ý
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QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.
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¨
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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
McLean, Virginia
22102-3110
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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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(Address of principal executive offices, including zip code)
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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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Large accelerated filer
ý
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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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Emerging growth company
¨
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Table of Contents
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Page
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
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INTRODUCTION
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KEY ECONOMIC INDICATORS
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CONSOLIDATED RESULTS OF OPERATIONS
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CONSOLIDATED BALANCE SHEETS ANALYSIS
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OUR BUSINESS SEGMENTS
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RISK MANAGEMENT
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LIQUIDITY AND CAPITAL RESOURCES
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CONSERVATORSHIP AND RELATED MATTERS
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REGULATION AND SUPERVISION
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OFF-BALANCE SHEET ARRANGEMENTS
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FORWARD-LOOKING STATEMENTS
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FINANCIAL STATEMENTS
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OTHER INFORMATION
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CONTROLS AND PROCEDURES
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SIGNATURES
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FORM 10-Q INDEX
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EXHIBIT INDEX
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Freddie Mac Form 10-Q
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i
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Management's Discussion and Analysis
|
|
Introduction
|
•
|
Increase in guarantee fee income driven by an increase in the size of the single-family book combined with higher average contractual guarantee fee rates, as well as a large percentage increase in the size of the multifamily guarantee book;
|
•
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Increase in the rate of amortization of upfront-paid single-family guarantee fees due to an increase in
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Freddie Mac Form 10-Q
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1
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Management's Discussion and Analysis
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Introduction
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•
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Interest-rate-related fair value gain near zero in 1Q 2017 resulting from a slight increase in interest rates, compared to a ($1.4) billion estimated fair value loss in 1Q 2016 resulting from a large decline in long-term interest rates; and
|
•
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Spread-related gain of an estimated $0.1 billion in 1Q 2017 resulting from market spreads tightening, compared to an estimated ($0.6) billion loss in 1Q 2016 resulting from market spreads widening.
|
•
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Interest-Rate Volatility — 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 as measured by our models. However, the way we account for our financial assets and liabilities (i.e., some are measured at amortized cost, while others are measured at fair value), including derivatives, creates volatility in our GAAP earnings when interest rates fluctuate. Based upon the composition of our financial assets and liabilities, including derivatives, at
March 31, 2017
, we generally recognize fair value losses in earnings when long-term interest rates decline. This volatility generally is not indicative of the underlying economics of our business. For information about the sensitivity of our financial results to interest-rate volatility, see "Risk Management - Market Risk."
|
•
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Spread Volatility — The volatility of market spreads (i.e., credit spreads, liquidity spreads, risk premiums, etc.), or OAS, is the risk associated with changes in the excess of market interest rates over benchmark rates. We hold assets and liabilities that expose us to spread volatility, which may contribute to significant GAAP earnings volatility. For financial assets measured at fair value, we generally recognize fair value losses when market spreads widen. Conversely, for financial liabilities measured at fair value, we generally recognize fair value gains when market spreads widen.
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Freddie Mac Form 10-Q
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2
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Management's Discussion and Analysis
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Introduction
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Freddie Mac Form 10-Q
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3
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Management's Discussion and Analysis
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Key Economic Indicators | Single-Family Home Prices
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•
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Home prices continued to appreciate, increasing
1.9%
during 1Q 2017, compared to an increase of 1.5% during 1Q 2016, based on our own non-seasonally adjusted price index of single-family homes funded by loans owned or guaranteed by us or Fannie Mae.
|
•
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National home prices at
March 31, 2017
exceeded their pre-financial crisis peak level of 167 reached in June 2006, based on our index.
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Freddie Mac Form 10-Q
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4
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Management's Discussion and Analysis
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Key Economic Indicators | Interest Rates
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•
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Quarterly ending long-term interest rates, as indicated by the 10-year LIBOR and 10-year Treasury rates, and mortgage interest rates, as indicated by the 30-year PMMS rate, were higher at March 31, 2017 compared to March 31, 2016.
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•
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The Federal Reserve raised short-term interest rates during 1Q 2017.
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•
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Increases in the PMMS rate typically result in decreases in refinance activity and originations.
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•
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The rise in interest rates affects the fair value of certain assets and liabilities, including derivatives, measured at fair value.
|
•
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For additional information on the effect of LIBOR rates on our financial results, see "Our Business Segments - Investments - Market Conditions."
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Freddie Mac Form 10-Q
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5
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Management's Discussion and Analysis
|
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Key Economic Indicators | Unemployment Rate
|
•
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Average monthly net new jobs decreased during 1Q 2017 compared to 1Q 2016.
|
•
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The unemployment rate declined slightly in 1Q 2017.
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•
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Changes in the unemployment rate can affect several market factors, including the demand for both single-family and multifamily housing and the level of loan delinquencies.
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•
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Decreases in the unemployment rate typically result in lower levels of delinquencies, which often result in a decrease in expected credit losses on our total mortgage portfolio.
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Freddie Mac Form 10-Q
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|
6
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Management's Discussion and Analysis
|
|
Consolidated Results of Operations
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|
1Q 2017
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|
1Q 2016
|
|
Change
|
|||||||||
(Dollars in millions)
|
|
|
|
|
|
$
|
|
%
|
|||||||
Net interest income
|
|
|
$3,795
|
|
|
|
$3,405
|
|
|
|
$390
|
|
|
11
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%
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Benefit (provision) for credit losses
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|
116
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|
|
467
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|
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(351
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)
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(75
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)%
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|||
Net interest income after benefit (provision) for credit losses
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|
3,911
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|
3,872
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|
39
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|
|
1
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%
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|||
Non-interest income (loss):
|
|
|
|
|
|
|
|
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||||||
Gains (losses) on extinguishment of debt
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218
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(55
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)
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273
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|
|
496
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%
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|||
Derivative gains (losses)
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(302
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)
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(4,561
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)
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4,259
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|
|
93
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%
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|||
Net impairment of available-for-sale securities recognized in earnings
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|
(13
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)
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|
(57
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)
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44
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|
|
77
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%
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|||
Other gains on investment securities recognized in earnings
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56
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|
|
303
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|
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(247
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)
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(82
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)%
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|||
Other income (loss)
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|
415
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|
|
947
|
|
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(532
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)
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|
(56
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)%
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|||
Total non-interest income (loss)
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|
374
|
|
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(3,423
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)
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3,797
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|
|
111
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%
|
|||
Non-interest expense:
|
|
|
|
|
|
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||||||
Administrative expense
|
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(511
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)
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(448
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)
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(63
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)
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(14
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)%
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|||
REO operations expense
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(56
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)
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(84
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)
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28
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|
|
33
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%
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|||
Temporary Payroll Tax Cut Continuation Act
of 2011 expense
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(321
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)
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(272
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)
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(49
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)
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(18
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)%
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|||
Other expense
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(76
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)
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(153
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)
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77
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|
|
50
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%
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|||
Total non-interest expense
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(964
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)
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(957
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)
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(7
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)
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(1
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)%
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|||
Income (loss) before income tax (expense) benefit
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3,321
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(508
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)
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3,829
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|
|
754
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%
|
|||
Income tax (expense) benefit
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(1,110
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)
|
|
154
|
|
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(1,264
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)
|
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(821
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)%
|
|||
Net income (loss)
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2,211
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(354
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)
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|
2,565
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|
|
725
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%
|
|||
Total other comprehensive income (loss), net of taxes and reclassification adjustments
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|
23
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|
|
154
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|
|
(131
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)
|
|
(85
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)%
|
|||
Comprehensive income (loss)
|
|
|
$2,234
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|
|
|
($200
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)
|
|
|
$2,434
|
|
|
1,217
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%
|
Freddie Mac Form 10-Q
|
|
7
|
Management's Discussion and Analysis
|
|
Consolidated Results of Operations | Net Interest Income
|
|
1Q 2017
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|
1Q 2016
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|||||||||||||||||||
(Dollars in millions)
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Average
Balance
|
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Interest
Income
(Expense)
(1)
|
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Average
Rate
|
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Average
Balance
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Interest
Income
(Expense)
(1)
|
|
Average
Rate
|
|||||||||||
Interest-earning assets:
|
|
|
|
|
|
|
|
|
|
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|
|||||||||||
Cash and cash equivalents
|
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$12,053
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|
|
|
$9
|
|
|
0.29
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%
|
|
|
$11,726
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|
|
|
$7
|
|
|
0.25
|
%
|
|
Securities purchased under agreements to resell
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54,406
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|
|
88
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|
|
0.66
|
|
|
57,667
|
|
|
48
|
|
|
0.33
|
|
|||||
Advances to lenders
|
617
|
|
|
4
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|
|
2.40
|
|
|
254
|
|
|
2
|
|
|
3.43
|
|
|||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Mortgage-related securities
|
175,955
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|
|
1,663
|
|
|
3.78
|
|
|
201,604
|
|
|
1,916
|
|
|
3.80
|
|
|||||
Extinguishment of PCs held by Freddie Mac
|
(88,539
|
)
|
|
(820
|
)
|
|
(3.71
|
)
|
|
(105,097
|
)
|
|
(960
|
)
|
|
(3.65
|
)
|
|||||
Total mortgage-related securities, net
|
87,416
|
|
|
843
|
|
|
3.85
|
|
|
96,507
|
|
|
956
|
|
|
3.96
|
|
|||||
Non-mortgage-related securities
|
21,061
|
|
|
71
|
|
|
1.36
|
|
|
14,261
|
|
|
13
|
|
|
0.36
|
|
|||||
Loans held by consolidated trusts
(1)
|
1,708,039
|
|
|
14,599
|
|
|
3.42
|
|
|
1,630,646
|
|
|
14,261
|
|
|
3.50
|
|
|||||
Loans held by Freddie Mac
(1)
|
124,217
|
|
|
1,366
|
|
|
4.40
|
|
|
145,531
|
|
|
1,557
|
|
|
4.28
|
|
|||||
Total interest-earning assets
|
|
$2,007,809
|
|
|
|
$16,980
|
|
|
3.38
|
|
|
|
$1,956,592
|
|
|
|
$16,844
|
|
|
3.45
|
|
|
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Debt securities of consolidated trusts including PCs held by Freddie Mac
|
|
$1,730,728
|
|
|
|
($12,541
|
)
|
|
(2.90
|
)
|
|
|
$1,653,105
|
|
|
|
($12,751
|
)
|
|
(3.09
|
)
|
|
Extinguishment of PCs held by Freddie Mac
|
(88,539
|
)
|
|
820
|
|
|
3.71
|
|
|
(105,097
|
)
|
|
960
|
|
|
3.65
|
|
|||||
Total debt securities of consolidated trusts held by third parties
|
1,642,189
|
|
|
(11,721
|
)
|
|
(2.86
|
)
|
|
1,548,008
|
|
|
(11,791
|
)
|
|
(3.05
|
)
|
|||||
Other debt:
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Short-term debt
|
73,467
|
|
|
(96
|
)
|
|
(0.52
|
)
|
|
100,871
|
|
|
(93
|
)
|
|
(0.37
|
)
|
|||||
Long-term debt
|
279,519
|
|
|
(1,325
|
)
|
|
(1.90
|
)
|
|
300,221
|
|
|
(1,504
|
)
|
|
(2.00
|
)
|
|||||
Total other debt
|
352,986
|
|
|
(1,421
|
)
|
|
(1.61
|
)
|
|
401,092
|
|
|
(1,597
|
)
|
|
(1.59
|
)
|
|||||
Total interest-bearing liabilities
|
1,995,175
|
|
|
(13,142
|
)
|
|
(2.63
|
)
|
|
1,949,100
|
|
|
(13,388
|
)
|
|
(2.75
|
)
|
|||||
Expense related to derivatives
|
—
|
|
|
(43
|
)
|
|
(0.01
|
)
|
|
—
|
|
|
(51
|
)
|
|
(0.01
|
)
|
|||||
Impact of net non-interest-bearing funding
|
12,634
|
|
|
—
|
|
|
0.02
|
|
|
7,492
|
|
|
—
|
|
|
0.01
|
|
|||||
Total funding of interest-earning assets
|
|
$2,007,809
|
|
|
|
($13,185
|
)
|
|
(2.62
|
)
|
|
|
$1,956,592
|
|
|
|
($13,439
|
)
|
|
(2.75
|
)
|
|
Net interest income/yield
|
|
|
|
$3,795
|
|
|
0.76
|
|
|
|
|
|
$3,405
|
|
|
0.70
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
(1) Loan fees, primarily consisting of amortization of delivery fees, included in interest income were $506 million and $485 million for loans held by consolidated trusts and $62 million and $81 million for loans held by Freddie Mac during 1Q 2017 and 1Q 2016, respectively.
|
||||||||||||||||||||||
Freddie Mac Form 10-Q
|
|
8
|
Management's Discussion and Analysis
|
|
Consolidated Results of Operations | Net Interest Income
|
|
1Q 2017
|
|
1Q 2016
|
|
Change
|
|||||||||
(Dollars in millions)
|
|
|
|
|
$
|
|
%
|
|||||||
Contractual net interest income:
|
|
|
|
|
|
|
|
|||||||
Guarantee fee income
|
|
$843
|
|
|
|
$710
|
|
|
|
$133
|
|
|
19
|
%
|
Guarantee fee income related to the Temporary Payroll Tax Cut Continuation Act of 2011
|
316
|
|
|
267
|
|
|
49
|
|
|
18
|
%
|
|||
Other contractual net interest income
|
1,708
|
|
|
1,840
|
|
|
(132
|
)
|
|
(7
|
)%
|
|||
Total contractual net interest income
|
2,867
|
|
|
2,817
|
|
|
50
|
|
|
2
|
%
|
|||
Net amortization - loans and debt securities of consolidated trusts
|
953
|
|
|
533
|
|
|
420
|
|
|
79
|
%
|
|||
Net amortization - other assets and debt
|
18
|
|
|
106
|
|
|
(88
|
)
|
|
(83
|
)%
|
|||
Expense related to derivatives
|
(43
|
)
|
|
(51
|
)
|
|
8
|
|
|
16
|
%
|
|||
Net interest income
|
|
$3,795
|
|
|
|
$3,405
|
|
|
|
$390
|
|
|
11
|
%
|
•
|
Guarantee fee income
|
◦
|
1Q 2017 vs. 1Q 2016
- increased during 1Q 2017 due to higher average contractual guarantee fee rates and the continued growth in the size of the Core single-family book. Average contractual guarantee fee rates are generally higher on mortgage loans in our Core single-family book compared to those in our Legacy single-family book.
|
•
|
Other contractual net interest income
|
◦
|
1Q 2017 vs. 1Q 2016
- decreased during 1Q 2017 primarily due to the continued reduction in the balance of our mortgage-related investments portfolio pursuant to the portfolio limits established by the Purchase Agreement and FHFA. See "Conservatorship and Related Matters - Reducing Our Mortgage-Related Investments Portfolio Over Time" for a discussion of the key drivers of the decline in our mortgage-related investments portfolio.
|
•
|
Net amortization of loans and debt securities of consolidated trusts
|
◦
|
1Q 2017 vs. 1Q 2016
- increased during 1Q 2017 primarily due to an increase in amortization of debt securities of consolidated trusts due to an increase in prepayments.
|
•
|
Net amortization of other assets and debt
|
◦
|
1Q 2017 vs. 1Q 2016
- decreased during 1Q 2017 primarily due to less accretion of previously recognized other-than-temporary impairment. The decrease in accretion during 1Q 2017 is due to a decline in the population of impaired securities as a result of our active disposition of these securities.
|
Freddie Mac Form 10-Q
|
|
9
|
Management's Discussion and Analysis
|
|
Consolidated Results of Operations | Provision for Credit Losses
|
|
|
1Q 2017
|
|
1Q 2016
|
|
Change
|
|||||||||
(Dollars in billions)
|
|
|
|
|
|
$
|
|
%
|
|||||||
Benefit (provision) for newly impaired loans
|
|
|
($0.2
|
)
|
|
|
($0.2
|
)
|
|
|
$—
|
|
|
—
|
%
|
Amortization of interest rate concessions
|
|
0.2
|
|
|
0.3
|
|
|
(0.1
|
)
|
|
(33
|
)%
|
|||
Reclassifications of held-for-investment loans to held-for-sale loans
|
|
—
|
|
|
0.1
|
|
|
(0.1
|
)
|
|
(100
|
)%
|
|||
Other, including changes in estimated default probability and loss severity
|
|
0.1
|
|
|
0.3
|
|
|
(0.2
|
)
|
|
(67
|
)%
|
|||
Benefit (provision) for credit losses
|
|
|
$0.1
|
|
|
|
$0.5
|
|
|
|
($0.4
|
)
|
|
(80
|
)%
|
•
|
1Q 2017 vs. 1Q 2016
- Benefit for credit losses decreased in 1Q 2017, compared to 1Q 2016, primarily due to stable probability of default and estimated loss severity in 1Q 2017, compared to improvements in probability of default and estimated loss severity in 1Q 2016.
|
Freddie Mac Form 10-Q
|
|
10
|
Management's Discussion and Analysis
|
|
Consolidated Results of Operations | Derivative Gains (Losses)
|
|
1Q 2017
|
|
1Q 2016
|
|
Change
|
|||||||||
(Dollars in millions)
|
|
|
|
|
$
|
|
%
|
|||||||
Fair value change in interest-rate swaps
|
|
$673
|
|
|
|
($5,690
|
)
|
|
|
$6,363
|
|
|
112
|
%
|
Fair value change in option-based derivatives
|
(430
|
)
|
|
1,935
|
|
|
(2,365
|
)
|
|
(122
|
)%
|
|||
Fair value change in other derivatives
|
(78
|
)
|
|
(316
|
)
|
|
238
|
|
|
75
|
%
|
|||
Accrual of periodic cash settlements
|
(467
|
)
|
|
(490
|
)
|
|
23
|
|
|
5
|
%
|
|||
Derivative gains (losses)
|
|
($302
|
)
|
|
|
($4,561
|
)
|
|
|
$4,259
|
|
|
93
|
%
|
•
|
1Q 2017 vs. 1Q 2016
- Derivative fair value losses declined during 1Q 2017 compared to 1Q 2016 as long-term interest rates increased slightly during 1Q 2017 compared to a decline during 1Q 2016. The 10-year par swap rate increased
7
basis points during 1Q 2017 and declined
54
basis points during 1Q 2016. The interest rate increase in 1Q 2017 resulted in an improvement in the fair value of our pay-fixed interest rate swaps and forward commitments to issue PCs. The improvement in fair value was partially offset by losses in our receive-fixed swaps and option-based derivatives.
|
Freddie Mac Form 10-Q
|
|
11
|
Management's Discussion and Analysis
|
|
Consolidated Results of Operations | Other Income (Loss)
|
|
1Q 2017
|
|
1Q 2016
|
|
Change
|
|||||||||
(Dollars in millions)
|
|
|
|
|
$
|
|
%
|
|||||||
Other income (loss)
|
|
|
|
|
|
|
|
|||||||
Gains (losses) on loans
|
|
$14
|
|
|
|
$478
|
|
|
|
($464
|
)
|
|
(97
|
)%
|
Gains (losses) on held-for-sale loan purchase commitments
|
224
|
|
|
38
|
|
|
186
|
|
|
489
|
%
|
|||
(Losses) gains on debt where we elected the fair value option
|
(89
|
)
|
|
13
|
|
|
(102
|
)
|
|
(785
|
)%
|
|||
All other
|
227
|
|
|
418
|
|
|
(191
|
)
|
|
(46
|
)%
|
|||
Fair value hedge accounting
|
|
|
|
|
|
|
|
|||||||
Change in fair value of derivatives in qualifying hedge relationships
|
65
|
|
|
—
|
|
|
65
|
|
|
N/A
|
|
|||
Change in fair value of hedged items in qualifying hedge relationships
|
(26
|
)
|
|
—
|
|
|
(26
|
)
|
|
N/A
|
|
|||
Ineffectiveness related to fair value hedge accounting
|
39
|
|
|
—
|
|
|
39
|
|
|
N/A
|
|
|||
Total other income (loss)
|
|
$415
|
|
|
|
$947
|
|
|
|
($532
|
)
|
|
(56
|
)%
|
•
|
1Q 2017 vs. 1Q 2016
- Other income (loss) declined reflecting:
|
◦
|
Gains (losses) on loans declined as multifamily loans for which we elected the fair value option benefited significantly in 1Q 2016 from a large decline in long-term interest rates, while such rates increased slightly in 1Q 2017.
|
◦
|
Losses on debt where we elected the fair value option were primarily driven by tightening spreads between STACR yields and LIBOR during 1Q 2017 compared to minimal gains in 1Q 2016 when spreads were relatively unchanged.
|
◦
|
All other declined primarily because we received settlement proceeds related to the TBW bankruptcy in 1Q 2016.
|
◦
|
Gains on multifamily held-for-sale loan purchase commitments in 1Q 2017 due to K Certificate spreads tightening from improved pricing and market movements versus K Certificate spreads widening in 1Q 2016 and an increase in the outstanding balance of commitments at the end of 1Q 2017 as compared to the end of 1Q 2016.
|
◦
|
Ineffectiveness related to fair value hedge accounting in 1Q 2017. The ineffectiveness is the amount by which the gain or loss on the designated derivative instrument does not exactly offset the gain or loss on the hedged item attributable to the hedged risk. We adopted fair value hedge accounting in 1Q 2017, while there was no fair value hedge accounting during 2016.
|
Freddie Mac Form 10-Q
|
|
12
|
Management's Discussion and Analysis
|
|
Consolidated Results of Operations | Other Comprehensive Income
|
|
1Q 2017
|
|
1Q 2016
|
|
Change
|
|||||||||
(Dollars in millions)
|
|
|
|
|
$
|
|
%
|
|||||||
Other comprehensive income, excluding reclassifications
|
|
$163
|
|
|
|
$221
|
|
|
|
($58
|
)
|
|
(26
|
)%
|
Reclassifications from AOCI:
|
|
|
|
|
|
|
|
|||||||
Accretion due to significant increases in expected cash flows on previously impaired available-for-sale securities
|
(54
|
)
|
|
(90
|
)
|
|
36
|
|
|
40
|
%
|
|||
Realized (gains) losses reclassified from AOCI
|
(86
|
)
|
|
23
|
|
|
(109
|
)
|
|
(474
|
)%
|
|||
Total reclassifications from AOCI
|
(140
|
)
|
|
(67
|
)
|
|
(73
|
)
|
|
(109
|
)%
|
|||
Total other comprehensive income (loss)
|
|
$23
|
|
|
|
$154
|
|
|
|
($131
|
)
|
|
(85
|
)%
|
•
|
Other comprehensive income, excluding reclassifications
|
◦
|
1Q 2017 vs. 1Q 2016
- decreased primarily due to changes in long-term interest rates and market spreads. During 1Q 2017, gains driven by market spread tightening for non-agency mortgage-related securities were partially offset by losses due to slight increases in long-term interest rates. During 1Q 2016, we recognized larger gains due to decreases in long-term interest rates, partially offset by spread widening on our non-agency mortgage-related securities.
|
•
|
Reclassifications from AOCI
|
◦
|
Accretion due to significant increases in expected cash flows on previously impaired available-for-sale securities
|
▪
|
1Q 2017 vs. 1Q 2016
- decreased during 1Q 2017 primarily due to a decline in the population of impaired securities as a result of our active dispositions of these securities.
|
◦
|
Realized (gains) losses reclassified from AOCI
|
▪
|
1Q 2017 vs. 1Q 2016
- reflected reclassified gains during 1Q 2017 compared to reclassified losses during 1Q 2016, due to greater sales of non-agency mortgage-related securities in an unrealized gain position during 1Q 2017 compared to 1Q 2016.
|
Freddie Mac Form 10-Q
|
|
13
|
Management's Discussion and Analysis
|
Consolidated Results of Operations | Other Key Drivers
|
•
|
Gains (losses) on extinguishment of debt
|
◦
|
1Q 2017 vs. 1Q 2016
-
improved primarily due to an increase in the amount of gains recognized from the extinguishment of certain fixed-rate debt securities of consolidated trusts, as market interest rates increased between the time of issuance and repurchase. The amount of extinguishment gains or losses may vary, as the type and amount of PCs selected for repurchase are based on our investment and funding strategies, including our efforts to support the liquidity and price performance of our PCs.
|
•
|
Other gains on investment securities recognized in earnings
|
◦
|
1Q 2017 vs. 1Q 2016
- decreased primarily due to the recognition of losses on our mortgage and non-mortgage related securities classified as trading as long-term interest rates increased slightly during 1Q 2017 but decreased during 1Q 2016. This was partially offset by an increase in sales of available-for-sale non-agency mortgage-related securities in an unrealized gain position.
|
Freddie Mac Form 10-Q
|
|
14
|
Management's Discussion and Analysis
|
Consolidated Results of Operations | Items Affecting Multiple Lines
|
(In millions)
|
|
1Q 2017
|
|
1Q 2016
|
||||
Benefit (provision) for credit losses
|
|
|
($14
|
)
|
|
|
$64
|
|
Other income (loss) - lower-of-cost-or-fair-value adjustment
|
|
—
|
|
|
(67
|
)
|
||
Other expense - property taxes and insurance associated with these loans
|
|
—
|
|
|
(31
|
)
|
||
Effect on income before income tax (expense) benefit
|
|
|
($14
|
)
|
|
|
($34
|
)
|
Freddie Mac Form 10-Q
|
|
15
|
Management's Discussion and Analysis
|
Consolidated Results of Operations | Items Affecting Multiple Lines
|
(In billions)
|
1Q 2017
|
|
1Q 2016
|
||||
Derivative gains (losses)
(1)
|
|
($0.3
|
)
|
|
|
($4.6
|
)
|
Gains (losses) on derivatives in fair value hedge relationships
|
0.1
|
|
|
N/A
|
|
||
Less:
|
|
|
|
||||
Accrual of periodic cash settlements
|
(0.5
|
)
|
|
(0.5
|
)
|
||
Non-interest rate effect on derivative fair values
|
(0.2
|
)
|
|
(0.1
|
)
|
||
Interest rate effect on derivative fair values
|
|
$0.5
|
|
|
|
($4.0
|
)
|
Add:
|
|
|
|
||||
Estimate of offsetting interest rate effect related to financial instruments measured at fair value
(2)
|
(0.5
|
)
|
|
1.9
|
|
||
Gains (losses) on mortgage loans in fair value hedge relationships
|
—
|
|
|
N/A
|
|
||
Income tax (expense) benefit
|
—
|
|
|
0.7
|
|
||
Estimated net interest rate effect on comprehensive income (loss)
|
|
$—
|
|
|
|
($1.4
|
)
|
(1)
|
Includes fair value gains (losses) on derivatives while not in fair value hedge relationships.
|
(2)
|
Includes the interest-rate effect on our trading securities, available-for-sale securities, mortgage loans held-for-sale, and other assets and debt for which we elected the fair value option, which is reflected in other non-interest income (loss) and total other comprehensive income (loss) on our condensed consolidated statements of comprehensive income.
|
Freddie Mac Form 10-Q
|
|
16
|
Management's Discussion and Analysis
|
|
Consolidated Balance Sheets Analysis
|
|
|
March 31, 2017
|
|
December 31, 2016
|
|
Change
|
|||||||||
(Dollars in millions)
|
|
|
|
|
|
$
|
|
%
|
|||||||
Assets:
|
|
|
|
|
|
|
|
|
|||||||
Cash and cash equivalents
|
|
|
$10,679
|
|
|
|
$12,369
|
|
|
|
($1,690
|
)
|
|
(14
|
)%
|
Restricted cash and cash equivalents
|
|
1,837
|
|
|
9,851
|
|
|
(8,014
|
)
|
|
(81
|
)%
|
|||
Securities purchased under agreements to resell
|
|
51,257
|
|
|
51,548
|
|
|
(291
|
)
|
|
(1
|
)%
|
|||
Subtotal
|
|
63,773
|
|
|
73,768
|
|
|
(9,995
|
)
|
|
(14
|
)%
|
|||
Investments in securities, at fair value
|
|
108,627
|
|
|
111,547
|
|
|
(2,920
|
)
|
|
(3
|
)%
|
|||
Mortgage loans, net
|
|
1,827,616
|
|
|
1,803,003
|
|
|
24,613
|
|
|
1
|
%
|
|||
Accrued interest receivable
|
|
6,221
|
|
|
6,135
|
|
|
86
|
|
|
1
|
%
|
|||
Derivative assets, net
|
|
569
|
|
|
747
|
|
|
(178
|
)
|
|
(24
|
)%
|
|||
Deferred tax assets, net
|
|
15,806
|
|
|
15,818
|
|
|
(12
|
)
|
|
—
|
%
|
|||
Other assets
|
|
9,696
|
|
|
12,358
|
|
|
(2,662
|
)
|
|
(22
|
)%
|
|||
Total assets
|
|
|
$2,032,308
|
|
|
|
$2,023,376
|
|
|
|
$8,932
|
|
|
—
|
%
|
|
|
|
|
|
|
|
|
|
|||||||
Liabilities and Equity:
|
|
|
|
|
|
|
|
|
|||||||
Liabilities:
|
|
|
|
|
|
|
|
|
|||||||
Accrued interest payable
|
|
|
$5,897
|
|
|
|
$6,015
|
|
|
|
($118
|
)
|
|
(2
|
)%
|
Debt, net
|
|
2,018,444
|
|
|
2,002,004
|
|
|
16,440
|
|
|
1
|
%
|
|||
Derivative liabilities, net
|
|
335
|
|
|
795
|
|
|
(460
|
)
|
|
(58
|
)%
|
|||
Other liabilities
|
|
4,798
|
|
|
9,487
|
|
|
(4,689
|
)
|
|
(49
|
)%
|
|||
Total liabilities
|
|
2,029,474
|
|
|
2,018,301
|
|
|
11,173
|
|
|
1
|
%
|
|||
Total equity
|
|
2,834
|
|
|
5,075
|
|
|
(2,241
|
)
|
|
(44
|
)%
|
|||
Total liabilities and equity
|
|
|
$2,032,308
|
|
|
|
$2,023,376
|
|
|
|
$8,932
|
|
|
—
|
%
|
•
|
Cash and cash equivalents
,
restricted cash and cash equivalents
, and
securities purchased under agreements to resell
affect one another, so the changes in the balances should be viewed together. The combined balance as of March 31, 2017 decreased due to a decrease in prepayment proceeds received by the custodial account as of March 31, 2017 compared to December 31, 2016.
|
•
|
Other assets
decreased primarily because of lower receivables from servicers and a decrease in the current income tax receivable. Higher mortgage interest rates during 1Q 2017 caused a decrease in prepayments, and thus, a decrease in receivables from servicers. When a borrower prepays, there is a brief delay before the servicer remits the payoff proceeds to us. In addition, the current income tax receivable decreased primarily due to the accrual of current period tax expense and a reduction of receivables related to prior years.
