
|
|
(3.36
|
)
|
||||
Other debt:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Short-term debt
|
103,045
|
|
|
(36
|
)
|
|
(0.14
|
)
|
|
110,240
|
|
|
(34
|
)
|
|
(0.12
|
)
|
||||
Long-term debt
|
326,659
|
|
|
(1,587
|
)
|
|
(1.94
|
)
|
|
332,560
|
|
|
(1,721
|
)
|
|
(2.07
|
)
|
||||
Total other debt
|
429,704
|
|
|
(1,623
|
)
|
|
(1.51
|
)
|
|
442,800
|
|
|
(1,755
|
)
|
|
(1.59
|
)
|
||||
Total interest-bearing liabilities
|
1,916,739
|
|
|
(12,628
|
)
|
|
(2.63
|
)
|
|
1,882,290
|
|
|
(13,860
|
)
|
|
(2.94
|
)
|
||||
Expense related to derivatives
(2)
|
—
|
|
|
(58
|
)
|
|
(0.01
|
)
|
|
—
|
|
|
(76
|
)
|
|
(0.02
|
)
|
||||
Impact of net non-interest-bearing funding
|
17,426
|
|
|
—
|
|
|
0.02
|
|
|
26,786
|
|
|
—
|
|
|
0.04
|
|
||||
Total funding of interest-earning assets
|
$
|
1,934,165
|
|
|
$
|
(12,686
|
)
|
|
(2.62
|
)
|
|
$
|
1,909,076
|
|
|
$
|
(13,936
|
)
|
|
(2.92
|
)
|
Net interest income/yield
|
|
|
$
|
3,969
|
|
|
0.82
|
|
|
|
|
$
|
3,503
|
|
|
0.73
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Six Months Ended June 30,
|
||||||||||||||||||||
|
2015
|
|
2014
|
||||||||||||||||||
|
Average
Balance
|
|
Interest
Income
(Expense)
|
|
Average
Rate
|
|
Average
Balance
|
|
Interest
Income
(Expense)
|
|
Average
Rate
|
||||||||||
|
(dollars in millions)
|
||||||||||||||||||||
Interest-earning assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Cash and cash equivalents
|
$
|
12,762
|
|
|
$
|
5
|
|
|
0.06
|
%
|
|
$
|
16,361
|
|
|
$
|
1
|
|
|
0.01
|
%
|
Federal funds sold and securities purchased under agreements to resell
|
48,894
|
|
|
21
|
|
|
0.09
|
|
|
40,865
|
|
|
10
|
|
|
0.05
|
|
||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-related securities
|
239,039
|
|
|
4,636
|
|
|
3.88
|
|
|
264,155
|
|
|
5,164
|
|
|
3.91
|
|
||||
Extinguishment of PCs held by Freddie Mac
|
(110,896
|
)
|
|
(2,051
|
)
|
|
(3.70
|
)
|
|
(113,574
|
)
|
|
(2,134
|
)
|
|
(3.76
|
)
|
||||
Total mortgage-related securities, net
|
128,143
|
|
|
2,585
|
|
|
4.03
|
|
|
150,581
|
|
|
3,030
|
|
|
4.03
|
|
||||
Non-mortgage-related securities
|
10,579
|
|
|
6
|
|
|
0.10
|
|
|
9,094
|
|
|
4
|
|
|
0.08
|
|
||||
Mortgage loans held by consolidated trusts
(1)
|
1,569,045
|
|
|
27,609
|
|
|
3.52
|
|
|
1,532,692
|
|
|
28,733
|
|
|
3.75
|
|
||||
Unsecuritized mortgage loans
(1)
|
164,318
|
|
|
3,229
|
|
|
3.93
|
|
|
174,625
|
|
|
3,322
|
|
|
3.80
|
|
||||
Total interest-earning assets
|
$
|
1,933,741
|
|
|
$
|
33,455
|
|
|
3.46
|
|
|
$
|
1,924,218
|
|
|
$
|
35,100
|
|
|
3.65
|
|
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Debt securities of consolidated trusts including PCs held by Freddie Mac
|
$
|
1,590,235
|
|
|
$
|
(24,543
|
)
|
|
(3.09
|
)
|
|
$
|
1,548,866
|
|
|
$
|
(26,482
|
)
|
|
(3.42
|
)
|
Extinguishment of PCs held by Freddie Mac
|
(110,896
|
)
|
|
2,051
|
|
|
3.70
|
|
|
(113,574
|
)
|
|
2,134
|
|
|
3.76
|
|
||||
Total debt securities of consolidated trusts held by third parties
|
1,479,339
|
|
|
(22,492
|
)
|
|
(3.04
|
)
|
|
1,435,292
|
|
|
(24,348
|
)
|
|
(3.39
|
)
|
||||
Other debt:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Short-term debt
|
112,386
|
|
|
(74
|
)
|
|
(0.13
|
)
|
|
118,380
|
|
|
(75
|
)
|
|
(0.13
|
)
|
||||
Long-term debt
|
325,657
|
|
|
(3,150
|
)
|
|
(1.93
|
)
|
|
340,596
|
|
|
(3,509
|
)
|
|
(2.06
|
)
|
||||
Total other debt
|
438,043
|
|
|
(3,224
|
)
|
|
(1.47
|
)
|
|
458,976
|
|
|
(3,584
|
)
|
|
(1.56
|
)
|
||||
Total interest-bearing liabilities
|
1,917,382
|
|
|
(25,716
|
)
|
|
(2.68
|
)
|
|
1,894,268
|
|
|
(27,932
|
)
|
|
(2.95
|
)
|
||||
Expense related to derivatives
(2)
|
—
|
|
|
(123
|
)
|
|
(0.01
|
)
|
|
—
|
|
|
(155
|
)
|
|
(0.02
|
)
|
||||
Impact of net non-interest-bearing funding
|
16,359
|
|
|
—
|
|
|
0.02
|
|
|
29,950
|
|
|
—
|
|
|
0.05
|
|
||||
Total funding of interest-earning assets
|
$
|
1,933,741
|
|
|
$
|
(25,839
|
)
|
|
(2.67
|
)
|
|
$
|
1,924,218
|
|
|
$
|
(28,087
|
)
|
|
(2.92
|
)
|
Net interest income/yield
|
|
|
$
|
7,616
|
|
|
0.79
|
|
|
|
|
$
|
7,013
|
|
|
0.73
|
|
(1)
|
Mortgage loans on non-accrual status, where interest income is generally recognized when collected, are included in average balances.
|
(2)
|
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.
|
•
|
Higher management and guarantee fee income — Management and guarantee fee income increased in the three and six months ended June 30, 2015, compared to the same periods in 2014, as the management and guarantee fees
|
|
13
|
Freddie Mac Form 10-Q
|
•
|
Increased amortization of upfront fees and basis adjustments — During the three and six months ended June 30, 2015, average mortgage interest rates declined as compared to the same periods in 2014. This decline in average mortgage interest rates caused an increase in borrower refinance activity. As borrowers refinance and our liquidation rate increases, the amortization of the upfront fees and basis adjustments associated with these mortgage loans increases, which has a positive effect on net interest income and net interest yield. The timing of the amortization for the mortgage loans differs from the timing of the amortization for the securities backed by these loans, because proceeds received from loans backing securities are remitted to the security holders at a later date. This timing difference can contribute to short-term volatility in net interest income period over period.
|
•
|
A decline in the average balance of our higher-yielding assets — There continues to be a reduction in the balance of our higher-yielding assets, consistent with the required reduction of the balance of our mortgage-related investments portfolio. This continued decline in our higher-yielding assets has placed downward pressure on our net interest income and net interest yield and will likely continue to do so in the future.
|
|
14
|
Freddie Mac Form 10-Q
|
|
|
2015
|
|
2014
|
||||||||||
|
|
Number of Loans
|
|
Amount
(1)
|
|
Number of Loans
|
|
Amount
|
||||||
|
|
(dollars in millions)
|
||||||||||||
TDRs, at January 1,
|
|
539,590
|
|
|
$
|
94,401
|
|
|
514,497
|
|
|
$
|
92,505
|
|
New additions
|
|
31,154
|
|
|
4,375
|
|
|
41,859
|
|
|
6,278
|
|
||
Repayments, charge-offs, and reclassifications to held-for-sale
|
|
(36,003
|
)
|
|
(7,626
|
)
|
|
(14,280
|
)
|
|
(2,576
|
)
|
||
Foreclosure transfers and foreclosure alternatives
|
|
(10,878
|
)
|
|
(1,747
|
)
|
|
(13,371
|
)
|
|
(2,313
|
)
|
||
TDRs, at June 30,
|
|
523,863
|
|
|
89,403
|
|
|
528,705
|
|
|
93,894
|
|
||
Loans impaired upon purchase
|
|
11,015
|
|
|
814
|
|
|
12,363
|
|
|
1,034
|
|
||
Total impaired loans with specific reserve
|
|
534,878
|
|
|
90,217
|
|
|
541,068
|
|
|
94,928
|
|
||
Total allowance for loan losses of individually impaired single-family loans
|
|
|
|
(15,528
|
)
|
|
|
|
(18,093
|
)
|
||||
Net investment, at June 30,
|
|
|
|
$
|
74,689
|
|
|
|
|
$
|
76,835
|
|
(1)
|
The net investment amount for 2015 includes charge-offs related to our January 1, 2015 adoption of regulatory guidance that changed when we deem loans to be uncollectible.
|
|
15
|
Freddie Mac Form 10-Q
|
|
|
June 30, 2015
|
|
December 31, 2014
|
|
June 30, 2014
|
||||||
|
|
(dollars in millions)
|
||||||||||
TDRs on accrual status:
|
|
|
|
|
||||||||
Single-family
|
|
$
|
83,107
|
|
|
$
|
82,373
|
|
|
$
|
81,400
|
|
Multifamily
|
|
423
|
|
|
535
|
|
|
576
|
|
|||
Subtotal —TDRs on accrual status
|
|
83,530
|
|
|
82,908
|
|
|
81,976
|
|
|||
Non-accrual mortgage loans:
|
|
|
|
|
|
|
||||||
Single-family
|
|
26,522
|
|
|
32,745
|
|
|
36,458
|
|
|||
Multifamily
(1)
|
|
313
|
|
|
385
|
|
|
511
|
|
|||
Subtotal — non-accrual mortgage loans
|
|
26,835
|
|
|
33,130
|
|
|
36,969
|
|
|||
Total TDRs and non-accrual mortgage loans
(2)
|
|
$
|
110,365
|
|
|
$
|
116,038
|
|
|
$
|
118,945
|
|
|
|
|
|
|
|
|
||||||
Loan loss reserves associated with:
|
|
|
|
|
|
|
||||||
TDRs on accrual status
|
|
$
|
13,185
|
|
|
$
|
13,749
|
|
|
$
|
14,270
|
|
Non-accrual mortgage loans
|
|
3,455
|
|
|
6,966
|
|
|
7,341
|
|
|||
Total loan loss reserves associated with TDRs and non-accrual mortgage loans
|
|
$
|
16,640
|
|
|
$
|
20,715
|
|
|
$
|
21,611
|
|
|
|
|
|
|
|
|
||||||
Ratio of total loan loss reserves (excluding reserves for TDR concessions) to annualized net charge-offs for single-family mortgage loans
|
|
2.4
|
|
|
2.7
|
|
|
2.8
|
|
|||
Ratio of total loan loss reserves to annualized net charge-offs for single-family mortgage loans
|
|
6.6
|
|
|
5.6
|
|
|
5.5
|
|
|||
|
|
|
|
|
|
|
||||||
|
|
Six Months Ended June 30,
|
||||||||||
|
|
2015
|
|
|
|
2014
|
||||||
|
|
(in millions)
|
||||||||||
Foregone interest income on TDR and non-accrual mortgage loans:
|
|
|
|
|
||||||||
Single-family
|
|
$
|
1,572
|
|
|
|
|
$
|
1,842
|
|
||
Multifamily
|
|
3
|
|
|
|
|
5
|
|
||||
Total foregone interest income on TDR and non-accrual mortgage loans
|
|
$
|
1,575
|
|
|
|
|
$
|
1,847
|
|
(1)
|
Includes
$302 million
, $385 million, and $501 million in UPB of mortgage loans that were current as of
June 30, 2015
, December 31, 2014, and June 30, 2014, respectively.
|
(2)
|
As of January 1, 2015, we adopted regulatory guidance that changed when we deem mortgage loans to be uncollectible. As of June 30, 2015, there was
$6.9 billion
in UPB of our TDR and non-accrual mortgage loans of which we had charged-off
$1.9 billion
during the first half of 2015 that reduced the UPB of these mortgage loans.
|
|
16
|
Freddie Mac Form 10-Q
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
(dollars in millions)
|
||||||||||||||
REO
|
|
|
|
|
|
|
|
||||||||
REO balances, net:
|
|
|
|
|
|
|
|
||||||||
Single-family
|
$
|
1,978
|
|
|
$
|
3,661
|
|
|
$
|
1,978
|
|
|
$
|
3,661
|
|
Multifamily
|
—
|
|
|
16
|
|
|
—
|
|
|
16
|
|
||||
Total
|
$
|
1,978
|
|
|
$
|
3,677
|
|
|
$
|
1,978
|
|
|
$
|
3,677
|
|
REO operations expense (income):
|
|
|
|
|
|
|
|
||||||||
Single-family
|
$
|
52
|
|
|
$
|
(48
|
)
|
|
$
|
127
|
|
|
$
|
11
|
|
Multifamily
|
—
|
|
|
(2
|
)
|
|
—
|
|
|
(2
|
)
|
||||
Total
|
$
|
52
|
|
|
$
|
(50
|
)
|
|
$
|
127
|
|
|
$
|
9
|
|
Charge-offs
|
|
|
|
|
|
|
|
||||||||
Single-family:
|
|
|
|
|
|
|
|
||||||||
Charge-offs, gross
(1)
|
$
|
877
|
|
|
$
|
1,242
|
|
|
$
|
3,855
|
|
|
$
|
2,717
|
|
Recoveries
(2)
|
(196
|
)
|
|
(343
|
)
|
|
(370
|
)
|
|
(910
|
)
|
||||
Single-family, net
|
$
|
681
|
|
|
$
|
899
|
|
|
$
|
3,485
|
|
|
$
|
1,807
|
|
Multifamily:
|
|
|
|
|
|
|
|
||||||||
Charge-offs, gross
|
$
|
6
|
|
|
$
|
2
|
|
|
$
|
6
|
|
|
$
|
2
|
|
Recoveries
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Multifamily, net
|
$
|
6
|
|
|
$
|
2
|
|
|
$
|
6
|
|
|
$
|
2
|
|
Total Charge-offs:
|
|
|
|
|
|
|
|
||||||||
Charge-offs, gross
|
$
|
883
|
|
|
$
|
1,244
|
|
|
$
|
3,861
|
|
|
$
|
2,719
|
|
Recoveries
|
(196
|
)
|
|
(343
|
)
|
|
(370
|
)
|
|
(910
|
)
|
||||
Total Charge-offs, net
|
$
|
687
|
|
|
$
|
901
|
|
|
$
|
3,491
|
|
|
$
|
1,809
|
|
Credit Losses:
|
|
|
|
|
|
|
|
||||||||
Single-family
|
$
|
733
|
|
|
$
|
851
|
|
|
$
|
3,612
|
|
|
$
|
1,818
|
|
Multifamily
|
6
|
|
|
—
|
|
|
6
|
|
|
—
|
|
||||
Total
|
$
|
739
|
|
|
$
|
851
|
|
|
$
|
3,618
|
|
|
$
|
1,818
|
|
Total (in bps)
(3)
|
16.0
|
|
|
18.8
|
|
|
39.3
|
|
|
20.1
|
|
(1)
|
Charge-offs include
$25 million
and $20 million during the
three months ended June 30, 2015
and the
three months ended June 30, 2014
, respectively, and
$52 million
and $38 million during the
six months ended June 30, 2015
and the
six months ended June 30, 2014
, respectively, related to losses on mortgage loans purchased under financial guarantees that were recorded within other expenses on our consolidated statements of comprehensive income.
|
(2)
|
Includes $0.4 billion during the
six months ended June 30, 2014
related to repurchase requests made to our seller/servicers (including
$0.3 billion
related to settlement agreements with certain sellers to release specified mortgage loans from certain repurchase obligations in exchange for one-time cash payments). Excludes certain recoveries, such as pool insurance, which are included in non-interest income on our consolidated statements of comprehensive income.
|
(3)
|
Includes charge-offs of $1.9 billion associated with our initial adoption of regulatory guidance on January 1, 2015. Excluding this amount, the total credit losses (in bps) during the
six months ended June 30, 2015
were
18.2
.
|
|
17
|
Freddie Mac Form 10-Q
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||
Severity ratios:
|
|
|
|
|
|
|
|
||||
REO dispositions and third-party sales
(1)
|
33.9
|
%
|
|
32.9
|
%
|
|
34.5
|
%
|
|
34.0
|
%
|
Short sales
|
29.8
|
|
|
30.5
|
|
|
30.5
|
|
|
31.3
|
|
(1)
|
Calculated as combined collateral losses on REO dispositions and third-party sales at foreclosure auction, divided by the combined UPB of the related mortgage loans. Includes selling and repair expenses. Excludes recoveries related to settlement agreements with certain sellers to release specified mortgage loans from certain repurchase obligations in exchange for one-time cash payments.
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
(in millions)
|
||||||||||||||
Interest-rate swaps
|
$
|
4,840
|
|
|
$
|
(1,551
|
)
|
|
$
|
2,179
|
|
|
$
|
(3,321
|
)
|
Option-based derivatives
|
(1,465
|
)
|
|
197
|
|
|
(449
|
)
|
|
266
|
|
||||
Other derivatives
(1)
|
292
|
|
|
97
|
|
|
105
|
|
|
125
|
|
||||
Accrual of periodic settlements
|
(532
|
)
|
|
(669
|
)
|
|
(1,103
|
)
|
|
(1,347
|
)
|
||||
Total
|
$
|
3,135
|
|
|
$
|
(1,926
|
)
|
|
$
|
732
|
|
|
$
|
(4,277
|
)
|
(1)
|
Primarily includes futures, commitments, credit derivatives and swap guarantee derivatives.
|
|
18
|
Freddie Mac Form 10-Q
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
(in millions)
|
||||||||||||||
Gains (losses) on trading securities
|
$
|
(328
|
)
|
|
$
|
40
|
|
|
$
|
(273
|
)
|
|
$
|
33
|
|
Gains (losses) on sales of available-for-sale securities
|
480
|
|
|
332
|
|
|
842
|
|
|
1,105
|
|
||||
Total
|
$
|
152
|
|
|
$
|
372
|
|
|
$
|
569
|
|
|
$
|
1,138
|
|
|
19
|
Freddie Mac Form 10-Q
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
(in millions)
|
||||||||||||||
Other income (loss):
|
|
|
|
|
|
|
|
||||||||
Non-agency mortgage-related securities settlements
|
$
|
—
|
|
|
$
|
364
|
|
|
$
|
—
|
|
|
$
|
4,897
|
|
Gains (losses) on mortgage loans
|
(924
|
)
|
|
(39
|
)
|
|
(1,124
|
)
|
|
215
|
|
||||
Recoveries on mortgage loans acquired with deteriorated credit quality
(1)
|
34
|
|
|
59
|
|
|
65
|
|
|
109
|
|
||||
Management and guarantee-related income, net
(2)
|
129
|
|
|
111
|
|
|
236
|
|
|
144
|
|
||||
All other
|
193
|
|
|
(3
|
)
|
|
266
|
|
|
168
|
|
||||
Total other income (loss)
|
$
|
(568
|
)
|
|
$
|
492
|
|
|
$
|
(557
|
)
|
|
$
|
5,533
|
|
(1)
|
Primarily relates to mortgage loans acquired with deteriorated credit quality prior to 2010. Consequently, our recoveries on these mortgage 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.
|
•
|
Gains (losses) on mortgage loans held-for-sale related to lower-of-cost-or-fair-value adjustments were
$(0.6) billion
and
$(0.2) billion
during the three months ended June 30, 2015 and the three months ended June 30, 2014, respectively, and were
$(1.2) billion
and
$(0.2) billion
during the six months ended June 30, 2015 and the six months ended June 30, 2014, respectively. The higher losses during the 2015 periods were primarily due to a larger volume of mortgage loans reclassified from held-for-investment to held-for-sale during the 2015 periods, compared to the 2014 periods.
|
•
|
During the three months ended June 30, 2015 and the three months ended June 30, 2014, we reclassified $4.5 billion and $0.7 billion, respectively, in UPB of single-family mortgage loans from held-for-investment to held-for-sale, and during the six months ended June 30, 2015 and the six months ended June 30, 2014, we reclassified
$8.1 billion
and $0.7 billion in UPB, respectively.
|
•
|
We held
$6.3 billion
in UPB of single-family mortgage loans for sale on our consolidated balance sheet at June 30, 2015.
|
•
|
Gains (losses) realized on the sale of mortgage loans were
$(0.1) billion
and
$0.1 billion
during the first half of 2015 and the first half of 2014, respectively.
|
•
|
We sold
$15.2 billion
and $8.4 billion in UPB of multifamily mortgage loans during the first half of 2015 and the first half of 2014, respectively.
|
•
|
We sold $0.9 billion and $1.2 billion in UPB of single-family mortgage loans during the three months ended June 30, 2015 and the six months ended June 30, 2015, respectively. We did not sell any single-family mortgage loans during the first half of 2014.
|
•
|
Gains (losses) resulting from changes in the fair value of multifamily mortgage loans for which we have elected the fair value option were
$0.2 billion
and
$0.3 billion
during the first half of 2015 and the first half of 2014, respectively.
|
|
20
|
Freddie Mac Form 10-Q
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
|
(in millions)
|
||||||||||||||
Administrative expense:
|
|
|
|
|
|
|
|
|
||||||||
Salaries and employee benefits
|
|
$
|
279
|
|
|
$
|
223
|
|
|
$
|
511
|
|
|
$
|
456
|
|
Professional services
|
|
118
|
|
|
126
|
|
|
231
|
|
|
264
|
|
||||
Occupancy expense
|
|
14
|
|
|
14
|
|
|
26
|
|
|
27
|
|
||||
Other administrative expense
|
|
90
|
|
|
90
|
|
|
184
|
|
|
174
|
|
||||
Total administrative expense
|
|
501
|
|
|
453
|
|
|
952
|
|
|
921
|
|
||||
REO operations expense (income)
|
|
52
|
|
|
(50
|
)
|
|
127
|
|
|
9
|
|
||||
Temporary Payroll Tax Cut Continuation Act of 2011 expense
|
|
235
|
|
|
187
|
|
|
457
|
|
|
365
|
|
||||
Other expense
|
|
501
|
|
|
90
|
|
|
964
|
|
|
156
|
|
||||
Total non-interest expense
|
|
$
|
1,289
|
|
|
$
|
680
|
|
|
$
|
2,500
|
|
|
$
|
1,451
|
|
|
21
|
Freddie Mac Form 10-Q
|
•
|
Our Single-family Guarantee segment is measured on its contribution to GAAP net income (loss);
|
•
|
Our Investments segment is measured on its contribution to GAAP comprehensive income (loss); and
|
•
|
Our Multifamily segment is measured on its contribution to GAAP comprehensive income (loss).
|
|
22
|
Freddie Mac Form 10-Q
|
|
|
June 30, 2015
|
|
December 31, 2014
|
||||
|
|
(in millions)
|
||||||
Segment mortgage portfolios:
|
|
|
|
|
||||
Single-family Guarantee — Managed loan portfolio:
(1)
|
|
|
|
|
||||
Single-family unsecuritized seriously delinquent mortgage loans
|
|
$
|
23,596
|
|
|
$
|
28,738
|
|
Single-family Freddie Mac mortgage-related securities held by us
|
|
150,293
|
|
|
158,215
|
|
||
Single-family Freddie Mac mortgage-related securities held by third parties
|
|
1,434,625
|
|
|
1,397,050
|
|
||
Single-family other guarantee commitments
|
|
8,499
|
|
|
16,806
|
|
||
Total Single-family Guarantee — Managed loan portfolio
|
|
1,617,013
|
|
|
1,600,809
|
|
||
Investments — Mortgage investments portfolio:
|
|
|
|
|
||||
Single-family unsecuritized performing mortgage loans
|
|
82,959
|
|
|
82,778
|
|
||
Single-family Freddie Mac mortgage-related securities
|
|
150,293
|
|
|
158,215
|
|
||
Non-agency mortgage-related securities
|
|
34,611
|
|
|
44,230
|
|
||
Non-Freddie Mac agency mortgage-related securities
|
|
14,599
|
|
|
16,341
|
|
||
Total Investments — Mortgage investments portfolio
|
|
282,462
|
|
|
301,564
|
|
||
Multifamily — Guarantee portfolio:
|
|
|
|
|
||||
Multifamily Freddie Mac mortgage-related securities held by us
|
|
4,201
|
|
|
3,326
|
|
||
Multifamily Freddie Mac mortgage-related securities held by third parties
|
|
88,748
|
|
|
78,495
|
|
||
Multifamily other guarantee commitments
|
|
9,572
|
|
|
9,341
|
|
||
Total Multifamily — Guarantee portfolio
|
|
102,521
|
|
|
91,162
|
|
||
Multifamily — Mortgage investments portfolio:
|
|
|
|
|
||||
Multifamily investment securities portfolio
|
|
21,824
|
|
|
25,156
|
|
||
Multifamily unsecuritized mortgage loan portfolio
|
|
54,650
|
|
|
52,956
|
|
||
Total Multifamily — Mortgage investments portfolio
|
|
76,474
|
|
|
78,112
|
|
||
Total Multifamily portfolio
|
|
178,995
|
|
|
169,274
|
|
||
Less: single-family and multifamily Freddie Mac securities held by us
|
|
(154,494
|
)
|
|
(161,541
|
)
|
||
Total mortgage portfolio
|
|
$
|
1,923,976
|
|
|
$
|
1,910,106
|
|
Credit risk portfolios:
|
|
|
|
|
||||
Single-family credit guarantee portfolio:
(1)
|
|
|
|
|
||||
Single-family mortgage loans, on-balance sheet
|
|
$
|
1,667,590
|
|
|
$
|
1,645,872
|
|
Non-consolidated Freddie Mac mortgage-related securities
|
|
5,771
|
|
|
6,233
|
|
||
Other guarantee commitments
|
|
8,499
|
|
|
16,806
|
|
||
Less: HFA initiative-related guarantees
|
|
(3,029
|
)
|
|
(3,357
|
)
|
||
Less: Freddie Mac mortgage-related securities backed by Ginnie Mae certificates
|
|
(388
|
)
|
|
(433
|
)
|
||
Total single-family credit guarantee portfolio
|
|
$
|
1,678,443
|
|
|
$
|
1,665,121
|
|
Multifamily mortgage portfolio:
|
|
|
|
|
||||
Multifamily mortgage loans, on-balance sheet
|
|
$
|
55,148
|
|
|
$
|
53,480
|
|
Non-consolidated Freddie Mac mortgage-related securities
|
|
92,451
|
|
|
81,296
|
|
||
Other guarantee commitments
|
|
9,572
|
|
|
9,341
|
|
||
Less: HFA initiative-related guarantees
|
|
(713
|
)
|
|
(772
|
)
|
||
Total multifamily mortgage portfolio
|
|
$
|
156,458
|
|
|
$
|
143,345
|
|
(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.
|
|
23
|
Freddie Mac Form 10-Q
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
|
(dollars in millions)
|
||||||||||||||
Segment Earnings:
|
|
|
|
|
|
|
|
|
||||||||
Net interest income (expense)
|
|
$
|
26
|
|
|
$
|
(79
|
)
|
|
$
|
(111
|
)
|
|
$
|
(46
|
)
|
Benefit for credit losses
|
|
663
|
|
|
398
|
|
|
975
|
|
|
76
|
|
||||
Non-interest income:
|
|
|
|
|
|
|
|
|
||||||||
Management and guarantee fee income
|
|
1,398
|
|
|
1,065
|
|
|
2,721
|
|
|
2,058
|
|
||||
Other non-interest income (loss)
|
|
(431
|
)
|
|
(172
|
)
|
|
(946
|
)
|
|
28
|
|
||||
Total non-interest income
|
|
967
|
|
|
893
|
|
|
1,775
|
|
|
2,086
|
|
||||
Non-interest expense:
|
|
|
|
|
|
|
|
|
||||||||
Administrative expense
|
|
(329
|
)
|
|
(275
|
)
|
|
(629
|
)
|
|
(553
|
)
|
||||
REO operations (expense) income
|
|
(52
|
)
|
|
48
|
|
|
(127
|
)
|
|
(11
|
)
|
||||
Other non-interest expense
|
|
(487
|
)
|
|
(80
|
)
|
|
(939
|
)
|
|
(119
|
)
|
||||
Total non-interest expense
|
|
(868
|
)
|
|
(307
|
)
|
|
(1,695
|
)
|
|
(683
|
)
|
||||
Segment adjustments
|
|
(74
|
)
|
|
(76
|
)
|
|
(140
|
)
|
|
(158
|
)
|
||||
Segment Earnings before income tax expense
|
|
714
|
|
|
829
|
|
|
804
|
|
|
1,275
|
|
||||
Income tax expense
|
|
(225
|
)
|
|
(261
|
)
|
|
(255
|
)
|
|
(394
|
)
|
||||
Segment Earnings, net of taxes
|
|
489
|
|
|
568
|
|
|
549
|
|
|
881
|
|
||||
Total other comprehensive income (loss), net of taxes
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
||||
Total comprehensive income
|
|
$
|
489
|
|
|
$
|
568
|
|
|
$
|
548
|
|
|
$
|
881
|
|
Key metrics:
|
|
|
|
|
|
|
|
|
||||||||
Balances and Volume (in billions, except rate):
|
|
|
|
|
|
|
|
|
||||||||
Average balance of single-family credit guarantee portfolio and HFA guarantees
|
|
$
|
1,671
|
|
|
$
|
1,651
|
|
|
$
|
1,668
|
|
|
$
|
1,652
|
|
Issuance — Single-family credit guarantees
|
|
$
|
102
|
|
|
$
|
58
|
|
|
$
|
182
|
|
|
$
|
111
|
|
Fixed-rate products — Percentage of purchases
|
|
97
|
%
|
|
93
|
%
|
|
96
|
%
|
|
94
|
%
|
||||
Liquidation rate — Single-family credit guarantees (annualized)
(1)
|
|
22
|
%
|
|
14
|
%
|
|
20
|
%
|
|
14
|
%
|
||||
Average Management and Guarantee Fee Rate (in bps, annualized)
|
|
|
|
|
|
|
|
|
||||||||
Segment Earnings management and guarantee fee income
(2)
|
|
33.4
|
|
|
25.8
|
|
|
32.6
|
|
|
24.9
|
|
||||
Management and guarantee fee charged on new acquisitions
(3)
|
|
45.1
|
|
|
47.7
|
|
|
45.8
|
|
|
47.0
|
|
||||
Credit:
|
|
|
|
|
|
|
|
|
||||||||
Serious delinquency rate, at period end
|
|
1.53
|
%
|
|
2.07
|
%
|
|
1.53
|
%
|
|
2.07
|
%
|
||||
REO inventory, at end of period (number of properties)
|
|
19,484
|
|
|
36,134
|
|
|
19,484
|
|
|
36,134
|
|
||||
Single-family credit losses, in bps (annualized)
(4)
|
|
17.3
|
|
|
20.4
|
|
|
42.8
|
|
|
21.7
|
|
||||
Market:
|
|
|
|
|
|
|
|
|
||||||||
Single-family mortgage loan debt outstanding (total U.S. market, in billions)
(5)
|
|
$
|
9,855
|
|
|
$
|
9,851
|
|
|
$
|
9,855
|
|
|
$
|
9,851
|
|
(1)
|
Includes our removal of seriously delinquent and modified mortgage loans and balloon/reset mortgage loans from PC pools. Also includes terminations of other guarantee commitments.
|
(2)
|
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 mortgage loans) for the entire single-family credit guarantee portfolio.
|
(3)
|
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 mortgage loans rather than the original contractual maturity date of the related loans, net of expense for the legislated 10 basis point increase in management and guarantee fees. Prior periods have been revised to conform with the current period presentation.
|
(4)
|
Includes charge-offs of $1.9 billion associated with our initial adoption of regulatory guidance on January 1, 2015. Excluding this amount, the single-family credit losses, in bps (annualized) for the first half of 2015 were
19.8
.
|
(5)
|
Source: Federal Reserve Financial Accounts of the United States of America dated June 11, 2015. The outstanding amounts reflect the balances as of March 31, 2015.
|
|
24
|
Freddie Mac Form 10-Q
|
•
|
Origination volumes in the U.S. residential mortgage loan market increased in the first half of 2015 compared to the first half of 2014, driven by an increase in the volume of refinance mortgage loans. We attribute this increase to lower average long-term mortgage loan interest rates during the first half of 2015 compared to prior periods.
|
•
|
Our purchase activity during the first half of 2015 increased to
$181.3 billion
in UPB, compared to
$107.6 billion
in UPB during the first half of 2014. During the first half of 2015, refinancings comprised approximately
63%
of our single-family purchase and issuance volume, compared to 48% during the first half of 2014.
|
•
|
During the first half of 2015, we completed
five
STACR debt note transactions and
five
ACIS transactions that transferred a portion of the credit risk associated with
$138.4 billion
in UPB of mortgage loans in our New single-family book from us to third-party investors and insurers. These transactions included:
|
◦
|
Five STACR debt note transactions that transferred a portion of the first loss position, in addition to a portion of the mezzanine loss position, associated with the related reference pool. Two of these STACR transactions allocate losses based on the actual losses on the related reference pool rather than calculated losses using a predefined formula; and
|
◦
|
Five ACIS transactions, two of which are based on actual losses rather than calculated losses.
|
•
|
The UPB covered by credit risk transfers for measurement under our scorecard goal is determined by FHFA based on the amount of risk we transfer in the specific transactions. We expect to meet our 2015 Conservatorship Scorecard goal of completing credit risk transfer transactions of at least $120 billion in UPB of single-family mortgage loans.
|
•
|
In July 2015, we completed the offering of a whole loan security, which is a new type of credit risk transfer transaction for us using a subordinated security structure. We expect to complete more of these transactions in 2015, subject to market conditions.
|
•
|
Our New single-family book continues to represent an increasing share of our overall single-family credit guarantee portfolio and comprised
63%
of this portfolio as of
June 30, 2015
, compared to
60%
as of December 31, 2014.
|
•
|
There were approximately
10.6 million
mortgage loans in our single-family credit guarantee portfolio at both
June 30, 2015
and December 31, 2014, including
2.0 million
and 2.1 million of relief refinance mortgage loans at June 30, 2015 and December 31, 2014, respectively.
|
•
|
The average UPB of mortgage loans in our single-family credit guarantee portfolio was approximately $158,000 and $156,000 at
June 30, 2015
and December 31, 2014, respectively.
|
•
|
We expect the UPB of our single-family credit guarantee portfolio will be relatively unchanged at the end of 2015 compared to the end of 2014.
|
•
|
The serious delinquency rate on our single-family credit guarantee portfolio was
1.53%
and
1.88%
at
June 30, 2015
and December 31, 2014, respectively. The serious delinquency rate for the New single-family book was
0.21%
as of
June 30, 2015
and its credit losses were
$88 million
during the first half of 2015.
|
•
|
During the first half of 2015, our serious delinquency rate continued the decline that began in 2010, primarily due to lower volumes of single-family mortgage loans becoming seriously delinquent and continued loss mitigation (including sales of non-performing mortgage loans) and foreclosure activities for mortgage loans in the Legacy single-family books. See "
Table 31 — Single-Family Serious Delinquency Rate Trend
" for the recent trend in our serious delinquency rates.
|
•
|
The total number of our mortgage loans delinquent for more than one year declined approximately
20%
during the first half of 2015. During the first half of 2015, we sold certain seriously delinquent unsecuritized single-family mortgage loans with an aggregate UPB of $1.2 billion, which contributed to this decline.
|
•
|
Our single-family REO inventory (measured in number of properties) declined
24%
from December 31, 2014 to
June 30, 2015
, primarily due to our loss mitigation efforts and a larger proportion of property sales to third parties at foreclosure auction.
|
•
|
Segment Earnings management and guarantee fee income increased during the 2015 periods, compared to the same periods of 2014. These increases were primarily due to higher amortization of upfront fees associated with a higher portfolio liquidation rate resulting from a lower interest rate environment and increased income from monthly base
|
|
25
|
Freddie Mac Form 10-Q
|
•
|
Segment Earnings benefit for credit losses increased during the 2015 periods, compared to the same periods of 2014. The benefit for credit losses during the 2015 periods is primarily due to a reduction of loan loss reserves associated with the reclassification of mortgage loans from held-for-investment to held-for-sale during these periods. The benefit for credit losses during the 2014 periods is primarily due to: (a) moderate home price growth; and (b) settlement agreements with certain sellers; partially offset by (c) incurred losses associated with newly delinquent mortgage loans. Excluding the effect of mortgage loan reclassifications in the 2015 periods and the settlement agreements in the 2014 periods, the (provision) benefit for credit losses remained relatively unchanged. Segment Earnings benefit for credit losses in all periods presented also includes benefits associated with the positive payment performance of our TDR mortgage loans.
|
•
|
Segment Earnings other non-interest income (loss) declined during the 2015 periods, compared to the same periods of 2014, primarily due to increased lower-of-cost-or-fair-value adjustments on single-family mortgage loans that were reclassified from held-for-investment to held-for-sale. The second quarter of 2015 included fair value gains on STACR debt notes (that we have elected to carry at fair value) due to a decrease in market prices for these notes, compared to fair value losses during the second quarter of 2014.
|
•
|
Segment Earnings other non-interest expense increased during the 2015 periods, compared to the same periods of 2014, primarily due to property taxes and insurance associated with mortgage loans reclassified as held-for-sale during 2015.
|
•
|
During the first half of 2015, we reclassified
$8.1 billion
in UPB of seriously delinquent single-family mortgage loans from held-for-investment to held-for-sale, resulting in a pre-tax Segment Earnings net loss of approximately $0.4 billion.
