☒
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.
|
☐
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.
|
Federally chartered
|
|
52-0904874
|
|
8200 Jones Branch Drive
|
|
22102-3110
|
|
|
(703)
|
903-2000
|
|
|||
corporation
|
|
|
|
McLean,
|
Virginia
|
|
|
|
|
|
||||
(State or other jurisdiction of incorporation or organization)
|
|
(I.R.S. Employer
Identification No.)
|
|
(Address of principal executive offices)
|
|
(Zip Code)
|
|
(Registrant’s telephone number,
including area code)
|
Title of each class
|
Trading Symbol(s)
|
Name of each exchange on which registered
|
None
|
N/A
|
N/A
|
|
Large accelerated filer
|
☒
|
|
|
Accelerated filer
|
☐
|
|
Non-accelerated filer
|
☐
|
|
|
Smaller reporting company
|
☐
|
|
Emerging growth company
|
☐
|
|
|
|
|
Table of Contents
|
|
Page
|
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
|
|
n Introduction
|
|
n Market Conditions and Economic Indicators
|
|
n Consolidated Results of Operations
|
|
n Consolidated Balance Sheets Analysis
|
|
n Our Business Segments
|
|
n Risk Management
|
|
n Liquidity and Capital Resources
|
|
n Off-Balance Sheet Arrangements
|
|
n Conservatorship and Related Matters
|
|
n Regulation and Supervision
|
|
n Forward-Looking Statements
|
|
FINANCIAL STATEMENTS
|
|
OTHER INFORMATION
|
|
CONTROLS AND PROCEDURES
|
|
EXHIBIT INDEX
|
|
SIGNATURES
|
|
FORM 10-Q INDEX
|
Freddie Mac Form 10-Q
|
|
i
|
Table of Contents
|
Table
|
Description
|
Page
|
1
|
Summary of Consolidated Statements of Comprehensive Income (Loss)
|
|
2
|
Components of Net Interest Income
|
|
3
|
Analysis of Net Interest Yield
|
|
4
|
Components of Mortgage Loans Gains (Losses)
|
|
5
|
Components of Debt Gains (Losses)
|
|
6
|
Components of Derivative Gains (Losses)
|
|
7
|
Summarized Consolidated Balance Sheets
|
|
8
|
Single-Family Credit Guarantee Portfolio CRT Issuance
|
|
9
|
Details of Credit Enhanced Loans in Our Single-Family Credit Guarantee Portfolio
|
|
10
|
Single-Family Credit Guarantee Portfolio Attribute Combinations for Higher Risk Loans
|
|
11
|
Alt-A Loans in Our Single-Family Credit Guarantee Portfolio
|
|
12
|
Single-Family Credit Guarantee Portfolio Credit Performance Metrics
|
|
13
|
Single-Family Individually Impaired Loans with an Allowance Recorded
|
|
14
|
Single-Family TDR and Non-Accrual Loans
|
|
15
|
Single-Family REO Activity
|
|
16
|
Single-Family Guarantee Segment Financial Results
|
|
17
|
Multifamily Market Support
|
|
18
|
Multifamily Segment Financial Results
|
|
19
|
Capital Markets Segment Financial Results
|
|
20
|
Capital Markets Segment Interest Rate-Related and Market Spread-Related Fair Value Changes, Net of Tax
|
|
21
|
PVS-YC and PVS-L Results Assuming Shifts of the LIBOR Yield Curve
|
|
22
|
Duration Gap and PVS Results
|
|
23
|
PVS-L Results Before Derivatives and After Derivatives
|
|
24
|
PVS-L Average, Minimum, and Maximum
|
|
25
|
GAAP Adverse Scenario Before and After Hedge Accounting
|
|
26
|
GAAP Adverse Scenario Average, Minimum, and Maximum
|
|
27
|
Estimated Net Interest Rate Effect on Comprehensive Income (Loss)
|
|
28
|
Estimated Spread Effect on Comprehensive Income (Loss)
|
|
29
|
Sources of Liquidity
|
|
30
|
Other Investments Portfolio
|
|
31
|
Sources of Funding
|
|
32
|
Other Debt Activity
|
|
33
|
Activity for Debt Securities of Consolidated Trusts Held by Third Parties
|
|
34
|
Net Worth Activity
|
|
35
|
Return on Conservatorship Capital
|
|
36
|
Mortgage-Related Investments Portfolio Details
|
|
37
|
2018 Affordable Housing Goal Results
|
Freddie Mac Form 10-Q
|
|
ii
|
Management's Discussion and Analysis
|
|
Introduction
|
(1)
|
Net revenues consist of net interest income, guarantee fee income, and other income (loss).
|
Freddie Mac Form 10-Q
|
|
1
|
Management's Discussion and Analysis
|
|
Introduction
|
n
|
Our total guarantee portfolio grew $120 billion, or 6%, from September 30, 2018 to September 30, 2019, driven by a 5% increase in our single-family credit guarantee portfolio and a 15% increase in our multifamily guarantee portfolio.
|
l
|
The growth in our single-family credit guarantee portfolio was primarily driven by an increase in U.S. single-family mortgage debt outstanding as a result of continued home price appreciation and our overall share of the single-family
|
Freddie Mac Form 10-Q
|
|
2
|
Management's Discussion and Analysis
|
|
Introduction
|
l
|
The growth in our multifamily guarantee portfolio was primarily driven by strong loan purchase and securitization activity. Continued strong demand for multifamily financing and healthy multifamily market fundamentals resulted in continued growth in overall multifamily mortgage debt outstanding.
|
n
|
Our total investments portfolio at September 30, 2019 was relatively unchanged compared to September 30, 2018, primarily due to an increase in our other investments portfolio driven by higher near-term cash needs for upcoming debt maturities and anticipated calls of other debt, partially offset by a reduction in the balance of our mortgage-related investments portfolio pursuant to the portfolio limits established by the Purchase Agreement and FHFA. In February 2019, FHFA directed us to maintain the mortgage-related investments portfolio at or below $225 billion at all times.
|
Freddie Mac Form 10-Q
|
|
3
|
Management's Discussion and Analysis
|
|
Market Conditions and Economic Indicators
|
n
|
The 30-year Primary Mortgage Market Survey (PMMS) interest rate is indicative of what a consumer could expect to be offered on a first-lien prime conventional conforming home purchase mortgage with an LTV of 80%. Increases (decreases) in the PMMS rate typically result in decreases (increases) in refinancing activity and originations.
|
n
|
Changes in the 10-year and 2-year LIBOR interest rates can significantly affect the fair value of our debt, derivatives, and mortgage and non-mortgage-related securities. In addition, the GAAP accounting treatment for our financial assets and liabilities, including derivatives (i.e., some are measured at amortized cost, while others are measured at fair value) creates variability in our GAAP earnings when interest rates change. We have elected hedge accounting for certain assets and liabilities in an effort to reduce GAAP earnings variability and better align GAAP results with the economics of our business.
|
n
|
Changes in the 3-month LIBOR rate affect the interest earned on our short-term investments and interest expense on our short-term funding.
|
n
|
Long-term rates continued their recent downward trend, resulting in further inversion of the yield curve. The 10-year LIBOR rate decreased 39 and 115 basis points during 3Q 2019 and YTD 2019, respectively.
|
n
|
Changes in the national unemployment rate can affect several market factors, including the demand for both single-family and multifamily housing and the level of loan delinquencies.
|
n
|
Continued job growth, a declining unemployment rate, and generally favorable economic conditions resulted in strong credit performance.
|
Freddie Mac Form 10-Q
|
|
4
|
Management's Discussion and Analysis
|
|
Market Conditions and Economic Indicators
|
n
|
Changes in home prices affect the amount of equity that borrowers have in their homes. As home prices decline, the severity of losses we incur on defaulted loans that we hold or guarantee increases because the amount we can recover from the property securing the loan decreases.
|
n
|
Single-family home prices decreased 0.1% during 3Q 2019, compared to an increase of 0.3% during 3Q 2018. We expect home price growth will continue for full-year 2019, but grow at a slower pace than in full-year 2018.
|
n
|
U.S. single-family loan origination volume increased to $700 billion in 3Q 2019 from $435 billion in 3Q 2018, driven by higher refinance volume as a result of lower average mortgage interest rates in 3Q 2019.
|
n
|
We expect U.S. single-family home purchase volume to increase in 2019 as a result of market response to lower interest rates. Freddie Mac's single-family loan purchase volumes typically follow a similar trend.
|
Freddie Mac Form 10-Q
|
|
5
|
Management's Discussion and Analysis
|
|
Consolidated Results of Operations
|
|
|
|
|
|
Change
|
|
|
|
|
Change
|
||||||||||||||||
(Dollars in millions)
|
|
3Q 2019
|
3Q 2018
|
|
$
|
%
|
|
YTD 2019
|
YTD 2018
|
|
$
|
%
|
||||||||||||||
Net interest income
|
|
|
$2,410
|
|
|
$3,257
|
|
|
|
($847
|
)
|
(26
|
)%
|
|
|
$8,490
|
|
|
$9,278
|
|
|
|
($788
|
)
|
(8
|
)%
|
Guarantee fee income
|
|
231
|
|
209
|
|
|
22
|
|
11
|
|
|
670
|
|
603
|
|
|
67
|
|
11
|
|
||||||
Other income (loss)
|
|
146
|
|
79
|
|
|
67
|
|
85
|
|
|
389
|
|
648
|
|
|
(259
|
)
|
(40
|
)
|
||||||
Net revenues
|
|
2,787
|
|
3,545
|
|
|
(758
|
)
|
(21
|
)
|
|
9,549
|
|
10,529
|
|
|
(980
|
)
|
(9
|
)
|
||||||
Other non-interest income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage loans gains (losses)
|
|
1,702
|
|
94
|
|
|
1,608
|
|
1,711
|
|
|
4,174
|
|
233
|
|
|
3,941
|
|
1,691
|
|
||||||
Investment securities gains (losses)
|
|
164
|
|
(443
|
)
|
|
607
|
|
137
|
|
|
728
|
|
(1,024
|
)
|
|
1,752
|
|
171
|
|
||||||
Debt gains (losses)
|
|
(56
|
)
|
158
|
|
|
(214
|
)
|
(135
|
)
|
|
8
|
|
445
|
|
|
(437
|
)
|
(98
|
)
|
||||||
Derivative gains (losses)
|
|
(1,217
|
)
|
728
|
|
|
(1,945
|
)
|
(267
|
)
|
|
(4,912
|
)
|
2,974
|
|
|
(7,886
|
)
|
(265
|
)
|
||||||
Total other non-interest income (loss)
|
|
593
|
|
537
|
|
|
56
|
|
10
|
|
|
(2
|
)
|
2,628
|
|
|
(2,630
|
)
|
(100
|
)
|
||||||
Benefit (provision) for credit losses
|
|
179
|
|
380
|
|
|
(201
|
)
|
(53
|
)
|
|
474
|
|
377
|
|
|
97
|
|
26
|
|
||||||
Non-interest expense
|
|
(1,423
|
)
|
(1,200
|
)
|
|
(223
|
)
|
(19
|
)
|
|
(4,222
|
)
|
(3,453
|
)
|
|
(769
|
)
|
(22
|
)
|
||||||
Income (loss) before income tax (expense) benefit
|
|
2,136
|
|
3,262
|
|
|
(1,126
|
)
|
(35
|
)
|
|
5,799
|
|
10,081
|
|
|
(4,282
|
)
|
(42
|
)
|
||||||
Income tax (expense) benefit
|
|
(427
|
)
|
(556
|
)
|
|
129
|
|
23
|
|
|
(1,177
|
)
|
(1,946
|
)
|
|
769
|
|
40
|
|
||||||
Net income (loss)
|
|
1,709
|
|
2,706
|
|
|
(997
|
)
|
(37
|
)
|
|
4,622
|
|
8,135
|
|
|
(3,513
|
)
|
(43
|
)
|
||||||
Total other comprehensive income (loss), net of taxes and reclassification adjustments
|
|
139
|
|
(147
|
)
|
|
286
|
|
195
|
|
|
717
|
|
(991
|
)
|
|
1,708
|
|
172
|
|
||||||
Comprehensive income (loss)
|
|
|
$1,848
|
|
|
$2,559
|
|
|
|
($711
|
)
|
(28
|
)%
|
|
|
$5,339
|
|
|
$7,144
|
|
|
|
($1,805
|
)
|
(25
|
)%
|
Freddie Mac Form 10-Q
|
|
6
|
Management's Discussion and Analysis
|
|
Consolidated Results of Operations
|
|
|
|
|
|
Change
|
|
|
|
|
Change
|
||||||||||||||||
(Dollars in millions)
|
|
3Q 2019
|
3Q 2018
|
|
$
|
%
|
|
YTD 2019
|
YTD 2018
|
|
$
|
%
|
||||||||||||||
Guarantee portfolio net interest income:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Contractual net interest income
|
|
|
$943
|
|
|
$869
|
|
|
|
$74
|
|
9
|
%
|
|
|
$2,751
|
|
|
$2,561
|
|
|
|
$190
|
|
7
|
%
|
Net interest income related to the Temporary Payroll Tax Cut Continuation Act of 2011
|
|
405
|
|
364
|
|
|
41
|
|
11
|
|
|
1,172
|
|
1,067
|
|
|
105
|
|
10
|
|
||||||
Amortization
|
|
564
|
|
820
|
|
|
(256
|
)
|
(31
|
)
|
|
1,521
|
|
2,269
|
|
|
(748
|
)
|
(33
|
)
|
||||||
Total guarantee portfolio net interest income
|
|
1,912
|
|
2,053
|
|
|
(141
|
)
|
(7
|
)
|
|
5,444
|
|
5,897
|
|
|
(453
|
)
|
(8
|
)
|
||||||
Investments portfolio net interest income:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Contractual net interest income
|
|
1,167
|
|
1,346
|
|
|
(179
|
)
|
(13
|
)
|
|
3,737
|
|
4,189
|
|
|
(452
|
)
|
(11
|
)
|
||||||
Amortization
|
|
(152
|
)
|
(108
|
)
|
|
(44
|
)
|
(41
|
)
|
|
(429
|
)
|
(187
|
)
|
|
(242
|
)
|
(129
|
)
|
||||||
Total investments portfolio net interest income
|
|
1,015
|
|
1,238
|
|
|
(223
|
)
|
(18
|
)
|
|
3,308
|
|
4,002
|
|
|
(694
|
)
|
(17
|
)
|
||||||
Hedge accounting impact
|
|
(517
|
)
|
(34
|
)
|
|
(483
|
)
|
(1,421
|
)
|
|
(262
|
)
|
(621
|
)
|
|
359
|
|
58
|
|
||||||
Net interest income
|
|
|
$2,410
|
|
|
$3,257
|
|
|
|
($847
|
)
|
(26
|
)%
|
|
|
$8,490
|
|
|
$9,278
|
|
|
|
($788
|
)
|
(8
|
)%
|
n
|
Guarantee portfolio contractual net interest income
|
l
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - Increased primarily due to the continued growth of the core single-family loan portfolio.
|
n
|
Guarantee portfolio amortization
|
l
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - Decreased primarily due to the timing differences in amortization related to prepayments between debt of consolidated trusts and the underlying mortgage loans. For further discussion on timing differences in amortization, see MD&A - Consolidated Results of Operations in our 2018 Annual Report.
|
n
|
Investments portfolio contractual net interest income
|
l
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - Decreased primarily due to the 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 - Managing Our Mortgage-Related Investments Portfolio for a discussion of the key drivers of the decline in our mortgage-related investments portfolio.
|
n
|
Investments portfolio amortization
|
l
|
YTD 2019 vs. YTD 2018 - Decreased primarily due to lower accretion income related to previously recognized other-than-temporary impairments as a result of a decline in the population of impaired securities.
|
n
|
Hedge accounting impact
|
l
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - Decreased in 3Q 2019 primarily due to amortization of previously deferred fair value hedge accounting losses and a negative earnings mismatch related to fair value hedge accounting. Increased in YTD 2019 primarily due to a positive earnings mismatch and lower expense related to accruals of periodic cash settlements on derivatives in hedging relationships, partially offset by amortization of hedge-related basis adjustments. The earnings mismatch 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.
|
Freddie Mac Form 10-Q
|
|
7
|
Management's Discussion and Analysis
|
|
Consolidated Results of Operations
|
|
|
3Q 2019
|
|
3Q 2018
|
||||||||||||||
(Dollars in millions)
|
|
Average
Balance
|
Interest
Income
(Expense)(1)
|
Average
Rate
|
|
Average
Balance
|
Interest
Income
(Expense)(1)
|
Average
Rate
|
||||||||||
Interest-earning assets:
|
|
|
|
|
|
|
|
|
||||||||||
Cash and cash equivalents
|
|
|
$10,313
|
|
|
$72
|
|
2.75
|
%
|
|
|
$7,114
|
|
|
$15
|
|
0.84
|
%
|
Securities purchased under agreements to resell
|
|
54,238
|
|
322
|
|
2.37
|
|
|
45,412
|
|
235
|
|
2.07
|
|
||||
Secured lending
|
|
3,750
|
|
32
|
|
3.35
|
|
|
1,626
|
|
11
|
|
2.48
|
|
||||
Mortgage-related securities
|
|
133,278
|
|
1,435
|
|
4.31
|
|
|
143,113
|
|
1,495
|
|
4.18
|
|
||||
Extinguishment of debt securities of consolidated trusts held by Freddie Mac
|
|
(87,159
|
)
|
(883
|
)
|
(4.05
|
)
|
|
(89,976
|
)
|
(885
|
)
|
(3.93
|
)
|
||||
Total mortgage-related securities, net
|
|
46,119
|
|
552
|
|
4.79
|
|
|
53,137
|
|
610
|
|
4.60
|
|
||||
Non-mortgage-related securities
|
|
24,377
|
|
134
|
|
2.19
|
|
|
24,799
|
|
145
|
|
2.33
|
|
||||
Loans held by consolidated trusts(1)
|
|
1,892,375
|
|
15,541
|
|
3.28
|
|
|
1,804,347
|
|
15,759
|
|
3.49
|
|
||||
Loans held by Freddie Mac(1)
|
|
88,706
|
|
887
|
|
4.00
|
|
|
97,456
|
|
1,028
|
|
4.22
|
|
||||
Total interest-earning assets
|
|
2,119,878
|
|
17,540
|
|
3.31
|
|
|
2,033,891
|
|
17,803
|
|
3.50
|
|
||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
||||||||||
Debt securities of consolidated trusts including those held by Freddie Mac
|
|
1,916,417
|
|
(14,207
|
)
|
(2.97
|
)
|
|
1,832,707
|
|
(13,712
|
)
|
(2.99
|
)
|
||||
Extinguishment of debt securities of consolidated trusts held by Freddie Mac
|
|
(87,159
|
)
|
883
|
|
4.05
|
|
|
(89,976
|
)
|
885
|
|
3.93
|
|
||||
Total debt securities of consolidated trusts held by third parties
|
|
1,829,258
|
|
(13,324
|
)
|
(2.91
|
)
|
|
1,742,731
|
|
(12,827
|
)
|
(2.94
|
)
|
||||
Other debt:
|
|
|
|
|
|
|
|
|
||||||||||
Short-term debt
|
|
85,980
|
|
(499
|
)
|
(2.28
|
)
|
|
69,435
|
|
(361
|
)
|
(2.04
|
)
|
||||
Long-term debt
|
|
195,530
|
|
(1,307
|
)
|
(2.65
|
)
|
|
212,256
|
|
(1,358
|
)
|
(2.54
|
)
|
||||
Total other debt
|
|
281,510
|
|
(1,806
|
)
|
(2.54
|
)
|
|
281,691
|
|
(1,719
|
)
|
(2.42
|
)
|
||||
Total interest-bearing liabilities
|
|
2,110,768
|
|
(15,130
|
)
|
(2.86
|
)
|
|
2,024,422
|
|
(14,546
|
)
|
(2.87
|
)
|
||||
Impact of net non-interest-bearing funding
|
|
9,110
|
|
—
|
|
0.01
|
|
|
9,469
|
|
—
|
|
0.01
|
|
||||
Total funding of interest-earning assets
|
|
|
$2,119,878
|
|
|
($15,130
|
)
|
(2.85
|
)%
|
|
|
$2,033,891
|
|
|
($14,546
|
)
|
(2.86
|
)%
|
Net interest income/yield
|
|
|
|
$2,410
|
|
0.46
|
%
|
|
|
|
$3,257
|
|
0.64
|
%
|
(1)
|
Loan fees, primarily consisting of amortization of upfront fees, included in interest income were $922 million and $620 million for loans held by consolidated trusts and $49 million and $25 million for loans held by Freddie Mac during 3Q 2019 and 3Q 2018, respectively.
|
Freddie Mac Form 10-Q
|
|
8
|
Management's Discussion and Analysis
|
|
Consolidated Results of Operations
|
|
|
YTD 2019
|
|
YTD 2018
|
||||||||||||||
(Dollars in millions)
|
|
Average
Balance
|
Interest
Income
(Expense)(1)
|
Average
Rate
|
|
Average
Balance
|
Interest
Income
(Expense)(1)
|
Average
Rate
|
||||||||||
Interest-earning assets:
|
|
|
|
|
|
|
|
|
||||||||||
Cash and cash equivalents
|
|
|
$8,608
|
|
|
$156
|
|
2.40
|
%
|
|
|
$6,917
|
|
|
$39
|
|
0.74
|
%
|
Securities purchased under agreements to resell
|
|
52,398
|
|
968
|
|
2.46
|
|
|
46,743
|
|
637
|
|
1.82
|
|
||||
Secured lending
|
|
2,547
|
|
72
|
|
3.73
|
|
|
1,340
|
|
26
|
|
2.58
|
|
||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-related securities
|
|
133,585
|
|
4,369
|
|
4.36
|
|
|
145,965
|
|
4,571
|
|
4.18
|
|
||||
Extinguishment of debt securities of consolidated trusts held by Freddie Mac
|
|
(86,341
|
)
|
(2,687
|
)
|
(4.15
|
)
|
|
(89,861
|
)
|
(2,577
|
)
|
(3.82
|
)
|
||||
Total mortgage-related securities, net
|
|
47,244
|
|
1,682
|
|
4.74
|
|
|
56,104
|
|
1,994
|
|
4.74
|
|
||||
Non-mortgage-related securities
|
|
21,571
|
|
378
|
|
2.33
|
|
|
18,017
|
|
302
|
|
2.23
|
|
||||
Loans held by consolidated trusts(1)
|
|
1,869,628
|
|
48,895
|
|
3.49
|
|
|
1,789,433
|
|
45,908
|
|
3.42
|
|
||||
Loans held by Freddie Mac(1)
|
|
88,191
|
|
2,837
|
|
4.29
|
|
|
100,382
|
|
3,174
|
|
4.22
|
|
||||
Total interest-earning assets
|
|
2,090,187
|
|
54,988
|
|
3.51
|
|
|
2,018,936
|
52,080
|
3.44
|
|
||||||
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
||||||||||
Debt securities of consolidated trusts including those held by Freddie Mac
|
|
1,894,109
|
|
(43,688
|
)
|
(3.08
|
)
|
|
1,816,897
|
|
(40,573
|
)
|
(2.98
|
)
|
||||
Extinguishment of debt securities of consolidated trusts held by Freddie Mac
|
|
(86,341
|
)
|
2,687
|
|
4.15
|
|
|
(89,861
|
)
|
2,577
|
|
3.82
|
|
||||
Total debt securities of consolidated trusts held by third parties
|
|
1,807,768
|
|
(41,001
|
)
|
(3.02
|
)
|
|
1,727,036
|
|
(37,996
|
)
|
(2.93
|
)
|
||||
Other debt:
|
|
|
|
|
|
|
|
|
||||||||||
Short-term debt
|
|
78,076
|
|
(1,419
|
)
|
(2.40
|
)
|
|
63,576
|
|
(832
|
)
|
(1.73
|
)
|
||||
Long-term debt
|
|
197,826
|
|
(4,078
|
)
|
(2.74
|
)
|
|
220,820
|
|
(3,974
|
)
|
(2.39
|
)
|
||||
Total other debt
|
|
275,902
|
|
(5,497
|
)
|
(2.64
|
)
|
|
284,396
|
|
(4,806
|
)
|
(2.24
|
)
|
||||
Total interest-bearing liabilities
|
|
2,083,670
|
|
(46,498
|
)
|
(2.97
|
)
|
|
2,011,432
|
|
(42,802
|
)
|
(2.84
|
)
|
||||
Impact of net non-interest-bearing funding
|
|
6,517
|
|
—
|
|
0.01
|
|
|
7,504
|
|
—
|
|
0.01
|
|
||||
Total funding of interest-earning assets
|
|
|
$2,090,187
|
|
|
($46,498
|
)
|
(2.96
|
)%
|
|
|
$2,018,936
|
|
|
($42,802
|
)
|
(2.83
|
)%
|
Net interest income/yield
|
|
|
|
$8,490
|
|
0.55
|
%
|
|
|
|
$9,278
|
|
0.61
|
%
|
(1)
|
Loan fees, primarily consisting of amortization of upfront fees, included in interest income were $2.2 billion and $1.8 billion for loans held by consolidated trusts and $88 million and $70 million for loans held by Freddie Mac during YTD 2019 and YTD 2018, respectively.
|
n
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - Increased due to the continued growth in the multifamily guarantee portfolio.
|
Freddie Mac Form 10-Q
|
|
9
|
Management's Discussion and Analysis
|
|
Consolidated Results of Operations
|
|
|
|
|
|
Change
|
|
|
|
|
Change
|
||||||||||||||||
(Dollars in millions)
|
|
3Q 2019
|
3Q 2018
|
|
$
|
%
|
|
YTD 2019
|
YTD 2018
|
|
$
|
%
|
||||||||||||||
Gains (losses) on certain loan purchase commitments
|
|
|
$641
|
|
$267
|
|
|
$374
|
|
140
|
%
|
|
|
$1,644
|
|
|
$564
|
|
|
|
$1,080
|
|
191
|
%
|
||
Gains (losses) on mortgage loans
|
|
1,061
|
|
(173
|
)
|
|
1,234
|
|
713
|
|
|
2,530
|
|
(331
|
)
|
|
2,861
|
|
864
|
|
||||||
Mortgage loans gains (losses)
|
|
|
$1,702
|
|
|
$94
|
|
|
|
$1,608
|
|
1,711
|
%
|
|
|
$4,174
|
|
|
$233
|
|
|
|
$3,941
|
|
1,691
|
%
|
n
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - Increased due to fair value gains on multifamily held-for-sale mortgage loans and commitments driven by decreasing long-term interest rates, coupled with higher gains on sales of single-family seasoned loans.
|
n
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - Shifted to gains in the 2019 periods from losses in the 2018 periods primarily due to gains on trading securities driven by decreasing long-term interest rates.
|
|
|
|
|
|
Change
|
|
|
|
|
Change
|
||||||||||||||||
(Dollars in millions)
|
|
3Q 2019
|
3Q 2018
|
|
$
|
%
|
|
YTD 2019
|
YTD 2018
|
|
$
|
%
|
||||||||||||||
Fair value changes
|
|
|
$51
|
|
|
$12
|
|
|
|
$39
|
|
325
|
%
|
|
|
$114
|
|
|
$42
|
|
|
|
$72
|
|
171
|
%
|
Gains (losses) on extinguishment of debt
|
|
(107
|
)
|
146
|
|
|
(253
|
)
|
(173
|
)
|
|
(106
|
)
|
403
|
|
|
(509
|
)
|
(126
|
)
|
||||||
Debt gains (losses)
|
|
|
($56
|
)
|
|
$158
|
|
|
|
($214
|
)
|
(135
|
)%
|
|
|
$8
|
|
|
$445
|
|
|
|
($437
|
)
|
(98
|
)%
|
n
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - Decreased primarily due to losses from the extinguishment of fixed-rate debt securities of consolidated trusts, as long-term interest rates declined between the time of issuance and repurchase.
|
|
|
|
|
|
Change
|
|
|
|
|
Change
|
||||||||||||||||
(Dollars in millions)
|
|
3Q 2019
|
3Q 2018
|
|
$
|
%
|
|
YTD 2019
|
YTD 2018
|
|
$
|
%
|
||||||||||||||
Fair value change in interest-rate swaps
|
|
|
($1,809
|
)
|
|
$736
|
|
|
|
($2,545
|
)
|
(346
|
)%
|
|
|
($4,565
|
)
|
|
$2,833
|
|
|
|
($7,398
|
)
|
(261
|
)%
|
Fair value change in option-based derivatives
|
|
947
|
|
(306
|
)
|
|
1,253
|
|
409
|
|
|
1,408
|
|
(1,020
|
)
|
|
2,428
|
|
238
|
|
||||||
Fair value change in other derivatives
|
|
(308
|
)
|
271
|
|
|
(579
|
)
|
(214
|
)
|
|
(1,612
|
)
|
1,322
|
|
|
(2,934
|
)
|
(222
|
)
|
||||||
Accrual of periodic cash settlements
|
|
(47
|
)
|
27
|
|
|
(74
|
)
|
(274
|
)
|
|
(143
|
)
|
(161
|
)
|
|
18
|
|
11
|
|
||||||
Derivative gains (losses)
|
|
|
($1,217
|
)
|
|
$728
|
|
|
|
($1,945
|
)
|
(267
|
)%
|
|
|
($4,912
|
)
|
|
$2,974
|
|
|
|
($7,886
|
)
|
(265
|
)%
|
n
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - Decreased as long-term interest rates declined. The decline in interest rates resulted in fair value losses on pay-fixed interest rate swaps, forward commitments to issue debt securities of consolidated trusts, and futures, which were partially offset by fair value gains on receive-fixed swaps and certain option-based derivatives. Additionally, our derivative volume increased beginning in 2Q 2019 as we updated our interest-rate risk
|
Freddie Mac Form 10-Q
|
|
10
|
Management's Discussion and Analysis
|
|
Consolidated Results of Operations
|
n
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - Remained relatively flat due to the strong credit performance of both our single-family and multifamily portfolios.