|
•
|
Other liabilities
decreased primarily due to the elimination of liabilities related to our purchases of non-mortgage-related securities that traded and were recognized on the condensed consolidated balance sheets during 4Q 2016 but were settled during 1Q 2017.
|
Freddie Mac Form 10-Q
|
|
17
|
Management's Discussion and Analysis
|
|
Consolidated Balance Sheets Analysis
|
•
|
Total equity
decreased as a result of lower comprehensive income in 1Q 2017 than in 4Q 2016 coupled with additional dividends paid related to the $600 million decline in the Capital Reserve Amount in 1Q 2017.
|
Freddie Mac Form 10-Q
|
|
18
|
Management's Discussion and Analysis
|
|
Our Business Segments | Segment Earnings
|
•
|
Single-family Guarantee
- reflects results from our purchase, securitization, and guarantee of single-family loans and the management of single-family credit risk.
|
•
|
Multifamily
- reflects results from our purchase, securitization, and guarantee of multifamily loans and securities, our investments in those loans and securities, and the management of multifamily credit risk and market spread risk.
|
•
|
Investments
- reflects results from managing the company’s mortgage-related investments portfolio (excluding multifamily investments, single-family seriously delinquent loans, and the credit risk of single-family performing loans), treasury function, and interest-rate risk.
|
•
|
All Other
- consists of material corporate-level activities that are infrequent in nature and based on decisions outside the control of the management of our reportable segments.
|
Freddie Mac Form 10-Q
|
|
19
|
Management's Discussion and Analysis
|
|
Our Business Segments | Single-Family Guarantee
|
•
|
Single-family loan origination volumes increased slightly to
$385 billion
in 1Q 2017 compared to $380 billion in 1Q 2016. Mortgage origination data is from Inside Mortgage Finance as of April 28, 2017.
|
•
|
Single-family serious delinquency (SDQ) rates in the U.S. generally continued to decline on a year-over-year basis due to macroeconomic factors, such as a stable labor market and continued home price appreciation.
|
Freddie Mac Form 10-Q
|
|
20
|
Management's Discussion and Analysis
|
|
Our Business Segments | Single-Family Guarantee
|
•
|
Our loan purchase and guarantee activity increased in 1Q 2017 due to higher refinance and home purchase loan volume driven by lower rates in late 2016 compared to late 2015. It can take up to three months between the time a mortgage is originated and when we purchase the loan.
|
•
|
If mortgage interest rates continue to increase in 2017, we would expect the volume and the mix by loan purpose of our single-family loan purchases and guarantees to change, primarily as a result of lower refinance loan volume. Home purchase loans generally present more credit risk than refinance loans (particularly those that do not involve "cash-out").
|
Freddie Mac Form 10-Q
|
|
21
|
Management's Discussion and Analysis
|
|
Our Business Segments | Single-Family Guarantee
|
•
|
The single-family credit guarantee portfolio grew to $1,779 billion at March 31, 2017 from $1,755 billion at December 31, 2016, an increase of approximately 1%. We had
10.8 million
and 10.6 million loans in our single-family credit guarantee portfolio at
March 31, 2017
and
December 31, 2016
, respectively.
|
•
|
The Core single-family book grew to
74%
of the single-family credit guarantee portfolio at
March 31, 2017
compared to 73% at
December 31, 2016
. The Core single-family book consists of loans that were originated since 2008, excluding HARP and other relief refinance loans.
|
•
|
The HARP and other relief refinance book represented
15%
of the single-family credit guarantee portfolio at both
March 31, 2017
and
December 31, 2016
.
|
•
|
The Legacy single-family book declined to
11%
of the single-family credit guarantee portfolio at
March 31, 2017
compared to 12% at December 31, 2016, primarily as a result of liquidations.
|
Freddie Mac Form 10-Q
|
|
22
|
Management's Discussion and Analysis
|
|
Our Business Segments | Single-Family Guarantee
|
•
|
Average portfolio Segment Earnings guarantee fee rates:
|
◦
|
1Q 2017 vs. 1Q 2016 -
increased primarily due to higher average contractual guarantee fees, reflecting the continued growth in the size of the Core single-family book. Average contractual guarantee fees are generally higher on mortgage loans in our Core single-family book compared to those in our Legacy single-family book.
|
•
|
Average guarantee fee rate charged on new acquisitions:
|
◦
|
1Q 2017 vs. 1Q 2016 -
decreased due to a longer expected life of mortgage loans reflecting the increase in quarterly average mortgage interest rates which resulted in lower annualized upfront delivery fees. Rising mortgage interest rates generally reduce prepayments, which extends the period over which we recognize upfront delivery fee income.
|
Freddie Mac Form 10-Q
|
|
23
|
Management's Discussion and Analysis
|
|
Our Business Segments | Single-Family Guarantee
|
|
|
(In billions)
|
|
|
||||||
Senior
|
|
Freddie Mac
$626.7
|
|
Reference Pool
$658.4
|
||||||
|
|
|
|
|
|
|
|
|
|
|
Mezzanine
|
|
Freddie Mac
$1.5
|
|
ACIS
$6.1
|
|
STACR Debt Notes
$18.6
|
|
|||
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
First
Loss
|
|
Freddie Mac
$3.7
|
|
ACIS
$0.7
|
|
STACR
Debt Notes
$1.2
|
|
(1)
|
The amounts represent the UPB upon issuance of STACR debt notes and execution of ACIS transactions.
|
(2)
|
For the current outstanding coverage provided by our STACR debt note and ACIS transactions, see "Credit Enhancements."
|
•
|
We continued to transfer a small portion of expected credit losses and a significant portion of credit losses in a stressed economic environment to third-party investors, insurers, and selected sellers through CRT transactions. During 1Q 2017, we transferred credit losses associated with
$65.4 billion
in UPB of loans in our Core single-family book through STACR debt note, ACIS, whole loan security, and deep mortgage insurance credit risk transfer, or Deep MI, transactions.
|
•
|
The interest and premiums we pay on our issued STACR debt note and ACIS transactions to transfer credit risk effectively reduce the guarantee fee income we earn on the PCs related to the respective reference pools. Our expected guarantee fee income on the PCs related to the STACR and ACIS reference pools has been effectively reduced by approximately
33%
, on average, for all transactions executed through
March 31, 2017
. The amount of the effective reduction to our overall guarantee fee income could be affected over time by changes in:
|
◦
|
Our risk transfer strategy;
|
◦
|
Prepayment and credit experience of the reference pools; or
|
Freddie Mac Form 10-Q
|
|
24
|
Management's Discussion and Analysis
|
|
Our Business Segments | Single-Family Guarantee
|
◦
|
The economic or regulatory environment that affect the cost of executing these transactions.
|
•
|
In 1Q 2017, we changed our credit risk transfer strategy and generally will transfer less expected credit losses. However, we continue to transfer a significant portion of credit losses in a stressed economic environment. This will generally result in Freddie Mac retaining slightly more guarantee fee income. The aggregate cost of our credit risk transfer activity will continue to increase as we continue to transfer risk on new originations.
|
•
|
Due to differences in accounting, there could be a significant time lag between when we recognize a provision for credit losses and when we recognize the related recovery from our actual loss STACR debt note transactions. A credit expense on a loan in a reference pool related to these transactions is recorded when it is probable that we have incurred a loss, while a benefit is recorded when an actual loss event occurs.
|
•
|
As of
March 31, 2017
, there has not been a significant number of loans in our STACR debt note and ACIS reference pools that have experienced a credit event. As a result, we experienced minimal write-downs on our STACR debt notes and filed minimal claims for reimbursement of losses under our ACIS transactions.
|
•
|
As of March 31, 2017, we have transferred a portion of the credit risk on nearly 30% of the total outstanding single-family credit guarantee portfolio.
|
Freddie Mac Form 10-Q
|
|
25
|
Management's Discussion and Analysis
|
|
Our Business Segments | Single-Family Guarantee
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
March 31, 2017
|
|
December 31, 2016
|
||||||||||||||||||||
(In millions)
|
|
Total Current and Protected UPB
|
|
Coverage Remaining
|
|
Collateralized Coverage Remaining
(1)
|
|
Total Current and Protected UPB
|
|
Coverage Remaining
|
|
Collateralized Coverage Remaining
(1)
|
||||||||||||
Credit enhancements at the time we acquire the loan:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Primary mortgage insurance
|
|
|
$300,100
|
|
|
|
$76,604
|
|
|
|
$—
|
|
|
|
$291,217
|
|
|
|
$74,345
|
|
|
|
$—
|
|
Seller indemnification
(2)
|
|
1,009
|
|
|
10
|
|
|
10
|
|
|
1,030
|
|
|
10
|
|
|
10
|
|
||||||
Deep MI
(2)
|
|
4,177
|
|
|
111
|
|
|
—
|
|
|
3,067
|
|
|
81
|
|
|
—
|
|
||||||
Lender recourse and indemnification agreements
|
|
5,407
|
|
|
4,804
|
|
|
—
|
|
|
5,247
|
|
|
4,911
|
|
|
—
|
|
||||||
Pool insurance
|
|
1,638
|
|
|
594
|
|
|
—
|
|
|
1,719
|
|
|
618
|
|
|
—
|
|
||||||
Other
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
HFA Indemnifications
|
|
1,602
|
|
|
1,602
|
|
|
—
|
|
|
1,747
|
|
|
1,747
|
|
|
—
|
|
||||||
Subordination
|
|
1,817
|
|
|
216
|
|
|
—
|
|
|
1,874
|
|
|
230
|
|
|
—
|
|
||||||
Other credit enhancements
|
|
17
|
|
|
6
|
|
|
—
|
|
|
17
|
|
|
6
|
|
|
—
|
|
||||||
Credit enhancements subsequent to our purchase or guarantee of the loan:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
STACR debt note
(2)
|
|
475,851
|
|
|
15,487
|
|
|
15,487
|
|
|
427,978
|
|
|
14,507
|
|
|
14,507
|
|
||||||
ACIS transactions
(2)
|
|
500,558
|
|
|
5,691
|
|
|
872
|
|
|
453,670
|
|
|
5,355
|
|
|
877
|
|
||||||
Whole loan security and senior subordinate securitization structures
(2)
|
|
3,057
|
|
|
396
|
|
|
396
|
|
|
2,494
|
|
|
375
|
|
|
375
|
|
||||||
Less: UPB with more than one type of credit enhancement
|
|
(632,376
|
)
|
|
—
|
|
|
—
|
|
|
(559,400
|
)
|
|
—
|
|
|
—
|
|
||||||
Single-family book with credit enhancement
|
|
662,857
|
|
|
105,521
|
|
|
16,765
|
|
|
630,660
|
|
|
102,185
|
|
|
15,769
|
|
||||||
Single-family book without credit enhancement
|
|
1,115,969
|
|
|
—
|
|
|
—
|
|
|
1,124,066
|
|
|
—
|
|
|
—
|
|
||||||
Total
|
|
|
$1,778,826
|
|
|
|
$105,521
|
|
|
|
$16,765
|
|
|
|
$1,754,726
|
|
|
|
$102,185
|
|
|
|
$15,769
|
|
(1)
|
Collateralized coverage includes cash received by Freddie Mac upon issuance of STACR debt notes and unguaranteed whole loan securities, as well as cash and securities pledged for our benefit primarily related to ACIS transactions.
|
(2)
|
Credit risk transfer transactions. The substantial majority of single-family loans covered by these transactions were acquired after 2012.
|
•
|
We had coverage remaining of
$105.5 billion
and $102.2 billion on our single-family credit guarantee portfolio as of March 31, 2017 and December 31, 2016, respectively. Credit risk transfer transactions provided
20.6%
and 19.9% of the coverage remaining at those dates.
|
Freddie Mac Form 10-Q
|
|
26
|
Management's Discussion and Analysis
|
|
Our Business Segments | Single-Family Guarantee
|
|
|
March 31, 2017
|
|||||||||||||||||||||||||
|
|
CLTV ≤ 80
|
|
CLTV > 80 to 100
|
|
CLTV > 100
|
|
All Loans
|
|||||||||||||||||||
(Credit score)
|
|
% Portfolio
|
|
SDQ Rate
(1)
|
|
% Portfolio
|
|
SDQ Rate
(1)
|
|
% Portfolio
|
|
SDQ Rate
(1)
|
|
% Portfolio
|
|
SDQ Rate
(1)
|
|
% Modified
|
|||||||||
Core single-family book:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
< 620
|
|
0.2
|
%
|
|
2.11
|
%
|
|
—
|
%
|
|
NM
|
|
|
—
|
%
|
|
NM
|
|
|
0.2
|
%
|
|
2.33
|
%
|
|
3.1
|
%
|
620 to 659
|
|
1.6
|
|
|
0.97
|
%
|
|
0.3
|
|
|
1.09
|
%
|
|
—
|
|
|
NM
|
|
|
1.9
|
|
|
0.99
|
%
|
|
1.3
|
%
|
≥ 660
|
|
62.3
|
|
|
0.15
|
%
|
|
9.5
|
|
|
0.22
|
%
|
|
0.1
|
|
|
1.79
|
%
|
|
71.9
|
|
|
0.16
|
%
|
|
0.2
|
%
|
Not available
|
|
—
|
|
|
NM
|
|
|
0.1
|
|
|
3.38
|
%
|
|
—
|
|
|
NM
|
|
|
0.1
|
|
|
2.61
|
%
|
|
4.0
|
%
|
Total
|
|
64.1
|
%
|
|
0.18
|
%
|
|
9.9
|
%
|
|
0.26
|
%
|
|
0.1
|
%
|
|
3.13
|
%
|
|
74.1
|
%
|
|
0.19
|
%
|
|
0.2
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Relief refinance book:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
< 620
|
|
0.6
|
%
|
|
1.67
|
%
|
|
0.1
|
%
|
|
3.31
|
%
|
|
0.1
|
%
|
|
4.52
|
%
|
|
0.8
|
%
|
|
2.20
|
%
|
|
4.9
|
%
|
620 to 659
|
|
0.8
|
|
|
1.06
|
%
|
|
0.3
|
|
|
2.30
|
%
|
|
0.1
|
|
|
3.44
|
%
|
|
1.2
|
|
|
1.49
|
%
|
|
2.8
|
%
|
≥ 660
|
|
9.8
|
|
|
0.32
|
%
|
|
2.0
|
|
|
1.1
|
%
|
|
0.7
|
|
|
1.93
|
%
|
|
12.5
|
|
|
0.50
|
%
|
|
0.8
|
%
|
Not available
|
|
—
|
|
|
NM
|
|
|
—
|
|
|
NM
|
|
|
—
|
|
|
NM
|
|
|
—
|
|
|
NM
|
|
|
1.4
|
%
|
Total
|
|
11.2
|
%
|
|
0.44
|
%
|
|
2.4
|
%
|
|
1.39
|
%
|
|
0.9
|
%
|
|
2.31
|
%
|
|
14.5
|
%
|
|
0.67
|
%
|
|
1.2
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Legacy single-family book:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
< 620
|
|
0.7
|
%
|
|
5.83
|
%
|
|
0.2
|
%
|
|
12.22
|
%
|
|
0.1
|
%
|
|
19.37
|
%
|
|
1.0
|
%
|
|
7.50
|
%
|
|
34.5
|
%
|
620 to 659
|
|
1.3
|
|
|
4.20
|
%
|
|
0.3
|
|
|
9.47
|
%
|
|
0.2
|
|
|
16.15
|
%
|
|
1.8
|
|
|
5.51
|
%
|
|
28.6
|
%
|
≥ 660
|
|
6.7
|
|
|
1.90
|
%
|
|
1.2
|
|
|
6.59
|
%
|
|
0.6
|
|
|
12.01
|
%
|
|
8.5
|
|
|
2.55
|
%
|
|
13.9
|
%
|
Not available
|
|
0.1
|
|
|
4.86
|
%
|
|
—
|
|
|
NM
|
|
|
—
|
|
|
NM
|
|
|
0.1
|
|
|
5.48
|
%
|
|
16.6
|
%
|
Total
|
|
8.8
|
%
|
|
2.58
|
%
|
|
1.7
|
%
|
|
7.91
|
%
|
|
0.9
|
%
|
|
14.16
|
%
|
|
11.4
|
%
|
|
3.45
|
%
|
|
17.7
|
%
|
(1)
|
NM - Not meaningful due to the percentage of the portfolio rounding to zero.
|
Freddie Mac Form 10-Q
|
|
27
|
Management's Discussion and Analysis
|
|
Our Business Segments | Single-Family Guarantee
|
|
|
March 31, 2017
|
|
December 31, 2016
|
||||||||||||||||||||||
(Dollars in billions)
|
|
UPB
|
|
CLTV
|
|
% Modified
|
|
SDQ Rate
|
|
UPB
|
|
CLTV
|
|
% Modified
|
|
SDQ Rate
|
||||||||||
Alt-A
|
|
|
$31.3
|
|
|
70
|
%
|
|
26.7
|
%
|
|
5.11
|
%
|
|
|
$32.6
|
|
|
72
|
%
|
|
25.9
|
%
|
|
5.21
|
%
|
Freddie Mac Form 10-Q
|
|
28
|
Management's Discussion and Analysis
|
|
Our Business Segments | Single-Family Guarantee
|
•
|
Serious delinquency rates generally declined on a year-over-year basis on our single-family credit guarantee portfolio due to the continued strong performance of loans in the growing Core single-family book, continued home price appreciation, a stable labor market, continued loss mitigation, and foreclosure activities for loans primarily in the Legacy single-family book, as well as sales of certain non-performing loans.
|
•
|
Delinquency rates declined to
1.08%
and
0.32%
for loans one month and two months past due, respectively, as of
March 31, 2017
compared to 1.37% and 0.40%, respectively, as of
December 31, 2016
.
|
Freddie Mac Form 10-Q
|
|
29
|
Management's Discussion and Analysis
|
|
Our Business Segments | Single-Family Guarantee
|
(Dollars in millions)
|
1Q 2017
|
|
1Q 2016
|
||||
Charge-offs, gross
(1)
|
|
$740
|
|
|
|
$569
|
|
Recoveries
|
(97
|
)
|
|
(128
|
)
|
||
Charge-offs, net
|
643
|
|
|
441
|
|
||
REO operations expense
|
56
|
|
|
84
|
|
||
Total credit losses
|
|
$699
|
|
|
|
$525
|
|
|
|
|
|
||||
Total credit losses (in bps)
|
15.6
|
|
|
12.2
|
|
||
Ratio of total loan loss reserves (excluding reserves for TDR concessions) to annualized net charge-offs for single-family loans
|
1.9
|
|
|
2.7
|
|
||
Ratio of total loan loss reserves to annualized net charge-offs for single-family loans
|
5.0
|
|
|
8.2
|
|
(1)
|
1Q 2016 does not include lower-of-cost-or-fair-value adjustments and other expenses related to property taxes and insurance recognized when we transfer loans from held-for-investment to held-for-sale, which totaled $98 million. 1Q 2017 includes charge-offs of $364 million related to the transfer of loans from held-for-investment to held-for-sale.
|
|
|
March 31, 2017
|
|
March 31, 2016
|
||||||||||
(Dollars in millions)
|
|
Loan Count
|
|
Amount
|
|
Loan Count
|
|
Amount
|
||||||
TDRs, at January 1
|
|
485,709
|
|
|
|
$78,869
|
|
|
512,253
|
|
|
|
$85,960
|
|
New additions
|
|
10,838
|
|
|
1,486
|
|
|
12,470
|
|
|
1,701
|
|
||
Repayments and reclassifications to held-for-sale
|
|
(15,881
|
)
|
|
(3,290
|
)
|
|
(10,426
|
)
|
|
(1,945
|
)
|
||
Foreclosure transfers and foreclosure alternatives
|
|
(2,774
|
)
|
|
(373
|
)
|
|
(2,962
|
)
|
|
(426
|
)
|
||
TDRs, at March 31,
|
|
477,892
|
|
|
76,692
|
|
|
511,335
|
|
|
85,290
|
|
||
Loans impaired upon purchase
|
|
7,165
|
|
|
485
|
|
|
8,137
|
|
|
604
|
|
||
Total impaired loans with specific reserve
|
|
485,057
|
|
|
77,177
|
|
|
519,472
|
|
|
85,894
|
|
||
Allowance for loan losses
|
|
|
|
(11,268
|
)
|
|
|
|
(13,315
|
)
|
||||
Net investment, at March 31,
|
|
|
|
|
$65,909
|
|
|
|
|
|
$72,579
|
|
Freddie Mac Form 10-Q
|
|
30
|
Management's Discussion and Analysis
|
|
Our Business Segments | Single-Family Guarantee
|
(In millions)
|
|
March 31, 2017
|
|
December 31, 2016
|
||||
TDRs on accrual status
|
|
|
$75,296
|
|
|
|
$77,122
|
|
Non-accrual loans
|
|
15,133
|
|
|
16,164
|
|
||
Total TDRs and non-accrual loans
|
|
|
$90,429
|
|
|
|
$93,286
|
|
|
|
|
|
|
||||
Loan loss reserves associated with:
|
|
|
|
|
||||
TDRs on accrual status
|
|
|
$9,626
|
|
|
|
$10,295
|
|
Non-accrual loans
|
|
2,213
|
|
|
2,290
|
|
||
Total
|
|
|
$11,839
|
|
|
|
$12,585
|
|
|
|
|
|
|
||||
(In millions)
|
|
1Q 2017
|
|
1Q 2016
|
||||
|
|
|
|
|
||||
Foregone interest income on TDRs and non-accrual loans
(1)
|
|
|
$554
|
|
|
|
$697
|
|
(1)
|
Represents the amount of interest income that we would have recognized for loans outstanding at the end of each period, had the loans performed according to their original contractual terms.
|
•
|
As of
March 31, 2017
,
62%
of the loan loss reserves for single-family mortgage loans related to interest rate concessions which were provided to borrowers as part of loan modifications.
|
•
|
Most of our modified single-family loans, including TDRs, were current and performing at
March 31, 2017
.
|
•
|
We expect our loan loss reserves associated with existing single-family TDRs to continue to decline over time as borrowers continue to make monthly payments under the modified terms and interest-rate concessions are amortized into earnings.
|
•
|
Charge-offs, net
were higher in 1Q 2017 compared to 1Q 2016 mainly due to the policy change for loan reclassifications from held-for-investment to held-for-sale. See Note 4 for further information about this change.
|
•
|
See Note 4 for information on our single-family loan loss reserves.
|
Freddie Mac Form 10-Q
|
|
31
|
Management's Discussion and Analysis
|
|
Our Business Segments | Single-Family Guarantee
|
•
|
Our loan workout activity declined consistent with the decline in the number of delinquent loans in the single-family credit guarantee portfolio as the economy continued to improve.
|
•
|
We continue our loss mitigation efforts through our loan refinance, modification, and other initiatives.
|
Freddie Mac Form 10-Q
|
|
32
|
Management's Discussion and Analysis
|
|
Our Business Segments | Single-Family Guarantee
|
|
|
1Q 2017
|
|
1Q 2016
|
||||||||||
(Dollars in millions)
|
|
Number of Properties
|
|
Amount
|
|
Number of Properties
|
|
Amount
|
||||||
Beginning balance — REO
|
|
11,418
|
|
|
|
$1,215
|
|
|
17,004
|
|
|
|
$1,774
|
|
Additions
|
|
3,545
|
|
|
346
|
|
|
4,631
|
|
|
440
|
|
||
Dispositions
|
|
(4,025
|
)
|
|
(399
|
)
|
|
(6,226
|
)
|
|
(603
|
)
|
||
Ending balance — REO
|
|
10,938
|
|
|
1,162
|
|
|
15,409
|
|
|
1,611
|
|
||
Beginning balance, valuation allowance
|
|
|
|
(17
|
)
|
|
|
|
(52
|
)
|
||||
Change in valuation allowance
|
|
|
|
(2
|
)
|
|
|
|
8
|
|
||||
Ending balance, valuation allowance
|
|
|
|
|
(19
|
)
|
|
|
|
|
(44
|
)
|
||
Ending balance — REO, net
|
|
|
|
|
|
$1,143
|
|
|
|
|
|
|
$1,567
|
|
•
|
Our REO ending inventory declined in 1Q 2017 compared to 1Q 2016 primarily due to REO dispositions exceeding acquisitions. REO acquisitions continued to decline due to fewer seriously delinquent loans, driven in part by sales of certain seriously delinquent loans in 2016, and a large proportion of property sales to third parties at foreclosure.
|
Freddie Mac Form 10-Q
|
|
33
|
Management's Discussion and Analysis
|
|
Our Business Segments | Single-Family Guarantee
|
|
|
1Q 2017
|
|
1Q 2016
|
|
Change
|
|||||||||
(Dollars in millions)
|
|
|
|
|
|
$
|
|
%
|
|||||||
Guarantee fee income
|
|
|
$1,418
|
|
|
|
$1,285
|
|
|
|
$133
|
|
|
10
|
%
|
Benefit (provision) for credit losses
|
|
39
|
|
|
289
|
|
|
(250
|
)
|
|
(87
|
)%
|
|||
Other non-interest income (loss)
|
|
319
|
|
|
224
|
|
|
95
|
|
|
42
|
%
|
|||
Administrative expense
|
|
(333
|
)
|
|
(295
|
)
|
|
(38
|
)
|
|
(13
|
)%
|
|||
REO operations expense
|
|
(59
|
)
|
|
(87
|
)
|
|
28
|
|
|
32
|
%
|
|||
Other non-interest expense
|
|
(318
|
)
|
|
(252
|
)
|
|
(66
|
)
|
|
(26
|
)%
|
|||
Segment Earnings before income tax expense
|
|
1,066
|
|
|
1,164
|
|
|
(98
|
)
|
|
(8
|
)%
|
|||
Income tax expense
|
|
(356
|
)
|
|
(354
|
)
|
|
(2
|
)
|
|
(1
|
)%
|
|||
Segment Earnings, net of taxes
|
|
710
|
|
|
810
|
|
|
(100
|
)
|
|
(12
|
)%
|
|||
Total other comprehensive income (loss), net of tax
|
|
(2
|
)
|
|
1
|
|
|
(3
|
)
|
|
(300
|
)%
|
|||
Total comprehensive income
|
|
|
$708
|
|
|
|
$811
|
|
|
|
($103
|
)
|
|
(13
|
)%
|
•
|
Guarantee fee income
|
◦
|
1Q 2017 vs. 1Q 2016 -
increased primarily due to higher average contractual guarantee fees and continued growth in the size of the Core single-family book.
|
•
|
Benefit (provision) for credit losses
|
◦
|
1Q 2017 vs. 1Q 2016
- decreased primarily due to stable probability of default and estimated loss severity in 1Q 2017, compared to improvements in probability of default and estimated loss severity in 1Q 2016.
|
•
|
Other non-interest income (loss)
|
◦
|
1Q 2017 vs. 1Q 2016
- increased primarily due to:
|
▪
|
An increase in non-cash amortization income in 1Q 2017 as compared to 1Q 2016 due to higher prepayments related to PCs in 1Q 2017; and
|
▪
|
Lower property tax and insurance expense associated with reperforming mortgage loans classified as held-for-sale in 1Q 2017 as compared to seriously delinquent mortgage loans with higher expenses that were classified as held-for-sale in 1Q 2016.
|
▪
|
Fair value losses on certain STACR debt notes due to tightening spreads between STACR yields and LIBOR in 1Q 2017 compared to 1Q 2016 when spreads were relatively unchanged; and
|
▪
|
Settlement proceeds related to the TBW bankruptcy received in 1Q 2016.
|
•
|
Other non-interest expense
|
◦
|
1Q 2017 vs. 1Q 2016
- increased primarily due to higher credit risk transfer expense reflecting higher outstanding cumulative volumes in 1Q 2017 as compared to 1Q 2016.
|
Freddie Mac Form 10-Q
|
|
34
|
Management's Discussion and Analysis
|
|
Our Business Segments | Multifamily
|
•
|
Effective rent growth slowed, while vacancy rates rose slightly during 1Q 2017 compared to 4Q 2016, primarily due to new apartment completions outpacing net absorptions.
|
•
|
While we expect these trends in market conditions to continue in the upcoming quarters, we do not expect our financial results for the remainder of the year to be significantly affected by them.
|
Freddie Mac Form 10-Q
|
|
35
|
Management's Discussion and Analysis
|
|
Our Business Segments | Multifamily
|
•
|
The profitability of our K Certificate transactions (as measured by gains and losses on sales of mortgage loans) is affected by the change in K Certificate benchmark spreads during the period between loan purchase commitment and execution of the K Certificate transaction. These market spread impacts contribute to our earnings volatility, which we try to manage through the size of our securitization pipeline of held-for-sale mortgage loans and through our purchase of swaptions on credit indices.
|
•
|
K Certificate benchmark spreads tightened slightly during 1Q 2017, ending at 62 bps, which had a positive effect on K Certificate profitability. The primary drivers of spread tightening were overall market spread improvement, an increase in our investor base, and structural enhancements made to our K Certificate transactions. By comparison, our K Certificate benchmark spreads were more volatile during 1Q 2016, as a result of certain macroeconomic market conditions, resulting in a negative effect on our K Certificate profitability.
|
Freddie Mac Form 10-Q
|
|
36
|
Management's Discussion and Analysis
|
|
Our Business Segments | Multifamily
|
•
|
The 2017 FHFA scorecard production cap remains at $36.5 billion. Business activity associated with certain targeted loan types is considered uncapped for purposes of determining the dollar volume of multifamily new business. Reclassifications between new business activity subject to the production cap and new business activity not subject to the production cap may occur during 2017.
|
•
|
Outstanding loan purchase commitments were
$14.0 billion
and $9.5 billion as of March 31, 2017 and March 31, 2016, respectively. Both periods include loan purchase commitments for which we have elected the fair value option.
|
•
|
The dollar volume of our multifamily new business activity was lower during 1Q 2017 compared to 1Q 2016. However, after considering outstanding loan purchase commitments, our overall activity was
|
Freddie Mac Form 10-Q
|
|
37
|
Management's Discussion and Analysis
|
|
Our Business Segments | Multifamily
|
•
|
Approximately 55 percent of our multifamily new business activity during 1Q 2017 counted towards the 2017 scorecard production cap, while the remaining 45 percent
was not subject to the production cap.
|
Freddie Mac Form 10-Q
|
|
38
|
Management's Discussion and Analysis
|
|
Our Business Segments | Multifamily
|
•
|
Our total multifamily portfolio grew during 1Q 2017 due to an increase in the guarantee portfolio, which was primarily attributable to our securitization of loans in K Certificate and SB Certificate transactions.
|
•
|
Our securitization pipeline of held-for-sale loans was $17.6 billion at March 31, 2017, relatively unchanged from December 31, 2016.