|
|
26
|
Freddie Mac Form 10-Q
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
(dollars in millions)
|
||||||||||||||
Segment Earnings:
|
|
|
|
|
|
|
|
||||||||
Net interest income
|
$
|
459
|
|
|
$
|
726
|
|
|
$
|
1,085
|
|
|
$
|
1,562
|
|
Non-interest income (loss):
|
|
|
|
|
|
|
|
||||||||
Net impairment of available-for-sale securities recognized in earnings
|
96
|
|
|
83
|
|
|
214
|
|
|
(132
|
)
|
||||
Derivative gains (losses)
|
3,157
|
|
|
(1,124
|
)
|
|
1,729
|
|
|
(2,612
|
)
|
||||
Gains (losses) on trading securities
|
(271
|
)
|
|
14
|
|
|
(226
|
)
|
|
(41
|
)
|
||||
Non-agency mortgage-related securities settlements
|
—
|
|
|
364
|
|
|
—
|
|
|
4,897
|
|
||||
Other non-interest income
|
1,112
|
|
|
409
|
|
|
1,921
|
|
|
1,513
|
|
||||
Total non-interest income (loss)
|
4,094
|
|
|
(254
|
)
|
|
3,638
|
|
|
3,625
|
|
||||
Non-interest expense:
|
|
|
|
|
|
|
|
||||||||
Administrative expense
|
(82
|
)
|
|
(111
|
)
|
|
(163
|
)
|
|
(235
|
)
|
||||
Other non-interest expense (income)
|
(2
|
)
|
|
(2
|
)
|
|
(2
|
)
|
|
(6
|
)
|
||||
Total non-interest expense
|
(84
|
)
|
|
(113
|
)
|
|
(165
|
)
|
|
(241
|
)
|
||||
Segment adjustments
|
216
|
|
|
149
|
|
|
397
|
|
|
300
|
|
||||
Segment Earnings before income tax (expense) benefit
|
4,685
|
|
|
508
|
|
|
4,955
|
|
|
5,246
|
|
||||
Income tax expense
|
(1,478
|
)
|
|
(190
|
)
|
|
(1,568
|
)
|
|
(1,626
|
)
|
||||
Segment Earnings, net of taxes
|
3,207
|
|
|
318
|
|
|
3,387
|
|
|
3,620
|
|
||||
Total other comprehensive income (loss), net of taxes
|
(169
|
)
|
|
595
|
|
|
67
|
|
|
1,074
|
|
||||
Comprehensive income
|
$
|
3,038
|
|
|
$
|
913
|
|
|
$
|
3,454
|
|
|
$
|
4,694
|
|
Key metrics:
|
|
|
|
|
|
|
|
||||||||
Portfolio balances:
|
|
|
|
|
|
|
|
||||||||
Ending investments asset balances:
|
|
|
|
|
|
|
|
||||||||
Mortgage-related investments
(1)
(based on UPB)
|
|
|
|
|
$
|
282,462
|
|
|
$
|
307,398
|
|
||||
Non-mortgage-related investments
(2)
(based on carrying value)
|
|
|
|
|
52,464
|
|
|
61,504
|
|
||||||
Total investments
|
|
|
|
|
$
|
334,926
|
|
|
$
|
368,902
|
|
||||
Average balances of interest-earning assets (based on amortized cost):
|
|
|
|
|
|
|
|
||||||||
Mortgage-related investments
(1)
|
$
|
299,965
|
|
|
$
|
317,980
|
|
|
$
|
305,232
|
|
|
$
|
324,989
|
|
Non-mortgage-related investments
(2)
|
64,452
|
|
|
56,006
|
|
|
65,119
|
|
|
64,018
|
|
||||
Total average balances of interest-earning assets
|
$
|
364,417
|
|
|
$
|
373,986
|
|
|
$
|
370,351
|
|
|
$
|
389,007
|
|
Return:
|
|
|
|
|
|
|
|
||||||||
Net interest yield — Segment Earnings basis (annualized)
|
0.50
|
%
|
|
0.78
|
%
|
|
0.59
|
%
|
|
0.80
|
%
|
(1)
|
Includes our investments in single-family PCs and certain Other Guarantee Transactions, which are consolidated under GAAP on our consolidated balance sheets, and single-family unsecuritized performing loans.
|
(2)
|
Includes interest-earning cash and cash equivalents, non-mortgage-related securities, and federal funds sold and securities purchased under agreements to resell.
|
•
|
We held
$164.9 billion
and
$174.6 billion
of agency securities and
$34.6 billion
and
$44.2 billion
of non-agency mortgage-related securities at
June 30, 2015
and December 31, 2014, respectively.
|
|
27
|
Freddie Mac Form 10-Q
|
•
|
The UPB of our mortgage investments portfolio, which includes mortgage loans, declined by $19.1 billion in the first half of 2015. This decline was primarily due to liquidations of the portfolio and sales of non-agency mortgage-related securities consistent with our efforts to reduce the amount of less liquid assets.
|
•
|
Net interest income and yields for the three and six months ended June 30, 2015 declined primarily from accelerated expense recognition due to increased prepayments, coupled with the continued reduction in the balance of higher-yielding mortgage-related assets.
|
•
|
Derivative gains for the three and six months ended June 30, 2015 were primarily due to increases in longer-term interest rates, compared to derivative losses for the three and six months ended June 30, 2014 which were primarily due to declines in longer-term interest rates.
|
•
|
Non-interest income for the three and six months ended June 30, 2015 did not include any income from settlements of non-agency mortgage-related securities litigation, while we recognized $364 million and $4.9 billion of such income during the three and six months ended June 30, 2014, respectively.
|
•
|
Other non-interest income for the three and six months ended June 30, 2015 increased compared to the three and six months ended June 30, 2014 primarily due to increased amortization income related to deferred gains associated with PCs issued by our consolidated trusts that we previously held and subsequently transferred to third parties. Amortization income increased as we experienced higher liquidations of these securities resulting from higher prepayments on the underlying loans.
|
•
|
Other comprehensive income (loss) for the three months ended June 30, 2015 decreased compared to the three months ended June 30, 2014 primarily due to fair value losses on our agency securities due to increased longer-term interest rates. Other comprehensive income for the six months ended June 30, 2015 decreased compared to the six months ended June 30, 2014 primarily due to lower fair value gains on our non-agency mortgage-related securities due to less spread tightening and the impact of increased interest rates on our available-for-sale securities.
|
|
28
|
Freddie Mac Form 10-Q
|
|
|
Three Months Ended
June 30, |
|
Six Months Ended
June 30, |
||||||||||||
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
|
(dollars in millions)
|
||||||||||||||
Segment Earnings:
|
|
|
|
|
|
|
|
|
||||||||
Net interest income
|
|
$
|
281
|
|
|
$
|
250
|
|
|
$
|
523
|
|
|
$
|
465
|
|
Benefit for credit losses
|
|
17
|
|
|
23
|
|
|
20
|
|
|
42
|
|
||||
Non-interest income:
|
|
|
|
|
|
|
|
|
||||||||
Management and guarantee fee income
|
|
79
|
|
|
63
|
|
|
152
|
|
|
121
|
|
||||
Gains (losses) on mortgage loans
|
|
(259
|
)
|
|
156
|
|
|
94
|
|
|
410
|
|
||||
Derivative gains
|
|
708
|
|
|
112
|
|
|
509
|
|
|
197
|
|
||||
Other non-interest income (loss)
|
|
(45
|
)
|
|
167
|
|
|
(8
|
)
|
|
206
|
|
||||
Total non-interest income
|
|
483
|
|
|
498
|
|
|
747
|
|
|
934
|
|
||||
Non-interest expense:
|
|
|
|
|
|
|
|
|
||||||||
Administrative expense
|
|
(90
|
)
|
|
(67
|
)
|
|
(160
|
)
|
|
(133
|
)
|
||||
REO operations income
|
|
—
|
|
|
2
|
|
|
—
|
|
|
2
|
|
||||
Other non-interest expense
|
|
(12
|
)
|
|
(8
|
)
|
|
(23
|
)
|
|
(13
|
)
|
||||
Total non-interest expense
|
|
(102
|
)
|
|
(73
|
)
|
|
(183
|
)
|
|
(144
|
)
|
||||
Segment Earnings before income tax expense
|
|
679
|
|
|
698
|
|
|
1,107
|
|
|
1,297
|
|
||||
Income tax expense
|
|
(206
|
)
|
|
(222
|
)
|
|
(350
|
)
|
|
(403
|
)
|
||||
Segment Earnings, net of taxes
|
|
473
|
|
|
476
|
|
|
757
|
|
|
894
|
|
||||
Total other comprehensive (loss), net of taxes
|
|
(107
|
)
|
|
(67
|
)
|
|
(127
|
)
|
|
(67
|
)
|
||||
Total comprehensive income
|
|
$
|
366
|
|
|
$
|
409
|
|
|
$
|
630
|
|
|
$
|
827
|
|
Key metrics:
|
|
|
|
|
|
|
|
|
||||||||
New Business Activity:
|
|
|
|
|
|
|
|
|
||||||||
Multifamily new business activity
|
|
$
|
13,135
|
|
|
$
|
4,109
|
|
|
$
|
23,139
|
|
|
$
|
7,115
|
|
Multifamily loan purchase commitments outstanding, at period end
|
|
$
|
9,243
|
|
|
$
|
6,747
|
|
|
$
|
9,243
|
|
|
$
|
6,747
|
|
Multifamily units financed from new business activity
|
|
170,450
|
|
|
63,041
|
|
|
310,115
|
|
|
114,406
|
|
||||
Securitization Activity:
(1)
|
|
|
|
|
|
|
|
|
||||||||
Multifamily securitization transactions — guaranteed portion
|
|
$
|
8,493
|
|
|
$
|
3,907
|
|
|
$
|
12,912
|
|
|
$
|
7,178
|
|
Multifamily securitization transactions — unguaranteed portion
(2)
|
|
$
|
1,514
|
|
|
$
|
613
|
|
|
$
|
2,256
|
|
|
$
|
1,223
|
|
Average subordination, at issuance
|
|
15.1
|
%
|
|
13.6
|
%
|
|
14.9
|
%
|
|
14.6
|
%
|
||||
K Certificate guarantees:
|
|
|
|
|
|
|
|
|
||||||||
Average management and guarantee fee rate, in bps (annualized)
(3)
|
|
23.8
|
|
|
20.9
|
|
|
23.2
|
|
|
20.5
|
|
||||
Average K Certificate guaranteed UPB
|
|
$
|
84,313
|
|
|
$
|
65,179
|
|
|
$
|
81,222
|
|
|
$
|
63,465
|
|
Credit:
|
|
|
|
|
|
|
|
|
||||||||
Multifamily mortgage portfolio delinquency rate, at period end:
|
|
|
|
|
|
|
|
|
||||||||
K Certificates
|
|
0.01
|
%
|
|
0.01
|
%
|
|
0.01
|
%
|
|
0.01
|
%
|
||||
All other
|
|
0.02
|
%
|
|
0.03
|
%
|
|
0.02
|
%
|
|
0.03
|
%
|
||||
Total
|
|
0.01
|
%
|
|
0.02
|
%
|
|
0.01
|
%
|
|
0.02
|
%
|
||||
REO inventory, at period end (number of properties)
|
|
—
|
|
|
1
|
|
|
—
|
|
|
1
|
|
(1)
|
Consists primarily of K Certificate transactions.
|
(2)
|
Represents subordinated securities (i.e., CMBS), which are not issued or guaranteed by us.
|
(3)
|
Represents Multifamily Segment Earnings — management and guarantee fee income associated with K Certificates, divided by the sum of the average UPB of the outstanding K Certificates.
|
|
29
|
Freddie Mac Form 10-Q
|
•
|
We continue to provide liquidity to the multifamily market and support affordable rental housing by acquiring and securitizing multifamily mortgage loans. Our total new business activity increased during the first half of
2015
, compared to the first half of
2014
, due to the rapid and significant growth observed in the overall multifamily market since late 2014.
|
•
|
The 2015 Conservatorship Scorecard sets a goal for us to maintain new multifamily business activity (excluding certain targeted mortgage loan types) at or below $30.0 billion in UPB. In May 2015, FHFA expanded the parameters for exclusion of mortgage loan amounts from its scorecard limit in order to facilitate continued liquidity for affordable rental housing in a growing multifamily market.
|
•
|
We had $23.1 billion in new business activity during the first half of 2015. Approximately 70% of this amount was counted towards the 2015 Conservatorship Scorecard goal, while the remaining 30% was excluded.
|
•
|
Multifamily mortgage loan purchase commitments outstanding increased as of
June 30, 2015
, compared to
June 30, 2014
, reflecting the overall growth in the multifamily market.
|
•
|
We sold
$10.0 billion
and
$15.2 billion
in UPB of multifamily mortgage loans during the three months ended June 30, 2015 and the
six months ended June 30, 2015
, respectively, primarily through K Certificate transactions, compared to $4.5 billion and $8.4 billion during the three months ended June 30, 2014 and the
six months ended June 30, 2014
, respectively.
|
•
|
The percentage of our total multifamily mortgage portfolio protected by subordination was
58%
and 56% at
June 30, 2015
and
December 31, 2014
, respectively. This subordination is primarily provided by the unguaranteed securities sold to third parties in K Certificate transactions, which absorb first losses.
|
•
|
Approximately
92%
of the mortgage loans we purchased during the first half of
2015
were designated for securitization, and we continue to pursue strategies to transfer credit risk for mortgage loans that are not designated for securitization.
|
•
|
The UPB of the total multifamily portfolio increased to
$179.0 billion
as of
June 30, 2015
from
$169.3 billion
as of
December 31, 2014
, primarily due to an increase in our guarantee portfolio and higher levels of new business activity that outpaced liquidations and the sale of mortgage loans in securitization transactions.
|
•
|
As a result of solid market fundamentals and strong underwriting policies, we believe that the credit quality of the multifamily mortgage portfolio remains strong.
|
•
|
Multifamily credit losses as a percentage of the combined average balance of our multifamily mortgage loan and guarantee portfolios were
0.8
basis points during the first half of
2015
, a slight increase compared to 0.0 basis points during the first half of
2014
.
|
•
|
Our low delinquency rates continue to reflect strong industry fundamentals.
|
•
|
Segment Earnings net interest income increased during the
2015
periods, compared to the same periods of
2014
, primarily due to lower allocated funding costs on mortgage loans awaiting securitization.
|
•
|
Segment Earnings total non-interest income declined during the
2015
periods, compared to the same periods of
2014
, primarily due to: (a) lower gains on mortgage loans and sales of available-for-sale securities (net of the effect of derivatives); partially offset by (b) higher management and guarantee fee income.
|
◦
|
Segment Earnings gains (losses) on mortgage loans decreased during the 2015 periods, compared to the 2014 periods, primarily due to lower non-interest rate risk-related fair value gains during the 2015 periods.
|
◦
|
Segment Earnings other non-interest loss during the 2015 periods, compared to income during the 2014 periods, was primarily due to gains recognized on the sale of securities during the 2014 periods. We did not have any such sales in the 2015 periods.
|
◦
|
Segment Earnings management and guarantee fee income increased during the
2015
periods, compared to the same periods of
2014
, primarily due to the higher average balance of the multifamily guarantee portfolio, primarily due to ongoing issuances of K Certificates.
|
|
30
|
Freddie Mac Form 10-Q
|
◦
|
Segment Earnings management and guarantee fee income will likely increase in future periods as we continue to issue K Certificates.
|
◦
|
Our guarantees of K Certificates generally have lower fees than our other multifamily guarantee activities as a result of our limited credit risk exposure due to the use of subordination.
|
•
|
Total other comprehensive loss increased during the
2015
periods, compared to the same periods of
2014
, primarily due to fair value losses on available-for-sale securities driven by an increase in interest rates during the first half of 2015.
|
|
June 30, 2015
|
|
December 31, 2014
|
||||
|
(in millions)
|
||||||
Investments in securities:
|
|
|
|
||||
Available-for-sale securities
|
|
|
|
||||
Mortgage-related securities
|
|
|
|
||||
Agency securities
|
$
|
46,150
|
|
|
$
|
50,611
|
|
Non-agency securities
|
44,681
|
|
|
55,939
|
|
||
Total available-for-sale securities
|
90,831
|
|
|
106,550
|
|
||
Trading securities
|
|
|
|
||||
Mortgage-related securities
|
|
|
|
||||
Agency securities
|
22,004
|
|
|
23,584
|
|
||
Non-agency securities
|
119
|
|
|
171
|
|
||
Total mortgage-related securities
|
22,123
|
|
|
23,755
|
|
||
Non-mortgage-related securities
|
9,962
|
|
|
6,682
|
|
||
Total trading securities
|
32,085
|
|
|
30,437
|
|
||
Total investments in securities
|
$
|
122,916
|
|
|
$
|
136,987
|
|
|
31
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||||||||||||||
|
Fixed
Rate
|
|
Variable
Rate
|
|
Total
|
|
Fixed
Rate
|
|
Variable
Rate
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Freddie Mac mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family
|
$
|
36,047
|
|
|
$
|
7,021
|
|
|
$
|
43,068
|
|
|
$
|
41,340
|
|
|
$
|
6,552
|
|
|
$
|
47,892
|
|
Multifamily
|
2,060
|
|
|
2,141
|
|
|
4,201
|
|
|
1,897
|
|
|
1,429
|
|
|
3,326
|
|
||||||
Total Freddie Mac mortgage-related securities
|
38,107
|
|
|
9,162
|
|
|
47,269
|
|
|
43,237
|
|
|
7,981
|
|
|
51,218
|
|
||||||
Non-Freddie Mac mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Agency securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fannie Mae:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family
|
6,706
|
|
|
7,727
|
|
|
14,433
|
|
|
6,852
|
|
|
9,303
|
|
|
16,155
|
|
||||||
Ginnie Mae:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family
|
105
|
|
|
61
|
|
|
166
|
|
|
119
|
|
|
67
|
|
|
186
|
|
||||||
Multifamily
|
12
|
|
|
—
|
|
|
12
|
|
|
12
|
|
|
—
|
|
|
12
|
|
||||||
Total Non-Freddie Mac agency securities
|
6,823
|
|
|
7,788
|
|
|
14,611
|
|
|
6,983
|
|
|
9,370
|
|
|
16,353
|
|
||||||
Non-agency mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family:
(1)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Subprime
|
10
|
|
|
20,977
|
|
|
20,987
|
|
|
11
|
|
|
27,675
|
|
|
27,686
|
|
||||||
Option ARM
|
—
|
|
|
6,938
|
|
|
6,938
|
|
|
—
|
|
|
8,287
|
|
|
8,287
|
|
||||||
Alt-A and other
|
845
|
|
|
4,061
|
|
|
4,906
|
|
|
955
|
|
|
5,035
|
|
|
5,990
|
|
||||||
CMBS
(2)
|
6,484
|
|
|
10,634
|
|
|
17,118
|
|
|
9,326
|
|
|
11,886
|
|
|
21,212
|
|
||||||
Obligations of states and political subdivisions
|
1,597
|
|
|
11
|
|
|
1,608
|
|
|
2,157
|
|
|
12
|
|
|
2,169
|
|
||||||
Manufactured housing
|
495
|
|
|
170
|
|
|
665
|
|
|
521
|
|
|
183
|
|
|
704
|
|
||||||
Total non-agency mortgage-related securities
|
9,431
|
|
|
42,791
|
|
|
52,222
|
|
|
12,970
|
|
|
53,078
|
|
|
66,048
|
|
||||||
Total UPB of mortgage-related securities
|
$
|
54,361
|
|
|
$
|
59,741
|
|
|
114,102
|
|
|
$
|
63,190
|
|
|
$
|
70,429
|
|
|
133,619
|
|
||
Premiums, discounts, deferred fees, impairments of UPB and other basis adjustments
|
|
|
|
|
(5,626
|
)
|
|
|
|
|
|
(8,187
|
)
|
||||||||||
Net unrealized gains (losses) on mortgage-related securities, pre-tax
|
|
|
|
|
4,478
|
|
|
|
|
|
|
4,873
|
|
||||||||||
Total carrying value of mortgage-related securities
|
|
|
|
|
$
|
112,954
|
|
|
|
|
|
|
$
|
130,305
|
|
(1)
|
Approximately 3% of these securities held at both
June 30, 2015
and December 31, 2014 were investment grade as of those dates, based on the UPB and the lowest rating available.
|
(2)
|
Approximately 90% and 92% of these securities held at
June 30, 2015
and December 31, 2014, respectively, were investment grade as of those dates, based on the UPB and the lowest rating available.
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||||||
|
UPB
|
|
Fair Value
|
|
UPB
|
|
Fair Value
|
||||||||
|
(in millions)
|
||||||||||||||
Agency pass-through securities
|
$
|
9,858
|
|
|
$
|
10,652
|
|
|
$
|
11,289
|
|
|
$
|
12,196
|
|
Other agency securities:
|
|
|
|
|
|
|
|
||||||||
Interest-only securities
|
—
|
|
|
2,350
|
|
|
—
|
|
|
2,093
|
|
||||
Principal-only securities
|
2,263
|
|
|
1,915
|
|
|
2,427
|
|
|
2,086
|
|
||||
Inverse floating-rate securities
(1)
|
937
|
|
|
1,328
|
|
|
1,156
|
|
|
1,619
|
|
||||
REMICs and Other Structured Securities
|
48,822
|
|
|
51,909
|
|
|
52,699
|
|
|
56,201
|
|
||||
Total agency securities
|
61,880
|
|
|
68,154
|
|
|
67,571
|
|
|
74,195
|
|
||||
Non-agency securities
|
52,222
|
|
|
44,800
|
|
|
66,048
|
|
|
56,110
|
|
||||
Total mortgage-related securities
|
$
|
114,102
|
|
|
$
|
112,954
|
|
|
$
|
133,619
|
|
|
$
|
130,305
|
|
|
32
|
Freddie Mac Form 10-Q
|
(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.
|
•
|
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 — Credit Risk — Single-Family Mortgage Credit Risk — Monitoring Loan Performance.”
|
|
As of
|
||||||||||||||||||
|
6/30/2015
|
|
3/31/2015
|
|
12/31/2014
|
|
9/30/2014
|
|
6/30/2014
|
||||||||||
|
(dollars in millions)
|
||||||||||||||||||
UPB:
(1)
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime
|
$
|
20,987
|
|
|
$
|
23,790
|
|
|
$
|
27,682
|
|
|
$
|
30,706
|
|
|
$
|
34,083
|
|
Option ARM
|
6,938
|
|
|
7,704
|
|
|
8,287
|
|
|
8,493
|
|
|
9,716
|
|
|||||
Alt-A
|
3,622
|
|
|
4,318
|
|
|
4,549
|
|
|
4,995
|
|
|
6,339
|
|
|||||
Gross unrealized losses, pre-tax:
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime
|
$
|
388
|
|
|
$
|
497
|
|
|
$
|
610
|
|
|
$
|
880
|
|
|
$
|
1,577
|
|
Option ARM
|
85
|
|
|
164
|
|
|
183
|
|
|
223
|
|
|
346
|
|
|||||
Alt-A
|
22
|
|
|
30
|
|
|
32
|
|
|
30
|
|
|
59
|
|
|||||
Present value of expected future credit losses:
(2)(3)
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime
|
$
|
3,196
|
|
|
$
|
2,894
|
|
|
$
|
4,262
|
|
|
$
|
4,568
|
|
|
$
|
4,954
|
|
Option ARM
|
885
|
|
|
745
|
|
|
987
|
|
|
1,161
|
|
|
1,470
|
|
|||||
Alt-A
|
262
|
|
|
290
|
|
|
457
|
|
|
546
|
|
|
785
|
|
|||||
Collateral delinquency rate:
(4)
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime
|
29
|
%
|
|
31
|
%
|
|
32
|
%
|
|
32
|
%
|
|
33
|
%
|
|||||
Option ARM
|
24
|
|
|
26
|
|
|
27
|
|
|
27
|
|
|
29
|
|
|||||
Alt-A
|
19
|
|
|
20
|
|
|
20
|
|
|
20
|
|
|
21
|
|
|||||
Average credit enhancement:
(5)
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime
|
8
|
%
|
|
9
|
%
|
|
9
|
%
|
|
9
|
%
|
|
6
|
%
|
|||||
Option ARM
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
|||||
Alt-A
|
1
|
|
|
2
|
|
|
2
|
|
|
2
|
|
|
(1
|
)
|
|||||
Cumulative collateral loss:
(6)
|
|
|
|
|
|
|
|
|
|
||||||||||
Subprime
|
33
|
%
|
|
33
|
%
|
|
32
|
%
|
|
32
|
%
|
|
32
|
%
|
|||||
Option ARM
|
25
|
|
|
25
|
|
|
25
|
|
|
25
|
|
|
25
|
|
|||||
Alt-A
|
16
|
|
|
15
|
|
|
15
|
|
|
15
|
|
|
15
|
|
(1)
|
Not affected by income from settlements of non-agency mortgage-related securities litigation. For more information, see “NOTE 15: CONCENTRATION OF CREDIT AND OTHER RISKS — Non-Agency Mortgage-Related Security Issuers” in our 2014 Annual Report.
|
|
33
|
Freddie Mac Form 10-Q
|
(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 the total UPB of securities subordinate to the securities we own, divided by 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.
|
|
34
|
Freddie Mac Form 10-Q
|
|
35
|
Freddie Mac Form 10-Q
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||||||||||||||
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||||||||||||||
|
|
Amount
|
|
% of Total
|
|
Amount
|
|
% of Total
|
|
Amount
|
|
% of Total
|
|
Amount
|
|
% of Total
|
||||||||||||
|
|
(dollars in millions)
|
||||||||||||||||||||||||||
Mortgage loan purchases and other guarantee commitment issuances:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
30-year or more amortizing fixed-rate
|
|
$
|
76,497
|
|
|
67
|
%
|
|
$
|
43,894
|
|
|
70
|
%
|
|
$
|
136,547
|
|
|
67
|
%
|
|
$
|
80,249
|
|
|
70
|
%
|
20-year amortizing fixed-rate
|
|
5,310
|
|
|
5
|
|
|
1,893
|
|
|
3
|
|
|
9,042
|
|
|
4
|
|
|
3,747
|
|
|
3
|
|
||||
15-year amortizing fixed-rate
|
|
16,346
|
|
|
14
|
|
|
8,437
|
|
|
13
|
|
|
29,159
|
|
|
14
|
|
|
16,893
|
|
|
15
|
|
||||
Adjustable-rate
|
|
2,950
|
|
|
3
|
|
|
4,176
|
|
|
7
|
|
|
6,492
|
|
|
3
|
|
|
6,647
|
|
|
6
|
|
||||
FHA/VA and other governmental
|
|
47
|
|
|
—
|
|
|
59
|
|
|
—
|
|
|
78
|
|
|
—
|
|
|
95
|
|
|
—
|
|
||||
Total single-family
(2)
|
|
101,150
|
|
|
89
|
|
|
58,459
|
|
|
93
|
|
|
181,318
|
|
|
88
|
|
|
107,631
|
|
|
94
|
|
||||
Multifamily:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
10-year
|
|
6,087
|
|
|
5
|
|
|
1,118
|
|
|
2
|
|
|
11,323
|
|
|
6
|
|
|
1,870
|
|
|
2
|
|
||||
7-year
|
|
4,631
|
|
|
4
|
|
|
2,150
|
|
|
4
|
|
|
7,627
|
|
|
4
|
|
|
3,737
|
|
|
3
|
|
||||
Other
|
|
2,417
|
|
|
2
|
|
|
841
|
|
|
1
|
|
|
4,189
|
|
|
2
|
|
|
1,508
|
|
|
1
|
|
||||
Total multifamily
|
|
13,135
|
|
|
11
|
|
|
4,109
|
|
|
7
|
|
|
23,139
|
|
|
12
|
|
|
7,115
|
|
|
6
|
|
||||
Total mortgage loan purchases and other guarantee commitment issuances
|
|
$
|
114,285
|
|
|
100
|
%
|
|
$
|
62,568
|
|
|
100
|
%
|
|
$
|
204,457
|
|
|
100
|
%
|
|
$
|
114,746
|
|
|
100
|
%
|
Percentage of mortgage loan purchases and other guarantee commitment issuances with credit enhancements at acquisition
|
|
27
|
%
|
|
|
|
25
|
%
|
|
|
|
25
|
%
|
|
|
|
23
|
%
|
|
|
(1)
|
Excludes the removal of seriously delinquent loans and balloon/reset mortgage loans from PC trusts. Includes purchases of mortgage loans for securitization that were previously associated with other guarantee commitments.
|
(2)
|
Includes
$18.7 billion
and $8.0 billion of conforming jumbo mortgage loan purchases and
$0.3 billion
and $0.1 billion of conforming jumbo mortgage loans underlying other guarantee commitment issuances during the
six months ended June 30, 2015
and the
six months ended June 30, 2014
, respectively. The UPB of conforming jumbo mortgage loans in our single-family credit guarantee portfolio as of
June 30, 2015
and
December 31, 2014
was
$85.5 billion
and $79.1 billion, respectively. Includes issuances of other guarantee commitments on single-family mortgage loans of
$2.3 billion
and $1.2 billion during the
six months ended June 30, 2015
and the
six months ended June 30, 2014
, respectively.
|
|
36
|
Freddie Mac Form 10-Q
|
|
|
Three Months Ended
June 30, |
|
Six Months Ended
June 30, |
||||||||
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||
|
|
(number of properties)
|
||||||||||
REO Inventory
|
|
|
|
|
|
|
|
|
||||
Single-family:
|
|
|
|
|
|
|
|
|
||||
Inventory, beginning of period
|
|
22,738
|
|
|
43,565
|
|
|
25,768
|
|
|
47,307
|
|
Acquisitions
|
|
5,824
|
|
|
10,592
|
|
|
13,025
|
|
|
24,976
|
|
Dispositions
|
|
(9,078
|
)
|
|
(18,023
|
)
|
|
(19,309
|
)
|
|
(36,149
|
)
|
Single-family inventory, June 30
|
|
19,484
|
|
|
36,134
|
|
|
19,484
|
|
|
36,134
|
|
Multifamily inventory, June 30
|
|
—
|
|
|
1
|
|
|
—
|
|
|
1
|
|
Total inventory, June 30
|
|
19,484
|
|
|
36,135
|
|
|
19,484
|
|
|
36,135
|
|
|
37
|
Freddie Mac Form 10-Q
|
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||||||||||||||
|
|
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
|
|
$
|
1,119,342
|
|
|
$
|
—
|
|
|
$
|
1,119,342
|
|
|
$
|
1,088,340
|
|
|
$
|
—
|
|
|
$
|
1,088,340
|
|
20-year amortizing fixed-rate
|
|
80,588
|
|
|
—
|
|
|
80,588
|
|
|
78,603
|
|
|
—
|
|
|
78,603
|
|
||||||
15-year amortizing fixed-rate
|
|
279,442
|
|
|
—
|
|
|
279,442
|
|
|
278,282
|
|
|
—
|
|
|
278,282
|
|
||||||
Adjustable-rate
(1)
|
|
68,568
|
|
|
—
|
|
|
68,568
|
|
|
69,683
|
|
|
—
|
|
|
69,683
|
|
||||||
Interest-only
|
|
21,859
|
|
|
—
|
|
|
21,859
|
|
|
23,941
|
|
|
—
|
|
|
23,941
|
|
||||||
FHA/VA and other governmental
|
|
2,926
|
|
|
—
|
|
|
2,926
|
|
|
3,154
|
|
|
—
|
|
|
3,154
|
|
||||||
Total single-family
|
|
1,572,725
|
|
|
—
|
|
|
1,572,725
|
|
|
1,542,003
|
|
|
—
|
|
|
1,542,003
|
|
||||||
Multifamily
|
|
60
|
|
|
4,762
|
|
|
4,822
|
|
|
84
|
|
|
4,846
|
|
|
4,930
|
|
||||||
Total single-family and multifamily
|
|
1,572,785
|
|
|
4,762
|
|
|
1,577,547
|
|
|
1,542,087
|
|
|
4,846
|
|
|
1,546,933
|
|
||||||
Other Guarantee Transactions:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Non-HFA bonds:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family
(2)
|
|
6,422
|
|
|
2,614
|
|
|
9,036
|
|
|
7,030
|
|
|
2,760
|
|
|
9,790
|
|
||||||
Multifamily
|
|
438
|
|
|
86,976
|
|
|
87,414
|
|
|
440
|
|
|
75,730
|
|
|
76,170
|
|
||||||
Total Non-HFA bonds
|
|
6,860
|
|
|
89,590
|
|
|
96,450
|
|
|
7,470
|
|
|
78,490
|
|
|
85,960
|
|
||||||
HFA Initiative Bonds:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family
|
|
—
|
|
|
2,769
|
|
|
2,769
|
|
|
—
|
|
|
3,040
|
|
|
3,040
|
|
||||||
Multifamily
|
|
—
|
|
|
713
|
|
|
713
|
|
|
—
|
|
|
720
|
|
|
720
|
|
||||||
Total HFA Initiative Bonds
|
|
—
|
|
|
3,482
|
|
|
3,482
|
|
|
—
|
|
|
3,760
|
|
|
3,760
|
|
||||||
Total Other Guarantee Transactions
|
|
6,860
|
|
|
93,072
|
|
|
99,932
|
|
|
7,470
|
|
|
82,250
|
|
|
89,720
|
|
||||||
REMICs and Other Structured Securities backed by Ginnie Mae certificates
|
|
—
|
|
|
388
|
|
|
388
|
|
|
—
|
|
|
433
|
|
|
433
|
|
||||||
Total Freddie Mac Mortgage-Related Securities
|
|
$
|
1,579,645
|
|
|
$
|
98,222
|
|
|
$
|
1,677,867
|
|
|
$
|
1,549,557
|
|
|
$
|
87,529
|
|
|
$
|
1,637,086
|
|
Less: Repurchased Freddie Mac Mortgage-Related Securities
|
|
(105,684
|
)
|
|
|
|
|
|
(109,232
|
)
|
|
|
|
|
||||||||||
Total UPB of debt securities of consolidated trusts held by third parties
|
|
$
|
1,473,961
|
|
|
|
|
|
|
$
|
1,440,325
|
|
|
|
|
|
(1)
|
Includes
$0.8 billion
in UPB of option ARM loans as of both
June 30, 2015
and December 31, 2014.
|
(2)
|
Backed by non-agency mortgage-related securities that include prime, FHA/VA, and subprime mortgage loans and also include
$4.6 billion
and $4.9 billion in UPB of securities backed by option ARM loans as of
June 30, 2015
and December 31, 2014, respectively.