|
n
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - Shifted to gains in the 2019 periods from losses in the 2018 periods primarily due to fair value gains on available-for-sale securities as long-term interest rates declined.
|
Freddie Mac Form 10-Q
|
|
11
|
Management's Discussion and Analysis
|
|
Consolidated Balance Sheets Analysis
|
|
|
|
|
|
Change
|
||||||||
(Dollars in millions)
|
|
9/30/2019
|
12/31/2018
|
|
$
|
%
|
|||||||
Assets:
|
|
|
|
|
|
|
|||||||
Cash and cash equivalents
|
|
|
$8,708
|
|
|
$7,273
|
|
|
|
$1,435
|
|
20
|
%
|
Securities purchased under agreements to resell
|
|
51,187
|
|
34,771
|
|
|
16,416
|
|
47
|
|
|||
Subtotal
|
|
59,895
|
|
42,044
|
|
|
17,851
|
|
42
|
|
|||
Investments in securities, at fair value
|
|
72,982
|
|
69,111
|
|
|
3,871
|
|
6
|
|
|||
Mortgage loans, net
|
|
1,997,490
|
|
1,926,978
|
|
|
70,512
|
|
4
|
|
|||
Accrued interest receivable
|
|
6,790
|
|
6,728
|
|
|
62
|
|
1
|
|
|||
Derivative assets, net
|
|
1,592
|
|
335
|
|
|
1,257
|
|
375
|
|
|||
Deferred tax assets, net
|
|
5,784
|
|
6,888
|
|
|
(1,104
|
)
|
(16
|
)
|
|||
Other assets
|
|
25,713
|
|
10,976
|
|
|
14,737
|
|
134
|
|
|||
Total assets
|
|
|
$2,170,246
|
|
|
$2,063,060
|
|
|
|
$107,186
|
|
5
|
%
|
|
|
|
|
|
|
|
|||||||
Liabilities and Equity:
|
|
|
|
|
|
|
|||||||
Liabilities:
|
|
|
|
|
|
|
|||||||
Accrued interest payable
|
|
|
$6,688
|
|
|
$6,652
|
|
|
|
$36
|
|
1
|
%
|
Debt, net
|
|
2,149,259
|
|
2,044,950
|
|
|
104,309
|
|
5
|
|
|||
Derivative liabilities, net
|
|
355
|
|
583
|
|
|
(228
|
)
|
(39
|
)
|
|||
Other liabilities
|
|
7,270
|
|
6,398
|
|
|
872
|
|
14
|
|
|||
Total liabilities
|
|
2,163,572
|
|
2,058,583
|
|
|
104,989
|
|
5
|
|
|||
Total equity
|
|
6,674
|
|
4,477
|
|
|
2,197
|
|
49
|
|
|||
Total liabilities and equity
|
|
|
$2,170,246
|
|
|
$2,063,060
|
|
|
|
$107,186
|
|
5
|
%
|
n
|
Cash and cash equivalents and securities purchased under agreements to resell increased on a combined basis primarily due to higher near-term cash needs for upcoming debt maturities and anticipated calls of other debt.
|
Freddie Mac Form 10-Q
|
|
12
|
Management's Discussion and Analysis
|
|
Our Business Segments | Segment Earnings
|
n
|
Single-Family Guarantee - Reflects results from our purchase, securitization, and guarantee of single-family loans and the management of single-family mortgage credit risk.
|
n
|
Multifamily - Reflects results from our purchase, sale, securitization, and guarantee of multifamily loans and securities, our investments in those loans and securities, and the management of multifamily mortgage credit risk and market spread risk.
|
n
|
Capital Markets - Reflects results from managing our mortgage-related investments portfolio (excluding Multifamily segment investments, single-family seriously delinquent loans, and the credit risk of single-family performing and reperforming loans), single-family securitization activities, and treasury function, which includes interest-rate risk management for the company.
|
Freddie Mac Form 10-Q
|
|
13
|
Management's Discussion and Analysis
|
Our Business Segments | Single-Family Guarantee
|
n
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - Our loan purchase and guarantee activity increased due to higher home purchase volume and increased refinance activity, driven by the declining average mortgage interest rates in recent quarters.
|
Freddie Mac Form 10-Q
|
|
14
|
Management's Discussion and Analysis
|
Our Business Segments | Single-Family Guarantee
|
n
|
The single-family credit guarantee portfolio increased at an annualized rate of approximately 5% between December 31, 2018 and September 30, 2019 driven by an increase in U.S. single-family mortgage debt outstanding as a result of continued home price appreciation and our overall share of the single-family mortgage market. New business acquisitions had a higher average loan size compared to older vintages that continued to run off.
|
n
|
The core single-family loan portfolio grew to 84% of the single-family credit guarantee portfolio at September 30, 2019, compared to 82% at December 31, 2018.
|
n
|
The legacy and relief refinance single-family loan portfolio declined to 16% of the single-family credit guarantee portfolio at September 30, 2019, compared to 18% at December 31, 2018.
|
Freddie Mac Form 10-Q
|
|
15
|
Management's Discussion and Analysis
|
Our Business Segments | Single-Family Guarantee
|
(2)
|
Reflects an average rate for our total single-family credit guarantee portfolio and is not limited to purchases in the applicable period.
|
n
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - The average portfolio Segment Earnings guarantee fee rate increased due to an increase in the recognition of upfront fees primarily driven by a higher prepayment rate and an increase in average contractual guarantee fees caused by the run off of older vintages with lower contractual guarantee fees.
|
Freddie Mac Form 10-Q
|
|
16
|
Management's Discussion and Analysis
|
Our Business Segments | Single-Family Guarantee
|
n
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - The average guarantee fee rate charged on new acquisitions increased primarily due to an enhancement in our estimation methodology related to recognition of buy-up fees in 2Q 2019.
|
Freddie Mac Form 10-Q
|
|
17
|
Management's Discussion and Analysis
|
Our Business Segments | Single-Family Guarantee
|
|
|
Issuance for the Three Months Ended September 30, 2019
|
|||||||||||
|
|
Protected UPB(1)
|
Maximum Coverage(2)
|
||||||||||
(In millions)
|
|
Total
|
First Loss(3)
|
Mezzanine
|
Total
|
||||||||
CRT Activities:
|
|
|
|
|
|
||||||||
STACR Trust transactions
|
|
|
$56,654
|
|
|
$480
|
|
|
$1,186
|
|
|
$1,666
|
|
ACIS® transactions
|
|
45,917
|
|
108
|
|
404
|
|
512
|
|
||||
Senior subordinate securitization structures
|
|
3,002
|
|
195
|
|
269
|
|
464
|
|
||||
Other
|
|
9,305
|
|
243
|
|
279
|
|
522
|
|
||||
Less: UPB with more than one type of CRT activity
|
|
(37,045
|
)
|
—
|
|
—
|
|
—
|
|
||||
Total CRT Activities
|
|
|
$77,833
|
|
|
$1,026
|
|
|
$2,138
|
|
|
$3,164
|
|
(1)
|
For STACR Trust and ACIS transactions, represents the UPB of the assets included in the reference pool. For senior subordinate securitization structure transactions, represents the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities.
|
(2)
|
For STACR Trust transactions, represents the balance held by third parties at issuance. For ACIS transactions, represents the aggregate limit of insurance purchased from third parties at issuance. For senior subordinate securitization structure transactions, represents the UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties.
|
(3)
|
First loss includes the most subordinate securities (i.e., B tranches) in our STACR Trust transactions and their equivalent in ACIS and Other CRT transactions.
|
Freddie Mac Form 10-Q
|
|
18
|
Management's Discussion and Analysis
|
Our Business Segments | Single-Family Guarantee
|
|
t
|
Outstanding as of September 30, 2019
|
|||||||||||||
|
|
Protected UPB(1)
|
Percentage of Single-Family Credit Guarantee Portfolio
|
Maximum Coverage(2)
|
|||||||||||
(In millions)
|
|
Total
|
Total
|
First Loss(3)
|
Mezzanine
|
Total
|
|||||||||
CRT Activities:
|
|
|
|
|
|
|
|||||||||
STACR debt notes
|
|
|
$554,572
|
|
28
|
%
|
|
$2,209
|
|
|
$13,753
|
|
|
$15,962
|
|
STACR Trust transactions
|
|
280,889
|
|
14
|
|
3,042
|
|
6,112
|
|
9,154
|
|
||||
ACIS transactions
|
|
869,148
|
|
44
|
|
2,069
|
|
8,012
|
|
10,081
|
|
||||
Senior subordinate securitization structures
|
|
43,552
|
|
2
|
|
2,331
|
|
2,587
|
|
4,918
|
|
||||
Other
|
|
28,347
|
|
1
|
|
5,347
|
|
723
|
|
6,070
|
|
||||
Less: UPB with more than one type of
CRT activity
|
|
(780,820
|
)
|
(39
|
)
|
—
|
|
—
|
|
—
|
|
||||
Total CRT Activities
|
|
|
$995,688
|
|
50
|
%
|
|
$14,998
|
|
|
$31,187
|
|
|
$46,185
|
|
|
|
|
|
|
|
|
|||||||||
Other Credit Enhancements:
|
|
|
|
|
|
|
|||||||||
Primary Mortgage Insurance
|
|
|
$410,999
|
|
21
|
%
|
|
$105,171
|
|
—
|
|
|
$105,171
|
|
|
Other
|
|
2,296
|
|
—
|
|
1,229
|
|
—
|
|
1,229
|
|
||||
Less: UPB with both CRT and other credit enhancements
|
|
(287,231
|
)
|
(14
|
)
|
—
|
|
—
|
|
—
|
|
||||
Single-family credit guarantee portfolio with credit enhancement
|
|
1,121,752
|
|
57
|
|
121,398
|
|
31,187
|
|
152,585
|
|
||||
Single-family credit guarantee portfolio without credit enhancement
|
|
839,529
|
|
43
|
|
—
|
|
—
|
|
—
|
|
||||
Total
|
|
|
$1,961,281
|
|
100
|
%
|
|
$121,398
|
|
|
$31,187
|
|
|
$152,585
|
|
Freddie Mac Form 10-Q
|
|
19
|
Management's Discussion and Analysis
|
Our Business Segments | Single-Family Guarantee
|
|
|
Outstanding as of December 31, 2018
|
|||||||||||||
|
|
Protected UPB(1)
|
Percentage of Single-Family Credit Guarantee Portfolio
|
Maximum Coverage(2)
|
|||||||||||
(In millions)
|
|
Total
|
Total
|
First Loss(3)
|
Mezzanine
|
Total
|
|||||||||
CRT Activities:
|
|
|
|
|
|
|
|||||||||
STACR debt notes
|
|
|
$605,263
|
|
32
|
%
|
|
$2,155
|
|
|
$15,441
|
|
|
$17,596
|
|
STACR Trust transactions
|
|
161,152
|
|
8
|
|
1,622
|
|
3,404
|
|
5,026
|
|
||||
ACIS transactions
|
|
807,885
|
|
43
|
|
1,552
|
|
7,571
|
|
9,123
|
|
||||
Senior subordinate securitization structures
|
|
39,860
|
|
2
|
|
1,807
|
|
2,046
|
|
3,853
|
|
||||
Other
|
|
18,136
|
|
1
|
|
5,049
|
|
340
|
|
5,389
|
|
||||
Less: UPB with more than one type of
CRT activity
|
|
(736,334
|
)
|
(39
|
)
|
—
|
|
—
|
|
—
|
|
||||
Total CRT Activities
|
|
|
$895,962
|
|
47
|
%
|
|
$12,185
|
|
|
$28,802
|
|
|
$40,987
|
|
|
|
|
|
|
|
|
|||||||||
Other Credit Enhancements:
|
|
|
|
|
|
|
|||||||||
Primary Mortgage Insurance
|
|
|
$378,594
|
|
20
|
%
|
|
$96,996
|
|
—
|
|
|
$96,996
|
|
|
Other
|
|
2,642
|
|
—
|
|
1,341
|
|
—
|
|
1,341
|
|
||||
Less: UPB with both CRT and other credit enhancements
|
|
(254,774
|
)
|
(13
|
)
|
—
|
|
—
|
|
—
|
|
||||
Single-family credit guarantee portfolio with credit enhancement
|
|
1,022,424
|
|
54
|
|
110,522
|
|
28,802
|
|
139,324
|
|
||||
Single-family credit guarantee portfolio without credit enhancement
|
|
873,762
|
|
46
|
|
—
|
|
—
|
|
—
|
|
||||
Total
|
|
|
$1,896,186
|
|
100
|
%
|
|
$110,522
|
|
|
$28,802
|
|
|
$139,324
|
|
(1)
|
For STACR and ACIS transactions, represents the UPB of the assets included in the reference pool. For senior subordinate securitization structure transactions, represents the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities.
|
(2)
|
For STACR transactions, represents the outstanding balance held by third parties. For ACIS transactions, represents the remaining aggregate limit of insurance purchased from third parties. For senior subordinate securitization structure transactions, represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties.
|
(3)
|
First loss includes the most subordinate securities (i.e., B tranches) in our STACR transactions and their equivalent in ACIS and Other CRT transactions.
|
n
|
We had coverage remaining of $152.6 billion and $139.3 billion on our single-family credit guarantee portfolio as of September 30, 2019 and December 31, 2018, respectively. CRT transactions provided 30.3% and 29.4% of the coverage remaining at those dates.
|
n
|
As of September 30, 2019, we had cumulatively transferred a portion of credit risk on nearly $1.4 trillion of our single-family mortgages, based upon the UPB at issuance of the CRT transactions.
|
l
|
FHFA's conservatorship capital needed for credit risk was reduced by approximately 75% through CRT transactions on new business activity in the twelve months ended September 30, 2018.
|
l
|
The reduction in the amount of conservatorship capital needed for credit risk on new business activity is calculated as conservatorship credit capital released from the CRT transactions (primarily through STACR and ACIS) divided by total conservatorship credit capital on new business activity at the time of purchase. For more information on the CCF and the calculation of conservatorship capital, see Liquidity and Capital Resources - Capital Resources - Conservatorship Capital Framework - Return on Conservatorship Capital.
|
n
|
During YTD 2019, we paid $501 million in interest expense, net of reinvestment income, on our outstanding STACR debt notes and $507 million in premium expense for ACIS and STACR Trust contracts, compared to $540 million in interest expense, net of reinvestment income, on our outstanding STACR debt notes and $249 million in premium expense for ACIS and STACR Trust contracts during YTD 2018.
|
n
|
As of September 30, 2019, we had experienced minimal write-downs on our STACR transactions and filed minimal claims for reimbursement of losses under our ACIS transactions.
|
Freddie Mac Form 10-Q
|
|
20
|
Management's Discussion and Analysis
|
Our Business Segments | Single-Family Guarantee
|
|
|
September 30, 2019
|
||||||||||||||||||||
|
|
CLTV ≤ 80
|
|
CLTV > 80 to 100
|
|
CLTV > 100
|
|
All Loans
|
||||||||||||||
(Credit score)
|
|
% Portfolio
|
SDQ Rate
|
|
% Portfolio
|
SDQ Rate(1)
|
|
% Portfolio
|
SDQ Rate(1)
|
|
% Portfolio
|
SDQ Rate
|
% Modified
|
|||||||||
Core single-family loan portfolio:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
< 620
|
|
0.3
|
%
|
2.31
|
%
|
|
—
|
%
|
NM
|
|
|
—
|
%
|
NM
|
|
|
0.3
|
%
|
2.51
|
%
|
3.6
|
%
|
620 to 659
|
|
2.2
|
|
1.15
|
|
|
0.3
|
|
1.44
|
|
|
—
|
|
NM
|
|
|
2.5
|
|
1.18
|
|
2.0
|
|
≥ 660
|
|
69.5
|
|
0.18
|
|
|
12.0
|
|
0.25
|
|
|
—
|
|
NM
|
|
|
81.5
|
|
0.19
|
|
0.3
|
|
Not available
|
|
0.1
|
|
1.14
|
|
|
—
|
|
NM
|
|
|
—
|
|
NM
|
|
|
0.1
|
|
1.98
|
|
3.5
|
|
Total
|
|
72.1
|
%
|
0.23
|
%
|
|
12.3
|
%
|
0.31
|
%
|
|
—
|
%
|
NM
|
|
|
84.4
|
%
|
0.24
|
%
|
0.4
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Legacy and relief refinance single-family loan portfolio:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
< 620
|
|
1.0
|
%
|
3.88
|
%
|
|
0.2
|
%
|
8.47
|
%
|
|
0.1
|
%
|
14.84
|
%
|
|
1.3
|
%
|
4.56
|
%
|
19.2
|
%
|
620 to 659
|
|
1.5
|
|
2.87
|
|
|
0.2
|
|
7.23
|
|
|
0.1
|
|
12.14
|
|
|
1.8
|
|
3.38
|
|
17.4
|
|
≥ 660
|
|
11.2
|
|
1.02
|
|
|
0.9
|
|
3.63
|
|
|
0.3
|
|
6.10
|
|
|
12.4
|
|
1.20
|
|
6.3
|
|
Not available
|
|
0.1
|
|
4.38
|
|
|
—
|
|
NM
|
|
|
—
|
|
NM
|
|
|
0.1
|
|
4.66
|
|
19.7
|
|
Total
|
|
13.8
|
%
|
1.50
|
%
|
|
1.3
|
%
|
4.90
|
%
|
|
0.5
|
%
|
8.59
|
%
|
|
15.6
|
%
|
1.77
|
%
|
8.9
|
%
|
(1)
|
NM - Not meaningful due to the percentage of the portfolio rounding to zero.
|
Freddie Mac Form 10-Q
|
|
21
|
Management's Discussion and Analysis
|
Our Business Segments | Single-Family Guarantee
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||||||
(Dollars in billions)
|
|
UPB
|
CLTV
|
% Modified
|
SDQ Rate
|
|
UPB
|
CLTV
|
% Modified
|
SDQ Rate
|
||||||||||
Alt-A
|
|
|
$21.7
|
|
62
|
%
|
20.1
|
%
|
3.75
|
%
|
|
|
$23.9
|
|
63
|
%
|
23.2
|
%
|
4.13
|
%
|
n
|
The total serious delinquency rate on our single-family credit guarantee portfolio was 0.61% as of September 30, 2019. However, 37% of the seriously delinquent loans at September 30, 2019 were covered by credit enhancements designed to reduce our credit risk exposure. See Note 4 for additional information on our single-family delinquency rates.
|
n
|
Our total single-family serious delinquency rate was lower as of September 30, 2019 compared to September 30, 2018 due to our continued loss mitigation efforts, sales of certain seriously delinquent loans, home price appreciation, a low unemployment rate, and the reduced impacts from the hurricanes in the third quarter of 2017. This improvement was also driven by the continued shift in the single-family credit guarantee portfolio mix, as the legacy and relief refinance single-family loan portfolio runs off and we add higher credit quality loans to our core single-family loan portfolio.
|
n
|
The percentage of single-family loans one month past due can be volatile due to servicer reporting methodologies, seasonality, and other factors that may not be predictive of default. As a result, the percentage of loans two months past due tends to be a better early performance indicator than the percentage of loans one month past due. The percentage of loans two months past due was relatively flat from September 30, 2018 to September 30, 2019.
|
Freddie Mac Form 10-Q
|
|
22
|
Management's Discussion and Analysis
|
Our Business Segments | Single-Family Guarantee
|
(Dollars in millions)
|
|
3Q 2019
|
3Q 2018
|
|
YTD 2019
|
YTD 2018
|
||||||||
Charge-offs, gross
|
|
|
$407
|
|
|
$1,277
|
|
|
|
$1,256
|
|
|
$2,248
|
|
Recoveries
|
|
(107
|
)
|
(119
|
)
|
|
(341
|
)
|
(341
|
)
|
||||
Charge-offs, net
|
|
300
|
|
1,158
|
|
|
915
|
|
1,907
|
|
||||
REO operations expense
|
|
58
|
|
38
|
|
|
172
|
|
87
|
|
||||
Total credit losses
|
|
|
$358
|
|
|
$1,196
|
|
|
|
$1,087
|
|
|
$1,994
|
|
|
|
|
|
|
|
|
||||||||
Total credit losses (in bps)
|
|
7.3
|
|
25.4
|
|
|
7.4
|
|
14.2
|
|
|
|
September 30, 2019
|
|
September 30, 2018
|
||||||||
(Dollars in millions)
|
|
Loan Count
|
Amount
|
|
Loan Count
|
Amount
|
||||||
TDRs, at January 1
|
|
290,255
|
|
|
$42,254
|
|
|
364,704
|
|
|
$54,415
|
|
New additions
|
|
23,420
|
|
3,696
|
|
|
45,348
|
|
7,066
|
|
||
Repayments and reclassifications to held-for-sale
|
|
(52,970
|
)
|
(8,897
|
)
|
|
(92,662
|
)
|
(14,875
|
)
|
||
Foreclosure sales and foreclosure alternatives
|
|
(3,673
|
)
|
(496
|
)
|
|
(5,907
|
)
|
(796
|
)
|
||
TDRs, at September 30
|
|
257,032
|
|
36,557
|
|
|
311,483
|
|
45,810
|
|
||
Loans impaired upon purchase
|
|
1,909
|
|
122
|
|
|
2,814
|
|
188
|
|
||
Total impaired loans with an allowance recorded
|
|
258,941
|
|
36,679
|
|
|
314,297
|
|
45,998
|
|
||
Allowance for loan losses
|
|
|
(3,326
|
)
|
|
|
(5,137
|
)
|
||||
Net investment, at September 30
|
|
|
|
$33,353
|
|
|
|
|
$40,861
|
|
(In millions)
|
|
September 30, 2019
|
December 31, 2018
|
||||
TDRs on accrual status
|
|
|
$36,845
|
|
|
$41,839
|
|
Non-accrual loans
|
|
10,131
|
|
11,197
|
|
||
Total TDRs and non-accrual loans
|
|
|
$46,976
|
|
|
$53,036
|
|
|
|
|
|
||||
Allowance for loan losses associated with:
|
|
|
|
||||
TDRs on accrual status
|
|
|
$2,847
|
|
|
$3,612
|
|
Non-accrual loans
|
|
662
|
|
1,003
|
|
||
Total
|
|
|
$3,509
|
|
|
$4,615
|
|
|
|
|
|
||||
(In millions)
|
|
YTD 2019
|
YTD 2018
|
||||
Foregone interest income on TDRs and non-accrual loans(1)
|
|
|
$680
|
|
|
$965
|
|
(1)
|
Represents the amount of interest income that we did not recognize but would have recognized during the period for loans outstanding at the end of each period, had the loans performed according to their original contractual terms.
|
n
|
As of September 30, 2019, 43% of the allowance for loan losses for single-family mortgage loans related to interest rate concessions provided to borrowers as part of loan modifications.
|
n
|
Most of our modified single-family loans, including TDRs, were current and performing at September 30, 2019.
|
n
|
We expect our allowance for loan losses associated with existing single-family TDRs to decline over time as we continue to sell reperforming loans. In addition, the allowance for loan losses will decline as borrowers continue to make monthly payments under the modified terms and interest rate concessions are amortized into earnings.
|
n
|
See Note 4 for information on our single-family allowance for loan losses.
|
Freddie Mac Form 10-Q
|
|
23
|
Management's Discussion and Analysis
|
Our Business Segments | Single-Family Guarantee
|
n
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - Our loan workout activity decreased driven by the reduced impact from the hurricanes in the third quarter of 2017.
|
n
|
We continue our loss mitigation efforts through our relief refinance, modification, and other initiatives.
|
|
|
3Q 2019
|
|
3Q 2018
|
|
YTD 2019
|
|
YTD 2018
|
||||||||||||||||
(Dollars in millions)
|
|
Number of Properties
|
Amount
|
|
Number of Properties
|
Amount
|
|
Number of Properties
|
Amount
|
|
Number of Properties
|
Amount
|
||||||||||||
Beginning balance — REO
|
|
5,869
|
|
|
$666
|
|
|
7,135
|
|
|
$777
|
|
|
7,100
|
|
|
$780
|
|
|
8,299
|
|
|
$900
|
|
Additions
|
|
2,004
|
|
203
|
|
|
2,506
|
|
247
|
|
|
6,143
|
|
605
|
|
|
7,870
|
|
759
|
|
||||
Dispositions
|
|
(2,470
|
)
|
(254
|
)
|
|
(2,622
|
)
|
(256
|
)
|
|
(7,840
|
)
|
(770
|
)
|
|
(9,150
|
)
|
(891
|
)
|
||||
Ending balance — REO
|
|
5,403
|
|
615
|
|
|
7,019
|
|
768
|
|
|
5,403
|
|
615
|
|
|
7,019
|
|
768
|
|
||||
Beginning balance, valuation allowance
|
|
|
(6
|
)
|
|
|
(6
|
)
|
|
|
(11
|
)
|
|
|
(14
|
)
|
||||||||
Change in valuation allowance
|
|
|
(2
|
)
|
|
|
(2
|
)
|
|
|
3
|
|
|
|
6
|
|
||||||||
Ending balance, valuation allowance
|
|
|
|
(8
|
)
|
|
|
|
(8
|
)
|
|
|
(8
|
)
|
|
|
|
(8
|
)
|
|||||
Ending balance — REO, net
|
|
|
|
|
$607
|
|
|
|
|
|
$760
|
|
|
|
|
$607
|
|
|
|
|
|
$760
|
|
n
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - Our REO ending inventory declined primarily due to a decrease in REO acquisitions driven by fewer loans in foreclosure and a large proportion of property sales to third parties at foreclosure.
|
Freddie Mac Form 10-Q
|
|
24
|
Management's Discussion and Analysis
|
Our Business Segments | Single-Family Guarantee
|
|
|
|
|
|
Change
|
|
|
|
|
Change
|
||||||||||||||||
(Dollars in millions)
|
|
3Q 2019
|
3Q 2018
|
|
$
|
%
|
|
YTD 2019
|
YTD 2018
|
|
$
|
%
|
||||||||||||||
Guarantee fee income
|
|
|
$2,075
|
|
|
$1,676
|
|
|
|
$399
|
|
24
|
%
|
|
|
$5,597
|
|
|
$4,932
|
|
|
|
$665
|
|
13
|
%
|
Benefit (provision) for credit losses
|
|
134
|
|
205
|
|
|
(71
|
)
|
(35
|
)
|
|
221
|
|
366
|
|
|
(145
|
)
|
(40
|
)
|
||||||
Financial instrument gains (losses)(1)
|
|
51
|
|
(5
|
)
|
|
56
|
|
1,120
|
|
|
66
|
|
43
|
|
|
23
|
|
53
|
|
||||||
Other non-interest income (loss)
|
|
318
|
|
387
|
|
|
(69
|
)
|
(18
|
)
|
|
836
|
|
592
|
|
|
244
|
|
41
|
|
||||||
Administrative expense
|
|
(399
|
)
|
(371
|
)
|
|
(28
|
)
|
(8
|
)
|
|
(1,173
|
)
|
(1,070
|
)
|
|
(103
|
)
|
(10
|
)
|
||||||
REO operations income (expense)
|
|
(61
|
)
|
(42
|
)
|
|
(19
|
)
|
(45
|
)
|
|
(185
|
)
|
(101
|
)
|
|
(84
|
)
|
(83
|
)
|
||||||
Other non-interest expense
|
|
(554
|
)
|
(413
|
)
|
|
(141
|
)
|
(34
|
)
|
|
(1,667
|
)
|
(1,192
|
)
|
|
(475
|
)
|
(40
|
)
|
||||||
Segment Earnings before income tax expense
|
|
1,564
|
|
1,437
|
|
|
127
|
|
9
|
|
|
3,695
|
|
3,570
|
|
|
125
|
|
4
|
|
||||||
Income tax (expense) benefit
|
|
(314
|
)
|
(254
|
)
|
|
(60
|
)
|
(24
|
)
|
|
(750
|
)
|
(686
|
)
|
|
(64
|
)
|
(9
|
)
|
||||||
Segment Earnings, net of taxes
|
|
1,250
|
|
1,183
|
|
|
67
|
|
6
|
|
|
2,945
|
|
2,884
|
|
|
61
|
|
2
|
|
||||||
Total other comprehensive income (loss), net of tax
|
|
(3
|
)
|
(2
|
)
|
|
(1
|
)
|
(50
|
)
|
|
(9
|
)
|
(8
|
)
|
|
(1
|
)
|
(13
|
)
|
||||||
Total comprehensive income (loss)
|
|
|
$1,247
|
|
|
$1,181
|
|
|
|
$66
|
|
6
|
%
|
|
|
$2,936
|
|
|
$2,876
|
|
|
|
$60
|
|
2
|
%
|
(1)
|
Consists of fair value gains and losses on debt for which we have elected the fair value option and derivatives.
|
l
|
Higher guarantee fee income due to increased upfront fee amortization income driven by higher prepayments and continued growth in our single-family credit guarantee portfolio.
|
l
|
Higher other non-interest income during YTD 2019 compared to YTD 2018 primarily due to higher gains on sales of single-family held-for-sale loans. Other non-interest income remained relatively flat during 3Q 2019 compared to 3Q 2018.
|
l
|
Higher other non-interest expense primarily due to higher outstanding cumulative volumes of CRT transactions that resulted in increased CRT expense (interest expense on STACR debt notes and premium expense for ACIS and STACR Trust contracts).