|
•
|
The decline in less liquid assets during 1Q 2017 was primarily due to continued runoff of our held-for-investment mortgage loan and CMBS portfolios.
|
•
|
Our multifamily delinquency rate at March 31, 2017 was 0.03%.
|
Freddie Mac Form 10-Q
|
|
39
|
Management's Discussion and Analysis
|
|
Our Business Segments | Multifamily
|
•
|
K Certificate and SB Certificate structures vary by deal. Structural deal features such as term, type of underlying loan product, and subordination levels generally influence the deal's size (UPB) and its risk profile, which ultimately affects the guarantee fee rate received by Freddie Mac, as Guarantor.
|
•
|
The dollar volume of our K Certificate and SB Certificate issuances was relatively flat during 1Q 2017 compared to 1Q 2016. While we may purchase certain unguaranteed subordinated securities related to these issuances, to date we have not purchased any of the unguaranteed securities that are in the first loss position, nor do we currently hold any in our portfolio.
|
•
|
The average guarantee fee rate on newly issued K Certificate and SB Certificate issuances was lower during 1Q 2017 compared to 1Q 2016, primarily due to higher average subordination rates in 1Q 2017 coupled with greater securitization of underlying loan products that by their nature and design have less risk and for which we therefore charge a lower guarantee fee rate.
|
Freddie Mac Form 10-Q
|
|
40
|
Management's Discussion and Analysis
|
|
Our Business Segments | Multifamily
|
|
|
1Q 2017
|
|
1Q 2016
|
|
Change
|
|||||||||
(Dollars in millions)
|
|
|
|
|
|
$
|
|
%
|
|||||||
Net interest income
|
|
|
$271
|
|
|
|
$252
|
|
|
|
$19
|
|
|
8
|
%
|
Guarantee fee income
|
|
151
|
|
|
108
|
|
|
43
|
|
|
40
|
%
|
|||
Benefit (provision) for credit losses
|
|
6
|
|
|
5
|
|
|
1
|
|
|
20
|
%
|
|||
Gains (losses) on loans and other non-interest income
|
|
236
|
|
|
737
|
|
|
(501
|
)
|
|
(68
|
)%
|
|||
Derivative gains (losses)
|
|
127
|
|
|
(787
|
)
|
|
914
|
|
|
116
|
%
|
|||
Administrative expense
|
|
(95
|
)
|
|
(80
|
)
|
|
(15
|
)
|
|
(19
|
)%
|
|||
Other non-interest expense
|
|
(21
|
)
|
|
(24
|
)
|
|
3
|
|
|
13
|
%
|
|||
Segment Earnings before income tax (expense) benefit
|
|
675
|
|
|
211
|
|
|
464
|
|
|
220
|
%
|
|||
Income tax (expense) benefit
|
|
(226
|
)
|
|
(64
|
)
|
|
(162
|
)
|
|
(253
|
)%
|
|||
Segment Earnings, net of taxes
|
|
449
|
|
|
147
|
|
|
302
|
|
|
205
|
%
|
|||
Total other comprehensive income (loss), net of tax
|
|
(4
|
)
|
|
3
|
|
|
(7
|
)
|
|
(233
|
)%
|
|||
Total comprehensive income (loss)
|
|
|
$445
|
|
|
|
$150
|
|
|
|
$295
|
|
|
197
|
%
|
•
|
Guarantee fee income
|
◦
|
1Q 2017 vs. 1Q 2016
-
increased primarily due to higher average multifamily guarantee portfolio balances as a result of ongoing issuances of K Certificates and SB Certificates.
|
•
|
Gains (losses) on loans and other non-interest income, derivative gains (losses),
and
total other comprehensive income (loss)
are evaluated together as they are collectively driven by a combination of market spread-related and interest rate-related fair value changes. We use derivatives in the Multifamily segment to economically offset interest rate-related fair value changes of certain assets. The fair value changes of these economically hedged assets are included in
gains (losses) on loans and other non-interest income
and
total other comprehensive income (loss)
. The interest rate-related portion of these changes and the interest rate-related derivative fair value changes that are included in
derivative gains (losses)
largely offset each other and, as a result, there is minimal net impact on total comprehensive income for the Multifamily segment from interest rate-related derivatives. We also purchase swaptions on credit indices to economically offset a portion of the market spread-related fair value changes of certain assets.
|
◦
|
1Q 2017 vs. 1Q 2016
-
we recognized gains, in the aggregate, during 1Q 2017 compared to losses, in the aggregate, during 1Q 2016, primarily due to improved pricing on K Certificates and SB Certificates as well as improved market spread-related fair value changes. During 1Q 2017, we recognized spread-related gains primarily due to K Certificate benchmark spreads tightening, compared to spread-related losses during 1Q 2016 due to increased volatility in the K Certificate spreads and non-agency CMBS spreads widening on our available-for-sale securities.
|
Freddie Mac Form 10-Q
|
|
41
|
Management's Discussion and Analysis
|
|
Our Business Segments | Investments
|
•
|
Long-term interest rates increased slightly during 1Q 2017, resulting in higher fair values for our pay-fixed interest rate swaps and lower fair values for our receive-fixed interest rate swaps, certain of our option contracts, and the vast majority of our investments in securities. Conversely, long-term interest rates decreased during 1Q 2016, resulting in lower fair values for our pay-fixed interest rate swaps and higher fair values for our receive-fixed interest rate swaps, certain of our option contracts, and the vast majority of our investments in securities.
|
Freddie Mac Form 10-Q
|
|
42
|
Management's Discussion and Analysis
|
|
Our Business Segments | Investments
|
•
|
We continue to reduce the size of our mortgage investments portfolio in order to comply with the mortgage-related investments portfolio year-end limits. The balance of our mortgage investments portfolio declined 2.1% from December 31, 2016 to
March 31, 2017
.
|
•
|
The overall liquidity of our mortgage investments portfolio continued to improve as our less liquid assets decreased at a faster pace than the overall decline of our mortgage investments portfolio. The percentage of less liquid assets relative to our total mortgage investments portfolio declined from 34.4% at December 31, 2016 to 33.8% at
March 31, 2017
, primarily due to repayments and sales of our less liquid assets. We continued to actively reduce the size of our less liquid assets during 1Q 2017 by selling
$2.3 billion
of non-agency mortgage-related securities.
|
•
|
The balance of our other investments and cash portfolio declined by 4.5% primarily due to a decrease in prepayment proceeds received by the custodial account as of March 31, 2017 compared to December 31, 2016.
|
Freddie Mac Form 10-Q
|
|
43
|
Management's Discussion and Analysis
|
|
Our Business Segments | Investments
|
•
|
Net Interest Yield
|
◦
|
1Q 2017 vs. 1Q 2016 -
remained relatively flat.
|
•
|
Average Investments Portfolio Balance
|
◦
|
The average investments portfolio balance for 1Q 2017 declined compared to 1Q 2016 primarily due to the repayments of mortgage-related securities, the sale of non-agency mortgage-related securities, and the repayment of certain reperforming loans and performing modified loans, partially offset by an increase in our purchases of U.S. Treasury securities, which are classified as non-mortgage-related assets. The overall decline in our average investments portfolio balance is consistent with our efforts to comply with the mortgage-related investments portfolio year-end limits.
|
Freddie Mac Form 10-Q
|
|
44
|
Management's Discussion and Analysis
|
|
Our Business Segments | Investments
|
|
1Q 2017
|
|
1Q 2016
|
|
Change
|
|||||||||
(Dollars in millions)
|
|
|
|
|
$
|
|
%
|
|||||||
Net interest income
|
|
$929
|
|
|
|
$1,029
|
|
|
|
($100
|
)
|
|
(10
|
)%
|
Net impairment of available-for-sale securities recognized in earnings
|
73
|
|
|
81
|
|
|
(8
|
)
|
|
(10
|
)%
|
|||
Derivative gains (losses)
|
52
|
|
|
(3,276
|
)
|
|
3,328
|
|
|
102
|
%
|
|||
Gains (losses) on trading securities
|
(135
|
)
|
|
169
|
|
|
(304
|
)
|
|
(180
|
)%
|
|||
Other non-interest income
|
744
|
|
|
187
|
|
|
557
|
|
|
298
|
%
|
|||
Administrative expense
|
(83
|
)
|
|
(73
|
)
|
|
(10
|
)
|
|
(14
|
)%
|
|||
Segment Earnings before income tax (expense) benefit
|
1,580
|
|
|
(1,883
|
)
|
|
3,463
|
|
|
184
|
%
|
|||
Income tax (expense) benefit
|
(528
|
)
|
|
572
|
|
|
(1,100
|
)
|
|
(192
|
)%
|
|||
Segment Earnings, net of taxes
|
1,052
|
|
|
(1,311
|
)
|
|
2,363
|
|
|
180
|
%
|
|||
Total other comprehensive income (loss), net of tax
|
29
|
|
|
150
|
|
|
(121
|
)
|
|
(81
|
)%
|
|||
Total comprehensive income (loss)
|
|
$1,081
|
|
|
|
($1,161
|
)
|
|
|
$2,242
|
|
|
193
|
%
|
•
|
Net interest income
|
◦
|
1Q 2017 vs. 1Q 2016
- decreased primarily due to a reduction in the balance of our higher yielding mortgage-related assets due to repayments.
|
•
|
Derivative gains (losses)
|
◦
|
1Q 2017 vs. 1Q 2016
-
improved during 1Q 2017 compared to 1Q 2016 as long-term interest rates increased slightly during 1Q 2017 compared to a decline during 1Q 2016, resulting in an improvement in the fair value of our pay-fixed interest rate swaps and forward commitments to issue PCs. This improvement in fair value was partially offset by losses in our receive-fixed swaps and option-based derivatives. See "Consolidated Results of Operations - Derivative Gains (Losses)" for additional information.
|
•
|
Gains (losses) on trading securities
|
◦
|
1Q 2017 vs. 1Q 2016
- decreased primarily due to losses from a slight increase in long-term interest rates during 1Q 2017 compared to gains from a decrease in long-term interest rates during 1Q 2016.
|
•
|
Other non-interest income
|
◦
|
1Q 2017 vs. 1Q 2016
- increased primarily due to an increase in the amount of gains recognized from the extinguishment of certain fixed-rate debt securities of consolidated trusts, as market interest rates increased between the time of issuance and repurchase, coupled with an increase in sales of available-for-sale non-agency mortgage-related securities in an unrealized gain position. The volume of our sales of non-agency mortgage-related securities will continue to vary as our portfolio that is saleable, based on a variety of criteria, has decreased.
|
•
|
Other comprehensive income (loss)
|
◦
|
1Q 2017 vs. 1Q 2016
- decreased primarily due to an increase in sales of available-for-sale non-agency mortgage-related securities in an unrealized gain position, which resulted in more unrealized gains being reclassified from accumulated other comprehensive income to
other non-
|
Freddie Mac Form 10-Q
|
|
45
|
Management's Discussion and Analysis
|
|
Our Business Segments | Investments
|
Freddie Mac Form 10-Q
|
|
46
|
Management's Discussion and Analysis
|
|
Risk Management
|
Freddie Mac Form 10-Q
|
|
47
|
Management's Discussion and Analysis
|
|
Risk Management | Market Risk
|
|
|
PMVS-YC
|
|
PMVS-L
|
||||||||
(In millions)
|
|
25 bps
|
|
50 bps
|
|
100 bps
|
||||||
Assuming shifts of the LIBOR yield curve:
|
|
|
|
|
|
|
||||||
March 31, 2017
|
|
|
$2
|
|
|
|
$—
|
|
|
|
$—
|
|
December 31, 2016
|
|
|
$7
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
1Q 2017
|
|
1Q 2016
|
||||||||||||||||||
(Duration gap in months, dollars in millions)
|
|
Duration
Gap
|
|
PMVS-YC
25 bps
|
|
PMVS-L
50 bps
|
|
Duration
Gap
|
|
PMVS-YC
25 bps
|
|
PMVS-L
50 bps
|
||||||||||
Average
|
|
0.1
|
|
|
|
$7
|
|
|
|
$5
|
|
|
0.2
|
|
|
|
$8
|
|
|
|
$29
|
|
Minimum
|
|
(0.2
|
)
|
|
|
$—
|
|
|
|
$—
|
|
|
(0.2
|
)
|
|
|
$—
|
|
|
|
$—
|
|
Maximum
|
|
0.8
|
|
|
|
$22
|
|
|
|
$63
|
|
|
0.7
|
|
|
|
$31
|
|
|
|
$92
|
|
Standard deviation
|
|
0.2
|
|
|
|
$5
|
|
|
|
$15
|
|
|
0.2
|
|
|
|
$6
|
|
|
|
$26
|
|
Freddie Mac Form 10-Q
|
|
48
|
Management's Discussion and Analysis
|
|
Risk Management | Market Risk
|
|
PMVS-L (50 bps)
|
|
|
||||||||
(In millions)
|
Before
Derivatives
|
|
After
Derivatives
|
|
Effect of
Derivatives
|
||||||
March 31, 2017
|
|
$3,734
|
|
|
|
$—
|
|
|
|
($3,734
|
)
|
December 31, 2016
|
|
$3,651
|
|
|
|
$—
|
|
|
|
($3,651
|
)
|
|
GAAP Adverse Scenario (Before-Tax)
|
|||||||||
(Dollars in billions)
|
Before Hedge Accounting
|
|
After Hedge Accounting
|
|
% Change
|
|||||
March 31, 2017
|
|
($3.5
|
)
|
|
|
($1.8
|
)
|
|
50
|
%
|
March 31, 2016
|
|
($3.2
|
)
|
|
N/A
|
|
|
N/A
|
|
Freddie Mac Form 10-Q
|
|
49
|
Management's Discussion and Analysis
|
|
Liquidity and Capital Resources | Liquidity Profile
|
|
1Q 2017
|
||||||||||||
(Dollars in millions)
|
Short-term
|
|
Average Rate
|
|
Long-term
|
|
Average Rate
|
||||||
Discount notes and Reference Bills:
|
|
|
|
|
|
|
|
||||||
Beginning balance
|
|
$61,042
|
|
|
0.47
|
%
|
|
|
$—
|
|
|
—
|
%
|
Issuances
|
100,504
|
|
|
0.59
|
%
|
|
—
|
|
|
—
|
%
|
||
Repurchases
|
(57
|
)
|
|
0.91
|
%
|
|
—
|
|
|
—
|
%
|
||
Maturities
|
(100,416
|
)
|
|
0.47
|
%
|
|
—
|
|
|
—
|
%
|
||
Ending Balance
|
61,073
|
|
|
0.66
|
%
|
|
—
|
|
|
—
|
%
|
||
Securities sold under agreements to repurchase:
|
|
|
|
|
|
|
|
||||||
Beginning balance
|
3,040
|
|
|
0.42
|
%
|
|
—
|
|
|
—
|
%
|
||
Additions
|
36,976
|
|
|
0.26
|
%
|
|
—
|
|
|
—
|
%
|
||
Repayments
|
(33,469
|
)
|
|
0.23
|
%
|
|
—
|
|
|
—
|
%
|
||
Ending Balance
|
6,547
|
|
|
0.41
|
%
|
|
—
|
|
|
—
|
%
|
||
Callable debt:
|
|
|
|
|
|
|
|
||||||
Beginning balance
|
—
|
|
|
—
|
%
|
|
98,420
|
|
|
1.44
|
%
|
||
Issuances
|
—
|
|
|
—
|
%
|
|
18,008
|
|
|
1.91
|
%
|
||
Repurchases
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
||
Calls
|
—
|
|
|
—
|
%
|
|
(1,460
|
)
|
|
2.02
|
%
|
||
Maturities
|
—
|
|
|
—
|
%
|
|
(2,178
|
)
|
|
0.76
|
%
|
||
Ending Balance
|
—
|
|
|
—
|
%
|
|
112,790
|
|
|
1.52
|
%
|
||
Non-callable debt:
(1)
|
|
|
|
|
|
|
|
||||||
Beginning balance
|
7,435
|
|
|
0.41
|
%
|
|
186,806
|
|
|
2.10
|
%
|
||
Issuances
|
4,572
|
|
|
0.69
|
%
|
|
5,134
|
|
|
2.23
|
%
|
||
Repurchases
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
||
Maturities
|
—
|
|
|
—
|
%
|
|
(26,346
|
)
|
|
1.30
|
%
|
||
Ending Balance
|
12,007
|
|
|
0.51
|
%
|
|
165,594
|
|
|
2.25
|
%
|
||
Total other debt
|
|
$79,627
|
|
|
0.62
|
%
|
|
|
$278,384
|
|
|
1.95
|
%
|
Freddie Mac Form 10-Q
|
|
50
|
Management's Discussion and Analysis
|
|
Liquidity and Capital Resources | Liquidity Profile
|
|
|
1Q 2016
|
||||||||||||
(Dollars in millions)
|
|
Short-term
|
|
Average Rate
|
|
Long-term
|
|
Average Rate
|
||||||
Discount notes and Reference Bills:
|
|
|
|
|
|
|
|
|
||||||
Beginning balance
|
|
|
$104,088
|
|
|
0.28
|
%
|
|
|
$—
|
|
|
—
|
%
|
Issuances
|
|
105,653
|
|
|
0.32
|
%
|
|
—
|
|
|
—
|
%
|
||
Maturities
|
|
(134,082
|
)
|
|
0.23
|
%
|
|
—
|
|
|
—
|
%
|
||
Ending Balance
|
|
75,659
|
|
|
0.42
|
%
|
|
—
|
|
|
—
|
%
|
||
Securities sold under agreements to repurchase:
|
|
|
|
|
|
|
|
|
||||||
Beginning balance
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
||
Additions
|
|
300
|
|
|
0.50
|
%
|
|
—
|
|
|
—
|
%
|
||
Repayments
|
|
(300
|
)
|
|
0.50
|
%
|
|
—
|
|
|
—
|
%
|
||
Ending Balance
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
||
Callable debt:
|
|
|
|
|
|
|
|
|
||||||
Beginning balance
|
|
—
|
|
|
—
|
%
|
|
107,675
|
|
|
1.61
|
%
|
||
Issuances
|
|
—
|
|
|
—
|
%
|
|
28,930
|
|
|
1.43
|
%
|
||
Repurchases
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
||
Calls
|
|
—
|
|
|
—
|
%
|
|
(27,691
|
)
|
|
1.72
|
%
|
||
Maturities
|
|
—
|
|
|
—
|
%
|
|
(250
|
)
|
|
0.47
|
%
|
||
Ending Balance
|
|
—
|
|
|
—
|
%
|
|
108,664
|
|
|
1.49
|
%
|
||
Non-callable debt:
(1)
|
|
|
|
|
|
|
|
|
||||||
Beginning balance
|
|
9,545
|
|
|
0.20
|
%
|
|
196,713
|
|
|
2.34
|
%
|
||
Issuances
|
|
—
|
|
|
—
|
%
|
|
9,910
|
|
|
1.37
|
%
|
||
Repurchases
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
||
Maturities
|
|
—
|
|
|
—
|
%
|
|
(9,169
|
)
|
|
2.41
|
%
|
||
Ending Balance
|
|
9,545
|
|
|
0.20
|
%
|
|
197,454
|
|
|
2.32
|
%
|
||
Total other debt
|
|
|
$85,204
|
|
|
0.40
|
%
|
|
|
$306,118
|
|
|
2.02
|
%
|
Freddie Mac Form 10-Q
|
|
51
|
Management's Discussion and Analysis
|
|
Liquidity and Capital Resources | Liquidity Profile
|
Freddie Mac Form 10-Q
|
|
52
|
Management's Discussion and Analysis
|
|
Liquidity and Capital Resources | Liquidity Profile
|
(In millions)
|
1Q 2017
|
|
1Q 2016
|
||||
Beginning balance
|
|
$1,602,162
|
|
|
|
$1,513,089
|
|
Issuances:
|
|
|
|
||||
New issuances to third parties
|
71,002
|
|
|
51,607
|
|
||
Additional issuances of securities
|
30,804
|
|
|
28,264
|
|
||
Total issuances
|
101,806
|
|
|
79,871
|
|
||
Extinguishments:
|
|
|
|
||||
Purchases of debt securities from third parties
|
(12,515
|
)
|
|
(9,587
|
)
|
||
Debt securities received in settlement of advances to lenders
|
(8,231
|
)
|
|
(3,659
|
)
|
||
Repayments of debt securities
|
(65,061
|
)
|
|
(55,490
|
)
|
||
Total extinguishments
|
(85,807
|
)
|
|
(68,736
|
)
|
||
Ending balance
|
|
$1,618,161
|
|
|
|
$1,524,224
|
|
Unamortized premiums and discounts
|
45,650
|
|
|
43,959
|
|
||
Debt securities of consolidated trusts held by third parties
|
|
$1,663,811
|
|
|
|
$1,568,183
|
|
Freddie Mac Form 10-Q
|
|
53
|
Management's Discussion and Analysis
|
|
Liquidity and Capital Resources | Liquidity Profile
|
|
|
March 31, 2017
|
|
December 31, 2016
|
||||||||||||||||||||||||||||
(In billions)
|
|
Liquidity and Contingency Operating Portfolio
|
|
Custodial Account
|
|
Other
(1)
|
|
Total Other Investments and Cash Portfolio
|
|
Liquidity and Contingency Operating Portfolio
|
|
Custodial Account
|
|
Other
(1)
|
|
Total Other Investments and Cash Portfolio
|
||||||||||||||||
Cash and cash equivalents
|
|
|
$10.7
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$10.7
|
|
|
|
$12.4
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$12.4
|
|
Restricted cash and cash equivalents
|
|
—
|
|
|
1.4
|
|
|
0.4
|
|
|
1.8
|
|
|
—
|
|
|
9.5
|
|
|
0.4
|
|
|
9.9
|
|
||||||||
Securities purchased under agreements to resell
|
|
34.9
|
|
|
15.7
|
|
|
0.7
|
|
|
51.3
|
|
|
37.5
|
|
|
13.6
|
|
|
0.4
|
|
|
51.5
|
|
||||||||
Non-mortgage related securities
|
|
25.5
|
|
|
—
|
|
|
1.7
|
|
|
27.2
|
|
|
19.6
|
|
|
—
|
|
|
1.5
|
|
|
21.1
|
|
||||||||
Other assets
(2)
|
|
—
|
|
|
—
|
|
|
1.1
|
|
|
1.1
|
|
|
—
|
|
|
—
|
|
|
1.3
|
|
|
1.3
|
|
||||||||
Total
|
|
|
$71.1
|
|
|
|
$17.1
|
|
|
|
$3.9
|
|
|
|
$92.1
|
|
|
|
$69.5
|
|
|
|
$23.1
|
|
|
|
$3.6
|
|
|
|
$96.2
|
|
(1)
|
Consists of amounts related to collateral held by us from derivative and other counterparties, investments in unsecured agency debt that we may not otherwise invest in, other than to pledge as collateral to our counterparties when our derivatives are in a liability position, and advances to lenders.
|
(2)
|
Consists of advances to lenders.
|
Freddie Mac Form 10-Q
|
|
54
|
Management's Discussion and Analysis
|
|
Liquidity and Capital Resources | Cash Flows
|
•
|
Decrease in net purchases of mortgage loans acquired as held-for-sale, primarily due to a decrease in purchases of multifamily loans.
|
•
|
Balances of securities purchased under agreements to resell remaining relatively flat during 1Q 2017, but declining significantly during 1Q 2016 due to lower near-term cash needs;
|
•
|
Increase in net purchases of trading securities, primarily due to an increase in our purchases of U.S. Treasury securities; and
|
•
|
Increase in advances to lenders; partially offset by
|
•
|
Decrease in restricted cash due to a reduction in amounts held by consolidated trusts due to a decrease in prepayment proceeds.
|
•
|
Increase in net proceeds from issuance of other debt, as we called less debt due to the higher interest-rate environment; partially offset by
|
•
|
Increase in net repayments and redemptions of debt securities of consolidated trusts held by third parties due to higher PC liquidation rates.
|
Freddie Mac Form 10-Q
|
|
55
|
Management's Discussion and Analysis
|
|
Liquidity and Capital Resources | Capital Resources
|
(In millions)
|
1Q 2017
|
|
1Q 2016
|
||||
Beginning balance
|
|
$5,075
|
|
|
|
$2,940
|
|
Comprehensive (loss) income
|
2,234
|
|
|
(200
|
)
|
||
Capital draw from Treasury
|
—
|
|
|
—
|
|
||
Senior preferred stock dividends declared
|
(4,475
|
)
|
|
(1,740
|
)
|
||
Total equity / net worth
|
|
$2,834
|
|
|
|
$1,000
|
|
Aggregate draws under Purchase Agreement
|
|
$71,336
|
|
|
|
$71,336
|
|
Aggregate cash dividends paid to Treasury
|
|
$105,923
|
|
|
|
$98,205
|
|
Freddie Mac Form 10-Q
|
|
56
|
Management's Discussion and Analysis
|
Conservatorship and Related Matters
|
|
March 31, 2017
|
|
December 31, 2016
|
||||||||||||||||||||||||||||
(Dollars in millions)
|
Liquid
|
|
Securitiz-ation Pipeline
|
|
Less Liquid
|
|
Total
|
|
Liquid
|
|
Securitiz-ation Pipeline
|
|
Less Liquid
|
|
Total
|
||||||||||||||||
Investments segment - Mortgage investments portfolio:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Single-family unsecuritized loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Performing loans
|
|
$—
|
|
|
|
$7,722
|
|
|
|
$—
|
|
|
|
$7,722
|
|
|
|
$—
|
|
|
|
$13,113
|
|
|
|
$—
|
|
|
|
$13,113
|
|
Reperforming loans and performing modified loans
|
—
|
|
|
—
|
|
|
58,290
|
|
|
58,290
|
|
|
—
|
|
|
—
|
|
|
58,326
|
|
|
58,326
|
|
||||||||
Total single-family unsecuritized loans
|
—
|
|
|
7,722
|
|
|
58,290
|
|
|
66,012
|
|
|
—
|
|
|
13,113
|
|
|
58,326
|
|
|
71,439
|
|
||||||||
Freddie Mac mortgage-related securities
|
130,259
|
|
|
—
|
|
|
4,537
|
|
|
134,796
|
|
|
125,652
|
|
|
—
|
|
|
4,776
|
|
|
130,428
|
|
||||||||
Non-agency mortgage-related securities
|
109
|
|
|
—
|
|
|
13,215
|
|
|
13,324
|
|
|
113
|
|
|
—
|
|
|
16,059
|
|
|
16,172
|
|
||||||||
Non-Freddie Mac agency mortgage-related securities
|
10,778
|
|
|
—
|
|
|
—
|
|
|
10,778
|
|
|
11,759
|
|
|
—
|
|
|
—
|
|
|
11,759
|
|
||||||||
Total Investments segment - Mortgage investments portfolio
|
141,146
|
|
|
7,722
|
|
|
76,042
|
|
|
224,910
|
|
|
137,524
|
|
|
13,113
|
|
|
79,161
|
|
|
229,798
|
|
||||||||
Single-family Guarantee segment - Single-family unsecuritized seriously delinquent loans
|
—
|
|
|
—
|
|
|
12,988
|
|
|
12,988
|
|
|
—
|
|
|
—
|
|
|
13,692
|
|
|
13,692
|
|
||||||||
Multifamily segment - unsecuritized loans and mortgage-related securities
|
7,544
|
|
|
17,572
|
|
|
28,196
|
|
|
53,312
|
|
|
7,447
|
|
|
16,372
|
|
|
31,117
|
|
|
54,936
|
|
||||||||
Total mortgage-related investments portfolio
|
|
$148,690
|
|
|
|
$25,294
|
|
|
|
$117,226
|
|
|
|
$291,210
|
|
|
|
$144,971
|
|
|
|
$29,485
|
|
|
|
$123,970
|
|
|
|
$298,426
|
|
Percentage of total mortgage-related investments portfolio
|
51
|
%
|
|
9
|
%
|
|
40
|
%
|
|
100
|
%
|
|
49
|
%
|
|
10
|
%
|
|
41
|
%
|
|
100
|
%
|
||||||||
Mortgage-related investments portfolio cap at December 31, 2017 and December 31, 2016
|
|
|
|
|
|
|
|
$288,408
|
|
|
|
|
|
|
|
|
|
$339,304
|
|
||||||||||||
90% of mortgage-related investments portfolio cap at December 31, 2017 and December 31, 2016
(1)
|
|
|
|
|
|
|
|
$259,567
|
|
|
|
|
|
|
|
|
|
$305,374
|
|
(1)
|
Represents the amount that we manage to under our Retained Portfolio Plan, subject to certain exceptions.
|
•
|
Sales of $2.3 billion of non-agency mortgage-related securities; and
|
•
|
Securitizations of
$0.2 billion
in UPB of less liquid multifamily loans.
|
Freddie Mac Form 10-Q
|
|
57
|
Management's Discussion and Analysis
|
Regulation and Supervision
|
•
|
the FHFA benchmark for that goal; or
|
•
|
the actual share of the market that meets the criteria for that goal.
|
Freddie Mac Form 10-Q
|
|
58
|
Management's Discussion and Analysis
|
Regulation and Supervision
|
Freddie Mac Form 10-Q
|
|
59
|
Management's Discussion and Analysis
|
|
Off-Balance Sheet Arrangements
|
Freddie Mac Form 10-Q
|
|
60
|
Management's Discussion and Analysis
|
Forward-Looking Statements
|
•
|
The actions the U.S. government (including FHFA, Treasury, and Congress) may take, or require us to take, including to support the housing markets or to implement FHFA’s Conservatorship Scorecards and other objectives for us;
|
•
|
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;
|
•
|
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;
|
•
|
Changes in economic and market conditions, including changes in employment rates, interest rates, spreads, and home prices;
|
•
|
Changes in the U.S. residential mortgage market, including changes in the supply and type of loan products (e.g., refinance vs. purchase, and fixed-rate vs. ARM);
|
•
|
The success of our efforts to mitigate our losses on our Legacy single-family book 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 adequate liquidity to fund our operations;
|
•
|
Our ability to maintain the security and resiliency of our operational systems and infrastructure (e.g., against cyberattacks);
|
•
|
Our ability to effectively execute our business strategies, implement new initiatives, and improve efficiency;
|
•
|
The adequacy of our risk management framework;
|
•
|
Our ability to manage mortgage credit risks, including the effect of changes in underwriting and servicing practices;
|
•
|
Our ability to limit or manage our economic exposure and GAAP earnings exposure to interest-rate
|
Freddie Mac Form 10-Q
|
|
61
|
Management's Discussion and Analysis
|
Forward-Looking Statements
|
•
|
Our ability to issue new securities, make timely payments and provide initial and ongoing disclosures;
|
•
|
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 and our 2016 Annual Report, including in the “MD&A” section.