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
(in millions)
|
||||||||||||||
Beginning balance of debt securities of consolidated trusts held by third parties
|
$
|
1,448,311
|
|
|
$
|
1,411,089
|
|
|
$
|
1,440,325
|
|
|
$
|
1,399,456
|
|
Issuances of debt securities of new consolidated trusts
|
101,220
|
|
|
57,456
|
|
|
180,067
|
|
|
109,509
|
|
||||
Debt securities of new consolidated trusts retained by us at issuance
|
(23,977
|
)
|
|
(7,158
|
)
|
|
(44,591
|
)
|
|
(11,218
|
)
|
||||
Net issuances to third parties of debt securities of new consolidated trusts
|
77,243
|
|
|
50,298
|
|
|
135,476
|
|
|
98,291
|
|
||||
Reissuances of debt securities of consolidated trusts previously held by us
|
39,431
|
|
|
20,749
|
|
|
62,880
|
|
|
39,479
|
|
||||
Total issuances to third parties of debt securities of consolidated trusts
|
116,674
|
|
|
71,047
|
|
|
198,356
|
|
|
137,770
|
|
||||
Extinguishments, net
|
(91,024
|
)
|
|
(65,231
|
)
|
|
(164,720
|
)
|
|
(120,321
|
)
|
||||
Ending balance of debt securities of consolidated trusts held by third parties
|
$
|
1,473,961
|
|
|
$
|
1,416,905
|
|
|
$
|
1,473,961
|
|
|
$
|
1,416,905
|
|
|
38
|
Freddie Mac Form 10-Q
|
|
Three Months Ended
|
|
Six Months Ended
|
||||||||||||||||||||
|
6/30/2015
|
|
3/31/2015
|
|
12/31/2014
|
|
9/30/2014
|
|
6/30/2014
|
|
6/30/2015
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Beginning balance
|
$
|
2,546
|
|
|
$
|
2,651
|
|
|
$
|
5,186
|
|
|
$
|
4,290
|
|
|
$
|
6,899
|
|
|
$
|
2,651
|
|
Net income
|
4,169
|
|
|
524
|
|
|
227
|
|
|
2,081
|
|
|
1,362
|
|
|
4,693
|
|
||||||
Other comprehensive income (loss), net of taxes:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Changes in unrealized gains (losses) related to available-for-sale securities
|
(314
|
)
|
|
157
|
|
|
22
|
|
|
656
|
|
|
479
|
|
|
(157
|
)
|
||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships
|
38
|
|
|
59
|
|
|
46
|
|
|
50
|
|
|
49
|
|
|
97
|
|
||||||
Changes in defined benefit plans
|
20
|
|
|
6
|
|
|
(44
|
)
|
|
(1
|
)
|
|
—
|
|
|
26
|
|
||||||
Comprehensive income
|
3,913
|
|
|
746
|
|
|
251
|
|
|
2,786
|
|
|
1,890
|
|
|
4,659
|
|
||||||
Capital draw funded by Treasury
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Senior preferred stock dividends declared
|
(746
|
)
|
|
(851
|
)
|
|
(2,786
|
)
|
|
(1,890
|
)
|
|
(4,499
|
)
|
|
(1,597
|
)
|
||||||
Total equity/Net worth
|
$
|
5,713
|
|
|
$
|
2,546
|
|
|
$
|
2,651
|
|
|
$
|
5,186
|
|
|
$
|
4,290
|
|
|
$
|
5,713
|
|
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)
|
$
|
92,552
|
|
|
$
|
91,806
|
|
|
$
|
90,955
|
|
|
$
|
88,169
|
|
|
$
|
86,279
|
|
|
$
|
92,552
|
|
(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.
|
|
39
|
Freddie Mac Form 10-Q
|
|
40
|
Freddie Mac Form 10-Q
|
|
41
|
Freddie Mac Form 10-Q
|
|
|
Percent of Purchases During the Six Months Ended June 30,
|
||||||||||||||||
|
|
2015
|
|
2014
|
||||||||||||||
|
|
Relief Refi
|
|
All Other
|
|
Total
|
|
Relief Refi
|
|
All Other
|
|
Total
|
||||||
Original LTV Ratio Range
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
60% and below
|
|
1
|
%
|
|
19
|
%
|
|
20
|
%
|
|
3
|
%
|
|
13
|
%
|
|
16
|
%
|
Above 60% to 70%
|
|
1
|
|
|
14
|
|
|
15
|
|
|
1
|
|
|
11
|
|
|
12
|
|
Above 70% to 80%
|
|
1
|
|
|
41
|
|
|
42
|
|
|
2
|
|
|
39
|
|
|
41
|
|
Above 80% to 100%
|
|
2
|
|
|
20
|
|
|
22
|
|
|
5
|
|
|
22
|
|
|
27
|
|
Above 100% to 125%
|
|
1
|
|
|
—
|
|
|
1
|
|
|
3
|
|
|
—
|
|
|
3
|
|
Above 125%
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
1
|
|
Total
|
|
6
|
%
|
|
94
|
%
|
|
100
|
%
|
|
15
|
%
|
|
85
|
%
|
|
100
|
%
|
Weighted average original LTV ratio
|
|
75
|
%
|
|
73
|
%
|
|
73
|
%
|
|
84
|
%
|
|
76
|
%
|
|
77
|
%
|
Credit Score
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
740 and above
|
|
3
|
%
|
|
63
|
%
|
|
66
|
%
|
|
6
|
%
|
|
53
|
%
|
|
59
|
%
|
700 to 739
|
|
1
|
|
|
19
|
|
|
20
|
|
|
3
|
|
|
19
|
|
|
22
|
|
660 to 699
|
|
1
|
|
|
9
|
|
|
10
|
|
|
3
|
|
|
10
|
|
|
13
|
|
620 to 659
|
|
1
|
|
|
2
|
|
|
3
|
|
|
1
|
|
|
3
|
|
|
4
|
|
Less than 620
|
|
—
|
|
|
1
|
|
|
1
|
|
|
2
|
|
|
—
|
|
|
2
|
|
Total
|
|
6
|
%
|
|
94
|
%
|
|
100
|
%
|
|
15
|
%
|
|
85
|
%
|
|
100
|
%
|
Weighted average credit score:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total mortgage loans
|
|
721
|
|
|
753
|
|
|
751
|
|
|
712
|
|
|
747
|
|
|
742
|
|
|
|
|
Percent of Purchases During the Six Months Ended June 30,
|
||||
|
|
|
2015
|
|
2014
|
||
Loan Purpose
|
|
|
|
|
|
||
Purchase
|
|
|
37
|
%
|
|
52
|
%
|
Cash-out refinance
|
|
|
21
|
|
|
16
|
|
Other refinance
(1)
|
|
|
42
|
|
|
32
|
|
Total
|
|
|
100
|
%
|
|
100
|
%
|
Property Type
|
|
|
|
|
|
||
Detached/townhome
(2)
|
|
|
92
|
%
|
|
92
|
%
|
Condo/Co-op
|
|
|
8
|
|
|
8
|
|
Total
|
|
|
100
|
%
|
|
100
|
%
|
Occupancy Type
|
|
|
|
|
|
||
Primary residence
|
|
|
89
|
%
|
|
88
|
%
|
Second/vacation home
|
|
|
4
|
|
|
4
|
|
Investment
|
|
|
7
|
|
|
8
|
|
Total
|
|
|
100
|
%
|
|
100
|
%
|
(1)
|
Other refinance loans include refinance mortgage loans with “no cash out” to the borrower and refinance mortgage loans 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.
|
(2)
|
Includes manufactured housing and homes within planned unit development communities.
|
|
42
|
Freddie Mac Form 10-Q
|
|
43
|
Freddie Mac Form 10-Q
|
|
|
Six Months Ended June 30,
|
||||||||||||||||||||||
|
|
2015
|
|
2014
|
||||||||||||||||||||
|
|
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
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
STACR debt notes
|
|
$
|
—
|
|
|
$
|
501
|
|
|
$
|
501
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Non-issued (and ACIS)
|
|
1,038
|
|
|
87
|
|
|
1,125
|
|
|
182
|
|
|
—
|
|
|
182
|
|
||||||
Subtotal first loss positions
|
|
$
|
1,038
|
|
|
$
|
588
|
|
|
1,626
|
|
|
$
|
182
|
|
|
$
|
—
|
|
|
182
|
|
||
Mezzanine loss positions:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
STACR debt notes
|
|
$
|
—
|
|
|
$
|
3,625
|
|
|
3,625
|
|
|
$
|
—
|
|
|
$
|
1,974
|
|
|
1,974
|
|
||
Non-issued (and ACIS)
|
|
1,745
|
|
|
136
|
|
|
1,881
|
|
|
286
|
|
|
284
|
|
|
570
|
|
||||||
Subtotal mezzanine loss positions
|
|
$
|
1,745
|
|
|
$
|
3,761
|
|
|
5,506
|
|
|
$
|
286
|
|
|
$
|
2,258
|
|
|
2,544
|
|
||
Senior (remaining) loss positions
|
|
$
|
131,249
|
|
|
$
|
—
|
|
|
131,249
|
|
|
$
|
57,861
|
|
|
$
|
—
|
|
|
57,861
|
|
||
Total reference pools
|
|
|
|
|
|
$
|
138,381
|
|
|
|
|
|
|
$
|
60,587
|
|
||||||||
Additional ACIS transactions on STACR debt notes issued in earlier periods
|
|
|
|
|
|
$
|
707
|
|
|
|
|
|
|
$
|
269
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
As of June 30, 2015
|
|
As of December 31, 2014
|
||||||||||||||||||||
|
|
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
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
STACR debt notes
|
|
$
|
—
|
|
|
$
|
501
|
|
|
$
|
501
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Non-issued (and ACIS)
|
|
1,886
|
|
|
87
|
|
|
1,973
|
|
|
853
|
|
|
—
|
|
|
853
|
|
||||||
Subtotal first loss positions
|
|
$
|
1,886
|
|
|
$
|
588
|
|
|
2,474
|
|
|
$
|
853
|
|
|
$
|
—
|
|
|
853
|
|
||
Mezzanine loss positions:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
STACR debt notes
|
|
$
|
—
|
|
|
$
|
9,112
|
|
|
9,112
|
|
|
$
|
—
|
|
|
$
|
5,896
|
|
|
5,896
|
|
||
Non-issued (and ACIS)
|
|
2,670
|
|
|
1,546
|
|
|
4,216
|
|
|
1,680
|
|
|
761
|
|
|
2,441
|
|
||||||
Subtotal mezzanine loss positions
|
|
$
|
2,670
|
|
|
$
|
10,658
|
|
|
13,328
|
|
|
$
|
1,680
|
|
|
$
|
6,657
|
|
|
8,337
|
|
||
Senior (remaining) loss positions
|
|
$
|
292,784
|
|
|
$
|
—
|
|
|
292,784
|
|
|
$
|
183,336
|
|
|
$
|
—
|
|
|
183,336
|
|
||
Total reference pools
|
|
|
|
|
|
$
|
308,586
|
|
|
|
|
|
|
$
|
192,526
|
|
|
44
|
Freddie Mac Form 10-Q
|
|
45
|
Freddie Mac Form 10-Q
|
|
|
Portfolio Balance at
|
||||
|
|
June 30, 2015
|
|
December 31, 2014
|
||
Original LTV Ratio Range
|
|
|
|
|
||
60% and below
|
|
21
|
%
|
|
21
|
%
|
Above 60% to 70%
|
|
14
|
|
|
14
|
|
Above 70% to 80%
|
|
38
|
|
|
38
|
|
Above 80% to 100%
|
|
21
|
|
|
21
|
|
Above 100%
|
|
6
|
|
|
6
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
Weighted average original LTV ratio
|
|
75
|
%
|
|
75
|
%
|
Estimated Current LTV Ratio Range
(2)
|
|
|
|
|
||
60% and below
|
|
41
|
%
|
|
39
|
%
|
Above 60% to 70%
|
|
18
|
|
|
18
|
|
Above 70% to 80%
|
|
19
|
|
|
19
|
|
Above 80% to 90%
|
|
11
|
|
|
12
|
|
Above 90% to 100%
|
|
6
|
|
|
6
|
|
Above 100% to 120%
|
|
3
|
|
|
4
|
|
Above 120%
|
|
2
|
|
|
2
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
Weighted average estimated current LTV ratio:
|
|
|
|
|
||
Relief refinance mortgage loans
|
|
73
|
%
|
|
75
|
%
|
All other mortgage loans
|
|
63
|
|
|
64
|
|
Total mortgage loans
|
|
65
|
|
|
66
|
|
Credit Score
(3)
|
|
|
|
|
||
740 and above
|
|
59
|
%
|
|
58
|
%
|
700 to 739
|
|
20
|
|
|
20
|
|
660 to 699
|
|
13
|
|
|
13
|
|
620 to 659
|
|
5
|
|
|
6
|
|
Less than 620
|
|
3
|
|
|
3
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
Weighted average credit score:
|
|
|
|
|
||
Relief refinance mortgage loans
|
|
732
|
|
|
733
|
|
All other mortgage loans
|
|
743
|
|
|
742
|
|
Total mortgage loans
|
|
741
|
|
|
740
|
|
Loan Purpose
|
|
|
|
|
||
Purchase
|
|
30
|
%
|
|
30
|
%
|
Cash-out refinance
|
|
21
|
|
|
21
|
|
Other refinance
(4)
|
|
49
|
|
|
49
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
Property Type
|
|
|
|
|
||
Detached/townhome
|
|
93
|
%
|
|
93
|
%
|
Condo/Co-op
|
|
7
|
|
|
7
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
Occupancy Type
|
|
|
|
|
||
Primary residence
|
|
90
|
%
|
|
90
|
%
|
Second/vacation home
|
|
4
|
|
|
4
|
|
Investment
|
|
6
|
|
|
6
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
(1)
|
Other Guarantee Transactions with ending balances of approximately
$1 billion
at both
June 30, 2015
and
December 31, 2014
are excluded since these securities are backed by non-Freddie Mac issued securities for which the mortgage loan characteristics data was not available.
|
(2)
|
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.
|
(3)
|
Credit score data (at the time of mortgage loan origination) was not available for less than 0.5% of mortgage loans in the single-family credit guarantee portfolio at both
June 30, 2015
and
December 31, 2014
.
|
(4)
|
Other refinance mortgage loans include refinance mortgage loans with “no cash out” to the borrower and refinance mortgage loans for which the delivery data provided was not sufficient for us to determine whether the mortgage loan was a cash-out or a no cash-out refinance transaction.
|
|
46
|
Freddie Mac Form 10-Q
|
|
|
June 30, 2015
|
|
Six Months Ended June 30, 2015
|
||||||||||||||||||||
|
|
Percent of
Portfolio
|
|
Average
Credit
Score
(2)
|
|
Original
LTV Ratio
|
|
Current
LTV Ratio (3) |
|
Current
LTV Ratio
>100%
(3)
|
|
Serious
Delinquency Rate |
|
Foreclosure
and Short Sale Rate (4) |
|
Percent
of Credit Losses |
||||||||
Year of Origination
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
2015
|
|
8
|
%
|
|
753
|
|
|
73
|
%
|
|
74
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
2014
|
|
12
|
|
|
747
|
|
|
76
|
|
|
72
|
|
|
—
|
|
|
0.05
|
|
|
—
|
|
|
—
|
|
2013
|
|
15
|
|
|
755
|
|
|
71
|
|
|
60
|
|
|
—
|
|
|
0.09
|
|
|
0.01
|
|
|
—
|
|
2012
|
|
13
|
|
|
762
|
|
|
69
|
|
|
54
|
|
|
—
|
|
|
0.09
|
|
|
0.02
|
|
|
—
|
|
2011
|
|
5
|
|
|
757
|
|
|
69
|
|
|
52
|
|
|
—
|
|
|
0.26
|
|
|
0.07
|
|
|
—
|
|
2010
|
|
5
|
|
|
754
|
|
|
69
|
|
|
54
|
|
|
—
|
|
|
0.45
|
|
|
0.18
|
|
|
1
|
|
2009
|
|
5
|
|
|
750
|
|
|
68
|
|
|
57
|
|
|
1
|
|
|
0.86
|
|
|
0.46
|
|
|
1
|
|
Subtotal - New single-family book
|
|
63
|
|
|
754
|
|
|
71
|
|
|
61
|
|
|
—
|
|
|
0.21
|
|
|
0.15
|
|
|
2
|
|
HARP and other relief refinance mortgage loans
(5)
|
|
19
|
|
|
732
|
|
|
89
|
|
|
73
|
|
|
13
|
|
|
0.70
|
|
|
0.85
|
|
|
6
|
|
2005-2008 Legacy single-family book
|
|
12
|
|
|
701
|
|
|
75
|
|
|
80
|
|
|
20
|
|
|
6.54
|
|
|
8.85
|
|
|
83
|
|
Pre-2005 Legacy single-family book
|
|
6
|
|
|
707
|
|
|
73
|
|
|
46
|
|
|
1
|
|
|
2.75
|
|
|
1.45
|
|
|
9
|
|
Total
|
|
100
|
%
|
|
741
|
|
|
75
|
|
|
65
|
|
|
5
|
|
|
1.53
|
|
|
|
|
100
|
%
|
(1)
|
Except for the foreclosure and short sale rate, the data presented is based on the mortgage loans remaining in the portfolio at
June 30, 2015
, which totaled
$1.7 trillion
.
|
(2)
|
Excludes less than 0.5% of mortgage loans in the portfolio because the credit scores at origination were not available.
|
(3)
|
See endnote (2) to "
Table 29 — Characteristics of the Single-Family Credit Guarantee Portfolio
" for information about current LTV ratios.
|
(4)
|
Calculated for each year of origination as the number of mortgage 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
June 30, 2015
, divided by the number of mortgage 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 mortgage loans originated in 2000 through 2004.
|
(5)
|
HARP and other relief refinance mortgage loans are presented separately rather than in the year that the refinancing occurred (from 2009 to 2015). All other refinance mortgage loans are presented in the year that the refinancing occurred.
|
|
47
|
Freddie Mac Form 10-Q
|
|
48
|
Freddie Mac Form 10-Q
|
|
As of June 30, 2015
|
|
As of December 31, 2014
|
||||||||||||||
|
|
|
Percentage
|
|
Serious
Delinquency
Rate
|
|
|
|
Percentage
|
|
Serious
Delinquency
Rate
|
||||||
Credit Protection:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Non-credit-enhanced
|
|
|
71
|
%
|
|
1.48
|
%
|
|
|
|
77
|
%
|
|
1.74
|
%
|
||
Credit-enhanced:
(1)
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Primary mortgage insurance
|
|
|
14
|
%
|
|
2.46
|
%
|
|
|
|
14
|
%
|
|
3.10
|
%
|
||
Other
|
|
|
19
|
%
|
|
0.73
|
%
|
|
|
|
12
|
%
|
|
1.21
|
%
|
||
Total
(2)
|
|
|
|
|
|
1.53
|
%
|
|
|
|
|
|
|
1.88
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
# of Seriously
Delinquent
Loans
|
|
Percent
|
|
Serious
Delinquency
Rate
|
|
# of Seriously
Delinquent
Loans
|
|
Percent
|
|
Serious
Delinquency
Rate
|
||||||
State:
(3)(4)
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Florida
|
18,378
|
|
|
11
|
%
|
|
2.82
|
%
|
|
25,656
|
|
|
13
|
%
|
|
3.92
|
%
|
New York
|
16,555
|
|
|
10
|
|
|
3.47
|
|
|
19,462
|
|
|
10
|
|
|
4.06
|
|
New Jersey
|
14,387
|
|
|
9
|
|
|
4.68
|
|
|
16,960
|
|
|
8
|
|
|
5.49
|
|
Illinois
|
9,918
|
|
|
6
|
|
|
1.82
|
|
|
11,902
|
|
|
6
|
|
|
2.17
|
|
California
|
8,914
|
|
|
6
|
|
|
0.71
|
|
|
11,386
|
|
|
6
|
|
|
0.92
|
|
All others
|
92,674
|
|
|
58
|
|
|
1.26
|
|
|
112,700
|
|
|
57
|
|
|
1.52
|
|
Total
|
160,826
|
|
|
100
|
%
|
|
|
|
198,066
|
|
|
100
|
%
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
# of Seriously
Delinquent
Loans
|
|
Percent
|
|
|
|
# of Seriously
Delinquent
Loans
|
|
Percent
|
|
|
||||||
Aging, by locality:
(4)
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Judicial states:
(5)
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Less than or equal to 1 year
|
42,098
|
|
|
26
|
%
|
|
|
|
50,138
|
|
|
25
|
%
|
|
|
||
More than 1 year and less than or equal to 2 years
|
18,404
|
|
|
11
|
|
|
|
|
21,919
|
|
|
11
|
|
|
|
||
More than 2 years
|
38,044
|
|
|
24
|
|
|
|
|
48,984
|
|
|
25
|
|
|
|
||
Non-judicial states:
(5)
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Less than or equal to 1 year
|
39,736
|
|
|
25
|
|
|
|
|
49,657
|
|
|
25
|
|
|
|
||
More than 1 year and less than or equal to 2 years
|
10,963
|
|
|
7
|
|
|
|
|
12,989
|
|
|
7
|
|
|
|
||
More than 2 years
|
11,581
|
|
|
7
|
|
|
|
|
14,379
|
|
|
7
|
|
|
|
||
Combined:
(5)
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Less than or equal to 1 year
|
81,834
|
|
|
51
|
|
|
|
|
99,795
|
|
|
50
|
|
|
|
||
More than 1 year and less than or equal to 2 years
|
29,367
|
|
|
18
|
|
|
|
|
34,908
|
|
|
18
|
|
|
|
||
More than 2 years
|
49,625
|
|
|
31
|
|
|
|
|
63,363
|
|
|
32
|
|
|
|
||
Total
|
160,826
|
|
|
100
|
%
|
|
|
|
198,066
|
|
|
100
|
%
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Payment Status:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
One month past due
|
1.39
|
%
|
|
|
|
|
|
1.52
|
%
|
|
|
|
|
||||
Two months past due
|
0.42
|
%
|
|
|
|
|
|
0.49
|
%
|
|
|
|
|
(1)
|
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” for information about our counterparties that provide credit enhancement on loans in our single-family credit guarantee portfolio.
|
(2)
|
As of both
June 30, 2015
and
December 31, 2014
, approximately
53%
of the single-family loans reported as seriously delinquent were in the process of foreclosure.
|
(3)
|
States presented have the highest number of seriously delinquent loans as of
June 30, 2015
.
|
(4)
|
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
9.33%
and 10.11% as of
June 30, 2015
and
December 31, 2014
, respectively. Single-family Other Guarantee Transactions generally have underlying mortgage loans with higher risk characteristics.
|
(5)
|
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.
|
|
49
|
Freddie Mac Form 10-Q
|
|
|
As of June 30, 2015
|
|||||||||||
|
|
UPB
|
|
Estimated
Current LTV
(2)
|
|
Percentage
Modified
|
|
Serious
Delinquency
Rate
|
|||||
|
|
(dollars in billions)
|
|||||||||||
Mortgage loans with one or more specified characteristics
|
|
$
|
358.9
|
|
|
86
|
%
|
|
8.7
|
%
|
|
3.46
|
%
|
Categories (individual characteristics):
|
|
|
|
|
|
|
|
|
|||||
Alt-A
|
|
44.4
|
|
|
80
|
|
|
21.5
|
|
|
7.51
|
|
|
Interest-only
(3)
|
|
25.0
|
|
|
83
|
|
|
0.1
|
|
|
7.73
|
|
|
Option ARM
(4)
|
|
5.4
|
|
|
75
|
|
|
13.2
|
|
|
8.79
|
|
|
Original LTV ratio greater than 90%, non-HARP mortgage loans
|
|
131.4
|
|
|
86
|
|
|
9.1
|
|
|
3.13
|
|
|
Original LTV ratio greater than 90%, HARP mortgage loans
|
|
142.1
|
|
|
92
|
|
|
1.1
|
|
|
1.12
|
|
|
Lower credit scores at origination (less than 620)
|
|
43.2
|
|
|
76
|
|
|
20.1
|
|
|
7.24
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
|
As of December 31, 2014
|
|||||||||||
|
|
UPB
|
|
Estimated
Current LTV
(2)
|
|
Percentage
Modified
|
|
Serious
Delinquency
Rate
|
|||||
|
|
(dollars in billions)
|
|||||||||||
Mortgage 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 mortgage loans
|
|
123.2
|
|
|
87
|
|
|
9.4
|
|
|
3.97
|
|
|
Original LTV ratio greater than 90%, HARP mortgage loans
|
|
149.0
|
|
|
96
|
|
|
0.8
|
|
|
1.18
|
|
|
Lower credit scores at origination (less than 620)
|
|
44.9
|
|
|
79
|
|
|
19.2
|
|
|
8.57
|
|
(1)
|
Categories are not additive and a single mortgage loan may be included in multiple categories if more than one characteristic is associated with the mortgage loan. Excludes mortgage loans underlying certain Other Guarantee Transactions for which data was not available.
|
(2)
|
See endnote (2) to “
Table 29 — Characteristics of the Single-Family Credit Guarantee Portfolio
” for information about current LTV ratios.
|
(3)
|
When an interest-only mortgage loan is modified to require repayment of principal, the mortgage loan is removed from the interest-only category. The percentages of interest-only mortgage loans which have been modified at period end reflect mortgage loans that have not yet been assigned to their new product category (post-modification), primarily due to delays in processing.
|
(4)
|
For reporting purposes, mortgage loans in the option ARM category continue to be reported in that category following modification, even though the modified mortgage loan no longer provides for optional payment provisions.
|
|
50
|
Freddie Mac Form 10-Q
|
|
Last Six Months of 2015
|
|
2016
|
|
2017
|
|
2018
|
|
2019
|
|
Thereafter
|
|
Total
|
||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||
ARM/interest-only
(2)
|
$
|
2,147
|
|
|
$
|
3,226
|
|
|
$
|
5,248
|
|
|
$
|
2,088
|
|
|
$
|
118
|
|
|
$
|
277
|
|
|
$
|
13,104
|
|
Fixed/interest-only
(2)
|
101
|
|
|
493
|
|
|
2,218
|
|
|
468
|
|
|
7
|
|
|
153
|
|
|
3,440
|
|
|||||||
ARM/amortizing
(3)
|
1,180
|
|
|
4,263
|
|
|
4,695
|
|
|
5,408
|
|
|
9,389
|
|
|
25,384
|
|
|
50,319
|
|
|||||||
Step-rate modified
(4)
|
5,393
|
|
|
9,076
|
|
|
5,867
|
|
|
4,295
|
|
|
2,343
|
|
|
503
|
|
|
27,477
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
94,340
|
|
(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 mortgage loans.
|
(2)
|
Categorized by the year in which the mortgage loan begins requiring payment of principal.
|
(3)
|
Categorized by the year of first scheduled contractual reset date.
|
(4)
|
Represents modified mortgage loans that are scheduled to experience the first increase in their contractual interest rate in a given year. Includes the portion, if any, of UPB that is non-interest bearing under the terms of the modification.
|
•
|
Interest-only mortgage loans have an initial period during which the borrower pays only interest, and at a specified date the monthly payment increases to begin reflecting repayment of principal. Interest-only mortgage loans represented approximately
1%
and 2% of the UPB of our single-family credit guarantee portfolio at
June 30, 2015
and
December 31, 2014
, respectively. We discontinued purchasing such mortgage loans on September 1, 2010. We continue to monitor the performance of these mortgage loans, as many have begun or are scheduled to begin amortizing in 2015 and 2016, which will subject the borrowers to higher monthly payments. As of
June 30, 2015
and
December 31, 2014
, the serious delinquency rate of interest-only mortgage loans in our single-family credit guarantee portfolio was
7.73%
and
9.36%
, respectively.
|
•
|
Adjustable-rate mortgage loans may have initial periods during which the interest rate and monthly payment remains fixed until the interest rate begins to adjust, or they may adjust at regular intervals immediately after origination (typically annually). Excluding mortgage loans underlying Other Guarantee Transactions, there were
$89.1 billion
and $92.7 billion in UPB of ARM loans in our single-family credit guarantee portfolio as of
June 30, 2015
and
December 31, 2014
, respectively. Approximately
4%
and
8%
of these mortgage loans will experience their first payment change during the last six months of 2015 and during the full year of 2016, respectively. As of
June 30, 2015
and
December 31, 2014
, the serious delinquency rate of ARM loans in our single-family credit guarantee portfolio was
10.33%
and 11.58%, respectively. Since a substantial portion of ARM loans were originated in 2005 through 2008 and are located in geographic areas that have been most affected by declines in home prices since 2006, we believe that the serious delinquency rate for ARM loans will continue to remain high in 2015.
|
|
51
|
Freddie Mac Form 10-Q
|
•
|
"Step-rate modified loans" is the term that we generally use to refer to our HAMP mortgage loans that have provisions for reduced interest rates that remain fixed for the first five years and then increase at a rate of up to one percent per year until the interest rate has been adjusted to the market rate that was in effect at the time of the modification. We had
$40.6 billion
and $42.3 billion in UPB of step-rate modified mortgage loans in our single-family credit guarantee portfolio at
June 30, 2015
and
December 31, 2014
, respectively, and a number of these mortgage loans have experienced or will experience resets during 2015. As of
June 30, 2015
and
December 31, 2014
, the serious delinquency rate of all step-rate modified mortgage loans in our single-family credit guarantee portfolio was
8.12%
and
9.20%
, respectively. As of
June 30, 2015
, the average current interest rate for all step-rate modified mortgage loans was
2.52%
, and the average final interest rate that these mortgage loans are scheduled to reach in the future was
4.46%
. In January 2015, we implemented an additional borrower incentive for eligible borrowers who continue to perform on their HAMP mortgage loans that is designed to reduce the risk that these borrowers will default on their mortgage loans. In March 2015, we also announced a new modification initiative to help reduce the risk of default on step-rate modified mortgage loans under HAMP. Our servicers were required to implement this initiative by July 1, 2015.
|
•
|
Option ARM loans generally have initial periods during which the borrower has various options as to the amount of each monthly payment, until a specified date, when the terms are recast. We have not purchased option ARM loans in our single-family credit guarantee portfolio since 2007. At both
June 30, 2015
and
December 31, 2014
, option ARM loans represented less than 1% of the UPB of our single-family credit guarantee portfolio, and the serious delinquency rate for these mortgage loans was
8.8%
and
9.9%
, respectively. This exposure included
$4.6 billion
and $4.9 billion in UPB of option ARM securities underlying certain of our Other Guarantee Transactions at
June 30, 2015
and
December 31, 2014
, respectively. While we have not categorized these option ARM securities as either subprime or Alt-A securities for presentation in this Form 10-Q and elsewhere in our reporting, they could exhibit similar credit performance to collateral identified as subprime or Alt-A. For reporting purposes, mortgage loans within the option ARM category continue to be presented in that category following a modification of the mortgage loan, even though the modified mortgage loan no longer provides for optional payment provisions. As of
June 30, 2015
and
December 31, 2014
, approximately
13.2%
and
12.5%
, respectively, of the option ARM loans within our single-family credit guarantee portfolio had been modified.
|
|
52
|
Freddie Mac Form 10-Q
|
|
|
As of June 30, 2015
|
|
As of December 31, 2014
|
||||||||||||||||||||
|
|
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)
|
|
$
|
19
|
|
|
$
|
423
|
|
|
$
|
442
|
|
|
$
|
21
|
|
|
$
|
413
|
|
|
$
|
434
|
|
Illinois, Michigan, and Ohio
(2)
|
|
3
|
|
|
168
|
|
|
171
|
|
|
3
|
|
|
169
|
|
|
172
|
|
||||||
New York and New Jersey
(3)
|
|
6
|
|
|
139
|
|
|
145
|
|
|
7
|
|
|
138
|
|
|
145
|
|
||||||
All other states
|
|
17
|
|
|
903
|
|
|
920
|
|
|
19
|
|
|
895
|
|
|
914
|
|
||||||
Book year category:
(4)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
New single-family book
|
|
—
|
|
|
1,057
|
|
|
1,057
|
|
|
—
|
|
|
994
|
|
|
994
|
|
||||||
HARP and other relief refinance mortgage loans
|
|
—
|
|
|
318
|
|
|
318
|
|
|
—
|
|
|
331
|
|
|
331
|
|
||||||
2005-2008 Legacy single-family book
|
|
38
|
|
|
158
|
|
|
196
|
|
|
42
|
|
|
176
|
|
|
218
|
|
||||||
Pre-2005 Legacy single-family book
|
|
7
|
|
|
100
|
|
|
107
|
|
|
8
|
|
|
114
|
|
|
122
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
Six Months Ended June 30,
|
||||||||||||||||||||||
|
|
2015
|
|
2014
|
||||||||||||||||||||
|
|
Alt-A
|
|
Non Alt-A
|
|
Total
|
|
Alt-A
|
|
Non Alt-A
|
|
Total
|
||||||||||||
|
|
(in millions)
|
||||||||||||||||||||||
Credit Losses
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Geographic distribution:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Arizona, California, Florida, and Nevada
(1)
|
|
$
|
329
|
|
|
$
|
667
|
|
|
$
|
996
|
|
|
$
|
63
|
|
|
$
|
619
|
|
|
$
|
682
|
|
Illinois, Michigan, and Ohio
(2)
|
|
72
|
|
|
356
|
|
|
428
|
|
|
33
|
|
|
267
|
|
|
300
|
|
||||||
New York and New Jersey
(3)
|
|
311
|
|
|
759
|
|
|
1,070
|
|
|
39
|
|
|
144
|
|
|
183
|
|
||||||
All other states
|
|
192
|
|
|
926
|
|
|
1,118
|
|
|
66
|
|
|
587
|
|
|
653
|
|
||||||
Book year category:
(4)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
New single-family book
|
|
—
|
|
|
88
|
|
|
88
|
|
|
—
|
|
|
51
|
|
|
51
|
|
||||||
HARP and other relief refinance mortgage loans
|
|
—
|
|
|
233
|
|
|
233
|
|
|
—
|
|
|
130
|
|
|
130
|
|
||||||
2005-2008 Legacy single-family book
|
|
855
|
|
|
2,096
|
|
|
2,951
|
|
|
191
|
|
|
1,287
|
|
|
1,478
|
|
||||||
Pre-2005 Legacy single-family book
|
|
49
|
|
|
291
|
|
|
340
|
|
|
10
|
|
|
149
|
|
|
159
|
|
(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 mortgage loans within our single-family credit guarantee portfolio.
|
(4)
|
The New single-family book reflects mortgage loans originated since 2008. HARP and other relief refinance mortgage loans are presented separately rather than in the New single-family book. All other refinance mortgage loans are presented based on the year that the refinancing occurred.
|
|
53
|
Freddie Mac Form 10-Q
|
|
54
|
Freddie Mac Form 10-Q
|
|
|
As of June 30, 2015
|
|||||||||||||||||||||||||
|
|
Current LTV Ratio ≤ 80
(1)
|
|
Current LTV Ratio
of > 80 to 100
(1)
|
|
Current LTV > 100
(1)
|
|
All Mortgage Loans
(1)
|
|||||||||||||||||||
|
|
Percentage
of
Portfolio
|
|
Serious
Delinquency
Rate
|
|
Percentage
of
Portfolio
|
|
Serious
Delinquency
Rate
|
|
Percentage
of
Portfolio
|
|
Serious
Delinquency
Rate
|
|
Percentage
of
Portfolio
|
|
Percentage
Modified
|
|
Serious
Delinquency
Rate
|
|||||||||
New single-family book
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
By Credit score:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Credit scores < 620
|
|
0.2
|
%
|
|
2.36
|
%
|
|
—
|
%
|
|
3.98
|
%
|
|
—
|
%
|
|
14.03
|
%
|
|
0.2
|
%
|
|
2.8
|
%
|
|
2.73
|
%
|
Credit scores of 620 to 659
|
|
1.2
|
|
|
1.05
|
|
|
0.2
|
|
|
1.74
|
|
|
—
|
|
|
7.78
|
|
|
1.4
|
|
|
1.2
|
|
|
1.18
|
|
Credit scores ≥ 660
|
|
52.9
|
|
|
0.15
|
|
|
8.4
|
|
|
0.31
|
|
|
0.1
|
|
|
2.01
|
|
|
61.4
|
|
|
0.2
|
|
|
0.17
|
|
Credit scores not available
|
|
—
|
|
|
1.53
|
|
|
—
|
|
|
3.17
|
|
|
—
|
|
|
10.26
|
|
|
—
|
|
|
2.7
|
|
|
3.58
|
|
Total New single-family book
|
|
54.3
|
|
|
0.18
|
|
|
8.6
|
|
|
0.37
|
|
|
0.1
|
|
|
3.73
|
|
|
63.0
|
|
|
0.2
|
|
|
0.21
|
|
By Region
:
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
North Central
|
|
8.5
|
|
|
0.15
|
|
|
1.8
|
|
|
0.34
|
|
|
—
|
|
|
1.93
|
|
|
10.3
|
|
|
0.2
|
|
|
0.18
|
|
Northeast
|
|
13.9
|
|
|
0.26
|
|
|
2.5
|
|
|
0.59
|
|
|
—
|
|
|
4.38
|
|
|
16.4
|
|
|
0.3
|
|
|
0.32
|
|
Southeast
|
|
7.5
|
|
|
0.21
|
|
|
1.5
|
|
|
0.34
|
|
|
0.1
|
|
|
5.34
|
|
|
9.1
|
|
|
0.2
|
|
|
0.25
|
|
Southwest
|
|
7.2
|
|
|
0.16
|
|
|
1.3
|
|
|
0.27
|
|
|
—
|
|
|
1.92
|
|
|
8.5
|
|
|
0.1
|
|
|
0.18
|
|
West
|
|
17.2
|
|
|
0.11
|
|
|
1.5
|
|
|
0.19
|
|
|
—
|
|
|
0.93
|
|
|
18.7
|
|
|
0.1
|
|
|
0.12
|
|
Total New single-family book
|
|
54.3
|
|
|
0.18
|
|
|
8.6
|
|
|
0.37
|
|
|
0.1
|
|
|
3.73
|
|
|
63.0
|
|
|
0.2
|
|
|
0.21
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
HARP and other relief refinance mortgage loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
By Credit score:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Credit scores < 620
|
|
0.4
|
|
|
1.61
|
|
|
0.3
|
|
|
2.80
|
|
|
0.2
|
|
|
4.08
|
|
|
0.9
|
|
|
2.9
|
|
|
2.31
|
|
Credit scores of 620 to 659
|
|
0.8
|
|
|
1.01
|
|
|
0.4
|
|
|
1.91
|
|
|
0.2
|
|
|
2.96
|
|
|
1.4
|
|
|
1.6
|
|
|
1.57
|
|
Credit scores ≥ 660
|
|
10.7
|
|
|
0.27
|
|
|
4.0
|
|
|
0.90
|
|
|
2.0
|
|
|
1.67
|
|
|
16.7
|
|
|
0.5
|
|
|
0.55
|
|
Total HARP and other relief refinance mortgage loans
|
|
11.9
|
|
|
0.37
|
|
|
4.7
|
|
|
1.10
|
|
|
2.4
|
|
|
1.96
|
|
|
19.0
|
|
|
0.7
|
|
|
0.70
|
|
By Region
:
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
North Central
|
|
2.2
|
|
|
0.35
|
|
|
1.1
|
|
|
1.02
|
|
|
0.5
|
|
|
1.99
|
|
|
3.8
|
|
|
0.7
|
|
|
0.72
|
|
Northeast
|
|
2.6
|
|
|
0.55
|
|
|
1.3
|
|
|
1.56
|
|
|
0.6
|
|
|
2.95
|
|
|
4.5
|
|
|
1.0
|
|
|
1.07
|
|
Southeast
|
|
2.0
|
|
|
0.35
|
|
|
0.8
|
|
|
0.89
|
|
|
0.6
|
|
|
1.51
|
|
|
3.4
|
|
|
0.5
|
|
|
0.64
|
|
Southwest
|
|
1.3
|
|
|
0.27
|
|
|
0.3
|
|
|
0.98
|
|
|
0.1
|
|
|
1.68
|
|
|
1.7
|
|
|
0.3
|
|
|
0.42
|
|
West
|
|
3.8
|
|
|
0.32
|
|
|
1.2
|
|
|
0.94
|
|
|
0.6
|
|
|
1.56
|
|
|
5.6
|
|
|
0.7
|
|
|
0.56
|
|
Total HARP and other relief refinance mortgage loans
|
|
11.9
|
|
|
0.37
|
|
|
4.7
|
|
|
1.10
|
|
|
2.4
|
|
|
1.96
|
|
|
19.0
|
|
|
0.7
|
|
|
0.70
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Legacy single-family book
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
By Credit score:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Credit scores < 620
|
|
0.8
|
|
|
6.93
|
|
|
0.3
|
|
|
14.01
|
|
|
0.3
|
|
|
21.44
|
|
|
1.4
|
|
|
29.1
|
|
|
9.76
|
|
Credit scores of 620 to 659
|
|
1.6
|
|
|
4.96
|
|
|
0.6
|
|
|
11.29
|
|
|
0.5
|
|
|
18.01
|
|
|
2.7
|
|
|
23.5
|
|
|
7.41
|
|
Credit scores ≥ 660
|
|
9.3
|
|
|
2.06
|
|
|
2.7
|
|
|
7.51
|
|
|
1.7
|
|
|
13.18
|
|
|
13.7
|
|
|
10.7
|
|
|
3.38
|
|
Credit scores not available
|
|
0.2
|
|
|
5.24
|
|
|
—
|
|
|
17.23
|
|
|
—
|
|
|
22.09
|
|
|
0.2
|
|
|
12.5
|
|
|
6.21
|
|
Total Legacy single-family book
|
|
11.9
|
|
|
2.82
|
|
|
3.6
|
|
|
8.89
|
|
|
2.5
|
|
|
15.23
|
|
|
18.0
|
|
|
13.8
|
|
|
4.46
|
|
By Region
:
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
North Central
|
|
1.9
|
|
|
2.20
|
|
|
0.6
|
|
|
6.69
|
|
|
0.4
|
|
|
12.39
|
|
|
2.9
|
|
|
12.5
|
|
|
3.61
|
|
Northeast
|
|
3.0
|
|
|
4.25
|
|
|
1.0
|
|
|
14.73
|
|
|
0.7
|
|
|
24.63
|
|
|
4.7
|
|
|
14.2
|
|
|
7.00
|
|
Southeast
|
|
2.4
|
|
|
2.97
|
|
|
0.8
|
|
|
7.98
|
|
|
0.7
|
|
|
13.65
|
|
|
3.9
|
|
|
13.9
|
|
|
4.66
|
|
Southwest
|
|
1.7
|
|
|
2.20
|
|
|
0.2
|
|
|
8.30
|
|
|
—
|
|
|
16.18
|
|
|
1.9
|
|
|
7.8
|
|
|
2.74
|
|
West
|
|
2.9
|
|
|
2.05
|
|
|
1.0
|
|
|
6.32
|
|
|
0.7
|
|
|
10.09
|
|
|
4.6
|
|
|
19.1
|
|
|
3.30
|
|
Total Legacy single-family book
|
|
11.9
|
|
|
2.82
|
|
|
3.6
|
|
|
8.89
|
|
|
2.5
|
|
|
15.23
|
|
|
18.0
|
|
|
13.8
|
|
|
4.46
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Total single-family credit guarantee portfolio
|
|
78.1
|
%
|
|
0.95
|
%
|
|
16.9
|
%
|
|
2.70
|
%
|
|
5.0
|
%
|
|
8.26
|
%
|
|
100.0
|
%
|
|
4.2
|
%
|
|
1.53
|
%
|
(1)
|
The current LTV ratios are our estimates. See endnote (2) to “
Table 29 — Characteristics of the Single-Family Credit Guarantee Portfolio
” for further information.
|
(2)
|
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).