|
Freddie Mac Form 10-Q
|
|
25
|
Management's Discussion and Analysis
|
|
Our Business Segments | Multifamily
|
n
|
The 2019 Conservatorship Scorecard annual production cap remained at $35.0 billion through the end of 3Q 2019. On September 13, 2019, FHFA announced a revised loan purchase cap structure for the multifamily business. The loan purchase cap will be $100.0 billion for the five-quarter period from the fourth quarter of 2019 through the fourth quarter of 2020. The new cap applies to all multifamily business, with no exclusions. To ensure a strong focus on affordable housing and traditionally underserved markets, FHFA directed that at least 37.5% of the new multifamily business be mission-driven, affordable housing. Loans that finance energy or water efficiency will be considered conventional business (i.e., they will not count towards the 37.5% requirement), unless they meet other mission-driven requirements.
|
n
|
Outstanding commitments, including index lock commitments and commitments to purchase or guarantee multifamily assets, were $16.3 billion and $24.3 billion as of September 30, 2019 and September 30, 2018, respectively. Both period-end balances include loan purchase commitments for which we have elected the fair value option.
|
n
|
The combination of our new business activity and outstanding commitments was higher during 3Q 2019 and YTD 2019 compared to 3Q 2018 and YTD 2018 due to continued strong demand for multifamily financing and healthy multifamily market fundamentals resulting in continued growth in overall multifamily mortgage debt outstanding. While our new
|
Freddie Mac Form 10-Q
|
|
26
|
Management's Discussion and Analysis
|
|
Our Business Segments | Multifamily
|
n
|
Excluding our LIHTC new business activity, approximately 36% and 40% of our new business activity in 3Q 2019 and YTD 2019, respectively, counted towards the 2019 Conservatorship Scorecard production cap, while the remaining 64% and 60% was considered uncapped.
|
n
|
The portion of our new loan purchase activity that was classified as held-for-sale and intended for our securitization pipeline decreased from 95% in 3Q 2018 to 84% in 3Q 2019 due to an increase in the issuance of other risk transfer securitizations, specifically our PC executions collateralized by held-for-investment loans. The purchase activity in 3Q 2019, combined with market demand for our securities, will be a driver for securitizations during the fourth quarter of 2019 and the first quarter of 2020.
|
(In millions)
|
|
September 30, 2019
|
December 31, 2018
|
||||
Guarantee portfolio
|
|
|
$259,630
|
|
|
$237,323
|
|
Mortgage-related investments portfolio:
|
|
|
|
||||
Unsecuritized mortgage loans held-for-sale
|
|
25,397
|
|
23,959
|
|
||
Unsecuritized mortgage loans held-for-investment
|
|
11,291
|
|
10,828
|
|
||
Mortgage-related securities(1)
|
|
5,663
|
|
7,385
|
|
||
Total mortgage-related investments portfolio
|
|
42,351
|
|
42,172
|
|
||
Other investments(2)
|
|
2,564
|
|
708
|
|
||
Total multifamily portfolio
|
|
304,545
|
|
280,203
|
|
||
Add: Unguaranteed securities(3)
|
|
38,980
|
|
35,835
|
|
||
Less: Acquired mortgage-related securities(4)
|
|
(5,478
|
)
|
(7,160
|
)
|
||
Total multifamily market support
|
|
|
$338,047
|
|
|
$308,878
|
|
(1)
|
Includes mortgage-related securities acquired by us from our securitizations.
|
(2)
|
Includes the carrying value of LIHTC investments and the UPB of non-mortgage loans, including financing provided to whole loan funds.
|
(3)
|
Reflects the UPB of unguaranteed securities issued as part of our securitizations and amounts related to loans sold to whole loan funds that were not financed by Freddie Mac.
|
(4)
|
Reflects the UPB of mortgage-related securities that were both issued as part of our securitizations and acquired by us. This UPB must be removed to avoid double-counting the exposure, as it is already reflected within the guarantee portfolio or unguaranteed securities.
|
n
|
Our total multifamily portfolio increased during YTD 2019, primarily due to our strong loan purchase and securitization activity. We expect continued growth in our total portfolio as purchase and securitization activities should outpace run off.
|
n
|
At September 30, 2019, approximately 77% of our held-for-sale loans and held-for-sale loan commitments were fixed-rate, while the remaining 23% were floating-rate.
|
Freddie Mac Form 10-Q
|
|
27
|
Management's Discussion and Analysis
|
|
Our Business Segments | Multifamily
|
n
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018
|
l
|
Net interest yield increased during 3Q 2019 due to lower funding costs on our held-for-sale mortgage loans driven by lower interest rates, coupled with a higher yield on interest-only securities. Net interest yield remained relatively flat during YTD 2019 compared to YTD 2018.
|
l
|
The weighted average portfolio balance of interest-earning assets decreased during 3Q 2019 and YTD 2019 due to the run-off of our held-for-investment loans, partially offset by an increase in held-for-sale loans.
|
Freddie Mac Form 10-Q
|
|
28
|
Management's Discussion and Analysis
|
|
Our Business Segments | Multifamily
|
n
|
The valuation of our securitization pipeline and the profitability of our primary risk transfer securitization product, the K Certificate, are affected by both changes in K Certificate benchmark spreads and deal-specific attributes, such as tranche size, risk distribution, and collateral characteristics (loan term, coupon type, prepayment restrictions, and underlying property type). These market spread movements and deal-specific attributes contribute to our earnings volatility, which we manage by controlling the size of our securitization pipeline and by entering into certain spread-related derivatives. Spread tightening generally results in fair value gains, while spread widening generally results in fair value losses.
|
n
|
K Certificate benchmark spreads generally widened during 3Q 2019 and 3Q 2018, primarily resulting in fair value losses on our held-for-sale mortgage loans and commitments.
|
Freddie Mac Form 10-Q
|
|
29
|
Management's Discussion and Analysis
|
|
Our Business Segments | Multifamily
|
Freddie Mac Form 10-Q
|
|
30
|
Management's Discussion and Analysis
|
|
Our Business Segments | Multifamily
|
n
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - The UPB of our primary risk transfer securitization transactions increased due to a higher average balance in our securitization pipeline, which was driven by strong new loan purchase activity during the first half of 2019.
|
n
|
As of September 30, 2019, we had cumulatively transferred a large majority of credit risk on the multifamily guarantee portfolio.
|
l
|
Conservatorship capital needed for credit risk was reduced by approximately 90% through CRT transactions on new business activity in the twelve months ended September 30, 2018; we plan similar risk reduction transactions for this year's new business activity.
|
l
|
The reduction in the amount of conservatorship capital needed for credit risk on new business activity is calculated as conservatorship credit capital released from CRT transactions (primarily through K Certificates and SB Certificates) divided by total conservatorship credit capital on new business activity. For more information on the CCF and the calculation of conservatorship capital, see Liquidity and Capital Resources - Capital Resources - Conservatorship Capital Framework - Return on Conservatorship Capital.
|
n
|
In addition to transferring a large majority of credit risk, nearly all of our risk transfer securitization activities also shifted substantially all of the interest-rate and liquidity risk associated with the underlying collateral away from Freddie Mac to third-party investors.
|
Freddie Mac Form 10-Q
|
|
31
|
Management's Discussion and Analysis
|
|
Our Business Segments | Multifamily
|
n
|
We earn guarantee fees in exchange for providing our guarantee of some or all of the securities we issue as part of our risk transfer securitization activities. Each time we enter into a financial guarantee contract, we initially recognize an unearned guarantee fee asset on our balance sheet, which represents the present value of future guarantee fees we expect to receive in cash. We recognize these fees in Segment Earnings over the remaining average guarantee term, which was eight years as of September 30, 2019. While we expect to collect these future fees based on historical performance, the actual amount collected will depend on the credit and prepayment performance of the underlying collateral subject to our financial guarantee.
|
n
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - New unearned guarantee fee assets increased primarily due to an increase in guaranteed UPB issued by our securitizations.
|
n
|
The balance of unearned guarantee fees increased during YTD 2019 due to the continued growth of our multifamily guarantee business, as our risk transfer securitization volume continued to be strong, outpacing run off.
|
Freddie Mac Form 10-Q
|
|
32
|
Management's Discussion and Analysis
|
|
Our Business Segments | Multifamily
|
|
|
|
|
|
Change
|
|
|
|
|
Change
|
||||||||||||||||
(Dollars in millions)
|
|
3Q 2019
|
3Q 2018
|
|
$
|
%
|
|
YTD 2019
|
YTD 2018
|
|
$
|
%
|
||||||||||||||
Net interest income
|
|
|
$292
|
|
|
$280
|
|
|
|
$12
|
|
4
|
%
|
|
|
$805
|
|
|
$846
|
|
|
|
($41
|
)
|
(5
|
)%
|
Guarantee fee income
|
|
233
|
|
210
|
|
|
23
|
|
11
|
|
|
671
|
|
609
|
|
|
62
|
|
10
|
|
||||||
Benefit (provision) for credit losses
|
|
(1
|
)
|
2
|
|
|
(3
|
)
|
(150
|
)
|
|
(3
|
)
|
20
|
|
|
(23
|
)
|
(115
|
)
|
||||||
Financial instrument gains (losses)(1)
|
|
256
|
|
266
|
|
|
(10
|
)
|
(4
|
)
|
|
254
|
|
690
|
|
|
(436
|
)
|
(63
|
)
|
||||||
Administrative expense
|
|
(125
|
)
|
(109
|
)
|
|
(16
|
)
|
(15
|
)
|
|
(357
|
)
|
(315
|
)
|
|
(42
|
)
|
(13
|
)
|
||||||
Other non-interest income (expense)
|
|
72
|
|
13
|
|
|
59
|
|
454
|
|
|
254
|
|
96
|
|
|
158
|
|
165
|
|
||||||
Segment Earnings before income tax expense
|
|
727
|
|
662
|
|
|
65
|
|
10
|
|
|
1,624
|
|
1,946
|
|
|
(322
|
)
|
(17
|
)
|
||||||
Income tax (expense) benefit
|
|
(146
|
)
|
(113
|
)
|
|
(33
|
)
|
(29
|
)
|
|
(330
|
)
|
(374
|
)
|
|
44
|
|
12
|
|
||||||
Segment Earnings, net of taxes
|
|
581
|
|
549
|
|
|
32
|
|
6
|
|
|
1,294
|
|
1,572
|
|
|
(278
|
)
|
(18
|
)
|
||||||
Total other comprehensive income (loss), net of tax
|
|
10
|
|
(44
|
)
|
|
54
|
|
123
|
|
|
132
|
|
(136
|
)
|
|
268
|
|
197
|
|
||||||
Total comprehensive income (loss)
|
|
|
$591
|
|
|
$505
|
|
|
|
$86
|
|
17
|
%
|
|
|
$1,426
|
|
|
$1,436
|
|
|
|
($10
|
)
|
(1
|
)%
|
(1)
|
Primarily consists of fair value gains and losses on loan purchase commitments, mortgage loans and debt for which we have elected the fair value option, certain investment securities, and derivatives.
|
n
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018
|
l
|
Net interest income remained relatively flat.
|
l
|
Increase in guarantee fee income driven by continued growth in our multifamily guarantee portfolio.
|
l
|
Increase in fair value gains during 3Q 2019, primarily driven by fair value gains on held-for-sale commitments due to targeted price increases related to changing market conditions. During YTD 2019, fair value gains decreased primarily driven by spread-related fair value losses due to spread widening on certain available-for-sale securities (which are recorded in other comprehensive income), partially offset by fair value gains on held-for-sale commitments due to targeted price increases related to changing market conditions.
|
l
|
Increase in other non-interest income primarily driven by lower losses on the fair value of the recognized unearned guarantee fee assets in the 2019 periods due to declining interest rates.
|
Freddie Mac Form 10-Q
|
|
33
|
Management's Discussion and Analysis
|
|
Our Business Segments | Capital Markets
|
n
|
The balance of our mortgage investments portfolio remained relatively flat from December 31, 2018 to September 30, 2019. See Conservatorship and Related Matters - Managing Our Mortgage-Related Investments Portfolio for additional details.
|
n
|
The balance of our other investments portfolio increased by 39.9%, primarily due to higher near-term cash needs as of September 30, 2019 compared to December 31, 2018 for upcoming debt maturities and anticipated calls of other debt.
|
n
|
The overall liquidity of our mortgage investments portfolio continued to improve as our less liquid assets decreased during 3Q 2019. The percentage of less liquid assets relative to our total mortgage investments portfolio declined from 26.6% at December 31, 2018 to 20.0% at September 30, 2019, primarily due to repayments, sales, and securitizations. We continued to actively reduce our holdings of less liquid assets during 3Q 2019 by selling $3.5 billion of reperforming loans. Our sales of reperforming loans involved securitization of the loans using senior subordinate securitization structures.
|
n
|
We continue to participate in transactions that support the development of SOFR as an alternative rate to LIBOR. These transactions include investment in and issuance of SOFR indexed floating-rate debt securities and execution of SOFR indexed derivatives.
|
Freddie Mac Form 10-Q
|
|
34
|
Management's Discussion and Analysis
|
|
Our Business Segments | Capital Markets
|
n
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018 - Net interest yield decreased 51 and 17 basis points during 3Q 2019 compared to 3Q 2018 and YTD 2019 compared to YTD 2018, respectively, primarily due to an increase in amortization expense resulting from higher loan liquidation rates, coupled with an increase in the percentage of our other investments portfolio relative to our total investments portfolio and the flattening of the yield curve.
|
n
|
Net interest yield for the Capital Markets segment is not affected by our hedge accounting programs, due to reclassifications made for Segment Earnings. See Note 13 in our 2018 Annual Report for more information.
|
Freddie Mac Form 10-Q
|
|
35
|
Management's Discussion and Analysis
|
|
Our Business Segments | Capital Markets
|
|
|
|
|
|
Change
|
|
|
|
|
Change
|
||||||||||||||||
(Dollars in millions)
|
|
3Q 2019
|
3Q 2018
|
|
$
|
%
|
|
YTD 2019
|
YTD 2018
|
|
$
|
%
|
||||||||||||||
Net interest income
|
|
|
$497
|
|
|
$845
|
|
|
|
($348
|
)
|
(41
|
)%
|
|
|
$2,002
|
|
|
$2,410
|
|
|
|
($408
|
)
|
(17
|
)%
|
Investment securities gains (losses)
|
|
136
|
|
(336
|
)
|
|
472
|
|
140
|
|
|
698
|
|
(524
|
)
|
|
1,222
|
|
233
|
|
||||||
Debt gains (losses)
|
|
(17
|
)
|
137
|
|
|
(154
|
)
|
(112
|
)
|
|
(27
|
)
|
368
|
|
|
(395
|
)
|
(107
|
)
|
||||||
Derivative gains (losses)
|
|
(438
|
)
|
427
|
|
|
(865
|
)
|
(203
|
)
|
|
(2,095
|
)
|
2,038
|
|
|
(4,133
|
)
|
(203
|
)
|
||||||
Other non-interest income (expense)
|
|
(237
|
)
|
179
|
|
|
(416
|
)
|
(232
|
)
|
|
189
|
|
535
|
|
|
(346
|
)
|
(65
|
)
|
||||||
Administrative expense
|
|
(96
|
)
|
(89
|
)
|
|
(7
|
)
|
(8
|
)
|
|
(287
|
)
|
(262
|
)
|
|
(25
|
)
|
(10
|
)
|
||||||
Segment Earnings before income tax expense
|
|
(155
|
)
|
1,163
|
|
|
(1,318
|
)
|
(113
|
)
|
|
480
|
|
4,565
|
|
|
(4,085
|
)
|
(89
|
)
|
||||||
Income tax (expense) benefit
|
|
33
|
|
(189
|
)
|
|
222
|
|
117
|
|
|
(97
|
)
|
(886
|
)
|
|
789
|
|
89
|
|
||||||
Segment Earnings, net of taxes
|
|
(122
|
)
|
974
|
|
|
(1,096
|
)
|
(113
|
)
|
|
383
|
|
3,679
|
|
|
(3,296
|
)
|
(90
|
)
|
||||||
Total other comprehensive income (loss), net of tax
|
|
132
|
|
(101
|
)
|
|
233
|
|
231
|
|
|
594
|
|
(847
|
)
|
|
1,441
|
|
170
|
|
||||||
Total comprehensive income (loss)
|
|
|
$10
|
|
|
$873
|
|
|
|
($863
|
)
|
(99
|
)%
|
|
|
$977
|
|
|
$2,832
|
|
|
|
($1,855
|
)
|
(66
|
)%
|
|
|
|
|
|
Change
|
|
|
|
|
Change
|
||||||||||||||||
(Dollars in billions)
|
|
3Q 2019
|
3Q 2018
|
|
$
|
%
|
|
YTD 2019
|
YTD 2018
|
|
$
|
%
|
||||||||||||||
Interest rate-related
|
|
|
($0.4
|
)
|
|
($0.1
|
)
|
|
|
($0.3
|
)
|
(300
|
)%
|
|
|
($0.4
|
)
|
|
($0.1
|
)
|
|
|
($0.3
|
)
|
(300
|
)%
|
Market spread-related
|
|
0.2
|
|
0.1
|
|
|
0.1
|
|
100
|
%
|
|
0.3
|
|
0.3
|
|
|
—
|
|
—
|
|
n
|
3Q 2019 vs. 3Q 2018 and YTD 2019 vs. YTD 2018
|
l
|
Net interest income decreased primarily due to an increase in amortization expense resulting from higher loan liquidation rates, coupled with a change in our investment mix as the other investments portfolio represents a larger percentage of our total investments portfolio and a flattening of the yield curve.
|
l
|
Increase in interest rate-related fair value losses as long-term interest rates decreased during the 2019 periods, resulting in fair value gains on many of our investments in securities (some of which are recorded in other comprehensive income) and fair value losses on derivatives. The net amount of these changes in fair value was mostly offset by the change in the fair value of the hedged items attributable to interest-rate risk in our hedge accounting programs. Additionally, our derivative volume, which economically hedges certain financial instruments not recorded at fair value, increased beginning in 2Q 2019 as we updated our interest-rate risk measures to include upfront fees (including buy-downs) related to single-family credit guarantee activity recorded in the single-family segment. This update introduced additional volatility which resulted in increased losses, partially offset by the effects of hedge accounting.
|
l
|
Decrease in debt gains (losses) primarily due to losses from the extinguishment of fixed-rate debt securities of consolidated trusts, as long-term interest rates declined between the time of issuance and repurchase.
|
Freddie Mac Form 10-Q
|
|
36
|
Management's Discussion and Analysis
|
|
Risk Management
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||||||||
|
|
PVS-YC
|
|
PVS-L
|
|
PVS-YC
|
|
PVS-L
|
||||||||||||||
(In millions)
|
|
25 bps
|
|
50 bps
|
100 bps
|
|
25 bps
|
|
50 bps
|
100 bps
|
||||||||||||
Assuming shifts of the LIBOR yield curve, (gains) losses on:(1)
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investments
|
|
|
($248
|
)
|
|
|
$4,523
|
|
|
$9,314
|
|
|
|
($536
|
)
|
|
|
$5,792
|
|
|
$11,761
|
|
Guarantees(2)
|
|
(253
|
)
|
|
451
|
|
943
|
|
|
89
|
|
|
(425
|
)
|
(773
|
)
|
||||||
Total Assets
|
|
(501
|
)
|
|
4,974
|
|
10,257
|
|
|
(447
|
)
|
|
5,367
|
|
10,988
|
|
||||||
Liabilities
|
|
23
|
|
|
(1,492
|
)
|
(3,126
|
)
|
|
(109
|
)
|
|
(1,889
|
)
|
(3,948
|
)
|
||||||
Derivatives
|
|
491
|
|
|
(3,392
|
)
|
(6,893
|
)
|
|
560
|
|
|
(3,446
|
)
|
(6,917
|
)
|
||||||
Total
|
|
|
$13
|
|
|
|
$90
|
|
|
$238
|
|
|
|
$4
|
|
|
|
$32
|
|
|
$123
|
|
PVS
|
|
|
$13
|
|
|
|
$90
|
|
|
$238
|
|
|
|
$4
|
|
|
|
$32
|
|
|
$123
|
|
Freddie Mac Form 10-Q
|
|
37
|
Management's Discussion and Analysis
|
|
Risk Management
|
(1)
|
The categorization of the PVS impact between assets, liabilities, and derivatives on this table is based upon the economic characteristics of those assets and liabilities, not their accounting classification. For example, purchase and sale commitments of mortgage-related securities and debt securities of consolidated trusts held by the mortgage-related investments portfolio are both categorized as assets on this table.
|
(2)
|
Represents the interest-rate risk from our single-family guarantee portfolio, which includes buy-ups, float, and, beginning in 2Q 2019, upfront fees (including buy-downs).
|
|
|
3Q 2019
|
|
3Q 2018
|
||||||||||||||
(Duration gap in months, dollars in millions)
|
|
Duration
Gap
|
PVS-YC
25 bps
|
PVS-L
50 bps
|
|
Duration
Gap
|
PVS-YC
25 bps
|
PVS-L
50 bps
|
||||||||||
Average
|
|
0.5
|
|
|
$17
|
|
|
$54
|
|
|
—
|
|
|
$12
|
|
|
$18
|
|
Minimum
|
|
(0.3
|
)
|
—
|
|
—
|
|
|
(0.2
|
)
|
—
|
|
—
|
|
||||
Maximum
|
|
1.2
|
|
48
|
|
130
|
|
|
0.3
|
|
21
|
|
49
|
|
||||
Standard deviation
|
|
0.2
|
|
12
|
|
29
|
|
|
0.1
|
|
5
|
|
15
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||||
|
|
YTD 2019
|
|
YTD 2018
|
||||||||||||||
(Duration gap in months, dollars in millions)
|
|
Duration
Gap
|
PVS-YC
25 bps
|
PVS-L
50 bps
|
|
Duration
Gap
|
PVS-YC
25 bps
|
PVS-L
50 bps
|
||||||||||
Average
|
|
0.9
|
|
|
$43
|
|
|
$116
|
|
|
—
|
|
|
$11
|
|
|
$17
|
|
Minimum
|
|
(0.8
|
)
|
—
|
|
—
|
|
|
(0.4
|
)
|
—
|
|
—
|
|
||||
Maximum
|
|
8.6
|
|
345
|
|
950
|
|
|
0.3
|
|
31
|
|
77
|
|
||||
Standard deviation
|
|
1.8
|
|
81
|
|
213
|
|
|
0.1
|
|
6
|
|
17
|
|
Freddie Mac Form 10-Q
|
|
38
|
Management's Discussion and Analysis
|
|
Risk Management
|
|
|
GAAP Adverse Scenario (Before-Tax)
|
|||||||
(Dollars in billions)
|
|
Before Hedge Accounting
|
After Hedge Accounting
|
% Change
|
|||||
September 30, 2019
|
|
|
($3.5
|
)
|
|
($0.1
|
)
|
97
|
%
|
September 30, 2018
|
|
(3.3
|
)
|
(0.5
|
)
|
85
|
|
Freddie Mac Form 10-Q
|
|
39
|
Management's Discussion and Analysis
|
|
Risk Management
|
|
|
3Q 2019
|
|||||
|
|
GAAP Adverse Scenario (Before-Tax)
|
|||||
(In billions)
|
|
Before Hedge Accounting
|
After Hedge Accounting
|
||||
Average
|
|
|
($4.0
|
)
|
|
($0.7
|
)
|
Minimum
|
|
(3.2
|
)
|
(0.1
|
)
|
||
Maximum
|
|
(5.2
|
)
|
(1.8
|
)
|
(1)
|
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 non-interest income (loss) and total other comprehensive income (loss) on our condensed consolidated statements of comprehensive income.
|
Freddie Mac Form 10-Q
|
|
40
|
Management's Discussion and Analysis
|
|
Risk Management
|
(1)
|
Represents spread exposure on certain STACR debt securities for which we have elected the fair value option.
|
Freddie Mac Form 10-Q
|
|
41
|
Management's Discussion and Analysis
|
|
Liquidity and Capital Resources
|
Source
|
Balance(1)
(In billions)
|
|
Description
|
|||
Liquidity
|
|
|
|
|||
•
|
Other Investments Portfolio - Liquidity and Contingency Operating Portfolio
|
|
$52.4
|
|
•
|
The liquidity and contingency operating portfolio, included within our other investments portfolio, is primarily used for short-term liquidity management.
|
•
|
Liquid Portion of the Mortgage-Related Investments Portfolio
|
|
$120.8
|
|
•
|
The liquid portion of our mortgage-related investments portfolio can be pledged or sold for liquidity purposes. The amount of cash we may be able to successfully raise may be substantially less than the balance.
|
(1)
|
Represents carrying value for the liquidity and contingency operating portfolio, included within our other investments portfolio, and UPB for the liquid portion of the mortgage-related investments portfolio.
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||||||||||||
(In billions)
|
|
Liquidity and Contingency Operating Portfolio
|
Custodial Account
|
Other
|
Total Other Investments Portfolio
|
|
Liquidity and Contingency Operating Portfolio
|
Custodial Account
|
Other
|
Total Other Investments Portfolio
|
||||||||||||||||
Cash and cash equivalents
|
|
|
$5.1
|
|
|
$3.6
|
|
|
$—
|
|
|
$8.7
|
|
|
|
$6.7
|
|
|
$0.6
|
|
|
$—
|
|
|
$7.3
|
|
Securities purchased under agreements to resell
|
|
27.6
|
|
21.4
|
|
2.2
|
|
51.2
|
|
|
20.2
|
|
12.1
|
|
2.5
|
|
34.8
|
|
||||||||
Non-mortgage related securities
|
|
19.7
|
|
—
|
|
4.6
|
|
24.3
|
|
|
16.8
|
|
—
|
|
2.4
|
|
19.2
|
|
||||||||
Secured lending and other
|
|
—
|
|
—
|
|
5.4
|
|
5.4
|
|
|
—
|
|
—
|
|
1.8
|
|
1.8
|
|
||||||||
Total
|
|
|
$52.4
|
|
|
$25.0
|
|
|
$12.2
|
|
|
$89.6
|
|
|
|
$43.7
|
|
|
$12.7
|
|
|
$6.7
|
|
|
$63.1
|
|
Freddie Mac Form 10-Q
|
|
42
|
Management's Discussion and Analysis
|
|
Liquidity and Capital Resources
|
Source
|
Balance(1)
(In billions)
|
|
Description
|
|||
Funding
|
|
|
|
|||
•
|
Other Debt
|
|
$281.6
|
|
•
|
Other debt is used to fund our business activities, including single-family guarantee activities not funded by debt securities of consolidated trusts.
|
•
|
Debt Securities of Consolidated Trusts
|
|
$1,869.3
|
|
•
|
Debt securities of consolidated trusts are used primarily to fund our single-family guarantee activities. This type of debt is principally repaid by the cash flows of the associated mortgage loans. As a result, our repayment obligation is limited to amounts paid pursuant to our guarantee of principal and interest and purchasing modified or seriously delinquent loans from the trusts.
|
(1)
|
Represents UPB of debt balances.
|
Freddie Mac Form 10-Q
|
|
43
|
Management's Discussion and Analysis
|
|
Liquidity and Capital Resources
|
|
|
3Q 2019
|
|
YTD 2019
|
||||||||||||||||||
(Dollars in millions)
|
|
Short-term
|
Average Rate(1)
|
Long-term
|
Average Rate(1)
|
|
Short-term
|
Average Rate(1)
|
Long-term
|
Average Rate(1)
|
||||||||||||
Discount notes and Reference Bills®
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Beginning balance
|
|
|
$35,362
|
|
2.41
|
%
|
|
$—
|
|
—
|
%
|
|
|
$28,787
|
|
2.36
|
%
|
|
$—
|
|
—
|
%
|
Issuances
|
|
82,414
|
|
2.05
|
|
—
|
|
—
|
|
|
267,915
|
|
2.24
|
|
—
|
|
—
|
|
||||
Repurchases
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||
Maturities
|
|
(75,057
|
)
|
2.20
|
|
—
|
|
—
|
|
|
(253,983
|
)
|
2.28
|
|
—
|
|
—
|
|
||||
Ending Balance
|
|
42,719
|
|
2.09
|
|
—
|
|
—
|
|
|
42,719
|
|
2.09
|
|
—
|
|
—
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Securities sold under agreements to repurchase
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Beginning balance
|
|
9,549
|
|
2.30
|
|
—
|
|
—
|
|
|
6,019
|
|
2.40
|
|
—
|
|
—
|
|
||||
Additions
|
|
111,886
|
|
2.19
|
|
—
|
|
—
|
|
|
213,335
|
|
2.30
|
|
—
|
|
—
|
|
||||
Repayments
|
|
(112,735
|
)
|
2.21
|
|
—
|
|
—
|
|
|
(210,654
|
)
|
2.32
|
|
—
|
|
—
|
|
||||
Ending Balance
|
|
8,700
|
|
2.06
|
|
—
|
|
—
|
|
|
8,700
|
|
2.06
|
|
—
|
|
—
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Callable debt
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Beginning balance
|
|
12,590
|
|
2.49
|
|
113,394
|
|
2.16
|
|
|
2,000
|
|
2.53
|
|
105,206
|
|
2.09
|
|
||||
Issuances
|
|
1,000
|
|
2.30
|
|
28,627
|
|
2.22
|
|
|
13,590
|
|
2.48
|
|
74,293
|
|
2.55
|
|
||||
Repurchases
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||
Calls
|
|
(10,590
|
)
|
2.49
|
|
(31,077
|
)
|
2.59
|
|
|
(12,590
|
)
|
2.53
|
|
(59,885
|
)
|
2.82
|
|
||||
Maturities
|
|
—
|
|
—
|
|
(8,494
|
)
|
1.38
|
|
|
—
|
|
—
|
|
(17,164
|
)
|
1.32
|
|
||||
Ending Balance
|
|
3,000
|
|
2.43
|
|
102,450
|
|
2.11
|
|
|
3,000
|
|
2.43
|
|
102,450
|
|
2.11
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Non-callable debt
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Beginning balance
|
|
13,596
|
|
2.50
|
|
77,539
|
|
2.75
|
|
|
14,440
|
|
2.04
|
|
80,789
|
|
2.56
|
|
||||
Issuances
|
|
29,256
|
|
2.27
|
|
5,485
|
|
2.27
|
|
|
47,562
|
|
2.35
|
|
15,775
|
|
2.43
|
|
||||
Repurchases
|
|
(345
|
)
|
1.87
|
|
—
|
|
—
|
|
|
(345
|
)
|
1.87
|
|
(774
|
)
|
1.82
|
|
||||
Maturities
|
|
(2,409
|
)
|
2.38
|
|
(14,515
|
)
|
1.33
|
|
|
(21,559
|
)
|
2.17
|
|
(27,281
|
)
|
1.65
|
|
||||
Ending Balance
|
|
40,098
|
|
2.33
|
|
68,509
|
|
3.02
|
|
|
40,098
|
|
2.33
|
|
68,509
|
|
3.02
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
STACR and SCR Debt(2)
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Beginning balance
|
|
—
|
|
—
|
|
16,971
|
|
6.16
|
|
|
—
|
|
—
|
|
17,729
|
|
6.02
|
|
||||
Issuances
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
280
|
|
2.48
|
|
||||
Repurchases
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||
Maturities
|
|
—
|
|
—
|
|
(883
|
)
|
4.24
|
|
|
—
|
|
—
|
|
(1,921
|
)
|
4.47
|
|
||||
Ending Balance
|
|
—
|
|
—
|
|
16,088
|
|
5.98
|
|
|
—
|
|
—
|
|
16,088
|
|
5.98
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Total other debt
|
|
|
$94,517
|
|
2.20
|
%
|
|
$187,047
|
|
2.78
|
%
|
|
|
$94,517
|
|
2.20
|
%
|
|
$187,047
|
|
2.78
|
%
|
(1)
|
Average rate is weighted based on par value.