|
Freddie Mac Form 10-Q
|
|
62
|
Financial Statements
|
|
Freddie Mac Form 10-Q
|
|
63
|
Financial Statements
|
Condensed Consolidated Statements of Comprehensive Income
|
(In millions, except share-related amounts)
|
1Q 2017
|
|
1Q 2016
|
||||
Interest income
|
|
|
|
||||
Mortgage loans
|
|
$15,965
|
|
|
|
$15,818
|
|
Investments in securities
|
914
|
|
|
969
|
|
||
Other
|
101
|
|
|
57
|
|
||
Total interest income
|
16,980
|
|
|
16,844
|
|
||
Interest expense
|
(13,142
|
)
|
|
(13,388
|
)
|
||
Expense related to derivatives
|
(43
|
)
|
|
(51
|
)
|
||
Net interest income
|
3,795
|
|
|
3,405
|
|
||
Benefit (provision) for credit losses
|
116
|
|
|
467
|
|
||
Net interest income after benefit (provision) for credit losses
|
3,911
|
|
|
3,872
|
|
||
Non-interest income (loss)
|
|
|
|
||||
Gains (losses) on extinguishment of debt
|
218
|
|
|
(55
|
)
|
||
Derivative gains (losses)
|
(302
|
)
|
|
(4,561
|
)
|
||
Net impairment of available-for-sale securities recognized in earnings
|
(13
|
)
|
|
(57
|
)
|
||
Other gains on investment securities recognized in earnings
|
56
|
|
|
303
|
|
||
Other income (loss)
|
415
|
|
|
947
|
|
||
Non-interest income (loss)
|
374
|
|
|
(3,423
|
)
|
||
Non-interest expense
|
|
|
|
||||
Salaries and employee benefits
|
(275
|
)
|
|
(239
|
)
|
||
Professional services
|
(112
|
)
|
|
(101
|
)
|
||
Occupancy expense
|
(13
|
)
|
|
(13
|
)
|
||
Other administrative expense
|
(111
|
)
|
|
(95
|
)
|
||
Total administrative expense
|
(511
|
)
|
|
(448
|
)
|
||
Real estate owned operations expense
|
(56
|
)
|
|
(84
|
)
|
||
Temporary Payroll Tax Cut Continuation Act of 2011 expense
|
(321
|
)
|
|
(272
|
)
|
||
Other expense
|
(76
|
)
|
|
(153
|
)
|
||
Non-interest expense
|
(964
|
)
|
|
(957
|
)
|
||
Income (loss) before income tax (expense) benefit
|
3,321
|
|
|
(508
|
)
|
||
Income tax (expense) benefit
|
(1,110
|
)
|
|
154
|
|
||
Net income (loss)
|
2,211
|
|
|
(354
|
)
|
||
Other comprehensive income (loss), net of taxes and reclassification adjustments:
|
|
|
|
||||
Changes in unrealized gains (losses) related to available-for-sale securities
|
(2
|
)
|
|
119
|
|
||
Changes in unrealized gains (losses) related to cash flow hedge relationships
|
28
|
|
|
34
|
|
||
Changes in defined benefit plans
|
(3
|
)
|
|
1
|
|
||
Total other comprehensive income (loss), net of taxes and reclassification adjustments
|
23
|
|
|
154
|
|
||
Comprehensive income (loss)
|
|
$2,234
|
|
|
|
($200
|
)
|
Net income (loss)
|
|
$2,211
|
|
|
|
($354
|
)
|
Undistributed net worth sweep and senior preferred stock dividends
|
(2,234
|
)
|
|
—
|
|
||
Net income (loss) attributable to common stockholders
|
|
($23
|
)
|
|
|
($354
|
)
|
Net income (loss) per common share — basic and diluted
|
|
($0.01
|
)
|
|
|
($0.11
|
)
|
Weighted average common shares outstanding (in millions) — basic and diluted
|
3,234
|
|
|
3,234
|
|
Freddie Mac Form 10-Q
|
|
64
|
Financial Statements
|
Condensed Consolidated Balance Sheets
|
|
|
March 31,
|
|
December 31,
|
||||
(In millions, except share-related amounts)
|
|
2017
|
|
2016
|
||||
Assets
|
|
|
|
|
||||
Cash and cash equivalents (Note 12)
|
|
|
$10,679
|
|
|
|
$12,369
|
|
Restricted cash and cash equivalents (Notes 3, 12)
|
|
1,837
|
|
|
9,851
|
|
||
Securities purchased under agreements to resell (Notes 3, 8)
|
|
51,257
|
|
|
51,548
|
|
||
Investments in securities, at fair value (Note 5)
|
|
108,627
|
|
|
111,547
|
|
||
Mortgage loans held-for-sale (Note 4) (includes $17,687 and $16,255 at fair value)
|
|
19,666
|
|
|
18,088
|
|
||
Mortgage loans held-for-investment (Notes 3, 4) (net of allowance for loan losses of $12,739 and $13,431)
|
|
1,807,950
|
|
|
1,784,915
|
|
||
Accrued interest receivable (Note 3)
|
|
6,221
|
|
|
6,135
|
|
||
Derivative assets, net (Notes 7, 8)
|
|
569
|
|
|
747
|
|
||
Deferred tax assets, net (Note 10)
|
|
15,806
|
|
|
15,818
|
|
||
Other assets (Notes 3, 16) (includes $2,474 and $2,408 at fair value)
|
|
9,696
|
|
|
12,358
|
|
||
Total assets
|
|
|
$2,032,308
|
|
|
|
$2,023,376
|
|
Liabilities and equity
|
|
|
|
|
||||
Liabilities
|
|
|
|
|
||||
Accrued interest payable (Note 3)
|
|
|
$5,897
|
|
|
|
$6,015
|
|
Debt, net (Notes 3, 6) (includes $6,253 and $6,010 at fair value)
|
|
2,018,444
|
|
|
2,002,004
|
|
||
Derivative liabilities, net (Notes 7, 8)
|
|
335
|
|
|
795
|
|
||
Other liabilities (Notes 3, 16)
|
|
4,798
|
|
|
9,487
|
|
||
Total liabilities
|
|
2,029,474
|
|
|
2,018,301
|
|
||
Commitments and contingencies (Notes 3, 7, and 14)
|
|
|
|
|
||||
Equity (Note 9)
|
|
|
|
|
||||
Senior preferred stock
|
|
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 650,054,731 shares and 650,046,828 shares outstanding
|
|
—
|
|
|
—
|
|
||
Additional paid-in capital
|
|
—
|
|
|
—
|
|
||
Retained earnings (accumulated deficit)
|
|
(80,207
|
)
|
|
(77,941
|
)
|
||
AOCI, net of taxes, related to:
|
|
|
|
|
||||
Available-for-sale securities (includes $716 and $782, related to net unrealized gains on securities for which other-than-temporary impairment has been recognized in earnings)
|
|
913
|
|
|
915
|
|
||
Cash flow hedge relationships
|
|
(452
|
)
|
|
(480
|
)
|
||
Defined benefit plans
|
|
18
|
|
|
21
|
|
||
Total AOCI, net of taxes
|
|
479
|
|
|
456
|
|
||
Treasury stock, at cost, 75,809,155 shares and 75,817,058 shares
|
|
(3,883
|
)
|
|
(3,885
|
)
|
||
Total equity (See Note 9 for information on our dividend obligation to Treasury)
|
|
2,834
|
|
|
5,075
|
|
||
Total liabilities and equity
|
|
|
$2,032,308
|
|
|
|
$2,023,376
|
|
|
|
March 31,
|
|
December 31,
|
||||
(In millions)
|
|
2017
|
|
2016
|
||||
Consolidated Balance Sheet Line Item
|
|
|
|
|
||||
Assets: (Note 3)
|
|
|
|
|
||||
Mortgage loans held-for-investment
|
|
|
$1,720,208
|
|
|
|
$1,690,218
|
|
All other assets
|
|
24,989
|
|
|
32,262
|
|
||
Total assets of consolidated VIEs
|
|
|
$1,745,197
|
|
|
|
$1,722,480
|
|
Liabilities: (Note 3)
|
|
|
|
|
||||
Debt, net
|
|
|
$1,663,811
|
|
|
|
$1,648,683
|
|
All other liabilities
|
|
4,872
|
|
|
4,846
|
|
||
Total liabilities of consolidated VIEs
|
|
|
$1,668,683
|
|
|
|
$1,653,529
|
|
Freddie Mac Form 10-Q
|
|
65
|
Financial Statements
|
Condensed Consolidated Statements of Cash Flows
|
(In millions)
|
1Q 2017
|
|
1Q 2016
|
||||
Net cash provided by (used in) operating activities
|
|
$54
|
|
|
|
($4,086
|
)
|
Cash flows from investing activities
|
|
|
|
||||
Purchases of trading securities
|
(55,647
|
)
|
|
(8,104
|
)
|
||
Proceeds from sales of trading securities
|
44,936
|
|
|
3,234
|
|
||
Proceeds from maturities and repayments of trading securities
|
2,383
|
|
|
7,692
|
|
||
Purchases of available-for-sale securities
|
(2,610
|
)
|
|
(3,009
|
)
|
||
Proceeds from sales of available-for-sale securities
|
5,327
|
|
|
2,404
|
|
||
Proceeds from maturities and repayments of available-for-sale securities
|
3,796
|
|
|
4,808
|
|
||
Purchases of held-for-investment mortgage loans
|
(26,993
|
)
|
|
(28,577
|
)
|
||
Proceeds from sales of mortgage loans held-for-investment
|
96
|
|
|
832
|
|
||
Repayments of mortgage loans held-for-investment
|
64,253
|
|
|
64,343
|
|
||
(Increase) decrease in restricted cash
|
8,014
|
|
|
(2,138
|
)
|
||
Advances to lenders
|
(8,251
|
)
|
|
(3,579
|
)
|
||
Net proceeds from dispositions of real estate owned and other recoveries
|
473
|
|
|
665
|
|
||
Net (increase) decrease in securities purchased under agreements to resell
|
291
|
|
|
23,546
|
|
||
Derivative premiums and terminations and swap collateral, net
|
(240
|
)
|
|
(4,094
|
)
|
||
Changes in other assets
|
(77
|
)
|
|
(73
|
)
|
||
Net cash provided by investing activities
|
35,751
|
|
|
57,950
|
|
||
Cash flows from financing activities
|
|
|
|
||||
Proceeds from issuance of debt securities of consolidated trusts held by third parties
|
43,036
|
|
|
40,722
|
|
||
Repayments and redemptions of debt securities of consolidated trusts held by third parties
|
(77,193
|
)
|
|
(65,494
|
)
|
||
Proceeds from issuance of other debt
|
165,060
|
|
|
145,003
|
|
||
Repayments of other debt
|
(163,923
|
)
|
|
(171,791
|
)
|
||
Payment of cash dividends on senior preferred stock
|
(4,475
|
)
|
|
(1,740
|
)
|
||
Changes in other liabilities
|
—
|
|
|
(1
|
)
|
||
Net cash used in financing activities
|
(37,495
|
)
|
|
(53,301
|
)
|
||
Net (decrease) increase in cash and cash equivalents
|
(1,690
|
)
|
|
563
|
|
||
Cash and cash equivalents at beginning of year
|
12,369
|
|
|
5,595
|
|
||
Cash and cash equivalents at end of period
|
|
$10,679
|
|
|
|
$6,158
|
|
|
|
|
|
||||
Supplemental cash flow information
|
|
|
|
||||
Cash paid for:
|
|
|
|
||||
Debt interest
|
|
$15,647
|
|
|
|
$15,438
|
|
Income taxes
|
—
|
|
|
573
|
|
||
Non-cash investing and financing activities (Note 4)
|
|
|
|
Freddie Mac Form 10-Q
|
|
66
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 1
|
Freddie Mac Form 10-Q
|
|
67
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 1
|
Standard
|
Description
|
Date of Adoption
|
Effect on Consolidated Financial Statements
|
ASU 2016-06, Derivatives and Hedging (Topic 815)
|
The amendment clarifies the requirements for assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. An entity performing the assessment under the amendment is required to assess the embedded call (put) options solely in accordance with the four-step decision sequence.
|
January 1, 2017
|
The adoption of this amendment did not have a material effect on our consolidated financial statements.
|
ASU 2016-17 - Consolidation (Topic 810): Interests Held through Related Parties That Are under Common Control
|
The Board is issuing this Update to amend the consolidation guidance on how a reporting entity that is the single decision maker of a VIE should treat indirect interests in the entity held through related parties that are under common control with the reporting entity when determining whether it is the primary beneficiary of that VIE.
|
January 1, 2017
|
The adoption of this amendment did not have a material effect on our consolidated financial statements.
|
Freddie Mac Form 10-Q
|
|
68
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 1
|
Standard
|
Description
|
Date of Adoption
|
Effect on Consolidated Financial Statements
|
ASU 2016-15, Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments (a consensus of the Emerging Issues Task Force)
|
The main objective of this Update is to address the diversity in practice that currently exists in regards to how certain cash receipts and cash payments are presented and classified in the statement of cash flows under Topic 230, Statement of Cash Flows, and other Topics. This Update addresses eight specific cash flow issues with the objective of reducing the existing diversity in practice.
|
January 1, 2018
|
We are evaluating the effect that the adoption of this amendment will have on our consolidated financial statements.
|
ASU 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash (a consensus of the FASB Emerging Issues Task Force)
|
The amendments in this Update address the diversity in the classification and presentation of changes in restricted cash on the statement of cash flows under Topic 230, Statement of Cash Flows. Specifically, this amendment dictates that the statement of cash flows should explain the change in the period of the total of cash, cash equivalents, and restricted cash balances.
|
January 1, 2018
|
The adoption of this amendment will not have a material effect on our consolidated financial statements.
|
ASU 2016-13, Financial Instruments—Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments
|
The amendments in this Update replace the incurred loss impairment methodology in current GAAP with a methodology that reflects lifetime expected credit losses and requires consideration of a broader range of reasonable and supportable information to inform credit loss estimates.
|
January 1, 2020
|
While we are evaluating the effect that the adoption of this amendment will have on our consolidated financial statements, it will increase (perhaps substantially) our provision for credit losses in the period of adoption.
|
Freddie Mac Form 10-Q
|
|
69
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 2
|
•
|
Keeping us solvent;
|
•
|
Allowing us to focus on our primary business objectives under conservatorship; and
|
•
|
Avoiding the appointment of a receiver by FHFA under statutory mandatory receivership provisions.
|
Freddie Mac Form 10-Q
|
|
70
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 2
|
Freddie Mac Form 10-Q
|
|
71
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 3
|
(In millions)
|
|
March 31, 2017
|
|
December 31, 2016
|
||||
Consolidated Balance Sheet Line Item
|
|
|
|
|
||||
Assets:
|
|
|
|
|
||||
Restricted cash and cash equivalents
|
|
|
$1,382
|
|
|
|
$9,431
|
|
Securities purchased under agreements to resell
|
|
15,725
|
|
|
13,550
|
|
||
Mortgage loans held-for-investment
|
|
1,720,208
|
|
|
1,690,218
|
|
||
Accrued interest receivable
|
|
5,547
|
|
|
5,454
|
|
||
Other assets
|
|
2,335
|
|
|
3,827
|
|
||
Total assets of consolidated VIEs
|
|
|
$1,745,197
|
|
|
|
$1,722,480
|
|
Liabilities:
|
|
|
|
|
||||
Accrued interest payable
|
|
|
$4,872
|
|
|
|
$4,846
|
|
Debt, net
|
|
1,663,811
|
|
|
1,648,683
|
|
||
Total liabilities of consolidated VIEs
|
|
|
$1,668,683
|
|
|
|
$1,653,529
|
|
Freddie Mac Form 10-Q
|
|
72
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 3
|
|
|
March 31, 2017
|
|
December 31, 2016
|
||||
(In millions)
|
|
|
|
|
||||
Assets and Liabilities Recorded on our Consolidated Balance Sheets
(1)
|
|
|
|
|
||||
Assets:
|
|
|
|
|
||||
Investments in securities
|
|
|
$55,471
|
|
|
|
$58,995
|
|
Accrued interest receivable
|
|
244
|
|
|
254
|
|
||
Other assets
|
|
1,767
|
|
|
1,708
|
|
||
Liabilities:
|
|
|
|
|
||||
Other liabilities
|
|
1,629
|
|
|
1,604
|
|
||
Maximum Exposure to Loss
|
|
|
$156,242
|
|
|
|
$150,227
|
|
Total Assets of Non-Consolidated VIEs
|
|
|
$182,716
|
|
|
|
$175,713
|
|
(1)
|
Includes our variable interests in REMICs and Stripped Giant PCs, K Certificates, SB Certificates, senior subordinate securitization structures, and other securitization products that we do not consolidate. Our maximum exposure to loss includes the guaranteed UPB of assets held by the non-consolidated VIEs related to K Certificates, SB Certificates, senior subordinate securitization structures, and other securitization products. Our maximum exposure to loss excludes investments in REMICs and Stripped Giant PCs, because we already consolidate the collateral of these trusts on our consolidated balance sheets.
|
|
March 31, 2017
|
|
December 31, 2016
|
||||||||||||||||
(Dollars in millions, terms in years)
|
Maximum
Exposure (1) |
|
Recognized
Liability (2) |
|
Maximum
Remaining
Term
|
|
Maximum
Exposure (1) |
|
Recognized
Liability (2) |
|
Maximum
Remaining
Term
|
||||||||
K Certificates, SB Certificates, senior subordinate securitization structures, and other securitization products
|
|
$156,215
|
|
|
|
$1,563
|
|
|
40
|
|
|
$150,227
|
|
|
|
$1,532
|
|
|
40
|
Other mortgage-related guarantees
|
16,099
|
|
|
668
|
|
|
34
|
|
16,445
|
|
|
679
|
|
|
34
|
||||
Derivative instruments
|
8,783
|
|
|
121
|
|
|
28
|
|
6,396
|
|
|
127
|
|
|
29
|
(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. For derivative instruments, this amount represents the notional value.
|
Freddie Mac Form 10-Q
|
|
73
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 3
|
(2)
|
For K Certificates, SB Certificates, senior subordinate securitization structures, other securitization products, and other mortgage-related guarantees, this amount represents the guarantee obligation on our consolidated balance sheets. This amount excludes our reserve for guarantee losses, which totaled
$64 million
and
$67 million
as of
March 31, 2017
and
December 31, 2016
, respectively, and is included within other liabilities on our consolidated balance sheets.
|
|
|
UPB at
|
|
Maximum Coverage
(1)
at
|
||||||||||||
(In millions)
|
|
March 31, 2017
|
|
December 31, 2016
|
|
March 31, 2017
|
|
December 31, 2016
|
||||||||
K Certificates and SB Certificates
|
|
|
$145,793
|
|
|
|
$139,416
|
|
|
|
$25,104
|
|
|
|
$23,864
|
|
Other securitization products
|
|
6,403
|
|
|
5,545
|
|
|
1,391
|
|
|
1,359
|
|
||||
Total
|
|
|
$152,196
|
|
|
|
$144,961
|
|
|
|
$26,495
|
|
|
|
$25,223
|
|
(1)
|
For K Certificates and SB Certificates, this represents the UPB of the securities that are subordinate to our guarantee. For other securitization products, this represents the remaining amount of loss recovery that is available subject to the terms of the counterparty agreement or the UPB of the securities that are subordinate to our guarantee.
|
Freddie Mac Form 10-Q
|
|
74
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
|
|
March 31, 2017
|
|
December 31, 2016
|
||||||||||||||||||||
(In millions)
|
|
Held by Freddie Mac
|
|
Held by
consolidated trusts |
|
Total
|
|
Held by Freddie Mac
|
|
Held by
consolidated trusts |
|
Total
|
||||||||||||
Held-for-sale:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family
|
|
|
$2,429
|
|
|
|
$—
|
|
|
|
$2,429
|
|
|
|
$2,092
|
|
|
|
$—
|
|
|
|
$2,092
|
|
Multifamily
|
|
17,758
|
|
|
—
|
|
|
17,758
|
|
|
16,544
|
|
|
—
|
|
|
16,544
|
|
||||||
Total UPB
|
|
20,187
|
|
|
—
|
|
|
20,187
|
|
|
18,636
|
|
|
—
|
|
|
18,636
|
|
||||||
Cost basis and fair value adjustments, net
|
|
(521
|
)
|
|
—
|
|
|
(521
|
)
|
|
(548
|
)
|
|
—
|
|
|
(548
|
)
|
||||||
Total held-for-sale loans
|
|
19,666
|
|
|
—
|
|
|
19,666
|
|
|
18,088
|
|
|
—
|
|
|
18,088
|
|
||||||
Held-for-investment:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family
|
|
76,571
|
|
|
1,690,177
|
|
|
1,766,748
|
|
|
83,040
|
|
|
1,659,591
|
|
|
1,742,631
|
|
||||||
Multifamily
|
|
24,642
|
|
|
3,165
|
|
|
27,807
|
|
|
25,873
|
|
|
3,048
|
|
|
28,921
|
|
||||||
Total UPB
|
|
101,213
|
|
|
1,693,342
|
|
|
1,794,555
|
|
|
108,913
|
|
|
1,662,639
|
|
|
1,771,552
|
|
||||||
Cost basis adjustments
|
|
(3,587
|
)
|
|
29,721
|
|
|
26,134
|
|
|
(3,755
|
)
|
|
30,549
|
|
|
26,794
|
|
||||||
Allowance for loan losses
|
|
(9,884
|
)
|
|
(2,855
|
)
|
|
(12,739
|
)
|
|
(10,461
|
)
|
|
(2,970
|
)
|
|
(13,431
|
)
|
||||||
Total held-for-investment loans
|
|
87,742
|
|
|
1,720,208
|
|
|
1,807,950
|
|
|
94,697
|
|
|
1,690,218
|
|
|
1,784,915
|
|
||||||
Total loans, net
|
|
|
$107,408
|
|
|
|
$1,720,208
|
|
|
|
$1,827,616
|
|
|
|
$112,785
|
|
|
|
$1,690,218
|
|
|
|
$1,803,003
|
|
Freddie Mac Form 10-Q
|
|
75
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
•
|
Loans within the Alt-A category continue to be presented in that category following modification, even though the borrower may have provided full documentation of assets and income to complete the modification; and
|
•
|
Loans within the option ARM category continue to be presented in that category following modification, even though the modified loan no longer provides for optional payment or adjustable interest-rate provisions.
|
|
March 31, 2017
|
|
December 31, 2016
|
||||||||||||||||||||||||||||
|
Current LTV Ratio
|
|
|
|
Current LTV Ratio
|
|
|
||||||||||||||||||||||||
(In millions)
|
≤ 80
|
|
> 80 to 100
|
|
> 100
(1)
|
|
Total
|
|
≤ 80
|
|
> 80 to 100
|
|
> 100
(1)
|
|
Total
|
||||||||||||||||
20 and 30-year or more, amortizing fixed-rate
(2)
|
|
$1,156,759
|
|
|
|
$230,440
|
|
|
|
$26,133
|
|
|
|
$1,413,332
|
|
|
|
$1,120,722
|
|
|
|
$236,111
|
|
|
|
$30,063
|
|
|
|
$1,386,896
|
|
15-year amortizing fixed-rate
(2)
|
276,869
|
|
|
10,128
|
|
|
717
|
|
|
287,714
|
|
|
274,967
|
|
|
11,016
|
|
|
887
|
|
|
286,870
|
|
||||||||
Adjustable-rate
|
51,395
|
|
|
3,040
|
|
|
64
|
|
|
54,499
|
|
|
52,319
|
|
|
2,955
|
|
|
85
|
|
|
55,359
|
|
||||||||
Alt-A, interest-only, and option ARM
|
25,559
|
|
|
8,076
|
|
|
3,722
|
|
|
37,357
|
|
|
26,293
|
|
|
9,392
|
|
|
4,634
|
|
|
40,319
|
|
||||||||
Total single-family loans
|
|
$1,510,582
|
|
|
|
$251,684
|
|
|
|
$30,636
|
|
|
|
$1,792,902
|
|
|
|
$1,474,301
|
|
|
|
$259,474
|
|
|
|
$35,669
|
|
|
|
$1,769,444
|
|
(1)
|
The serious delinquency rate for the total of single-family held-for-investment mortgage loans with current LTV ratios in excess of 100% was
6.99%
and
6.80%
as of
March 31, 2017
and
December 31, 2016
, respectively.
|
(2)
|
The majority of our loan modifications result in new terms that include fixed interest rates after modification. As of
March 31, 2017
and
December 31, 2016
, we have categorized UPB of approximately
$30.8 billion
and
$32.0 billion
, respectively, of modified loans as fixed-rate loans (instead of as adjustable rate loans), even though the modified loans have rate adjustment provisions. In these cases, while the terms of the modified loans provide for the interest rate to adjust, such rates and the timing of the adjustment are determined at the time of modification rather than at a subsequent date.
|
(In millions)
|
|
March 31, 2017
|
|
December 31, 2016
|
||||
Credit risk profile by internally assigned grade:
(1)
|
|
|
|
|
||||
Pass
|
|
|
$26,907
|
|
|
|
$27,830
|
|
Special mention
|
|
654
|
|
|
502
|
|
||
Substandard
|
|
226
|
|
|
570
|
|
||
Doubtful
|
|
—
|
|
|
—
|
|
||
Total
|
|
|
$27,787
|
|
|
|
$28,902
|
|
(1)
|
A 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 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.
|
Freddie Mac Form 10-Q
|
|
76
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
|
March 31, 2017
|
||||||||||||||||||||||
(In millions)
|
Current
|
|
One
Month
Past Due
|
|
Two
Months
Past Due
|
|
Three
Months or
More Past Due,
or in
Foreclosure
(1)
|
|
Total
|
|
Non-accrual
|
||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
20 and 30-year or more, amortizing fixed-rate
|
|
$1,385,588
|
|
|
|
$13,183
|
|
|
|
$3,958
|
|
|
|
$10,603
|
|
|
|
$1,413,332
|
|
|
|
$10,595
|
|
15-year amortizing fixed-rate
|
286,493
|
|
|
753
|
|
|
151
|
|
|
317
|
|
|
287,714
|
|
|
317
|
|
||||||
Adjustable-rate
|
53,963
|
|
|
272
|
|
|
67
|
|
|
197
|
|
|
54,499
|
|
|
197
|
|
||||||
Alt-A, interest-only, and option ARM
|
33,429
|
|
|
1,461
|
|
|
548
|
|
|
1,919
|
|
|
37,357
|
|
|
1,917
|
|
||||||
Total single-family
|
1,759,473
|
|
|
15,669
|
|
|
4,724
|
|
|
13,036
|
|
|
1,792,902
|
|
|
13,026
|
|
||||||
Total multifamily
|
27,787
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
27,787
|
|
|
70
|
|
||||||
Total single-family and multifamily
|
|
$1,787,260
|
|
|
|
$15,669
|
|
|
|
$4,724
|
|
|
|
$13,036
|
|
|
|
$1,820,689
|
|
|
|
$13,096
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2016
|
||||||||||||||||||||||
(In millions)
|
Current
|
|
One
Month
Past Due
|
|
Two
Months
Past Due
|
|
Three
Months or More Past Due, or in Foreclosure (1) |
|
Total
|
|
Non-accrual
|
||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
20 and 30-year or more, amortizing fixed-rate
|
|
$1,354,511
|
|
|
|
$16,645
|
|
|
|
$4,865
|
|
|
|
$10,875
|
|
|
|
$1,386,896
|
|
|
|
$10,868
|
|
15-year amortizing fixed-rate
|
285,373
|
|
|
1,010
|
|
|
178
|
|
|
309
|
|
|
286,870
|
|
|
309
|
|
||||||
Adjustable-rate
|
54,738
|
|
|
354
|
|
|
77
|
|
|
190
|
|
|
55,359
|
|
|
190
|
|
||||||
Alt-A, interest-only, and option ARM
|
35,994
|
|
|
1,748
|
|
|
650
|
|
|
1,927
|
|
|
40,319
|
|
|
1,927
|
|
||||||
Total single-family
|
1,730,616
|
|
|
19,757
|
|
|
5,770
|
|
|
13,301
|
|
|
1,769,444
|
|
|
13,294
|
|
||||||
Total multifamily
|
28,902
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
28,902
|
|
|
89
|
|
||||||
Total single-family and multifamily
|
|
$1,759,518
|
|
|
|
$19,757
|
|
|
|
$5,770
|
|
|
|
$13,301
|
|
|
|
$1,798,346
|
|
|
|
$13,383
|
|
(1)
|
Includes
$5.6 billion
and
$5.3 billion
of loans that were in the process of foreclosure as of
March 31, 2017
and
December 31, 2016
, respectively.
|
Freddie Mac Form 10-Q
|
|
77
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
(Dollars in millions)
|
|
March 31, 2017
|
|
December 31, 2016
|
||||
Single-family:
(1)
|
|
|
|
|
||||
Non-credit-enhanced portfolio
|
|
|
|
|
||||
Serious delinquency rate
|
|
0.96
|
%
|
|
1.02
|
%
|
||
Total number of seriously delinquent loans
|
|
72,249
|
|
|
77,662
|
|
||
Credit-enhanced portfolio:
(2)
|
|
|
|
|
||||
Primary mortgage insurance:
|
|
|
|
|
||||
Serious delinquency rate
|
|
1.31
|
%
|
|
1.46
|
%
|
||
Total number of seriously delinquent loans
|
|
19,670
|
|
|
21,460
|
|
||
Other credit protection:
(3)
|
|
|
|
|
||||
Serious delinquency rate
|
|
0.37
|
%
|
|
0.43
|
%
|
||
Total number of seriously delinquent loans
|
|
9,147
|
|
|
9,455
|
|
||
Total single-family:
|
|
|
|
|
||||
Serious delinquency rate
|
|
0.92
|
%
|
|
1.00
|
%
|
||
Total number of seriously delinquent loans
|
|
99,570
|
|
|
107,170
|
|
||
Multifamily:
(4)
|
|
|
|
|
||||
Non-credit-enhanced portfolio:
|
|
|
|
|
||||
Delinquency rate
|
|
0.05
|
%
|
|
0.04
|
%
|
||
UPB of delinquent loans
|
|
|
$23
|
|
|
|
$19
|
|
Credit-enhanced portfolio:
|
|
|
|
|
||||
Delinquency rate
|
|
0.02
|
%
|
|
0.02
|
%
|
||
UPB of delinquent loans
|
|
|
$37
|
|
|
|
$37
|
|
Total Multifamily:
|
|
|
|
|
||||
Delinquency rate
|
|
0.03
|
%
|
|
0.03
|
%
|
||
UPB of delinquent loans
|
|
|
$60
|
|
|
|
$56
|
|
(1)
|
Serious delinquencies on single-family loans underlying certain REMICs, other securitization products, and other mortgage-related guarantees 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 loan may be covered by both primary mortgage insurance and other credit protection.