|
|
55
|
Freddie Mac Form 10-Q
|
|
|
Six Months Ended June 30, 2015
|
|
Six Months Ended June 30, 2014
|
||||||||||||||||||
|
|
UPB
|
|
Number of
Mortgage Loans
|
|
Average
Mortgage Loan
Balance
(2)
|
|
UPB
|
|
Number of Mortgage
Loans
|
|
Average Mortgage
Loan
Balance
(2)
|
||||||||||
|
|
(dollars in millions, except for average mortgage loan balances)
|
||||||||||||||||||||
Purchases of relief refinance mortgage loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
HARP:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Above 125% LTV ratio
|
|
$
|
334
|
|
|
2,191
|
|
|
$
|
152,000
|
|
|
$
|
977
|
|
|
5,879
|
|
|
$
|
166,000
|
|
Above 100% to 125% LTV ratio
|
|
1,227
|
|
|
7,024
|
|
|
175,000
|
|
|
2,785
|
|
|
15,478
|
|
|
180,000
|
|
||||
Above 80% to 100% LTV ratio
|
|
2,867
|
|
|
16,687
|
|
|
172,000
|
|
|
5,117
|
|
|
30,096
|
|
|
170,000
|
|
||||
Other (80% and below LTV ratio)
|
|
6,815
|
|
|
48,215
|
|
|
141,000
|
|
|
7,132
|
|
|
52,896
|
|
|
135,000
|
|
||||
Total relief refinance mortgage loans
|
|
$
|
11,243
|
|
|
74,117
|
|
|
152,000
|
|
|
$
|
16,011
|
|
|
104,349
|
|
|
153,000
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
|
As of June 30, 2015
|
|
As of December 31, 2014
|
||||||||||||||||||
|
|
UPB
|
|
Number of Mortgage
Loans
|
|
Serious
Delinquency
Rate
|
|
UPB
|
|
Number of Mortgage
Loans
|
|
Serious
Delinquency
Rate
|
||||||||||
|
|
(dollars in millions)
|
||||||||||||||||||||
Balance of relief refinance mortgage loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
HARP:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Above 125% LTV ratio
|
|
$
|
29,383
|
|
|
160,570
|
|
|
1.36
|
%
|
|
$
|
30,233
|
|
|
162,299
|
|
|
1.36
|
%
|
||
Above 100% to 125% LTV ratio
|
|
62,940
|
|
|
336,729
|
|
|
1.15
|
|
|
66,091
|
|
|
346,220
|
|
|
1.19
|
|
||||
Above 80% to 100% LTV ratio
|
|
103,677
|
|
|
590,494
|
|
|
0.85
|
|
|
109,618
|
|
|
609,239
|
|
|
0.93
|
|
||||
Other (80% and below LTV ratio)
|
|
122,072
|
|
|
955,826
|
|
|
0.34
|
|
|
125,158
|
|
|
957,435
|
|
|
0.36
|
|
||||
Total relief refinance mortgage loans
|
|
$
|
318,072
|
|
|
2,043,619
|
|
|
0.70
|
|
|
$
|
331,100
|
|
|
2,075,193
|
|
|
0.75
|
|
(1)
|
Includes purchases of mortgage loans for securitization that were previously associated with other guarantee commitments.
|
(2)
|
Rounded to the nearest thousand.
|
|
56
|
Freddie Mac Form 10-Q
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||||||||||||||
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||||||||||||||
|
|
Number of Mortgage Loans
|
|
Mortgage Loan Balances
|
|
Number of Mortgage Loans
|
|
Mortgage Loan Balances
|
|
Number of Mortgage Loans
|
|
Mortgage Loan Balances
|
|
Number of Mortgage Loans
|
|
Mortgage Loan Balances
|
||||||||||||
|
|
(dollars in millions)
|
||||||||||||||||||||||||||
Home retention actions:
|
||||||||||||||||||||||||||||
Mortgage loan modifications
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
with no change in terms
(2)
|
|
9
|
|
|
$
|
2
|
|
|
139
|
|
|
$
|
17
|
|
|
32
|
|
|
$
|
4
|
|
|
214
|
|
|
$
|
29
|
|
with term extension
|
|
6,273
|
|
|
883
|
|
|
2,737
|
|
|
418
|
|
|
12,237
|
|
|
1,731
|
|
|
4,909
|
|
|
765
|
|
||||
with change in interest rate and, in certain cases, term extension
|
|
6,895
|
|
|
1,360
|
|
|
9,276
|
|
|
1,757
|
|
|
13,160
|
|
|
2,565
|
|
|
19,769
|
|
|
3,806
|
|
||||
with change in interest rate, term extension and principal forbearance
|
|
2,514
|
|
|
599
|
|
|
4,475
|
|
|
1,014
|
|
|
4,883
|
|
|
1,159
|
|
|
10,363
|
|
|
2,356
|
|
||||
Total mortgage loan modifications
(3)
|
|
15,691
|
|
|
2,844
|
|
|
16,627
|
|
|
3,206
|
|
|
30,312
|
|
|
5,459
|
|
|
35,255
|
|
|
6,956
|
|
||||
Repayment plans
(4)
|
|
5,342
|
|
|
770
|
|
|
6,443
|
|
|
919
|
|
|
11,690
|
|
|
1,656
|
|
|
14,303
|
|
|
2,010
|
|
||||
Forbearance agreements
|
|
1,684
|
|
|
326
|
|
|
2,350
|
|
|
442
|
|
|
3,608
|
|
|
699
|
|
|
4,603
|
|
|
854
|
|
||||
Total home retention actions
|
|
22,717
|
|
|
3,940
|
|
|
25,420
|
|
|
4,567
|
|
|
45,610
|
|
|
7,814
|
|
|
54,161
|
|
|
9,820
|
|
||||
Foreclosure alternatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Short sale
|
|
2,695
|
|
|
578
|
|
|
4,173
|
|
|
887
|
|
|
5,805
|
|
|
1,228
|
|
|
8,354
|
|
|
1,792
|
|
||||
Deed in lieu of foreclosure transactions
|
|
661
|
|
|
104
|
|
|
849
|
|
|
137
|
|
|
1,439
|
|
|
228
|
|
|
1,771
|
|
|
284
|
|
||||
Total foreclosure alternatives
|
|
3,356
|
|
|
682
|
|
|
5,022
|
|
|
1,024
|
|
|
7,244
|
|
|
1,456
|
|
|
10,125
|
|
|
2,076
|
|
||||
Total single-family mortgage loan workouts
(5)
|
|
26,073
|
|
|
$
|
4,622
|
|
|
30,442
|
|
|
$
|
5,591
|
|
|
52,854
|
|
|
$
|
9,270
|
|
|
64,286
|
|
|
$
|
11,896
|
|
Single-family foreclosures
(6)
|
|
10,950
|
|
|
|
|
12,289
|
|
|
|
|
22,136
|
|
|
|
|
27,621
|
|
|
|
||||||||
Seriously delinquent mortgage loan additions
|
|
37,013
|
|
|
|
|
45,695
|
|
|
|
|
78,886
|
|
|
|
|
96,052
|
|
|
|
||||||||
Seriously delinquent mortgage loans, at period end
(7)
|
|
162,527
|
|
|
|
|
219,329
|
|
|
|
|
162,527
|
|
|
|
|
219,329
|
|
|
|
(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 mortgage loans in modification trial periods. These categories are not mutually exclusive, and a mortgage 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 mortgage loan terms.
|
(3)
|
Includes completed mortgage 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 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)
|
Consists of REO acquisitions as well as 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 mortgage loans is also reduced when borrowers resume scheduled payments and the mortgage loans return to performing status.
|
|
57
|
Freddie Mac Form 10-Q
|
|
|
Quarter of Mortgage Loan Modification Completion
(2)
|
||||||||||||||||||||||
|
|
2Q 2014
|
|
1Q 2014
|
|
4Q 2013
|
|
3Q 2013
|
|
2Q 2013
|
|
1Q 2013
|
|
4Q 2012
|
|
3Q 2012
|
||||||||
One Year Post-Modification
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
HAMP modifications
|
|
79
|
%
|
|
82
|
%
|
|
81
|
%
|
|
80
|
%
|
|
80
|
%
|
|
82
|
%
|
|
80
|
%
|
|
80
|
%
|
Non-HAMP modifications
|
|
68
|
|
|
71
|
|
|
70
|
|
|
73
|
|
|
74
|
|
|
76
|
|
|
72
|
|
|
72
|
|
Total
|
|
70
|
|
|
74
|
|
|
72
|
|
|
75
|
|
|
76
|
|
|
78
|
|
|
75
|
|
|
76
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Two Years Post-Modification
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
HAMP modifications
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
78
|
%
|
|
79
|
%
|
|
77
|
%
|
|
76
|
%
|
Non-HAMP modifications
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
71
|
|
|
72
|
|
|
68
|
|
|
67
|
|
Total
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
73
|
|
|
74
|
|
|
71
|
|
|
71
|
|
(1)
|
Represents the percentage of mortgage loans that were current and performing or had been paid in full.
|
(2)
|
For mortgage 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.
|
|
58
|
Freddie Mac Form 10-Q
|
|
|
Six Months Ended June 30,
|
||||
|
|
2015
|
|
2014
|
||
|
|
(average days)
|
||||
Judicial states:
|
|
|
|
|
||
Florida
|
|
1,336
|
|
|
1,307
|
|
New Jersey
|
|
1,546
|
|
|
1,337
|
|
New York
|
|
1,500
|
|
|
1,241
|
|
All other judicial states
|
|
846
|
|
|
790
|
|
Judicial states, in aggregate
|
|
1,078
|
|
|
1,034
|
|
Non-judicial states, in aggregate
|
|
630
|
|
|
641
|
|
Total
|
|
893
|
|
|
869
|
|
(1)
|
All averages exclude those mortgage loans underlying our Other Guarantee Transactions.
|
|
59
|
Freddie Mac Form 10-Q
|
|
|
UPB at
|
|
Delinquency Rate at
|
||||||||||
|
|
June 30, 2015
|
|
December 31, 2014
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||
|
|
(dollars in billions)
|
|
|
|
|
||||||||
Total Mortgage Portfolio
|
|
$
|
156.5
|
|
|
$
|
143.3
|
|
|
0.01
|
%
|
|
0.04
|
%
|
Unsecuritized mortgage loans, excluding held-for-sale loans:
(1)
|
|
|
|
|
|
|
|
|
||||||
Original LTV ratio:
|
|
|
|
|
|
|
|
|
||||||
Below 75%
|
|
$
|
27.2
|
|
|
$
|
30.3
|
|
|
0.04
|
%
|
|
0.04
|
%
|
75% to 80%
|
|
8.8
|
|
|
9.8
|
|
|
—
|
|
|
—
|
|
||
Above 80%
|
|
0.8
|
|
|
0.7
|
|
|
—
|
|
|
—
|
|
||
Total
|
|
$
|
36.8
|
|
|
$
|
40.8
|
|
|
0.03
|
%
|
|
0.03
|
%
|
Weighted average LTV ratio at origination
|
|
68
|
%
|
|
68
|
%
|
|
|
|
|
||||
Maturity Dates:
|
|
|
|
|
|
|
|
|
||||||
2015
|
|
$
|
1.4
|
|
|
$
|
3.0
|
|
|
—
|
%
|
|
—
|
%
|
2016
|
|
4.3
|
|
|
5.8
|
|
|
—
|
|
|
—
|
|
||
2017
|
|
5.5
|
|
|
5.8
|
|
|
—
|
|
|
—
|
|
||
2018
|
|
7.8
|
|
|
8.4
|
|
|
—
|
|
|
—
|
|
||
2019
|
|
7.1
|
|
|
7.4
|
|
|
0.16
|
|
|
0.15
|
|
||
Beyond 2019
|
|
10.7
|
|
|
10.4
|
|
|
—
|
|
|
—
|
|
||
Total
|
|
$
|
36.8
|
|
|
$
|
40.8
|
|
|
0.03
|
%
|
|
0.03
|
%
|
Year of Acquisition:
|
|
|
|
|
|
|
|
|
||||||
2010 and prior
|
|
$
|
30.4
|
|
|
$
|
35.5
|
|
|
0.04
|
%
|
|
0.03
|
%
|
2011 and after
|
|
6.4
|
|
|
5.3
|
|
|
—
|
|
|
—
|
|
||
Total
|
|
$
|
36.8
|
|
|
$
|
40.8
|
|
|
0.03
|
%
|
|
0.03
|
%
|
Freddie Mac Mortgage-Related Securities:
(2)
|
|
|
|
|
|
|
|
|
||||||
Year of Security Issuance
:
|
|
|
|
|
|
|
|
|
||||||
2010 and prior
|
|
$
|
10.9
|
|
|
$
|
11.0
|
|
|
0.07
|
%
|
|
0.39
|
%
|
2011
|
|
10.9
|
|
|
11.2
|
|
|
—
|
|
|
—
|
|
||
2012
|
|
16.1
|
|
|
16.5
|
|
|
—
|
|
|
—
|
|
||
2013
|
|
23.4
|
|
|
23.9
|
|
|
—
|
|
|
—
|
|
||
2014
|
|
18.0
|
|
|
18.5
|
|
|
—
|
|
|
—
|
|
||
2015
|
|
12.9
|
|
|
N/A
|
|
|
—
|
|
|
N/A
|
|
||
Total
|
|
$
|
92.2
|
|
|
$
|
81.1
|
|
|
0.01
|
%
|
|
0.05
|
%
|
Subordination Level at Issuance:
|
|
|
|
|
|
|
|
|
||||||
No subordination
|
|
$
|
0.9
|
|
|
$
|
0.8
|
|
|
—
|
%
|
|
0.06
|
%
|
Below 10%
|
|
5.1
|
|
|
4.4
|
|
|
—
|
|
|
—
|
|
||
10% to 15%
|
|
35.3
|
|
|
32.0
|
|
|
0.02
|
|
|
0.14
|
|
||
Above 15%
|
|
50.9
|
|
|
43.9
|
|
|
—
|
|
|
—
|
|
||
Total
|
|
$
|
92.2
|
|
|
$
|
81.1
|
|
|
0.01
|
%
|
|
0.05
|
%
|
(1)
|
Multifamily held-for-sale mortgage loans are primarily those awaiting securitization, and totaled
$17.9 billion
and $12.1 billion as of June 30, 2015 and December 31, 2014, respectively.
|
(2)
|
Consists of mortgage loans and bonds underlying Freddie Mac mortgage-related securities, which are primarily our K Certificates. Excludes other guarantee commitments.
|
|
60
|
Freddie Mac Form 10-Q
|
|
61
|
Freddie Mac Form 10-Q
|
|
62
|
Freddie Mac Form 10-Q
|
|
|
|
|
|
|
As of June 30, 2015
|
||||||||||||||
|
|
|
|
|
|
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)
|
||||||||||||||
United Guaranty Residential Insurance Company
|
|
BBB+
|
|
Stable
|
|
$
|
52,577
|
|
|
$
|
106
|
|
|
$
|
13,511
|
|
|
$
|
30
|
|
Radian Guaranty Inc. (Radian)
|
|
BB
|
|
Positive
|
|
52,390
|
|
|
2,116
|
|
|
13,359
|
|
|
679
|
|
||||
Mortgage Guaranty Insurance Corporation (MGIC)
|
|
BB+
|
|
Positive
|
|
50,689
|
|
|
212
|
|
|
13,028
|
|
|
2
|
|
||||
Genworth Mortgage Insurance Corporation (GMIC)
|
|
BB-
|
|
Developing
|
|
33,523
|
|
|
86
|
|
|
8,559
|
|
|
29
|
|
||||
Essent Guaranty, Inc.
|
|
BBB
|
|
Stable
|
|
19,664
|
|
|
—
|
|
|
5,025
|
|
|
—
|
|
||||
PMI Mortgage Insurance Co. (PMI)
(4)
|
|
Not Rated
|
|
N/A
|
|
10,565
|
|
|
106
|
|
|
2,622
|
|
|
64
|
|
||||
Republic Mortgage Insurance Company (RMIC)
|
|
Not Rated
|
|
N/A
|
|
8,277
|
|
|
69
|
|
|
2,067
|
|
|
31
|
|
||||
Triad Guaranty Insurance Corporation (Triad)
(5)
|
|
Not Rated
|
|
N/A
|
|
3,944
|
|
|
43
|
|
|
993
|
|
|
5
|
|
||||
Arch Mortgage Insurance Company
|
|
BBB+
|
|
Stable
|
|
4,039
|
|
|
—
|
|
|
998
|
|
|
—
|
|
||||
Others
|
|
N/A
|
|
N/A
|
|
2,698
|
|
|
—
|
|
|
648
|
|
|
—
|
|
||||
Total
|
|
|
|
|
|
$
|
238,366
|
|
|
$
|
2,738
|
|
|
$
|
60,810
|
|
|
$
|
840
|
|
(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 July 21, 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 loan is covered under both types of insurance. See “NOTE 4: MORTGAGE LOANS AND LOAN LOSS RESERVES —
Table 4.6 — 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.
|
|
63
|
Freddie Mac Form 10-Q
|
(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. In April 2015, PMI began paying valid claims 70% in cash and 30% in deferred payment obligations and made a one-time cash payment to us for claims that were previously settled for 67% in cash.
|
(5)
|
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.
|
•
|
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
|
|
64
|
Freddie Mac Form 10-Q
|
•
|
stress-testing to evaluate potential exposure under possible adverse market scenarios.
|
|
As of June 30, 2015
|
|||||||||
|
Number of
Counterparties
(1)
|
|
Fair Value - Gain Position
(2)
|
|
Fair Value - Gain Position Net of Collateral
(3)
|
|||||
|
(dollars in millions)
|
|||||||||
OTC interest-rate swaps and swaptions counterparties (by ratings):
|
|
|
|
|
|
|||||
AA- or above
|
5
|
|
|
$
|
202
|
|
|
$
|
15
|
|
A+, A or A-
|
10
|
|
|
1,056
|
|
|
16
|
|
||
BBB+, BBB or BBB-
|
2
|
|
|
—
|
|
|
—
|
|
||
Total OTC
|
17
|
|
|
1,258
|
|
|
31
|
|
||
Cleared and exchange-traded derivatives
|
|
|
—
|
|
|
—
|
|
|||
Total
|
|
|
$
|
1,258
|
|
|
$
|
31
|
|
(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)
|
Represents the fair value of derivative instruments in a net gain position after netting by counterparty, where allowable.
|
(3)
|
For this purpose, collateral consists of cash and non-cash collateral posted by our counterparties to us. Does not include collateral held in excess of exposure.
|
|
65
|
Freddie Mac Form 10-Q
|
|
66
|
Freddie Mac Form 10-Q
|
|
67
|
Freddie Mac Form 10-Q
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
(dollars in millions)
|
||||||||||||||
Beginning balance
|
$
|
450,737
|
|
|
$
|
458,334
|
|
|
$
|
454,029
|
|
|
$
|
511,345
|
|
Issued during the period:
|
|
|
|
|
|
|
|
||||||||
Short-term:
|
|
|
|
|
|
|
|
||||||||
Amount
|
$
|
117,947
|
|
|
$
|
54,120
|
|
|
$
|
179,557
|
|
|
$
|
94,176
|
|
Weighted-average effective interest rate
|
0.07
|
%
|
|
0.09
|
%
|
|
0.08
|
%
|
|
0.10
|
%
|
||||
Long-term:
|
|
|
|
|
|
|
|
||||||||
Amount
|
$
|
48,790
|
|
|
$
|
16,347
|
|
|
$
|
89,703
|
|
|
$
|
39,294
|
|
Weighted-average effective interest rate
|
1.49
|
%
|
|
1.11
|
%
|
|
1.36
|
%
|
|
1.18
|
%
|
||||
Total issued:
|
|
|
|
|
|
|
|
||||||||
Amount
|
$
|
166,737
|
|
|
$
|
70,467
|
|
|
$
|
269,260
|
|
|
$
|
133,470
|
|
Weighted-average effective interest rate
|
0.49
|
%
|
|
0.33
|
%
|
|
0.51
|
%
|
|
0.42
|
%
|
||||
Paid off during the period:
(1)
|
|
|
|
|
|
|
|
||||||||
Short-term:
|
|
|
|
|
|
|
|
||||||||
Amount
|
$
|
(141,187
|
)
|
|
$
|
(58,974
|
)
|
|
$
|
(221,078
|
)
|
|
$
|
(125,616
|
)
|
Weighted-average effective interest rate
|
0.07
|
%
|
|
0.13
|
%
|
|
0.08
|
%
|
|
0.12
|
%
|
||||
Long-term:
|
|
|
|
|
|
|
|
||||||||
Amount
|
$
|
(58,826
|
)
|
|
$
|
(20,595
|
)
|
|
$
|
(84,750
|
)
|
|
$
|
(69,967
|
)
|
Weighted-average effective interest rate
|
1.09
|
%
|
|
1.75
|
%
|
|
1.40
|
%
|
|
1.68
|
%
|
||||
Total paid off:
|
|
|
|
|
|
|
|
||||||||
Amount
|
$
|
(200,013
|
)
|
|
$
|
(79,569
|
)
|
|
$
|
(305,828
|
)
|
|
$
|
(195,583
|
)
|
Weighted-average effective interest rate
|
0.37
|
%
|
|
0.55
|
%
|
|
0.44
|
%
|
|
0.68
|
%
|
||||
Ending balance
|
$
|
417,461
|
|
|
$
|
449,232
|
|
|
$
|
417,461
|
|
|
$
|
449,232
|
|
(1)
|
Calls and repurchases of zero-coupon debt are reported at original face value, which does not equal the amount of actual cash payment.
|
|
Nationally Recognized Statistical
Rating Organization
|
||||
|
S&P
|
|
Moody’s
|
|
Fitch
|
Senior long-term debt
|
AA+
|
|
Aaa
|
|
AAA
|
Short-term debt
|
A-1+
|
|
P-1
|
|
F1+
|
Freddie SUBS subordinated debt
|
AA-
|
|
Aa2
|
|
AA-
|
Preferred stock
(1)
|
D
|
|
Ca
|
|
C/RR6
|
Outlook
|
Stable
|
|
Stable
|
|
Stable
|
(1)
|
Does not include senior preferred stock issued to Treasury.
|
|
68
|
Freddie Mac Form 10-Q
|
|
69
|
Freddie Mac Form 10-Q
|
|
70
|
Freddie Mac Form 10-Q
|
•
|
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 2015 Conservatorship Scorecard 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, K Certificate 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, 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;
|
|
71
|
Freddie Mac Form 10-Q
|
•
|
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-Q, our Form 10-Q for the quarter ended March 31, 2015 and our 2014 Annual Report, including in the “MD&A” sections.
|
|
72
|
Freddie Mac Form 10-Q
|
|
|
|
|
|
|
|
PMVS-YC
|
|
PMVS-L
|
|||||||||||||
|
|
|
|
|
|
|
25 bps
|
|
50 bps
|
|
100 bps
|
|||||||||||
|
|
|
(in millions)
|
|||||||||||||||||||
Assuming shifts of the LIBOR yield curve:
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
June 30, 2015
|
|
|
|
|
|
|
$
|
28
|
|
|
$
|
154
|
|
|
$
|
372
|
|
|||||
December 31, 2014
|
|
|
|
|
|
|
$
|
—
|
|
|
$
|
102
|
|
|
$
|
396
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Three Months Ended June 30,
|
|||||||||||||||||||||
|
2015
|
|
2014
|
|||||||||||||||||||
|
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
|
0.4
|
|
|
$
|
24
|
|
|
$
|
98
|
|
|
—
|
|
|
$
|
20
|
|
|
$
|
52
|
|
|
Minimum
|
(0.3
|
)
|
|
$
|
4
|
|
|
$
|
23
|
|
|
(0.8
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Maximum
|
1.0
|
|
|
$
|
47
|
|
|
$
|
197
|
|
|
0.7
|
|
|
$
|
65
|
|
|
$
|
209
|
|
|
Standard deviation
|
0.3
|
|
|
$
|
9
|
|
|
$
|
46
|
|
|
0.3
|
|
|
$
|
20
|
|
|
$
|
46
|
|
|
|
Six Months Ended June 30,
|
|||||||||||||||||||||
|
2015
|
|
2014
|
|||||||||||||||||||
|
Duration
Gap
|
|
PMVS-YC
25 bps
|
|
PMVS-L
50 bps
|
|
Duration
Gap
|
|
PMVS-YC
25 bps
|
|
PMVS-L
50 bps
|
|||||||||||
|
(in months)
|
|
(dollars in millions)
|
|
(in months)
|
|
(dollars in millions)
|
|||||||||||||||
Average
|
0.2
|
|
|
$
|
26
|
|
|
$
|
110
|
|
|
(0.2
|
)
|
|
$
|
16
|
|
|
$
|
68
|
|
|
Minimum
|
(0.3
|
)
|
|
$
|
4
|
|
|
$
|
23
|
|
|
(2.4
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Maximum
|
1.0
|
|
|
$
|
47
|
|
|
$
|
250
|
|
|
0.7
|
|
|
$
|
65
|
|
|
$
|
509
|
|
|
Standard deviation
|
0.3
|
|
|
$
|
10
|
|
|
$
|
44
|
|
|
0.5
|
|
|
$
|
17
|
|
|
$
|
101
|
|
|
73
|
Freddie Mac Form 10-Q
|
|
Before
Derivatives
|
|
After
Derivatives
|
|
Effect of
Derivatives
|
||||||
|
(in millions)
|
||||||||||
At:
|
|
|
|
|
|
||||||
June 30, 2015
|
$
|
3,398
|
|
|
$
|
154
|
|
|
$
|
(3,244
|
)
|
December 31, 2014
|
$
|
3,226
|
|
|
$
|
102
|
|
|
$
|
(3,124
|
)
|
•
|
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-Q, and engage in discussions with us regarding issues associated with the information contained in those filings. Prior to filing this Form 10-Q, FHFA provided us with a written acknowledgment that it had reviewed the Form 10-Q, was not aware of any material misstatements or omissions in the Form 10-Q, and had no objection to our filing the Form 10-Q.
|
•
|
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.
|
|
74
|
Freddie Mac Form 10-Q
|
•
|
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.
|
|
75
|
Freddie Mac Form 10-Q
|
|
76
|
Freddie Mac Form 10-Q
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
|
(in millions, except share-related amounts)
|
||||||||||||||
Interest income
|
|
|
|
|
|
|
|
|
||||||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
||||||||
Held by consolidated trusts
|
|
$
|
13,730
|
|
|
$
|
14,249
|
|
|
$
|
27,609
|
|
|
$
|
28,733
|
|
Unsecuritized
|
|
1,654
|
|
|
1,660
|
|
|
3,229
|
|
|
3,322
|
|
||||
Total mortgage loans
|
|
15,384
|
|
|
15,909
|
|
|
30,838
|
|
|
32,055
|
|
||||
Investments in securities
|
|
1,256
|
|
|
1,524
|
|
|
2,591
|
|
|
3,034
|
|
||||
Other
|
|
15
|
|
|
6
|
|
|
26
|
|
|
11
|
|
||||
Total interest income
|
|
16,655
|
|
|
17,439
|
|
|
33,455
|
|
|
35,100
|
|
||||
Interest expense
|
|
|
|
|
|
|
|
|
||||||||
Debt securities of consolidated trusts
|
|
(11,005
|
)
|
|
(12,105
|
)
|
|
(22,492
|
)
|
|
(24,348
|
)
|
||||
Other debt:
|
|
|
|
|
|
|
|
|
||||||||
Short-term debt
|
|
(36
|
)
|
|
(34
|
)
|
|
(74
|
)
|
|
(75
|
)
|
||||
Long-term debt
|
|
(1,587
|
)
|
|
(1,721
|
)
|
|
(3,150
|
)
|
|
(3,509
|
)
|
||||
Total interest expense
|
|
(12,628
|
)
|
|
(13,860
|
)
|
|
(25,716
|
)
|
|
(27,932
|
)
|
||||
Expense related to derivatives
|
|
(58
|
)
|
|
(76
|
)
|
|
(123
|
)
|
|
(155
|
)
|
||||
Net interest income
|
|
3,969
|
|
|
3,503
|
|
|
7,616
|
|
|
7,013
|
|
||||
Benefit for credit losses
|
|
857
|
|
|
618
|
|
|
1,356
|
|
|
533
|
|
||||
Net interest income after benefit for credit losses
|
|
4,826
|
|
|
4,121
|
|
|
8,972
|
|
|
7,546
|
|
||||
Non-interest income (loss)
|
|
|
|
|
|
|
|
|
||||||||
Gains (losses) on extinguishment of debt securities of consolidated trusts
|
|
(54
|
)
|
|
(188
|
)
|
|
(134
|
)
|
|
(176
|
)
|
||||
Gains (losses) on retirement of other debt
|
|
(26
|
)
|
|
1
|
|
|
(25
|
)
|
|
8
|
|
||||
Derivative gains (losses)
|
|
3,135
|
|
|
(1,926
|
)
|
|
732
|
|
|
(4,277
|
)
|
||||
Impairment of available-for-sale securities:
|
|
|
|
|
|
|
|
|
||||||||
Total other-than-temporary impairment of available-for-sale securities
|
|
(77
|
)
|
|
(178
|
)
|
|
(166
|
)
|
|
(509
|
)
|
||||
Portion of other-than-temporary impairment recognized in AOCI
|
|
(21
|
)
|
|
21
|
|
|
(25
|
)
|
|
(12
|
)
|
||||
Net impairment of available-for-sale securities recognized in earnings
|
|
(98
|
)
|
|
(157
|
)
|
|
(191
|
)
|
|
(521
|
)
|
||||
Other gains (losses) on investment securities recognized in earnings
|
|
152
|
|
|
372
|
|
|
569
|
|
|
1,138
|
|
||||
Other income (loss)
|
|
(568
|
)
|
|
492
|
|
|
(557
|
)
|
|
5,533
|
|
||||
Non-interest income (loss)
|
|
2,541
|
|
|
(1,406
|
)
|
|
394
|
|
|
1,705
|
|
||||
Non-interest expense
|
|
|
|
|
|
|
|
|
||||||||
Salaries and employee benefits
|
|
(279
|
)
|
|
(223
|
)
|
|
(511
|
)
|
|
(456
|
)
|
||||
Professional services
|
|
(118
|
)
|
|
(126
|
)
|
|
(231
|
)
|
|
(264
|
)
|
||||
Occupancy expense
|
|
(14
|
)
|
|
(14
|
)
|
|
(26
|
)
|
|
(27
|
)
|
||||
Other administrative expense
|
|
(90
|
)
|
|
(90
|
)
|
|
(184
|
)
|
|
(174
|
)
|
||||
Total administrative expense
|
|
(501
|
)
|
|
(453
|
)
|
|
(952
|
)
|
|
(921
|
)
|
||||
Real estate owned operations (expense) income
|
|
(52
|
)
|
|
50
|
|
|
(127
|
)
|
|
(9
|
)
|
||||
Temporary Payroll Tax Cut Continuation Act of 2011 expense
|
|
(235
|
)
|
|
(187
|
)
|
|
(457
|
)
|
|
(365
|
)
|
||||
Other expense
|
|
(501
|
)
|
|
(90
|
)
|
|
(964
|
)
|
|
(156
|
)
|
||||
Non-interest expense
|
|
(1,289
|
)
|
|
(680
|
)
|
|
(2,500
|
)
|
|
(1,451
|
)
|
||||
Income before income tax expense
|
|
6,078
|
|
|
2,035
|
|
|
6,866
|
|
|
7,800
|
|
||||
Income tax expense
|
|
(1,909
|
)
|
|
(673
|
)
|
|
(2,173
|
)
|
|
(2,418
|
)
|
||||
Net income
|
|
4,169
|
|
|
1,362
|
|
|
4,693
|
|
|
5,382
|
|
||||
Other comprehensive income (loss), net of taxes and reclassification adjustments:
|
|
|
|
|
|
|
|
|
||||||||
Changes in unrealized gains (losses) related to available-for-sale securities
|
|
(314
|
)
|
|
479
|
|
|
(157
|
)
|
|
906
|
|
||||
Changes in unrealized gains (losses) related to cash flow hedge relationships
|
|
38
|
|
|
49
|
|
|
97
|
|
|
101
|
|
||||
Changes in defined benefit plans
|
|
20
|
|
|
—
|
|
|
26
|
|
|
—
|
|
||||
Total other comprehensive income (loss), net of taxes and reclassification adjustments
|
|
(256
|
)
|
|
528
|
|
|
(34
|
)
|
|
1,007
|
|
||||
Comprehensive income
|
|
$
|
3,913
|
|
|
$
|
1,890
|
|
|
$
|
4,659
|
|
|
$
|
6,389
|
|
Net income
|
|
$
|
4,169
|
|
|
$
|
1,362
|
|
|
$
|
4,693
|
|
|
$
|
5,382
|
|
Undistributed net worth sweep and senior preferred stock dividends
|
|
(3,913
|
)
|
|
(1,890
|
)
|
|
(4,659
|
)
|
|
(6,389
|
)
|
||||
Net income (loss) attributable to common stockholders
|
|
$
|
256
|
|
|
$
|
(528
|
)
|
|
$
|
34
|
|
|
$
|
(1,007
|
)
|
Net income (loss) per common share — basic and diluted
|
|
$
|
0.08
|
|
|
$
|
(0.16
|
)
|
|
$
|
0.01
|
|
|
$
|
(0.31
|
)
|
Weighted average common shares outstanding (in millions) — basic and diluted
|
|
3,234
|
|
|
3,236
|
|
|
3,235
|
|
|
3,237
|
|
|
77
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
|
December 31, 2014
|
||||
|
(in millions,
except share-related amounts)
|
||||||
Assets
|
|
|
|
||||
Cash and cash equivalents (includes $0 and $2, respectively, related to our consolidated VIEs)
|
$
|
5,461
|
|
|
$
|
10,928
|
|
Restricted cash and cash equivalents (includes $18,790 and $8,532, respectively, related to our consolidated VIEs)
|
18,792
|
|
|
8,535
|
|
||
Federal funds sold and securities purchased under agreements to resell (includes $9,925 and $13,500, respectively, related to our consolidated VIEs)
|
37,041
|
|
|
51,903
|
|
||
Investments in securities:
|
|
|
|
||||
Available-for-sale, at fair value (includes $0 and $9, respectively, pledged as collateral that may be repledged)
|
90,831
|
|
|
106,550
|
|
||
Trading, at fair value (includes $2,281 and $1,884, respectively, pledged as collateral that may be repledged)
|
32,085
|
|
|
30,437
|
|
||
Total investments in securities
|
122,916
|
|
|
136,987
|
|
||
Mortgage loans:
|
|
|
|
||||
Held-for-investment, at amortized cost:
|
|
|
|
||||
By consolidated trusts (net of allowances for loan losses of $2,738 and $2,884, respectively)
|
1,586,188
|
|
|
1,558,094
|
|
||
Unsecuritized (net of allowances for loan losses of $14,589 and $18,877, respectively)
|
118,367
|
|
|
130,118
|
|
||
Total held-for-investment mortgage loans, net
|
1,704,555
|
|
|
1,688,212
|
|
||
Held-for-sale, at lower-of-cost-or-fair-value (includes $17,600 and $12,130 at fair value, respectively)
|
22,408
|
|
|
12,368
|
|
||
Total mortgage loans, net
|
1,726,963
|
|
|
1,700,580
|
|
||
Accrued interest receivable (includes $5,177 and $5,124, respectively, related to our consolidated VIEs)
|
5,979
|
|
|
6,034
|
|
||
Derivative assets, net
|
492
|
|
|
822
|
|
||
Real estate owned, net (includes $42 and $44, respectively, related to our consolidated VIEs)
|
1,978
|
|
|
2,558
|
|
||
Deferred tax assets, net
|
19,545
|
|
|
19,498
|
|
||
Other assets (Note 19) (includes $3,114 and $2,596, respectively, related to our consolidated VIEs)
|
8,295
|
|
|
7,694
|
|
||
Total assets
|
$
|
1,947,462
|
|
|
$
|
1,945,539
|
|
Liabilities and equity
|
|
|
|
||||
Liabilities
|
|
|
|
||||
Accrued interest payable (includes $4,718 and $4,702, respectively, related to our consolidated VIEs)
|
$
|
6,239
|
|
|
$
|
6,325
|
|
Debt, net:
|
|
|
|
||||
Debt securities of consolidated trusts held by third parties (includes $36 and $42 at fair value, respectively)
|
1,515,132
|
|
|
1,479,473
|
|
||
Other debt (includes $7,733 and $5,820 at fair value, respectively)
|
413,937
|
|
|
450,069
|
|
||
Total debt, net
|
1,929,069
|
|
|
1,929,542
|
|
||
Derivative liabilities, net
|
911
|
|
|
1,963
|
|
||
Other liabilities (Note 19) (includes $5 and $1, respectively, related to our consolidated VIEs)
|
5,530
|
|
|
5,058
|
|
||
Total liabilities
|
1,941,749
|
|
|
1,942,888
|
|
||
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 650,044,758 shares and 650,043,899 shares outstanding, respectively
|
—
|
|
|
—
|
|
||
Additional paid-in capital
|
—
|
|
|
—
|
|
||
Retained earnings (accumulated deficit)
|
(78,543
|
)
|
|
(81,639
|
)
|
||
AOCI, net of taxes, related to:
|
|
|
|
||||
Available-for-sale securities (includes $964 and $839, respectively, related to net unrealized gains on securities for which other-than-temporary impairment has been recognized in earnings)
|
2,389
|
|
|
2,546
|
|
||
Cash flow hedge relationships
|
(706
|
)
|
|
(803
|
)
|
||
Defined benefit plans
|
13
|
|
|
(13
|
)
|
||
Total AOCI, net of taxes
|
1,696
|
|
|
1,730
|
|
||
Treasury stock, at cost, 75,819,128 shares and 75,819,987 shares, respectively
|
(3,885
|
)
|
|
(3,885
|
)
|
||
Total equity (See NOTE 11: STOCKHOLDERS’ EQUITY for information on our dividend obligation to Treasury)
|
5,713
|
|
|
2,651
|
|
||
Total liabilities and equity
|
$
|
1,947,462
|
|
|
$
|
1,945,539
|
|
|
78
|
Freddie Mac Form 10-Q
|
|
Six Months Ended June 30,
|
||||||
|
2015
|
|
2014
|
||||
|
(in millions)
|
||||||
Net cash (used in) provided by operating activities
|
$
|
(3,273
|
)
|
|
$
|
11,021
|
|
Cash flows from investing activities:
|
|
|
|
||||
Purchases of trading securities
|
(17,624
|
)
|
|
(23,223
|
)
|
||
Proceeds from sales of trading securities
|
8,637
|
|
|
7,461
|
|
||
Proceeds from maturities of trading securities
|
6,907
|
|
|
5,714
|
|
||
Purchases of available-for-sale securities
|
(3,976
|
)
|
|
(10,547
|
)
|
||
Proceeds from sales of available-for-sale securities
|
11,723
|
|
|
17,846
|
|
||
Proceeds from maturities of available-for-sale securities
|
10,140
|
|
|
10,511
|
|
||
Purchases of held-for-investment mortgage loans
|
(61,545
|
)
|
|
(27,884
|
)
|
||
Proceeds from sales of mortgage loans held-for-investment
|
1,116
|
|
|
—
|
|
||
Repayments of mortgage loans held-for-investment
|
158,719
|
|
|
109,973
|
|
||
(Increase) decrease in restricted cash
|
(10,257
|
)
|
|
9,476
|
|
||
Net proceeds from dispositions of real estate owned and other recoveries
|
2,182
|
|
|
4,449
|
|
||
Net decrease in federal funds sold and securities purchased under agreements to resell
|
14,862
|
|
|
18,252
|
|
||
Derivative premiums and terminations and swap collateral, net
|
1,286
|
|
|
(1,469
|
)
|
||
Changes in other assets
|
(4,855
|
)
|
|
—
|
|
||
Net cash provided by investing activities
|
117,315
|
|
|
120,559
|
|
||
Cash flows from financing activities:
|
|
|
|
||||
Proceeds from issuance of debt securities of consolidated trusts held by third parties
|
81,919
|
|
|
59,966
|
|
||
Repayments of debt securities of consolidated trusts held by third parties
|
(163,370
|
)
|
|
(121,195
|
)
|
||
Proceeds from issuance of other debt
|
271,387
|
|
|
270,786
|
|
||
Repayments of other debt
|
(307,845
|
)
|
|
(332,818
|
)
|
||
Payment of cash dividends on senior preferred stock
|
(1,597
|
)
|
|
(14,934
|
)
|
||
Changes in other liabilities
|
(3
|
)
|
|
(4
|
)
|
||
Net cash used in financing activities
|
(119,509
|
)
|
|
(138,199
|
)
|
||
Net (decrease) in cash and cash equivalents
|
(5,467
|
)
|
|
(6,619
|
)
|
||
Cash and cash equivalents at beginning of period
|
10,928
|
|
|
11,281
|
|
||
Cash and cash equivalents at end of period
|
$
|
5,461
|
|
|
$
|
4,662
|
|
|
|
|
|
||||
Supplemental cash flow information
|
|
|
|
||||
Cash paid (received) for:
|
|
|
|
||||
Debt interest
|
$
|
30,477
|
|
|
$
|
31,016
|
|
Net cash settlement on interest rate swaps
|
1,285
|
|
|
1,227
|
|
||
Income taxes
|
859
|
|
|
760
|
|
||
Non-cash investing and financing activities (Notes 4 and 6)
|
|
|
|
|
79
|
Freddie Mac Form 10-Q
|
•
|
to support U.S. homeowners and renters by maintaining mortgage availability even when other sources of financing are scarce and providing struggling homeowners with alternatives that allow them to stay in their homes or to avoid foreclosure;
|
•
|
to reduce taxpayer exposure to losses by increasing the role of private capital in the mortgage market and reducing our overall risk profile;
|
•
|
to build a commercially strong and efficient business enterprise to succeed in a to-be-determined “future state;” and
|
•
|
to support and improve the secondary mortgage market.