|
(2)
|
Includes STACR and SCR debt notes and certain multifamily other debt. STACR and SCR debt notes are subject to prepayment risk as their payments are based upon the performance of a reference pool of mortgage assets that may be prepaid by the related mortgage borrower at any time generally without penalty.
|
Freddie Mac Form 10-Q
|
|
44
|
Management's Discussion and Analysis
|
|
Liquidity and Capital Resources
|
(1)
|
STACR and SCR debt notes are subject to prepayment risk as their payments are based upon the performance of a reference pool of mortgage assets that may be prepaid by the related mortgage borrower at any time generally without penalty and are therefore included as a separate category in the graphs.
|
n
|
The assets held by the securitization trusts, the majority of which are mortgage loans. We recognized $1,905.6 billion and $1,842.9 billion of mortgage loans, which represented 87.8% and 89.3% of our total assets, as of September 30, 2019 and December 31, 2018, respectively.
|
n
|
The debt securities issued by the securitization trusts, the majority of which are Level 1 securitizations that are pass-through securities, where the cash flows of the mortgage loans held by the securitization trust are passed through to the holders of the securities. We recognized $1,869.3 billion and $1,792.7 billion of debt securities of consolidated trusts, which represented 87.0% and 87.7% of our total debt, as of September 30, 2019 and December 31, 2018, respectively.
|
Freddie Mac Form 10-Q
|
|
45
|
Management's Discussion and Analysis
|
|
Liquidity and Capital Resources
|
(In millions)
|
|
3Q 2019
|
YTD 2019
|
||||
Beginning balance
|
|
|
$1,784,229
|
|
|
$1,748,738
|
|
Issuances:
|
|
|
|
||||
New issuances to third parties
|
|
100,666
|
|
216,071
|
|
||
Additional issuances of securities
|
|
56,495
|
|
121,537
|
|
||
Total issuances
|
|
157,161
|
|
337,608
|
|
||
Extinguishments:
|
|
|
|
||||
Purchases of debt securities from third parties
|
|
(12,556
|
)
|
(25,526
|
)
|
||
Debt securities received in settlement of secured lending
|
|
(12,816
|
)
|
(28,066
|
)
|
||
Repayments of debt securities
|
|
(91,312
|
)
|
(208,048
|
)
|
||
Total extinguishments
|
|
(116,684
|
)
|
(261,640
|
)
|
||
Ending balance
|
|
1,824,706
|
|
1,824,706
|
|||
Unamortized premiums and discounts
|
|
44,602
|
|
44,602
|
|
||
Debt securities of consolidated trusts held by third parties
|
|
|
$1,869,308
|
|
|
$1,869,308
|
|
(In millions)
|
|
3Q 2019
|
YTD 2019
|
||||
Beginning balance
|
|
|
$4,826
|
|
|
$4,477
|
|
Comprehensive income (loss)
|
|
1,848
|
|
5,339
|
|
||
Capital draw from Treasury
|
|
—
|
|
—
|
|
||
Senior preferred stock dividends declared
|
|
—
|
|
(3,142
|
)
|
||
Total equity / net worth
|
|
|
$6,674
|
|
|
$6,674
|
|
Aggregate draws under Purchase Agreement
|
|
|
$71,648
|
|
|
$71,648
|
|
Aggregate cash dividends paid to Treasury
|
|
119,680
|
|
119,680
|
|
Freddie Mac Form 10-Q
|
|
46
|
Management's Discussion and Analysis
|
|
Liquidity and Capital Resources
|
(Dollars in billions)
|
|
3Q 2019
|
|
3Q 2018
|
|
YTD 2019
|
|
YTD 2018
|
GAAP comprehensive income
|
|
$1.8
|
|
$2.6
|
|
$5.3
|
|
$7.1
|
Significant items:
|
|
|
|
|
|
|
|
|
Non-agency mortgage-related securities judgment(2)
|
|
—
|
|
—
|
|
—
|
|
(0.3)
|
Tax effect related to judgment(2)
|
|
—
|
|
—
|
|
—
|
|
0.1
|
Total significant items(3)
|
|
—
|
|
—
|
|
—
|
|
(0.2)
|
Comprehensive income, excluding significant items(3)
|
|
$1.8
|
|
$2.6
|
|
$5.3
|
|
$6.9
|
Conservatorship capital (average during the period)(4)
|
|
$51.3
|
|
$56.5
|
|
$51.8
|
|
$57.5
|
ROCC, based on GAAP comprehensive income(4)
|
|
14.4%
|
|
18.1%
|
|
13.7%
|
|
16.6%
|
Adjusted ROCC, based on comprehensive income excluding significant items(3)(4)
|
|
14.4%
|
|
18.1%
|
|
13.7%
|
|
16.0%
|
(1)
|
Average conservatorship capital and ROCC for 3Q 2019 and YTD 2019 are preliminary and subject to change until official submission to FHFA.
|
(2)
|
YTD 2018 GAAP comprehensive income included a benefit of $334 million (pre-tax) from a final judgment against Nomura Holding America, Inc. in litigation involving certain of our non-agency mortgage-related securities. The tax effect related to this judgment was ($70) million.
|
(3)
|
No significant items were identified for the 2019 periods. Numbers for the 2019 periods are included for comparison purposes only.
|
(4)
|
Average conservatorship capital for each period is based on the CCF in effect during that period, except that the 2018 figures have been revised to include capital for deferred tax assets. The CCF in effect as of September 30, 2019 was largely unchanged from the CCF as of June 30, 2019.
|
Freddie Mac Form 10-Q
|
|
47
|
Management's Discussion and Analysis
|
|
Liquidity and Capital Resources
|
Freddie Mac Form 10-Q
|
|
48
|
Management's Discussion and Analysis
|
Conservatorship and Related Matters
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||||||||||||
(Dollars in millions)
|
|
Liquid
|
Securitiz-ation Pipeline
|
Less Liquid
|
Total
|
|
Liquid
|
Securitiz-ation Pipeline
|
Less Liquid
|
Total
|
||||||||||||||||
Capital Markets segment - Mortgage investments portfolio:
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Single-family unsecuritized loans
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Performing loans
|
|
|
$—
|
|
|
$20,823
|
|
|
$—
|
|
|
$20,823
|
|
|
|
$—
|
|
|
$8,955
|
|
|
$—
|
|
|
$8,955
|
|
Reperforming loans
|
|
—
|
|
—
|
|
29,982
|
|
29,982
|
|
|
—
|
|
—
|
|
39,402
|
|
39,402
|
|
||||||||
Total single-family unsecuritized loans
|
|
—
|
|
20,823
|
|
29,982
|
|
50,805
|
|
|
—
|
|
8,955
|
|
39,402
|
|
48,357
|
|
||||||||
Freddie Mac mortgage-related securities
|
|
108,282
|
|
—
|
|
2,665
|
|
110,947
|
|
|
109,880
|
|
—
|
|
3,108
|
|
112,988
|
|
||||||||
Non-agency mortgage-related securities
|
|
—
|
|
—
|
|
1,585
|
|
1,585
|
|
|
—
|
|
—
|
|
2,122
|
|
2,122
|
|
||||||||
Other Non-Freddie Mac agency mortgage-related securities
|
|
7,583
|
|
—
|
|
—
|
|
7,583
|
|
|
3,968
|
|
—
|
|
—
|
|
3,968
|
|
||||||||
Total Capital Markets segment - Mortgage investments portfolio
|
|
115,865
|
|
20,823
|
|
34,232
|
|
170,920
|
|
|
113,848
|
|
8,955
|
|
44,632
|
|
167,435
|
|
||||||||
Single-family Guarantee segment - Single-family unsecuritized seriously delinquent loans
|
|
—
|
|
—
|
|
8,330
|
|
8,330
|
|
|
—
|
|
—
|
|
8,473
|
|
8,473
|
|
||||||||
Multifamily segment:
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Unsecuritized loans
|
|
—
|
|
24,998
|
|
11,690
|
|
36,688
|
|
|
—
|
|
23,203
|
|
11,584
|
|
34,787
|
|
||||||||
Mortgage-related securities
|
|
4,964
|
|
—
|
|
699
|
|
5,663
|
|
|
6,570
|
|
—
|
|
815
|
|
7,385
|
|
||||||||
Total Multifamily segment
|
|
4,964
|
|
24,998
|
|
12,389
|
|
42,351
|
|
|
6,570
|
|
23,203
|
|
12,399
|
|
42,172
|
|
||||||||
Total mortgage-related investments portfolio
|
|
|
$120,829
|
|
|
$45,821
|
|
|
$54,951
|
|
|
$221,601
|
|
|
|
$120,418
|
|
|
$32,158
|
|
|
$65,504
|
|
|
$218,080
|
|
Percentage of total mortgage-related investments portfolio
|
|
54
|
%
|
21
|
%
|
25
|
%
|
100
|
%
|
|
55
|
%
|
15
|
%
|
30
|
%
|
100
|
%
|
n
|
Sales of $3.5 billion in UPB of single-family reperforming loans, $0.2 billion in UPB of seriously delinquent unsecuritized single-family loans, and $0.2 billion in UPB of single-family non-agency mortgage-related securities;
|
n
|
Securitizations of $1.5 billion in UPB of less liquid multifamily loans; and
|
n
|
Transfers of $0.4 billion in UPB of less liquid multifamily loans to the securitization pipeline.
|
Freddie Mac Form 10-Q
|
|
49
|
Management's Discussion and Analysis
|
Conservatorship and Related Matters
|
n
|
Focus on their core mission responsibilities to foster competitive, liquid, efficient, and resilient (CLEAR) national housing finance markets that support sustainable homeownership and affordable rental housing;
|
n
|
Operate in a safe and sound manner appropriate for entities in conservatorship; and
|
n
|
Prepare for the Enterprises' eventual exists from conservatorships.
|
Freddie Mac Form 10-Q
|
|
50
|
Management's Discussion and Analysis
|
Regulation and Supervision
|
Freddie Mac Form 10-Q
|
|
51
|
Management's Discussion and Analysis
|
Regulation and Supervision
|
|
|
Goals for 2018
|
|
Market Levels for 2018
|
|
Preliminary Results for 2018
|
||||
Single-family purchase money goals (benchmark levels)
|
|
|
|
|
|
|
||||
Low-income goal
|
|
24
|
%
|
|
25.5
|
%
|
|
25.8
|
%
|
|
Very low-income goal
|
|
6
|
%
|
|
6.5
|
%
|
|
6.3
|
%
|
|
Low-income areas goal
|
|
18
|
%
|
|
22.6
|
%
|
|
22.6
|
%
|
|
Low-income areas subgoal
|
|
14
|
%
|
|
18.0
|
%
|
|
17.3
|
%
|
|
Single-family refinance (benchmark level)
|
|
|
|
|
|
|
||||
Low-income goal
|
|
21
|
%
|
|
30.7
|
%
|
|
27.3
|
%
|
|
|
|
|
|
|
|
|
||||
Multifamily (benchmark levels in units)
|
|
|
|
|
|
|
||||
Low-income goal
|
|
315,000
|
|
|
N/A
|
|
|
474,062
|
|
|
Very low-income subgoal
|
|
60,000
|
|
|
N/A
|
|
|
105,612
|
|
|
Small property low-income subgoal
|
|
10,000
|
|
|
N/A
|
|
|
39,353
|
|
Freddie Mac Form 10-Q
|
|
52
|
Management's Discussion and Analysis
|
Forward-Looking Statements
|
n
|
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 the recommendations in the Treasury Housing Reform Plan or FHFA's Conservatorship Scorecards and other objectives for us;
|
n
|
The effect of the restrictions on our business due to the conservatorship and the Purchase Agreement, including our dividend requirement on the senior preferred stock;
|
n
|
Changes in our Charter or in applicable legislative or regulatory requirements (including changes pursuant to the Treasury Housing Reform Plan or pursuant to any legislation affecting the future status of our company);
|
n
|
Changes in the fiscal and monetary policies of the Federal Reserve, including the balance sheet normalization program to reduce the Federal Reserve's holdings of mortgage-related securities;
|
n
|
Changes in tax laws;
|
n
|
Changes in accounting policies, practices, or guidance (e.g., FASB's accounting standards update related to the measurement of credit losses of financial instruments);
|
n
|
Changes in economic and market conditions, including changes in employment rates, interest rates, spreads, and home prices;
|
n
|
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);
|
n
|
The success of our efforts to mitigate our losses on our legacy and relief refinance single-family loan portfolio;
|
n
|
The success of our strategy to transfer mortgage credit risk through STACR debt note, STACR Trust, ACIS, K Certificate, SB Certificate, and other CRT transactions;
|
n
|
Our ability to maintain adequate liquidity to fund our operations;
|
n
|
Our ability to maintain the security and resiliency of our operational systems and infrastructure, including against cyberattacks;
|
n
|
Our ability to effectively execute our business strategies, implement new initiatives, and improve efficiency;
|
n
|
The adequacy of our risk management framework, including the adequacy of the CCF for measuring risk;
|
n
|
Our ability to manage mortgage credit risk, including the effect of changes in underwriting and servicing practices;
|
n
|
Our ability to limit or manage our economic exposure and GAAP earnings exposure to interest-rate volatility and spread volatility, including the availability of derivative financial instruments needed for interest-rate risk management purposes;
|
n
|
Our operational ability to issue new securities, make timely and correct payments on securities, and provide initial and ongoing disclosures;
|
n
|
Our reliance on CSS and the CSP for the operation of the majority of our single-family securitization activities;
|
n
|
Changes or errors in the methodologies, models, assumptions, and estimates we use to prepare our financial statements, make business decisions, and manage risks;
|
n
|
Changes in investor demand for our debt or mortgage-related securities, as well as market acceptance of the UMBS;
|
n
|
Changes in the practices of loan originators, servicers, investors, and other participants in the secondary mortgage market;
|
n
|
The occurrence of a major natural or other disaster in areas in which our offices or significant portions of our total mortgage portfolio are located; and
|
n
|
Other factors and assumptions described in this Form 10-Q and our 2018 Annual Report, including in the MD&A section.
|
Freddie Mac Form 10-Q
|
|
53
|
Financial Statements
|
|
Financial Statements
|
Freddie Mac Form 10-Q
|
|
54
|
Financial Statements
|
Condensed Consolidated Statements of Comprehensive Income
|
(In millions, except share-related amounts)
|
|
3Q 2019
|
3Q 2018
|
|
YTD 2019
|
YTD 2018
|
||||||||
Interest income
|
|
|
|
|
|
|
||||||||
Mortgage loans
|
|
|
$16,428
|
|
|
$16,787
|
|
|
|
$51,732
|
|
|
$49,082
|
|
Investments in securities
|
|
686
|
|
755
|
|
|
2,059
|
|
2,295
|
|
||||
Other
|
|
426
|
|
261
|
|
|
1,197
|
|
703
|
|
||||
Total interest income
|
|
17,540
|
|
17,803
|
|
|
54,988
|
|
52,080
|
|
||||
Interest expense
|
|
(15,130
|
)
|
(14,546
|
)
|
|
(46,498
|
)
|
(42,802
|
)
|
||||
Net interest income
|
|
2,410
|
|
3,257
|
|
|
8,490
|
|
9,278
|
|
||||
Benefit (provision) for credit losses
|
|
179
|
|
380
|
|
|
474
|
|
377
|
|
||||
Net interest income after benefit (provision) for credit losses
|
|
2,589
|
|
3,637
|
|
|
8,964
|
|
9,655
|
|
||||
Non-interest income (loss)
|
|
|
|
|
|
|
||||||||
Guarantee fee income
|
|
231
|
|
209
|
|
|
670
|
|
603
|
|
||||
Mortgage loans gains (losses)
|
|
1,702
|
|
94
|
|
|
4,174
|
|
233
|
|
||||
Investment securities gains (losses)
|
|
164
|
|
(443
|
)
|
|
728
|
|
(1,024
|
)
|
||||
Debt gains (losses)
|
|
(56
|
)
|
158
|
|
|
8
|
|
445
|
|
||||
Derivative gains (losses)
|
|
(1,217
|
)
|
728
|
|
|
(4,912
|
)
|
2,974
|
|
||||
Other income (loss)
|
|
146
|
|
79
|
|
|
389
|
|
648
|
|
||||
Non-interest income (loss)
|
|
970
|
|
825
|
|
|
1,057
|
|
3,879
|
|
||||
Non-interest expense
|
|
|
|
|
|
|
||||||||
Salaries and employee benefits
|
|
(333
|
)
|
(301
|
)
|
|
(983
|
)
|
(890
|
)
|
||||
Professional services
|
|
(115
|
)
|
(120
|
)
|
|
(342
|
)
|
(335
|
)
|
||||
Other administrative expense
|
|
(172
|
)
|
(148
|
)
|
|
(492
|
)
|
(422
|
)
|
||||
Total administrative expense
|
|
(620
|
)
|
(569
|
)
|
|
(1,817
|
)
|
(1,647
|
)
|
||||
Real estate owned operations expense
|
|
(58
|
)
|
(38
|
)
|
|
(172
|
)
|
(87
|
)
|
||||
Temporary Payroll Tax Cut Continuation Act of 2011 expense
|
|
(408
|
)
|
(375
|
)
|
|
(1,197
|
)
|
(1,100
|
)
|
||||
Other expense
|
|
(337
|
)
|
(218
|
)
|
|
(1,036
|
)
|
(619
|
)
|
||||
Non-interest expense
|
|
(1,423
|
)
|
(1,200
|
)
|
|
(4,222
|
)
|
(3,453
|
)
|
||||
Income (loss) before income tax (expense) benefit
|
|
2,136
|
|
3,262
|
|
|
5,799
|
|
10,081
|
|
||||
Income tax (expense) benefit
|
|
(427
|
)
|
(556
|
)
|
|
(1,177
|
)
|
(1,946
|
)
|
||||
Net income (loss)
|
|
1,709
|
|
2,706
|
|
|
4,622
|
|
8,135
|
|
||||
Other comprehensive income (loss), net of taxes and reclassification adjustments:
|
|
|
|
|
|
|
||||||||
Changes in unrealized gains (losses) related to available-for-sale securities
|
|
124
|
|
(169
|
)
|
|
674
|
|
(1,065
|
)
|
||||
Changes in unrealized gains (losses) related to cash flow hedge relationships
|
|
19
|
|
25
|
|
|
57
|
|
87
|
|
||||
Changes in defined benefit plans
|
|
(4
|
)
|
(3
|
)
|
|
(14
|
)
|
(13
|
)
|
||||
Total other comprehensive income (loss), net of taxes and reclassification adjustments
|
|
139
|
|
(147
|
)
|
|
717
|
|
(991
|
)
|
||||
Comprehensive income (loss)
|
|
|
$1,848
|
|
|
$2,559
|
|
|
|
$5,339
|
|
|
$7,144
|
|
Net income (loss)
|
|
|
$1,709
|
|
|
$2,706
|
|
|
|
$4,622
|
|
|
$8,135
|
|
Undistributed net worth sweep, senior preferred stock dividends, or future increase in senior preferred stock liquidation preference
|
|
(1,848
|
)
|
(2,559
|
)
|
|
(5,339
|
)
|
(4,144
|
)
|
||||
Net income (loss) attributable to common stockholders
|
|
|
($139
|
)
|
|
$147
|
|
|
|
($717
|
)
|
|
$3,991
|
|
Net income (loss) per common share — basic and diluted
|
|
|
($0.04
|
)
|
|
$0.05
|
|
|
|
($0.22
|
)
|
|
$1.23
|
|
Weighted average common shares outstanding (in millions) — basic and diluted
|
|
3,234
|
|
3,234
|
|
|
3,234
|
|
3,234
|
|
Freddie Mac Form 10-Q
|
|
55
|
Financial Statements
|
Condensed Consolidated Balance Sheets
|
|
|
September 30,
|
December 31,
|
||||
(In millions, except share-related amounts)
|
|
2019
|
2018
|
||||
Assets
|
|
|
|
||||
Cash and cash equivalents (Notes 1, 3, 14) (includes $3,560 and $596 of restricted cash and cash equivalents)
|
|
|
$8,708
|
|
|
$7,273
|
|
Securities purchased under agreements to resell (Notes 3, 10)
|
|
51,187
|
|
34,771
|
|
||
Investments in securities, at fair value (Note 7)
|
|
72,982
|
|
69,111
|
|
||
Mortgage loans held-for-sale (Notes 3, 4) (includes $21,538 and $23,106 at fair value)
|
|
41,118
|
|
41,622
|
|
||
Mortgage loans held-for-investment (Notes 3, 4) (net of allowance for loan losses of $4,854 and $6,139)
|
|
1,956,372
|
|
1,885,356
|
|
||
Accrued interest receivable (Note 3)
|
|
6,790
|
|
6,728
|
|
||
Derivative assets, net (Notes 9, 10)
|
|
1,592
|
|
335
|
|
||
Deferred tax assets, net (Note 12)
|
|
5,784
|
|
6,888
|
|
||
Other assets (Notes 3, 18) (includes $4,590 and $3,929 at fair value)
|
|
25,713
|
|
10,976
|
|
||
Total assets
|
|
|
$2,170,246
|
|
|
$2,063,060
|
|
Liabilities and equity
|
|
|
|
||||
Liabilities
|
|
|
|
||||
Accrued interest payable (Note 3)
|
|
|
$6,688
|
|
|
$6,652
|
|
Debt, net (Notes 3, 8) (includes $4,600 and $5,112 at fair value)
|
|
2,149,259
|
|
2,044,950
|
|
||
Derivative liabilities, net (Notes 9, 10)
|
|
355
|
|
583
|
|
||
Other liabilities (Notes 3, 18)
|
|
7,270
|
|
6,398
|
|
||
Total liabilities
|
|
2,163,572
|
|
2,058,583
|
|
||
Commitments and contingencies (Notes 5, 9, 16)
|
|
|
|
||||
Equity (Note 11)
|
|
|
|
||||
Senior preferred stock (redemption value of $77,474 and $75,648)
|
|
72,648
|
|
72,648
|
|
||
Preferred stock, at redemption value
|
|
14,109
|
|
14,109
|
|
||
Common stock, $0.00 par value, 4,000,000,000 shares authorized, 725,863,886 shares issued and 650,059,033 shares and 650,058,775 shares outstanding
|
|
—
|
|
—
|
|
||
Additional paid-in capital
|
|
—
|
|
—
|
|
||
Retained earnings (accumulated deficit)
|
|
(76,780
|
)
|
(78,260
|
)
|
||
AOCI, net of taxes, related to:
|
|
|
|
||||
Available-for-sale securities (includes $243 and $221, related to net unrealized gains on securities for which other-than-temporary impairment has been recognized in earnings)
|
|
757
|
|
83
|
|
||
Cash flow hedge relationships
|
|
(258
|
)
|
(315
|
)
|
||
Defined benefit plans
|
|
83
|
|
97
|
|
||
Total AOCI, net of taxes
|
|
582
|
|
(135
|
)
|
||
Treasury stock, at cost, 75,804,853 shares and 75,805,111 shares
|
|
(3,885
|
)
|
(3,885
|
)
|
||
Total equity (See Note 11 for information on our dividend requirement to Treasury)
|
|
6,674
|
|
4,477
|
|
||
Total liabilities and equity
|
|
|
$2,170,246
|
|
|
$2,063,060
|
|
|
|
September 30,
|
December 31,
|
||||
(In millions)
|
|
2019
|
2018
|
||||
Consolidated Balance Sheet Line Item
|
|
|
|
||||
Assets: (Note 3)
|
|
|
|
||||
Mortgage loans held-for-investment
|
|
|
$1,905,633
|
|
|
$1,842,850
|
|
All other assets
|
|
43,863
|
|
20,237
|
|
||
Total assets of consolidated VIEs
|
|
|
$1,949,496
|
|
|
$1,863,087
|
|
Liabilities: (Note 3)
|
|
|
|
||||
Debt, net
|
|
|
$1,869,308
|
|
|
$1,792,677
|
|
All other liabilities
|
|
5,519
|
|
5,335
|
|
||
Total liabilities of consolidated VIEs
|
|
|
$1,874,827
|
|
|
$1,798,012
|
|
Freddie Mac Form 10-Q
|
|
56
|
Financial Statements
|
Condensed Consolidated Statements of Equity
|
|
|
Shares Outstanding
|
Senior
Preferred
Stock
|
Preferred
Stock, at
Redemption
Value
|
Common
Stock, at
Par Value
|
Additional
Paid-In
Capital
|
Retained
Earnings
(Accumulated
Deficit)
|
AOCI,
Net of
Tax
|
Treasury
Stock, at
Cost
|
Total
Equity
|
|||||||||||||||||||||
(In millions)
|
|
Senior
Preferred
Stock
|
Preferred
Stock
|
Common
Stock
|
|||||||||||||||||||||||||||
Balance at June 30, 2019
|
|
1
|
|
464
|
|
650
|
|
|
$72,648
|
|
|
$14,109
|
|
|
$—
|
|
|
$—
|
|
|
($78,489
|
)
|
|
$443
|
|
|
($3,885
|
)
|
|
$4,826
|
|
Comprehensive income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net income (loss)
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
1,709
|
|
—
|
|
—
|
|
1,709
|
|
||||||||
Other comprehensive income (loss), net of taxes
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
139
|
|
—
|
|
139
|
|
||||||||
Comprehensive income (loss)
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
1,709
|
|
139
|
|
—
|
|
1,848
|
|
||||||||
Ending balance at September 30, 2019
|
|
1
|
|
464
|
|
650
|
|
|
$72,648
|
|
|
$14,109
|
|
|
$—
|
|
|
$—
|
|
|
($76,780
|
)
|
|
$582
|
|
|
($3,885
|
)
|
|
$6,674
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Balance at June 30, 2018
|
|
1
|
|
464
|
|
650
|
|
|
$72,648
|
|
|
$14,109
|
|
|
$—
|
|
|
$—
|
|
|
($77,921
|
)
|
|
($366
|
)
|
|
($3,885
|
)
|
|
$4,585
|
|
Comprehensive income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net income (loss)
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
2,706
|
|
—
|
|
—
|
|
2,706
|
|
||||||||
Other comprehensive income (loss), net of taxes
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(147
|
)
|
—
|
|
(147
|
)
|
||||||||
Comprehensive income (loss)
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
2,706
|
|
(147
|
)
|
—
|
|
2,559
|
|
||||||||
Senior preferred stock dividends paid
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(1,585
|
)
|
—
|
|
—
|
|
(1,585
|
)
|
||||||||
Ending balance at September 30, 2018
|
|
1
|
|
464
|
|
650
|
|
|
$72,648
|
|
|
$14,109
|
|
|
$—
|
|
|
$—
|
|
|
($76,800
|
)
|
|
($513
|
)
|
|
($3,885
|
)
|
|
$5,559
|
|
|
|
Shares Outstanding
|
Senior
Preferred
Stock
|
Preferred
Stock, at
Redemption
Value
|
Common
Stock, at
Par Value
|
Additional
Paid-In
Capital
|
Retained
Earnings
(Accumulated
Deficit)
|
AOCI,
Net of
Tax
|
Treasury
Stock, at
Cost
|
Total
Equity
|
|||||||||||||||||||||
(In millions)
|
|
Senior
Preferred
Stock
|
Preferred
Stock
|
Common
Stock
|
|||||||||||||||||||||||||||
Balance at December 31, 2018
|
|
1
|
|
464
|
|
650
|
|
|
$72,648
|
|
|
$14,109
|
|
|
$—
|
|
|
$—
|
|
|
($78,260
|
)
|
|
($135
|
)
|
|
($3,885
|
)
|
|
$4,477
|
|
Comprehensive income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net income (loss)
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
4,622
|
|
—
|
|
—
|
|
4,622
|
|
||||||||
Other comprehensive income (loss), net of taxes
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
717
|
|
—
|
|
717
|
|
||||||||
Comprehensive income (loss)
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
4,622
|
|
717
|
|
—
|
|
5,339
|
|
||||||||
Senior preferred stock dividends paid
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(3,142
|
)
|
—
|
|
—
|
|
(3,142
|
)
|
||||||||
Ending balance at September 30, 2019
|
|
1
|
|
464
|
|
650
|
|
|
$72,648
|
|
|
$14,109
|
|
|
$—
|
|
|
$—
|
|
|
($76,780
|
)
|
|
$582
|
|
|
($3,885
|
)
|
|
$6,674
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Balance at December 31, 2017
|
|
1
|
|
464
|
|
650
|
|
|
$72,336
|
|
|
$14,109
|
|
|
$—
|
|
|
$—
|
|
|
($83,261
|
)
|
|
$389
|
|
|
($3,885
|
)
|
|
($312
|
)
|
Comprehensive income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Net income (loss)
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
8,135
|
|
—
|
|
—
|
|
8,135
|
|
||||||||
Other comprehensive income (loss), net of taxes
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(991
|
)
|
—
|
|
(991
|
)
|
||||||||
Comprehensive income (loss)
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
8,135
|
|
(991
|
)
|
—
|
|
7,144
|
|
||||||||
Cumulative effect of change in accounting principle
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(89
|
)
|
89
|
|
—
|
|
—
|
|
||||||||
Increase in liquidation preference
|
|
—
|
|
—
|
|
—
|
|
312
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
312
|
|
||||||||
Senior preferred stock dividends paid
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(1,585
|
)
|
—
|
|
—
|
|
(1,585
|
)
|
||||||||
Ending balance at September 30, 2018
|
|
1
|
|
464
|
|
650
|
|
|
$72,648
|
|
|
$14,109
|
|
|
$—
|
|
|
$—
|
|
|
($76,800
|
)
|
|
($513
|
)
|
|
($3,885
|
)
|
|
$5,559
|
|
Freddie Mac Form 10-Q
|
|
57
|
Financial Statements
|
Condensed Consolidated Statements of Cash Flows
|
(In millions)
|
|
YTD 2019
|
YTD 2018
|
||||
Net cash provided by (used in) operating activities
|
|
|
$3,404
|
|
|
$2,895
|
|
Cash flows from investing activities
|
|
|
|
||||
Purchases of trading securities
|
|
(76,091
|
)
|
(101,700
|
)
|
||
Proceeds from sales of trading securities
|
|
61,398
|
|
94,934
|
|
||
Proceeds from maturities and repayments of trading securities
|
|
10,733
|
|
5,276
|
|
||
Purchases of available-for-sale securities
|
|
(6,440
|
)
|
(14,308
|
)
|
||
Proceeds from sales of available-for-sale securities
|
|
9,407
|
|
16,976
|
|
||
Proceeds from maturities and repayments of available-for-sale securities
|
|
3,201
|
|
4,740
|
|
||
Purchases of held-for-investment mortgage loans
|
|
(154,441
|
)
|
(113,083
|
)
|
||
Proceeds from sales of mortgage loans held-for-investment
|
|
11,063
|
|
7,121
|
|
||
Repayments of mortgage loans held-for-investment
|
|
232,374
|
|
190,264
|
|
||
Advances under secured lending arrangements
|
|
(34,627
|
)
|
(19,407
|
)
|
||
Repayments of secured lending arrangements
|
|
1,022
|
|
—
|
|
||
Net proceeds from dispositions of real estate owned and other recoveries
|
|
891
|
|
1,054
|
|
||
Net (increase) decrease in securities purchased under agreements to resell
|
|
(16,416
|
)
|
7,363
|
|
||
Derivative premiums and terminations, swap collateral, and exchange settlement payments, net
|
|
(10,536
|
)
|
5,418
|
|
||
Other, net
|
|
(424
|
)
|
(321
|
)
|
||
Net cash provided by (used in) investing activities
|
|
31,114
|
|
84,327
|
|
||
Cash flows from financing activities
|
|
|
|
||||
Proceeds from issuance of debt securities of consolidated trusts held by third parties
|
|
178,248
|
|
158,825
|
|
||
Repayments and redemptions of debt securities of consolidated trusts held by third parties
|
|
(234,410
|
)
|
(211,729
|
)
|
||
Proceeds from issuance of other debt
|
|
631,628
|
|
444,809
|
|
||
Repayments of other debt
|
|
(605,323
|
)
|
(480,625
|
)
|
||
Increase in liquidation preference of senior preferred stock
|
|
—
|
|
312
|
|
||
Payment of cash dividends on senior preferred stock
|
|
(3,142
|
)
|
(1,585
|
)
|
||
Other, net
|
|
(84
|
)
|
(2
|
)
|
||
Net cash provided by (used in) financing activities
|
|
(33,083
|
)
|
(89,995
|
)
|
||
Net increase (decrease) in cash and cash equivalents (includes restricted cash and cash equivalents)
|
|
1,435
|
|
(2,773
|
)
|
||
Cash and cash equivalents (includes restricted cash and cash equivalents) at beginning of year
|
|
7,273
|
|
9,811
|
|
||
Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period
|
|
|
$8,708
|
|
|
$7,038
|
|
|
|
|
|
||||
Supplemental cash flow information
|
|
|
|
||||
Cash paid for:
|
|
|
|
||||
Debt interest
|
|
|
$52,720
|
|
|
$48,915
|
|
Income taxes
|
|
306
|
|
2,125
|
|
||
Non-cash investing and financing activities (Note 4)
|
|
|
|
Freddie Mac Form 10-Q
|
|
58
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 1
|
Freddie Mac Form 10-Q
|
|
59
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 1
|
Recently Adopted Accounting Guidance
|
|||
Standard
|
Description
|
Date of Adoption
|
Effect on Condensed Consolidated Financial Statements
|
ASU 2016-02, Leases (Topic 842)
|
The amendment in this Update addresses the accounting for lease arrangements.