|
(3)
|
Consists of single-family loans covered by financial arrangements (other than primary mortgage insurance) that are designed to reduce our credit risk exposure. See "Credit Protection and Other Forms of Credit Enhancement" for more information.
|
(4)
|
Multifamily delinquency performance is based on UPB of loans that are two monthly payments or more past due or those in the process of foreclosure.
|
•
|
Our allowance for loan losses, which pertains to all single-family and multifamily loans classified as held-for-investment on our consolidated balance sheets; and
|
•
|
Our reserve for guarantee losses, which pertains to single-family and multifamily loans underlying our K Certificates, other securitization products, and other mortgage-related guarantees.
|
Freddie Mac Form 10-Q
|
|
78
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
|
1Q 2017
|
|
1Q 2016
|
||||||||||||||||||||||||||||
|
Allowance for Loan Losses
|
|
Reserve for
Guarantee Losses |
|
|
|
Allowance for Loan Losses
|
|
Reserve for
Guarantee Losses |
|
|
||||||||||||||||||||
(In millions)
|
Held by Freddie Mac
|
|
Held By
Consolidated Trusts |
|
|
Total
|
|
Held by Freddie Mac
|
|
Held By
Consolidated Trusts |
|
|
Total
|
||||||||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Beginning balance
|
|
$10,442
|
|
|
|
$2,969
|
|
|
|
$54
|
|
|
|
$13,465
|
|
|
|
$12,516
|
|
|
|
$2,775
|
|
|
|
$57
|
|
|
|
$15,348
|
|
Provision (benefit) for credit losses
|
(216
|
)
|
|
106
|
|
|
—
|
|
|
(110
|
)
|
|
(435
|
)
|
|
(29
|
)
|
|
2
|
|
|
(462
|
)
|
||||||||
Charge-offs
(1)
|
(697
|
)
|
|
(43
|
)
|
|
—
|
|
|
(740
|
)
|
|
(499
|
)
|
|
(68
|
)
|
|
(2
|
)
|
|
(569
|
)
|
||||||||
Recoveries
|
95
|
|
|
2
|
|
|
—
|
|
|
97
|
|
|
126
|
|
|
2
|
|
|
—
|
|
|
128
|
|
||||||||
Transfers, net
(2)
|
242
|
|
|
(180
|
)
|
|
—
|
|
|
62
|
|
|
(41
|
)
|
|
139
|
|
|
—
|
|
|
98
|
|
||||||||
Ending balance
|
9,866
|
|
|
2,854
|
|
|
54
|
|
|
12,774
|
|
|
11,667
|
|
|
2,819
|
|
|
57
|
|
|
14,543
|
|
||||||||
Multifamily ending balance
|
18
|
|
|
1
|
|
|
10
|
|
|
29
|
|
|
34
|
|
|
1
|
|
|
17
|
|
|
52
|
|
||||||||
Total ending balance
|
|
$9,884
|
|
|
|
$2,855
|
|
|
|
$64
|
|
|
|
$12,803
|
|
|
|
$11,701
|
|
|
|
$2,820
|
|
|
|
$74
|
|
|
|
$14,595
|
|
(1)
|
1Q 2016 does not include lower-of-cost-or-fair-value adjustments and other expenses related to property taxes and insurance recognized when we transfer loans from held-for-investment to held-for-sale, which totaled
$98 million
. 1Q 2017 includes charge-offs of
$364 million
related to the transfer of loans from held-for-investment to held-for-sale.
|
(2)
|
Consists of approximately
$0.1 billion
during both 1Q 2017 and 1Q 2016 attributable to capitalization of past due interest on modified loans. Also includes amounts associated with reclassified single-family reserves related to our removal of loans previously held by consolidated trusts, net of reclassifications for single-family loans subsequently resecuritized after such removal.
|
|
|
1Q 2017
|
|
1Q 2016
|
||||||||||
(Dollars in millions)
|
|
Number of
Loans |
|
Post-TDR
Recorded Investment |
|
Number of
Loans |
|
Post-TDR
Recorded Investment |
||||||
Single-family:
(1)
|
|
|
|
|
|
|
|
|
||||||
20 and 30-year or more, amortizing fixed-rate
|
|
8,964
|
|
|
|
$1,283
|
|
|
10,332
|
|
|
|
$1,456
|
|
15-year amortizing fixed-rate
|
|
1,192
|
|
|
88
|
|
|
1,318
|
|
|
94
|
|
||
Adjustable-rate
|
|
250
|
|
|
35
|
|
|
274
|
|
|
40
|
|
||
Alt-A, interest-only, and option ARM
|
|
680
|
|
|
114
|
|
|
919
|
|
|
169
|
|
||
Total single-family
|
|
11,086
|
|
|
1,520
|
|
|
12,843
|
|
|
1,759
|
|
||
Multifamily
|
|
—
|
|
|
—
|
|
|
2
|
|
|
8
|
|
||
Total
|
|
11,086
|
|
|
|
$1,520
|
|
|
12,845
|
|
|
|
$1,767
|
|
(1)
|
The pre-TDR recorded investment for single-family loans initially classified as TDR during 1Q 2017 and 1Q 2016 was
$1.5 billion
and
$1.8 billion
, respectively.
|
Freddie Mac Form 10-Q
|
|
79
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
|
1Q 2017
|
|
1Q 2016
|
||||||||||
(Dollars in millions)
|
Number of Loans
|
|
Post-TDR
Recorded
Investment
|
|
Number of Loans
|
|
Post-TDR
Recorded
Investment
|
||||||
Single-family:
|
|
|
|
|
|
|
|
||||||
20 and 30-year or more, amortizing fixed-rate
|
3,356
|
|
|
|
$553
|
|
|
3,992
|
|
|
|
$634
|
|
15-year amortizing fixed-rate
|
168
|
|
|
13
|
|
|
233
|
|
|
18
|
|
||
Adjustable-rate
|
56
|
|
|
8
|
|
|
73
|
|
|
11
|
|
||
Alt-A, interest-only, and option ARM
|
305
|
|
|
64
|
|
|
459
|
|
|
98
|
|
||
Total single-family
|
3,885
|
|
|
|
$638
|
|
|
4,757
|
|
|
|
$761
|
|
Multifamily
|
—
|
|
|
|
$—
|
|
|
—
|
|
|
|
$—
|
|
Freddie Mac Form 10-Q
|
|
80
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
|
|
March 31, 2017
|
December 31, 2016
|
||||||||||||||||||||
(In millions)
|
|
UPB
|
|
Recorded
Investment
|
|
Associated
Allowance
|
UPB
|
|
Recorded Investment
|
|
Associated
Allowance |
||||||||||||
Single-family —
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
With no specific allowance recorded:
(1)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
20 and 30-year or more, amortizing fixed-rate
|
|
|
$5,277
|
|
|
|
$3,997
|
|
|
N/A
|
|
|
$4,963
|
|
|
|
$3,746
|
|
|
N/A
|
|
||
15-year amortizing fixed-rate
|
|
30
|
|
|
26
|
|
|
N/A
|
|
31
|
|
|
26
|
|
|
N/A
|
|
||||||
Adjustable-rate
|
|
310
|
|
|
307
|
|
|
N/A
|
|
292
|
|
|
289
|
|
|
N/A
|
|
||||||
Alt-A, interest-only, and option ARM
|
|
1,999
|
|
|
1,625
|
|
|
N/A
|
|
1,935
|
|
|
1,561
|
|
|
N/A
|
|
||||||
Total with no specific allowance recorded
|
|
7,616
|
|
|
5,955
|
|
|
N/A
|
|
7,221
|
|
|
5,622
|
|
|
N/A
|
|
||||||
With specific allowance recorded:
(2)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
20 and 30-year or more, amortizing fixed-rate
|
|
66,572
|
|
|
64,877
|
|
|
|
($9,208
|
)
|
67,853
|
|
|
66,143
|
|
|
|
($9,678
|
)
|
||||
15-year amortizing fixed-rate
|
|
843
|
|
|
845
|
|
|
(26
|
)
|
847
|
|
|
851
|
|
|
(25
|
)
|
||||||
Adjustable-rate
|
|
291
|
|
|
284
|
|
|
(19
|
)
|
319
|
|
|
312
|
|
|
(19
|
)
|
||||||
Alt-A, interest-only, and option ARM
|
|
11,763
|
|
|
11,171
|
|
|
(2,015
|
)
|
12,699
|
|
|
12,105
|
|
|
(2,258
|
)
|
||||||
Total with specific allowance recorded
|
|
79,469
|
|
|
77,177
|
|
|
(11,268
|
)
|
81,718
|
|
|
79,411
|
|
|
(11,980
|
)
|
||||||
Combined single-family:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
20 and 30-year or more, amortizing fixed-rate
|
|
71,849
|
|
|
68,874
|
|
|
(9,208
|
)
|
72,816
|
|
|
69,889
|
|
|
(9,678
|
)
|
||||||
15-year amortizing fixed-rate
|
|
873
|
|
|
871
|
|
|
(26
|
)
|
878
|
|
|
877
|
|
|
(25
|
)
|
||||||
Adjustable-rate
|
|
601
|
|
|
591
|
|
|
(19
|
)
|
611
|
|
|
601
|
|
|
(19
|
)
|
||||||
Alt-A, interest-only, and option ARM
|
|
13,762
|
|
|
12,796
|
|
|
(2,015
|
)
|
14,634
|
|
|
13,666
|
|
|
(2,258
|
)
|
||||||
Total single-family
|
|
|
$87,085
|
|
|
|
$83,132
|
|
|
|
($11,268
|
)
|
|
$88,939
|
|
|
|
$85,033
|
|
|
|
($11,980
|
)
|
Multifamily —
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
With no specific allowance recorded
(1)
|
|
|
$280
|
|
|
|
$268
|
|
|
N/A
|
|
|
$321
|
|
|
|
$308
|
|
|
N/A
|
|
||
With specific allowance recorded
|
|
42
|
|
|
40
|
|
|
|
($8
|
)
|
44
|
|
|
42
|
|
|
|
($9
|
)
|
||||
Total multifamily
|
|
|
$322
|
|
|
|
$308
|
|
|
|
($8
|
)
|
|
$365
|
|
|
|
$350
|
|
|
|
($9
|
)
|
Total single-family and multifamily
|
|
|
$87,407
|
|
|
|
$83,440
|
|
|
|
($11,276
|
)
|
|
$89,304
|
|
|
|
$85,383
|
|
|
|
($11,989
|
)
|
Freddie Mac Form 10-Q
|
|
81
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
|
|
1Q 2017
|
|
1Q 2016
|
||||||||||||||||||||
(In millions)
|
|
Average
Recorded Investment |
|
Interest
Income Recognized |
|
Interest
Income
Recognized
On Cash
Basis
(3)
|
|
Average
Recorded
Investment
|
|
Interest
Income
Recognized
|
|
Interest
Income
Recognized
On Cash
Basis
(3)
|
||||||||||||
Single-family —
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
With no specific allowance recorded:
(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
20 and 30-year or more, amortizing fixed-rate
|
|
|
$4,031
|
|
|
|
$109
|
|
|
|
$4
|
|
|
|
$4,015
|
|
|
|
$102
|
|
|
|
$2
|
|
15-year amortizing fixed-rate
|
|
26
|
|
|
1
|
|
|
—
|
|
|
37
|
|
|
1
|
|
|
—
|
|
||||||
Adjustable rate
|
|
311
|
|
|
3
|
|
|
—
|
|
|
222
|
|
|
2
|
|
|
—
|
|
||||||
Alt-A, interest-only, and option ARM
|
|
1,655
|
|
|
29
|
|
|
1
|
|
|
1,195
|
|
|
25
|
|
|
1
|
|
||||||
Total with no specific allowance recorded
|
|
6,023
|
|
|
142
|
|
|
5
|
|
|
5,469
|
|
|
130
|
|
|
3
|
|
||||||
With specific allowance recorded:
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
20 and 30-year or more, amortizing fixed-rate
|
|
65,091
|
|
|
670
|
|
|
70
|
|
|
70,731
|
|
|
685
|
|
|
74
|
|
||||||
15-year amortizing fixed-rate
|
|
825
|
|
|
12
|
|
|
2
|
|
|
942
|
|
|
12
|
|
|
2
|
|
||||||
Adjustable rate
|
|
274
|
|
|
3
|
|
|
1
|
|
|
461
|
|
|
5
|
|
|
1
|
|
||||||
Alt-A, interest-only, and option ARM
|
|
11,416
|
|
|
107
|
|
|
11
|
|
|
13,673
|
|
|
124
|
|
|
10
|
|
||||||
Total with specific allowance recorded
|
|
77,606
|
|
|
792
|
|
|
84
|
|
|
85,807
|
|
|
826
|
|
|
87
|
|
||||||
Combined single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
20 and 30-year or more, amortizing fixed-rate
|
|
69,122
|
|
|
779
|
|
|
74
|
|
|
74,746
|
|
|
787
|
|
|
76
|
|
||||||
15-year amortizing fixed-rate
|
|
851
|
|
|
13
|
|
|
2
|
|
|
979
|
|
|
13
|
|
|
2
|
|
||||||
Adjustable rate
|
|
585
|
|
|
6
|
|
|
1
|
|
|
683
|
|
|
7
|
|
|
1
|
|
||||||
Alt-A, interest-only, and option ARM
|
|
13,071
|
|
|
136
|
|
|
12
|
|
|
14,868
|
|
|
149
|
|
|
11
|
|
||||||
Total single-family
|
|
|
$83,629
|
|
|
|
$934
|
|
|
|
$89
|
|
|
|
$91,276
|
|
|
|
$956
|
|
|
|
$90
|
|
Multifamily —
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
With no specific allowance recorded
(1)
|
|
|
$271
|
|
|
|
$3
|
|
|
|
$1
|
|
|
|
$271
|
|
|
|
$3
|
|
|
|
$1
|
|
With specific allowance recorded
|
|
41
|
|
|
1
|
|
|
—
|
|
|
148
|
|
|
2
|
|
|
1
|
|
||||||
Total multifamily
|
|
|
$312
|
|
|
|
$4
|
|
|
|
$1
|
|
|
|
$419
|
|
|
|
$5
|
|
|
|
$2
|
|
Total single-family and multifamily
|
|
|
$83,941
|
|
|
|
$938
|
|
|
|
$90
|
|
|
|
$91,695
|
|
|
|
$961
|
|
|
|
$92
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Individually impaired loans with no specific related valuation allowance primarily represent those loans for which the collateral value is sufficiently in excess of the loan balance to result in recovery of the entire recorded investment if the property were foreclosed upon or otherwise subject to disposition.
|
(2)
|
Consists primarily of loans classified as TDRs.
|
(3)
|
Consists of income recognized during the period related to loans on non-accrual status.
|
Freddie Mac Form 10-Q
|
|
82
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
|
|
March 31, 2017
|
|
December 31, 2016
|
||||||||||||||||||||
(In millions)
|
|
Single-family
|
|
Multifamily
|
|
Total
|
|
Single-family
|
|
Multifamily
|
|
Total
|
||||||||||||
Recorded investment:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Collectively evaluated
|
|
|
$1,709,770
|
|
|
|
$27,479
|
|
|
|
$1,737,249
|
|
|
|
$1,684,411
|
|
|
|
$28,552
|
|
|
|
$1,712,963
|
|
Individually evaluated
|
|
83,132
|
|
|
308
|
|
|
83,440
|
|
|
85,033
|
|
|
350
|
|
|
85,383
|
|
||||||
Total recorded investment
|
|
1,792,902
|
|
|
27,787
|
|
|
1,820,689
|
|
|
1,769,444
|
|
|
28,902
|
|
|
1,798,346
|
|
||||||
Ending balance of the allowance for loan losses:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Collectively evaluated
|
|
(1,452
|
)
|
|
(11
|
)
|
|
(1,463
|
)
|
|
(1,431
|
)
|
|
(11
|
)
|
|
(1,442
|
)
|
||||||
Individually evaluated
|
|
(11,268
|
)
|
|
(8
|
)
|
|
(11,276
|
)
|
|
(11,980
|
)
|
|
(9
|
)
|
|
(11,989
|
)
|
||||||
Total ending balance of the allowance
|
|
(12,720
|
)
|
|
(19
|
)
|
|
(12,739
|
)
|
|
(13,411
|
)
|
|
(20
|
)
|
|
(13,431
|
)
|
||||||
Net investment in loans
|
|
|
$1,780,182
|
|
|
|
$27,768
|
|
|
|
$1,807,950
|
|
|
|
$1,756,033
|
|
|
|
$28,882
|
|
|
|
$1,784,915
|
|
|
|
UPB
(1)
at
|
|
Maximum Coverage
(1)(2)
at
|
||||||||||||
(In millions)
|
|
March 31, 2017
|
|
December 31, 2016
|
|
March 31, 2017
|
|
December 31, 2016
|
||||||||
Credit enhancements at the time we acquire the loan:
|
|
|
|
|
|
|
|
|
||||||||
Primary mortgage insurance
|
|
|
$300,100
|
|
|
|
$291,217
|
|
|
|
$76,604
|
|
|
|
$74,345
|
|
Seller indemnification
(3)
|
|
1,009
|
|
|
1,030
|
|
|
10
|
|
|
10
|
|
||||
Deep MI
(3)(4)
|
|
4,177
|
|
|
3,067
|
|
|
111
|
|
|
81
|
|
||||
Lender recourse and indemnification agreements
(5)
|
|
5,407
|
|
|
5,247
|
|
|
4,804
|
|
|
4,911
|
|
||||
Pool insurance
(5)
|
|
1,638
|
|
|
1,719
|
|
|
594
|
|
|
618
|
|
||||
Other:
|
|
|
|
|
|
|
|
|
||||||||
HFA indemnification
|
|
1,602
|
|
|
1,747
|
|
|
1,602
|
|
|
1,747
|
|
||||
Subordination
|
|
1,817
|
|
|
1,874
|
|
|
216
|
|
|
230
|
|
||||
Other credit enhancements
(5)
|
|
17
|
|
|
17
|
|
|
6
|
|
|
6
|
|
||||
Credit enhancements subsequent to our purchase or guarantee of the loan:
|
|
|
|
|
|
|
|
|
||||||||
STACR debt note
(3)(6)
|
|
475,851
|
|
|
427,978
|
|
|
15,487
|
|
|
14,507
|
|
||||
ACIS transactions
(3)(7)
|
|
500,558
|
|
|
453,670
|
|
|
5,691
|
|
|
5,355
|
|
||||
Whole loan securities and senior subordinate securitization structures
(3)
|
|
3,057
|
|
|
2,494
|
|
|
396
|
|
|
375
|
|
||||
Less: UPB with more than one type of credit enhancement
|
|
(632,376
|
)
|
|
(559,400
|
)
|
|
—
|
|
|
—
|
|
||||
Total
|
|
|
$662,857
|
|
|
|
$630,660
|
|
|
|
$105,521
|
|
|
|
$102,185
|
|
Freddie Mac Form 10-Q
|
|
83
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
(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 loans. Excludes: (a) FHA/VA and other governmental loans; (b) credit protection associated with
$6.4 billion
and
$6.7 billion
in UPB of single-family loans underlying other structured transactions where data was not available as of
March 31, 2017
and
December 31, 2016
, 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. The UPB of single-family loans covered by insurance or partial guarantees issued by federal agencies (such as FHA, VA and USDA) was
$2.7 billion
and
$2.8 billion
as of
March 31, 2017
and
December 31, 2016
, respectively.
|
(2)
|
Except for subordination and whole loan securities, this represents the remaining amount of loss recovery that is available subject to terms of counterparty agreements. For subordination and whole loan securities, this represents the UPB of the securities that are subordinate to our guarantee, which could provide protection by absorbing first losses.
|
(3)
|
Credit risk transfer transactions. The substantial majority of single-family loans covered by these transactions were acquired after 2012.
|
(4)
|
Includes approximately
$4.2 billion
and
$3.1 billion
in UPB at
March 31, 2017
and
December 31, 2016
, where the related loans are also covered by primary mortgage insurance. Deep MI credit risk transfer, or Deep MI, began in the third quarter of 2016.
|
(5)
|
In aggregate, includes approximately
$0.9 billion
and
$1.0 billion
in UPB at
March 31, 2017
and
December 31, 2016
, respectively, where the related loans are also covered by primary mortgage insurance.
|
(6)
|
Includes approximately
$147.8 billion
and
$123.5 billion
in UPB at
March 31, 2017
and
December 31, 2016
, respectively, where the related loans are also covered by primary mortgage insurance. Maximum coverage amounts presented represent the outstanding balance of STACR debt notes held by third parties.
|
(7)
|
Includes
$151.4 billion
and
$127.4 billion
in UPB at
March 31, 2017
and
December 31, 2016
, respectively, where the related loans are also covered by primary mortgage insurance. Maximum coverage amounts presented represent the remaining aggregate limit of insurance purchased from third parties in ACIS transactions.
|
Freddie Mac Form 10-Q
|
|
84
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
Freddie Mac Form 10-Q
|
|
85
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 5
|
(In millions)
|
March 31, 2017
|
|
December 31, 2016
|
||||
Trading securities
|
|
$48,122
|
|
|
|
$44,790
|
|
Available-for-sale securities
|
60,505
|
|
|
66,757
|
|
||
Total
|
|
$108,627
|
|
|
|
$111,547
|
|
(In millions)
|
|
March 31, 2017
|
|
December 31, 2016
|
||||
Mortgage-related securities:
|
|
|
|
|
||||
Freddie Mac
|
|
|
$13,419
|
|
|
|
$15,343
|
|
Other agency
|
|
7,379
|
|
|
8,161
|
|
||
All other
|
|
136
|
|
|
149
|
|
||
Total mortgage-related securities
|
|
20,934
|
|
|
23,653
|
|
||
Non-mortgage-related securities
|
|
27,188
|
|
|
21,137
|
|
||
Total fair value of trading securities
|
|
|
$48,122
|
|
|
|
$44,790
|
|
Freddie Mac Form 10-Q
|
|
86
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 5
|
|
|
March 31, 2017
|
||||||||||||||||||
|
|
|
|
|
|
Gross Unrealized Losses
|
|
|
||||||||||||
(In millions)
|
|
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Other-Than-Temporary Impairment
(1)
|
|
Temporary Impairment
(2)
|
|
Fair
Value
|
||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
|
|
$41,819
|
|
|
|
$598
|
|
|
|
$—
|
|
|
|
($499
|
)
|
|
|
$41,918
|
|
Other agency
|
|
3,874
|
|
|
110
|
|
|
—
|
|
|
(27
|
)
|
|
3,957
|
|
|||||
Non-agency RMBS
|
|
8,178
|
|
|
1,150
|
|
|
(46
|
)
|
|
(12
|
)
|
|
9,270
|
|
|||||
Non-agency CMBS
|
|
4,679
|
|
|
145
|
|
|
(2
|
)
|
|
(22
|
)
|
|
4,800
|
|
|||||
Obligations of states and political subdivisions
|
|
552
|
|
|
8
|
|
|
—
|
|
|
—
|
|
|
560
|
|
|||||
Total available-for-sale securities
|
|
|
$59,102
|
|
|
|
$2,011
|
|
|
|
($48
|
)
|
|
|
($560
|
)
|
|
|
$60,505
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
|
December 31, 2016
|
||||||||||||||||||
|
|
|
|
|
|
Gross Unrealized Losses
|
|
|
||||||||||||
(In millions)
|
|
Amortized
Cost |
|
Gross
Unrealized Gains |
|
Other-Than-Temporary Impairment
(1)
|
|
Temporary Impairment
(2)
|
|
Fair
Value |
||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
|
|
$43,671
|
|
|
|
$563
|
|
|
|
$—
|
|
|
|
($582
|
)
|
|
|
$43,652
|
|
Other agency
|
|
4,127
|
|
|
119
|
|
|
—
|
|
|
(25
|
)
|
|
4,221
|
|
|||||
Non-agency RMBS
|
|
10,606
|
|
|
1,271
|
|
|
(62
|
)
|
|
(18
|
)
|
|
11,797
|
|
|||||
Non-agency CMBS
|
|
6,288
|
|
|
160
|
|
|
(3
|
)
|
|
(23
|
)
|
|
6,422
|
|
|||||
Obligations of states and political subdivisions
|
|
657
|
|
|
8
|
|
|
—
|
|
|
—
|
|
|
665
|
|
|||||
Total available-for-sale securities
|
|
|
$65,349
|
|
|
|
$2,121
|
|
|
|
($65
|
)
|
|
|
($648
|
)
|
|
|
$66,757
|
|
(1)
|
Represents the gross unrealized losses for securities for which we have previously recognized other-than-temporary impairment in earnings.
|
(2)
|
Represents the gross unrealized losses for securities for which we have not previously recognized other-than-temporary impairment in earnings.
|
Freddie Mac Form 10-Q
|
|
87
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 5
|
|
|
March 31, 2017
|
||||||||||||||
|
|
Less than 12 Months
|
|
12 Months or Greater
|
||||||||||||
(In millions)
|
|
Fair
Value
|
|
Gross Unrealized Losses
|
|
Fair
Value
|
|
Gross Unrealized Losses
|
||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
||||||||
Freddie Mac
|
|
|
$18,253
|
|
|
|
($482
|
)
|
|
|
$1,609
|
|
|
|
($17
|
)
|
Other agency
|
|
239
|
|
|
(5
|
)
|
|
2,077
|
|
|
(22
|
)
|
||||
Non-agency RMBS
|
|
172
|
|
|
(5
|
)
|
|
1,308
|
|
|
(53
|
)
|
||||
Non-agency CMBS
|
|
143
|
|
|
(1
|
)
|
|
202
|
|
|
(23
|
)
|
||||
Obligations of states and political subdivisions
|
|
50
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Total available-for-sale securities in a gross unrealized loss position
|
|
|
$18,857
|
|
|
|
($493
|
)
|
|
|
$5,196
|
|
|
|
($115
|
)
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
December 31, 2016
|
||||||||||||||
|
|
Less than 12 Months
|
|
12 Months or Greater
|
||||||||||||
(In millions)
|
|
Fair
Value |
|
Gross Unrealized Losses
|
|
Fair
Value |
|
Gross Unrealized Losses
|
||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
||||||||
Freddie Mac
|
|
|
$19,786
|
|
|
|
($559
|
)
|
|
|
$1,732
|
|
|
|
($23
|
)
|
Other agency
|
|
542
|
|
|
(6
|
)
|
|
2,040
|
|
|
(19
|
)
|
||||
Non-agency RMBS
|
|
309
|
|
|
(1
|
)
|
|
2,188
|
|
|
(79
|
)
|
||||
Non-agency CMBS
|
|
383
|
|
|
(2
|
)
|
|
204
|
|
|
(24
|
)
|
||||
Obligations of states and political subdivisions
|
|
83
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Total available-for-sale securities in a gross unrealized loss position
|
|
|
$21,103
|
|
|
|
($568
|
)
|
|
|
$6,164
|
|
|
|
($145
|
)
|
Freddie Mac Form 10-Q
|
|
88
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 5
|
(Dollars in millions)
|
March 31, 2017
|
||
UPB
|
|
$11,623
|
|
Weighted average collateral cumulative loss
|
22
|
%
|
|
Weighted average voluntary prepayment rates
|
6
|
%
|
(In millions)
|
1Q 2017
|
|
1Q 2016
|
||||
Credit-related other-than-temporary impairment on available-for-sale securities recognized in earnings:
|
|
|
|
||||
Beginning balance — remaining credit losses on available-for-sale securities where a portion of other-than-temporary impairment was recognized in other comprehensive income
|
|
$4,136
|
|
|
|
$5,306
|
|
Additions:
|
|
|
|
||||
Amounts related to credit losses on securities for which an other-than-temporary impairment was previously recognized
|
10
|
|
|
5
|
|
||
Reductions:
|
|
|
|
||||
Amounts related to securities which were sold, written off, or matured
|
(22
|
)
|
|
(55
|
)
|
||
Amounts related to securities which we intend to sell or it is more likely than not that we will be required to sell before recovery of amortized cost basis
|
(288
|
)
|
|
(636
|
)
|
||
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
|
(57
|
)
|
|
(69
|
)
|
||
Ending balance — remaining credit losses on available-for-sale securities where a portion of other-than-temporary impairment was recognized in other comprehensive income
|
|
$3,779
|
|
|
|
$4,551
|
|
Freddie Mac Form 10-Q
|
|
89
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 5
|
(In millions)
|
1Q 2017
|
|
1Q 2016
|
||||
Gross realized gains
|
|
$218
|
|
|
|
$80
|
|
Gross realized losses
|
(28
|
)
|
|
(8
|
)
|
||
Net realized gains (losses)
|
|
$190
|
|
|
|
$72
|
|
|
|
As of March 31, 2017
|
||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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
|
|
|
$41,819
|
|
|
|
$41,918
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$215
|
|
|
|
$215
|
|
|
|
$3,013
|
|
|
|
$3,018
|
|
|
|
$38,591
|
|
|
|
$38,685
|
|
Other agency
|
|
3,874
|
|
|
3,957
|
|
|
1
|
|
|
1
|
|
|
7
|
|
|
7
|
|
|
67
|
|
|
74
|
|
|
3,799
|
|
|
3,875
|
|
||||||||||
Non-agency RMBS
|
|
8,178
|
|
|
9,270
|
|
|
—
|
|
|
—
|
|
|
5
|
|
|
5
|
|
|
22
|
|
|
28
|
|
|
8,151
|
|
|
9,237
|
|
||||||||||
Non-agency CMBS
|
|
4,679
|
|
|
4,800
|
|
|
1
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,678
|
|
|
4,799
|
|
||||||||||
Obligations of states and political subdivisions
|
|
552
|
|
|
560
|
|
|
6
|
|
|
6
|
|
|
12
|
|
|
12
|
|
|
46
|
|
|
49
|
|
|
488
|
|
|
493
|
|
||||||||||
Total available-for-sale securities
|
|
|
$59,102
|
|
|
|
$60,505
|
|
|
|
$8
|
|
|
|
$8
|
|
|
|
$239
|
|
|
|
$239
|
|
|
|
$3,148
|
|
|
|
$3,169
|
|
|
|
$55,707
|
|
|
|
$57,089
|
|
Freddie Mac Form 10-Q
|
|
90
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 6
|
|
Balance, Net
|
|
Interest Expense
|
||||||||||||
(In millions)
|
March 31, 2017
|
|
December 31, 2016
|
|
1Q 2017
|
|
1Q 2016
|
||||||||
Debt securities of consolidated trusts held by third parties
|
|
$1,663,811
|
|
|
|
$1,648,683
|
|
|
|
$11,721
|
|
|
|
$11,791
|
|
Other debt:
|
|
|
|
|
|
|
|
||||||||
Short-term debt
|
79,521
|
|
|
71,451
|
|
|
96
|
|
|
93
|
|
||||
Long-term debt
|
275,112
|
|
|
281,870
|
|
|
1,325
|
|
|
1,504
|
|
||||
Total other debt
|
354,633
|
|
|
353,321
|
|
|
1,421
|
|
|
1,597
|
|
||||
Total debt, net
|
|
$2,018,444
|
|
|
|
$2,002,004
|
|
|
|
$13,142
|
|
|
|
$13,388
|
|
|
March 31, 2017
|
|
December 31, 2016
|
||||||||||||||||||||||
(Dollars in millions)
|
Contractual
Maturity
|
|
UPB
|
|
Carrying Amount
|
|
Weighted
Average
Coupon
(1)
|
|
Contractual
Maturity
|
|
UPB
|
|
Carrying Amount
|
|
Weighted
Average
Coupon
(1)
|
||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
30-year or more, fixed-rate
(2)
|
2017 - 2055
|
|
|
$1,211,494
|
|
|
|
$1,247,588
|
|
|
3.69
|
%
|
|
2017 - 2055
|
|
|
$1,193,329
|
|
|
|
$1,229,849
|
|
|
3.71
|
%
|
20-year fixed-rate
|
2017 - 2037
|
|
73,961
|
|
|
76,194
|
|
|
3.47
|
|
|
2017 - 2037
|
|
74,033
|
|
|
76,331
|
|
|
3.49
|
|
||||
15-year fixed-rate
|
2017 - 2032
|
|
267,726
|
|
|
273,763
|
|
|
2.88
|
|
|
2017 - 2032
|
|
267,739
|
|
|
273,978
|
|
|
2.90
|
|
||||
Adjustable-rate
|
2017 - 2047
|
|
51,472
|
|
|
52,631
|
|
|
2.72
|
|
|
2017 - 2047
|
|
52,991
|
|
|
54,205
|
|
|
2.69
|
|
||||
Interest-only
|
2026 - 2041
|
|
9,294
|
|
|
9,348
|
|
|
3.56
|
|
|
2026 - 2041
|
|
10,007
|
|
|
10,057
|
|
|
3.47
|
|
||||
FHA/VA
|
2017 - 2046
|
|
971
|
|
|
994
|
|
|
4.90
|
|
|
2017 - 2046
|
|
1,015
|
|
|
1,038
|
|
|
4.92
|
|
||||
Total single-family
|
|
|
1,614,918
|
|
|
1,660,518
|
|
|
|
|
|
|
1,599,114
|
|
|
1,645,458
|
|
|
|
||||||
Multifamily
(2)
|
2019 - 2034
|
|
3,243
|
|
|
3,293
|
|
|
4.27
|
|
|
2019 - 2033
|
|
3,048
|
|
|
3,225
|
|
|
4.63
|
|
||||
Total debt securities of consolidated trusts held by third parties
|
|
|
|
$1,618,161
|
|
|
|
$1,663,811
|
|
|
|
|
|
|
|
$1,602,162
|
|
|
|
$1,648,683
|
|
|
|
(1)
|
The effective interest rate for debt securities of consolidated trusts held by third parties was
2.92%
and
2.63%
as of
March 31, 2017
and December 31, 2016, respectively.