|
|
80
|
Freddie Mac Form 10-Q
|
|
81
|
Freddie Mac Form 10-Q
|
Standard
|
Description
|
Date of Adoption
|
Effect on the financial statements
|
Recently Adopted Accounting Guidance
|
|||
ASU 2014-04,
Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure
(Topic 310)
|
The amendment clarifies that a creditor is considered to have received physical possession of residential real estate property collateralizing a consumer mortgage loan, upon either the creditor obtaining legal title to the residential real estate property upon completion of a foreclosure or the borrower conveying all interest in the residential real estate property to the creditor to satisfy that loan through completion of a deed in lieu of foreclosure or through a similar legal agreement.
|
January 1, 2015
|
The adoption of this amendment did not have a material impact on our consolidated financial statements.
|
ASU 2014-11,
Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures
(Topic 860)
|
The amendment requires repurchase-to-maturity transactions to be accounted for as secured borrowings and requires separate accounting for a transfer of a financial asset completed contemporaneously with a repurchase agreement with the same counterparty.
|
January 1, 2015
|
The adoption of this amendment did not have a material impact on our consolidated financial statements.
|
ASU 2014-14,
Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure
(Topic 310)
|
The amendment requires that a mortgage loan be de-recognized and a separate receivable be recognized upon foreclosure if certain conditions are met. If those conditions are met and such a receivable is recognized, the receivable should be measured based on the amount of principal and interest related to the loan expected to be recovered from the guarantor.
|
January 1, 2015
|
The adoption of this amendment did not have a material impact on our consolidated financial statements.
|
Recently Issued Accounting Guidance, Not Yet Adopted Within our Consolidated Financial Statements
|
|||
ASU 2015-03,
Simplifying the Presentation of Debt Issuance Costs
(Subtopic 835-30)
|
The amendment requires that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts.
|
January 1, 2016
|
We do not expect that the adoption of this amendment will have a material impact on our consolidated financial statements.
|
ASU 2015-02,
Amendments to the Consolidation Analysis
(Topic 810)
|
The amendment affects reporting entities that are required to evaluate whether they should consolidate certain legal entities.
|
January 1, 2016
|
We do not expect that the adoption of this amendment will have a material impact on our consolidated financial statements.
|
|
82
|
Freddie Mac Form 10-Q
|
|
83
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
||||||
|
Freddie Mac Securities
(1)
|
|
Other
|
||||
|
(in millions)
|
||||||
Assets and Liabilities Recorded on our Consolidated Balance Sheets
|
|
|
|
||||
Assets:
|
|
|
|
||||
Restricted cash and cash equivalents
|
$
|
—
|
|
|
$
|
2
|
|
Investments in securities:
|
|
|
|
||||
Available-for-sale, at fair value
|
36,209
|
|
|
—
|
|
||
Trading, at fair value
|
16,137
|
|
|
—
|
|
||
Accrued interest receivable
|
219
|
|
|
8
|
|
||
Other assets
|
1,069
|
|
|
525
|
|
||
Liabilities:
|
|
|
|
||||
Derivative liabilities, net
|
—
|
|
|
(28
|
)
|
||
Other liabilities
|
(1,055
|
)
|
|
(563
|
)
|
||
Maximum Exposure to Loss
(2)
|
$
|
98,222
|
|
|
$
|
10,634
|
|
Total Assets of Non-Consolidated VIEs
(3)
|
$
|
116,035
|
|
|
$
|
22,918
|
|
|
|
|
|
||||
|
December 31, 2014
|
||||||
|
Freddie Mac Securities
(1)
|
|
Other
|
||||
|
(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
|
|
|
—
|
|
||
Trading, at fair value
|
17,469
|
|
|
—
|
|
||
Accrued interest receivable
|
236
|
|
|
7
|
|
||
Other assets
|
914
|
|
|
495
|
|
||
Liabilities:
|
|
|
|
||||
Derivative liabilities, net
|
—
|
|
|
(30
|
)
|
||
Other liabilities
|
(1,005
|
)
|
|
(560
|
)
|
||
Maximum Exposure to Loss
(2)
|
$
|
87,529
|
|
|
$
|
10,419
|
|
Total Assets of Non-Consolidated VIEs
(3)
|
$
|
103,253
|
|
|
$
|
22,855
|
|
(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)
|
For Freddie Mac securities, this represents the UPB of the securities. For other VIEs, this represents either the carrying amount or amortized cost recorded on our consolidated balance sheets.
|
(3)
|
Represents the UPB of assets held by non-consolidated VIEs using the most current information available to us.
|
|
84
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||||||||||||||
|
Unsecuritized
|
|
Held By
Consolidated
Trusts
|
|
Total
|
|
Unsecuritized
|
|
Held By
Consolidated
Trusts
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fixed-rate
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Amortizing
|
$
|
101,493
|
|
|
$
|
1,462,905
|
|
|
$
|
1,564,398
|
|
|
$
|
105,560
|
|
|
$
|
1,431,872
|
|
|
$
|
1,537,432
|
|
Interest-only
|
723
|
|
|
2,722
|
|
|
3,445
|
|
|
939
|
|
|
3,298
|
|
|
4,237
|
|
||||||
Total fixed-rate
|
102,216
|
|
|
1,465,627
|
|
|
1,567,843
|
|
|
106,499
|
|
|
1,435,170
|
|
|
1,541,669
|
|
||||||
Adjustable-rate
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Amortizing
|
1,149
|
|
|
67,227
|
|
|
68,376
|
|
|
1,353
|
|
|
68,632
|
|
|
69,985
|
|
||||||
Interest-only
|
2,710
|
|
|
18,838
|
|
|
21,548
|
|
|
3,191
|
|
|
20,373
|
|
|
23,564
|
|
||||||
Total adjustable-rate
|
3,859
|
|
|
86,065
|
|
|
89,924
|
|
|
4,544
|
|
|
89,005
|
|
|
93,549
|
|
||||||
Other Guarantee Transactions
|
—
|
|
|
6,434
|
|
|
6,434
|
|
|
—
|
|
|
7,042
|
|
|
7,042
|
|
||||||
FHA/VA and other governmental
|
480
|
|
|
2,909
|
|
|
3,389
|
|
|
473
|
|
|
3,139
|
|
|
3,612
|
|
||||||
Total single-family
|
106,555
|
|
|
1,561,035
|
|
|
1,667,590
|
|
|
111,516
|
|
|
1,534,356
|
|
|
1,645,872
|
|
||||||
Multifamily:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fixed-rate
|
43,397
|
|
|
498
|
|
|
43,895
|
|
|
43,632
|
|
|
524
|
|
|
44,156
|
|
||||||
Adjustable-rate
|
11,250
|
|
|
—
|
|
|
11,250
|
|
|
9,321
|
|
|
—
|
|
|
9,321
|
|
||||||
Other governmental
|
3
|
|
|
—
|
|
|
3
|
|
|
3
|
|
|
—
|
|
|
3
|
|
||||||
Total multifamily
|
54,650
|
|
|
498
|
|
|
55,148
|
|
|
52,956
|
|
|
524
|
|
|
53,480
|
|
||||||
Total UPB of mortgage loans
|
161,205
|
|
|
1,561,533
|
|
|
1,722,738
|
|
|
164,472
|
|
|
1,534,880
|
|
|
1,699,352
|
|
||||||
Deferred fees, unamortized premiums, discounts and other cost basis adjustments
|
(4,989
|
)
|
|
27,393
|
|
|
22,404
|
|
|
(3,366
|
)
|
|
26,098
|
|
|
22,732
|
|
||||||
Fair value adjustments on loans held-for sale
|
(852
|
)
|
|
—
|
|
|
(852
|
)
|
|
257
|
|
|
—
|
|
|
257
|
|
||||||
Allowance for loan losses on mortgage loans held-for-investment
|
(14,589
|
)
|
|
(2,738
|
)
|
|
(17,327
|
)
|
|
(18,877
|
)
|
|
(2,884
|
)
|
|
(21,761
|
)
|
||||||
Total mortgage loans, net
|
$
|
140,775
|
|
|
$
|
1,586,188
|
|
|
$
|
1,726,963
|
|
|
$
|
142,486
|
|
|
$
|
1,558,094
|
|
|
$
|
1,700,580
|
|
Mortgage loans, net:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Held-for-investment
|
$
|
118,367
|
|
|
$
|
1,586,188
|
|
|
$
|
1,704,555
|
|
|
$
|
130,118
|
|
|
$
|
1,558,094
|
|
|
$
|
1,688,212
|
|
Held-for-sale
|
22,408
|
|
|
—
|
|
|
22,408
|
|
|
12,368
|
|
|
—
|
|
|
12,368
|
|
||||||
Total mortgage loans, net
|
$
|
140,775
|
|
|
$
|
1,586,188
|
|
|
$
|
1,726,963
|
|
|
$
|
142,486
|
|
|
$
|
1,558,094
|
|
|
$
|
1,700,580
|
|
|
85
|
Freddie Mac Form 10-Q
|
|
As of June 30, 2015
|
|
As of December 31, 2014
|
||||||||||||||||||||||||||||
|
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 mortgage loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
20 and 30-year or more, amortizing fixed-rate
(3)
|
$
|
961,742
|
|
|
$
|
250,081
|
|
|
$
|
67,213
|
|
|
$
|
1,279,036
|
|
|
$
|
911,071
|
|
|
$
|
258,126
|
|
|
$
|
85,398
|
|
|
$
|
1,254,595
|
|
15-year amortizing fixed-rate
(3)
|
267,240
|
|
|
13,713
|
|
|
2,493
|
|
|
283,446
|
|
|
265,098
|
|
|
14,101
|
|
|
3,338
|
|
|
282,537
|
|
||||||||
Adjustable-rate
|
60,376
|
|
|
5,570
|
|
|
421
|
|
|
66,367
|
|
|
60,463
|
|
|
6,701
|
|
|
709
|
|
|
67,873
|
|
||||||||
Alt-A, interest-only, and option ARM
|
28,408
|
|
|
15,647
|
|
|
11,735
|
|
|
55,790
|
|
|
28,935
|
|
|
18,232
|
|
|
16,448
|
|
|
63,615
|
|
||||||||
Total single-family mortgage loans
|
$
|
1,317,766
|
|
|
$
|
285,011
|
|
|
$
|
81,862
|
|
|
$
|
1,684,639
|
|
|
$
|
1,265,567
|
|
|
$
|
297,160
|
|
|
$
|
105,893
|
|
|
$
|
1,668,620
|
|
(1)
|
The current LTV ratios are management estimates, which are updated on a monthly basis. Current market values are estimated by adjusting the value of the property at origination based on changes in the market value of homes in the same 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 loan acquisitions, including foreclosure sales. Estimates of the current LTV ratio include the credit-enhanced portion of the mortgage 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
6.92%
and
9.01%
as of
June 30, 2015
and December 31, 2014, respectively.
|
(3)
|
The majority of our mortgage loan modifications result in new terms that include fixed interest rates after modification. As of
June 30, 2015
and December 31, 2014, we have categorized UPB of approximately
$40.6 billion
and
$42.3 billion
, respectively, of modified mortgage loans as fixed-rate mortgage loans (instead of as adjustable rate mortgage loans), even though the modified mortgage loans have rate adjustment provisions. In these cases, while the terms of the modified mortgage 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.
|
|
86
|
Freddie Mac Form 10-Q
|
|
|
June 30, 2015
|
|
December 31, 2014
|
||||
|
(in millions)
|
|||||||
Credit risk profile by internally assigned grade:
(1)
|
|
|
|
|
||||
Pass
|
|
$
|
35,026
|
|
|
$
|
38,518
|
|
Special mention
|
|
1,444
|
|
|
1,805
|
|
||
Substandard
|
|
762
|
|
|
1,030
|
|
||
Doubtful
|
|
11
|
|
|
—
|
|
||
Total
|
|
$
|
37,243
|
|
|
$
|
41,353
|
|
(1)
|
A mortgage loan categorized as: "Pass" is current and adequately protected by the current financial strength and debt service capacity of the borrower; "Special mention" has signs of potential financial weakness; "Substandard" has a well-defined financial weakness that jeopardizes the timely full repayment; and "Doubtful" has a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions.
|
|
87
|
Freddie Mac Form 10-Q
|
Ratio of total loan loss reserves to annualized net charge-offs for single-family mortgage loans
|
|
6.6
|
|
|
|
|
|
|
|
|
5.5
|
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
Six Months Ended June 30,
|
||||||||||||||||||||||||||||||
|
2015
|
|
2014
|
||||||||||||||||||||||||||||
|
Allowance for Loan Losses
|
|
Reserve for
Guarantee Losses |
|
|
|
Allowance for Loan Losses
|
|
Reserve for
Guarantee Losses |
|
|
||||||||||||||||||||
|
Unsecuritized
|
|
Held By
Consolidated
Trusts
|
|
|
Total
|
|
Unsecuritized
|
|
Held By
Consolidated
Trusts
|
|
|
Total
|
||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Beginning balance
|
$
|
18,800
|
|
|
$
|
2,884
|
|
|
$
|
109
|
|
|
$
|
21,793
|
|
|
$
|
21,487
|
|
|
$
|
3,006
|
|
|
$
|
85
|
|
|
$
|
24,578
|
|
Provision (benefit) for credit losses
|
(1,398
|
)
|
|
100
|
|
|
(38
|
)
|
|
(1,336
|
)
|
|
(876
|
)
|
|
367
|
|
|
18
|
|
|
(491
|
)
|
||||||||
Charge-offs
|
(3,574
|
)
|
|
(225
|
)
|
|
(4
|
)
|
|
(3,803
|
)
|
|
(2,450
|
)
|
|
(226
|
)
|
|
(3
|
)
|
|
(2,679
|
)
|
||||||||
Recoveries
|
361
|
|
|
9
|
|
|
—
|
|
|
370
|
|
|
664
|
|
|
246
|
|
|
—
|
|
|
910
|
|
||||||||
Transfers, net
(1)
|
346
|
|
|
(30
|
)
|
|
—
|
|
|
316
|
|
|
1,131
|
|
|
(741
|
)
|
|
—
|
|
|
390
|
|
||||||||
Ending balance
|
$
|
14,535
|
|
|
$
|
2,738
|
|
|
$
|
67
|
|
|
$
|
17,340
|
|
|
$
|
19,956
|
|
|
$
|
2,652
|
|
|
$
|
100
|
|
|
$
|
22,708
|
|
Multifamily:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Beginning balance
|
$
|
77
|
|
|
$
|
—
|
|
|
$
|
17
|
|
|
$
|
94
|
|
|
$
|
125
|
|
|
$
|
—
|
|
|
$
|
26
|
|
|
$
|
151
|
|
Provision (benefit) for credit losses
|
(17
|
)
|
|
—
|
|
|
(3
|
)
|
|
(20
|
)
|
|
(32
|
)
|
|
—
|
|
|
(10
|
)
|
|
(42
|
)
|
||||||||
Charge-offs
|
(6
|
)
|
|
—
|
|
|
—
|
|
|
(6
|
)
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
||||||||
Ending balance
|
$
|
54
|
|
|
$
|
—
|
|
|
$
|
14
|
|
|
$
|
68
|
|
|
$
|
91
|
|
|
$
|
—
|
|
|
$
|
16
|
|
|
$
|
107
|
|
Total:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Beginning balance
|
$
|
18,877
|
|
|
$
|
2,884
|
|
|
$
|
126
|
|
|
$
|
21,887
|
|
|
$
|
21,612
|
|
|
$
|
3,006
|
|
|
$
|
111
|
|
|
$
|
24,729
|
|
Provision (benefit) for credit losses
|
(1,415
|
)
|
|
100
|
|
|
(41
|
)
|
|
(1,356
|
)
|
|
(908
|
)
|
|
367
|
|
|
8
|
|
|
(533
|
)
|
||||||||
Charge-offs
|
(3,580
|
)
|
|
(225
|
)
|
|
(4
|
)
|
|
(3,809
|
)
|
|
(2,452
|
)
|
|
(226
|
)
|
|
(3
|
)
|
|
(2,681
|
)
|
||||||||
Recoveries
|
361
|
|
|
9
|
|
|
—
|
|
|
370
|
|
|
664
|
|
|
246
|
|
|
—
|
|
|
910
|
|
||||||||
Transfers, net
(1)
|
346
|
|
|
(30
|
)
|
|
—
|
|
|
316
|
|
|
1,131
|
|
|
(741
|
)
|
|
—
|
|
|
390
|
|
||||||||
Ending balance
|
$
|
14,589
|
|
|
$
|
2,738
|
|
|
$
|
81
|
|
|
$
|
17,408
|
|
|
$
|
20,047
|
|
|
$
|
2,652
|
|
|
$
|
116
|
|
|
$
|
22,815
|
|
(1)
|
Includes approximately
$0.2 billion
during both the three months ended June 30, 2015 and the three months ended June 30, 2014,
$0.3 billion
during the six months ended June 30, 2015 and
$0.4 billion
during the six months ended June 30, 2014, attributable to capitalization of past due interest on modified mortgage loans. Also includes amounts associated with reclassified single-family reserves related to our removal of mortgage loans previously held by consolidated trusts, net of reclassifications for single-family mortgage loans subsequently resecuritized after such removal.
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||||||||||||||
|
Single-family
|
|
Multifamily
|
|
Total
|
|
Single-family
|
|
Multifamily
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Recorded investment:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Collectively evaluated
|
$
|
1,590,166
|
|
|
$
|
36,523
|
|
|
$
|
1,626,689
|
|
|
$
|
1,568,237
|
|
|
$
|
40,451
|
|
|
$
|
1,608,688
|
|
Individually evaluated
|
94,473
|
|
|
720
|
|
|
95,193
|
|
|
100,383
|
|
|
902
|
|
|
101,285
|
|
||||||
Total recorded investment
|
1,684,639
|
|
|
37,243
|
|
|
1,721,882
|
|
|
1,668,620
|
|
|
41,353
|
|
|
1,709,973
|
|
||||||
Ending balance of the allowance for loan losses:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Collectively evaluated
|
(1,745
|
)
|
|
(24
|
)
|
|
(1,769
|
)
|
|
(3,847
|
)
|
|
(25
|
)
|
|
(3,872
|
)
|
||||||
Individually evaluated
|
(15,528
|
)
|
|
(30
|
)
|
|
(15,558
|
)
|
|
(17,837
|
)
|
|
(52
|
)
|
|
(17,889
|
)
|
||||||
Total ending balance of the allowance
|
(17,273
|
)
|
|
(54
|
)
|
|
(17,327
|
)
|
|
(21,684
|
)
|
|
(77
|
)
|
|
(21,761
|
)
|
||||||
Net investment in mortgage loans
|
$
|
1,667,366
|
|
|
$
|
37,189
|
|
|
$
|
1,704,555
|
|
|
$
|
1,646,936
|
|
|
$
|
41,276
|
|
|
$
|
1,688,212
|
|
|
88
|
Freddie Mac Form 10-Q
|
|
UPB at
|
|
Maximum Coverage
(2)
at
|
||||||||||||
|
June 30, 2015
|
|
December 31, 2014
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||
|
(in millions)
|
||||||||||||||
Single-family:
|
|
|
|
|
|
|
|
||||||||
Primary mortgage insurance
|
$
|
238,366
|
|
|
$
|
227,495
|
|
|
$
|
60,810
|
|
|
$
|
57,938
|
|
Other credit protection:
|
|
|
|
|
|
|
|
||||||||
Credit risk transfer transactions
(3)
|
233,149
|
|
|
144,272
|
|
|
11,246
|
|
|
6,657
|
|
||||
Lender recourse and indemnifications
|
6,001
|
|
|
6,527
|
|
|
5,640
|
|
|
6,092
|
|
||||
Pool insurance
(4)
|
1,969
|
|
|
2,284
|
|
|
840
|
|
|
947
|
|
||||
HFA indemnification
|
3,029
|
|
|
3,357
|
|
|
3,029
|
|
|
3,324
|
|
||||
Subordination
(5)
|
2,252
|
|
|
2,377
|
|
|
310
|
|
|
339
|
|
||||
Other credit enhancements
|
19
|
|
|
20
|
|
|
16
|
|
|
18
|
|
||||
Total
|
$
|
484,785
|
|
|
$
|
386,332
|
|
|
$
|
81,891
|
|
|
$
|
75,315
|
|
Multifamily:
|
|
|
|
|
|
|
|
||||||||
K Certificates
|
$
|
86,788
|
|
|
$
|
75,541
|
|
|
$
|
15,736
|
|
|
$
|
13,576
|
|
Subordination
(5)
|
4,490
|
|
|
4,724
|
|
|
788
|
|
|
796
|
|
||||
HFA indemnification
|
713
|
|
|
772
|
|
|
699
|
|
|
699
|
|
||||
Other credit enhancements
|
6,383
|
|
|
5,706
|
|
|
2,181
|
|
|
1,685
|
|
||||
Total
|
$
|
98,374
|
|
|
$
|
86,743
|
|
|
$
|
19,404
|
|
|
$
|
16,756
|
|
(1)
|
Except for the majority of our single-family credit risk transfer transactions, our credit enhancements generally provide protection for the first, or initial, credit losses associated with the related mortgage loans. Excludes: (a) FHA/VA and other governmental loans; (b) purchased credit protection associated with
$9.0 billion
and
$9.8 billion
in UPB of single-family mortgage loans underlying Other Guarantee Transactions as of
June 30, 2015
and December 31, 2014, 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 provide protection by absorbing first losses.
|
(3)
|
Excludes
$75.4 billion
and
$48.3 billion
in UPB at
June 30, 2015
and December 31, 2014, respectively, where the related mortgage loans are also covered by primary mortgage insurance. Maximum coverage amounts presented represent the outstanding balance of STACR debt notes held by third parties as well as the remaining aggregate limit of insurance purchased from third parties in ACIS transactions.
|
(4)
|
Excludes approximately
$0.8 billion
and
$0.9 billion
in UPB at
June 30, 2015
and December 31, 2014, respectively, where the related mortgage 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.
|
|
89
|
Freddie Mac Form 10-Q
|
|
90
|
Freddie Mac Form 10-Q
|
|
|
Balance at June 30, 2015
|
|
For the Three Months Ended June 30, 2015
|
|
For the Six Months Ended June 30, 2015
|
||||||||||||||||||||||||||||||||||
|
|
UPB
|
|
Recorded
Investment
|
|
Associated
Allowance
|
|
Net
Investment
|
|
Average
Recorded
Investment
|
|
Interest
Income
Recognized
|
|
Interest
Income
Recognized
On Cash
Basis
(1)
|
|
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
|
|
$
|
4,534
|
|
|
$
|
3,322
|
|
|
N/A
|
|
|
$
|
3,322
|
|
|
$
|
3,369
|
|
|
$
|
100
|
|
|
$
|
5
|
|
|
$
|
3,191
|
|
|
$
|
188
|
|
|
$
|
7
|
|
|
15-year amortizing fixed-rate
|
|
51
|
|
|
41
|
|
|
N/A
|
|
|
41
|
|
|
43
|
|
|
2
|
|
|
—
|
|
|
43
|
|
|
4
|
|
|
—
|
|
||||||||||
Adjustable-rate
|
|
88
|
|
|
85
|
|
|
N/A
|
|
|
85
|
|
|
85
|
|
|
1
|
|
|
—
|
|
|
59
|
|
|
1
|
|
|
—
|
|
||||||||||
Alt-A, interest-only, and option ARM
|
|
1,133
|
|
|
808
|
|
|
N/A
|
|
|
808
|
|
|
816
|
|
|
20
|
|
|
2
|
|
|
750
|
|
|
38
|
|
|
2
|
|
||||||||||
Total with no specific allowance recorded
|
|
5,806
|
|
|
4,256
|
|
|
N/A
|
|
|
4,256
|
|
|
4,313
|
|
|
123
|
|
|
7
|
|
|
4,043
|
|
|
231
|
|
|
9
|
|
||||||||||
With specific allowance recorded:
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
20 and 30-year or more, amortizing fixed-rate
|
|
75,555
|
|
|
73,609
|
|
|
$
|
(12,406
|
)
|
|
61,203
|
|
|
73,778
|
|
|
639
|
|
|
94
|
|
|
75,021
|
|
|
1,271
|
|
|
175
|
|
|||||||||
15-year amortizing fixed-rate
|
|
1,046
|
|
|
1,047
|
|
|
(24
|
)
|
|
1,023
|
|
|
1,033
|
|
|
12
|
|
|
3
|
|
|
1,090
|
|
|
24
|
|
|
6
|
|
||||||||||
Adjustable-rate
|
|
673
|
|
|
664
|
|
|
(36
|
)
|
|
628
|
|
|
660
|
|
|
5
|
|
|
1
|
|
|
724
|
|
|
10
|
|
|
2
|
|
||||||||||
Alt-A, interest-only, and option ARM
|
|
15,531
|
|
|
14,897
|
|
|
(3,062
|
)
|
|
11,835
|
|
|
14,966
|
|
|
104
|
|
|
20
|
|
|
15,547
|
|
|
206
|
|
|
33
|
|
||||||||||
Total with specific allowance recorded
|
|
92,805
|
|
|
90,217
|
|
|
(15,528
|
)
|
|
74,689
|
|
|
90,437
|
|
|
760
|
|
|
118
|
|
|
92,382
|
|
|
1,511
|
|
|
216
|
|
||||||||||
Combined single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
20 and 30-year or more, amortizing fixed-rate
|
|
80,089
|
|
|
76,931
|
|
|
(12,406
|
)
|
|
64,525
|
|
|
77,147
|
|
|
739
|
|
|
99
|
|
|
78,212
|
|
|
1,459
|
|
|
182
|
|
||||||||||
15-year amortizing fixed-rate
|
|
1,097
|
|
|
1,088
|
|
|
(24
|
)
|
|
1,064
|
|
|
1,076
|
|
|
14
|
|
|
3
|
|
|
1,133
|
|
|
28
|
|
|
6
|
|
||||||||||
Adjustable-rate
|
|
761
|
|
|
749
|
|
|
(36
|
)
|
|
713
|
|
|
745
|
|
|
6
|
|
|
1
|
|
|
783
|
|
|
11
|
|
|
2
|
|
||||||||||
Alt-A, interest-only, and option ARM
|
|
16,664
|
|
|
15,705
|
|
|
(3,062
|
)
|
|
12,643
|
|
|
15,782
|
|
|
124
|
|
|
22
|
|
|
16,297
|
|
|
244
|
|
|
35
|
|
||||||||||
Total single-family
|
|
$
|
98,611
|
|
|
$
|
94,473
|
|
|
$
|
(15,528
|
)
|
|
$
|
78,945
|
|
|
$
|
94,750
|
|
|
$
|
883
|
|
|
$
|
125
|
|
|
$
|
96,425
|
|
|
$
|
1,742
|
|
|
$
|
225
|
|
Multifamily —
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
With no specific allowance recorded
(4)
|
|
$
|
523
|
|
|
$
|
515
|
|
|
N/A
|
|
|
$
|
515
|
|
|
$
|
515
|
|
|
$
|
7
|
|
|
$
|
2
|
|
|
$
|
622
|
|
|
$
|
14
|
|
|
$
|
4
|
|
|
With specific allowance recorded
|
|
213
|
|
|
205
|
|
|
$
|
(30
|
)
|
|
175
|
|
|
210
|
|
|
2
|
|
|
2
|
|
|
268
|
|
|
5
|
|
|
4
|
|
|||||||||
Total multifamily
|
|
$
|
736
|
|
|
$
|
720
|
|
|
$
|
(30
|
)
|
|
$
|
690
|
|
|
$
|
725
|
|
|
$
|
9
|
|
|
$
|
4
|
|
|
$
|
890
|
|
|
$
|
19
|
|
|
$
|
8
|
|
Total single-family and multifamily
|
|
$
|
99,347
|
|
|
$
|
95,193
|
|
|
$
|
(15,558
|
)
|
|
$
|
79,635
|
|
|
$
|
95,475
|
|
|
$
|
892
|
|
|
$
|
129
|
|
|
$
|
97,315
|
|
|
$
|
1,761
|
|
|
$
|
233
|
|
|
91
|
Freddie Mac Form 10-Q
|
|
|
Balance at December 31, 2014
|
|
For the Three Months Ended June 30, 2014
|
|
For the Six Months Ended June 30, 2014
|
||||||||||||||||||||||||||||||||||
|
|
UPB
|
|
Recorded Investment
|
|
Associated
Allowance
|
|
Net
Investment
|
|
Average
Recorded
Investment
|
|
Interest
Income
Recognized
|
|
Interest
Income
Recognized
On Cash
Basis
(1)
|
|
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
|
|
|
$
|
3,453
|
|
|
$
|
82
|
|
|
$
|
7
|
|
|
$
|
3,457
|
|
|
$
|
172
|
|
|
$
|
15
|
|
|
15-year amortizing fixed-rate
|
|
63
|
|
|
44
|
|
|
N/A
|
|
|
44
|
|
|
32
|
|
|
2
|
|
|
—
|
|
|
33
|
|
|
5
|
|
|
—
|
|
||||||||||
Adjustable rate
|
|
27
|
|
|
22
|
|
|
N/A
|
|
|
22
|
|
|
11
|
|
|
—
|
|
|
—
|
|
|
11
|
|
|
—
|
|
|
—
|
|
||||||||||
Alt-A, interest-only, and option ARM
|
|
1,717
|
|
|
1,168
|
|
|
N/A
|
|
|
1,168
|
|
|
1,122
|
|
|
19
|
|
|
2
|
|
|
1,103
|
|
|
38
|
|
|
2
|
|
||||||||||
Total with no specific allowance recorded
|
|
7,848
|
|
|
5,241
|
|
|
N/A
|
|
|
5,241
|
|
|
4,618
|
|
|
103
|
|
|
9
|
|
|
4,604
|
|
|
215
|
|
|
17
|
|
||||||||||
With specific allowance recorded:
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
20 and 30-year or more, amortizing fixed-rate
|
|
77,798
|
|
|
76,708
|
|
|
$
|
(14,051
|
)
|
|
62,657
|
|
|
75,761
|
|
|
586
|
|
|
64
|
|
|
75,343
|
|
|
1,172
|
|
|
130
|
|
|||||||||
15-year amortizing fixed-rate
|
|
1,226
|
|
|
1,233
|
|
|
(40
|
)
|
|
1,193
|
|
|
1,265
|
|
|
14
|
|
|
2
|
|
|
1,270
|
|
|
28
|
|
|
5
|
|
||||||||||
Adjustable rate
|
|
868
|
|
|
866
|
|
|
(65
|
)
|
|
801
|
|
|
896
|
|
|
6
|
|
|
1
|
|
|
907
|
|
|
12
|
|
|
2
|
|
||||||||||
Alt-A, interest-only, and option ARM
|
|
16,734
|
|
|
16,335
|
|
|
(3,681
|
)
|
|
12,654
|
|
|
16,515
|
|
|
95
|
|
|
13
|
|
|
16,592
|
|
|
191
|
|
|
28
|
|
||||||||||
Total with specific allowance recorded
|
|
96,626
|
|
|
95,142
|
|
|
(17,837
|
)
|
|
77,305
|
|
|
94,437
|
|
|
701
|
|
|
80
|
|
|
94,112
|
|
|
1,403
|
|
|
165
|
|
||||||||||
Combined single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
20 and 30-year or more, amortizing fixed-rate
|
|
83,839
|
|
|
80,715
|
|
|
(14,051
|
)
|
|
66,664
|
|
|
79,214
|
|
|
668
|
|
|
71
|
|
|
78,800
|
|
|
1,344
|
|
|
145
|
|
||||||||||
15-year amortizing fixed-rate
|
|
1,289
|
|
|
1,277
|
|
|
(40
|
)
|
|
1,237
|
|
|
1,297
|
|
|
16
|
|
|
2
|
|
|
1,303
|
|
|
33
|
|
|
5
|
|
||||||||||
Adjustable rate
|
|
895
|
|
|
888
|
|
|
(65
|
)
|
|
823
|
|
|
907
|
|
|
6
|
|
|
1
|
|
|
918
|
|
|
12
|
|
|
2
|
|
||||||||||
Alt-A, interest-only, and option ARM
|
|
18,451
|
|
|
17,503
|
|
|
(3,681
|
)
|
|
13,822
|
|
|
17,637
|
|
|
114
|
|
|
15
|
|
|
17,695
|
|
|
229
|
|
|
30
|
|
||||||||||
Total single-family
|
|
$
|
104,474
|
|
|
$
|
100,383
|
|
|
$
|
(17,837
|
)
|
|
$
|
82,546
|
|
|
$
|
99,055
|
|
|
$
|
804
|
|
|
$
|
89
|
|
|
$
|
98,716
|
|
|
$
|
1,618
|
|
|
$
|
182
|
|
Multifamily —
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
With no specific allowance recorded
(4)
|
|
$
|
440
|
|
|
$
|
431
|
|
|
N/A
|
|
|
$
|
431
|
|
|
$
|
586
|
|
|
$
|
8
|
|
|
$
|
2
|
|
|
$
|
668
|
|
|
$
|
16
|
|
|
$
|
5
|
|
|
With specific allowance recorded
|
|
480
|
|
|
471
|
|
|
$
|
(52
|
)
|
|
419
|
|
|
497
|
|
|
6
|
|
|
5
|
|
|
511
|
|
|
13
|
|
|
9
|
|
|||||||||
Total multifamily
|
|
$
|
920
|
|
|
$
|
902
|
|
|
$
|
(52
|
)
|
|
$
|
850
|
|
|
$
|
1,083
|
|
|
$
|
14
|
|
|
$
|
7
|
|
|
$
|
1,179
|
|
|
$
|
29
|
|
|
$
|
14
|
|
Total single-family and multifamily
|
|
$
|
105,394
|
|
|
$
|
101,285
|
|
|
$
|
(17,889
|
)
|
|
$
|
83,396
|
|
|
$
|
100,138
|
|
|
$
|
818
|
|
|
$
|
96
|
|
|
$
|
99,895
|
|
|
$
|
1,647
|
|
|
$
|
196
|
|
(1)
|
Consists of income recognized during the period related to mortgage loans on non-accrual status.
|
(2)
|
Individually impaired single-family mortgage loans with no specific 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 mortgage loans with no specific allowance primarily represent those mortgage loans for which the collateral value is sufficiently in excess of the mortgage loan balance to result in recovery of the entire recorded investment if the property were foreclosed upon or otherwise subject to disposition.
|
|
92
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
||||||||||||||||||||||
|
Current
|
|
One
Month
Past Due
|
|
Two
Months
Past Due
|
|
Three Months or
More Past Due,
or in Foreclosure
(1)
|
|
Total
|
|
Non-accrual
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
20 and 30-year or more, amortizing fixed-rate
|
$
|
1,242,982
|
|
|
$
|
16,342
|
|
|
$
|
4,954
|
|
|
$
|
14,758
|
|
|
$
|
1,279,036
|
|
|
$
|
14,753
|
|
15-year amortizing fixed-rate
|
281,905
|
|
|
966
|
|
|
182
|
|
|
393
|
|
|
283,446
|
|
|
393
|
|
||||||
Adjustable-rate
|
65,606
|
|
|
373
|
|
|
92
|
|
|
296
|
|
|
66,367
|
|
|
296
|
|
||||||
Alt-A, interest-only, and option ARM
|
49,432
|
|
|
2,120
|
|
|
781
|
|
|
3,457
|
|
|
55,790
|
|
|
3,454
|
|
||||||
Total single-family
|
1,639,925
|
|
|
19,801
|
|
|
6,009
|
|
|
18,904
|
|
|
1,684,639
|
|
|
18,896
|
|
||||||
Total multifamily
|
37,229
|
|
|
3
|
|
|
—
|
|
|
11
|
|
|
37,243
|
|
|
346
|
|
||||||
Total single-family and multifamily
|
$
|
1,677,154
|
|
|
$
|
19,804
|
|
|
$
|
6,009
|
|
|
$
|
18,915
|
|
|
$
|
1,721,882
|
|
|
$
|
19,242
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2014
|
||||||||||||||||||||||
|
Current
|
|
One
Month
Past Due
|
|
Two
Months
Past Due
|
|
Three Months or
More Past Due,
or in Foreclosure
(1)
|
|
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
|
|
(1)
|
Includes
$9.3 billion
and
$17.9 billion
of mortgage loans that were in the process of foreclosure as of
June 30, 2015
and
December 31, 2014
, respectively.
|
|
93
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
|
December 31, 2014
|
||||
Single-family:
(1)
|
|
|
|
||||
Non-credit-enhanced portfolio
|
|
|
|
||||
Serious delinquency rate
|
1.48
|
%
|
|
1.74
|
%
|
||
Total number of seriously delinquent loans
|
121,810
|
|
|
150,300
|
|
||
Credit-enhanced portfolio:
(2)
|
|
|
|
||||
Primary mortgage insurance:
|
|
|
|
||||
Serious delinquency rate
|
2.46
|
%
|
|
3.10
|
%
|
||
Total number of seriously delinquent loans
|
31,508
|
|
|
38,595
|
|
||
Other credit protection:
(3)
|
|
|
|
||||
Serious delinquency rate
|
0.73
|
%
|
|
1.21
|
%
|
||
Total number of seriously delinquent loans
|
10,146
|
|
|
12,175
|
|
||
Total single-family:
|
|
|
|
||||
Serious delinquency rate
|
1.53
|
%
|
|
1.88
|
%
|
||
Total number of seriously delinquent loans
|
162,527
|
|
|
200,069
|
|
||
Multifamily:
(4)
|
|
|
|
||||
Non-credit-enhanced portfolio:
|
|
|
|
||||
Delinquency rate
|
0.02
|
%
|
|
0.02
|
%
|
||
UPB of delinquent loans (in millions)
|
$
|
11
|
|
|
$
|
11
|
|
Credit-enhanced portfolio:
|
|
|
|
||||
Delinquency rate
|
0.01
|
%
|
|
0.05
|
%
|
||
UPB of delinquent loans (in millions)
|
$
|
8
|
|
|
$
|
44
|
|
Total Multifamily:
|
|
|
|
||||
Delinquency rate
|
0.01
|
%
|
|
0.04
|
%
|
||
UPB of delinquent loans (in millions)
|
$
|
19
|
|
|
$
|
55
|
|
(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.
|
(2)
|
The credit enhanced categories are not mutually exclusive as a single mortgage 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 4.6 — 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).
|
|
94
|
Freddie Mac Form 10-Q
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||||||||||||||
|
Number of Loans
|
|
Post-TDR
Recorded
Investment
|
|
Number of Loans
|
|
Post-TDR
Recorded
Investment
|
|
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
|
11,730
|
|
|
$
|
1,672
|
|
|
17,424
|
|
|
$
|
2,618
|
|
|
25,023
|
|
|
$
|
3,591
|
|
|
35,162
|
|
|
$
|
5,345
|
|
15-year amortizing fixed-rate
|
1,403
|
|
|
102
|
|
|
1,837
|
|
|
137
|
|
|
3,055
|
|
|
225
|
|
|
3,347
|
|
|
255
|
|
||||
Adjustable-rate
|
328
|
|
|
51
|
|
|
442
|
|
|
66
|
|
|
733
|
|
|
108
|
|
|
939
|
|
|
146
|
|
||||
Alt-A, interest-only, and option ARM
|
1,126
|
|
|
206
|
|
|
2,430
|
|
|
481
|
|
|
2,514
|
|
|
475
|
|
|
5,136
|
|
|
1,054
|
|
||||
Total Single-family
|
14,587
|
|
|
2,031
|
|
|
22,133
|
|
|
3,302
|
|
|
31,325
|
|
|
4,399
|
|
|
44,584
|
|
|
6,800
|
|
||||
Multifamily
|
1
|
|
|
30
|
|
|
1
|
|
|
10
|
|
|
1
|
|
|
30
|
|
|
1
|
|
|
10
|
|
||||
Total
|
14,588
|
|
|
$
|
2,061
|
|
|
22,134
|
|
|
$
|
3,312
|
|
|
31,326
|
|
|
$
|
4,429
|
|
|
44,585
|
|
|
$
|
6,810
|
|
(1)
|
The pre-TDR recorded investment for single-family mortgage loans initially classified as TDR during the three months ended June 30, 2015 and the
six months ended June 30, 2015
was
$2.0 billion
and
$4.4 billion
, respectively, compared to
$3.3 billion
and
$6.8 billion
during the three months ended June 30, 2014 and the
six months ended June 30, 2014
, respectively.