|
January 1, 2019
|
The adoption of the amendment did not have a material effect on our condensed consolidated financial statements or on our disclosures.
|
ASU 2018-16, Derivatives and Hedging (Topic 815): Inclusion of the Secured Overnight Financing Rate (SOFR) Overnight Index Swap (OIS) Rate as a Benchmark Interest Rate for Hedge Accounting Purposes
|
The amendments in this Update permit the OIS rate based on SOFR, as an eligible U.S. benchmark interest rate for purposes of applying hedge accounting under Topic 815.
|
January 1, 2019
|
The adoption of the amendment did not have a material effect on our condensed consolidated financial statements or on our disclosures.
|
ASU 2018-20, Leases (Topic 842): Narrow-Scope Improvements for Lessors
|
The amendments in this Update address certain ASU 2016-02 implementation issues including the recognition of taxes collected from lessees, lessor costs paid directly by a lessee, and recognition of variable payments for contracts with lease and non-lease components.
|
January 1, 2019
|
The adoption of the amendments did not have a material effect on our condensed consolidated financial statements or on our disclosures.
|
Freddie Mac Form 10-Q
|
|
60
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 1
|
Recently Issued Accounting Guidance, Not Yet Adopted Within Our Condensed Consolidated Financial Statements
|
|||
Standard
|
Description
|
Date of Planned Adoption
|
Effect on 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
|
We have developed our models to estimate lifetime expected credit losses on our financial instruments measured at amortized cost primarily using a discounted cash flow methodology. We are using these models to execute our process for estimating the allowance for credit losses under the new standard in parallel with our existing process for estimating the allowance for credit losses under current GAAP and are developing an appropriate governance process for our estimate of expected credit losses under the new standard. The amendments will be applied through a cumulative effect adjustment to retained earnings as of the beginning of the year of adoption.
While we continue to evaluate the effect that ASU 2016-13, Financial Instruments - Credit Losses, and related amendments will have on our consolidated financial statements, we expect the transition impact to result in an immaterial change in retained earnings. The increase in the allowance for credit losses from incorporating lifetime losses is generally offset by recoveries and a positive impact from including forecasts of economic conditions.
The actual impact at adoption will depend upon the nature and characteristics of the portfolio at the adoption date, as well as macroeconomic conditions and forecasts at that time.
|
ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement
|
The amendments in this Update modify the disclosure requirements on fair value measurements in Topic 820, Fair Value Measurements, based on the concepts in the Concepts Statement, including the consideration of costs and benefits. Certain disclosure requirements were either removed, modified, or added.
|
January 1, 2020
|
On October 1, 2018, we early adopted the amendments to remove or modify certain disclosures, which did not have a material effect on our consolidated financial statements. We are delaying adoption of the amendments to add certain disclosures until their effective date. We do not expect that the adoption of the additional disclosures will have a material effect on our consolidated financial statements.
|
ASU 2018-15, Intangibles - Goodwill and Other - Internal-Use Software (Subtopic 350-40): Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement That Is a Service Contract
|
The amendments in this Update align the requirements for capitalizing implementation costs incurred in a hosting arrangement that is a service contract with the requirements for capitalizing implementation costs incurred to develop or obtain internal-use software (and hosting arrangements that include an internal-use software license).
|
January 1, 2020
|
We do not expect that the adoption of these amendments will have a material effect on our consolidated financial statements.
|
ASU 2018-17, Consolidation (Topic 810): Targeted Improvements to Related Party Guidance for Variable Interest Entities
|
The amendments in this Update require that indirect interests held through related parties under common control be considered on a proportional basis when determining whether fees paid to decision makers or service providers are variable interests. These amendments align with the determination of whether a reporting entity within a related party group is the primary beneficiary of a VIE.
|
January 1, 2020
|
We do not expect that the adoption of these amendments will have a material effect on our consolidated financial statements.
|
Freddie Mac Form 10-Q
|
|
61
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 1
|
Recently Issued Accounting Guidance, Not Yet Adopted Within Our Condensed Consolidated Financial Statements
|
|||
Standard
|
Description
|
Date of Planned Adoption
|
Effect on Consolidated Financial Statements
|
ASU 2019-01, Leases (Topic 842): Narrow-Scope Improvements for Lessors
|
The amendments in this Update provide guidance for the: (1) lessor's fair value determination of the lease's underlying asset; (2) lessor's statement of cash flows presentation of cash received from sales-type and direct financing leases; and (3) removal of interim transition disclosure requirements related to changes in accounting principles.
|
January 1, 2020
|
We do not expect that the adoption of these amendments will have a material effect on our consolidated financial statements.
|
ASU 2019-04, Codification Improvements to Financial Instruments - Credit Losses (Topic 326), Derivatives and Hedging (Topic 815), and Financial Instruments (Topic 825)
|
The amendments in this Update clarify certain aspects of Topic 326 guidance issued in ASU 2016-13 including the scope of the credit losses standard and issues related to accrued interest receivable balances, recoveries, variable interest rates and prepayments. The other amendments in this update clarify certain aspects of Topic 815 and Topic 825.
|
January 1, 2020
|
We are assessing the impact of adopting the Topic 326 amendments as part of our assessment of the adoption impact of ASU 2016-13, Financial Instruments-Credit Losses. We do not expect that the adoption of the Topic 815 and Topic 825 amendments will have a material effect on our consolidated financial statements.
|
ASU 2019-05, Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments
|
The amendments in this Update provides entities with transition relief upon the adoption of ASU 2016-13 by providing an option to elect fair value option on certain financial instruments measured at amortized cost.
|
January 1, 2020
|
We do not expect that the adoption of these amendments will have a material effect on our consolidated financial statements.
|
Freddie Mac Form 10-Q
|
|
62
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 2
|
n
|
Keeping us solvent;
|
n
|
Allowing us to focus on our primary business objectives under conservatorship; and
|
n
|
Avoiding the appointment of a receiver by FHFA under statutory mandatory receivership provisions.
|
Freddie Mac Form 10-Q
|
|
63
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 2
|
Freddie Mac Form 10-Q
|
|
64
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 3
|
(In millions)
|
|
As of September 30, 2019
|
As of December 31, 2018
|
||||
Condensed Consolidated Balance Sheet Line Item
|
|
|
|
||||
Assets:
|
|
|
|
||||
Cash and cash equivalents (includes $3,494 and $566 of restricted cash and cash equivalents)
|
|
|
$3,495
|
|
|
$567
|
|
Securities purchased under agreements to resell
|
|
21,400
|
|
12,125
|
|
||
Investments in securities, at fair value
|
|
766
|
|
—
|
|
||
Mortgage loans held-for-investment
|
|
1,905,633
|
|
1,842,850
|
|
||
Accrued interest receivable
|
|
6,109
|
|
5,914
|
|
||
Other assets
|
|
12,093
|
|
1,631
|
|
||
Total assets of consolidated VIEs
|
|
|
$1,949,496
|
|
|
$1,863,087
|
|
Liabilities:
|
|
|
|
||||
Accrued interest payable
|
|
|
$5,519
|
|
|
$5,335
|
|
Debt, net
|
|
1,869,308
|
|
1,792,677
|
|
||
Total liabilities of consolidated VIEs
|
|
|
$1,874,827
|
|
|
$1,798,012
|
|
Freddie Mac Form 10-Q
|
|
65
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 3
|
(In millions)
|
|
As of September 30, 2019
|
As of December 31, 2018
|
||||
Assets and Liabilities Recorded on our Condensed Consolidated Balance Sheets(1)
|
|
|
|
||||
Assets:
|
|
|
|
||||
Investments in securities, at fair value
|
|
|
$39,091
|
|
|
$44,020
|
|
Accrued interest receivable
|
|
214
|
|
235
|
|
||
Derivative assets, net
|
|
12
|
|
1
|
|
||
Other assets
|
|
3,737
|
|
3,119
|
|
||
Liabilities:
|
|
|
|
||||
Derivative liabilities, net
|
|
89
|
|
88
|
|
||
Other liabilities
|
|
3,511
|
|
3,049
|
|
||
Maximum Exposure to Loss
|
|
268,269
|
|
241,055
|
|
||
Total Assets of Non-Consolidated VIEs
|
|
320,221
|
|
284,724
|
|
(1)
|
Includes our variable interests in REMICs and Strips, commingled Supers, K Certificates, SB Certificates, certain senior subordinate securitization structures, other securitization products, and other risk transfer securitizations that we do not consolidate.
|
Freddie Mac Form 10-Q
|
|
66
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||||||
(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
|
|
|
$17,249
|
|
|
$—
|
|
|
$17,249
|
|
|
|
$20,946
|
|
|
$—
|
|
|
$20,946
|
|
Multifamily
|
|
25,397
|
|
—
|
|
25,397
|
|
|
23,959
|
|
—
|
|
23,959
|
|
||||||
Total UPB
|
|
42,646
|
|
—
|
|
42,646
|
|
|
44,905
|
|
—
|
|
44,905
|
|
||||||
Cost basis and fair value adjustments, net
|
|
(1,528
|
)
|
—
|
|
(1,528
|
)
|
|
(3,283
|
)
|
—
|
|
(3,283
|
)
|
||||||
Total held-for-sale loans, net
|
|
41,118
|
|
—
|
|
41,118
|
|
|
41,622
|
|
—
|
|
41,622
|
|
||||||
Held-for-investment:
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family
|
|
41,886
|
|
1,867,906
|
|
1,909,792
|
|
|
35,885
|
|
1,814,008
|
|
1,849,893
|
|
||||||
Multifamily
|
|
11,291
|
|
5,591
|
|
16,882
|
|
|
10,828
|
|
4,220
|
|
15,048
|
|
||||||
Total UPB
|
|
53,177
|
|
1,873,497
|
|
1,926,674
|
|
|
46,713
|
|
1,818,228
|
|
1,864,941
|
|
||||||
Cost basis adjustments
|
|
(421
|
)
|
34,973
|
|
34,552
|
|
|
(1,198
|
)
|
27,752
|
|
26,554
|
|
||||||
Allowance for loan losses
|
|
(2,017
|
)
|
(2,837
|
)
|
(4,854
|
)
|
|
(3,009
|
)
|
(3,130
|
)
|
(6,139
|
)
|
||||||
Total held-for-investment loans, net
|
|
50,739
|
|
1,905,633
|
|
1,956,372
|
|
|
42,506
|
|
1,842,850
|
|
1,885,356
|
|
||||||
Total mortgage loans, net
|
|
|
$91,857
|
|
|
$1,905,633
|
|
|
$1,997,490
|
|
|
|
$84,128
|
|
|
$1,842,850
|
|
|
$1,926,978
|
|
(In billions)
|
|
3Q 2019
|
3Q 2018
|
YTD 2019
|
YTD 2018
|
||||||||
Single-family:
|
|
|
|
|
|
||||||||
Purchases
|
|
|
|
|
|
||||||||
Held-for-investment loans
|
|
|
$133.8
|
|
|
$81.6
|
|
|
$305.0
|
|
|
$231.5
|
|
Reclassified from held-for-investment to held-for-sale (1)
|
|
3.0
|
|
13.3
|
|
8.1
|
|
17.6
|
|
||||
Sale of held-for-sale loans(2)
|
|
3.7
|
|
2.3
|
|
9.4
|
|
6.5
|
|
||||
Multifamily:
|
|
|
|
|
|
||||||||
Purchases
|
|
|
|
|
|
||||||||
Held-for-investment loans
|
|
4.4
|
|
0.9
|
|
6.8
|
|
2.6
|
|
||||
Held-for-sale loans
|
|
23.1
|
|
16.3
|
|
50.6
|
|
42.5
|
|
||||
Reclassified from held-for-investment to held-for-sale (1)
|
|
0.4
|
|
0.2
|
|
1.2
|
|
0.7
|
|
||||
Sale of held-for-sale loans (3)
|
|
19.7
|
|
14.4
|
|
49.5
|
|
44.8
|
|
(1)
|
We reclassify loans from held-for-investment to held-for-sale when we no longer have the intent or ability to hold for the foreseeable future. For additional information regarding the fair value of our loans classified as held-for-sale, see Note 15.
|
(2)
|
Our sales of single-family loans reflect the sale of seasoned single-family mortgage loans. The sale of seasoned single-family mortgage loans is part of our strategy to mitigate and reduce our holdings of less liquid assets.
|
(3)
|
Our sales of multifamily loans occur primarily through the issuance of multifamily K Certificates and SB Certificates.
|
Freddie Mac Form 10-Q
|
|
67
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||||||||||||
|
|
Current LTV Ratio
|
Total
|
|
Current LTV Ratio
|
Total
|
||||||||||||||||||||
(In millions)
|
|
≤ 80
|
> 80 to 100
|
> 100(1)
|
|
≤ 80
|
> 80 to 100
|
> 100(1)
|
||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate
|
|
|
$1,388,311
|
|
|
$255,880
|
|
|
$4,689
|
|
|
$1,648,880
|
|
|
|
$1,336,310
|
|
|
$214,703
|
|
|
$6,654
|
|
|
$1,557,667
|
|
15-year amortizing fixed-rate
|
|
235,185
|
|
5,604
|
|
103
|
|
240,892
|
|
|
251,152
|
|
4,522
|
|
157
|
|
255,831
|
|
||||||||
Adjustable-rate
|
|
37,659
|
|
1,660
|
|
6
|
|
39,325
|
|
|
42,117
|
|
1,883
|
|
7
|
|
44,007
|
|
||||||||
Alt-A, interest-only, and option ARM
|
|
13,743
|
|
1,198
|
|
289
|
|
15,230
|
|
|
16,498
|
|
1,903
|
|
559
|
|
18,960
|
|
||||||||
Total single-family loans
|
|
|
$1,674,898
|
|
|
$264,342
|
|
|
$5,087
|
|
|
$1,944,327
|
|
|
|
$1,646,077
|
|
|
$223,011
|
|
|
$7,377
|
|
|
$1,876,465
|
|
(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 5.18% and 7.24% as of September 30, 2019 and December 31, 2018, respectively.
|
n
|
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
|
n
|
Loans within the option ARM category continue to be presented in that category following modification, even though the modified loan no longer provides for optional payment provisions.
|
(In millions)
|
|
September 30, 2019
|
December 31, 2018
|
||||
Credit risk profile by internally assigned grade:(1)
|
|
|
|
||||
Pass
|
|
|
$16,684
|
|
|
$14,648
|
|
Special mention
|
|
66
|
|
201
|
|
||
Substandard
|
|
149
|
|
181
|
|
||
Doubtful
|
|
—
|
|
—
|
|
||
Total
|
|
|
$16,899
|
|
|
$15,030
|
|
(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 administrative issues that may affect future repayment prospects but does not have current credit weaknesses; "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
|
|
68
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
|
|
September 30, 2019
|
|||||||||||||||||
(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
|
|
|
$1,624,964
|
|
|
$14,846
|
|
|
$3,495
|
|
|
$5,575
|
|
|
$1,648,880
|
|
|
$5,573
|
|
15-year amortizing fixed-rate
|
|
239,460
|
|
1,025
|
|
170
|
|
237
|
|
240,892
|
|
237
|
|
||||||
Adjustable-rate
|
|
38,928
|
|
249
|
|
53
|
|
95
|
|
39,325
|
|
95
|
|
||||||
Alt-A, interest-only, and option ARM
|
|
13,855
|
|
608
|
|
228
|
|
539
|
|
15,230
|
|
538
|
|
||||||
Total single-family
|
|
1,917,207
|
|
16,728
|
|
3,946
|
|
6,446
|
|
1,944,327
|
|
6,443
|
|
||||||
Total multifamily
|
|
16,896
|
|
3
|
|
—
|
|
—
|
|
16,899
|
|
13
|
|
||||||
Total single-family and multifamily
|
|
|
$1,934,103
|
|
|
$16,731
|
|
|
$3,946
|
|
|
$6,446
|
|
|
$1,961,226
|
|
|
$6,456
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
December 31, 2018
|
|||||||||||||||||
(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
|
|
|
$1,532,499
|
|
|
$14,683
|
|
|
$3,602
|
|
|
$6,883
|
|
|
$1,557,667
|
|
|
$6,881
|
|
15-year amortizing fixed-rate
|
|
254,376
|
|
1,021
|
|
171
|
|
263
|
|
255,831
|
|
263
|
|
||||||
Adjustable-rate
|
|
43,549
|
|
287
|
|
58
|
|
113
|
|
44,007
|
|
113
|
|
||||||
Alt-A, interest-only, and option ARM
|
|
16,975
|
|
793
|
|
327
|
|
865
|
|
18,960
|
|
864
|
|
||||||
Total single-family
|
|
1,847,399
|
|
16,784
|
|
4,158
|
|
8,124
|
|
1,876,465
|
|
8,121
|
|
||||||
Total multifamily
|
|
15,030
|
|
—
|
|
—
|
|
—
|
|
15,030
|
|
17
|
|
||||||
Total single-family and multifamily
|
|
|
$1,862,429
|
|
|
$16,784
|
|
|
$4,158
|
|
|
$8,124
|
|
|
$1,891,495
|
|
|
$8,138
|
|
(1)
|
Includes $1.9 billion and $2.9 billion of single-family loans that were in the process of foreclosure as of September 30, 2019 and December 31, 2018, respectively.
|
Freddie Mac Form 10-Q
|
|
69
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
(Dollars in millions)
|
|
September 30, 2019
|
December 31, 2018
|
||||
Single-family:
|
|
|
|
||||
Non-credit-enhanced portfolio
|
|
|
|
||||
Serious delinquency rate
|
|
0.72
|
%
|
0.83
|
%
|
||
Total number of seriously delinquent loans
|
|
42,758
|
|
51,197
|
|
||
Credit-enhanced portfolio:(1)
|
|
|
|
||||
Primary mortgage insurance:
|
|
|
|
||||
Serious delinquency rate
|
|
0.76
|
%
|
0.86
|
%
|
||
Total number of seriously delinquent loans
|
|
14,358
|
|
15,287
|
|
||
Other credit protection:(2)
|
|
|
|
||||
Serious delinquency rate
|
|
0.34
|
%
|
0.31
|
%
|
||
Total number of seriously delinquent loans
|
|
15,736
|
|
12,920
|
|
||
Total single-family:
|
|
|
|
||||
Serious delinquency rate
|
|
0.61
|
%
|
0.69
|
%
|
||
Total number of seriously delinquent loans
|
|
67,991
|
|
75,649
|
|
||
Multifamily: (3)
|
|
|
|
||||
Non-credit-enhanced portfolio:
|
|
|
|
||||
Delinquency rate
|
|
0.01
|
%
|
—
|
%
|
||
UPB of delinquent loans
|
|
|
$3
|
|
|
$2
|
|
Credit-enhanced portfolio:
|
|
|
|
||||
Delinquency rate
|
|
0.04
|
%
|
0.01
|
%
|
||
UPB of delinquent loans
|
|
|
$103
|
|
|
$28
|
|
Total multifamily:
|
|
|
|
||||
Delinquency rate
|
|
0.04
|
%
|
0.01
|
%
|
||
UPB of delinquent loans
|
|
|
$106
|
|
|
$30
|
|
(1)
|
The credit-enhanced categories are not mutually exclusive, as a single loan may be covered by both primary mortgage insurance and other credit protection.
|
(2)
|
Consists of single-family loans covered by financial arrangements (other than primary mortgage insurance) that are designed to reduce our credit risk exposure. See Note 6 for additional information on our credit enhancements.
|
(3)
|
Multifamily delinquency performance is based on the UPB of loans that are two monthly payments or more past due or those in the process of foreclosure.
|
n
|
Our allowance for loan losses, which pertains to all single-family and multifamily loans classified as held-for-investment on our condensed consolidated balance sheets and
|
n
|
Our reserve for guarantee losses, which pertains to single-family and multifamily loans underlying our senior subordinate securitization structures (non-consolidated), other securitization products, and other mortgage-related guarantees.
|
Freddie Mac Form 10-Q
|
|
70
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
|
|
3Q 2019
|
|
3Q 2018
|
||||||||||||||||||||||
|
|
Allowance for Loan Losses
|
Reserve for
Guarantee Losses |
Total
|
|
Allowance for Loan Losses
|
Reserve for
Guarantee Losses |
Total
|
||||||||||||||||||
(In millions)
|
|
Held by Freddie Mac
|
Held By
Consolidated Trusts |
|
Held by Freddie Mac
|
Held By
Consolidated Trusts |
||||||||||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Beginning balance
|
|
|
$2,238
|
|
|
$3,042
|
|
|
$46
|
|
|
$5,326
|
|
|
|
$4,887
|
|
|
$3,497
|
|
|
$49
|
|
|
$8,433
|
|
Provision (benefit) for credit losses
|
|
(84
|
)
|
(97
|
)
|
1
|
|
(180
|
)
|
|
(522
|
)
|
143
|
|
1
|
|
(378
|
)
|
||||||||
Charge-offs
|
|
(394
|
)
|
(12
|
)
|
(1
|
)
|
(407
|
)
|
|
(1,262
|
)
|
(13
|
)
|
(2
|
)
|
(1,277
|
)
|
||||||||
Recoveries
|
|
104
|
|
3
|
|
—
|
|
107
|
|
|
117
|
|
2
|
|
—
|
|
119
|
|
||||||||
Transfers, net (1)
|
|
103
|
|
(103
|
)
|
—
|
|
—
|
|
|
306
|
|
(306
|
)
|
—
|
|
—
|
|
||||||||
Other (2)
|
|
41
|
|
—
|
|
—
|
|
41
|
|
|
76
|
|
11
|
|
—
|
|
87
|
|
||||||||
Single-family ending balance
|
|
2,008
|
|
2,833
|
|
46
|
|
4,887
|
|
|
3,602
|
|
3,334
|
|
48
|
|
6,984
|
|
||||||||
Multifamily ending balance
|
|
9
|
|
4
|
|
5
|
|
18
|
|
|
8
|
|
2
|
|
8
|
|
18
|
|
||||||||
Total ending balance
|
|
|
$2,017
|
|
|
$2,837
|
|
|
$51
|
|
|
$4,905
|
|
|
|
$3,610
|
|
|
$3,336
|
|
|
$56
|
|
|
$7,002
|
|
|
|
YTD 2019
|
|
YTD 2018
|
||||||||||||||||||||||
|
|
Allowance for Loan Losses
|
Reserve for
Guarantee Losses |
Total
|
|
Allowance for Loan Losses
|
Reserve for
Guarantee Losses |
Total
|
||||||||||||||||||
(In millions)
|
|
Held by Freddie Mac
|
Held By
Consolidated Trusts |
|
Held by Freddie Mac
|
Held By
Consolidated Trusts |
||||||||||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Beginning balance
|
|
|
$3,003
|
|
|
$3,127
|
|
|
$46
|
|
|
$6,176
|
|
|
|
$5,251
|
|
|
$3,680
|
|
|
$48
|
|
|
$8,979
|
|
Provision (benefit) for credit losses
|
|
(509
|
)
|
29
|
|
3
|
|
(477
|
)
|
|
(629
|
)
|
266
|
|
6
|
|
(357
|
)
|
||||||||
Charge-offs
|
|
(1,208
|
)
|
(45
|
)
|
(3
|
)
|
(1,256
|
)
|
|
(2,198
|
)
|
(44
|
)
|
(6
|
)
|
(2,248
|
)
|
||||||||
Recoveries
|
|
331
|
|
10
|
|
—
|
|
341
|
|
|
336
|
|
5
|
|
—
|
|
341
|
|
||||||||
Transfers, net (1)
|
|
291
|
|
(291
|
)
|
—
|
|
—
|
|
|
597
|
|
(597
|
)
|
—
|
|
—
|
|
||||||||
Other (2)
|
|
100
|
|
3
|
|
—
|
|
103
|
|
|
245
|
|
24
|
|
—
|
|
269
|
|
||||||||
Single-family ending balance
|
|
2,008
|
|
2,833
|
|
46
|
|
4,887
|
|
|
3,602
|
|
3,334
|
|
48
|
|
6,984
|
|
||||||||
Multifamily ending balance
|
|
9
|
|
4
|
|
5
|
|
18
|
|
|
8
|
|
2
|
|
8
|
|
18
|
|
||||||||
Total ending balance
|
|
|
$2,017
|
|
|
$2,837
|
|
|
$51
|
|
|
$4,905
|
|
|
|
$3,610
|
|
|
$3,336
|
|
|
$56
|
|
|
$7,002
|
|
(1)
|
Relates to removal of delinquent loans from consolidated trusts and resecuritization after such removal.
|
(2)
|
Primarily includes capitalization of past due interest on modified loans.