|
(2)
|
Carrying amount includes securities recorded at fair value.
|
Freddie Mac Form 10-Q
|
|
91
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 6
|
|
|
March 31, 2017
|
|
December 31, 2016
|
||||||||||||||||||
(Dollars in millions)
|
|
Par Value
|
|
Carrying Amount
(1)
|
|
Weighted
Average
Effective Rate
(2)
|
|
Par Value
|
|
Carrying Amount
(1)
|
|
Weighted
Average
Effective Rate
(2)
|
||||||||||
Other short-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Discount notes and Reference Bills
®
|
|
|
$61,073
|
|
|
|
$60,967
|
|
|
0.66
|
%
|
|
|
$61,042
|
|
|
|
$60,976
|
|
|
0.47
|
%
|
Medium-term notes
|
|
12,007
|
|
|
12,007
|
|
|
0.51
|
|
|
7,435
|
|
|
7,435
|
|
|
0.41
|
|
||||
Securities sold under agreements to repurchase
|
|
6,547
|
|
|
6,547
|
|
|
0.41
|
|
|
3,040
|
|
|
3,040
|
|
|
0.42
|
|
||||
Total other short-term debt
|
|
|
$79,627
|
|
|
|
$79,521
|
|
|
0.62
|
|
|
|
$71,517
|
|
|
|
$71,451
|
|
|
0.47
|
|
Other long-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Original maturities on or before December 31,
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
2017
|
|
|
$64,886
|
|
|
|
$64,892
|
|
|
1.52
|
%
|
|
|
$92,831
|
|
|
|
$92,855
|
|
|
1.43
|
%
|
2018
|
|
72,755
|
|
|
72,843
|
|
|
1.17
|
|
|
71,392
|
|
|
71,500
|
|
|
1.18
|
|
||||
2019
|
|
50,841
|
|
|
50,787
|
|
|
1.58
|
|
|
46,436
|
|
|
46,378
|
|
|
1.59
|
|
||||
2020
|
|
22,459
|
|
|
22,434
|
|
|
1.65
|
|
|
13,274
|
|
|
13,254
|
|
|
1.54
|
|
||||
2021
|
|
20,532
|
|
|
20,500
|
|
|
1.81
|
|
|
20,372
|
|
|
20,341
|
|
|
1.81
|
|
||||
Thereafter
|
|
46,911
|
|
|
43,656
|
|
|
4.20
|
|
|
40,921
|
|
|
37,542
|
|
|
4.36
|
|
||||
Total other long-term debt
(3)
|
|
278,384
|
|
|
275,112
|
|
|
1.90
|
|
|
285,226
|
|
|
281,870
|
|
|
1.81
|
|
||||
Total other debt
|
|
|
$358,011
|
|
|
|
$354,633
|
|
|
|
|
|
$356,743
|
|
|
|
$353,321
|
|
|
|
(1)
|
Represents par value, net of associated discounts or premiums, issuance cost and hedge-related basis adjustments. Includes
$5.7 billion
and
$5.9 billion
at
March 31, 2017
and December 31, 2016, respectively, of other long-term debt that represents the fair value of debt securities with the fair value option elected.
|
(2)
|
Based on carrying amount.
|
(3)
|
Carrying amount for other long-term debt includes callable debt of
$112.0 billion
and
$97.7 billion
at
March 31, 2017
and December 31, 2016, respectively.
|
Freddie Mac Form 10-Q
|
|
92
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 7
|
•
|
Exchange-traded derivatives;
|
•
|
Cleared derivatives; and
|
•
|
OTC derivatives.
|
•
|
LIBOR-based interest-rate swaps;
|
•
|
LIBOR- and Treasury-based options (including swaptions); and
|
•
|
LIBOR- and Treasury-based exchange-traded futures.
|
Freddie Mac Form 10-Q
|
|
93
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 7
|
Freddie Mac Form 10-Q
|
|
94
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 7
|
|
March 31, 2017
|
|
December 31, 2016
|
||||||||||||||||||||
|
Notional or
Contractual
Amount
|
|
Derivatives at Fair Value
|
|
Notional or
Contractual
Amount
|
|
Derivatives at Fair Value
|
||||||||||||||||
(In millions)
|
Assets
|
|
Liabilities
|
|
Assets
|
|
Liabilities
|
||||||||||||||||
Not designated as hedges
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest-rate swaps:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Receive-fixed
|
|
$308,289
|
|
|
|
$2,376
|
|
|
|
($2,273
|
)
|
|
|
$313,106
|
|
|
|
$4,337
|
|
|
|
($2,703
|
)
|
Pay-fixed
|
225,251
|
|
|
1,676
|
|
|
(6,115
|
)
|
|
271,477
|
|
|
2,586
|
|
|
(9,684
|
)
|
||||||
Basis (floating to floating)
|
1,450
|
|
|
—
|
|
|
—
|
|
|
1,450
|
|
|
1
|
|
|
—
|
|
||||||
Total interest-rate swaps
|
534,990
|
|
|
4,052
|
|
|
(8,388
|
)
|
|
586,033
|
|
|
6,924
|
|
|
(12,387
|
)
|
||||||
Option-based:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Call swaptions
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Purchased
|
69,755
|
|
|
2,936
|
|
|
—
|
|
|
60,730
|
|
|
2,817
|
|
|
—
|
|
||||||
Written
|
3,250
|
|
|
—
|
|
|
(82
|
)
|
|
1,350
|
|
|
—
|
|
|
(78
|
)
|
||||||
Put swaptions
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Purchased
(1)
|
52,205
|
|
|
1,597
|
|
|
—
|
|
|
48,080
|
|
|
1,442
|
|
|
—
|
|
||||||
Written
|
3,850
|
|
|
—
|
|
|
(19
|
)
|
|
3,200
|
|
|
—
|
|
|
(28
|
)
|
||||||
Other option-based derivatives
(2)
|
13,636
|
|
|
772
|
|
|
—
|
|
|
11,032
|
|
|
795
|
|
|
—
|
|
||||||
Total option-based
|
142,696
|
|
|
5,305
|
|
|
(101
|
)
|
|
124,392
|
|
|
5,054
|
|
|
(106
|
)
|
||||||
Futures
|
162,748
|
|
|
—
|
|
|
—
|
|
|
138,294
|
|
|
—
|
|
|
—
|
|
||||||
Commitments
|
62,409
|
|
|
144
|
|
|
(147
|
)
|
|
45,353
|
|
|
289
|
|
|
(151
|
)
|
||||||
Credit derivatives
|
2,816
|
|
|
—
|
|
|
(37
|
)
|
|
2,951
|
|
|
1
|
|
|
(27
|
)
|
||||||
Other
|
2,918
|
|
|
1
|
|
|
(20
|
)
|
|
2,879
|
|
|
—
|
|
|
(21
|
)
|
||||||
Total derivatives not designated as hedges
|
908,577
|
|
|
9,502
|
|
|
(8,693
|
)
|
|
899,902
|
|
|
12,268
|
|
|
(12,692
|
)
|
||||||
Designated as fair value hedges
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest-rate swaps:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Pay-fixed
|
44,874
|
|
|
854
|
|
|
(113
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Total derivatives designated as fair value hedges
|
44,874
|
|
|
854
|
|
|
(113
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Derivative interest receivable (payable)
|
|
|
1,113
|
|
|
(1,577
|
)
|
|
|
|
1,442
|
|
|
(1,770
|
)
|
||||||||
Netting adjustments
(3)
|
|
|
(10,900
|
)
|
|
10,048
|
|
|
|
|
(12,963
|
)
|
|
13,667
|
|
||||||||
Total derivative portfolio, net
|
|
$953,451
|
|
|
|
$569
|
|
|
|
($335
|
)
|
|
|
$899,902
|
|
|
|
$747
|
|
|
|
($795
|
)
|
(1)
|
Includes swaptions on credit indices with a notional or contractual amount of
$14.9 billion
and
$10.9 billion
, and a fair value of
$4 million
and
$5 million
at
March 31, 2017
and
December 31, 2016
, respectively.
|
(2)
|
Primarily consists of purchased interest-rate caps and floors and options on Treasury futures.
|
(3)
|
Represents counterparty netting and cash collateral netting.
|
Freddie Mac Form 10-Q
|
|
95
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 7
|
(In millions)
|
1Q 2017
|
|
1Q 2016
|
||||
Not designated as hedges
|
|
|
|
||||
Interest-rate swaps:
|
|
|
|
||||
Receive-fixed
|
|
($569
|
)
|
|
|
$2,944
|
|
Pay-fixed
|
1,242
|
|
|
(8,635
|
)
|
||
Basis (floating to floating)
|
—
|
|
|
1
|
|
||
Total interest-rate swaps
|
673
|
|
|
(5,690
|
)
|
||
Option based:
|
|
|
|
||||
Call swaptions
|
|
|
|
||||
Purchased
|
(331
|
)
|
|
2,099
|
|
||
Written
|
3
|
|
|
(71
|
)
|
||
Put swaptions
|
|
|
|
||||
Purchased
|
(97
|
)
|
|
(278
|
)
|
||
Written
|
18
|
|
|
38
|
|
||
Other option-based derivatives
(1)
|
(23
|
)
|
|
147
|
|
||
Total option-based
|
(430
|
)
|
|
1,935
|
|
||
Other:
|
|
|
|
||||
Futures
|
(115
|
)
|
|
(181
|
)
|
||
Commitments
|
54
|
|
|
(126
|
)
|
||
Credit derivatives
|
(16
|
)
|
|
(8
|
)
|
||
Other
|
(1
|
)
|
|
(1
|
)
|
||
Total other
|
(78
|
)
|
|
(316
|
)
|
||
Accrual of periodic cash settlements:
|
|
|
|
||||
Receive-fixed interest-rate swaps
|
445
|
|
|
617
|
|
||
Pay-fixed interest-rate swaps
|
(912
|
)
|
|
(1,107
|
)
|
||
Total accrual of periodic cash settlements
|
(467
|
)
|
|
(490
|
)
|
||
Total
|
|
($302
|
)
|
|
|
($4,561
|
)
|
(1)
|
Primarily consists of purchased interest-rate caps and floors and options on Treasury futures.
|
|
1Q 2017
|
||||||||
|
Gains (Losses) Recorded in Net Income
|
|
|||||||
(In millions)
|
Derivative
(1)
|
Hedged Item
(1)
|
Hedge Ineffectiveness
(2)
|
||||||
Interest rate risk on mortgage loans held-for-investment
|
|
$65
|
|
|
($26
|
)
|
|
$39
|
|
(1)
|
Gains or losses on derivatives while in fair value hedge relationships and changes in the fair value of the related hedged items attributable to the risk being hedged are both recorded in other income (loss) in our condensed consolidated statements of comprehensive income.
|
(2)
|
No
amounts have been excluded from the assessment of effectiveness.
|
Freddie Mac Form 10-Q
|
|
96
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 8
|
Freddie Mac Form 10-Q
|
|
97
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 8
|
Freddie Mac Form 10-Q
|
|
98
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 8
|
Freddie Mac Form 10-Q
|
|
99
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 8
|
|
March 31, 2017
|
||||||||||||||||||||||
|
Gross
Amount
Recognized
|
Amount
Offset in the
Consolidated
Balance Sheets
|
Net Amount
Presented in
the Consolidated
Balance Sheets
|
|
Gross Amount
Not Offset in
the Consolidated
Balance
Sheets
(2)
|
|
Net
Amount
|
||||||||||||||||
(In millions)
|
|
Counterparty Netting
|
|
Cash Collateral Netting
(1)
|
|
||||||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
OTC derivatives
|
|
$8,604
|
|
|
|
($6,161
|
)
|
|
|
($2,119
|
)
|
|
|
$324
|
|
|
|
($285
|
)
|
|
|
$39
|
|
Cleared and exchange-traded derivatives
|
2,720
|
|
|
(2,419
|
)
|
|
(201
|
)
|
|
100
|
|
|
—
|
|
|
100
|
|
||||||
Other
|
145
|
|
|
—
|
|
|
—
|
|
|
145
|
|
|
—
|
|
|
145
|
|
||||||
Total derivatives
|
11,469
|
|
|
(8,580
|
)
|
|
(2,320
|
)
|
|
569
|
|
|
(285
|
)
|
|
284
|
|
||||||
Securities purchased under agreements to resell
(3)
|
51,257
|
|
|
—
|
|
|
—
|
|
|
51,257
|
|
|
(51,257
|
)
|
|
—
|
|
||||||
Total
|
|
$62,726
|
|
|
|
($8,580
|
)
|
|
|
($2,320
|
)
|
|
|
$51,826
|
|
|
|
($51,542
|
)
|
|
|
$284
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
OTC derivatives
|
|
($6,881
|
)
|
|
|
$6,161
|
|
|
|
$634
|
|
|
|
($86
|
)
|
|
|
$3
|
|
|
|
($83
|
)
|
Cleared and exchange-traded derivatives
|
(3,298
|
)
|
|
2,430
|
|
|
823
|
|
|
(45
|
)
|
|
—
|
|
|
(45
|
)
|
||||||
Other
|
(204
|
)
|
|
—
|
|
|
—
|
|
|
(204
|
)
|
|
—
|
|
|
(204
|
)
|
||||||
Total derivatives
|
(10,383
|
)
|
|
8,591
|
|
|
1,457
|
|
|
(335
|
)
|
|
3
|
|
|
(332
|
)
|
||||||
Securities sold under agreements to repurchase
|
(6,547
|
)
|
|
—
|
|
|
—
|
|
|
(6,547
|
)
|
|
6,547
|
|
|
—
|
|
||||||
Total
|
|
($16,930
|
)
|
|
|
$8,591
|
|
|
|
$1,457
|
|
|
|
($6,882
|
)
|
|
|
$6,550
|
|
|
|
($332
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2016
|
||||||||||||||||||||||
|
Gross
Amount
Recognized
|
Amount
Offset in the
Consolidated
Balance Sheets
|
Net Amount
Presented in
the Consolidated
Balance Sheets
|
|
Gross Amount
Not Offset in
the Consolidated
Balance
Sheets
(2)
|
|
Net
Amount
|
||||||||||||||||
(In millions)
|
|
Counterparty Netting
|
|
Cash Collateral Netting
(1)
|
|
||||||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
OTC derivatives
|
|
$8,531
|
|
|
|
($6,367
|
)
|
|
|
($1,760
|
)
|
|
|
$404
|
|
|
|
($353
|
)
|
|
|
$51
|
|
Cleared and exchange-traded derivatives
|
4,889
|
|
|
(4,674
|
)
|
|
(162
|
)
|
|
53
|
|
|
—
|
|
|
53
|
|
||||||
Other
|
290
|
|
|
—
|
|
|
—
|
|
|
290
|
|
|
—
|
|
|
290
|
|
||||||
Total derivatives
|
13,710
|
|
|
(11,041
|
)
|
|
(1,922
|
)
|
|
747
|
|
|
(353
|
)
|
|
394
|
|
||||||
Securities purchased under agreements to resell
(3)
|
51,548
|
|
|
—
|
|
|
—
|
|
|
51,548
|
|
|
(51,548
|
)
|
|
—
|
|
||||||
Total
|
|
$65,258
|
|
|
|
($11,041
|
)
|
|
|
($1,922
|
)
|
|
|
$52,295
|
|
|
|
($51,901
|
)
|
|
|
$394
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
OTC derivatives
|
|
($7,298
|
)
|
|
|
$6,367
|
|
|
|
$469
|
|
|
|
($462
|
)
|
|
|
$274
|
|
|
|
($188
|
)
|
Cleared and exchange-traded derivatives
|
(6,965
|
)
|
|
4,705
|
|
|
2,126
|
|
|
(134
|
)
|
|
—
|
|
|
(134
|
)
|
||||||
Other
|
(199
|
)
|
|
—
|
|
|
—
|
|
|
(199
|
)
|
|
—
|
|
|
(199
|
)
|
||||||
Total derivatives
|
(14,462
|
)
|
|
11,072
|
|
|
2,595
|
|
|
(795
|
)
|
|
274
|
|
|
(521
|
)
|
||||||
Securities sold under agreements to repurchase
|
(3,040
|
)
|
|
—
|
|
|
—
|
|
|
(3,040
|
)
|
|
3,040
|
|
|
—
|
|
||||||
Total
|
|
($17,502
|
)
|
|
|
$11,072
|
|
|
|
$2,595
|
|
|
|
($3,835
|
)
|
|
|
$3,314
|
|
|
|
($521
|
)
|
Freddie Mac Form 10-Q
|
|
100
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 8
|
(1)
|
Excess cash collateral held is presented as a derivative liability, while excess cash collateral posted is presented as a derivative asset.
|
(2)
|
Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability, netted by counterparty, presented on the consolidated balance sheets. For cleared and exchange-traded derivatives, does not include non-cash collateral posted by us as initial margin with an aggregate fair value of
$3.6 billion
and
$3.4 billion
as of
March 31, 2017
and December 31, 2016, respectively.
|
(3)
|
At
March 31, 2017
and December 31, 2016, we had
$6.5 billion
and
$4.0 billion
, respectively, of securities pledged to us for transactions involving securities purchased under agreements to resell that we had the right to repledge.
|
(In millions)
|
|
March 31, 2017
|
|
December 31, 2016
|
||||
Restricted cash and cash equivalents
(1)
|
|
|
$429
|
|
|
|
$399
|
|
Securities purchased under agreements to resell
|
|
735
|
|
|
426
|
|
||
Investments in securities - Trading securities
|
|
1,101
|
|
|
1,000
|
|
||
Total
(2)
|
|
|
$2,265
|
|
|
|
$1,825
|
|
(1)
|
Includes collateral related to cleared derivatives and certain other counterparties.
|
(2)
|
Includes cash collateral held in excess of exposure.
|
Freddie Mac Form 10-Q
|
|
101
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 8
|
|
|
March 31, 2017
|
||||||||||||||
(In millions)
|
|
Derivatives
|
|
Securities sold under agreements to repurchase
|
|
Other
(2)
|
|
Total
|
||||||||
Debt securities of consolidated trusts held by third parties
(1)
|
|
|
$273
|
|
|
|
$—
|
|
|
|
$98
|
|
|
|
$371
|
|
Available-for-sale securities
|
|
—
|
|
|
—
|
|
|
260
|
|
|
260
|
|
||||
Trading securities
|
|
3,380
|
|
|
6,655
|
|
|
61
|
|
|
10,096
|
|
||||
Total securities pledged that may be repledged by the secured party
|
|
|
$3,653
|
|
|
|
$6,655
|
|
|
|
$419
|
|
|
|
$10,727
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
December 31, 2016
|
||||||||||||||
(In millions)
|
|
Derivatives
|
|
Securities sold under agreements to repurchase
|
|
Other
(2)
|
|
Total
|
||||||||
Debt securities of consolidated trusts held by third parties
(1)
|
|
|
$686
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$686
|
|
Available-for-sale securities
|
|
—
|
|
|
—
|
|
|
260
|
|
|
260
|
|
||||
Trading securities
|
|
3,014
|
|
|
3,070
|
|
|
—
|
|
|
6,084
|
|
||||
Total securities pledged that may be repledged by the secured party
|
|
|
$3,700
|
|
|
|
$3,070
|
|
|
|
$260
|
|
|
|
$7,030
|
|
(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.
|
(2)
|
Includes other collateralized borrowings and collateral related to transactions with certain clearinghouses.
|
|
|
March 31, 2017
|
||||||||||||||||||
(In millions)
|
|
Overnight and continuous
|
|
30 days or less
|
|
After 30 days through 90 days
|
|
Greater than 90 days
|
|
Total
|
||||||||||
U.S. Treasury securities
|
|
|
$—
|
|
|
|
$5,778
|
|
|
|
$877
|
|
|
|
$—
|
|
|
|
$6,655
|
|
Freddie Mac Form 10-Q
|
|
102
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 9
|
|
|
1Q 2017
|
||||||||||||||
(In millions)
|
|
AOCI Related
to Available-
For-Sale
Securities
|
|
AOCI Related
to Cash Flow
Hedge
Relationships
|
|
AOCI Related
to Defined
Benefit Plans
|
|
Total
|
||||||||
Beginning balance
|
|
|
$915
|
|
|
|
($480
|
)
|
|
|
$21
|
|
|
|
$456
|
|
Other comprehensive income before reclassifications
(1)
|
|
112
|
|
|
—
|
|
|
(3
|
)
|
|
109
|
|
||||
Amounts reclassified from accumulated other comprehensive income
|
|
(114
|
)
|
|
28
|
|
|
—
|
|
|
(86
|
)
|
||||
Changes in AOCI by component
|
|
(2
|
)
|
|
28
|
|
|
(3
|
)
|
|
23
|
|
||||
Ending balance
|
|
|
$913
|
|
|
|
($452
|
)
|
|
|
$18
|
|
|
|
$479
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
1Q 2016
|
||||||||||||||
(In millions)
|
|
AOCI Related
to Available-
For-Sale
Securities
|
|
AOCI Related
to Cash Flow
Hedge
Relationships
|
|
AOCI Related
to Defined
Benefit Plans
|
|
Total
|
||||||||
Beginning balance
|
|
|
$1,740
|
|
|
|
($621
|
)
|
|
|
$34
|
|
|
|
$1,153
|
|
Other comprehensive income before reclassifications
(1)
|
|
129
|
|
|
—
|
|
|
2
|
|
|
131
|
|
||||
Amounts reclassified from accumulated other comprehensive income
|
|
(10
|
)
|
|
34
|
|
|
(1
|
)
|
|
23
|
|
||||
Changes in AOCI by component
|
|
119
|
|
|
34
|
|
|
1
|
|
|
154
|
|
||||
Ending balance
|
|
|
$1,859
|
|
|
|
($587
|
)
|
|
|
$35
|
|
|
|
$1,307
|
|
(1)
|
For both 1Q 2017 and 1Q 2016, net of tax expense of
$0.1 billion
for AOCI related to available-for-sale securities.
|
Freddie Mac Form 10-Q
|
|
103
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 9
|
Details about Accumulated Other
Comprehensive Income Components
|
|
|
|
|
Affected Line Item in the Condensed Consolidated Statements of Comprehensive Income
|
||||
(In millions)
|
|
1Q 2017
|
|
1Q 2016
|
|
||||
AOCI related to available-for-sale securities
|
|
|
|
|
|
||||
|
|
|
$190
|
|
|
|
$72
|
|
Other gains (losses) on investment securities recognized in earnings
|
|
|
(13
|
)
|
|
(57
|
)
|
Net impairment of available-for-sale securities recognized in earnings
|
||
|
|
177
|
|
|
15
|
|
Total before tax
|
||
|
|
(63
|
)
|
|
(5
|
)
|
Tax (expense) or benefit
|
||
|
|
114
|
|
|
10
|
|
Net of tax
|
||
AOCI related to cash flow hedge relationships
|
|
|
|
|
|
||||
|
|
—
|
|
|
—
|
|
Interest expense
|
||
|
|
(43
|
)
|
|
(51
|
)
|
Expense related to derivatives
|
||
|
|
(43
|
)
|
|
(51
|
)
|
Total before tax
|
||
|
|
15
|
|
|
17
|
|
Tax (expense) or benefit
|
||
|
|
(28
|
)
|
|
(34
|
)
|
Net of tax
|
||
AOCI related to defined benefit plans
|
|
|
|
|
|
||||
|
|
—
|
|
|
1
|
|
Salaries and employee benefits
|
||
|
|
—
|
|
|
—
|
|
Tax (expense) or benefit
|
||
|
|
—
|
|
|
1
|
|
Net of tax
|
||
Total reclassifications in the period
|
|
|
$86
|
|
|
|
($23
|
)
|
Net of tax
|
Freddie Mac Form 10-Q
|
|
104
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 9
|
•
|
Vested options to purchase common stock; and
|
•
|
Vested restricted stock units that earn dividend equivalents at the same rate when and as declared on common stock.
|
•
|
Weighted average shares related to stock options if the average market price during the period exceeds the exercise price; and
|
•
|
The weighted-average of restricted stock units.
|
Freddie Mac Form 10-Q
|
|
105
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 9
|
Freddie Mac Form 10-Q
|
|
106
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 10
|
Freddie Mac Form 10-Q
|
|
107
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 11
|
•
|
The discontinuation of adjustments to net interest income which reflected the reclassification of amortization of upfront cash paid and received upon acquisitions and issuances of swaptions and options from derivative gains (losses) to net interest income for the Investments segment. The discontinuation of the adjustments resulted in an increase to net interest income for the Investments segment of
$281 million
for 1Q 2016 to align with the current presentation.