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||||||||||||||
|
Number of Loans
|
|
Post-TDR
Recorded
Investment
(2)
|
|
Number of Loans
|
|
Post-TDR
Recorded
Investment
(2)
|
|
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
|
4,466
|
|
|
$
|
737
|
|
|
4,392
|
|
|
$
|
780
|
|
|
8,773
|
|
|
$
|
1,491
|
|
|
8,624
|
|
|
$
|
1,561
|
|
15-year amortizing fixed-rate
|
231
|
|
|
19
|
|
|
138
|
|
|
13
|
|
|
437
|
|
|
37
|
|
|
291
|
|
|
29
|
|
||||
Adjustable-rate
|
82
|
|
|
14
|
|
|
88
|
|
|
17
|
|
|
150
|
|
|
26
|
|
|
162
|
|
|
31
|
|
||||
Alt-A, interest-only, and option ARM
|
444
|
|
|
106
|
|
|
562
|
|
|
137
|
|
|
958
|
|
|
228
|
|
|
1,174
|
|
|
290
|
|
||||
Total single-family
|
5,223
|
|
|
$
|
876
|
|
|
5,180
|
|
|
$
|
947
|
|
|
10,318
|
|
|
$
|
1,782
|
|
|
10,251
|
|
|
$
|
1,911
|
|
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 June 30.
|
|
95
|
Freddie Mac Form 10-Q
|
|
Three Months Ended
June 30, |
|
Six Months Ended
June 30, |
||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
(in millions)
|
||||||||||||||
Beginning balance — REO
|
$
|
2,384
|
|
|
$
|
4,397
|
|
|
$
|
2,684
|
|
|
$
|
4,602
|
|
Additions
|
562
|
|
|
1,026
|
|
|
1,245
|
|
|
2,478
|
|
||||
Dispositions
|
(912
|
)
|
|
(1,727
|
)
|
|
(1,895
|
)
|
|
(3,384
|
)
|
||||
Ending balance — REO
|
2,034
|
|
|
3,696
|
|
|
2,034
|
|
|
3,696
|
|
||||
Beginning balance, valuation allowance
|
(90
|
)
|
|
(58
|
)
|
|
(126
|
)
|
|
(51
|
)
|
||||
Change in valuation allowance
|
34
|
|
|
39
|
|
|
70
|
|
|
32
|
|
||||
Ending balance, valuation allowance
|
(56
|
)
|
|
(19
|
)
|
|
(56
|
)
|
|
(19
|
)
|
||||
Ending balance — REO, net
|
$
|
1,978
|
|
|
$
|
3,677
|
|
|
$
|
1,978
|
|
|
$
|
3,677
|
|
|
96
|
Freddie Mac Form 10-Q
|
|
|
|
|
|
Gross Unrealized Losses
|
|
|
||||||||||||
June 30, 2015
|
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Other-Than-Temporary Impairment
(1)
|
|
Temporary Impairment
(2)
|
|
Fair
Value
|
||||||||||
|
(in millions)
|
||||||||||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
$
|
35,041
|
|
|
$
|
1,250
|
|
|
$
|
—
|
|
|
$
|
(82
|
)
|
|
$
|
36,209
|
|
Fannie Mae
|
9,345
|
|
|
429
|
|
|
—
|
|
|
(15
|
)
|
|
9,759
|
|
|||||
Ginnie Mae
|
167
|
|
|
15
|
|
|
—
|
|
|
—
|
|
|
182
|
|
|||||
CMBS
|
16,919
|
|
|
664
|
|
|
—
|
|
|
—
|
|
|
17,583
|
|
|||||
Subprime
|
15,318
|
|
|
872
|
|
|
(317
|
)
|
|
(71
|
)
|
|
15,802
|
|
|||||
Option ARM
|
4,587
|
|
|
331
|
|
|
(81
|
)
|
|
(4
|
)
|
|
4,833
|
|
|||||
Alt-A and other
|
3,652
|
|
|
595
|
|
|
(20
|
)
|
|
(5
|
)
|
|
4,222
|
|
|||||
Obligations of states and political subdivisions
|
1,606
|
|
|
23
|
|
|
—
|
|
|
(2
|
)
|
|
1,627
|
|
|||||
Manufactured housing
|
521
|
|
|
94
|
|
|
(1
|
)
|
|
—
|
|
|
614
|
|
|||||
Total available-for-sale securities
|
$
|
87,156
|
|
|
$
|
4,273
|
|
|
$
|
(419
|
)
|
|
$
|
(179
|
)
|
|
$
|
90,831
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
December 31, 2014
|
|
|
|
|
|
|
|
|
|
||||||||||
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
|
|
(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.
|
|
97
|
Freddie Mac Form 10-Q
|
|
Less than 12 Months
|
|
12 Months or Greater
|
||||||||||||
June 30, 2015
|
Fair
Value
|
|
Gross Unrealized Losses
|
|
Fair
Value
|
|
Gross Unrealized Losses
|
||||||||
|
(in millions)
|
||||||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
||||||||
Freddie Mac
|
$
|
4,633
|
|
|
$
|
(48
|
)
|
|
$
|
1,018
|
|
|
$
|
(34
|
)
|
Fannie Mae
|
1,820
|
|
|
(15
|
)
|
|
5
|
|
|
—
|
|
||||
Ginnie Mae
|
—
|
|
|
—
|
|
|
61
|
|
|
—
|
|
||||
CMBS
|
148
|
|
|
—
|
|
|
153
|
|
|
—
|
|
||||
Subprime
|
266
|
|
|
(6
|
)
|
|
5,350
|
|
|
(382
|
)
|
||||
Option ARM
|
260
|
|
|
(2
|
)
|
|
727
|
|
|
(83
|
)
|
||||
Alt-A and other
|
85
|
|
|
(1
|
)
|
|
375
|
|
|
(24
|
)
|
||||
Obligations of states and political subdivisions
|
97
|
|
|
(1
|
)
|
|
12
|
|
|
(1
|
)
|
||||
Manufactured housing
|
—
|
|
|
—
|
|
|
15
|
|
|
(1
|
)
|
||||
Total available-for-sale securities in a gross unrealized loss position
|
$
|
7,309
|
|
|
$
|
(73
|
)
|
|
$
|
7,716
|
|
|
$
|
(525
|
)
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2014
|
|
|
|
|
|
|
|
||||||||
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
|
)
|
|
June 30, 2015
|
||||||||||
|
Subprime
|
|
Option ARM
|
|
Alt-A
|
||||||
|
(dollars in millions)
|
||||||||||
|
|
|
|
|
|
||||||
UPB
|
$
|
20,987
|
|
|
$
|
6,938
|
|
|
$
|
3,622
|
|
Weighted average collateral defaults
(1)
|
46
|
%
|
|
30
|
%
|
|
24
|
%
|
|||
Weighted average collateral severities
(2)
|
65
|
%
|
|
56
|
%
|
|
46
|
%
|
|||
Weighted average voluntary prepayment rates
(3)
|
3
|
%
|
|
9
|
%
|
|
10
|
%
|
|||
Average credit enhancements
(4)
|
8
|
%
|
|
(1
|
)%
|
|
1
|
%
|
(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 the total UPB of securities subordinate to the securities we own divided by 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.
|
|
98
|
Freddie Mac Form 10-Q
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
(in millions)
|
||||||||||||||
Available-for-sale securities:
(1)
|
|
|
|
|
|
|
|
||||||||
CMBS
|
$
|
(12
|
)
|
|
$
|
—
|
|
|
$
|
(29
|
)
|
|
$
|
—
|
|
Subprime
|
(25
|
)
|
|
(135
|
)
|
|
(89
|
)
|
|
(457
|
)
|
||||
Option ARM
|
(58
|
)
|
|
(17
|
)
|
|
(69
|
)
|
|
(33
|
)
|
||||
Alt-A and other
|
(3
|
)
|
|
(5
|
)
|
|
(4
|
)
|
|
(31
|
)
|
||||
Total net impairment of available-for-sale securities recognized in earnings
|
$
|
(98
|
)
|
|
$
|
(157
|
)
|
|
$
|
(191
|
)
|
|
$
|
(521
|
)
|
(1)
|
Includes
$76 million
and
$165 million
of other-than-temporary impairments recognized in earnings during the three and six months ended June 30, 2015, respectively, compared to
$138 million
and
$466 million
during the three and six months ended June 30, 2014, respectively, as we had the intent to sell the related securities before recovery of their amortized cost basis.
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
(in millions)
|
||||||||||||||
Beginning balance — remaining credit losses on available-for-sale securities where other-than-temporary impairments were recognized in earnings
|
$
|
6,281
|
|
|
$
|
12,750
|
|
|
$
|
6,798
|
|
|
$
|
14,463
|
|
Additions:
|
|
|
|
|
|
|
|
||||||||
Amounts related to credit losses for which an other-than-temporary impairment was previously recognized
|
22
|
|
|
19
|
|
|
26
|
|
|
55
|
|
||||
Reductions:
|
|
|
|
|
|
|
|
||||||||
Amounts related to securities which were sold, written off, or matured
|
(35
|
)
|
|
(233
|
)
|
|
(87
|
)
|
|
(334
|
)
|
||||
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
|
(511
|
)
|
|
(1,271
|
)
|
|
(891
|
)
|
|
(2,787
|
)
|
||||
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
|
(78
|
)
|
|
(147
|
)
|
|
(167
|
)
|
|
(279
|
)
|
||||
Ending balance — remaining credit losses on available-for-sale securities where other-than-temporary impairments were recognized in earnings
(1)
|
$
|
5,679
|
|
|
$
|
11,118
|
|
|
$
|
5,679
|
|
|
$
|
11,118
|
|
(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.
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
(in millions)
|
||||||||||||||
Gross realized gains
|
$
|
486
|
|
|
$
|
346
|
|
|
$
|
853
|
|
|
$
|
1,121
|
|
Gross realized losses
|
(6
|
)
|
|
(14
|
)
|
|
(11
|
)
|
|
(16
|
)
|
||||
Net realized gains (losses)
|
$
|
480
|
|
|
$
|
332
|
|
|
$
|
842
|
|
|
$
|
1,105
|
|
|
99
|
Freddie Mac Form 10-Q
|
|
As of June 30, 2015
|
||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
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
|
||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Freddie Mac
|
$
|
35,041
|
|
|
$
|
36,209
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
61
|
|
|
$
|
61
|
|
|
$
|
414
|
|
|
$
|
415
|
|
|
$
|
34,566
|
|
|
$
|
35,733
|
|
Fannie Mae
|
9,345
|
|
|
9,759
|
|
|
1
|
|
|
2
|
|
|
25
|
|
|
26
|
|
|
87
|
|
|
97
|
|
|
9,232
|
|
|
9,634
|
|
||||||||||
Ginnie Mae
|
167
|
|
|
182
|
|
|
—
|
|
|
—
|
|
|
3
|
|
|
3
|
|
|
20
|
|
|
24
|
|
|
144
|
|
|
155
|
|
||||||||||
CMBS
|
16,919
|
|
|
17,583
|
|
|
—
|
|
|
—
|
|
|
315
|
|
|
326
|
|
|
8
|
|
|
9
|
|
|
16,596
|
|
|
17,248
|
|
||||||||||
Subprime
|
15,318
|
|
|
15,802
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
15,318
|
|
|
15,802
|
|
||||||||||
Option ARM
|
4,587
|
|
|
4,833
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,587
|
|
|
4,833
|
|
||||||||||
Alt-A and other
|
3,652
|
|
|
4,222
|
|
|
2
|
|
|
2
|
|
|
24
|
|
|
24
|
|
|
8
|
|
|
9
|
|
|
3,618
|
|
|
4,187
|
|
||||||||||
Obligations of states and political subdivisions
|
1,606
|
|
|
1,627
|
|
|
—
|
|
|
—
|
|
|
39
|
|
|
41
|
|
|
41
|
|
|
41
|
|
|
1,526
|
|
|
1,545
|
|
||||||||||
Manufactured housing
|
521
|
|
|
614
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8
|
|
|
10
|
|
|
513
|
|
|
604
|
|
||||||||||
Total available-for-sale securities
|
$
|
87,156
|
|
|
$
|
90,831
|
|
|
$
|
3
|
|
|
$
|
4
|
|
|
$
|
467
|
|
|
$
|
481
|
|
|
$
|
586
|
|
|
$
|
605
|
|
|
$
|
86,100
|
|
|
$
|
89,741
|
|
|
June 30, 2015
|
|
December 31, 2014
|
||||
|
(in millions)
|
||||||
Mortgage-related securities:
|
|
|
|
||||
Freddie Mac
|
$
|
16,137
|
|
|
$
|
17,469
|
|
Fannie Mae
|
5,855
|
|
|
6,099
|
|
||
Ginnie Mae
|
12
|
|
|
16
|
|
||
Other
|
119
|
|
|
171
|
|
||
Total mortgage-related securities
|
22,123
|
|
|
23,755
|
|
||
U.S. Treasury securities
|
9,962
|
|
|
6,682
|
|
||
Total fair value of trading securities
|
$
|
32,085
|
|
|
$
|
30,437
|
|
|
100
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||||||||||||
|
Par Value
|
|
Carrying Amount
(1)
|
|
Weighted
Average
Effective Rate
(2)
|
|
Par Value
|
|
Carrying Amount
(1)
|
|
Weighted
Average
Effective Rate
(2)
|
||||||||||
|
(dollars in millions)
|
||||||||||||||||||||
Other short-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Reference Bills
®
securities and other discount notes
|
$
|
93,149
|
|
|
$
|
93,107
|
|
|
0.15
|
%
|
|
$
|
134,670
|
|
|
$
|
134,619
|
|
|
0.12
|
%
|
Total other short-term debt
|
$
|
93,149
|
|
|
$
|
93,107
|
|
|
0.15
|
|
|
$
|
134,670
|
|
|
$
|
134,619
|
|
|
0.12
|
|
Other long-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Original maturities on or before December 31,
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
2015
|
$
|
34,046
|
|
|
$
|
34,043
|
|
|
1.60
|
%
|
|
$
|
58,841
|
|
|
$
|
58,830
|
|
|
1.62
|
%
|
2016
|
62,704
|
|
|
62,841
|
|
|
2.04
|
|
|
72,504
|
|
|
72,696
|
|
|
1.88
|
|
||||
2017
|
86,645
|
|
|
86,713
|
|
|
1.57
|
|
|
77,482
|
|
|
77,489
|
|
|
1.78
|
|
||||
2018
|
46,650
|
|
|
46,676
|
|
|
1.55
|
|
|
30,850
|
|
|
30,823
|
|
|
1.67
|
|
||||
2019
|
28,258
|
|
|
28,180
|
|
|
1.92
|
|
|
30,671
|
|
|
30,570
|
|
|
1.97
|
|
||||
Thereafter
|
66,009
|
|
|
62,377
|
|
|
3.14
|
|
|
49,011
|
|
|
45,042
|
|
|
3.42
|
|
||||
Total other long-term debt
(3)
|
324,312
|
|
|
320,830
|
|
|
2.00
|
|
|
319,359
|
|
|
315,450
|
|
|
2.02
|
|
||||
Total other debt
|
$
|
417,461
|
|
|
$
|
413,937
|
|
|
|
|
$
|
454,029
|
|
|
$
|
450,069
|
|
|
|
(1)
|
Represents par value, net of associated discounts or premiums, and hedge-related basis adjustments. Includes
$7.7 billion
and
$5.8 billion
at
June 30, 2015
and December 31, 2014, respectively, of other long-term debt that represents the fair value of debt securities with the fair value option elected.
|
(2)
|
Represents the weighted average effective rate that remains constant over the life of the instrument, which includes the amortization of discounts or premiums, issuance costs, and hedge-related basis adjustments.
|
(3)
|
Balance, net for other long-term debt includes callable debt of
$109.5 billion
and
$106.3 billion
at
June 30, 2015
and December 31, 2014, respectively, which gives us the option to call or not call debt for a variety of reasons that include managing the composition of liabilities or economic reasons.
|
|
101
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||||||||||||||||
|
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
|
|
$
|
1,050,771
|
|
|
$
|
1,081,570
|
|
|
3.94
|
%
|
|
2015 - 2053
|
|
$
|
1,018,357
|
|
|
$
|
1,047,302
|
|
|
4.04
|
%
|
20-year fixed-rate
|
2015 - 2035
|
|
72,857
|
|
|
75,117
|
|
|
3.67
|
|
|
2015 - 2035
|
|
71,545
|
|
|
73,764
|
|
|
3.74
|
|
||||
15-year fixed-rate
|
2015 - 2030
|
|
268,489
|
|
|
275,009
|
|
|
3.06
|
|
|
2015 - 2030
|
|
266,117
|
|
|
272,538
|
|
|
3.13
|
|
||||
Adjustable-rate
|
2015 - 2047
|
|
64,384
|
|
|
65,846
|
|
|
2.60
|
|
|
2015 - 2047
|
|
65,082
|
|
|
66,518
|
|
|
2.62
|
|
||||
Interest-only
|
2026 - 2041
|
|
15,847
|
|
|
15,911
|
|
|
3.18
|
|
|
2026 - 2041
|
|
17,474
|
|
|
17,524
|
|
|
3.29
|
|
||||
FHA/VA
|
2016 - 2044
|
|
1,100
|
|
|
1,122
|
|
|
5.39
|
|
|
2015 - 2044
|
|
1,226
|
|
|
1,250
|
|
|
5.42
|
|
||||
Total single-family
|
|
|
1,473,448
|
|
|
1,514,575
|
|
|
|
|
|
|
1,439,801
|
|
|
1,478,896
|
|
|
|
||||||
Multifamily
(2)
|
2017 - 2023
|
|
513
|
|
|
557
|
|
|
4.70
|
|
|
2017 - 2019
|
|
524
|
|
|
577
|
|
|
4.93
|
|
||||
Total debt securities of consolidated trusts held by third parties
|
|
|
$
|
1,473,961
|
|
|
$
|
1,515,132
|
|
|
|
|
|
|
$
|
1,440,325
|
|
|
$
|
1,479,473
|
|
|
|
(1)
|
The effective rate for debt securities of consolidated trusts held by third parties was
2.95%
and
3.19%
as of
June 30, 2015
and December 31, 2014, respectively.
|
(2)
|
Carrying amount includes interest-only securities recorded at fair value.
|
•
|
LIBOR-based interest-rate swaps;
|
•
|
LIBOR- and Treasury-based options (including swaptions); and
|
•
|
LIBOR- and Treasury-based exchange-traded futures.
|
|
102
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||||||||||||||
|
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
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest-rate swaps:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Receive-fixed
|
$
|
212,583
|
|
|
$
|
4,105
|
|
|
$
|
(311
|
)
|
|
$
|
205,219
|
|
|
$
|
5,243
|
|
|
$
|
(487
|
)
|
Pay-fixed
|
200,048
|
|
|
1,071
|
|
|
(9,413
|
)
|
|
213,325
|
|
|
408
|
|
|
(12,829
|
)
|
||||||
Basis (floating to floating)
|
300
|
|
|
2
|
|
|
—
|
|
|
300
|
|
|
2
|
|
|
—
|
|
||||||
Total interest-rate swaps
|
412,931
|
|
|
5,178
|
|
|
(9,724
|
)
|
|
418,844
|
|
|
5,653
|
|
|
(13,316
|
)
|
||||||
Option-based:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Call swaptions
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Purchased
|
48,950
|
|
|
2,320
|
|
|
—
|
|
|
56,390
|
|
|
3,315
|
|
|
—
|
|
||||||
Written
|
4,350
|
|
|
—
|
|
|
(87
|
)
|
|
10,660
|
|
|
—
|
|
|
(90
|
)
|
||||||
Put Swaptions
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Purchased
|
19,850
|
|
|
520
|
|
|
—
|
|
|
22,125
|
|
|
179
|
|
|
—
|
|
||||||
Written
|
11,400
|
|
|
—
|
|
|
(48
|
)
|
|
3,560
|
|
|
—
|
|
|
(9
|
)
|
||||||
Other option-based derivatives
(1)
|
12,295
|
|
|
676
|
|
|
(4
|
)
|
|
19,733
|
|
|
730
|
|
|
(28
|
)
|
||||||
Total option-based
|
96,845
|
|
|
3,516
|
|
|
(139
|
)
|
|
112,468
|
|
|
4,224
|
|
|
(127
|
)
|
||||||
Futures
|
20,000
|
|
|
—
|
|
|
—
|
|
|
40,263
|
|
|
—
|
|
|
—
|
|
||||||
Commitments
|
46,000
|
|
|
121
|
|
|
(79
|
)
|
|
27,054
|
|
|
40
|
|
|
(79
|
)
|
||||||
Credit derivatives
|
4,953
|
|
|
11
|
|
|
(9
|
)
|
|
5,207
|
|
|
27
|
|
|
(11
|
)
|
||||||
Swap guarantee derivatives
|
3,164
|
|
|
—
|
|
|
(25
|
)
|
|
3,204
|
|
|
—
|
|
|
(27
|
)
|
||||||
Total derivatives not designated as hedging instruments
|
583,893
|
|
|
8,826
|
|
|
(9,976
|
)
|
|
607,040
|
|
|
9,944
|
|
|
(13,560
|
)
|
||||||
Derivative interest receivable (payable)
|
|
|
745
|
|
|
(1,244
|
)
|
|
|
|
817
|
|
|
(1,500
|
)
|
||||||||
Netting adjustments
(2)
|
|
|
(9,079
|
)
|
|
10,309
|
|
|
|
|
(9,939
|
)
|
|
13,097
|
|
||||||||
Total derivative portfolio, net
|
$
|
583,893
|
|
|
$
|
492
|
|
|
$
|
(911
|
)
|
|
$
|
607,040
|
|
|
$
|
822
|
|
|
$
|
(1,963
|
)
|
(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
$1.2 billion
and
$3.2 billion
at
June 30, 2015
and December 31, 2014, respectively.
|
|
103
|
Freddie Mac Form 10-Q
|
|
Derivative Gains (Losses)
|
||||||||||||||
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
|||||||||||||
2015
|
|
2014
|
|
2015
|
|
2014
|
|||||||||
|
(in millions)
|
||||||||||||||
Interest-rate swaps:
|
|
|
|
|
|
|
|
||||||||
Receive-fixed
|
$
|
(1,599
|
)
|
|
$
|
1,657
|
|
|
$
|
(282
|
)
|
|
$
|
3,051
|
|
Pay-fixed
|
6,440
|
|
|
(3,208
|
)
|
|
2,462
|
|
|
(6,372
|
)
|
||||
Basis (floating to floating)
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
||||
Total interest-rate swaps
|
4,840
|
|
|
(1,551
|
)
|
|
2,179
|
|
|
(3,321
|
)
|
||||
Option based:
|
|
|
|
|
|
|
|
||||||||
Call swaptions
|
|
|
|
|
|
|
|
||||||||
Purchased
|
(1,513
|
)
|
|
545
|
|
|
(498
|
)
|
|
1,073
|
|
||||
Written
|
38
|
|
|
(52
|
)
|
|
9
|
|
|
(152
|
)
|
||||
Put swaptions
|
|
|
|
|
|
|
|
||||||||
Purchased
|
131
|
|
|
(357
|
)
|
|
65
|
|
|
(776
|
)
|
||||
Written
|
8
|
|
|
—
|
|
|
23
|
|
|
—
|
|
||||
Other option-based derivatives
(1)
|
(129
|
)
|
|
61
|
|
|
(48
|
)
|
|
121
|
|
||||
Total option-based
|
(1,465
|
)
|
|
197
|
|
|
(449
|
)
|
|
266
|
|
||||
Futures
|
29
|
|
|
(10
|
)
|
|
(11
|
)
|
|
(40
|
)
|
||||
Commitments
|
265
|
|
|
130
|
|
|
154
|
|
|
196
|
|
||||
Credit derivatives
|
(1
|
)
|
|
(25
|
)
|
|
(38
|
)
|
|
(28
|
)
|
||||
Swap guarantee derivatives
|
2
|
|
|
2
|
|
|
4
|
|
|
5
|
|
||||
Other
|
(3
|
)
|
|
—
|
|
|
(4
|
)
|
|
(8
|
)
|
||||
Subtotal
|
3,667
|
|
|
(1,257
|
)
|
|
1,835
|
|
|
(2,930
|
)
|
||||
Accrual of periodic settlements:
|
|
|
|
|
|
|
|
||||||||
Receive-fixed interest-rate swaps
|
621
|
|
|
783
|
|
|
1,301
|
|
|
1,617
|
|
||||
Pay-fixed interest-rate swaps
|
(1,154
|
)
|
|
(1,453
|
)
|
|
(2,405
|
)
|
|
(2,965
|
)
|
||||
Other
|
1
|
|
|
1
|
|
|
1
|
|
|
1
|
|
||||
Total accrual of periodic settlements
|
(532
|
)
|
|
(669
|
)
|
|
(1,103
|
)
|
|
(1,347
|
)
|
||||
Total
|
$
|
3,135
|
|
|
$
|
(1,926
|
)
|
|
$
|
732
|
|
|
$
|
(4,277
|
)
|
(1)
|
Primarily includes purchased interest-rate caps and floors and options on Treasury futures.
|
|
104
|
Freddie Mac Form 10-Q
|
|
105
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
||||||||||||||||||
|
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
|
$
|
7,785
|
|
|
$
|
(7,573
|
)
|
|
$
|
212
|
|
|
$
|
(180
|
)
|
|
$
|
32
|
|
Cleared and exchange-traded derivatives
|
1,654
|
|
|
(1,506
|
)
|
|
148
|
|
|
—
|
|
|
148
|
|
|||||
Other
|
132
|
|
|
—
|
|
|
132
|
|
|
—
|
|
|
132
|
|
|||||
Total derivatives
|
9,571
|
|
|
(9,079
|
)
|
|
492
|
|
|
(180
|
)
|
|
312
|
|
|||||
Securities purchased under agreements to resell
|
37,041
|
|
|
—
|
|
|
37,041
|
|
|
(37,041
|
)
|
|
—
|
|
|||||
Total
|
$
|
46,612
|
|
|
$
|
(9,079
|
)
|
|
$
|
37,533
|
|
|
$
|
(37,221
|
)
|
|
$
|
312
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Derivatives:
|
|
|
|
|
|
|
|
|
|
||||||||||
Over-the-counter interest-rate swaps and option-based derivatives
|
$
|
(8,027
|
)
|
|
$
|
7,232
|
|
|
$
|
(795
|
)
|
|
$
|
726
|
|
|
$
|
(69
|
)
|
Cleared and exchange-traded derivatives
|
(3,080
|
)
|
|
3,077
|
|
|
(3
|
)
|
|
—
|
|
|
(3
|
)
|
|||||
Other
|
(113
|
)
|
|
—
|
|
|
(113
|
)
|
|
—
|
|
|
(113
|
)
|
|||||
Total
|
$
|
(11,220
|
)
|
|
$
|
10,309
|
|
|
$
|
(911
|
)
|
|
$
|
726
|
|
|
$
|
(185
|
)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
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 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 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
|
)
|
(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
$2.5 billion
and
$2.3 billion
as of June 30, 2015 and December 31, 2014, respectively.
|
|
106
|
Freddie Mac Form 10-Q
|
(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.
|
|
107
|
Freddie Mac Form 10-Q
|
|
Six Months Ended June 30, 2015
|
||||||||||||||
|
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
|
$
|
2,546
|
|
|
$
|
(803
|
)
|
|
$
|
(13
|
)
|
|
$
|
1,730
|
|
Other comprehensive income before reclassifications
(1)
|
265
|
|
|
—
|
|
|
26
|
|
|
291
|
|
||||
Amounts reclassified from accumulated other comprehensive income
|
(422
|
)
|
|
97
|
|
|
—
|
|
|
(325
|
)
|
||||
Changes in AOCI by component
|
(157
|
)
|
|
97
|
|
|
26
|
|
|
(34
|
)
|
||||
Ending balance
|
$
|
2,389
|
|
|
$
|
(706
|
)
|
|
$
|
13
|
|
|
$
|
1,696
|
|
|
|
|
|
|
|
|
|
||||||||
|
Six Months Ended June 30, 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)
|
1,285
|
|
|
—
|
|
|
1
|
|
|
1,286
|
|
||||
Amounts reclassified from accumulated other comprehensive income
|
(379
|
)
|
|
101
|
|
|
(1
|
)
|
|
(279
|
)
|
||||
Changes in AOCI by component
|
906
|
|
|
101
|
|
|
—
|
|
|
1,007
|
|
||||
Ending balance
|
$
|
1,868
|
|
|
$
|
(899
|
)
|
|
$
|
32
|
|
|
$
|
1,001
|
|
(1)
|
For the six months ended
June 30, 2015
and the six months ended June 30, 2014, net of tax expense of
$0.1 billion
and
$0.7 billion
, respectively, for AOCI related to available-for-sale securities.
|
Details about Accumulated Other
Comprehensive Income Components
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
|
Affected Line Item in the Consolidated
Statements of Comprehensive Income
|
||||||||||||
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
|
|
||||||||
|
|
(in millions)
|
|
|
||||||||||||||
AOCI related to available-for-sale securities
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
$
|
480
|
|
|
$
|
332
|
|
|
$
|
842
|
|
|
$
|
1,105
|
|
|
Other gains (losses) on investment securities recognized in earnings
|
|
|
(98
|
)
|
|
(157
|
)
|
|
(191
|
)
|
|
(521
|
)
|
|
Net impairment of available-for-sale securities recognized in earnings
|
||||
|
|
382
|
|
|
175
|
|
|
651
|
|
|
584
|
|
|
Total before tax
|
||||
|
|
(134
|
)
|
|
(61
|
)
|
|
(229
|
)
|
|
(205
|
)
|
|
Tax (expense) or benefit
|
||||
|
|
248
|
|
|
114
|
|
|
422
|
|
|
379
|
|
|
Net of tax
|
||||
AOCI related to cash flow hedge relationships
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
|
Interest expense — Other debt
|
||||
|
|
(58
|
)
|
|
(76
|
)
|
|
(123
|
)
|
|
(155
|
)
|
|
Expense related to derivatives
|
||||
|
|
(59
|
)
|
|
(76
|
)
|
|
(124
|
)
|
|
(156
|
)
|
|
Total before tax
|
||||
|
|
21
|
|
|
27
|
|
|
27
|
|
|
55
|
|
|
Tax (expense) or benefit
|
||||
|
|
(38
|
)
|
|
(49
|
)
|
|
(97
|
)
|
|
(101
|
)
|
|
Net of tax
|
||||
AOCI related to defined benefit plans
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
—
|
|
|
1
|
|
|
—
|
|
|
2
|
|
|
Salaries and employee benefits
|
||||
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
|
Tax (expense) or benefit
|
||||
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
Net of tax
|
||||
Total reclassifications in the period
|
|
$
|
210
|
|
|
$
|
65
|
|
|
$
|
325
|
|
|
$
|
279
|
|
|
Net of tax
|
|
108
|
Freddie Mac Form 10-Q
|
|
109
|
Freddie Mac Form 10-Q
|
•
|
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
June 30, 2015
, the unamortized balance of buy-down fees was
$0.2 billion
and the unamortized balance of credit delivery fees was
$0.6 billion
. We consider such fees to be part of the effective rate of the management and guarantee fee income 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
June 30, 2015
, the unamortized balance of such premiums and discounts, net was
$3.8 billion
and the unamortized balance of buy-up fees was
$0.3 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.