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||||||
(In millions)
|
|
Single-family
|
Multifamily
|
Total
|
|
Single-family
|
Multifamily
|
Total
|
||||||||||||
Recorded investment:
|
|
|
|
|
|
|
|
|
||||||||||||
Collectively evaluated
|
|
|
$1,904,203
|
|
|
$16,818
|
|
|
$1,921,021
|
|
|
|
$1,830,044
|
|
|
$14,945
|
|
|
$1,844,989
|
|
Individually evaluated
|
|
40,124
|
|
81
|
|
40,205
|
|
|
46,421
|
|
85
|
|
46,506
|
|
||||||
Total recorded investment
|
|
1,944,327
|
|
16,899
|
|
1,961,226
|
|
|
1,876,465
|
|
15,030
|
|
1,891,495
|
|
||||||
Ending balance of the allowance for loan losses:
|
|
|
|
|
|
|
|
|
||||||||||||
Collectively evaluated
|
|
(1,515
|
)
|
(13
|
)
|
(1,528
|
)
|
|
(1,761
|
)
|
(9
|
)
|
(1,770
|
)
|
||||||
Individually evaluated
|
|
(3,326
|
)
|
—
|
|
(3,326
|
)
|
|
(4,369
|
)
|
—
|
|
(4,369
|
)
|
||||||
Total ending balance of the allowance
|
|
(4,841
|
)
|
(13
|
)
|
(4,854
|
)
|
|
(6,130
|
)
|
(9
|
)
|
(6,139
|
)
|
||||||
Net investment in loans
|
|
|
$1,939,486
|
|
|
$16,886
|
|
|
$1,956,372
|
|
|
|
$1,870,335
|
|
|
$15,021
|
|
|
$1,885,356
|
|
Freddie Mac Form 10-Q
|
|
71
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||||||
(In millions)
|
|
UPB
|
Recorded
Investment
|
Associated
Allowance
|
|
UPB
|
Recorded Investment
|
Associated
Allowance |
||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
||||||||||||
With no allowance recorded: (1)
|
|
|
|
|
|
|
|
|
||||||||||||
20- and 30-year or more, amortizing fixed-rate
|
|
|
$3,008
|
|
|
$2,390
|
|
N/A
|
|
|
|
$3,335
|
|
|
$2,666
|
|
N/A
|
|
||
15-year amortizing fixed-rate
|
|
20
|
|
20
|
|
N/A
|
|
|
23
|
|
22
|
|
N/A
|
|
||||||
Adjustable-rate
|
|
183
|
|
182
|
|
N/A
|
|
|
227
|
|
226
|
|
N/A
|
|
||||||
Alt-A, interest-only, and option ARM
|
|
1,004
|
|
853
|
|
N/A
|
|
|
1,286
|
|
1,083
|
|
N/A
|
|
||||||
Total with no allowance recorded
|
|
4,215
|
|
3,445
|
|
N/A
|
|
|
4,871
|
|
3,997
|
|
N/A
|
|
||||||
With an allowance recorded: (2)
|
|
|
|
|
|
|
|
|
||||||||||||
20- and 30-year or more, amortizing fixed-rate
|
|
32,441
|
|
32,118
|
|
|
($2,784
|
)
|
|
37,579
|
|
36,959
|
|
|
($3,660
|
)
|
||||
15-year amortizing fixed-rate
|
|
641
|
|
650
|
|
(14
|
)
|
|
703
|
|
713
|
|
(19
|
)
|
||||||
Adjustable-rate
|
|
133
|
|
132
|
|
(7
|
)
|
|
164
|
|
162
|
|
(8
|
)
|
||||||
Alt-A, interest-only, and option ARM
|
|
3,962
|
|
3,779
|
|
(521
|
)
|
|
4,867
|
|
4,590
|
|
(682
|
)
|
||||||
Total with an allowance recorded
|
|
37,177
|
|
36,679
|
|
(3,326
|
)
|
|
43,313
|
|
42,424
|
|
(4,369
|
)
|
||||||
Combined single-family:
|
|
|
|
|
|
|
|
|
||||||||||||
20- and 30-year or more, amortizing fixed-rate
|
|
35,449
|
|
34,508
|
|
(2,784
|
)
|
|
40,914
|
|
39,625
|
|
(3,660
|
)
|
||||||
15-year amortizing fixed-rate
|
|
661
|
|
670
|
|
(14
|
)
|
|
726
|
|
735
|
|
(19
|
)
|
||||||
Adjustable-rate
|
|
316
|
|
314
|
|
(7
|
)
|
|
391
|
|
388
|
|
(8
|
)
|
||||||
Alt-A, interest-only, and option ARM
|
|
4,966
|
|
4,632
|
|
(521
|
)
|
|
6,153
|
|
5,673
|
|
(682
|
)
|
||||||
Total single-family
|
|
41,392
|
|
40,124
|
|
(3,326
|
)
|
|
48,184
|
|
46,421
|
|
(4,369
|
)
|
||||||
Multifamily:
|
|
|
|
|
|
|
|
|
||||||||||||
With no allowance recorded (1)
|
|
87
|
|
81
|
|
N/A
|
|
|
89
|
|
82
|
|
N/A
|
|
||||||
With an allowance recorded
|
|
—
|
|
—
|
|
—
|
|
|
3
|
|
3
|
|
—
|
|
||||||
Total multifamily
|
|
87
|
|
81
|
|
—
|
|
|
92
|
|
85
|
|
—
|
|
||||||
Total single-family and multifamily
|
|
|
$41,479
|
|
|
$40,205
|
|
|
($3,326
|
)
|
|
|
$48,276
|
|
|
$46,506
|
|
|
($4,369
|
)
|
Freddie Mac Form 10-Q
|
|
72
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
|
|
3Q 2019
|
|
3Q 2018
|
||||||||||||||||
(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 allowance recorded: (1)
|
|
|
|
|
|
|
|
|
||||||||||||
20- and 30-year or more, amortizing fixed-rate
|
|
|
$2,450
|
|
|
$59
|
|
|
$1
|
|
|
|
$3,142
|
|
|
$83
|
|
|
$3
|
|
15-year amortizing fixed-rate
|
|
19
|
|
1
|
|
—
|
|
|
20
|
|
—
|
|
—
|
|
||||||
Adjustable rate
|
|
191
|
|
3
|
|
—
|
|
|
238
|
|
3
|
|
—
|
|
||||||
Alt-A, interest-only, and option ARM
|
|
880
|
|
16
|
|
—
|
|
|
1,159
|
|
21
|
|
1
|
|
||||||
Total with no allowance recorded
|
|
3,540
|
|
79
|
|
1
|
|
|
4,559
|
|
107
|
|
4
|
|
||||||
With an allowance recorded: (2)
|
|
|
|
|
|
|
|
|
||||||||||||
20- and 30-year or more, amortizing fixed-rate
|
|
32,618
|
|
412
|
|
47
|
|
|
42,393
|
|
520
|
|
52
|
|
||||||
15-year amortizing fixed-rate
|
|
641
|
|
5
|
|
1
|
|
|
740
|
|
7
|
|
2
|
|
||||||
Adjustable rate
|
|
129
|
|
2
|
|
—
|
|
|
183
|
|
2
|
|
—
|
|
||||||
Alt-A, interest-only, and option ARM
|
|
3,866
|
|
55
|
|
9
|
|
|
5,622
|
|
72
|
|
7
|
|
||||||
Total with an allowance recorded
|
|
37,254
|
|
474
|
|
57
|
|
|
48,938
|
|
601
|
|
61
|
|
||||||
Combined single-family:
|
|
|
|
|
|
|
|
|
||||||||||||
20- and 30-year or more, amortizing fixed-rate
|
|
35,068
|
|
471
|
|
48
|
|
|
45,535
|
|
603
|
|
55
|
|
||||||
15-year amortizing fixed-rate
|
|
660
|
|
6
|
|
1
|
|
|
760
|
|
7
|
|
2
|
|
||||||
Adjustable rate
|
|
320
|
|
5
|
|
—
|
|
|
421
|
|
5
|
|
—
|
|
||||||
Alt-A, interest-only, and option ARM
|
|
4,746
|
|
71
|
|
9
|
|
|
6,781
|
|
93
|
|
8
|
|
||||||
Total single-family
|
|
40,794
|
|
553
|
|
58
|
|
|
53,497
|
|
708
|
|
65
|
|
||||||
Multifamily:
|
|
|
|
|
|
|
|
|
||||||||||||
With no allowance recorded (1)
|
|
81
|
|
1
|
|
1
|
|
|
112
|
|
2
|
|
1
|
|
||||||
With an allowance recorded
|
|
—
|
|
—
|
|
—
|
|
|
3
|
|
—
|
|
—
|
|
||||||
Total multifamily
|
|
81
|
|
1
|
|
1
|
|
|
115
|
|
2
|
|
1
|
|
||||||
Total single-family and multifamily
|
|
|
$40,875
|
|
|
$554
|
|
|
$59
|
|
|
|
$53,612
|
|
|
$710
|
|
|
$66
|
|
|
|
YTD 2019
|
|
YTD 2018
|
||||||||||||||||
(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 allowance recorded: (1)
|
|
|
|
|
|
|
|
|
||||||||||||
20- and 30-year or more, amortizing fixed-rate
|
|
|
$2,573
|
|
|
$207
|
|
|
$6
|
|
|
|
$3,399
|
|
|
$268
|
|
|
$13
|
|
15-year amortizing fixed-rate
|
|
20
|
|
1
|
|
—
|
|
|
21
|
|
3
|
|
—
|
|
||||||
Adjustable rate
|
|
209
|
|
9
|
|
—
|
|
|
255
|
|
9
|
|
—
|
|
||||||
Alt-A, interest-only, and option ARM
|
|
932
|
|
52
|
|
1
|
|
|
1,319
|
|
68
|
|
3
|
|
||||||
Total with no allowance recorded
|
|
3,734
|
|
269
|
|
7
|
|
|
4,994
|
|
348
|
|
16
|
|
||||||
With an allowance recorded: (2)
|
|
|
|
|
|
|
|
|
||||||||||||
20- and 30-year or more, amortizing fixed-rate
|
|
34,051
|
|
1,394
|
|
138
|
|
|
46,140
|
|
1,621
|
|
217
|
|
||||||
15-year amortizing fixed-rate
|
|
665
|
|
17
|
|
3
|
|
|
830
|
|
21
|
|
8
|
|
||||||
Adjustable rate
|
|
139
|
|
5
|
|
1
|
|
|
210
|
|
4
|
|
2
|
|
||||||
Alt-A, interest-only, and option ARM
|
|
4,097
|
|
180
|
|
18
|
|
|
6,357
|
|
205
|
|
24
|
|
||||||
Total with an allowance recorded
|
|
38,952
|
|
1,596
|
|
160
|
|
|
53,537
|
|
1,851
|
|
251
|
|
||||||
Combined single-family:
|
|
|
|
|
|
|
|
|
||||||||||||
20- and 30-year or more, amortizing fixed-rate
|
|
36,624
|
|
1,601
|
|
144
|
|
|
49,539
|
|
1,889
|
|
230
|
|
||||||
15-year amortizing fixed-rate
|
|
685
|
|
18
|
|
3
|
|
|
851
|
|
24
|
|
8
|
|
||||||
Adjustable rate
|
|
348
|
|
14
|
|
1
|
|
|
465
|
|
13
|
|
2
|
|
||||||
Alt-A, interest-only, and option ARM
|
|
5,029
|
|
232
|
|
19
|
|
|
7,676
|
|
273
|
|
27
|
|
||||||
Total single-family
|
|
42,686
|
|
1,865
|
|
167
|
|
|
58,531
|
|
2,199
|
|
267
|
|
||||||
Multifamily:
|
|
|
|
|
|
|
|
|
||||||||||||
With no allowance recorded (1)
|
|
83
|
|
3
|
|
1
|
|
|
132
|
|
5
|
|
2
|
|
||||||
With an allowance recorded
|
|
—
|
|
—
|
|
—
|
|
|
3
|
|
—
|
|
—
|
|
||||||
Total multifamily
|
|
83
|
|
3
|
|
1
|
|
|
135
|
|
5
|
|
2
|
|
||||||
Total single-family and multifamily
|
|
|
$42,769
|
|
|
$1,868
|
|
|
$168
|
|
|
|
$58,666
|
|
|
$2,204
|
|
|
$269
|
|
(1)
|
Individually impaired loans with no 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
|
|
73
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
|
|
3Q 2019
|
|
3Q 2018
|
|
YTD 2019
|
|
YTD 2018
|
||||||||||||||||
(Dollars in millions)
|
|
Number of
Loans |
Post-TDR
Recorded Investment |
|
Number of
Loans |
Post-TDR
Recorded Investment |
|
Number of
Loans
|
Post-TDR
Recorded
Investment
|
|
Number of
Loans
|
Post-TDR
Recorded
Investment
|
||||||||||||
Single-family: (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
20- and 30-year or more, amortizing fixed-rate
|
|
5,908
|
|
|
$998
|
|
|
7,157
|
|
|
$1,091
|
|
|
19,668
|
|
|
$3,262
|
|
|
37,847
|
|
|
$6,159
|
|
15-year amortizing fixed-rate
|
|
693
|
|
69
|
|
|
909
|
|
83
|
|
|
2,364
|
|
230
|
|
|
5,194
|
|
514
|
|
||||
Adjustable-rate
|
|
128
|
|
22
|
|
|
197
|
|
27
|
|
|
403
|
|
64
|
|
|
773
|
|
122
|
|
||||
Alt-A, interest-only, and option ARM
|
|
285
|
|
45
|
|
|
414
|
|
65
|
|
|
1,331
|
|
190
|
|
|
2,294
|
|
379
|
|
||||
Total single-family
|
|
7,014
|
|
1,134
|
|
|
8,677
|
|
1,266
|
|
|
23,766
|
|
3,746
|
|
|
46,108
|
|
7,174
|
|
||||
Multifamily
|
|
—
|
|
|
$—
|
|
|
—
|
|
|
$—
|
|
|
—
|
|
|
$—
|
|
|
1
|
|
|
$15
|
|
(1)
|
The pre-TDR recorded investment for single-family loans initially classified as TDR during 3Q 2019 and YTD 2019 was $1.1 billion and $3.7 billion, respectively, compared to $1.3 billion and $7.2 billion during 3Q 2018 and YTD 2018, respectively.
|
Freddie Mac Form 10-Q
|
|
74
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 4
|
Freddie Mac Form 10-Q
|
|
75
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 5
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||
(Dollars in millions, terms in years)
|
|
Maximum
Exposure(1) |
Recognized
Liability(2) |
Maximum
Remaining Term |
|
Maximum
Exposure(1) |
Recognized
Liability(2) |
Maximum
Remaining Term |
||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
||||||
Securitization activity guarantees
|
|
|
$24,387
|
|
|
$317
|
|
40
|
|
|
$17,783
|
|
|
$220
|
|
40
|
Other mortgage-related guarantees
|
|
7,139
|
|
180
|
|
30
|
|
6,139
|
|
167
|
|
30
|
||||
Total single-family
|
|
|
$31,526
|
|
|
$497
|
|
|
|
|
$23,922
|
|
|
$387
|
|
|
Multifamily:
|
|
|
|
|
|
|
|
|
||||||||
Securitization activity guarantees
|
|
|
$241,853
|
|
|
$3,128
|
|
40
|
|
|
$221,245
|
|
|
$2,746
|
|
40
|
Other mortgage-related guarantees
|
|
10,122
|
|
430
|
|
35
|
|
9,779
|
|
428
|
|
35
|
||||
Total multifamily
|
|
|
$251,975
|
|
|
$3,558
|
|
|
|
|
$231,024
|
|
|
$3,174
|
|
|
Other guarantees measured at fair value
|
|
|
$24,976
|
|
|
$183
|
|
30
|
|
|
$16,251
|
|
|
$242
|
|
30
|
(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 other guarantees measured at fair value, this amount represents the notional value if it relates to our market value guarantees or guarantees of third-party derivative instruments or the UPB if it relates to a guarantee of a mortgage-related asset. For certain of our other guarantees measured at fair value, our exposure may be unlimited. We generally reduce our exposure to these guarantees with unlimited exposure through separate contracts with third parties.
|
(2)
|
For securitization activity guarantees and other mortgage-related guarantees, this amount represents the guarantee obligation on our condensed consolidated balance sheets. This amount excludes our reserve for guarantee losses, which totaled $51 million and $52 million as of September 30, 2019 and December 31, 2018, respectively, and is included within other liabilities on our condensed consolidated balance sheets. For other guarantees measured at fair value, this amount represents the fair value of the contract.
|
Freddie Mac Form 10-Q
|
|
76
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 6
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||
(In millions)
|
|
Total Current and Protected UPB(1)
|
Maximum Coverage
|
|
Total Current and Protected UPB(1)
|
Maximum Coverage
|
||||||||
Single-family:
|
|
|
|
|
|
|
||||||||
Primary mortgage insurance
|
|
|
$410,999
|
|
|
$105,171
|
|
|
|
$378,594
|
|
|
$96,996
|
|
ACIS transactions(2)
|
|
869,148
|
|
10,081
|
|
|
807,885
|
|
9,123
|
|
||||
STACR Trust transactions
|
|
280,889
|
|
9,154
|
|
|
161,152
|
|
5,026
|
|
||||
Other
|
|
28,347
|
|
6,070
|
|
|
18,136
|
|
5,389
|
|
||||
Total mortgage loan credit enhancements
|
|
|
|
$130,476
|
|
|
|
|
$116,534
|
|
(1)
|
Underlying loans may be covered by more than one form of credit enhancement.
|
(2)
|
As of September 30, 2019 and December 31, 2018, our counterparties posted collateral on our ACIS transactions of $2.0 billion and $1.5 billion, respectively.
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||
(In millions)
|
|
Total Current and Protected UPB(1)
|
Maximum Coverage(2)
|
|
Total Current and Protected UPB(1)
|
Maximum Coverage(2)
|
||||||||
Single-family:
|
|
|
|
|
|
|
||||||||
Subordination (non-consolidated VIEs)
|
|
|
$22,876
|
|
|
$4,076
|
|
|
|
$16,271
|
|
|
$2,933
|
|
Other
|
|
1,129
|
|
1,129
|
|
|
1,226
|
|
1,226
|
|
||||
Total single-family
|
|
|
5,205
|
|
|
|
4,159
|
|
||||||
Multifamily:
|
|
|
|
|
|
|
|
|
||||||
Subordination (non-consolidated VIEs)
|
|
240,485
|
|
38,645
|
|
|
220,733
|
|
35,661
|
|
||||
Other
|
|
3,204
|
|
919
|
|
|
2,349
|
|
815
|
|
||||
Total multifamily
|
|
|
39,564
|
|
|
|
|
36,476
|
|
|||||
Total guarantee credit enhancements
|
|
|
|
$44,769
|
|
|
|
|
$40,635
|
|
(1)
|
Underlying loans may be covered by more than one form of credit enhancement. For subordination, total current and protected UPB includes the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities, and the UPB of guarantor advances made to the holders of the guaranteed securities.
|
(2)
|
For subordination, maximum coverage represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties. For all other credit enhancements, maximum coverage represents the remaining amount of loss recovery that is available subject to the terms of counterparty agreements.
|
Freddie Mac Form 10-Q
|
|
77
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 6
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||
(In millions)
|
|
Total Current and Protected UPB(1)
|
Maximum Coverage(2)
|
|
Total Current and Protected UPB(1)
|
Maximum Coverage(2)
|
||||||||
Single-family:
|
|
|
|
|
|
|
||||||||
STACR debt notes
|
|
|
$554,572
|
|
|
$15,962
|
|
|
|
$605,263
|
|
|
$17,596
|
|
Subordination (consolidated VIEs)
|
|
21,843
|
|
943
|
|
|
25,006
|
|
1,036
|
|
||||
Total single-family
|
|
|
16,905
|
|
|
|
18,632
|
|
||||||
Multifamily:
|
|
|
|
|
|
|
||||||||
SCR notes
|
|
2,523
|
|
126
|
|
|
2,667
|
|
133
|
|
||||
Subordination (consolidated VIEs)
|
|
2,700
|
|
280
|
|
|
2,700
|
|
280
|
|
||||
Total multifamily
|
|
|
406
|
|
|
|
413
|
|
||||||
Total debt with embedded credit enhancements
|
|
|
|
$17,311
|
|
|
|
|
$19,045
|
|
(1)
|
Underlying loans may be covered by more than one form of credit enhancement. For STACR debt notes and SCR notes, total current and protected UPB represents the UPB of the assets included in the reference pool. For subordination, total current and protected UPB represents the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities.
|
(2)
|
For STACR debt notes and SCR notes, maximum coverage amount represents the outstanding balance of the STACR debt notes and SCR notes held by third parties. For subordination, maximum coverage amount represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties.
|
Freddie Mac Form 10-Q
|
|
78
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 7
|
(In millions)
|
|
September 30, 2019
|
December 31, 2018
|
||||
Trading securities
|
|
|
$44,449
|
|
|
$35,548
|
|
Available-for-sale securities
|
|
28,533
|
|
33,563
|
|
||
Total fair value of investments in securities
|
|
|
$72,982
|
|
|
$69,111
|
|
(In millions)
|
|
September 30, 2019
|
December 31, 2018
|
||||
Mortgage-related securities:
|
|
|
|
||||
Freddie Mac
|
|
|
$12,972
|
|
|
$13,821
|
|
Other agency
|
|
7,194
|
|
2,551
|
|
||
Non-agency
|
|
1
|
|
1
|
|
||
Total mortgage-related securities
|
|
20,167
|
|
16,373
|
|
||
Non-mortgage-related securities
|
|
24,282
|
|
19,175
|
|
||
Total fair value of trading securities
|
|
|
$44,449
|
|
|
$35,548
|
|
|
|
September 30, 2019
|
||||||||||||||||
|
|
Amortized
Cost |
Gross
Unrealized Gains |
|
Gross Unrealized Losses
|
|
Fair
Value |
|||||||||||
(In millions)
|
|
|
Other-Than-Temporary Impairment(1)
|
Temporary Impairment(2)
|
|
|||||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
|
|
$25,492
|
|
|
$707
|
|
|
|
$—
|
|
|
($80
|
)
|
|
|
$26,119
|
|
Other agency
|
|
1,005
|
|
26
|
|
|
—
|
|
(5
|
)
|
|
1,026
|
|
|||||
Non-agency and other
|
|
1,078
|
|
310
|
|
|
—
|
|
—
|
|
|
1,388
|
|
|||||
Total available-for-sale securities
|
|
|
$27,575
|
|
|
$1,043
|
|
|
|
$—
|
|
|
($85
|
)
|
|
|
$28,533
|
|
Freddie Mac Form 10-Q
|
|
79
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 7
|
|
|
December 31, 2018
|
||||||||||||||||
|
|
Amortized
Cost |
Gross
Unrealized Gains |
|
Gross Unrealized Losses
|
|
Fair
Value |
|||||||||||
(In millions)
|
|
|
Other-Than-Temporary Impairment(1)
|
Temporary Impairment(2)
|
|
|||||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
|
|
$30,407
|
|
|
$320
|
|
|
|
$—
|
|
|
($528
|
)
|
|
|
$30,199
|
|
Other agency
|
|
1,675
|
|
38
|
|
|
—
|
|
(7
|
)
|
|
1,706
|
|
|||||
Non-agency and other
|
|
1,378
|
|
282
|
|
|
—
|
|
(2
|
)
|
|
1,658
|
|
|||||
Total available-for-sale securities
|
|
|
$33,460
|
|
|
$640
|
|
|
|
$—
|
|
|
($537
|
)
|
|
|
$33,563
|
|
(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.
|
|
|
September 30, 2019
|
||||||||||||
|
|
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
|
|
|
$5,312
|
|
|
($41
|
)
|
|
|
$2,951
|
|
|
($39
|
)
|
Other agency
|
|
56
|
|
—
|
|
|
531
|
|
(5
|
)
|
||||
Non-agency and other
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
||||
Total available-for-sale securities in a gross unrealized loss position
|
|
|
$5,368
|
|
|
($41
|
)
|
|
|
$3,482
|
|
|
($44
|
)
|
|
|
December 31, 2018
|
||||||||||||
|
|
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
|
|
|
$4,259
|
|
|
($38
|
)
|
|
|
$14,751
|
|
|
($490
|
)
|
Other agency
|
|
351
|
|
(1
|
)
|
|
638
|
|
(6
|
)
|
||||
Non-agency and other
|
|
43
|
|
(1
|
)
|
|
6
|
|
(1
|
)
|
||||
Total available-for-sale securities in a gross unrealized loss position
|
|
|
$4,653
|
|
|
($40
|
)
|
|
|
$15,395
|
|
|
($497
|
)
|
Freddie Mac Form 10-Q
|
|
80
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 7
|
(In millions)
|
|
3Q 2019
|
3Q 2018
|
|
YTD 2019
|
YTD 2018
|
||||||||
Gross realized gains
|
|
|
$68
|
|
|
$69
|
|
|
|
$169
|
|
|
$544
|
|
Gross realized losses
|
|
(6
|
)
|
(131
|
)
|
|
(40
|
)
|
(232
|
)
|
||||
Net realized gains (losses)
|
|
|
$62
|
|
|
($62
|
)
|
|
|
$129
|
|
|
$312
|
|
Freddie Mac Form 10-Q
|
|
81
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 8
|
|
|
Balance, Net
|
|
Interest Expense
|
|||||||||||||||||
(In millions)
|
|
September 30, 2019
|
December 31, 2018
|
|
3Q 2019
|
3Q 2018
|
|
YTD 2019
|
YTD 2018
|
||||||||||||
Debt securities of consolidated trusts held by third parties
|
|
|
$1,869,308
|
|
|
$1,792,677
|
|
|
|
$13,324
|
|
|
$12,827
|
|
|
|
$41,001
|
|
|
$37,996
|
|
Other debt:
|
|
|
|
|
|
|
|
|
|
||||||||||||
Short-term debt
|
|
94,344
|
|
51,080
|
|
|
499
|
|
361
|
|
|
1,419
|
|
832
|
|
||||||
Long-term debt
|
|
185,607
|
|
201,193
|
|
|
1,307
|
|
1,358
|
|
|
4,078
|
|
3,974
|
|
||||||
Total other debt
|
|
279,951
|
|
252,273
|
|
|
1,806
|
|
1,719
|
|
|
5,497
|
|
4,806
|
|
||||||
Total debt, net
|
|
|
$2,149,259
|
|
|
$2,044,950
|
|
|
|
$15,130
|
|
|
$14,546
|
|
|
|
$46,498
|
|
|
$42,802
|
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||||||
(Dollars in millions)
|
|
Contractual
Maturity
|
UPB
|
Carrying Amount(1)
|
Weighted
Average
Coupon(2)
|
|
Contractual
Maturity
|
UPB
|
Carrying Amount(1)
|
Weighted
Average
Coupon(2)
|
||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
30-year or more, fixed-rate
|
|
2019 - 2057
|
|
$1,487,105
|
|
|
$1,525,505
|
|
3.69
|
%
|
|
2019 - 2057
|
|
$1,389,113
|
|
|
$1,426,060
|
|
3.72
|
%
|
20-year fixed-rate
|
|
2019 - 2039
|
69,068
|
|
70,764
|
|
3.42
|
|
|
2019 - 2039
|
70,547
|
|
72,354
|
|
3.43
|
|
||||
15-year fixed-rate
|
|
2019 - 2034
|
224,190
|
|
227,915
|
|
2.89
|
|
|
2019 - 2034
|
240,310
|
|
244,587
|
|
2.89
|
|
||||
Adjustable-rate
|
|
2019 - 2049
|
32,837
|
|
33,474
|
|
3.28
|
|
|
2019 - 2049
|
38,361
|
|
39,153
|
|
3.12
|
|
||||
Interest-only
|
|
2026 - 2041
|
4,608
|
|
4,677
|
|
4.72
|
|
|
2026 - 2048
|
5,322
|
|
5,386
|
|
4.41
|
|
||||
FHA/VA
|
|
2020 - 2049
|
665
|
|
680
|
|
4.69
|
|
|
2019 - 2046
|
720
|
|
736
|
|
4.78
|
|
||||
Total single-family
|
|
|
1,818,473
|
|
1,863,015
|
|
|
|
|
1,744,373
|
|
1,788,276
|
|
|
||||||
Multifamily
|
|
2020-2049
|
6,233
|
|
6,293
|
|
3.14
|
|
|
2019 - 2047
|
4,365
|
|
4,401
|
|
4.02
|
|
||||
Total debt securities of consolidated trusts held by third parties
|
|
|
|
$1,824,706
|
|
|
$1,869,308
|
|
|
|
|
|
$1,748,738
|
|
|
$1,792,677
|
|
|
(1)
|
Includes $737 million and $755 million at September 30, 2019 and December 31, 2018, respectively, of debt of consolidated trusts that represents the fair value of debt securities with the fair value option elected.