|
Freddie Mac Form 10-Q
|
|
108
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 11
|
(In millions)
|
1Q 2017
|
|
1Q 2016
|
||||
Segment Earnings (loss), net of taxes:
|
|
|
|
||||
Single-family Guarantee
|
|
$710
|
|
|
|
$810
|
|
Multifamily
|
449
|
|
|
147
|
|
||
Investments
|
1,052
|
|
|
(1,311
|
)
|
||
All Other
|
—
|
|
|
—
|
|
||
Total Segment Earnings, net of taxes
|
2,211
|
|
|
(354
|
)
|
||
Net income
|
|
$2,211
|
|
|
|
($354
|
)
|
Comprehensive income (loss) of segments:
|
|
|
|
||||
Single-family Guarantee
|
|
$708
|
|
|
|
$811
|
|
Multifamily
|
445
|
|
|
150
|
|
||
Investments
|
1,081
|
|
|
(1,161
|
)
|
||
All Other
|
—
|
|
|
—
|
|
||
Comprehensive income of segments
|
2,234
|
|
|
(200
|
)
|
||
Comprehensive income
|
|
$2,234
|
|
|
|
($200
|
)
|
|
1Q 2017
|
||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
Total Segment
Earnings (Loss)
|
|
|
Total per Condensed
Consolidated
Statements of
Comprehensive
Income
|
|||||||||||||||
(In millions)
|
Single-family
Guarantee
|
|
Multifamily
|
|
Investments
|
|
All
Other
|
|
|
Reclassifications
|
|
||||||||||||||||
Net interest income
|
|
$—
|
|
|
|
$271
|
|
|
|
$929
|
|
|
|
$—
|
|
|
|
$1,200
|
|
|
|
$2,595
|
|
|
|
$3,795
|
|
Guarantee fee income
(1)
|
1,418
|
|
|
151
|
|
|
—
|
|
|
—
|
|
|
1,569
|
|
|
(1,420
|
)
|
|
149
|
|
|||||||
Benefit for credit losses
|
39
|
|
|
6
|
|
|
—
|
|
|
—
|
|
|
45
|
|
|
71
|
|
|
116
|
|
|||||||
Net impairment of available-for-sale securities recognized in earnings
|
—
|
|
|
(4
|
)
|
|
73
|
|
|
—
|
|
|
69
|
|
|
(82
|
)
|
|
(13
|
)
|
|||||||
Derivative gains (losses)
|
(15
|
)
|
|
127
|
|
|
52
|
|
|
—
|
|
|
164
|
|
|
(466
|
)
|
|
(302
|
)
|
|||||||
Gains (losses) on trading securities
|
—
|
|
|
1
|
|
|
(135
|
)
|
|
—
|
|
|
(134
|
)
|
|
—
|
|
|
(134
|
)
|
|||||||
Gains (losses) on loans
|
—
|
|
|
(33
|
)
|
|
—
|
|
|
—
|
|
|
(33
|
)
|
|
47
|
|
|
14
|
|
|||||||
Other non-interest income (loss)
|
334
|
|
|
272
|
|
|
748
|
|
|
—
|
|
|
1,354
|
|
|
(694
|
)
|
|
660
|
|
|||||||
Administrative expenses
|
(333
|
)
|
|
(95
|
)
|
|
(83
|
)
|
|
—
|
|
|
(511
|
)
|
|
—
|
|
|
(511
|
)
|
|||||||
REO operations expense
|
(59
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(59
|
)
|
|
3
|
|
|
(56
|
)
|
|||||||
Other non-interest expense
|
(318
|
)
|
|
(21
|
)
|
|
(4
|
)
|
|
—
|
|
|
(343
|
)
|
|
(54
|
)
|
|
(397
|
)
|
|||||||
Income tax expense
|
(356
|
)
|
|
(226
|
)
|
|
(528
|
)
|
|
—
|
|
|
(1,110
|
)
|
|
—
|
|
|
(1,110
|
)
|
|||||||
Net income
|
710
|
|
|
449
|
|
|
1,052
|
|
|
—
|
|
|
2,211
|
|
|
—
|
|
|
2,211
|
|
|||||||
Changes in unrealized gains (losses) related to available-for-sale securities
|
—
|
|
|
(4
|
)
|
|
2
|
|
|
—
|
|
|
(2
|
)
|
|
—
|
|
|
(2
|
)
|
|||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships
|
—
|
|
|
—
|
|
|
28
|
|
|
—
|
|
|
28
|
|
|
—
|
|
|
28
|
|
|||||||
Changes in defined benefit plans
|
(2
|
)
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
(3
|
)
|
|
—
|
|
|
(3
|
)
|
|||||||
Total other comprehensive income (loss), net of taxes
|
(2
|
)
|
|
(4
|
)
|
|
29
|
|
|
—
|
|
|
23
|
|
|
—
|
|
|
23
|
|
|||||||
Comprehensive income
|
|
$708
|
|
|
|
$445
|
|
|
|
$1,081
|
|
|
|
$—
|
|
|
|
$2,234
|
|
|
|
$—
|
|
|
|
$2,234
|
|
Freddie Mac Form 10-Q
|
|
109
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 11
|
|
1Q 2016
|
||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
Total Segment
Earnings (Loss)
|
|
|
Total per Condensed
Consolidated
Statements of
Comprehensive
Income
|
|||||||||||||||
(In millions)
|
Single-family
Guarantee
|
|
Multifamily
|
|
Investments
|
|
All
Other
|
|
|
Reclassifications
|
|
||||||||||||||||
Net interest income
|
|
$—
|
|
|
|
$252
|
|
|
|
$1,029
|
|
|
|
$—
|
|
|
|
$1,281
|
|
|
|
$2,124
|
|
|
|
$3,405
|
|
Guarantee fee income
(1)
|
1,285
|
|
|
108
|
|
|
—
|
|
|
—
|
|
|
1,393
|
|
|
(1,283
|
)
|
|
110
|
|
|||||||
Benefit (provision) for credit losses
|
289
|
|
|
5
|
|
|
—
|
|
|
—
|
|
|
294
|
|
|
173
|
|
|
467
|
|
|||||||
Net impairment of available-for-sale securities recognized in earnings
|
—
|
|
|
—
|
|
|
81
|
|
|
—
|
|
|
81
|
|
|
(138
|
)
|
|
(57
|
)
|
|||||||
Derivative gains (losses)
|
(8
|
)
|
|
(787
|
)
|
|
(3,276
|
)
|
|
—
|
|
|
(4,071
|
)
|
|
(490
|
)
|
|
(4,561
|
)
|
|||||||
Gains (losses) on trading securities
|
—
|
|
|
62
|
|
|
169
|
|
|
—
|
|
|
231
|
|
|
—
|
|
|
231
|
|
|||||||
Gains (losses) on loans
|
—
|
|
|
497
|
|
|
—
|
|
|
—
|
|
|
497
|
|
|
(19
|
)
|
|
478
|
|
|||||||
Other non-interest income (loss)
|
232
|
|
|
178
|
|
|
189
|
|
|
—
|
|
|
599
|
|
|
(223
|
)
|
|
376
|
|
|||||||
Administrative expenses
|
(295
|
)
|
|
(80
|
)
|
|
(73
|
)
|
|
—
|
|
|
(448
|
)
|
|
—
|
|
|
(448
|
)
|
|||||||
REO operations expense
|
(87
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(87
|
)
|
|
3
|
|
|
(84
|
)
|
|||||||
Other non-interest expense
|
(252
|
)
|
|
(24
|
)
|
|
(2
|
)
|
|
—
|
|
|
(278
|
)
|
|
(147
|
)
|
|
(425
|
)
|
|||||||
Income tax expense
|
(354
|
)
|
|
(64
|
)
|
|
572
|
|
|
—
|
|
|
154
|
|
|
—
|
|
|
154
|
|
|||||||
Net income
|
810
|
|
|
147
|
|
|
(1,311
|
)
|
|
—
|
|
|
(354
|
)
|
|
—
|
|
|
(354
|
)
|
|||||||
Changes in unrealized gains (losses) related to available-for-sale securities
|
—
|
|
|
3
|
|
|
116
|
|
|
—
|
|
|
119
|
|
|
—
|
|
|
119
|
|
|||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships
|
—
|
|
|
—
|
|
|
34
|
|
|
—
|
|
|
34
|
|
|
—
|
|
|
34
|
|
|||||||
Changes in defined benefit plans
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
1
|
|
|||||||
Total other comprehensive income (loss), net of taxes
|
1
|
|
|
3
|
|
|
150
|
|
|
—
|
|
|
154
|
|
|
—
|
|
|
154
|
|
|||||||
Comprehensive income
|
|
$811
|
|
|
|
$150
|
|
|
|
($1,161
|
)
|
|
|
$—
|
|
|
|
($200
|
)
|
|
|
$—
|
|
|
|
($200
|
)
|
(1)
|
Guarantee fee income is included in other income (loss) on our GAAP condensed consolidated statements of comprehensive income.
|
Freddie Mac Form 10-Q
|
|
110
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 12
|
|
March 31, 2017
|
|
December 31, 2016
|
|
Percent of Credit Losses
|
||||||||||||
|
Percentage of
Portfolio
|
|
Serious
Delinquency
Rate
|
|
Percentage of
Portfolio
|
|
Serious
Delinquency
Rate
|
|
1Q 2017
|
|
1Q 2016
|
||||||
Book of Business
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Core single-family book
|
74
|
%
|
|
0.19
|
%
|
|
73
|
%
|
|
0.20
|
%
|
|
3
|
%
|
|
6
|
%
|
HARP and other relief refinance book
|
15
|
|
|
0.67
|
%
|
|
15
|
|
|
0.69
|
%
|
|
9
|
|
|
15
|
|
Legacy single-family book
|
11
|
|
|
3.45
|
%
|
|
12
|
|
|
3.59
|
%
|
|
88
|
|
|
79
|
|
Total
|
100
|
%
|
|
0.92
|
%
|
|
100
|
%
|
|
1.00
|
%
|
|
100
|
%
|
|
100
|
%
|
Region
(1)(3)
|
|
|
|
|
|
|
|
|
|
|
|
||||||
West
|
30
|
%
|
|
0.53
|
%
|
|
30
|
%
|
|
0.57
|
%
|
|
31
|
%
|
|
12
|
%
|
Northeast
|
25
|
|
|
1.36
|
%
|
|
25
|
|
|
1.45
|
%
|
|
32
|
|
|
37
|
|
North Central
|
16
|
|
|
0.85
|
%
|
|
16
|
|
|
0.93
|
%
|
|
17
|
|
|
25
|
|
Southeast
|
16
|
|
|
1.10
|
%
|
|
16
|
|
|
1.19
|
%
|
|
17
|
|
|
21
|
|
Southwest
|
13
|
|
|
0.70
|
%
|
|
13
|
|
|
0.78
|
%
|
|
3
|
|
|
5
|
|
Total
|
100
|
%
|
|
0.92
|
%
|
|
100
|
%
|
|
1.00
|
%
|
|
100
|
%
|
|
100
|
%
|
State
(2)(3)
|
|
|
|
|
|
|
|
|
|
|
|
||||||
California
|
18
|
%
|
|
0.43
|
%
|
|
18
|
%
|
|
0.46
|
%
|
|
23
|
%
|
|
6
|
%
|
Florida
|
6
|
|
|
1.30
|
%
|
|
6
|
|
|
1.42
|
%
|
|
11
|
|
|
10
|
|
Illinois
|
5
|
|
|
1.23
|
%
|
|
5
|
|
|
1.34
|
%
|
|
9
|
|
|
10
|
|
New Jersey
|
3
|
|
|
2.10
|
%
|
|
3
|
|
|
2.26
|
%
|
|
10
|
|
|
9
|
|
New York
|
5
|
|
|
1.93
|
%
|
|
5
|
|
|
2.05
|
%
|
|
6
|
|
|
10
|
|
All other
|
63
|
|
|
0.83
|
%
|
|
63
|
|
|
0.90
|
%
|
|
41
|
|
|
55
|
|
Total
|
100
|
%
|
|
0.92
|
%
|
|
100
|
%
|
|
1.00
|
%
|
|
100
|
%
|
|
100
|
%
|
(1)
|
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).
|
(2)
|
States presented based on those with the highest percentage of credit losses during 1Q 2017.
|
(3)
|
On January 1, 2017, we elected a new accounting policy for reclassifications of loans from held-for-investment to held-for-sale. The charge-offs taken under the new policy affected some states more than others. See Note 4 for further information about this change.
|
Freddie Mac Form 10-Q
|
|
111
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 12
|
•
|
Purchased pursuant to a previously issued other mortgage-related guarantee;
|
•
|
Part of our relief refinance initiative; or
|
•
|
In another refinance loan initiative and the pre-existing loan (including Alt-A loans) was originated under less than full documentation standards.
|
|
Percentage of Portfolio
(1)
|
|
Serious Delinquency Rate
(1)
|
||||||||
(Percentage of portfolio based on UPB)
|
March 31, 2017
|
|
December 31, 2016
|
|
March 31, 2017
|
|
December 31, 2016
|
||||
Interest-only
|
1
|
%
|
|
1
|
%
|
|
4.47
|
%
|
|
4.34
|
%
|
Alt-A
|
2
|
%
|
|
2
|
%
|
|
5.11
|
%
|
|
5.21
|
%
|
Original LTV ratio greater than 90%
(2)
|
16
|
%
|
|
16
|
%
|
|
1.45
|
%
|
|
1.58
|
%
|
Lower credit scores at origination (less than 620)
|
2
|
%
|
|
2
|
%
|
|
5.32
|
%
|
|
5.73
|
%
|
(1)
|
Excludes loans underlying certain other securitization products for which data was not available.
|
(2)
|
Includes HARP loans, which we purchase as part of our participation in the MHA Program.
|
Freddie Mac Form 10-Q
|
|
112
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 12
|
|
|
1Q 2017
|
|
1Q 2016
|
||
Single-family Sellers
|
|
|
|
|
||
Wells Fargo Bank, N.A.
|
|
18
|
%
|
|
13
|
%
|
Other top 10 sellers
|
|
38
|
|
|
35
|
|
Top 10 single-family sellers
|
|
56
|
%
|
|
48
|
%
|
Multifamily Sellers
|
|
|
|
|
||
Berkadia Commercial Mortgage LLC
|
|
15
|
%
|
|
26
|
%
|
CBRE Capital Markets, Inc.
|
|
15
|
|
|
19
|
|
Holliday Fenoglio Fowler, L.P.
|
|
12
|
|
|
6
|
|
Walker & Dunlop, LLC
|
|
8
|
|
|
14
|
|
Other top 10 sellers
|
|
32
|
|
|
23
|
|
Top 10 multifamily sellers
|
|
82
|
%
|
|
88
|
%
|
|
|
March 31, 2017
|
|
December 31, 2016
|
||
Single-family Servicers
|
|
|
|
|
||
Wells Fargo Bank, N.A.
|
|
19
|
%
|
|
19
|
%
|
Other top 10 servicers
|
|
40
|
|
|
41
|
|
Top 10 single-family servicers
|
|
59
|
%
|
|
60
|
%
|
Multifamily Servicers
|
|
|
|
|
||
Wells Fargo Bank, N.A.
|
|
15
|
%
|
|
15
|
%
|
CBRE Capital Markets, Inc.
|
|
12
|
|
|
14
|
|
Berkadia Commercial Mortgage LLC
|
|
11
|
|
|
11
|
|
Other top 10 servicers
|
|
40
|
|
|
39
|
|
Top 10 multifamily servicers
|
|
78
|
%
|
|
79
|
%
|
Freddie Mac Form 10-Q
|
|
113
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 12
|
|
|
|
|
Mortgage Insurance Coverage
|
||||
|
|
Credit Rating
(1)
|
|
March 31, 2017
|
|
December 31, 2016
|
||
Arch Mortgage Insurance Company
|
|
BBB+
|
|
24
|
%
|
|
25
|
%
|
Radian Guaranty Inc.
|
|
BBB-
|
|
21
|
|
|
21
|
|
Mortgage Guaranty Insurance Corporation
|
|
BBB-
|
|
20
|
|
|
20
|
|
Genworth Mortgage Insurance Corporation
|
|
BB+
|
|
15
|
|
|
15
|
|
Essent Guaranty, Inc.
|
|
BBB
|
|
11
|
|
|
10
|
%
|
Total
|
|
|
|
91
|
%
|
|
91
|
%
|
(1)
|
Ratings are for the corporate entity to which we have the greatest exposure. Coverage amounts may include coverage provided by affiliates and subsidiaries of the counterparty. Latest rating available as of March 31, 2017. Represents the lower of S&P and Moody’s credit ratings stated in terms of the S&P equivalent.
|
Freddie Mac Form 10-Q
|
|
114
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 12
|
Freddie Mac Form 10-Q
|
|
115
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 12
|
Freddie Mac Form 10-Q
|
|
116
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 13
|
•
|
Level 1 - inputs to the valuation techniques are based on quoted prices in active markets for identical assets or liabilities.
|
•
|
Level 2 - inputs to the valuation techniques are based on observable inputs other than quoted prices in active markets for identical assets or liabilities.
|
•
|
Level 3 - one or more inputs to the valuation technique are unobservable and significant to the fair value measurement.
|
Freddie Mac Form 10-Q
|
|
117
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 13
|
Freddie Mac Form 10-Q
|
|
118
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 13
|
|
March 31, 2017
|
||||||||||||||||||
(Dollars in millions)
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Netting Adjustment
(1)
|
|
Total
|
||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Available-for-sale, at fair value:
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
|
$—
|
|
|
|
$35,499
|
|
|
|
$6,419
|
|
|
|
$—
|
|
|
|
$41,918
|
|
Other agency
|
—
|
|
|
3,895
|
|
|
62
|
|
|
—
|
|
|
3,957
|
|
|||||
Non-agency RMBS
|
—
|
|
|
—
|
|
|
9,270
|
|
|
—
|
|
|
9,270
|
|
|||||
Non-agency CMBS
|
—
|
|
|
1,440
|
|
|
3,360
|
|
|
—
|
|
|
4,800
|
|
|||||
Obligations of states and political subdivisions
|
—
|
|
|
—
|
|
|
560
|
|
|
—
|
|
|
560
|
|
|||||
Total available-for-sale securities, at fair value
|
—
|
|
|
40,834
|
|
|
19,671
|
|
|
—
|
|
|
60,505
|
|
|||||
Trading, at fair value:
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
—
|
|
|
12,867
|
|
|
552
|
|
|
—
|
|
|
13,419
|
|
|||||
Other agency
|
—
|
|
|
7,368
|
|
|
11
|
|
|
—
|
|
|
7,379
|
|
|||||
All other
|
—
|
|
|
27
|
|
|
109
|
|
|
—
|
|
|
136
|
|
|||||
Total mortgage-related securities
|
—
|
|
|
20,262
|
|
|
672
|
|
|
—
|
|
|
20,934
|
|
|||||
Non-mortgage-related securities
|
24,623
|
|
|
2,565
|
|
|
—
|
|
|
—
|
|
|
27,188
|
|
|||||
Total trading securities, at fair value
|
24,623
|
|
|
22,827
|
|
|
672
|
|
|
—
|
|
|
48,122
|
|
|||||
Total investments in securities
|
24,623
|
|
|
63,661
|
|
|
20,343
|
|
|
—
|
|
|
108,627
|
|
|||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
||||||||||
Held-for-sale, at fair value
|
—
|
|
|
17,687
|
|
|
—
|
|
|
—
|
|
|
17,687
|
|
|||||
Derivative assets, net:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest-rate swaps
|
—
|
|
|
4,906
|
|
|
—
|
|
|
—
|
|
|
4,906
|
|
|||||
Option-based derivatives
|
—
|
|
|
5,305
|
|
|
—
|
|
|
—
|
|
|
5,305
|
|
|||||
Other
|
—
|
|
|
143
|
|
|
2
|
|
|
|
|
|
145
|
|
|||||
Subtotal, before netting adjustments
|
—
|
|
|
10,354
|
|
|
2
|
|
|
—
|
|
|
10,356
|
|
|||||
Netting adjustments
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
(9,787
|
)
|
|
(9,787
|
)
|
|||||
Total derivative assets, net
|
—
|
|
|
10,354
|
|
|
2
|
|
|
(9,787
|
)
|
|
569
|
|
|||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Guarantee asset, at fair value
|
—
|
|
|
—
|
|
|
2,340
|
|
|
—
|
|
|
2,340
|
|
|||||
Non-derivative held-for-sale purchase commitments, at fair value
|
—
|
|
|
134
|
|
|
—
|
|
|
—
|
|
|
134
|
|
|||||
All other, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Total other assets
|
—
|
|
|
134
|
|
|
2,340
|
|
|
—
|
|
|
2,474
|
|
|||||
Total assets carried at fair value on a recurring basis
|
|
$24,623
|
|
|
|
$91,836
|
|
|
|
$22,685
|
|
|
|
($9,787
|
)
|
|
|
$129,357
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Debt securities of consolidated trusts held by third parties, at fair value
|
|
$—
|
|
|
|
$21
|
|
|
|
$530
|
|
|
|
$—
|
|
|
|
$551
|
|
Other debt, at fair value
|
|
|
|
5,608
|
|
|
94
|
|
|
|
|
|
5,702
|
|
|||||
Derivative liabilities, net:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest-rate swaps
|
—
|
|
|
8,501
|
|
|
—
|
|
|
—
|
|
|
8,501
|
|
|||||
Option-based derivatives
|
—
|
|
|
101
|
|
|
—
|
|
|
—
|
|
|
101
|
|
|||||
Other
|
|
|
|
141
|
|
|
63
|
|
|
—
|
|
|
204
|
|
|||||
Subtotal, before netting adjustments
|
—
|
|
|
8,743
|
|
|
63
|
|
|
—
|
|
|
8,806
|
|
|||||
Netting adjustments
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
(8,471
|
)
|
|
(8,471
|
)
|
|||||
Total derivative liabilities, net
|
—
|
|
|
8,743
|
|
|
63
|
|
|
(8,471
|
)
|
|
335
|
|
|||||
Other liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Non-derivative held-for-sale purchase commitments, at fair value
|
—
|
|
|
38
|
|
|
—
|
|
|
—
|
|
|
38
|
|
|||||
All other, at fair value
|
—
|
|
|
—
|
|
|
10
|
|
|
|
|
10
|
|
||||||
Total liabilities carried at fair value on a recurring basis
|
|
$—
|
|
|
|
$14,410
|
|
|
|
$697
|
|
|
|
($8,471
|
)
|
|
|
$6,636
|
|
Freddie Mac Form 10-Q
|
|
119
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 13
|
|
December 31, 2016
|
||||||||||||||||||
(Dollars in millions)
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Netting Adjustment
(1)
|
|
Total
|
||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Available-for-sale, at fair value:
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
|
$—
|
|
|
|
$33,805
|
|
|
|
$9,847
|
|
|
|
$—
|
|
|
|
$43,652
|
|
Other agency
|
—
|
|
|
4,155
|
|
|
66
|
|
|
—
|
|
|
4,221
|
|
|||||
Non-agency RMBS
|
—
|
|
|
—
|
|
|
11,797
|
|
|
—
|
|
|
11,797
|
|
|||||
Non-agency CMBS
|
—
|
|
|
3,056
|
|
|
3,366
|
|
|
—
|
|
|
6,422
|
|
|||||
Obligations of states and political subdivisions
|
—
|
|
|
—
|
|
|
665
|
|
|
—
|
|
|
665
|
|
|||||
Total available-for-sale securities, at fair value
|
—
|
|
|
41,016
|
|
|
25,741
|
|
|
—
|
|
|
66,757
|
|
|||||
Trading, at fair value:
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
—
|
|
|
14,248
|
|
|
1,095
|
|
|
—
|
|
|
15,343
|
|
|||||
Other agency
|
—
|
|
|
8,149
|
|
|
12
|
|
|
—
|
|
|
8,161
|
|
|||||
All other
|
—
|
|
|
36
|
|
|
113
|
|
|
—
|
|
|
149
|
|
|||||
Total mortgage-related securities
|
—
|
|
|
22,433
|
|
|
1,220
|
|
|
—
|
|
|
23,653
|
|
|||||
Non-mortgage-related securities
|
19,402
|
|
|
1,735
|
|
|
—
|
|
|
—
|
|
|
21,137
|
|
|||||
Total trading securities, at fair value
|
19,402
|
|
|
24,168
|
|
|
1,220
|
|
|
—
|
|
|
44,790
|
|
|||||
Total investments in securities
|
19,402
|
|
|
65,184
|
|
|
26,961
|
|
|
—
|
|
|
111,547
|
|
|||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
||||||||||
Held-for-sale, at fair value
|
—
|
|
|
16,255
|
|
|
—
|
|
|
—
|
|
|
16,255
|
|
|||||
Derivative assets, net:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest-rate swaps
|
—
|
|
|
6,924
|
|
|
—
|
|
|
—
|
|
|
6,924
|
|
|||||
Option-based derivatives
|
—
|
|
|
5,054
|
|
|
—
|
|
|
—
|
|
|
5,054
|
|
|||||
Other
|
—
|
|
|
287
|
|
|
3
|
|
|
—
|
|
|
290
|
|
|||||
Subtotal, before netting adjustments
|
—
|
|
|
12,265
|
|
|
3
|
|
|
—
|
|
|
12,268
|
|
|||||
Netting adjustments
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
(11,521
|
)
|
|
(11,521
|
)
|
|||||
Total derivative assets, net
|
—
|
|
|
12,265
|
|
|
3
|
|
|
(11,521
|
)
|
|
747
|
|
|||||
Other assets:
|
|
|
|
|
|
|
|
|
|
||||||||||
Guarantee asset, at fair value
|
—
|
|
|
—
|
|
|
2,298
|
|
|
—
|
|
|
2,298
|
|
|||||
Non-derivative held-for-sale purchase commitments, at fair value
|
—
|
|
|
108
|
|
|
—
|
|
|
—
|
|
|
108
|
|
|||||
All other, at fair value
|
—
|
|
|
—
|
|
|
2
|
|
|
—
|
|
|
2
|
|
|||||
Total other assets
|
—
|
|
|
108
|
|
|
2,300
|
|
|
—
|
|
|
2,408
|
|
|||||
Total assets carried at fair value on a recurring basis
|
|
$19,402
|
|
|
|
$93,812
|
|
|
|
$29,264
|
|
|
|
($11,521
|
)
|
|
|
$130,957
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Debt securities of consolidated trusts held by third parties, at fair value
|
|
$—
|
|
|
|
$144
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$144
|
|
Other debt, at fair value
|
—
|
|
|
5,771
|
|
|
95
|
|
|
—
|
|
|
5,866
|
|
|||||
Derivative liabilities, net:
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest-rate swaps
|
—
|
|
|
12,387
|
|
|
—
|
|
|
—
|
|
|
12,387
|
|
|||||
Option-based derivatives
|
—
|
|
|
106
|
|
|
—
|
|
|
—
|
|
|
106
|
|
|||||
Other
|
—
|
|
|
147
|
|
|
52
|
|
|
—
|
|
|
199
|
|
|||||
Subtotal, before netting adjustments
|
—
|
|
|
12,640
|
|
|
52
|
|
|
—
|
|
|
12,692
|
|
|||||
Netting adjustments
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
(11,897
|
)
|
|
(11,897
|
)
|
|||||
Total derivative liabilities, net
|
—
|
|
|
12,640
|
|
|
52
|
|
|
(11,897
|
)
|
|
795
|
|
|||||
Other liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Non-derivative held-for-sale purchase commitments, at fair value
|
—
|
|
|
37
|
|
|
—
|
|
|
—
|
|
|
37
|
|
|||||
Total liabilities carried at fair value on a recurring basis
|
|
$—
|
|
|
|
$18,592
|
|
|
|
$147
|
|
|
|
($11,897
|
)
|
|
|
$6,842
|
|
(1)
|
Represents counterparty netting, cash collateral netting and net derivative interest receivable or payable.
|
Freddie Mac Form 10-Q
|
|
120
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 13
|
|
March 31, 2017
|
|
December 31, 2016
|
||||||||||||||||||||||||||||
(Dollars in millions)
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||||||||||
Assets measured at fair value on a non-recurring basis:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Mortgage loans
(1)
|
|
$—
|
|
|
|
$123
|
|
|
|
$2,290
|
|
|
|
$2,413
|
|
|
|
$—
|
|
|
|
$199
|
|
|
|
$2,483
|
|
|
|
$2,682
|
|
(1)
|
Includes 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 loans where the fair value is below cost.
|
Freddie Mac Form 10-Q
|
|
121
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 13
|
|
1Q 2017
|
||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
Realized and unrealized gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
|
Balance,
January 1, 2017 |
|
Included in
earnings |
|
Included in
other comprehensive income |
|
Total
|
|
Purchases
|
|
Issues
|
|
Sales
|
|
Settlements,
net
|
|
Transfers
into Level 3 (1) |
|
Transfers
out of Level 3 (1) |
|
Balance,
March 31, 2017 |
|
Unrealized
gains (losses)
still held
|
||||||||||||||||||||||||
|
(In millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Available-for-sale, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
|
$9,847
|
|
|
|
($2
|
)
|
|
|
$21
|
|
|
|
$19
|
|
|
|
$647
|
|
|
|
$—
|
|
|
|
($699
|
)
|
|
|
($316
|
)
|
|
|
$17
|
|
|
|
($3,096
|
)
|
|
|
$6,419
|
|
|
|
($6
|
)
|
Other agency
|
66
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(4
|
)
|
|
—
|
|
|
—
|
|
|
62
|
|
|
—
|
|
||||||||||||
Non-agency RMBS
|
11,797
|
|
|
277
|
|
|
(98
|
)
|
|
179
|
|
|
—
|
|
|
—
|
|
|
(2,217
|
)
|
|
(489
|
)
|
|
—
|
|
|
—
|
|
|
9,270
|
|
|
69
|
|
||||||||||||
Non-agency CMBS
|
3,366
|
|
|
1
|
|
|
2
|
|
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(9
|
)
|
|
—
|
|
|
—
|
|
|
3,360
|
|
|
1
|
|
||||||||||||
Obligations of states and political subdivisions
|
665
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(105
|
)
|
|
—
|
|
|
—
|
|
|
560
|
|
|
—
|
|
||||||||||||
Total available-for-sale mortgage-related securities
|
25,741
|
|
|
276
|
|
|
(75
|
)
|
|
201
|
|
|
647
|
|
|
—
|
|
|
(2,916
|
)
|
|
(923
|
)
|
|
17
|
|
|
(3,096
|
)
|
|
19,671
|
|
|
64
|
|
||||||||||||
Trading, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Freddie Mac
|
1,095
|
|
|
(47
|
)
|
|
—
|
|
|
(47
|
)
|
|
103
|
|
|
—
|
|
|
(592
|
)
|
|
(9
|
)
|
|
154
|
|
|
(152
|
)
|
|
552
|
|
|
(41
|
)
|
||||||||||||
Other agency
|
12
|
|
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
11
|
|
|
(1
|
)
|
||||||||||||
All other
|
113
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(4
|
)
|
|
—
|
|
|
—
|
|
|
109
|
|
|
—
|
|
||||||||||||
Total trading mortgage-related securities
|
1,220
|
|
|
(48
|
)
|
|
—
|
|
|
(48
|
)
|
|
103
|
|
|
—
|
|
|
(592
|
)
|
|
(13
|
)
|
|
154
|
|
|
(152
|
)
|
|
672
|
|
|
(42
|
)
|
||||||||||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Guarantee asset
|
2,299
|
|
|
(7
|
)
|
|
—
|
|
|
(7
|
)
|
|
—
|
|
|
164
|
|
|
—
|
|
|
(116
|
)
|
|
—
|
|
|
—
|
|
|
2,340
|
|
|
(7
|
)
|
||||||||||||
All other, at fair value
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Total other assets
|
2,299
|
|
|
(7
|
)
|
|
—
|
|
|
(7
|
)
|
|
—
|
|
|
164
|
|
|
—
|
|
|
(116
|
)
|
|
—
|
|
|
—
|
|
|
2,340
|
|
|
(7
|
)
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
|
|
|
Realized and unrealized (gains) losses
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
|
Balance,
January 1, 2017 |
|
Included in
earnings |
|
Included in
other comprehensive income |
|
Total
|
|
Purchases
|
|
Issues
|
|
Sales
|
|
Settlements,
net
|
|
Transfers
into Level 3 (1) |
|
Transfers
out of Level 3 (1) |
|
Balance,
March 31, 2017 |
|
Unrealized
(gains)
losses
still held
|
||||||||||||||||||||||||
|
(In millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value
|
|
$—
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$530
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$530
|
|
|
|
$—
|
|
Other debt, at fair value
|
95
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
94
|
|
|
—
|
|
||||||||||||
Net derivatives
(2)
|
50
|
|
|
21
|
|
|
—
|
|
|
21
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
(11
|
)
|
|
—
|
|
|
—
|
|
|
61
|
|
|
13
|
|
||||||||||||
Other liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
All other, at fair value
|
(2
|
)
|
|
2
|
|
|
—
|
|
|
2
|
|
|
10
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10
|
|
|
2
|
|
Freddie Mac Form 10-Q
|
|
122
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1Q 2016
|
||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
Realized and unrealized gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
|
Balance,
January 1,
2016
|
|
Included in
earnings
|
|
Included in
other
comprehensive
income
|
|
Total
|
|
Purchases
|
|
Issues
|
|
Sales
|
|
Settlements,
net
|
|
Transfers
into
Level 3
|
|
Transfers
out of
Level 3
|
|
Balance,
March 31,
2016
|
|
Unrealized
gains (losses)
still held
|
||||||||||||||||||||||||
|
(In millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Available-for-sale, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
|
$2,608
|
|
|
|
$14
|
|
|
|
$1
|
|
|
|
$15
|
|
|
|
$1,755
|
|
|
|
$—
|
|
|
|
($362
|
)
|
|
|
($89
|
)
|
|
|
$714
|
|
|
|
($272
|
)
|
|
|
$4,369
|
|
|
|
$—
|
|
Other agency
|
91
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(6
|
)
|
|
—
|
|
|
—
|
|
|
85
|
|
|
—
|
|
||||||||||||
Non-agency RMBS
|
20,333
|
|
|
118
|
|
|
(302
|
)
|
|
(184
|
)
|
|
—
|
|
|
—
|
|
|
(575
|
)
|
|
(806
|
)
|
|
—
|
|
|
—
|
|
|
18,768
|
|
|
74
|
|
||||||||||||
Non-agency CMBS
|
3,530
|
|
|
—
|
|
|
88
|
|
|
88
|
|
|
17
|
|
|
—
|
|
|
—
|
|
|
(8
|
)
|
|
—
|
|
|
—
|
|
|
3,627
|
|
|
—
|
|
||||||||||||
Obligations of states and political subdivisions
|
1,205
|
|
|
—
|
|
|
(2
|
)
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(191
|
)
|
|
—
|
|
|
—
|
|
|
1,012
|
|
|
—
|
|
||||||||||||
Total available-for-sale mortgage-related securities
|
27,767
|
|
|
132
|
|
|
(215
|
)
|
|
(83
|
)
|
|
1,772
|
|
|
—
|
|
|
(937
|
)
|
|
(1,100
|
)
|
|
714
|
|
|
(272
|
)
|
|
27,861
|
|
|
74
|
|
||||||||||||
Trading, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
331
|
|
|
(5
|
)
|
|
—
|
|
|
(5
|
)
|
|
50
|
|
|
11
|
|
|
(139
|
)
|
|
(2
|
)
|
|
8
|
|
|
(131
|
)
|
|
123
|
|
|
(2
|
)
|
||||||||||||
Other agency
|
41
|
|
|
1
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
(13
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
29
|
|
|
(1
|
)
|
||||||||||||
All other
|
2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
||||||||||||
Total trading mortgage-related securities
|
374
|
|
|
(4
|
)
|
|
—
|
|
|
(4
|
)
|
|
50
|
|
|
11
|
|
|
(152
|
)
|
|
(3
|
)
|
|
8
|
|
|
(131
|
)
|
|
153
|
|
|
(3
|
)
|
||||||||||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Guarantee asset
|
1,753
|
|
|
58
|
|
|
—
|
|
|
58
|
|
|
142
|
|
|
16
|
|
|
—
|
|
|
(75
|
)
|
|
—
|
|
|
—
|
|
|
1,894
|
|
|
58
|
|
||||||||||||
Total other assets
|
1,753
|
|
|
58
|
|
|
—
|
|
|
58
|
|
|
142
|
|
|
16
|
|
|
—
|
|
|
(75
|
)
|
|
—
|
|
|
—
|
|
|
1,894
|
|
|
58
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
|
|
|
Realized and unrealized (gains) losses
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
|
Balance,
January 1, 2016 |
|
Included in
earnings
|
|
Included in
other
comprehensive
income
|
|
Total
|
|
Purchases
|
|
Issues
|
|
Sales
|
|
Settlements,
net
|
|
Transfers
into
Level 3
|
|
Transfers
out of
Level 3
|
|
Balance,
March 31, 2016 |
|
Unrealized
(gains) losses
still held
|
||||||||||||||||||||||||
|
(In millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Net derivatives
(2)
|
|
$8
|
|
|
|
$18
|
|
|
|
$—
|
|
|
|
$18
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
($15
|
)
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$11
|
|
|
|
$3
|
|
Other Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
All other, at fair value
|
10
|
|
|
(2
|
)
|
|
—
|
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8
|
|
|
8
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Transfers out of Level 3 during 1Q 2017 consisted 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. Certain Freddie Mac securities are classified as Level 3 at issuance and generally are classified as Level 2 when they begin trading. Transfers into Level 3 during 1Q 2017 consisted primarily of certain mortgage-related securities due to a lack of market activity and relevant price quotes from dealers and third-party pricing services.