|
|
110
|
Freddie Mac Form 10-Q
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
(in millions)
|
||||||||||||||
Segment Earnings (loss), net of taxes:
|
|
|
|
|
|
|
|
||||||||
Single-family Guarantee
|
$
|
489
|
|
|
$
|
568
|
|
|
$
|
549
|
|
|
$
|
881
|
|
Investments
|
3,207
|
|
|
318
|
|
|
3,387
|
|
|
3,620
|
|
||||
Multifamily
|
473
|
|
|
476
|
|
|
757
|
|
|
894
|
|
||||
All Other
|
—
|
|
|
—
|
|
|
—
|
|
|
(13
|
)
|
||||
Total Segment Earnings, net of taxes
|
4,169
|
|
|
1,362
|
|
|
4,693
|
|
|
5,382
|
|
||||
Net income
|
$
|
4,169
|
|
|
$
|
1,362
|
|
|
$
|
4,693
|
|
|
$
|
5,382
|
|
Comprehensive income (loss) of segments:
|
|
|
|
|
|
|
|
||||||||
Single-family Guarantee
|
$
|
489
|
|
|
$
|
568
|
|
|
$
|
548
|
|
|
$
|
881
|
|
Investments
|
3,038
|
|
|
913
|
|
|
3,454
|
|
|
4,694
|
|
||||
Multifamily
|
366
|
|
|
409
|
|
|
630
|
|
|
827
|
|
||||
All Other
|
20
|
|
|
—
|
|
|
27
|
|
|
(13
|
)
|
||||
Comprehensive income of segments
|
3,913
|
|
|
1,890
|
|
|
4,659
|
|
|
6,389
|
|
||||
Comprehensive income
|
$
|
3,913
|
|
|
$
|
1,890
|
|
|
$
|
4,659
|
|
|
$
|
6,389
|
|
|
111
|
Freddie Mac Form 10-Q
|
|
Three Months Ended June 30, 2015
|
||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
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
|
$
|
26
|
|
|
$
|
459
|
|
|
$
|
281
|
|
|
$
|
—
|
|
|
$
|
766
|
|
|
$
|
2,987
|
|
|
$
|
216
|
|
|
$
|
3,203
|
|
|
$
|
3,969
|
|
Benefit for credit losses
|
663
|
|
|
—
|
|
|
17
|
|
|
—
|
|
|
680
|
|
|
177
|
|
|
—
|
|
|
177
|
|
|
857
|
|
|||||||||
Non-interest income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Management and guarantee income
(1)
|
1,398
|
|
|
—
|
|
|
79
|
|
|
—
|
|
|
1,477
|
|
|
(1,312
|
)
|
|
(74
|
)
|
|
(1,386
|
)
|
|
91
|
|
|||||||||
Net impairment of available-for-sale securities recognized in earnings
|
—
|
|
|
96
|
|
|
(9
|
)
|
|
—
|
|
|
87
|
|
|
(185
|
)
|
|
—
|
|
|
(185
|
)
|
|
(98
|
)
|
|||||||||
Derivative gains (losses)
|
(1
|
)
|
|
3,157
|
|
|
708
|
|
|
—
|
|
|
3,864
|
|
|
(729
|
)
|
|
—
|
|
|
(729
|
)
|
|
3,135
|
|
|||||||||
Gains (losses) on trading securities
|
—
|
|
|
(271
|
)
|
|
(57
|
)
|
|
—
|
|
|
(328
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(328
|
)
|
|||||||||
Gains (losses) on mortgage loans
|
(665
|
)
|
|
—
|
|
|
(259
|
)
|
|
—
|
|
|
(924
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(924
|
)
|
|||||||||
Other non-interest income (loss)
|
235
|
|
|
1,112
|
|
|
21
|
|
|
—
|
|
|
1,368
|
|
|
(703
|
)
|
|
—
|
|
|
(703
|
)
|
|
665
|
|
|||||||||
Non-interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Administrative expenses
|
(329
|
)
|
|
(82
|
)
|
|
(90
|
)
|
|
—
|
|
|
(501
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(501
|
)
|
|||||||||
REO operations expense
|
(52
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(52
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(52
|
)
|
|||||||||
Other non-interest expense
|
(487
|
)
|
|
(2
|
)
|
|
(12
|
)
|
|
—
|
|
|
(501
|
)
|
|
(235
|
)
|
|
—
|
|
|
(235
|
)
|
|
(736
|
)
|
|||||||||
Segment adjustments
|
(74
|
)
|
|
216
|
|
|
—
|
|
|
—
|
|
|
142
|
|
|
—
|
|
|
(142
|
)
|
|
(142
|
)
|
|
—
|
|
|||||||||
Income tax expense
|
(225
|
)
|
|
(1,478
|
)
|
|
(206
|
)
|
|
—
|
|
|
(1,909
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,909
|
)
|
|||||||||
Net income
|
489
|
|
|
3,207
|
|
|
473
|
|
|
—
|
|
|
4,169
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,169
|
|
|||||||||
Changes in unrealized gains (losses) related to available-for-sale securities
|
—
|
|
|
(207
|
)
|
|
(107
|
)
|
|
—
|
|
|
(314
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(314
|
)
|
|||||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships
|
—
|
|
|
38
|
|
|
—
|
|
|
—
|
|
|
38
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
38
|
|
|||||||||
Changes in defined benefit plans
|
—
|
|
|
—
|
|
|
—
|
|
|
20
|
|
|
20
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
20
|
|
|||||||||
Total other comprehensive income (loss), net of taxes
|
—
|
|
|
(169
|
)
|
|
(107
|
)
|
|
20
|
|
|
(256
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(256
|
)
|
|||||||||
Comprehensive income
|
$
|
489
|
|
|
$
|
3,038
|
|
|
$
|
366
|
|
|
$
|
20
|
|
|
$
|
3,913
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,913
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
112
|
Freddie Mac Form 10-Q
|
|
Six Months Ended June 30, 2015
|
||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
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
|
)
|
|
$
|
1,085
|
|
|
$
|
523
|
|
|
$
|
—
|
|
|
$
|
1,497
|
|
|
$
|
5,722
|
|
|
$
|
397
|
|
|
$
|
6,119
|
|
|
$
|
7,616
|
|
Benefit for credit losses
|
975
|
|
|
—
|
|
|
20
|
|
|
—
|
|
|
995
|
|
|
361
|
|
|
—
|
|
|
361
|
|
|
1,356
|
|
|||||||||
Non-interest income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Management and guarantee income
(1)
|
2,721
|
|
|
—
|
|
|
152
|
|
|
—
|
|
|
2,873
|
|
|
(2,554
|
)
|
|
(140
|
)
|
|
(2,694
|
)
|
|
179
|
|
|||||||||
Net impairment of available-for-sale securities recognized in earnings
|
—
|
|
|
214
|
|
|
(26
|
)
|
|
—
|
|
|
188
|
|
|
(379
|
)
|
|
—
|
|
|
(379
|
)
|
|
(191
|
)
|
|||||||||
Derivative gains (losses)
|
(38
|
)
|
|
1,729
|
|
|
509
|
|
|
—
|
|
|
2,200
|
|
|
(1,468
|
)
|
|
—
|
|
|
(1,468
|
)
|
|
732
|
|
|||||||||
Gains (losses) on trading securities
|
—
|
|
|
(226
|
)
|
|
(47
|
)
|
|
—
|
|
|
(273
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(273
|
)
|
|||||||||
Gains (losses) on mortgage loans
|
(1,218
|
)
|
|
—
|
|
|
94
|
|
|
—
|
|
|
(1,124
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,124
|
)
|
|||||||||
Other non-interest income
|
310
|
|
|
1,921
|
|
|
65
|
|
|
—
|
|
|
2,296
|
|
|
(1,225
|
)
|
|
—
|
|
|
(1,225
|
)
|
|
1,071
|
|
|||||||||
Non-interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Administrative expense
|
(629
|
)
|
|
(163
|
)
|
|
(160
|
)
|
|
—
|
|
|
(952
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(952
|
)
|
|||||||||
REO operations expense
|
(127
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(127
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(127
|
)
|
|||||||||
Other non-interest expense
|
(939
|
)
|
|
(2
|
)
|
|
(23
|
)
|
|
—
|
|
|
(964
|
)
|
|
(457
|
)
|
|
—
|
|
|
(457
|
)
|
|
(1,421
|
)
|
|||||||||
Segment adjustments
|
(140
|
)
|
|
397
|
|
|
—
|
|
|
—
|
|
|
257
|
|
|
—
|
|
|
(257
|
)
|
|
(257
|
)
|
|
—
|
|
|||||||||
Income tax expense
|
(255
|
)
|
|
(1,568
|
)
|
|
(350
|
)
|
|
—
|
|
|
(2,173
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,173
|
)
|
|||||||||
Net income
|
549
|
|
|
3,387
|
|
|
757
|
|
|
—
|
|
|
4,693
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,693
|
|
|||||||||
Changes in unrealized gains (losses) related to available-for-sale securities
|
—
|
|
|
(30
|
)
|
|
(127
|
)
|
|
—
|
|
|
(157
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(157
|
)
|
|||||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships
|
—
|
|
|
97
|
|
|
—
|
|
|
—
|
|
|
97
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
97
|
|
|||||||||
Changes in defined benefit plans
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
27
|
|
|
26
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
26
|
|
|||||||||
Total other comprehensive income (loss), net of taxes
|
(1
|
)
|
|
67
|
|
|
(127
|
)
|
|
27
|
|
|
(34
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(34
|
)
|
|||||||||
Comprehensive income
|
$
|
548
|
|
|
$
|
3,454
|
|
|
$
|
630
|
|
|
$
|
27
|
|
|
$
|
4,659
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
4,659
|
|
|
113
|
Freddie Mac Form 10-Q
|
|
Three Months Ended June 30, 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
|
$
|
(79
|
)
|
|
$
|
726
|
|
|
$
|
250
|
|
|
$
|
—
|
|
|
$
|
897
|
|
|
$
|
2,457
|
|
|
$
|
149
|
|
|
$
|
2,606
|
|
|
$
|
3,503
|
|
Benefit for credit losses
|
398
|
|
|
—
|
|
|
23
|
|
|
—
|
|
|
421
|
|
|
197
|
|
|
—
|
|
|
197
|
|
|
618
|
|
|||||||||
Non-interest income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Management and guarantee income
(1)
|
1,065
|
|
|
—
|
|
|
63
|
|
|
—
|
|
|
1,128
|
|
|
(970
|
)
|
|
(76
|
)
|
|
(1,046
|
)
|
|
82
|
|
|||||||||
Net impairment of available-for-sale securities recognized in earnings
|
—
|
|
|
83
|
|
|
—
|
|
|
—
|
|
|
83
|
|
|
(240
|
)
|
|
—
|
|
|
(240
|
)
|
|
(157
|
)
|
|||||||||
Derivative gains (losses)
|
(25
|
)
|
|
(1,124
|
)
|
|
112
|
|
|
—
|
|
|
(1,037
|
)
|
|
(889
|
)
|
|
—
|
|
|
(889
|
)
|
|
(1,926
|
)
|
|||||||||
Gains (losses) on trading securities
|
—
|
|
|
14
|
|
|
26
|
|
|
—
|
|
|
40
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
40
|
|
|||||||||
Gains (losses) on mortgage loans
|
(195
|
)
|
|
—
|
|
|
156
|
|
|
—
|
|
|
(39
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(39
|
)
|
|||||||||
Other non-interest income
|
48
|
|
|
773
|
|
|
141
|
|
|
—
|
|
|
962
|
|
|
(368
|
)
|
|
—
|
|
|
(368
|
)
|
|
594
|
|
|||||||||
Non-interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Administrative expenses
|
(275
|
)
|
|
(111
|
)
|
|
(67
|
)
|
|
—
|
|
|
(453
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(453
|
)
|
|||||||||
REO operations income (expense)
|
48
|
|
|
—
|
|
|
2
|
|
|
—
|
|
|
50
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
50
|
|
|||||||||
Other non-interest expense
|
(80
|
)
|
|
(2
|
)
|
|
(8
|
)
|
|
—
|
|
|
(90
|
)
|
|
(187
|
)
|
|
—
|
|
|
(187
|
)
|
|
(277
|
)
|
|||||||||
Segment adjustments
|
(76
|
)
|
|
149
|
|
|
—
|
|
|
—
|
|
|
73
|
|
|
—
|
|
|
(73
|
)
|
|
(73
|
)
|
|
—
|
|
|||||||||
Income tax expense
|
(261
|
)
|
|
(190
|
)
|
|
(222
|
)
|
|
—
|
|
|
(673
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(673
|
)
|
|||||||||
Net income
|
568
|
|
|
318
|
|
|
476
|
|
|
—
|
|
|
1,362
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,362
|
|
|||||||||
Changes in unrealized gains (losses) related to available-for-sale securities
|
—
|
|
|
546
|
|
|
(67
|
)
|
|
—
|
|
|
479
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
479
|
|
|||||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships
|
—
|
|
|
49
|
|
|
—
|
|
|
—
|
|
|
49
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
49
|
|
|||||||||
Changes in defined benefit plans
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Total other comprehensive income (loss), net of taxes
|
—
|
|
|
595
|
|
|
(67
|
)
|
|
—
|
|
|
528
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
528
|
|
|||||||||
Comprehensive income
|
$
|
568
|
|
|
$
|
913
|
|
|
$
|
409
|
|
|
$
|
—
|
|
|
$
|
1,890
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,890
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
114
|
Freddie Mac Form 10-Q
|
|
Six Months Ended June 30, 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
|
$
|
(46
|
)
|
|
$
|
1,562
|
|
|
$
|
465
|
|
|
$
|
—
|
|
|
$
|
1,981
|
|
|
$
|
4,732
|
|
|
$
|
300
|
|
|
$
|
5,032
|
|
|
$
|
7,013
|
|
Benefit for credit losses
|
76
|
|
|
—
|
|
|
42
|
|
|
—
|
|
|
118
|
|
|
415
|
|
|
—
|
|
|
415
|
|
|
533
|
|
|||||||||
Non-interest income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Management and guarantee income
(1)
|
2,058
|
|
|
—
|
|
|
121
|
|
|
—
|
|
|
2,179
|
|
|
(1,861
|
)
|
|
(158
|
)
|
|
(2,019
|
)
|
|
160
|
|
|||||||||
Net impairment of available-for-sale securities recognized in earnings
|
—
|
|
|
(132
|
)
|
|
—
|
|
|
—
|
|
|
(132
|
)
|
|
(389
|
)
|
|
—
|
|
|
(389
|
)
|
|
(521
|
)
|
|||||||||
Derivative gains (losses)
|
(28
|
)
|
|
(2,612
|
)
|
|
197
|
|
|
—
|
|
|
(2,443
|
)
|
|
(1,834
|
)
|
|
—
|
|
|
(1,834
|
)
|
|
(4,277
|
)
|
|||||||||
Gains (losses) on trading securities
|
—
|
|
|
(41
|
)
|
|
74
|
|
|
—
|
|
|
33
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
33
|
|
|||||||||
Gains (losses) on mortgage loans
|
(195
|
)
|
|
—
|
|
|
410
|
|
|
—
|
|
|
215
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
215
|
|
|||||||||
Other non-interest income
|
251
|
|
|
6,410
|
|
|
132
|
|
|
—
|
|
|
6,793
|
|
|
(698
|
)
|
|
—
|
|
|
(698
|
)
|
|
6,095
|
|
|||||||||
Non-interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Administrative expense
|
(553
|
)
|
|
(235
|
)
|
|
(133
|
)
|
|
—
|
|
|
(921
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(921
|
)
|
|||||||||
REO operations income (expense)
|
(11
|
)
|
|
—
|
|
|
2
|
|
|
—
|
|
|
(9
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(9
|
)
|
|||||||||
Other non-interest expense
|
(119
|
)
|
|
(6
|
)
|
|
(13
|
)
|
|
(18
|
)
|
|
(156
|
)
|
|
(365
|
)
|
|
—
|
|
|
(365
|
)
|
|
(521
|
)
|
|||||||||
Segment adjustments
|
(158
|
)
|
|
300
|
|
|
—
|
|
|
—
|
|
|
142
|
|
|
—
|
|
|
(142
|
)
|
|
(142
|
)
|
|
—
|
|
|||||||||
Income tax (expense) benefit
|
(394
|
)
|
|
(1,626
|
)
|
|
(403
|
)
|
|
5
|
|
|
(2,418
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,418
|
)
|
|||||||||
Net income (loss)
|
881
|
|
|
3,620
|
|
|
894
|
|
|
(13
|
)
|
|
5,382
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5,382
|
|
|||||||||
Changes in unrealized gains (losses) related to available-for-sale securities
|
—
|
|
|
973
|
|
|
(67
|
)
|
|
—
|
|
|
906
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
906
|
|
|||||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships
|
—
|
|
|
101
|
|
|
—
|
|
|
—
|
|
|
101
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
101
|
|
|||||||||
Changes in defined benefit plans
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Total other comprehensive income (loss), net of taxes
|
—
|
|
|
1,074
|
|
|
(67
|
)
|
|
—
|
|
|
1,007
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,007
|
|
|||||||||
Comprehensive income
|
$
|
881
|
|
|
$
|
4,694
|
|
|
$
|
827
|
|
|
$
|
(13
|
)
|
|
$
|
6,389
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
6,389
|
|
(1)
|
Management and guarantee income is included in other income on our GAAP consolidated statements of comprehensive income.
|
|
115
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||||||||||
|
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
|
$
|
98,222
|
|
|
$
|
975
|
|
|
38
|
|
$
|
87,529
|
|
|
$
|
861
|
|
|
39
|
Other guarantee commitments
|
18,071
|
|
|
642
|
|
|
39
|
|
26,147
|
|
|
772
|
|
|
39
|
||||
Derivative instruments
|
18,924
|
|
|
164
|
|
|
30
|
|
21,336
|
|
|
154
|
|
|
31
|
(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
$81 million
and
$126 million
as of
June 30, 2015
and
December 31, 2014
, respectively, and is included within other liabilities on our consolidated balance sheets.
|
|
116
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
|
December 31, 2014
|
|
Percent of Credit Losses
Six Months Ended
|
||||||||||||
|
Percentage of
Portfolio
(1)
|
|
Serious
Delinquency
Rate
|
|
Percentage of
Portfolio
(1)
|
|
Serious
Delinquency
Rate
|
|
June 30, 2015
|
|
June 30, 2014
|
||||||
Year of Origination
|
|
|
|
|
|
|
|
|
|
|
|
||||||
2015
|
8
|
%
|
|
—
|
%
|
|
N/A
|
|
|
N/A
|
|
|
—
|
%
|
|
N/A
|
|
2014
|
12
|
|
|
0.05
|
|
|
12
|
%
|
|
0.02
|
%
|
|
—
|
|
|
—
|
%
|
2013
|
15
|
|
|
0.09
|
|
|
16
|
|
|
0.06
|
|
|
—
|
|
|
—
|
|
2012
|
13
|
|
|
0.09
|
|
|
14
|
|
|
0.09
|
|
|
—
|
|
|
—
|
|
2011
|
5
|
|
|
0.26
|
|
|
6
|
|
|
0.26
|
|
|
—
|
|
|
—
|
|
2010
|
5
|
|
|
0.45
|
|
|
6
|
|
|
0.46
|
|
|
1
|
|
|
1
|
|
2009
|
5
|
|
|
0.86
|
|
|
6
|
|
|
0.92
|
|
|
1
|
|
|
2
|
|
Subtotal - New single-family book
|
63
|
|
|
0.21
|
|
|
60
|
|
|
0.24
|
|
|
2
|
|
|
3
|
|
HARP and other relief refinance loans
(1)
|
19
|
|
|
0.70
|
|
|
20
|
|
|
0.75
|
|
|
6
|
|
|
7
|
|
2005 to 2008 Legacy single-family book
|
12
|
|
|
6.54
|
|
|
13
|
|
|
7.59
|
|
|
83
|
|
|
81
|
|
Pre-2005 Legacy single-family book
|
6
|
|
|
2.75
|
|
|
7
|
|
|
3.10
|
|
|
9
|
|
|
9
|
|
Total
|
100
|
%
|
|
1.53
|
%
|
|
100
|
%
|
|
1.88
|
%
|
|
100
|
%
|
|
100
|
%
|
Region
(2)
|
|
|
|
|
|
|
|
|
|
|
|
||||||
West
|
29
|
%
|
|
0.96
|
%
|
|
29
|
%
|
|
1.23
|
%
|
|
12
|
%
|
|
12
|
%
|
Northeast
|
26
|
|
|
2.38
|
|
|
26
|
|
|
2.81
|
|
|
45
|
|
|
25
|
|
North Central
|
17
|
|
|
1.23
|
|
|
17
|
|
|
1.48
|
|
|
15
|
|
|
21
|
|
Southeast
|
16
|
|
|
1.87
|
|
|
16
|
|
|
2.40
|
|
|
25
|
|
|
38
|
|
Southwest
|
12
|
|
|
0.95
|
|
|
12
|
|
|
1.16
|
|
|
3
|
|
|
4
|
|
Total
|
100
|
%
|
|
1.53
|
%
|
|
100
|
%
|
|
1.88
|
%
|
|
100
|
%
|
|
100
|
%
|
State
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Arizona, California, Florida, and Nevada
(3)
|
26
|
%
|
|
1.42
|
%
|
|
26
|
%
|
|
1.91
|
%
|
|
28
|
%
|
|
38
|
%
|
Illinois, Michigan, and Ohio
(4)
|
10
|
|
|
1.42
|
|
|
10
|
|
|
1.70
|
|
|
12
|
|
|
16
|
|
New York and New Jersey
(5)
|
9
|
|
|
3.95
|
|
|
9
|
|
|
4.62
|
|
|
30
|
|
|
10
|
|
All other
|
55
|
|
|
1.26
|
|
|
55
|
|
|
1.53
|
|
|
30
|
|
|
36
|
|
Total
|
100
|
%
|
|
1.53
|
%
|
|
100
|
%
|
|
1.88
|
%
|
|
100
|
%
|
|
100
|
%
|
(1)
|
HARP and other relief refinance loans are presented separately rather than in the year that the refinancing occurred (from 2009 to 2015). All other refinance loans are presented in the year that the refinancing occurred.
|
(2)
|
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).
|
(3)
|
Represents the four states that had the largest cumulative declines in home prices during the housing crisis that began in 2006, as measured using Freddie Mac’s home price index.
|
(4)
|
Represents selected states in the North Central region that have experienced adverse economic conditions since 2006.
|
(5)
|
Represents two states with a judicial foreclosure process in which there are a significant number of seriously delinquent mortgage loans within our single-family credit guarantee portfolio.
|
|
117
|
Freddie Mac Form 10-Q
|
|
Percentage of Portfolio
|
|
Serious Delinquency Rate
|
||||||||
|
June 30, 2015
|
|
December 31, 2014
|
|
June 30, 2015
|
|
December 31, 2014
|
||||
Interest-only
|
1
|
%
|
|
2
|
%
|
|
7.73
|
%
|
|
9.36
|
%
|
Option ARM
(2)
|
—
|
|
|
—
|
|
|
8.79
|
|
|
9.87
|
|
Alt-A
|
3
|
|
|
3
|
|
|
7.51
|
|
|
8.53
|
|
Original LTV ratio greater than 90%
(3)
|
16
|
|
|
16
|
|
|
2.16
|
|
|
2.58
|
|
Lower credit scores at origination (less than 620)
|
3
|
|
|
3
|
|
|
7.24
|
|
|
8.57
|
|
(1)
|
Excludes loans underlying certain Other Guarantee Transactions for which data was not available.
|
(2)
|
For reporting purposes, mortgage loans within the option ARM category continue to be reported in that category following modification, even though the modified mortgage loan no longer provides for optional payment provisions.
|
(3)
|
Includes HARP mortgage loans, which we are required to purchase as part of our participation in the MHA Program.
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||||
|
UPB
|
|
Delinquency
Rate
(1)
|
|
UPB
|
|
Delinquency
Rate
(1)
|
||||||
|
(dollars in billions)
|
||||||||||||
Legal Structure
|
|
|
|
|
|
|
|
||||||
Unsecuritized mortgage loans:
|
|
|
|
|
|
|
|
||||||
Unsecuritized mortgage loans held-for-investment
|
$
|
36.9
|
|
|
0.03
|
%
|
|
$
|
40.9
|
|
|
0.03
|
%
|
Unsecuritized mortgage loans held-for-sale
|
17.8
|
|
|
—
|
|
|
12.1
|
|
|
—
|
|
||
K Certificates
|
87.2
|
|
|
0.01
|
|
|
76.0
|
|
|
0.01
|
|
||
Other Freddie-Mac mortgage-related securities
|
5.0
|
|
|
—
|
|
|
5.0
|
|
|
0.64
|
|
||
Other guarantee commitments
|
9.6
|
|
|
—
|
|
|
9.3
|
|
|
—
|
|
||
Total
|
$
|
156.5
|
|
|
0.01
|
%
|
|
$
|
143.3
|
|
|
0.04
|
%
|
(1)
|
Based on mortgage loans two monthly payments or more delinquent or in foreclosure.
|
|
118
|
Freddie Mac Form 10-Q
|
|
119
|
Freddie Mac Form 10-Q
|
•
|
$21.1 billion
of securities purchased under agreements to resell with
15
counterparties that had short-term S&P ratings of A-1 or above;
|
•
|
$4.4 billion
of securities purchased under agreements to resell with
four
counterparties that had short-term S&P ratings of A-2;
|
•
|
$11.5 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);
|
•
|
$0.3 billion
of cash equivalents invested in Treasury securities; and
|
•
|
$23.9 billion
of cash deposited with the Federal Reserve Bank of New York (as a non-interest-bearing deposit).
|
|
120
|
Freddie Mac Form 10-Q
|
|
121
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
||||||||||||||||||
|
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
|
$
|
—
|
|
|
$
|
33,066
|
|
|
$
|
3,143
|
|
|
$
|
—
|
|
|
$
|
36,209
|
|
Fannie Mae
|
—
|
|
|
9,655
|
|
|
104
|
|
|
—
|
|
|
9,759
|
|
|||||
Ginnie Mae
|
—
|
|
|
180
|
|
|
2
|
|
|
—
|
|
|
182
|
|
|||||
CMBS
|
—
|
|
|
14,049
|
|
|
3,534
|
|
|
—
|
|
|
17,583
|
|
|||||
Subprime
|
—
|
|
|
—
|
|
|
15,802
|
|
|
—
|
|
|
15,802
|
|
|||||
Option ARM
|
—
|
|
|
—
|
|
|
4,833
|
|
|
—
|
|
|
4,833
|
|
|||||
Alt-A and other
|
—
|
|
|
—
|
|
|
4,222
|
|
|
—
|
|
|
4,222
|
|
|||||
Obligations of states and political subdivisions
|
—
|
|
|
—
|
|
|
1,627
|
|
|
—
|
|
|
1,627
|
|
|||||
Manufactured housing
|
—
|
|
|
—
|
|
|
614
|
|
|
—
|
|
|
614
|
|
|||||
Total available-for-sale securities, at fair value
|
—
|
|
|
56,950
|
|
|
33,881
|
|
|
—
|
|
|
90,831
|
|
|||||
Trading, at fair value:
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
—
|
|
|
15,792
|
|
|
345
|
|
|
—
|
|
|
16,137
|
|
|||||
Fannie Mae
|
—
|
|
|
5,684
|
|
|
171
|
|
|
—
|
|
|
5,855
|
|
|||||
Ginnie Mae
|
—
|
|
|
12
|
|
|
—
|
|
|
—
|
|
|
12
|
|
|||||
Other
|
—
|
|
|
116
|
|
|
3
|
|
|
—
|
|
|
119
|
|
|||||
Total mortgage-related securities
|
—
|
|
|
21,604
|
|
|
519
|
|
|
—
|
|
|
22,123
|
|
|||||
U.S. Treasury securities
|
9,962
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9,962
|
|
|||||
Total trading securities, at fair value
|
9,962
|
|
|
21,604
|
|
|
519
|
|
|
—
|
|
|
32,085
|
|
|||||
Total investments in securities
|
9,962
|
|
|
78,554
|
|
|
34,400
|
|
|
—
|
|
|
122,916
|
|
|||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
||||||||||
Held-for-sale, at fair value
|
—
|
|
|
17,600
|
|
|
—
|
|
|
—
|
|
|
17,600
|
|
|||||
Derivative assets, net:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest-rate swaps
|
—
|
|
|
5,178
|
|
|
—
|
|
|
—
|
|
|
5,178
|
|
|||||
Option-based derivatives
|
—
|
|
|
3,516
|
|
|
—
|
|
|
—
|
|
|
3,516
|
|
|||||
Other
|
—
|
|
|
120
|
|
|
12
|
|
|
—
|
|
|
132
|
|
|||||
Subtotal, before netting adjustments
|
—
|
|
|
8,814
|
|
|
12
|
|
|
—
|
|
|
8,826
|
|
|||||
Netting adjustments
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
(8,334
|
)
|
|
(8,334
|
)
|
|||||
Total derivative assets, net
|
—
|
|
|
8,814
|
|
|
12
|
|
|
(8,334
|
)
|
|
492
|
|
|||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Guarantee asset, at fair value
|
—
|
|
|
—
|
|
|
1,652
|
|
|
—
|
|
|
1,652
|
|
|||||
All other, at fair value
|
—
|
|
|
—
|
|
|
7
|
|
|
—
|
|
|
7
|
|
|||||
Total other assets
|
—
|
|
|
—
|
|
|
1,659
|
|
|
—
|
|
|
1,659
|
|
|||||
Total assets carried at fair value on a recurring basis
|
$
|
9,962
|
|
|
$
|
104,968
|
|
|
$
|
36,071
|
|
|
$
|
(8,334
|
)
|
|
$
|
142,667
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Debt securities of consolidated trusts held by third parties, at fair value
|
$
|
—
|
|
|
$
|
36
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
36
|
|
Other debt, at fair value
|
—
|
|
|
7,733
|
|
|
—
|
|
|
—
|
|
|
7,733
|
|
|||||
Derivative liabilities, net:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest-rate swaps
|
—
|
|
|
9,724
|
|
|
—
|
|
|
—
|
|
|
9,724
|
|
|||||
Option-based derivatives
|
4
|
|
|
135
|
|
|
—
|
|
|
—
|
|
|
139
|
|
|||||
Other
|
—
|
|
|
79
|
|
|
34
|
|
|
—
|
|
|
113
|
|
|||||
Subtotal, before netting adjustments
|
4
|
|
|
9,938
|
|
|
34
|
|
|
—
|
|
|
9,976
|
|
|||||
Netting adjustments
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
(9,065
|
)
|
|
(9,065
|
)
|
|||||
Total derivative liabilities, net
|
4
|
|
|
9,938
|
|
|
34
|
|
|
(9,065
|
)
|
|
911
|
|
|||||
Total liabilities carried at fair value on a recurring basis
|
$
|
4
|
|
|
$
|
17,707
|
|
|
$
|
34
|
|
|
$
|
(9,065
|
)
|
|
$
|
8,680
|
|
|
122
|
Freddie Mac Form 10-Q
|
|
Fair Value at 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
|
|
(1)
|
Represents counterparty netting, cash collateral netting and net derivative interest receivable or payable. The net cash collateral posted was
$1.2 billion
and
$3.2 billion
, respectively, at
June 30, 2015
and December 31, 2014. The net interest receivable (payable) of derivative assets and derivative liabilities was
$(0.5) billion
and
$(0.7) billion
at
June 30, 2015
and December 31, 2014, respectively, which was mainly related to interest rate swaps.
|
|
123
|
Freddie Mac Form 10-Q
|
|
124
|
Freddie Mac Form 10-Q
|
|
Three Months Ended June 30, 2015
|
||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
Realized and unrealized gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
|
Balance,
March 31,
2015
|
|
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,
June 30,
2015
|
|
Unrealized
gains (losses)
still held
|
||||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Available-for-sale, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
$
|
2,683
|
|
|
$
|
14
|
|
|
$
|
(2
|
)
|
|
$
|
12
|
|
|
$
|
624
|
|
|
$
|
—
|
|
|
$
|
(332
|
)
|
|
$
|
302
|
|
|
$
|
4
|
|
|
$
|
(150
|
)
|
|
$
|
3,143
|
|
|
$
|
(1
|
)
|
Fannie Mae
|
113
|
|
|
—
|
|
|
1
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(7
|
)
|
|
—
|
|
|
(3
|
)
|
|
104
|
|
|
—
|
|
||||||||||||
Ginnie Mae
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2
|
|
|
—
|
|
||||||||||||
CMBS
|
3,552
|
|
|
(9
|
)
|
|
(2
|
)
|
|
(11
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(7
|
)
|
|
—
|
|
|
—
|
|
|
3,534
|
|
|
(9
|
)
|
||||||||||||
Subprime
|
17,799
|
|
|
242
|
|
|
92
|
|
|
334
|
|
|
—
|
|
|
—
|
|
|
(1,701
|
)
|
|
(630
|
)
|
|
—
|
|
|
—
|
|
|
15,802
|
|
|
54
|
|
||||||||||||
Option ARM
|
5,276
|
|
|
48
|
|
|
88
|
|
|
136
|
|
|
—
|
|
|
—
|
|
|
(422
|
)
|
|
(157
|
)
|
|
—
|
|
|
—
|
|
|
4,833
|
|
|
(1
|
)
|
||||||||||||
Alt-A and other
|
4,788
|
|
|
91
|
|
|
42
|
|
|
133
|
|
|
—
|
|
|
—
|
|
|
(483
|
)
|
|
(214
|
)
|
|
—
|
|
|
(2
|
)
|
|
4,222
|
|
|
36
|
|
||||||||||||
Obligations of states and political subdivisions
|
1,827
|
|
|
—
|
|
|
(8
|
)
|
|
(8
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(192
|
)
|
|
—
|
|
|
—
|
|
|
1,627
|
|
|
—
|
|
||||||||||||
Manufactured housing
|
619
|
|
|
—
|
|
|
12
|
|
|
12
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(17
|
)
|
|
—
|
|
|
—
|
|
|
614
|
|
|
—
|
|
||||||||||||
Total available-for-sale mortgage-related securities
|
36,660
|
|
|
386
|
|
|
223
|
|
|
609
|
|
|
624
|
|
|
—
|
|
|
(2,939
|
)
|
|
(922
|
)
|
|
4
|
|
|
(155
|
)
|
|
33,881
|
|
|
79
|
|
||||||||||||
Trading, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
511
|
|
|
(15
|
)
|
|
—
|
|
|
(15
|
)
|
|
41
|
|
|
19
|
|
|
(10
|
)
|
|
(2
|
)
|
|
45
|
|
|
(244
|
)
|
|
345
|
|
|
(12
|
)
|
||||||||||||
Fannie Mae
|
139
|
|
|
10
|
|
|
—
|
|
|
10
|
|
|
100
|
|
|
—
|
|
|
(95
|
)
|
|
—
|
|
|
23
|
|
|
(6
|
)
|
|
171
|
|
|
(2
|
)
|
||||||||||||
Ginnie Mae
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Other
|
4
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
3
|
|
|
—
|
|
||||||||||||
Total trading mortgage-related securities
|
654
|
|
|
(5
|
)
|
|
—
|
|
|
(5
|
)
|
|
141
|
|
|
19
|
|
|
(105
|
)
|
|
(3
|
)
|
|
68
|
|
|
(250
|
)
|
|
519
|
|
|
(14
|
)
|
||||||||||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Guarantee asset
(3)
|
1,569
|
|
|
3
|
|
|
—
|
|
|
3
|
|
|
—
|
|
|
220
|
|
|
—
|
|
|
(140
|
)
|
|
—
|
|
|
—
|
|
|
1,652
|
|
|
3
|
|
||||||||||||
All other, at fair value
|
6
|
|
|
1
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7
|
|
|
1
|
|
||||||||||||
Total other assets
|
1,575
|
|
|
4
|
|
|
—
|
|
|
4
|
|
|
—
|
|
|
220
|
|
|
—
|
|
|
(140
|
)
|
|
—
|
|
|
—
|
|
|
1,659
|
|
|
4
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
|
|
|
Realized and unrealized (gains) losses
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
|
Balance,
March 31,
2015
|
|
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,
June 30,
2015
|
|
Unrealized
(gains)
losses
still held
|
||||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Net derivatives
(4)
|
$
|
25
|
|
|
$
|
(9
|
)
|
|
$
|
—
|
|
|
$
|
(9
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
6
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
22
|
|
|
$
|
(8
|
)
|
|
125
|
Freddie Mac Form 10-Q
|
|
Six Months Ended June 30, 2015
|
||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
Realized and unrealized gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
|
Balance,
January 1,
2015
|
|
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,
June 30,
2015
|
|
Unrealized
gains (losses)
still held
|
||||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Available-for-sale, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
$
|
4,231
|
|
|
$
|
25
|
|
|
$
|
(13
|
)
|
|
$
|
12
|
|
|
$
|
722
|
|
|
$
|
—
|
|
|
$
|
(394
|
)
|
|
$
|
276
|
|
|
$
|
5
|
|
|
$
|
(1,709
|
)
|
|
$
|
3,143
|
|
|
$
|
(2
|
)
|
Fannie Mae
|
85
|
|
|
—
|
|
|
4
|
|
|
4
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(14
|
)
|
|
38
|
|
|
(9
|
)
|
|
104
|
|
|
—
|
|
||||||||||||
Ginnie Mae
|
4
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
2
|
|
|
—
|
|
||||||||||||
CMBS
|
3,474
|
|
|
(25
|
)
|
|
100
|
|
|
75
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
(14
|
)
|
|
—
|
|
|
—
|
|
|
3,534
|
|
|
(25
|
)
|
||||||||||||
Subprime
|
20,589
|
|
|
527
|
|
|
105
|
|
|
632
|
|
|
—
|
|
|
—
|
|
|
(4,140
|
)
|
|
(1,279
|
)
|
|
—
|
|
|
—
|
|
|
15,802
|
|
|
77
|
|
||||||||||||
Option ARM
|
5,649
|
|
|
120
|
|
|
58
|
|
|
178
|
|
|
—
|
|
|
—
|
|
|
(689
|
)
|
|
(305
|
)
|
|
—
|
|
|
—
|
|
|
4,833
|
|
|
46
|
|
||||||||||||
Alt-A and other
|
5,027
|
|
|
137
|
|
|
31
|
|
|
168
|
|
|
—
|
|
|
—
|
|
|
(572
|
)
|
|
(412
|
)
|
|
11
|
|
|
—
|
|
|
4,222
|
|
|
75
|
|
||||||||||||
Obligations of states and political subdivisions
|
2,198
|
|
|
—
|
|
|
(12
|
)
|
|
(12
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(559
|
)
|
|
—
|
|
|
—
|
|
|
1,627
|
|
|
—
|
|
||||||||||||
Manufactured housing
|
638
|
|
|
(1
|
)
|
|
11
|
|
|
10
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(34
|
)
|
|
—
|
|
|
—
|
|
|
614
|
|
|
(1
|
)
|
||||||||||||
Total available-for-sale mortgage-related securities
|
41,895
|
|
|
783
|
|
|
284
|
|
|
1,067
|
|
|
722
|
|
|
—
|
|
|
(5,796
|
)
|
|
(2,343
|
)
|
|
54
|
|
|
(1,718
|
)
|
|
33,881
|
|
|
170
|
|
||||||||||||
Trading, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Freddie Mac
|
927
|
|
|
(18
|
)
|
|
—
|
|
|
(18
|
)
|
|
41
|
|
|
19
|
|
|
(11
|
)
|
|
(3
|
)
|
|
46
|
|
|
(656
|
)
|
|
345
|
|
|
(13
|
)
|
||||||||||||
Fannie Mae
|
232
|
|
|
10
|
|
|
—
|
|
|
10
|
|
|
100
|
|
|
—
|
|
|
(95
|
)
|
|
(1
|
)
|
|
23
|
|
|
(98
|
)
|
|
171
|
|
|
(1
|
)
|
||||||||||||
Ginnie Mae
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Other
|
4
|
|
|
4
|
|
|
—
|
|
|
4
|
|
|
—
|
|
|
—
|
|
|
(4
|
)
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
3
|
|
|
—
|
|
||||||||||||
Total trading mortgage-related securities
|
1,164
|
|
|
(4
|
)
|
|
—
|
|
|
(4
|
)
|
|
141
|
|
|
19
|
|
|
(111
|
)
|
|
(5
|
)
|
|
69
|
|
|
(754
|
)
|
|
519
|
|
|
(14
|
)
|
||||||||||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Guarantee asset
(3)
|
1,626
|
|
|
(12
|
)
|
|
—
|
|
|
(12
|
)
|
|
—
|
|
|
314
|
|
|
—
|
|
|
(276
|
)
|
|
—
|
|
|
—
|
|
|
1,652
|
|
|
(12
|
)
|
||||||||||||
All other, at fair value
|
5
|
|
|
2
|
|
|
—
|
|
|
2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7
|
|
|
2
|
|
||||||||||||
Total other assets
|
1,631
|
|
|
(10
|
)
|
|
—
|
|
|
(10
|
)
|
|
—
|
|
|
314
|
|
|
—
|
|
|
(276
|
)
|
|
—
|
|
|
—
|
|
|
1,659
|
|
|
(10
|
)
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
|
|
|
Realized and unrealized (gains) losses
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
|
Balance,
January 1, 2015 |
|
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,
June 30,
2015
|
|
Unrealized
(gains)
losses
still held
|
||||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Net derivatives
(4)
|
$
|
10
|
|
|
$
|
16
|
|
|
$
|
—
|
|
|
$
|
16
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(4
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
22
|
|
|
$
|
11
|
|
|
126
|
Freddie Mac Form 10-Q
|
|
Three months ended June 30, 2014
|
||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
Realized and unrealized gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
|
Balance,
March 31,
2014
|
|
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,
June 30,
2014
|
|
Unrealized
gains (losses)
still held
|
||||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Available-for-sale, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
$
|
2,443
|
|
|
$
|
(2
|
)
|
|
$
|
4
|
|
|
$
|
2
|
|
|
$
|
1,440
|
|
|
$
|
—
|
|
|
$
|
(277
|
)
|
|
$
|
(21
|
)
|
|
$
|
—
|
|
|
$
|
(695
|
)
|
|
$
|
2,892
|
|
|
$
|
—
|
|
Fannie Mae
|
134
|
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
|
118
|
|
|
—
|
|
|
(55
|
)
|
|
(4
|
)
|
|
—
|
|
|
(56
|
)
|
|
136
|
|
|
—
|
|
||||||||||||
Ginnie Mae
|
11
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(6
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5
|
|
|
—
|
|
||||||||||||
CMBS
|
3,457
|
|
|
—
|
|
|
109
|
|
|
109
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(6
|
)
|
|
—
|
|
|
(234
|
)
|
|
3,326
|
|
|
—
|
|
||||||||||||
Subprime
|
26,540
|
|
|
(104
|
)
|
|
578
|
|
|
474
|
|
|
—
|
|
|
—
|
|
|
(2,389
|
)
|
|
(334
|
)
|
|
—
|
|
|
—
|
|
|
24,291
|
|
|
(135
|
)
|
||||||||||||
Option ARM
|
6,439
|
|
|
(13
|
)
|
|
39
|
|
|
26
|
|
|
—
|
|
|
—
|
|
|
(175
|
)
|
|
(59
|
)
|
|
—
|
|
|
—
|
|
|
6,231
|
|
|
(17
|
)
|
||||||||||||
Alt-A and other
|
7,606
|
|
|
87
|
|
|
72
|
|
|
159
|
|
|
—
|
|
|
—
|
|
|
(1,280
|
)
|
|
(31
|
)
|
|
—
|
|
|
—
|
|
|
6,454
|
|
|
(5
|
)
|
||||||||||||
Obligations of states and political subdivisions
|
3,276
|
|
|
1
|
|
|
12
|
|
|
13
|
|
|
—
|
|
|
—
|
|
|
(12
|
)
|
|
(379
|
)
|
|
—
|
|
|
—
|
|
|
2,898
|
|
|
—
|
|
||||||||||||
Manufactured housing
|
676
|
|
|
—
|
|
|
11
|
|
|
11
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(19
|
)
|
|
—
|
|
|
—
|
|
|
668
|
|
|
—
|
|
||||||||||||
Total available-for-sale mortgage-related securities
|
50,582
|
|
|
(31
|
)
|
|
824
|
|
|
793
|
|
|
1,558
|
|
|
—
|
|
|
(4,194
|
)
|
|
(853
|
)
|
|
—
|
|
|
(985
|
)
|
|
46,901
|
|
|
(157
|
)
|
||||||||||||
Trading, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
513
|
|
|
(11
|
)
|
|
—
|
|
|
(11
|
)
|
|
1,676
|
|
|
35
|
|
|
(840
|
)
|
|
(11
|
)
|
|
—
|
|
|
(110
|
)
|
|
1,252
|
|
|
(9
|
)
|
||||||||||||
Fannie Mae
|
358
|
|
|
(11
|
)
|
|
—
|
|
|
(11
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
|
—
|
|
|
(177
|
)
|
|
167
|
|
|
(11
|
)
|
||||||||||||
Ginnie Mae
|
71
|
|
|
1
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
(70
|
)
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
||||||||||||
Other
|
7
|
|
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
20
|
|
||||||||||||
Total trading mortgage-related securities
|
949
|
|
|
(22
|
)
|
|
—
|
|
|
(22
|
)
|
|
1,676
|
|
|
35
|
|
|
(910
|
)
|
|
(16
|
)
|
|
—
|
|
|
(287
|
)
|
|
1,425
|
|
|
(2
|
)
|
||||||||||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Guarantee asset
(3)
|
1,558
|
|
|
(17
|
)
|
|
—
|
|
|
(17
|
)
|
|
—
|
|
|
82
|
|
|
—
|
|
|
(36
|
)
|
|
—
|
|
|
—
|
|
|
1,587
|
|
|
(17
|
)
|
||||||||||||
All other, at fair value
|
12
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
12
|
|
|
—
|
|
||||||||||||
Total other assets
|
1,570
|
|
|
(17
|
)
|
|
—
|
|
|
(17
|
)
|
|
—
|
|
|
82
|
|
|
—
|
|
|
(36
|
)
|
|
—
|
|
|
—
|
|
|
1,599
|
|
|
(17
|
)
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
|
|
|
Realized and unrealized (gains) losses
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
|
Balance,
March 31,
2014
|
|
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,
June 30,
2014
|
|
Unrealized
(gains)
losses
still held
|
||||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Other debt, at fair value
|
$
|
1,000
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,000
|
|
|
$
|
—
|
|
Net derivatives
(4)
|
36
|
|
|
(8
|
)
|
|
—
|
|
|
(8
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
30
|
|
|
—
|
|
|
—
|
|
|
58
|
|
|
20
|
|
|
127
|
Freddie Mac Form 10-Q
|
|
Six months ended June 30, 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
|
|
Transfers
out of
Level 3
|
|
Balance,
June 30,
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
|
)
|
|
$
|
2
|
|
|
$
|
—
|
|
|
$
|
2,046
|
|
|
$
|
—
|
|
|
$
|
(1,010
|
)
|
|
$
|
(44
|
)
|
|
$
|
3
|
|
|
$
|
(42
|
)
|
|
$
|
2,892
|
|
|
$
|
—
|
|
Fannie Mae
|
131
|
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
|
118
|
|
|
—
|
|
|
(55
|
)
|
|
(7
|
)
|
|
—
|
|
|
(50
|
)
|
|
136
|
|
|
—
|
|
||||||||||||
Ginnie Mae
|
12
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(6
|
)
|
|
(2
|
)
|
|
1
|
|
|
—
|
|
|
5
|
|
|
—
|
|
||||||||||||
CMBS
|
3,109
|
|
|
—
|
|
|
227
|
|
|
227
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(10
|
)
|
|
—
|
|
|
—
|
|
|
3,326
|
|
|
—
|
|
||||||||||||
Subprime
|
27,499
|
|
|
(402
|
)
|
|
1,488
|
|
|
1,086
|
|
|
—
|
|
|
—
|
|
|
(3,205
|
)
|
|
(1,089
|
)
|
|
—
|
|
|
—
|
|
|
24,291
|
|
|
(457
|
)
|
||||||||||||
Option ARM
|
6,574
|
|
|
(29
|
)
|
|
3
|
|
|
(26
|
)
|
|
—
|
|
|
—
|
|
|
(175
|
)
|
|
(142
|
)
|
|
—
|
|
|
—
|
|
|
6,231
|
|
|
(33
|
)
|
||||||||||||
Alt-A and other
|
8,706
|
|
|
172
|
|
|
136
|
|
|
308
|
|
|
—
|
|
|
—
|
|
|
(2,388
|
)
|
|
(172
|
)
|
|
—
|
|
|
—
|
|
|
6,454
|
|
|
(31
|
)
|
||||||||||||
Obligations of states and political subdivisions
|
3,495
|
|
|
1
|
|
|
71
|
|
|
72
|
|
|
1
|
|
|
—
|
|
|
(13
|
)
|
|
(657
|
)
|
|
—
|
|
|
—
|
|
|
2,898
|
|
|
—
|
|
||||||||||||
Manufactured housing
|
684
|
|
|
—
|
|
|
21
|
|
|
21
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(37
|
)
|
|
—
|
|
|
—
|
|
|
668
|
|
|
—
|
|
||||||||||||
Total available-for-sale mortgage-related securities
|
52,149
|
|
|
(260
|
)
|
|
1,947
|
|
|
1,687
|
|
|
2,165
|
|
|
—
|
|
|
(6,852
|
)
|
|
(2,160
|
)
|
|
4
|
|
|
(92
|
)
|
|
46,901
|
|
|
(521
|
)
|
||||||||||||
Trading, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Freddie Mac
|
343
|
|
|
(17
|
)
|
|
—
|
|
|
(17
|
)
|
|
1,982
|
|
|
35
|
|
|
(1,005
|
)
|
|
(19
|
)
|
|
—
|
|
|
(67
|
)
|
|
1,252
|
|
|
(38
|
)
|
||||||||||||
Fannie Mae
|
221
|
|
|
(19
|
)
|
|
—
|
|
|
(19
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5
|
)
|
|
—
|
|
|
(30
|
)
|
|
167
|
|
|
(19
|
)
|
||||||||||||
Ginnie Mae
|
74
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(70
|
)
|
|
(4
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
||||||||||||
Other
|
8
|
|
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
6
|
|
|
(1
|
)
|
||||||||||||
Total trading mortgage-related securities
|
646
|
|
|
(37
|
)
|
|
—
|
|
|
(37
|
)
|
|
1,982
|
|
|
35
|
|
|
(1,075
|
)
|
|
(29
|
)
|
|
—
|
|
|
(97
|
)
|
|
1,425
|
|
|
(60
|
)
|
||||||||||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Guarantee asset
(3)
|
1,611
|
|
|
(104
|
)
|
|
—
|
|
|
(104
|
)
|
|
—
|
|
|
148
|
|
|
—
|
|
|
(68
|
)
|
|
—
|
|
|
—
|
|
|
1,587
|
|
|
(104
|
)
|
||||||||||||
All other, at fair value
|
9
|
|
|
3
|
|
|
—
|
|
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
12
|
|
|
3
|
|
||||||||||||
Total other assets
|
1,620
|
|
|
(101
|
)
|
|
—
|
|
|
(101
|
)
|
|
—
|
|
|
148
|
|
|
—
|
|
|
(68
|
)
|
|
—
|
|
|
—
|
|
|
1,599
|
|
|
(101
|
)
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
|
|
|
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
|
|
Transfers
out of
Level 3
|
|
Balance,
June 30,
2014
|
|
Unrealized
(gains)
losses
still held
|
||||||||||||||||||||||||
|
(in millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Other debt, at fair value
|
$
|
1,528
|
|
|
$
|
(7
|
)
|
|
$
|
—
|
|
|
$
|
(7
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(521
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,000
|
|
|
$
|
—
|
|
Net derivatives
(4)
|
325
|
|
|
(30
|
)
|
|
—
|
|
|
(30
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
44
|
|
|
—
|
|
|
(281
|
)
|
|
58
|
|
|
14
|
|
(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 three and
six months ended June 30, 2015
consist primarily of certain mortgage-related securities 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 three and
six months ended June 30, 2015
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.