|
(2)
|
The effective interest rate for debt securities of consolidated trusts held by third parties was 2.81% and 3.07% as of September 30, 2019 and December 31, 2018, respectively.
|
Freddie Mac Form 10-Q
|
|
82
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 8
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||||
(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
|
|
|
$42,719
|
|
|
$42,550
|
|
2.09
|
%
|
|
|
$28,787
|
|
|
$28,621
|
|
2.36
|
%
|
Medium-term notes
|
|
43,098
|
|
43,094
|
|
2.34
|
|
|
16,440
|
|
16,440
|
|
2.10
|
|
||||
Securities sold under agreements to repurchase
|
|
8,700
|
|
8,700
|
|
2.06
|
|
|
6,019
|
|
6,019
|
|
2.40
|
|
||||
Total other short-term debt
|
|
94,517
|
|
94,344
|
|
2.20
|
|
|
51,246
|
|
51,080
|
|
2.28
|
|
||||
Other long-term debt:
|
|
|
|
|
|
|
|
|
||||||||||
Original maturities on or before December 31,
|
|
|
|
|
|
|
|
|
||||||||||
2019
|
|
12,442
|
|
12,435
|
|
1.63
|
|
|
58,002
|
|
57,968
|
|
1.54
|
|
||||
2020
|
|
48,348
|
|
48,337
|
|
2.00
|
|
|
42,296
|
|
42,275
|
|
1.78
|
|
||||
2021
|
|
36,669
|
|
36,669
|
|
2.05
|
|
|
30,898
|
|
30,901
|
|
2.06
|
|
||||
2022
|
|
26,044
|
|
26,022
|
|
2.34
|
|
|
20,802
|
|
20,775
|
|
2.46
|
|
||||
2023
|
|
10,064
|
|
10,045
|
|
2.65
|
|
|
15,929
|
|
15,906
|
|
3.09
|
|
||||
Thereafter
|
|
37,392
|
|
34,994
|
|
3.68
|
|
|
18,068
|
|
15,579
|
|
5.91
|
|
||||
STACR and SCR debt(3)
|
|
16,088
|
|
16,257
|
|
6.03
|
|
|
17,729
|
|
18,004
|
|
6.04
|
|
||||
Hedging-related basis adjustments
|
|
N/A
|
|
848
|
|
|
|
N/A
|
|
(215
|
)
|
|
||||||
Total other long-term debt
|
|
187,047
|
|
185,607
|
|
2.74
|
|
|
203,724
|
|
201,193
|
|
2.58
|
|
||||
Total other debt(4)
|
|
|
$281,564
|
|
|
$279,951
|
|
|
|
|
|
$254,970
|
|
|
$252,273
|
|
|
(1)
|
Represents par value, net of associated discounts or premiums and issuance cost. Includes $3.9 billion and $4.4 billion at September 30, 2019 and December 31, 2018, 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)
|
Contractual maturities of these debt securities are not presented because they are subject to prepayment risk, as their payments are based upon the performance of a pool of mortgage assets that may be prepaid by the related mortgage borrower at any time generally without penalty.
|
(4)
|
Carrying amount for other debt includes callable debt of $105.5 billion and $107.2 billion at September 30, 2019 and December 31, 2018, respectively.
|
Freddie Mac Form 10-Q
|
|
83
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 9
|
n
|
Exchange-traded derivatives;
|
n
|
Cleared derivatives; and
|
n
|
OTC derivatives.
|
n
|
LIBOR- and SOFR-based interest-rate swaps;
|
n
|
LIBOR- and Treasury-based purchased options (including swaptions); and
|
n
|
LIBOR-, Treasury-, and SOFR-based exchange-traded futures.
|
Freddie Mac Form 10-Q
|
|
84
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 9
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||||||
|
|
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
|
|
|
$217,377
|
|
|
$2,346
|
|
|
($10
|
)
|
|
|
$145,386
|
|
|
$1,380
|
|
|
($181
|
)
|
Pay-fixed
|
|
246,557
|
|
6
|
|
(4,381
|
)
|
|
170,899
|
|
476
|
|
(2,287
|
)
|
||||||
Basis (floating to floating)
|
|
5,924
|
|
—
|
|
—
|
|
|
5,404
|
|
1
|
|
—
|
|
||||||
Total interest-rate swaps
|
|
469,858
|
|
2,352
|
|
(4,391
|
)
|
|
321,689
|
|
1,857
|
|
(2,468
|
)
|
||||||
Option-based:
|
|
|
|
|
|
|
|
|
||||||||||||
Call swaptions
|
|
|
|
|
|
|
|
|
||||||||||||
Purchased
|
|
61,275
|
|
3,963
|
|
—
|
|
|
43,625
|
|
2,007
|
|
—
|
|
||||||
Written
|
|
2,500
|
|
—
|
|
(37
|
)
|
|
4,400
|
|
—
|
|
(133
|
)
|
||||||
Put swaptions
|
|
|
|
|
|
|
|
|
||||||||||||
Purchased(1)
|
|
63,600
|
|
512
|
|
—
|
|
|
88,075
|
|
1,565
|
|
—
|
|
||||||
Written
|
|
8,700
|
|
—
|
|
(41
|
)
|
|
1,750
|
|
—
|
|
(4
|
)
|
||||||
Other option-based derivatives(2)
|
|
10,368
|
|
721
|
|
—
|
|
|
10,481
|
|
628
|
|
—
|
|
||||||
Total option-based
|
|
146,443
|
|
5,196
|
|
(78
|
)
|
|
148,331
|
|
4,200
|
|
(137
|
)
|
||||||
Futures
|
|
181,479
|
|
—
|
|
—
|
|
|
161,185
|
|
—
|
|
—
|
|
||||||
Commitments
|
|
152,300
|
|
195
|
|
(171
|
)
|
|
36,044
|
|
90
|
|
(179
|
)
|
||||||
Credit derivatives
|
|
1,822
|
|
1
|
|
(23
|
)
|
|
2,030
|
|
—
|
|
(35
|
)
|
||||||
Other
|
|
16,991
|
|
12
|
|
(103
|
)
|
|
12,212
|
|
1
|
|
(103
|
)
|
||||||
Total derivatives not designated as hedges
|
|
968,893
|
|
7,756
|
|
(4,766
|
)
|
|
681,491
|
|
6,148
|
|
(2,922
|
)
|
||||||
Designated as fair value hedges
|
|
|
|
|
|
|
|
|
||||||||||||
Interest-rate swaps:
|
|
|
|
|
|
|
|
|
||||||||||||
Receive-fixed
|
|
113,425
|
|
145
|
|
(91
|
)
|
|
117,038
|
|
23
|
|
(935
|
)
|
||||||
Pay-fixed
|
|
78,966
|
|
7
|
|
(1,620
|
)
|
|
77,513
|
|
247
|
|
(571
|
)
|
||||||
Total derivatives designated as fair value hedges
|
|
192,391
|
|
152
|
|
(1,711
|
)
|
|
194,551
|
|
270
|
|
(1,506
|
)
|
||||||
Derivative interest and other receivable (payable)
|
|
|
912
|
|
(872
|
)
|
|
|
889
|
|
(1,096
|
)
|
||||||||
Netting adjustments(3)
|
|
|
(7,228
|
)
|
6,994
|
|
|
|
(6,972
|
)
|
4,941
|
|
||||||||
Total derivative portfolio, net
|
|
|
$1,161,284
|
|
|
$1,592
|
|
|
($355
|
)
|
|
|
$876,042
|
|
|
$335
|
|
|
($583
|
)
|
(1)
|
Includes swaptions on credit indices with a notional or contractual amount of $17.3 billion and $45.9 billion at September 30, 2019 and December 31, 2018, respectively, and a fair value of $6.0 million and $113.0 million at September 30, 2019 and December 31, 2018, respectively.
|
(2)
|
Primarily consists of purchased interest-rate caps and floors.
|
(3)
|
Represents counterparty netting and cash collateral netting.
|
Freddie Mac Form 10-Q
|
|
85
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 9
|
(In millions)
|
|
3Q 2019
|
3Q 2018
|
|
YTD 2019
|
YTD 2018
|
||||||||
Not designated as hedges
|
|
|
|
|
|
|
||||||||
Interest-rate swaps:
|
|
|
|
|
|
|
||||||||
Receive-fixed
|
|
|
$2,060
|
|
|
($1,004
|
)
|
|
|
$7,580
|
|
|
($5,080
|
)
|
Pay-fixed
|
|
(3,866
|
)
|
1,721
|
|
|
(12,152
|
)
|
7,922
|
|
||||
Basis (floating to floating)
|
|
(3
|
)
|
19
|
|
|
7
|
|
(9
|
)
|
||||
Total interest-rate swaps
|
|
(1,809
|
)
|
736
|
|
|
(4,565
|
)
|
2,833
|
|
||||
Option-based:
|
|
|
|
|
|
|
||||||||
Call swaptions
|
|
|
|
|
|
|
||||||||
Purchased
|
|
1,398
|
|
(402
|
)
|
|
2,981
|
|
(1,392
|
)
|
||||
Written
|
|
(109
|
)
|
35
|
|
|
(343
|
)
|
76
|
|
||||
Put swaptions
|
|
|
|
|
|
|
||||||||
Purchased
|
|
(355
|
)
|
136
|
|
|
(1,406
|
)
|
524
|
|
||||
Written
|
|
19
|
|
(2
|
)
|
|
83
|
|
(23
|
)
|
||||
Other option-based derivatives(1)
|
|
(6
|
)
|
(73
|
)
|
|
93
|
|
(205
|
)
|
||||
Total option-based
|
|
947
|
|
(306
|
)
|
|
1,408
|
|
(1,020
|
)
|
||||
Other:
|
|
|
|
|
|
|
||||||||
Futures
|
|
(262
|
)
|
277
|
|
|
(1,283
|
)
|
728
|
|
||||
Commitments
|
|
(54
|
)
|
69
|
|
|
(366
|
)
|
672
|
|
||||
Credit derivatives
|
|
6
|
|
(4
|
)
|
|
1
|
|
(14
|
)
|
||||
Other
|
|
2
|
|
(71
|
)
|
|
36
|
|
(64
|
)
|
||||
Total other
|
|
(308
|
)
|
271
|
|
|
(1,612
|
)
|
1,322
|
|
||||
Accrual of periodic cash settlements:
|
|
|
|
|
|
|
||||||||
Receive-fixed interest-rate swaps
|
|
39
|
|
39
|
|
|
(32
|
)
|
335
|
|
||||
Pay-fixed interest-rate swaps
|
|
(126
|
)
|
(50
|
)
|
|
(220
|
)
|
(536
|
)
|
||||
Other
|
|
40
|
|
38
|
|
|
109
|
|
40
|
|
||||
Total accrual of periodic cash settlements
|
|
(47
|
)
|
27
|
|
|
(143
|
)
|
(161
|
)
|
||||
Total
|
|
|
($1,217
|
)
|
|
$728
|
|
|
|
($4,912
|
)
|
|
$2,974
|
|
(1)
|
Primarily consists of purchased interest-rate caps and floors.
|
Freddie Mac Form 10-Q
|
|
86
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 9
|
|
|
3Q 2019
|
3Q 2018
|
||||||||||
(In millions)
|
|
Interest Income - Mortgage Loans
|
Interest Expense
|
Interest Income - Mortgage Loans
|
Interest Expense
|
||||||||
Total amounts of income and expense line items presented in our condensed consolidated statements of comprehensive income in which the effects of fair value hedges are recorded:
|
|
|
$16,428
|
|
|
($15,130
|
)
|
|
$16,787
|
|
|
($14,546
|
)
|
|
|
|
|
|
|
||||||||
Interest contracts on mortgage loans held-for-investment:
|
|
|
|
|
|
||||||||
Gain (loss) on fair value hedging relationships:
|
|
|
|
|
|
||||||||
Hedged items
|
|
1,298
|
|
—
|
|
(755
|
)
|
—
|
|
||||
Derivatives designated as hedging instruments
|
|
(1,588
|
)
|
—
|
|
776
|
|
—
|
|
||||
Interest accruals on hedging instruments
|
|
(48
|
)
|
—
|
|
(96
|
)
|
—
|
|
||||
Discontinued hedge-related basis adjustments amortization
|
|
(210
|
)
|
—
|
|
38
|
|
—
|
|
||||
Interest contracts on debt:
|
|
|
|
|
|
||||||||
Gain (loss) on fair value hedging relationships:
|
|
|
|
|
|
||||||||
Hedged items
|
|
—
|
|
(36
|
)
|
—
|
|
121
|
|
||||
Derivatives designated as hedging instruments
|
|
—
|
|
91
|
|
—
|
|
(50
|
)
|
||||
Interest accruals on hedging instruments
|
|
—
|
|
(18
|
)
|
—
|
|
(96
|
)
|
||||
Discontinued hedge-related basis adjustments amortization
|
|
—
|
|
18
|
|
—
|
|
(1
|
)
|
|
|
YTD 2019
|
YTD 2018
|
||||||||||
(In millions)
|
|
Interest Income - Mortgage Loans
|
Interest Expense
|
Interest Income - Mortgage Loans
|
Interest Expense
|
||||||||
Total amounts of income and expense line items presented in our condensed consolidated statements of comprehensive income in which the effects of fair value hedges are recorded:
|
|
|
$51,732
|
|
|
($46,498
|
)
|
|
$49,082
|
|
|
($42,802
|
)
|
|
|
|
|
|
|
||||||||
Interest contracts on mortgage loans held-for-investment:
|
|
|
|
|
|
||||||||
Gain (loss) on fair value hedging relationships:
|
|
|
|
|
|
||||||||
Hedged items
|
|
5,691
|
|
—
|
|
(3,441
|
)
|
—
|
|
||||
Derivatives designated as hedging instruments
|
|
(5,609
|
)
|
—
|
|
3,087
|
|
—
|
|
||||
Interest accruals on hedging instruments
|
|
(4
|
)
|
—
|
|
(373
|
)
|
—
|
|
||||
Discontinued hedge-related basis adjustments amortization
|
|
(229
|
)
|
—
|
|
86
|
|
—
|
|
||||
Interest contracts on debt:
|
|
|
|
|
|
||||||||
Gain (loss) on fair value hedging relationships:
|
|
|
|
|
|
||||||||
Hedged items
|
|
—
|
|
(1,141
|
)
|
—
|
|
931
|
|
||||
Derivatives designated as hedging instruments
|
|
—
|
|
1,288
|
|
—
|
|
(728
|
)
|
||||
Interest accruals on hedging instruments
|
|
—
|
|
(230
|
)
|
—
|
|
(219
|
)
|
||||
Discontinued hedge-related basis adjustments amortization
|
|
—
|
|
43
|
|
—
|
|
(2
|
)
|
Freddie Mac Form 10-Q
|
|
87
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 9
|
|
|
September 30, 2019
|
|||||||||||||||||||
|
|
Carrying Amount Assets / (Liabilities)
|
|
Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount
|
|
Closed Portfolio Under the Last-of-Layer Method
|
|||||||||||||||
(In millions)
|
|
|
Total
|
Under the Last-of-Layer Method
|
Discontinued - Hedge Related
|
|
Total Amount by Amortized Cost Basis
|
Designated Amount by UPB
|
|||||||||||||
Mortgage loans held-for-investment
|
|
|
$470,584
|
|
|
|
$4,225
|
|
|
($379
|
)
|
|
$4,604
|
|
|
|
$266,975
|
|
|
$20,472
|
|
Debt
|
|
(130,653
|
)
|
|
(848
|
)
|
—
|
|
(114
|
)
|
|
—
|
|
—
|
|
||||||
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
December 31, 2018
|
|||||||||||||||||||
|
|
Carrying Amount Assets / (Liabilities)
|
|
Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount
|
|
Closed Portfolio Under the Last-of-Later Method
|
|||||||||||||||
(In millions)
|
|
|
Total
|
Under the Last-of-Layer Method
|
Discontinued - Hedge Related
|
|
Total Amount by Amortized Cost Basis
|
Designated Amount by UPB
|
|||||||||||||
Mortgage loans held-for-investment
|
|
|
$193,547
|
|
|
|
($1,237
|
)
|
|
$—
|
|
|
($1,237
|
)
|
|
|
$—
|
|
|
$—
|
|
Debt
|
|
(127,215
|
)
|
|
216
|
|
—
|
|
(8
|
)
|
|
—
|
|
—
|
|
Freddie Mac Form 10-Q
|
|
88
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 10
|
Freddie Mac Form 10-Q
|
|
89
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 10
|
|
|
September 30, 2019
|
|||||||||||||||||||
|
|
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
|
|
|
$8,583
|
|
|
|
($5,373
|
)
|
|
($1,975
|
)
|
|
|
$1,235
|
|
|
($1,191
|
)
|
|
$44
|
|
Cleared and exchange-traded derivatives
|
|
29
|
|
|
(1
|
)
|
121
|
|
|
149
|
|
—
|
|
149
|
|
||||||
Other
|
|
208
|
|
|
—
|
|
—
|
|
|
208
|
|
—
|
|
208
|
|
||||||
Total derivatives
|
|
8,820
|
|
|
(5,374
|
)
|
(1,854
|
)
|
|
1,592
|
|
(1,191
|
)
|
401
|
|
||||||
Securities purchased under agreements to resell(3)
|
|
51,187
|
|
|
—
|
|
—
|
|
|
51,187
|
|
(51,187
|
)
|
—
|
|
||||||
Total
|
|
|
$60,007
|
|
|
|
($5,374
|
)
|
|
($1,854
|
)
|
|
|
$52,779
|
|
|
($52,378
|
)
|
|
$401
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivatives:
|
|
|
|
|
|
|
|
|
|
||||||||||||
OTC derivatives
|
|
|
($7,029
|
)
|
|
|
$5,373
|
|
|
$1,601
|
|
|
|
($55
|
)
|
|
$—
|
|
|
($55
|
)
|
Cleared and exchange-traded derivatives
|
|
(23
|
)
|
|
1
|
|
19
|
|
|
(3
|
)
|
—
|
|
(3
|
)
|
||||||
Other
|
|
(297
|
)
|
|
—
|
|
—
|
|
|
(297
|
)
|
—
|
|
(297
|
)
|
||||||
Total derivatives
|
|
(7,349
|
)
|
|
5,374
|
|
1,620
|
|
|
(355
|
)
|
—
|
|
(355
|
)
|
||||||
Securities sold under agreements to repurchase(3)
|
|
(8,700
|
)
|
|
—
|
|
—
|
|
|
(8,700
|
)
|
8,700
|
|
—
|
|
||||||
Total
|
|
|
($16,049
|
)
|
|
|
$5,374
|
|
|
$1,620
|
|
|
|
($9,055
|
)
|
|
$8,700
|
|
|
($355
|
)
|
Freddie Mac Form 10-Q
|
|
90
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 10
|
|
|
December 31, 2018
|
|||||||||||||||||||
|
|
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
|
|
|
$7,213
|
|
|
|
($4,544
|
)
|
|
($2,448
|
)
|
|
|
$221
|
|
|
($173
|
)
|
|
$48
|
|
Cleared and exchange-traded derivatives
|
|
3
|
|
|
—
|
|
20
|
|
|
23
|
|
—
|
|
23
|
|
||||||
Other
|
|
91
|
|
|
—
|
|
—
|
|
|
91
|
|
—
|
|
91
|
|
||||||
Total derivatives
|
|
7,307
|
|
|
(4,544
|
)
|
(2,428
|
)
|
|
335
|
|
(173
|
)
|
162
|
|
||||||
Securities purchased under agreements to resell(3)
|
|
34,771
|
|
|
—
|
|
—
|
|
|
34,771
|
|
(34,771
|
)
|
—
|
|
||||||
Total
|
|
|
$42,078
|
|
|
|
($4,544
|
)
|
|
($2,428
|
)
|
|
|
$35,106
|
|
|
($34,944
|
)
|
|
$162
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivatives:
|
|
|
|
|
|
|
|
|
|
||||||||||||
OTC derivatives
|
|
|
($4,963
|
)
|
|
|
$4,544
|
|
|
$296
|
|
|
|
($123
|
)
|
|
$—
|
|
|
($123
|
)
|
Cleared and exchange-traded derivatives
|
|
(244
|
)
|
|
—
|
|
101
|
|
|
(143
|
)
|
—
|
|
(143
|
)
|
||||||
Other
|
|
(317
|
)
|
|
—
|
|
—
|
|
|
(317
|
)
|
—
|
|
(317
|
)
|
||||||
Total derivatives
|
|
(5,524
|
)
|
|
4,544
|
|
397
|
|
|
(583
|
)
|
—
|
|
(583
|
)
|
||||||
Securities sold under agreements to repurchase(3)
|
|
(6,019
|
)
|
|
—
|
|
—
|
|
|
(6,019
|
)
|
6,019
|
|
—
|
|
||||||
Total
|
|
|
($11,543
|
)
|
|
|
$4,544
|
|
|
$397
|
|
|
|
($6,602
|
)
|
|
$6,019
|
|
|
($583
|
)
|
(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 condensed 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 $4.0 billion and $2.5 billion as of September 30, 2019 and December 31, 2018, respectively.
|
(3)
|
Does not include the impacts of netting by central clearing organizations.
|
Freddie Mac Form 10-Q
|
|
91
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 10
|
|
|
September 30, 2019
|
|||||||||||
(In millions)
|
|
Derivatives
|
Securities sold under agreements to repurchase
|
Other(3)
|
Total
|
||||||||
Cash equivalents(1)
|
|
|
$—
|
|
|
$284
|
|
|
$—
|
|
|
$284
|
|
Debt securities of consolidated trusts(2)
|
|
747
|
|
—
|
|
169
|
|
916
|
|
||||
Available-for-sale securities
|
|
—
|
|
—
|
|
3
|
|
3
|
|
||||
Trading securities
|
|
3,228
|
|
8,429
|
|
57
|
|
11,714
|
|
||||
Total securities pledged
|
|
|
$3,975
|
|
|
$8,713
|
|
|
$229
|
|
|
$12,917
|
|
|
|
December 31, 2018
|
|||||||||||
(In millions)
|
|
Derivatives
|
Securities sold under agreements to repurchase
|
Other(3)
|
Total
|
||||||||
Cash equivalents(1)
|
|
|
$—
|
|
|
$2,595
|
|
|
$—
|
|
|
$2,595
|
|
Debt securities of consolidated trusts(2)
|
|
362
|
|
—
|
|
179
|
|
541
|
|
||||
Available-for-sale securities
|
|
—
|
|
—
|
|
1
|
|
1
|
|
||||
Trading securities
|
|
2,160
|
|
3,432
|
|
73
|
|
5,665
|
|
||||
Total securities pledged
|
|
|
$2,522
|
|
|
$6,027
|
|
|
$253
|
|
|
$8,802
|
|
(1)
|
Represents U.S. Treasury securities accounted for as cash equivalents.
|
(2)
|
Represents debt securities of consolidated trusts held by us in our Capital Markets segment mortgage investments portfolio which are recorded as a reduction to debt securities of consolidated trusts held by third parties on our condensed consolidated balance sheets.
|
(3)
|
Includes other collateralized borrowings and collateral related to transactions with certain clearinghouses.
|
|
|
September 30, 2019
|
||||||||||||||
(In millions)
|
|
Overnight and continuous
|
30 days or less
|
After 30 days through 90 days
|
Greater than 90 days
|
Total
|
||||||||||
U.S. Treasury securities and other
|
|
|
$2,684
|
|
|
$5,112
|
|
|
$917
|
|
|
$—
|
|
|
$8,713
|
|
Freddie Mac Form 10-Q
|
|
92
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 11
|
|
|
YTD 2019
|
|||||||||||
(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
|
|
|
$83
|
|
|
($315
|
)
|
|
$97
|
|
|
($135
|
)
|
Other comprehensive income before reclassifications
|
|
776
|
|
—
|
|
(2
|
)
|
774
|
|
||||
Amounts reclassified from accumulated other comprehensive income
|
|
(102
|
)
|
57
|
|
(12
|
)
|
(57
|
)
|
||||
Changes in AOCI by component
|
|
674
|
|
57
|
|
(14
|
)
|
717
|
|
||||
Ending balance
|
|
|
$757
|
|
|
($258
|
)
|
|
$83
|
|
|
$582
|
|
|
|
|
|||||||||||
|
|
YTD 2018
|
|||||||||||
(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
|
|
|
$662
|
|
|
($356
|
)
|
|
$83
|
|
|
$389
|
|
Other comprehensive income before reclassifications
|
|
(821
|
)
|
—
|
|
(1
|
)
|
(822
|
)
|
||||
Amounts reclassified from accumulated other comprehensive income
|
|
(244
|
)
|
87
|
|
(12
|
)
|
(169
|
)
|
||||
Changes in AOCI by component
|
|
(1,065
|
)
|
87
|
|
(13
|
)
|
(991
|
)
|
||||
Cumulative effect of change in accounting principle(1)
|
|
143
|
|
(73
|
)
|
19
|
|
89
|
|
||||
Ending balance
|
|
|
($260
|
)
|
|
($342
|
)
|
|
$89
|
|
|
($513
|
)
|
(1)
|
Includes the effect of adopting the accounting guidance on reclassification of stranded tax effects of the Tax Cuts and Jobs Act in 1Q 2018.