|
(2)
|
Amounts are prior to counterparty netting, cash collateral netting, net trade/settle receivable or payable and net derivative interest receivable or payable.
|
Freddie Mac Form 10-Q
|
|
123
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 13
|
March 31, 2017
|
|||||||||
|
Level 3
Fair
Value
|
|
Predominant
Valuation
Technique(s)
|
|
Unobservable Inputs
|
||||
(Dollars in millions, except for certain unobservable inputs as shown)
|
Type
|
|
Range
|
|
Weighted
Average
|
||||
Recurring fair value measurements
|
|
|
|
|
|
|
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
Investments in securities
|
|
|
|
|
|
|
|
|
|
Available-for-sale, at fair value
|
|
|
|
|
|
|
|
|
|
Mortgage-related securities
|
|
|
|
|
|
|
|
|
|
Freddie Mac
|
$6,103
|
|
Discounted cash flows
|
|
OAS
|
|
(56) - 500 bps
|
|
92 bps
|
|
316
|
|
Other
|
|
|
|
|
|
|
Total Freddie Mac
|
6,419
|
|
|
|
|
|
|
|
|
Other agency
|
31
|
|
Median of external sources
|
|
|
|
|
|
|
|
22
|
|
Single external source
|
|
|
|
|
|
|
|
9
|
|
Other
|
|
|
|
|
|
|
Total other agency
|
62
|
|
|
|
|
|
|
|
|
Non-agency RMBS
|
7,903
|
|
Median of external sources
|
|
External pricing sources
|
|
$69.5 - $74.7
|
|
$71.2
|
|
1,367
|
|
Other
|
|
|
|
|
|
|
Total non-agency RMBS
|
9,270
|
|
|
|
|
|
|
|
|
Non-agency CMBS
|
3,359
|
|
Risk Metrics
|
|
Effective duration
|
|
1.90 - 9.77 years
|
|
8.32 years
|
|
1
|
|
Other
|
|
|
|
|
|
|
Total non-agency CMBS
|
3,360
|
|
|
|
|
|
|
|
|
Obligations of states and political subdivisions
|
502
|
|
Median of external sources
|
|
External pricing sources
|
|
$101.2 - $101.8
|
|
$101.5
|
|
58
|
|
Other
|
|
|
|
|
|
|
Total obligations of states and political subdivisions
|
560
|
|
|
|
|
|
|
|
|
Total available-for-sale mortgage-related securities
|
19,671
|
|
|
|
|
|
|
|
|
Trading, at fair value
|
|
|
|
|
|
|
|
|
|
Mortgage-related securities
|
|
|
|
|
|
|
|
|
|
Freddie Mac
|
320
|
|
Discounted cash flows
|
|
OAS
|
|
(8,557) - 5,451 bps
|
|
(165) bps
|
|
10
|
|
Risk metrics
|
|
|
|
|
|
|
|
5
|
|
Single external source
|
|
|
|
|
|
|
|
3
|
|
Median of external sources
|
|
|
|
|
|
|
|
214
|
|
Other
|
|
|
|
|
|
|
Total Freddie Mac
|
552
|
|
|
|
|
|
|
|
|
Other agency
|
11
|
|
Discounted cash flows
|
|
|
|
|
|
|
All other
|
108
|
|
Risk metrics
|
|
Effective duration
|
|
0.00 - 4.19 years
|
|
2.55 years
|
|
1
|
|
Other
|
|
|
|
|
|
|
Total trading mortgage-related securities
|
672
|
|
|
|
|
|
|
|
|
Total investments in securities
|
$20,343
|
|
|
|
|
|
|
|
|
Other assets:
|
|
|
|
|
|
|
|
|
|
Guarantee asset, at fair value
|
$2,340
|
|
Discounted cash flows
|
|
OAS
|
|
17 - 198 bps
|
|
46 bps
|
Liabilities
|
|
|
|
|
|
|
|
|
|
Debt securities of consolidated trusts held by third parties, at fair value
|
530
|
|
Single External Source
|
|
External Pricing Sources
|
|
$99.78 - $100.12
|
|
$100.1
|
Other debt, at fair value
|
94
|
|
Other
|
|
|
|
|
|
|
Net derivatives
|
61
|
|
Other
|
|
|
|
|
|
|
Other liabilities
|
|
|
|
|
|
|
|
|
|
All other, at fair value
|
10
|
|
Other
|
|
|
|
|
|
|
Freddie Mac Form 10-Q
|
|
124
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 13
|
December 31, 2016
|
|||||||||||
|
Level 3
Fair
Value
|
|
Predominant
Valuation
Technique(s)
|
|
Unobservable Inputs
|
||||||
(Dollars in millions, except for certain unobservable inputs as shown)
|
Type
|
|
Range
|
|
Weighted
Average
|
||||||
Recurring fair value measurements
|
|
|
|
|
|
|
|
|
|
||
Assets
|
|
|
|
|
|
|
|
|
|
||
Investments in securities
|
|
|
|
|
|
|
|
|
|
||
Available-for-sale, at fair value
|
|
|
|
|
|
|
|
|
|
||
Mortgage-related securities
|
|
|
|
|
|
|
|
|
|
||
Freddie Mac
|
$7,619
|
|
Discounted cash flows
|
|
OAS
|
|
(146) - 500 bps
|
|
91 bps
|
|
|
|
129
|
|
Median of external sources
|
|
External pricing sources
|
|
$100.8 - $103.3
|
|
|
$101.8
|
|
|
66
|
|
Single external source
|
|
|
|
|
|
|
||
|
60
|
|
Risk Metrics
|
|
|
|
|
|
|
||
|
1,973
|
|
Other
|
|
|
|
|
|
|
|
|
Total Freddie Mac
|
9,847
|
|
|
|
|
|
|
|
|
|
|
Other agency
|
32
|
|
Median of external sources
|
|
|
|
|
|
|
|
|
|
23
|
|
Single external source
|
|
|
|
|
|
|
||
|
11
|
|
Other
|
|
|
|
|
|
|
|
|
Total other agency
|
66
|
|
|
|
|
|
|
|
|
|
|
Non-agency RMBS
|
9,974
|
|
Median of external sources
|
|
External pricing sources
|
|
$74.0 - $78.8
|
|
|
$76.0
|
|
|
1,823
|
|
Other
|
|
|
|
|
|
|
|
|
Total non-agency RMBS
|
11,797
|
|
|
|
|
|
|
|
|
|
|
Non-agency CMBS
|
3,365
|
|
Risk Metrics
|
|
Effective duration
|
|
2.15 - 10.02 years
|
|
8.57 years
|
|
|
|
1
|
|
Other
|
|
|
|
|
|
|
|
|
Total non-agency CMBS
|
3,366
|
|
|
|
|
|
|
|
|
|
|
Obligations of states and political subdivisions
|
619
|
|
Median of external sources
|
|
External pricing sources
|
|
$100.9 - $101.5
|
|
|
$101.2
|
|
|
46
|
|
Other
|
|
|
|
|
|
|
|
|
Total obligations of states and political subdivisions
|
665
|
|
|
|
|
|
|
|
|
|
|
Total available-for-sale mortgage-related securities
|
25,741
|
|
|
|
|
|
|
|
|
|
|
Trading, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-related securities
|
|
|
|
|
|
|
|
|
|
|
|
Freddie Mac
|
452
|
|
Risk metrics
|
|
Effective duration
|
|
(5.07) - 46.37 years
|
|
6.94 years
|
|
|
|
311
|
|
Discounted cash flows
|
|
OAS
|
|
(3,346) - 2,460 bps
|
|
(224) bps
|
|
|
|
5
|
|
Single external source
|
|
|
|
|
|
|
||
|
4
|
|
Median of external sources
|
|
|
|
|
|
|
||
|
323
|
|
Other
|
|
|
|
|
|
|
|
|
Total Freddie Mac
|
1,095
|
|
|
|
|
|
|
|
|
|
|
Other agency
|
12
|
|
Discounted cash flows
|
|
|
|
|
|
|
|
|
All other
|
113
|
|
Risk metrics
|
|
Effective duration
|
|
0.14 - 4.08 years
|
|
2.52 years
|
|
|
Total trading mortgage-related securities
|
1,220
|
|
|
|
|
|
|
|
|
|
|
Total investments in securities
|
$26,961
|
|
|
|
|
|
|
|
|
|
|
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
Guarantee asset, at fair value
|
$2,091
|
|
Discounted cash flows
|
|
OAS
|
|
17 - 198 bps
|
|
50 bps
|
|
|
|
207
|
|
Other
|
|
|
|
|
|
|
|
|
Total guarantee asset, at fair value
|
2,298
|
|
|
|
|
|
|
|
|
|
|
All other at fair value
|
2
|
|
Other
|
|
|
|
|
|
|
||
Total other assets
|
2,300
|
|
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
Other debt, at fair value
|
95
|
|
Other
|
|
|
|
|
|
|
||
Net derivatives
|
49
|
|
Other
|
|
|
|
|
|
|
|
Freddie Mac Form 10-Q
|
|
125
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 13
|
March 31, 2017
|
|||||||||||
|
Level 3
Fair
Value
|
|
Predominant
Valuation
Technique(s)
|
|
Unobservable Inputs
|
||||||
(Dollars in millions, except for certain unobservable inputs as shown)
|
Type
|
|
Range
|
|
Weighted
Average
|
||||||
Non-recurring fair value measurements
|
|
|
|
|
|
|
|
|
|
||
Mortgage loans
|
|
$2,290
|
|
|
|
|
|
|
|
|
|
|
|
|
Internal model
|
|
Historical sales
proceeds |
|
$3,000 - $770,000
|
|
$182,916
|
||
|
|
|
Internal model
|
|
Housing sales index
|
|
42 - 368 bps
|
|
97 bps
|
||
|
|
|
Income capitalization
(1)
|
|
Capitalization rates
|
|
7% - 10%
|
|
7%
|
||
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$35.7-$95.0
|
|
$75.9
|
||
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
||
December 31, 2016
|
|||||||||||
|
Level 3
Fair
Value
|
|
Predominant
Valuation
Technique(s)
|
|
Unobservable Inputs
|
||||||
(Dollars in millions, except for certain unobservable inputs as shown)
|
Type
|
|
Range
|
|
Weighted
Average
|
||||||
Non-recurring fair value measurements
|
|
|
|
|
|
|
|
|
|
||
Mortgage loans
|
|
$2,483
|
|
|
|
|
|
|
|
|
|
|
|
|
Internal model
|
|
Historical sales
proceeds |
|
$3,000 - $770,000
|
|
$167,137
|
||
|
|
|
Internal model
|
|
Housing sales index
|
|
42 - 374 bps
|
|
96 bps
|
||
|
|
|
Income capitalization
(1)
|
|
Capitalization rates
|
|
7%- 10%
|
|
7%
|
||
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$37.0 - $94.3
|
|
$75.0
|
(1)
|
The predominant valuation technique used for multifamily 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.
|
Freddie Mac Form 10-Q
|
|
126
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 13
|
|
March 31, 2017
|
||||||||||||||||||||||
|
|
|
Fair Value
|
||||||||||||||||||||
(In millions)
|
GAAP Carrying Amount
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Netting
Adjustments
(1)
|
|
Total
|
||||||||||||
Financial Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Cash and cash equivalents
|
|
$10,679
|
|
|
|
$10,679
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$10,679
|
|
Restricted cash and cash equivalents
|
1,837
|
|
|
1,837
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,837
|
|
||||||
Securities purchased under agreements to resell
|
51,257
|
|
|
—
|
|
|
51,257
|
|
|
—
|
|
|
—
|
|
|
51,257
|
|
||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Available-for-sale, at fair value
|
60,505
|
|
|
—
|
|
|
40,834
|
|
|
19,671
|
|
|
—
|
|
|
60,505
|
|
||||||
Trading, at fair value
|
48,122
|
|
|
24,623
|
|
|
22,827
|
|
|
672
|
|
|
—
|
|
|
48,122
|
|
||||||
Total investments in securities
|
108,627
|
|
|
24,623
|
|
|
63,661
|
|
|
20,343
|
|
|
—
|
|
|
108,627
|
|
||||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Loans held by consolidated trusts
|
1,720,208
|
|
|
—
|
|
|
1,588,203
|
|
|
136,161
|
|
|
—
|
|
|
1,724,364
|
|
||||||
Loans held by Freddie Mac
|
107,408
|
|
|
—
|
|
|
27,940
|
|
|
81,594
|
|
|
—
|
|
|
109,534
|
|
||||||
Total mortgage loans
|
1,827,616
|
|
|
—
|
|
|
1,616,143
|
|
|
217,755
|
|
|
—
|
|
|
1,833,898
|
|
||||||
Derivative assets, net
|
569
|
|
|
|
|
|
10,354
|
|
|
2
|
|
|
(9,787
|
)
|
|
569
|
|
||||||
Guarantee asset
|
2,340
|
|
|
—
|
|
|
—
|
|
|
2,756
|
|
|
—
|
|
|
2,756
|
|
||||||
Non-derivative purchase commitments, at fair value
|
134
|
|
|
—
|
|
|
134
|
|
|
23
|
|
|
—
|
|
|
157
|
|
||||||
Advances to lenders
|
1,085
|
|
|
—
|
|
|
—
|
|
|
1,085
|
|
|
—
|
|
|
1,085
|
|
||||||
Total financial assets
|
|
$2,004,144
|
|
|
|
$37,139
|
|
|
|
$1,741,549
|
|
|
|
$241,964
|
|
|
|
($9,787
|
)
|
|
|
$2,010,865
|
|
Financial Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Debt, net:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Debt securities of consolidated trusts held by third parties
|
|
$1,663,811
|
|
|
|
$—
|
|
|
|
$1,662,408
|
|
|
|
$2,532
|
|
|
|
$—
|
|
|
|
$1,664,940
|
|
Other debt
|
354,633
|
|
|
—
|
|
|
354,526
|
|
|
4,607
|
|
|
—
|
|
|
359,133
|
|
||||||
Total debt, net
|
2,018,444
|
|
|
—
|
|
|
2,016,934
|
|
|
7,139
|
|
|
—
|
|
|
2,024,073
|
|
||||||
Derivative liabilities, net
|
335
|
|
|
—
|
|
|
8,743
|
|
|
63
|
|
|
(8,471
|
)
|
|
335
|
|
||||||
Guarantee obligation
|
2,229
|
|
|
—
|
|
|
—
|
|
|
3,183
|
|
|
—
|
|
|
3,183
|
|
||||||
Non-derivative purchase commitments, at fair value
|
38
|
|
|
—
|
|
|
38
|
|
|
33
|
|
|
—
|
|
|
71
|
|
||||||
Total financial liabilities
|
|
$2,021,046
|
|
|
|
$—
|
|
|
|
$2,025,715
|
|
|
|
$10,418
|
|
|
|
($8,471
|
)
|
|
|
$2,027,662
|
|
Freddie Mac Form 10-Q
|
|
127
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 13
|
|
December 31, 2016
|
||||||||||||||||||||||
|
|
|
Fair Value
|
||||||||||||||||||||
(In millions)
|
GAAP Carrying Amount
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Netting Adjustments
(1)
|
|
Total
|
||||||||||||
Financial Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Cash and cash
equivalents
|
|
$12,369
|
|
|
|
$12,369
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$12,369
|
|
Restricted cash and cash equivalents
|
9,851
|
|
|
9,851
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9,851
|
|
||||||
Securities purchased under agreements to resell
|
51,548
|
|
|
—
|
|
|
51,548
|
|
|
—
|
|
|
—
|
|
|
51,548
|
|
||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Available-for-sale, at fair value
|
66,757
|
|
|
—
|
|
|
41,016
|
|
|
25,741
|
|
|
—
|
|
|
66,757
|
|
||||||
Trading, at fair value
|
44,790
|
|
|
19,402
|
|
|
24,168
|
|
|
1,220
|
|
|
—
|
|
|
44,790
|
|
||||||
Total investments in securities
|
111,547
|
|
|
19,402
|
|
|
65,184
|
|
|
26,961
|
|
|
—
|
|
|
111,547
|
|
||||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Loans held by consolidated trusts
|
1,690,218
|
|
|
—
|
|
|
1,554,143
|
|
|
142,121
|
|
|
—
|
|
|
1,696,264
|
|
||||||
Loans held by Freddie Mac
|
112,785
|
|
|
—
|
|
|
31,004
|
|
|
84,227
|
|
|
—
|
|
|
115,231
|
|
||||||
Total mortgage loans
|
1,803,003
|
|
|
—
|
|
|
1,585,147
|
|
|
226,348
|
|
|
—
|
|
|
1,811,495
|
|
||||||
Derivative assets, net
|
747
|
|
|
—
|
|
|
12,265
|
|
|
3
|
|
|
(11,521
|
)
|
|
747
|
|
||||||
Guarantee asset
|
2,298
|
|
|
—
|
|
|
—
|
|
|
2,490
|
|
|
—
|
|
|
2,490
|
|
||||||
Non-derivative purchase commitments, at fair value
|
108
|
|
|
—
|
|
|
108
|
|
|
18
|
|
|
—
|
|
|
126
|
|
||||||
Advances to lenders
|
1,278
|
|
|
—
|
|
|
—
|
|
|
1,278
|
|
|
—
|
|
|
1,278
|
|
||||||
Total financial assets
|
|
$1,992,749
|
|
|
|
$41,622
|
|
|
|
$1,714,252
|
|
|
|
$257,098
|
|
|
|
($11,521
|
)
|
|
|
$2,001,451
|
|
Financial Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Debt, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Debt securities of consolidated trusts held by third parties
|
|
$1,648,683
|
|
|
|
$—
|
|
|
|
$1,651,313
|
|
|
|
$605
|
|
|
|
$—
|
|
|
|
$1,651,918
|
|
Other debt
|
353,321
|
|
|
—
|
|
|
352,837
|
|
|
4,809
|
|
|
—
|
|
|
357,646
|
|
||||||
Total debt, net
|
2,002,004
|
|
|
—
|
|
|
2,004,150
|
|
|
5,414
|
|
|
—
|
|
|
2,009,564
|
|
||||||
Derivative liabilities, net
|
795
|
|
|
—
|
|
|
12,640
|
|
|
52
|
|
|
(11,897
|
)
|
|
795
|
|
||||||
Guarantee obligation
|
2,208
|
|
|
—
|
|
|
—
|
|
|
3,399
|
|
|
—
|
|
|
3,399
|
|
||||||
Non-derivative purchase commitments, at fair value
|
37
|
|
|
—
|
|
|
37
|
|
|
45
|
|
|
—
|
|
|
82
|
|
||||||
Total financial liabilities
|
|
$2,005,044
|
|
|
|
$—
|
|
|
|
$2,016,827
|
|
|
|
$8,910
|
|
|
|
($11,897
|
)
|
|
|
$2,013,840
|
|
(1)
|
Represents counterparty netting, cash collateral netting and net derivative interest receivable or payable.
|
Freddie Mac Form 10-Q
|
|
128
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 13
|
|
|
March 31, 2017
|
|
December 31, 2016
|
||||||||||||||||||||
(In millions)
|
|
Multifamily
Held-For-Sale
Loans
|
|
Other Debt -
Long Term
|
|
Debt securities of consolidated trusts held by third parties
(1)
|
|
Multifamily
Held-For-Sale
Loans
|
|
Other Debt -
Long Term
|
|
Debt securities of consolidated trusts held by third parties
(1)
|
||||||||||||
Fair value
|
|
|
$17,687
|
|
|
|
$5,702
|
|
|
|
$530
|
|
|
|
$16,255
|
|
|
|
$5,866
|
|
|
|
$—
|
|
Unpaid principal balance
|
|
17,514
|
|
|
5,320
|
|
|
530
|
|
|
16,231
|
|
|
5,584
|
|
|
—
|
|
||||||
Difference
|
|
|
$173
|
|
|
|
$382
|
|
|
|
$—
|
|
|
|
$24
|
|
|
|
$282
|
|
|
|
$—
|
|
Freddie Mac Form 10-Q
|
|
129
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 14
|
Freddie Mac Form 10-Q
|
|
130
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 14
|
Freddie Mac Form 10-Q
|
|
131
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 14
|
Freddie Mac Form 10-Q
|
|
132
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 14
|
Freddie Mac Form 10-Q
|
|
133
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 14
|
Freddie Mac Form 10-Q
|
|
134
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 15
|
(In millions)
|
|
March 31, 2017
|
|
December 31, 2016
|
||||
GAAP net worth
|
|
|
$2,834
|
|
|
|
$5,075
|
|
Core capital (deficit)
(1)(2)
|
|
|
($69,981
|
)
|
|
|
($67,717
|
)
|
Less: Minimum capital requirement
(1)
|
|
18,900
|
|
|
18,933
|
|
||
Minimum capital surplus (deficit)
(1)
|
|
|
($88,881
|
)
|
|
|
($86,650
|
)
|
(1)
|
Core capital and minimum capital figures are estimates and represent amounts submitted to FHFA. 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.
|
Freddie Mac Form 10-Q
|
|
135
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 16
|
(In millions)
|
March 31, 2017
|
|
December 31, 2016
|
||||
Other assets:
|
|
|
|
||||
Real estate owned, net
|
|
$1,143
|
|
|
|
$1,198
|
|
Accounts and other receivables
(1)
|
3,882
|
|
|
5,083
|
|
||
Guarantee asset
|
2,340
|
|
|
2,298
|
|
||
Advances to lenders
|
1,085
|
|
|
1,278
|
|
||
All other
|
1,246
|
|
|
2,501
|
|
||
Total other assets
|
|
$9,696
|
|
|
|
$12,358
|
|
Other liabilities:
|
|
|
|
||||
Guarantee obligation
|
2,229
|
|
|
2,208
|
|
||
Payables related to securities
|
99
|
|
|
4,510
|
|
||
All other
|
2,470
|
|
|
2,769
|
|
||
Total other liabilities
|
|
$4,798
|
|
|
|
$9,487
|
|
(1)
|
Primarily consists of servicer receivables and other non-interest receivables.
|
Freddie Mac Form 10-Q
|
|
136
|
Other Information
|
|
|
Freddie Mac Form 10-Q
|
|
137
|
Other Information
|
|
|
Freddie Mac Form 10-Q
|
|
138
|
Controls and Procedures
|
|
|
Freddie Mac Form 10-Q
|
|
139
|
Controls and Procedures
|
|
|
•
|
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.
|
•
|
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.
|
Freddie Mac Form 10-Q
|
|
140
|
Signatures
|
|
|
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)
|
Freddie Mac Form 10-Q
|
|
141
|
Index
|
|
|
Freddie Mac Form 10-Q
|
|
142
|
Exhibit Index
|
|
|
Exhibit No.
|
|
Description*
|
4.1
|
|
Federal Home Loan Mortgage Corporation Global Debt Facility Agreement, dated February 16, 2017
|
|
|
|
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.
|
|
|
Freddie Mac Form 10-Q
|
|
E-1
|
|
|
|
Year Ended December 31,
|
||||||||||||||||||||||||
|
1Q 2017
|
|
1Q 2016
|
|
2016
|
|
2015
|
|
2014
|
|
2013
|
|
2012
|
||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||||||
Net income (loss) before income tax (expense) benefit and cumulative effect of changes in accounting principles
|
$
|
3,321
|
|
|
$
|
(508
|
)
|
|
$
|
11,639
|
|
|
$
|
9,274
|
|
|
$
|
11,002
|
|
|
$
|
25,363
|
|
|
$
|
9,445
|
|
Add:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Total interest expense
|
13,142
|
|
|
13,388
|
|
|
50,595
|
|
|
51,916
|
|
|
54,916
|
|
|
55,779
|
|
|
66,502
|
|
|||||||
Interest factor in rental expenses
|
1
|
|
|
1
|
|
|
3
|
|
|
2
|
|
|
5
|
|
|
4
|
|
|
4
|
|
|||||||
Earnings, as adjusted
|
$
|
16,464
|
|
|
$
|
12,881
|
|
|
$
|
62,237
|
|
|
$
|
61,192
|
|
|
$
|
65,923
|
|
|
$
|
81,146
|
|
|
$
|
75,951
|
|
Fixed charges:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Total interest expense
|
$
|
13,142
|
|
|
$
|
13,388
|
|
|
$
|
50,595
|
|
|
$
|
51,916
|
|
|
$
|
54,916
|
|
|
$
|
55,779
|
|
|
$
|
66,502
|
|
Interest factor in rental expenses
|
1
|
|
|
1
|
|
|
3
|
|
|
2
|
|
|
5
|
|
|
4
|
|
|
4
|
|
|||||||
Total fixed charges
|
$
|
13,143
|
|
|
$
|
13,389
|
|
|
$
|
50,598
|
|
|
$
|
51,918
|
|
|
$
|
54,921
|
|
|
$
|
55,783
|
|
|
$
|
66,506
|
|
Senior preferred stock and preferred stock dividends
(1)
|
6,679
|
|
|
1,740
|
|
|
7,437
|
|
|
5,510
|
|
|
19,610
|
|
|
47,591
|
|
|
7,229
|
|
|||||||
Total fixed charges including preferred stock dividends
|
$
|
19,822
|
|
|
$
|
15,129
|
|
|
$
|
58,035
|
|
|
$
|
57,428
|
|
|
$
|
74,531
|
|
|
$
|
103,374
|
|
|
$
|
73,735
|
|
Ratio of earnings to fixed charges
(2)
|
1.25
|
|
|
—
|
|
|
1.23
|
|
|
1.18
|
|
|
1.20
|
|
|
1.45
|
|
|
1.14
|
|
|||||||
Ratio of earnings to combined fixed charges and preferred stock dividends
(3)
|
—
|
|
|
—
|
|
|
1.07
|
|
|
1.07
|
|
|
—
|
|
|
—
|
|
|
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, as adjusted by total fixed charges. For the ratio to equal 1.00, earnings, as adjusted must increase by $508 million for 1Q 2016.
|
(3)
|
Ratio of earnings to combined fixed charges and preferred stock dividends is computed by dividing earnings, as adjusted by total fixed charges including preferred stock dividends. For the ratio to equal 1.00, earnings, as adjusted must increase by $3.4 billion, $2.2 billion, $8.6 billion and $22.2 billion for 1Q 2017 and 1Q 2016 and for the years ended December 31, 2014 and 2013, respectively.
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q for the quarter ended March 31, 2017 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 March 31, 2017 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:
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a.
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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;
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b.
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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;
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c.
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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
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d.
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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
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5.
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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):
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a.
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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
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b.
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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.
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/s/ James G. Mackey
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James G. Mackey
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Executive Vice President — Chief Financial Officer
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1.
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The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
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2.
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The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
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/s/ Donald H. Layton
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Donald H. Layton
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Chief Executive Officer
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1.
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The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
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2.
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The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
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/s/ James G. Mackey
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James G. Mackey
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Executive Vice President — Chief Financial Officer
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