|
|
128
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||||||||||||||||||||||
|
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)
|
$
|
—
|
|
|
$
|
197
|
|
|
$
|
6,117
|
|
|
$
|
6,314
|
|
|
$
|
—
|
|
|
$
|
80
|
|
|
$
|
8,962
|
|
|
$
|
9,042
|
|
REO, net
(2)
|
—
|
|
|
—
|
|
|
981
|
|
|
981
|
|
|
—
|
|
|
—
|
|
|
1,665
|
|
|
1,665
|
|
||||||||
Total assets measured at fair value on a non-recurring basis
|
$
|
—
|
|
|
$
|
197
|
|
|
$
|
7,098
|
|
|
$
|
7,295
|
|
|
$
|
—
|
|
|
$
|
80
|
|
|
$
|
10,627
|
|
|
$
|
10,707
|
|
(1)
|
Includes impaired mortgage loans that are classified as held-for-investment and have been measured for impairment based on the fair value of the underlying collateral, and held-for-sale 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 reduced to fair value of
$1.0 billion
, less estimated costs to sell of
$63 million
(or approximately
$0.9 billion
) at
June 30, 2015
. The carrying amount of REO, net was reduced to fair value of
$1.7 billion
, less estimated costs to sell of
$109 million
(or approximately
$1.6 billion
) at
December 31, 2014
.
|
|
129
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
||||||||||||||||
|
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
|
|
|
$
|
2,331
|
|
|
Discounted cash flows
|
|
OAS
|
|
(148) - 503 bps
|
|
92 bps
|
|
|||
|
|
|
568
|
|
|
Risk metric
|
|
Effective duration
(1)
|
|
(0.07) - 14.12 years
|
|
3.89 years
|
|
||||
|
|
|
244
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total Freddie Mac
|
$
|
36,209
|
|
|
3,143
|
|
|
|
|
|
|
|
|
|
|
||
Fannie Mae
|
|
|
82
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$107.3 - $109.4
|
|
$
|
108.6
|
|
|||
|
|
|
22
|
|
|
Discounted cash flows
|
|
OAS
|
|
(194) - 1,071 bps
|
|
56 bps
|
|
||||
Total Fannie Mae
|
9,759
|
|
|
104
|
|
|
|
|
|
|
|
|
|
||||
Ginnie Mae
|
|
|
2
|
|
|
Discounted cash flows
|
|
|
|
|
|
|
|||||
Total Ginnie Mae
|
182
|
|
|
2
|
|
|
|
|
|
|
|
|
|
||||
CMBS
|
|
|
1,968
|
|
|
Single external source
|
|
External pricing source
|
|
$106.0 - $106.0
|
|
$
|
106.0
|
|
|||
|
|
|
1,277
|
|
|
Risk metric
|
|
Effective duration
(1)
|
|
5.87 - 10.10 years
|
|
8.86 years
|
|
||||
|
|
|
289
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total CMBS
|
17,583
|
|
|
3,534
|
|
|
|
|
|
|
|
|
|
||||
Subprime, option ARM, and Alt-A:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Subprime
|
|
|
14,858
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$73.5 - $78.3
|
|
$
|
75.9
|
|
|||
|
|
|
944
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total subprime
|
15,802
|
|
|
15,802
|
|
|
|
|
|
|
|
|
|
||||
Option ARM
|
|
|
4,227
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$66.3 - $71.9
|
|
$
|
69.0
|
|
|||
|
|
|
606
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total option ARM
|
4,833
|
|
|
4,833
|
|
|
|
|
|
|
|
|
|
||||
Alt-A and other
|
|
|
3,232
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$84.7 - $88.3
|
|
$
|
86.5
|
|
|||
|
|
|
636
|
|
|
Single external source
|
|
External pricing source
|
|
$82.4 - $82.4
|
|
$
|
82.4
|
|
|||
|
|
|
354
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total Alt-A and other
|
4,222
|
|
|
4,222
|
|
|
|
|
|
|
|
|
|
||||
Obligations of states and political subdivisions
|
|
|
1,463
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$101.1 - $101.7
|
|
$
|
101.4
|
|
|||
|
|
|
164
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total obligations of states and political subdivisions
|
1,627
|
|
|
1,627
|
|
|
|
|
|
|
|
|
|
||||
Manufactured housing
|
|
|
614
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$90.9 - $93.5
|
|
$
|
92.4
|
|
|||
Total manufactured housing
|
614
|
|
|
614
|
|
|
|
|
|
|
|
|
|
||||
Total available-for-sale mortgage-related securities
|
90,831
|
|
|
33,881
|
|
|
|
|
|
|
|
|
|
||||
Trading, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage-related securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Freddie Mac
|
|
|
236
|
|
|
Discounted cash flows
|
|
OAS
|
|
(269) - 1,542 bps
|
|
57 bps
|
|
||||
|
|
|
25
|
|
|
Risk Metrics
|
|
Effective duration
(1)
|
|
0.08 - 0.75 years
|
|
0.23 years
|
|
||||
|
|
|
5
|
|
|
Single external source
|
|
External pricing source
|
|
$0.6 - $0.6
|
|
$
|
0.6
|
|
|||
|
|
|
79
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total Freddie Mac
|
16,137
|
|
|
345
|
|
|
|
|
|
|
|
|
|
||||
Fannie Mae
|
|
|
149
|
|
|
Discounted cash flows
|
|
OAS
|
|
(1,574) - 596 bps
|
|
(303) bps
|
|
||||
|
|
|
22
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total Fannie Mae
|
5,855
|
|
|
171
|
|
|
|
|
|
|
|
|
|
||||
Ginnie Mae
|
12
|
|
|
—
|
|
|
|
|
|
|
|
|
|
||||
Other
|
|
|
3
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total other
|
119
|
|
|
3
|
|
|
|
|
|
|
|
|
|
||||
Total trading mortgage-related securities
|
22,123
|
|
|
519
|
|
|
|
|
|
|
|
|
|
||||
Total investments in securities
|
$
|
112,954
|
|
|
$
|
34,400
|
|
|
|
|
|
|
|
|
|
||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Guarantee asset, at fair value
|
|
|
$
|
1,446
|
|
|
Discounted cash flows
|
|
OAS
|
|
17 - 198 bps
|
|
53 bps
|
|
|||
|
|
|
206
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$10.7 - $25.0
|
|
$
|
16.7
|
|
|||
Total guarantee asset, at fair value
|
$
|
1,652
|
|
|
1,652
|
|
|
|
|
|
|
|
|
|
|||
All other, at fair value
|
|
|
7
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total all other, at fair value
|
7
|
|
|
7
|
|
|
|
|
|
|
|
|
|
||||
Total other assets
|
1,659
|
|
|
1,659
|
|
|
|
|
|
|
|
|
|
||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net derivatives
|
|
|
22
|
|
|
Other
|
|
|
|
|
|
|
|||||
Total net derivatives
|
419
|
|
|
22
|
|
|
|
|
|
|
|
|
|
|
130
|
Freddie Mac Form 10-Q
|
|
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
|
|
|
|
|
|
|
|
|
|
(1)
|
Effective duration is used as a proxy to represent the aggregate impact of key rate durations.
|
|
131
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
||||||||||||||
|
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
|
$
|
6,314
|
|
|
$
|
6,117
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Internal model
|
|
Historical sales
proceeds |
|
$3,000 - $738,864
|
|
$162,136
|
||||
|
|
|
|
|
Internal model
|
|
Housing sales index
|
|
41 - 380 bps
|
|
84 bps
|
||||
|
|
|
|
|
Third-party appraisal
|
|
Property value
|
|
$6 million - $30 million
|
|
$23 million
|
||||
|
|
|
|
|
Income capitalization
(1)
|
|
Capitalization rates
|
|
6% - 11%
|
|
7%
|
||||
|
|
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$40.4 - $95.4
|
|
$72.9
|
||||
REO, net
|
$
|
981
|
|
|
$
|
981
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Internal model
|
|
Historical sales
proceeds
|
|
$3,000 - $626,005
|
|
$150,854
|
||||
|
|
|
|
|
Internal model
|
|
Housing sales index
|
|
41 - 380 bps
|
|
83 bps
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
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
|
$
|
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
|
(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.
|
|
132
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
||||||||||||||||||||||
|
|
|
Fair Value
|
||||||||||||||||||||
|
GAAP Carrying Amount
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Netting Adjustments
|
|
Total
|
||||||||||||
|
(in millions)
|
||||||||||||||||||||||
Financial Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Cash and cash equivalents
|
$
|
5,461
|
|
|
$
|
5,461
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,461
|
|
Restricted cash and cash equivalents
|
18,792
|
|
|
18,792
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
18,792
|
|
||||||
Federal funds sold and securities purchased under agreements to resell
|
37,041
|
|
|
—
|
|
|
37,041
|
|
|
—
|
|
|
—
|
|
|
37,041
|
|
||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Available-for-sale, at fair value
|
90,831
|
|
|
—
|
|
|
56,950
|
|
|
33,881
|
|
|
—
|
|
|
90,831
|
|
||||||
Trading, at fair value
|
32,085
|
|
|
9,962
|
|
|
21,604
|
|
|
519
|
|
|
—
|
|
|
32,085
|
|
||||||
Total investments in securities
|
122,916
|
|
|
9,962
|
|
|
78,554
|
|
|
34,400
|
|
|
—
|
|
|
122,916
|
|
||||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Mortgage loans held by consolidated trusts
|
1,586,188
|
|
|
—
|
|
|
1,419,714
|
|
|
181,302
|
|
|
—
|
|
|
1,601,016
|
|
||||||
Unsecuritized mortgage loans
|
140,775
|
|
|
—
|
|
|
30,952
|
|
|
111,523
|
|
|
—
|
|
|
142,475
|
|
||||||
Total mortgage loans
|
1,726,963
|
|
|
—
|
|
|
1,450,666
|
|
|
292,825
|
|
|
—
|
|
|
1,743,491
|
|
||||||
Derivative assets, net
|
492
|
|
|
—
|
|
|
8,814
|
|
|
12
|
|
|
(8,334
|
)
|
|
492
|
|
||||||
Guarantee asset
|
1,652
|
|
|
—
|
|
|
—
|
|
|
1,861
|
|
|
—
|
|
|
1,861
|
|
||||||
Advances to lenders
|
990
|
|
|
—
|
|
|
990
|
|
|
—
|
|
|
—
|
|
|
990
|
|
||||||
Total financial assets
|
$
|
1,914,307
|
|
|
$
|
34,215
|
|
|
$
|
1,576,065
|
|
|
$
|
329,098
|
|
|
$
|
(8,334
|
)
|
|
$
|
1,931,044
|
|
Financial Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Debt, net:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Debt securities of consolidated trusts held by third parties
|
$
|
1,515,132
|
|
|
$
|
—
|
|
|
$
|
1,587,920
|
|
|
$
|
897
|
|
|
$
|
—
|
|
|
$
|
1,588,817
|
|
Other debt
|
413,937
|
|
|
—
|
|
|
409,560
|
|
|
11,328
|
|
|
—
|
|
|
420,888
|
|
||||||
Total debt, net
|
1,929,069
|
|
|
—
|
|
|
1,997,480
|
|
|
12,225
|
|
|
—
|
|
|
2,009,705
|
|
||||||
Derivative liabilities, net
|
911
|
|
|
4
|
|
|
9,938
|
|
|
34
|
|
|
(9,065
|
)
|
|
911
|
|
||||||
Guarantee obligation
|
1,608
|
|
|
—
|
|
|
—
|
|
|
3,034
|
|
|
—
|
|
|
3,034
|
|
||||||
Total financial liabilities
|
$
|
1,931,588
|
|
|
$
|
4
|
|
|
$
|
2,007,418
|
|
|
$
|
15,293
|
|
|
$
|
(9,065
|
)
|
|
$
|
2,013,650
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
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
|
|
|
133
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||||||
|
Multifamily
Held-For-Sale
Mortgage Loans
|
|
Other Debt -
Long Term
|
|
Multifamily
Held-For-Sale
Mortgage Loans
|
|
Other Debt -
Long Term
|
||||||||
|
(in millions)
|
||||||||||||||
Fair value
|
$
|
17,600
|
|
|
$
|
7,733
|
|
|
$
|
12,130
|
|
|
$
|
5,820
|
|
Unpaid principal balance
|
17,509
|
|
|
7,657
|
|
|
11,872
|
|
|
5,896
|
|
||||
Difference
|
$
|
91
|
|
|
$
|
76
|
|
|
$
|
258
|
|
|
$
|
(76
|
)
|
|
134
|
Freddie Mac Form 10-Q
|
|
135
|
Freddie Mac Form 10-Q
|
|
136
|
Freddie Mac Form 10-Q
|
|
June 30, 2015
|
|
December 31, 2014
|
||||
|
(in millions)
|
||||||
GAAP net worth
|
$
|
5,713
|
|
|
$
|
2,651
|
|
Core capital (deficit)
(1)(2)
|
$
|
(68,319
|
)
|
|
$
|
(71,415
|
)
|
Less: Minimum capital requirement
(1)
|
19,474
|
|
|
20,090
|
|
||
Minimum capital surplus (deficit)
(1)
|
$
|
(87,793
|
)
|
|
$
|
(91,505
|
)
|
(1)
|
Core capital and minimum capital figures for
June 30, 2015
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.
|
|
137
|
Freddie Mac Form 10-Q
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
|
(in millions)
|
||||||||||||||
Other income (loss):
|
|
|
|
|
|
|
|
||||||||
Non-agency mortgage-related securities settlements
(1)
|
$
|
—
|
|
|
$
|
364
|
|
|
$
|
—
|
|
|
$
|
4,897
|
|
Gains (losses) on mortgage loans
|
(924
|
)
|
|
(39
|
)
|
|
(1,124
|
)
|
|
215
|
|
||||
Other
|
356
|
|
|
167
|
|
|
567
|
|
|
421
|
|
||||
Total other income (loss)
|
$
|
(568
|
)
|
|
$
|
492
|
|
|
$
|
(557
|
)
|
|
$
|
5,533
|
|
|
|
|
|
|
|
|
|
||||||||
Other expense:
|
|
|
|
|
|
|
|
||||||||
Property tax and insurance expense on held-for-sale loans
|
$
|
(401
|
)
|
|
$
|
(62
|
)
|
|
$
|
(761
|
)
|
|
$
|
(62
|
)
|
Other
|
(100
|
)
|
|
(28
|
)
|
|
(203
|
)
|
|
(94
|
)
|
||||
Total other expense
|
$
|
(501
|
)
|
|
$
|
(90
|
)
|
|
$
|
(964
|
)
|
|
$
|
(156
|
)
|
(1)
|
Settlement agreements primarily related to lawsuits regarding our investments in certain non-agency mortgage-related securities is a significant component of other income during the three and
six months ended June 30, 2014
. For more information, see “NOTE 15: CONCENTRATION OF CREDIT AND OTHER RISKS — Non-Agency Mortgage-Related Security Issuers” in our 2014 Annual Report.
|
|
June 30, 2015
|
|
December 31, 2014
|
||||
|
(in millions)
|
||||||
Other assets:
|
|
|
|
||||
Accounts and other receivables
(1)
|
$
|
4,544
|
|
|
$
|
3,899
|
|
Current income tax receivable
|
—
|
|
|
1,048
|
|
||
Guarantee asset
|
1,652
|
|
|
1,626
|
|
||
All other
|
2,099
|
|
|
1,121
|
|
||
Total other assets
|
$
|
8,295
|
|
|
$
|
7,694
|
|
Other liabilities:
|
|
|
|
||||
Servicer liabilities
|
$
|
1,540
|
|
|
$
|
1,847
|
|
Guarantee obligation
|
1,608
|
|
|
1,623
|
|
||
Accounts payable and accrued expenses
|
1,345
|
|
|
803
|
|
||
All other
|
1,037
|
|
|
785
|
|
||
Total other liabilities
|
$
|
5,530
|
|
|
$
|
5,058
|
|
(1)
|
Primarily consists of servicer receivables and other non-interest receivables.
|
|
138
|
Freddie Mac Form 10-Q
|
|
139
|
Freddie Mac Form 10-Q
|
|
140
|
Freddie Mac Form 10-Q
|
Federal Home Loan Mortgage Corporation
|
||
|
|
|
By:
|
|
/s/ Donald H. Layton
|
|
|
Donald H. Layton
|
|
|
Chief Executive Officer
|
By:
|
|
/s/ James G. Mackey
|
|
|
James G. Mackey
|
|
|
Executive Vice President — Chief Financial Officer
|
|
|
(Principal Financial Officer)
|
|
141
|
Freddie Mac Form 10-Q
|
|
142
|
Freddie Mac Form 10-Q
|
|
143
|
Freddie Mac Form 10-Q
|
|
144
|
Freddie Mac Form 10-Q
|
|
145
|
Freddie Mac Form 10-Q
|
|
146
|
Freddie Mac Form 10-Q
|
|
147
|
Freddie Mac Form 10-Q
|
|
148
|
Freddie Mac Form 10-Q
|
|
149
|
Freddie Mac Form 10-Q
|
Exhibit No.
|
|
Description*
|
3.1
|
|
Bylaws of the Federal Home Loan Mortgage Corporation, as amended and restated July 13, 2015 (incorporated by reference to Exhibit 3.1 to the Registrant’s Current Report on Form 8-K, as filed on July 15, 2015)
|
|
|
|
10.1
|
|
PC Master Trust Agreement, dated April 23, 2015 (incorporated by reference to Exhibit 10.2 to the Registrant's Quarterly Report on Form 10-Q for the three months ended March 31, 2015, as filed on May 5, 2015)
|
|
|
|
10.2
|
|
2015 Executive Management Compensation Program
|
|
|
|
10.3
|
|
First Amendment to the Federal Home Loan Mortgage Corporation Supplemental Executive Retirement Plan II (effective January 1, 2014)
|
|
|
|
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
|
|
|
|
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.
|
|
|
|
E-1
|
Freddie Mac Form 10-Q
|
Covered Positions
|
A “Covered Officer” is any Freddie Mac
1
officer at the Senior Vice President (“SVP”) level and above.
|
Covered Position Participation Requirement
|
Participation in the 2015 EMCP is conditioned on the Covered Officer’s agreement to the terms and conditions set forth herein and in the EMCP Recapture and Forfeiture Agreement (“Recapture Agreement”).
A Covered Officer who does not agree to the terms of both the 2015 EMCP and the Recapture Agreement will receive only Base Salary.
The terms and conditions set forth in the Recapture Agreement are incorporated in and made a part of this 2015 EMCP.
|
Target Total Direct Compensation
2
|
A Covered Officer’s target total direct compensation (“Target TDC”) is the sum of Base Salary and Deferred Salary, each of which is paid in cash.
|
Base Salary
|
Base Salary is earned and paid on the company’s standard payroll cycle and cannot exceed $500,000 without Federal Housing Finance Agency (“FHFA”) approval.
|
Deferred Salary
|
The portion of Target TDC not paid in Base Salary is Deferred Salary, which is earned on the company’s standard payroll cycle. The amount earned in each quarter, plus interest earned on that amount as described below under “Interest on Deferred Salary,” will be paid in cash on the last regular pay date within the corresponding quarter of the following calendar year (the “Approved Payment Schedule”). Deferred Salary consists of the following two elements:
At-Risk Deferred Salary
–
At-Risk Deferred Salary shall be equal to 30% of the Covered Officer’s Target TDC. The amount of At-Risk Deferred Salary earned in a calendar year is subject to reduction based on corporate and individual performance as follows:
Ø
One-half of At-Risk Deferred Salary (or 15% of Target TDC) is subject to reduction based on an assessment by FHFA of performance against Conservatorship Scorecard objectives relevant for the calendar year in which the At-Risk Deferred Salary is earned.
3
The reduction can range from 0% (no reduction) to 100% (the maximum reduction).
Ø
One-half of At-Risk Deferred Salary (or 15% of Target TDC) is subject to reduction based on the Covered Officer’s performance against individual objectives and an assessment of the company’s performance against Corporate Scorecard objectives, each relevant to the calendar year in which the At-Risk Deferred Salary is earned. The total reduction can range from 0% (no reduction) to 100% (the maximum reduction).
For Covered Officer’s other than the Chief Executive Officer (“CEO”), performance during the calendar year will be assessed by the CEO, in his/her sole discretion, pursuant to the performance assessment and reduction process in effect for such year.
|
Deferred Salary (continued)
|
In the case of the CEO, the Committee will evaluate the CEO’s performance and, after considering input from the other independent members of the Board of Directors, determine the reduction, if any.
At-Risk Deferred Salary payments for Covered Officers are subject to review and approval by the Committee and FHFA, as appropriate.
Fixed Deferred Salary
–
Fixed Deferred Salary shall be equal to the Covered Officer’s Target TDC less Base Salary and less At-Risk Deferred Salary and is not subject to reduction based on either corporate or individual performance.
Payment of both At-Risk and Fixed Deferred Salary is also subject, if applicable, to the “Treatment Upon Termination” provisions set forth below.
|
Interest on Deferred Salary
|
Interest will be credited on the amount of a Covered Officer’s At-Risk and Fixed Deferred Salary earned during each calendar quarter. The interest rate used is one-half the one-year Treasury Bill rate in effect on the last business day immediately preceding the year in which Deferred Salary is earned (e.g. – the rate in effect December 31, 2014 for 2015). The amount on which interest is accrued will take into account any reduction for corporate and/or individual performance applicable to a Covered Officer’s At-Risk Deferred Salary and any reduction applicable to a Covered Officer’s Fixed Deferred Salary resulting from certain terminations of employment as described in “Treatment Upon Termination: Fixed Deferred Salary.” Interest is earned from the first day of the calendar quarter following the quarter during which the Deferred Salary is earned through the payment date under the Approved Payment Schedule or, in the event of death, the actual payment date.
The amount of interest payable with respect to a Covered Officer’s Deferred Salary will be determined as of the payment date and will be paid at the same time as the Deferred Salary to which it relates. If Deferred Salary is forfeited or recaptured for any of the reasons described in the Recapture Agreement, the related interest will also be forfeited or recaptured.
|
Impact on Retirement, Executive, and Welfare Plans
|
The treatment of Base Salary and Deferred Salary as compensation for purposes of Freddie Mac’s retirement and welfare benefit plans is governed by the actual terms of those plans. The table below summarizes whether the Base Salary and Deferred Salary a Covered Officer receives while an active
employee are treated as compensation for purposes of the following Freddie Mac retirement and welfare benefit plans. Freddie Mac retains the right to amend, revise or discontinue any of the retirement and welfare benefit plans and the terms of each plan will prevail in the event that there is any conflict between those terms and the table below.
|
Impact on Retirement, Executive, and Welfare Plans (continued)
|
|
|
|
|
|
|
Freddie Mac’s Retirement
and Welfare Benefit Plans
|
Base Salary Considered Compensation?
|
Deferred Salary Considered Compensation?
|
|
|
|
Tax-Qualified Thrift/401(k)
|
Yes
|
Yes
|
|
|
|
Non-Qualified Thrift/401(k) Supplemental Executive Retirement Plan (SERP)
4
|
Yes
|
Yes
|
|
|
|
Group Term Life Insurance
|
Yes
|
No
|
|
|
|
Group Universal Life Insurance
|
Yes
|
No
|
|
|
|
Long-Term Disability Plan
|
Yes
|
No
|
|
|
|
Accidental Death and Personal Loss Insurance
|
Yes
|
No
|
|
|
|
Business Travel Accident Insurance
|
Yes
|
No
|
|
|
|
Worker’s Compensation
|
Yes
|
No
|
|
|
|
Purchase/Payout of Vacation
|
Yes
|
No
|
|
|
|
Interest earned on Deferred Salary, as well as any Base Salary or Deferred Salary a Covered Officer receives after termination of employment are
NOT
treated as compensation for purposes of any Freddie Mac retirement or welfare benefit plan.
|
|
|||
Treatment Upon Termination:
Base Salary
|
|
Base Salary will cease upon termination of employment, regardless of the reason for such termination.
|
|
Treatment Upon Termination:
At-Risk Deferred Salary
|
The timing and payment of any unpaid portion of At-Risk Deferred Salary is based on the reason for termination of employment, as follows:
•
Forfeiture Event
– All earned but unpaid At-Risk Deferred Salary and related interest is subject to forfeiture if a Covered Officer is terminated due to the occurrence of an event or conduct described in the Recapture Agreement;
•
Death
– All earned but unpaid At-Risk Deferred Salary and related interest is paid as soon as administratively possible, but not later than 90 calendar days after the date of death, subject to the terms and conditions of the Recapture Agreement; and
•
Any Other Reason
– All earned but unpaid At-Risk Deferred Salary and related interest is paid in accordance with the Approved Payment Schedule, subject to the terms and conditions of the Recapture Agreement.
Payment of earned but unpaid At-Risk Deferred Salary and related interest following a termination of employment shall be subject to the performance assessment and reduction process. The performance assessment and reduction process for At-Risk Deferred Salary is waived, however, in cases of death or Long-Term Disability (as defined in the Long-Term Disability Plan in effect on the date of termination) if the process is not complete as of the termination date..
|
Treatment Upon Termination:
Fixed Deferred Salary
|
The timing and payment of any unpaid portion of Fixed Deferred Salary is based on the reason for termination of employment, as follows:
•
Forfeiture Event
– All earned but unpaid Fixed Deferred Salary and related interest is subject to forfeiture if a Covered Officer is terminated due to the occurrence of an event or conduct described in the Recapture Agreement;
•
Death
–
All earned but unpaid Fixed Deferred Salary and related interest is paid in full as soon as administratively possible, but not later than 90 calendar days after the date of death, subject to the terms and conditions of the Recapture Agreement; and
•
Any Other Reason
5
–
All earned but unpaid Fixed Deferred Salary and related interest is paid in accordance with the Approved Payment Schedule, subject to the terms and conditions of the Recapture Agreement.
A Covered Officer’s earned but unpaid Fixed Deferred Salary will be reduced by 2% for each full or partial month by which the termination precedes January 31 of the second calendar year following the calendar year in which the Fixed Deferred Salary is earned.
This reduction will not be applied in cases of death, Long-Term Disability, a severance-eligible termination, as defined in the severance plan applicable to Covered Officers who are not executive officers, or retirement. A Covered Officer is considered to have retired when s/he voluntarily terminates 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 continuous service.
|
Reservation of Rights and Applicable Law
|
Each Covered Officer’s employment with Freddie Mac is “at-will,” meaning that either the Covered Officer or Freddie Mac may terminate such employment at any time with or without cause or notice. Nothing in this Program Document or any other document referred to or incorporated by reference herein shall be held or construed to change the at-will nature of any Covered Officer’s employment with Freddie Mac.
Nothing in this Program Document is intended or shall be construed to abrogate FHFA’s authority to either: (i) modify or terminate any compensation plan or program (including the 2015 EMCP); or (ii) disapprove the actual payment of any form of compensation to be paid pursuant to the 2015 EMCP.
FHFA retains the right to modify any of the terms and conditions of your employment, including the right to modify or rescind the terms and conditions of the 2015 EMCP as well as the actual payment of compensation to you pursuant thereto, without giving rise to liability on the part of Freddie Mac.
The 2015 EMCP is subject to and shall be construed in accordance with: (i) any applicable law and any applicable regulation, guidance or interpretation of FHFA and/or the United States Department of the Treasury; and (ii) the substantive laws of the Commonwealth of Virginia, excluding provisions of the Virginia law concerning choice-of-law that would result in the law of any state other than Virginia being applied.
Payment of Deferred Salary under the 2015 EMCP is intended to comply with the requirements of Section 409A of the Internal Revenue Code of 1986 (“Section 409A”), as amended, and, specifically, with the separation pay exemption and short-term deferral exemption of Section 409A, and shall in all respects be construed, interpreted, and administered in accordance with Section 409A. Notwithstanding anything in the 2015 EMCP to the contrary, payments may only be made pursuant to the 2015 EMCP upon an event and in a manner permitted by Section 409A or an applicable exemption. All payments to be made upon a termination of employment under this Program Document may only be made upon a “separation from service” under section 409A. If a Covered Officer is a “specified employee” (within the meaning of Section 409A(a)(2)(B)(i)) at the time of a separation from service, payments scheduled to be made during the six months following the separation from service shall, to the extent required by Section 409A, be deferred to and payable on the first day of the seventh month following the separation from service.
|
By:
/s/ Daniel Scheinkman
|
Daniel Scheinkman
|
Vice President – Compensation and Benefits
|
ATTEST:
|
/s/ Alicia S. Myara
|
Alicia S. Myara, Assistant Secretary
|
|
Six Months Ended June 30,
|
|
Year Ended December 31,
|
||||||||||||||||||||||||
|
2015
|
|
2014
|
|
2014
|
|
2013
|
|
2012
|
|
2011
|
|
2010
|
||||||||||||||
|
(dollars in millions)
|
||||||||||||||||||||||||||
Net income (loss) before income tax (expense) benefit and cumulative effect of changes in accounting principles
|
$
|
6,866
|
|
|
$
|
7,800
|
|
|
$
|
11,002
|
|
|
$
|
25,363
|
|
|
$
|
9,445
|
|
|
$
|
(5,666
|
)
|
|
$
|
(14,882
|
)
|
Add:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Total interest expense
|
25,716
|
|
|
27,932
|
|
|
54,916
|
|
|
55,779
|
|
|
66,502
|
|
|
79,988
|
|
|
92,131
|
|
|||||||
Interest factor in rental expenses
|
1
|
|
|
2
|
|
|
5
|
|
|
4
|
|
|
4
|
|
|
4
|
|
|
5
|
|
|||||||
Earnings (loss), as adjusted
|
$
|
32,583
|
|
|
$
|
35,734
|
|
|
$
|
65,923
|
|
|
$
|
81,146
|
|
|
$
|
75,951
|
|
|
$
|
74,326
|
|
|
$
|
77,254
|
|
Fixed charges:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Total interest expense
|
$
|
25,716
|
|
|
$
|
27,932
|
|
|
$
|
54,916
|
|
|
$
|
55,779
|
|
|
$
|
66,502
|
|
|
$
|
79,988
|
|
|
$
|
92,131
|
|
Interest factor in rental expenses
|
1
|
|
|
2
|
|
|
5
|
|
|
4
|
|
|
4
|
|
|
4
|
|
|
5
|
|
|||||||
Total fixed charges
|
$
|
25,717
|
|
|
$
|
27,934
|
|
|
$
|
54,921
|
|
|
$
|
55,783
|
|
|
$
|
66,506
|
|
|
$
|
79,992
|
|
|
$
|
92,136
|
|
Senior preferred stock and preferred stock dividends
(1)
|
1,597
|
|
|
14,934
|
|
|
19,610
|
|
|
47,591
|
|
|
7,229
|
|
|
6,498
|
|
|
5,749
|
|
|||||||
Total fixed charges including preferred stock dividends
|
$
|
27,314
|
|
|
$
|
42,868
|
|
|
$
|
74,531
|
|
|
$
|
103,374
|
|
|
$
|
73,735
|
|
|
$
|
86,490
|
|
|
$
|
97,885
|
|
Ratio of earnings to fixed charges
(2)
|
1.27
|
|
|
1.28
|
|
|
1.20
|
|
|
1.45
|
|
|
1.14
|
|
|
—
|
|
|
—
|
|
|||||||
Ratio of earnings to combined fixed charges and preferred stock dividends
(3)
|
1.19
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
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 $7.1 billion, $8.6 billion, $22.2 billion, $12.2 billion, and $20.6 billion for the six months ended June 30, 2014 and for the years ended December 31, 2014, 2013, 2011, and 2010, respectively.
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q for the quarter ended June 30, 2015 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 Quarterly Report on Form 10-Q for the quarter ended June 30, 2015 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
|