|
Freddie Mac Form 10-Q
|
|
93
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 11
|
(In millions)
|
|
3Q 2019
|
3Q 2018
|
|
YTD 2019
|
YTD 2018
|
||||||||
AOCI related to available-for-sale securities
|
|
|
|
|
|
|
||||||||
Affected line items in the consolidated statements of comprehensive income:
|
|
|
|
|
|
|
||||||||
Investment securities gains (losses)
|
|
|
$62
|
|
|
($64
|
)
|
|
|
$129
|
|
|
$309
|
|
Income tax (expense) or benefit
|
|
(13
|
)
|
13
|
|
|
(27
|
)
|
(65
|
)
|
||||
Net of tax
|
|
49
|
|
(51
|
)
|
|
102
|
|
244
|
|
||||
AOCI related to cash flow hedge relationships
|
|
|
|
|
|
|
||||||||
Affected line items in the consolidated statements of comprehensive income:
|
|
|
|
|
|
|
||||||||
Interest expense
|
|
(24
|
)
|
(31
|
)
|
|
(72
|
)
|
(106
|
)
|
||||
Income tax (expense) or benefit
|
|
5
|
|
6
|
|
|
15
|
|
19
|
|
||||
Net of tax
|
|
(19
|
)
|
(25
|
)
|
|
(57
|
)
|
(87
|
)
|
||||
AOCI related to defined benefit plans
|
|
|
|
|
|
|
||||||||
Affected line items in the consolidated statements of comprehensive income:
|
|
|
|
|
|
|
||||||||
Salaries and employee benefits
|
|
5
|
|
5
|
|
|
15
|
|
15
|
|
||||
Income tax (expense) or benefit
|
|
(1
|
)
|
(1
|
)
|
|
(3
|
)
|
(3
|
)
|
||||
Net of tax
|
|
4
|
|
4
|
|
|
12
|
|
12
|
|
||||
Total reclassifications in the period net of tax
|
|
|
$34
|
|
|
($72
|
)
|
|
|
$57
|
|
|
$169
|
|
Freddie Mac Form 10-Q
|
|
94
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 11
|
(In millions, except initial liquidation preference price per share)
|
|
Shares
Authorized
|
Shares
Outstanding
|
Total
Par Value
|
Initial
Liquidation
Preference
Price per Share
|
Total
Liquidation
Preference
|
||||||||
Non-draw Adjustment Dates:
|
|
|
||||||||||||
September 8, 2008
|
|
1.00
|
|
1.00
|
|
|
$1.00
|
|
|
$1,000
|
|
|
$1,000
|
|
December 31, 2017
|
|
—
|
|
—
|
|
—
|
|
N/A
|
|
3,000
|
|
|||
September 30, 2019
|
|
—
|
|
—
|
|
—
|
|
N/A
|
|
1,826
|
|
|||
Draw Dates:
|
|
|
|
|
|
|
||||||||
November 24, 2008
|
|
—
|
|
—
|
|
—
|
|
N/A
|
|
13,800
|
|
|||
March 31, 2009
|
|
—
|
|
—
|
|
—
|
|
N/A
|
|
30,800
|
|
|||
June 30, 2009
|
|
—
|
|
—
|
|
—
|
|
N/A
|
|
6,100
|
|
|||
June 30, 2010
|
|
—
|
|
—
|
|
—
|
|
N/A
|
|
10,600
|
|
|||
September 30, 2010
|
|
—
|
|
—
|
|
—
|
|
N/A
|
|
1,800
|
|
|||
December 30, 2010
|
|
—
|
|
—
|
|
—
|
|
N/A
|
|
100
|
|
|||
March 31, 2011
|
|
—
|
|
—
|
|
—
|
|
N/A
|
|
500
|
|
|||
September 30, 2011
|
|
—
|
|
—
|
|
—
|
|
N/A
|
|
1,479
|
|
|||
December 30, 2011
|
|
—
|
|
—
|
|
—
|
|
N/A
|
|
5,992
|
|
|||
March 30, 2012
|
|
—
|
|
—
|
|
—
|
|
N/A
|
|
146
|
|
|||
June 29, 2012
|
|
—
|
|
—
|
|
—
|
|
N/A
|
|
19
|
|
|||
March 30, 2018
|
|
—
|
|
—
|
|
—
|
|
N/A
|
|
312
|
|
|||
Total senior preferred stock
|
|
1.00
|
|
1.00
|
|
|
$1.00
|
|
|
|
$77,474
|
|
Freddie Mac Form 10-Q
|
|
95
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 11
|
Freddie Mac Form 10-Q
|
|
96
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 12
|
Freddie Mac Form 10-Q
|
|
97
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 13
|
(In millions)
|
|
3Q 2019
|
3Q 2018
|
|
YTD 2019
|
YTD 2018
|
||||||||
Segment Earnings (loss), net of taxes:
|
|
|
|
|
|
|
||||||||
Single-family Guarantee
|
|
|
$1,250
|
|
|
$1,183
|
|
|
|
$2,945
|
|
|
$2,884
|
|
Multifamily
|
|
581
|
|
549
|
|
|
1,294
|
|
1,572
|
|
||||
Capital Markets
|
|
(122
|
)
|
974
|
|
|
383
|
|
3,679
|
|
||||
All Other
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
||||
Total Segment Earnings, net of taxes
|
|
1,709
|
|
2,706
|
|
|
4,622
|
|
8,135
|
|
||||
Net income (loss)
|
|
|
$1,709
|
|
|
$2,706
|
|
|
|
$4,622
|
|
|
$8,135
|
|
Comprehensive income (loss) of segments:
|
|
|
|
|
|
|
||||||||
Single-family Guarantee
|
|
|
$1,247
|
|
|
$1,181
|
|
|
|
$2,936
|
|
|
$2,876
|
|
Multifamily
|
|
591
|
|
505
|
|
|
1,426
|
|
1,436
|
|
||||
Capital Markets
|
|
10
|
|
873
|
|
|
977
|
|
2,832
|
|
||||
All Other
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
||||
Comprehensive income (loss) of segments
|
|
1,848
|
|
2,559
|
|
|
5,339
|
|
7,144
|
|
||||
Comprehensive income (loss)
|
|
|
$1,848
|
|
|
$2,559
|
|
|
|
$5,339
|
|
|
$7,144
|
|
Freddie Mac Form 10-Q
|
|
98
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 13
|
Freddie Mac Form 10-Q
|
|
99
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 13
|
Freddie Mac Form 10-Q
|
|
100
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 14
|
|
|
September 30, 2019
|
|
December 31, 2018
|
|
Percent of Credit Losses
|
|||||||||
|
|
Percentage of
Portfolio
|
Serious
Delinquency
Rate
|
|
Percentage of
Portfolio
|
Serious
Delinquency
Rate
|
|
YTD 2019
|
YTD 2018
|
||||||
Core single-family loan portfolio
|
|
84
|
%
|
0.24
|
%
|
|
82
|
%
|
0.22
|
%
|
|
16
|
%
|
12
|
%
|
Legacy and relief refinance single-family loan portfolio
|
|
16
|
|
1.77
|
|
|
18
|
|
1.93
|
|
|
84
|
|
88
|
|
Total
|
|
100
|
%
|
0.61
|
|
|
100
|
%
|
0.69
|
|
|
100
|
%
|
100
|
%
|
Region(1)
|
|
|
|
|
|
|
|
|
|
||||||
West
|
|
30
|
%
|
0.35
|
|
|
30
|
%
|
0.38
|
|
|
12
|
%
|
17
|
%
|
Northeast
|
|
24
|
|
0.86
|
|
|
24
|
|
0.96
|
|
|
40
|
|
40
|
|
North Central
|
|
16
|
|
0.60
|
|
|
16
|
|
0.63
|
|
|
19
|
|
18
|
|
Southeast
|
|
16
|
|
0.72
|
|
|
16
|
|
0.90
|
|
|
22
|
|
18
|
|
Southwest
|
|
14
|
|
0.51
|
|
|
14
|
|
0.57
|
|
|
7
|
|
7
|
|
Total
|
|
100
|
%
|
0.61
|
|
|
100
|
%
|
0.69
|
|
|
100
|
%
|
100
|
%
|
State(2)
|
|
|
|
|
|
|
|
|
|
||||||
Florida
|
|
6
|
%
|
0.75
|
|
|
6
|
%
|
1.01
|
|
|
14
|
%
|
10
|
%
|
New York
|
|
5
|
|
1.20
|
|
|
5
|
|
1.37
|
|
|
12
|
|
12
|
|
New Jersey
|
|
3
|
|
1.07
|
|
|
3
|
|
1.24
|
|
|
10
|
|
10
|
|
Illinois
|
|
4
|
|
0.82
|
|
|
5
|
|
0.86
|
|
|
10
|
|
9
|
|
California
|
|
18
|
|
0.33
|
|
|
18
|
|
0.35
|
|
|
7
|
|
10
|
|
All other
|
|
64
|
|
0.57
|
|
|
63
|
|
0.64
|
|
|
47
|
|
49
|
|
Total
|
|
100
|
%
|
0.61
|
%
|
|
100
|
%
|
0.69
|
%
|
|
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 YTD 2019.
|
n
|
Purchased pursuant to a previously issued other mortgage-related guarantee;
|
n
|
Part of our relief refinance initiative; or
|
n
|
In another refinance loan initiative and the pre-existing loan (including Alt-A loans) was originated under less than full documentation standards.
|
Freddie Mac Form 10-Q
|
|
101
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 14
|
|
|
Percentage of Portfolio(1)
|
|
Serious Delinquency Rate(1)
|
||||||
(Percentage of portfolio based on UPB)
|
|
September 30, 2019
|
December 31, 2018
|
|
September 30, 2019
|
December 31, 2018
|
||||
Interest-only
|
|
1
|
%
|
1
|
%
|
|
2.72
|
%
|
3.43
|
%
|
Alt-A
|
|
1
|
|
1
|
|
|
3.75
|
|
4.13
|
|
Original LTV ratio greater than 90%(2)
|
|
18
|
|
18
|
|
|
0.92
|
|
1.04
|
|
Lower credit scores at origination (less than 620)
|
|
2
|
|
2
|
|
|
4.24
|
|
4.59
|
|
(1)
|
Excludes loans underlying certain other securitization products for which data was not available.
|
(2)
|
Includes HARP loans, which we purchased as part of our participation in the MHA Program.
|
Single-family Sellers(1)
|
|
YTD 2019
|
YTD 2018
|
||
JPMorgan Chase Bank, N.A.
|
|
16
|
%
|
5
|
%
|
Wells Fargo Bank, N.A.
|
|
7
|
|
12
|
|
Other top 10 sellers
|
|
33
|
|
32
|
|
Top 10 single-family sellers
|
|
56
|
%
|
49
|
%
|
|
|
|
|
||
Multifamily Sellers(1)
|
|
YTD 2019
|
YTD 2018
|
||
CBRE Capital Markets, Inc.
|
|
16
|
%
|
19
|
%
|
Berkadia Commercial Mortgage LLC
|
|
15
|
|
12
|
|
Other top 10 sellers
|
|
48
|
|
47
|
|
Top 10 multifamily sellers
|
|
79
|
%
|
78
|
%
|
(1)
|
Sellers presented based on those with the highest percentage of purchase volume during YTD 2019.
|
Freddie Mac Form 10-Q
|
|
102
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 14
|
Single-family Servicers(2)
|
|
September 30, 2019(1)
|
December 31, 2018(1)
|
||
Wells Fargo Bank, N.A.
|
|
15
|
%
|
17
|
%
|
JPMorgan Chase Bank, N.A.
|
|
10
|
|
8
|
|
Other top 10 servicers
|
|
31
|
|
31
|
|
Top 10 single-family servicers
|
|
56
|
%
|
56
|
%
|
Multifamily Servicers(2)
|
|
September 30, 2019
|
December 31, 2018
|
||
Wells Fargo Bank, N.A.
|
|
15
|
%
|
14
|
%
|
Berkadia Commercial Mortgage LLC
|
|
11
|
|
11
|
|
CBRE Capital Markets, Inc.
|
|
11
|
|
14
|
|
Other top 10 servicers
|
|
40
|
|
36
|
|
Top 10 multifamily servicers
|
|
77
|
%
|
75
|
%
|
(1)
|
Percentage of servicing volume is based on the total single-family credit guarantee portfolio, which includes loans where we do not exercise servicing control. However, loans where we do not exercise servicing control are not included for purposes of determining the concentration of servicers who serviced more than 10% of our single-family credit guarantee portfolio because we do not know which entity serves as the primary servicer for such loans.
|
(2)
|
Servicers presented based on those with the highest percentage of servicing volume as of September 30, 2019.
|
|
|
|
|
Mortgage Insurance Coverage(2)
|
|||
Mortgage Insurer
|
|
Credit Rating(1)
|
|
September 30, 2019
|
December 31, 2018
|
||
Arch Mortgage Insurance Company
|
|
A-
|
|
22
|
%
|
24
|
%
|
Radian Guaranty Inc.
|
|
BBB
|
|
20
|
|
20
|
|
Mortgage Guaranty Insurance Corporation
|
|
BBB
|
|
18
|
|
19
|
|
Genworth Mortgage Insurance Corporation
|
|
BB+
|
|
15
|
|
14
|
|
Essent Guaranty, Inc.
|
|
BBB+
|
|
15
|
|
14
|
|
Total
|
|
|
|
90
|
%
|
91
|
%
|
(1)
|
Ratings are for the corporate entity to which we have the greatest exposure. Latest rating available as of September 30, 2019. Represents the lower of S&P and Moody’s credit ratings stated in terms of the S&P equivalent.
|
(2)
|
Includes primary mortgage insurance and pool insurance. Coverage amounts may include coverage provided by affiliates and subsidiaries of the counterparty.
|
Freddie Mac Form 10-Q
|
|
103
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 14
|
n
|
In each transaction, we require the individual insurers and reinsurers to post collateral to cover portions of their exposure, which helps to promote certainty and timeliness of claim payment and
|
n
|
While private mortgage insurance companies are required to be monoline (i.e., to participate solely in the mortgage insurance business, although the holding company may be a diversified insurer), many of our insurers and reinsurers in these transactions participate in multiple types of insurance business, which helps diversify their risk exposure.
|
Freddie Mac Form 10-Q
|
|
104
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 15
|
n
|
Level 1 - inputs to the valuation techniques are based on quoted prices in active markets for identical assets or liabilities.
|
n
|
Level 2 - inputs to the valuation techniques are based on observable inputs other than quoted prices in active markets for identical assets or liabilities.
|
n
|
Level 3 - one or more inputs to the valuation technique are unobservable and significant to the fair value measurement.
|
Freddie Mac Form 10-Q
|
|
105
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 15
|
|
|
September 30, 2019
|
||||||||||||||
(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
|
|
|
$—
|
|
|
$23,969
|
|
|
$2,150
|
|
|
$—
|
|
|
$26,119
|
|
Other agency
|
|
—
|
|
992
|
|
34
|
|
—
|
|
1,026
|
|
|||||
Non-agency and other
|
|
—
|
|
21
|
|
1,367
|
|
—
|
|
1,388
|
|
|||||
Total available-for-sale securities, at fair value
|
|
—
|
|
24,982
|
|
3,551
|
|
—
|
|
28,533
|
|
|||||
Trading, at fair value:
|
|
|
|
|
|
|
||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
|
—
|
|
10,042
|
|
2,930
|
|
—
|
|
12,972
|
|
|||||
Other agency
|
|
—
|
|
7,189
|
|
5
|
|
—
|
|
7,194
|
|
|||||
All other
|
|
—
|
|
—
|
|
1
|
|
—
|
|
1
|
|
|||||
Total mortgage-related securities
|
|
—
|
|
17,231
|
|
2,936
|
|
—
|
|
20,167
|
|
|||||
Non-mortgage-related securities
|
|
21,952
|
|
2,330
|
|
—
|
|
—
|
|
24,282
|
|
|||||
Total trading securities, at fair value
|
|
21,952
|
|
19,561
|
|
2,936
|
|
—
|
|
44,449
|
|
|||||
Total investments in securities
|
|
21,952
|
|
44,543
|
|
6,487
|
|
—
|
|
72,982
|
|
|||||
Mortgage loans:
|
|
|
|
|
|
|
||||||||||
Held-for-sale, at fair value
|
|
—
|
|
21,538
|
|
—
|
|
—
|
|
21,538
|
|
|||||
Derivative assets, net:
|
|
|
|
|
|
|
||||||||||
Interest-rate swaps
|
|
—
|
|
2,504
|
|
—
|
|
—
|
|
2,504
|
|
|||||
Option-based derivatives
|
|
—
|
|
5,196
|
|
—
|
|
—
|
|
5,196
|
|
|||||
Other
|
|
—
|
|
192
|
|
16
|
|
—
|
|
208
|
|
|||||
Subtotal, before netting adjustments
|
|
—
|
|
7,892
|
|
16
|
|
—
|
|
7,908
|
|
|||||
Netting adjustments(1)
|
|
—
|
|
—
|
|
—
|
|
(6,316
|
)
|
(6,316
|
)
|
|||||
Total derivative assets, net
|
|
—
|
|
7,892
|
|
16
|
|
(6,316
|
)
|
1,592
|
|
|||||
Other assets:
|
|
|
|
|
|
|
|
|||||||||
Guarantee asset, at fair value
|
|
—
|
|
—
|
|
4,225
|
|
—
|
|
4,225
|
|
|||||
Non-derivative held-for-sale purchase commitments, at fair value
|
|
—
|
|
223
|
|
—
|
|
—
|
|
223
|
|
|||||
All other, at fair value
|
|
—
|
|
—
|
|
142
|
|
—
|
|
142
|
|
|||||
Total other assets
|
|
—
|
|
223
|
|
4,367
|
|
—
|
|
4,590
|
|
|||||
Total assets carried at fair value on a recurring basis
|
|
|
$21,952
|
|
|
$74,196
|
|
|
$10,870
|
|
|
($6,316
|
)
|
|
$100,702
|
|
Liabilities:
|
|
|
|
|
|
|
||||||||||
Debt securities of consolidated trusts held by third parties, at fair value
|
|
|
$—
|
|
|
$4
|
|
|
$733
|
|
|
$—
|
|
|
$737
|
|
Other debt, at fair value
|
|
—
|
|
3,733
|
|
130
|
|
—
|
|
3,863
|
|
|||||
Derivative liabilities, net:
|
|
|
|
|
|
|
||||||||||
Interest-rate swaps
|
|
—
|
|
6,102
|
|
—
|
|
—
|
|
6,102
|
|
|||||
Option-based derivatives
|
|
—
|
|
78
|
|
—
|
|
—
|
|
78
|
|
|||||
Other
|
|
—
|
|
257
|
|
40
|
|
—
|
|
297
|
|
|||||
Subtotal, before netting adjustments
|
|
—
|
|
6,437
|
|
40
|
|
—
|
|
6,477
|
|
|||||
Netting adjustments(1)
|
|
—
|
|
—
|
|
—
|
|
(6,122
|
)
|
(6,122
|
)
|
|||||
Total derivative liabilities, net
|
|
—
|
|
6,437
|
|
40
|
|
(6,122
|
)
|
355
|
|
|||||
Other liabilities:
|
|
|
|
|
|
|
||||||||||
Non-derivative held-for-sale purchase commitments, at fair value
|
|
—
|
|
1
|
|
—
|
|
—
|
|
1
|
|
|||||
All other, at fair value
|
|
—
|
|
—
|
|
2
|
|
—
|
|
2
|
|
|||||
Total liabilities carried at fair value on a recurring basis
|
|
|
$—
|
|
|
$10,175
|
|
|
$905
|
|
|
($6,122
|
)
|
|
$4,958
|
|
Freddie Mac Form 10-Q
|
|
106
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 15
|
|
|
December 31, 2018
|
||||||||||||||
(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
|
|
|
$—
|
|
|
$26,102
|
|
|
$4,097
|
|
|
$—
|
|
|
$30,199
|
|
Other agency
|
|
—
|
|
1,668
|
|
38
|
|
—
|
|
1,706
|
|
|||||
Non-agency and other
|
|
—
|
|
18
|
|
1,640
|
|
—
|
|
1,658
|
|
|||||
Total available-for-sale securities, at fair value
|
|
—
|
|
27,788
|
|
5,775
|
|
—
|
|
33,563
|
|
|||||
Trading, at fair value:
|
|
|
|
|
|
|
||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
||||||||||
Freddie Mac
|
|
—
|
|
10,535
|
|
3,286
|
|
—
|
|
13,821
|
|
|||||
Other agency
|
|
—
|
|
2,544
|
|
7
|
|
—
|
|
2,551
|
|
|||||
All other
|
|
—
|
|
—
|
|
1
|
|
—
|
|
1
|
|
|||||
Total mortgage-related securities
|
|
—
|
|
13,079
|
|
3,294
|
|
—
|
|
16,373
|
|
|||||
Non-mortgage-related securities
|
|
15,885
|
|
3,290
|
|
—
|
|
—
|
|
19,175
|
|
|||||
Total trading securities, at fair value
|
|
15,885
|
|
16,369
|
|
3,294
|
|
—
|
|
35,548
|
|
|||||
Total investments in securities
|
|
15,885
|
|
44,157
|
|
9,069
|
|
—
|
|
69,111
|
|
|||||
Mortgage loans:
|
|
|
|
|
|
|
||||||||||
Held-for-sale, at fair value
|
|
—
|
|
23,106
|
|
—
|
|
—
|
|
23,106
|
|
|||||
Derivative assets, net:
|
|
|
|
|
|
|
||||||||||
Interest-rate swaps
|
|
—
|
|
2,127
|
|
—
|
|
—
|
|
2,127
|
|
|||||
Option-based derivatives
|
|
—
|
|
4,200
|
|
—
|
|
—
|
|
4,200
|
|
|||||
Other
|
|
—
|
|
90
|
|
1
|
|
—
|
|
91
|
|
|||||
Subtotal, before netting adjustments
|
|
—
|
|
6,417
|
|
1
|
|
—
|
|
6,418
|
|
|||||
Netting adjustments(1)
|
|
—
|
|
—
|
|
—
|
|
(6,083
|
)
|
(6,083
|
)
|
|||||
Total derivative assets, net
|
|
—
|
|
6,417
|
|
1
|
|
(6,083
|
)
|
335
|
|
|||||
Other assets:
|
|
|
|
|
|
|
||||||||||
Guarantee asset, at fair value
|
|
—
|
|
—
|
|
3,633
|
|
—
|
|
3,633
|
|
|||||
Non-derivative held-for-sale purchase commitments, at fair value
|
|
—
|
|
159
|
|
—
|
|
—
|
|
159
|
|
|||||
All other, at fair value
|
|
—
|
|
—
|
|
137
|
|
—
|
|
137
|
|
|||||
Total other assets
|
|
—
|
|
159
|
|
3,770
|
|
—
|
|
3,929
|
|
|||||
Total assets carried at fair value on a recurring basis
|
|
|
$15,885
|
|
|
$73,839
|
|
|
$12,840
|
|
|
($6,083
|
)
|
|
$96,481
|
|
Liabilities:
|
|
|
|
|
|
|
||||||||||
Debt securities of consolidated trusts held by third parties, at fair value
|
|
|
$—
|
|
|
$27
|
|
|
$728
|
|
|
$—
|
|
|
$755
|
|
Other debt, at fair value
|
|
—
|
|
4,223
|
|
134
|
|
—
|
|
4,357
|
|
|||||
Derivative liabilities, net:
|
|
|
|
|
|
|
||||||||||
Interest-rate swaps
|
|
—
|
|
3,974
|
|
—
|
|
—
|
|
3,974
|
|
|||||
Option-based derivatives
|
|
—
|
|
137
|
|
—
|
|
—
|
|
137
|
|
|||||
Other
|
|
—
|
|
225
|
|
92
|
|
—
|
|
317
|
|
|||||
Subtotal, before netting adjustments
|
|
—
|
|
4,336
|
|
92
|
|
—
|
|
4,428
|
|
|||||
Netting adjustments(1)
|
|
—
|
|
—
|
|
—
|
|
(3,845
|
)
|
(3,845
|
)
|
|||||
Total derivative liabilities, net
|
|
—
|
|
4,336
|
|
92
|
|
(3,845
|
)
|
583
|
|
|||||
Other liabilities:
|
|
|
|
|
|
|
||||||||||
Non-derivative held-for-sale purchase commitments, at fair value
|
|
—
|
|
17
|
|
—
|
|
—
|
|
17
|
|
|||||
Total liabilities carried at fair value on a recurring basis
|
|
|
$—
|
|
|
$8,603
|
|
|
$954
|
|
|
($3,845
|
)
|
|
$5,712
|
|
(1)
|
Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable.
|
Freddie Mac Form 10-Q
|
|
107
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 15
|
Freddie Mac Form 10-Q
|
|
108
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 15
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
|
|
YTD 2019
|
||||||||||||||||||||||||||||||||||||||||||||||
|
|
Balance,
January 1, 2019 |
|
Realized and unrealized gains (losses)
|
|
Purchases
|
|
Issues
|
|
Sales
|
|
Settlements,
net |
|
Transfers
into Level 3(1) |
|
Transfers
out of Level 3(1) |
|
Balance,
September 30, 2019 |
|
Unrealized
gains (losses) still held(3) |
||||||||||||||||||||||||||||
(In millions)
|
|
|
Included in
earnings
|
|
Included in
other
comprehensive
income
|
|
Total
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
|
|
|
||||||||||||||||||||||||||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Available-for-sale, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
|
|
$4,097
|
|
|
|
$13
|
|
|
|
$115
|
|
|
|
$128
|
|
|
|
$202
|
|
|
|
$—
|
|
|
|
($1,724
|
)
|
|
|
($290
|
)
|
|
|
$—
|
|
|
|
($263
|
)
|
|
|
$2,150
|
|
|
|
$2
|
|
Other agency
|
|
38
|
|
|
—
|
|
|
1
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5
|
)
|
|
—
|
|
|
—
|
|
|
34
|
|
|
—
|
|
||||||||||||
Non-agency and other
|
|
1,640
|
|
|
52
|
|
|
25
|
|
|
77
|
|
|
—
|
|
|
—
|
|
|
(174
|
)
|
|
(176
|
)
|
|
—
|
|
|
—
|
|
|
1,367
|
|
|
12
|
|
||||||||||||
Total available-for-sale mortgage-related securities
|
|
5,775
|
|
|
65
|
|
|
141
|
|
|
206
|
|
|
202
|
|
|
—
|
|
|
(1,898
|
)
|
|
(471
|
)
|
|
—
|
|
|
(263
|
)
|
|
3,551
|
|
|
14
|
|
||||||||||||
Trading, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Freddie Mac
|
|
3,286
|
|
|
(113
|
)
|
|
—
|
|
|
(113
|
)
|
|
1,242
|
|
|
—
|
|
|
(730
|
)
|
|
95
|
|
|
8
|
|
|
(858
|
)
|
|
2,930
|
|
|
(68
|
)
|
||||||||||||
Other agency
|
|
7
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5
|
|
|
(1
|
)
|
||||||||||||
All other
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
||||||||||||
Total trading mortgage-related securities
|
|
3,294
|
|
|
(113
|
)
|
|
—
|
|
|
(113
|
)
|
|
1,242
|
|
|
—
|
|
|
(732
|
)
|
|
95
|
|
|
8
|
|
|
(858
|
)
|
|
2,936
|
|
|
(69
|
)
|
||||||||||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
Guarantee asset
|
|
3,633
|
|
|
75
|
|
|
—
|
|
|
75
|
|
|
—
|
|
|
1,005
|
|
|
—
|
|
|
(488
|
)
|
|
—
|
|
|
—
|
|
|
4,225
|
|
|
75
|
|
||||||||||||
All other, at fair value
|
|
137
|
|
|
(31
|
)
|
|
—
|
|
|
(31
|
)
|
|
75
|
|
|
29
|
|
|
(59
|
)
|
|
(9
|
)
|
|
—
|
|
|
—
|
|
|
142
|
|
|
(51
|
)
|
||||||||||||
Total other assets
|
|
|
$3,770
|
|
|
|
$44
|
|
|
|
$—
|
|
|
|
$44
|
|
|
|
$75
|
|
|
|
$1,034
|
|
|
|
($59
|
)
|
|
|
($497
|
)
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$4,367
|
|
|
|
$24
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
|
|
Balance,
January 1, 2019 |
|
Realized and unrealized (gains) losses
|
|
Purchases
|
|
Issues
|
|
Sales
|
|
Settlements,
net |
|
Transfers
into Level 3(1) |
|
Transfers
out of Level 3(1) |
|
Balance,
September 30, 2019 |
|
Unrealized
(gains) losses still held(3) |
||||||||||||||||||||||||||||
|
|
|
Included in
earnings |
|
Included in
other comprehensive income |
|
Total
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
|
|
|
||||||||||||||||||||||||||||||||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value
|
|
|
$728
|
|
|
|
$5
|
|
|
|
$—
|
|
|
|
$5
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$733
|
|
|
|
$5
|
|
Other debt, at fair value
|
|
134
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2
|
|
|
—
|
|
|
(6
|
)
|
|
—
|
|
|
—
|
|
|
130
|
|
|
—
|
|
||||||||||||
Net derivatives(2)
|
|
91
|
|
|
(54
|
)
|
|
—
|
|
|
(54
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(13
|
)
|
|
—
|
|
|
—
|
|
|
24
|
|
|
(66
|
)
|
||||||||||||
All other, at fair value
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4
|
|
|
—
|
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2
|
|
|
(2
|
)
|
Freddie Mac Form 10-Q
|
|
109
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 15
|
|
|
3Q 2018
|
||||||||||||||||||||||||||||||||||||||||||||||
|
|
Balance,
July 1, 2018 |
|
Realized and unrealized gains (losses)
|
|
Purchases
|
|
Issues
|
|
Sales
|
|
Settlements,
net |
|
Transfers
into Level 3(1) |
|
Transfers
out of Level 3(1) |
|
Balance,
September 30, 2018 |
|
Unrealized
gains (losses) still held(3) |
||||||||||||||||||||||||||||
(In millions)
|
|
|
Included in
earnings |
|
Included in other
comprehensive income |
|
Total
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
|
|
|
||||||||||||||||||||||||||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Available-for-sale, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
|
|
$6,004
|
|
|
|
($3
|
)
|
|
|
($68
|
)
|
|
|
($71
|
)
|
|
|
$684
|
|
|
|
$—
|
|
|
|
($237
|
)
|
|
|
($199
|
)
|
|
|
$—
|
|
|
|
($91
|
)
|
|
|
$6,090
|
|
|
|
($4
|
)
|
Other agency
|
|
270
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
|
—
|
|
|
(228
|
)
|
|
40
|
|
|
—
|
|
||||||||||||
Non-agency and other
|
|
2,535
|
|
|
383
|
|
|
(66
|
)
|
|
317
|
|
|
—
|
|
|
—
|
|
|
(660
|
)
|
|
(134
|
)
|
|
—
|
|
|
—
|
|
|
2,058
|
|
|
10
|
|
||||||||||||
Total available-for-sale mortgage-related securities
|
|
8,809
|
|
|
380
|
|
|
(134
|
)
|
|
246
|
|
|
684
|
|
|
—
|
|
|
(897
|
)
|
|
(335
|
)
|
|
—
|
|
|
(319
|
)
|
|
8,188
|
|
|
6
|
|
||||||||||||
Trading, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
|
3,711
|
|
|
(140
|
)
|
|
—
|
|
|
(140
|
)
|
|
623
|
|
|
—
|
|
|
(875
|
)
|
|
(31
|
)
|
|
—
|
|
|
(108
|
)
|
|
3,180
|
|
|
(136
|
)
|
||||||||||||
Other agency
|
|
17
|
|
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
17
|
|
|
(1
|
)
|
||||||||||||
All other
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
||||||||||||
Total trading mortgage-related securities
|
|
3,729
|
|
|
(141
|
)
|
|
—
|
|
|
(141
|
)
|
|
623
|
|
|
—
|
|
|
(875
|
)
|
|
(30
|
)
|
|
—
|
|
|
(108
|
)
|
|
3,198
|
|
|
(137
|
)
|
||||||||||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Guarantee asset
|
|
3,363
|
|
|
(28
|
)
|
|
—
|
|
|
(28
|
)
|
|
—
|
|
|
255
|
|
|
—
|
|
|
(147
|
)
|
|
—
|
|
|
—
|
|
|
3,443
|
|
|
(28
|
)
|
||||||||||||
All other, at fair value
|
|
103
|
|
|
1
|
|
|
—
|
|
|
1
|
|
|
(3
|
)
|
|
(11
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
90
|
|
|
(4
|
)
|
||||||||||||
Total other assets
|
|
|
$3,466
|
|
|
|
($27
|
)
|
|
|
$—
|
|
|
|
($27
|
)
|
|
|
($3
|
)
|
|
|
$244
|
|
|
|
$—
|
|
|
|
($147
|
)
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$3,533
|
|
|
|
($32
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
|
|
Balance,
July 1, 2018 |
|
Realized and unrealized gains (losses)
|
|
Purchases
|
|
Issues
|
|
Sales
|
|
Settlements,
net |
|
Transfers
into Level 3(1) |
|
Transfers
out of Level 3(1) |
|
Balance,
September 30, 2018 |
|
Unrealized
gains (losses) still held(3) |
||||||||||||||||||||||||||||
|
|
|
Included in
earnings |
|
Included in other
comprehensive income |
|
Total
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
|
|
|
||||||||||||||||||||||||||||||||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value
|
|
|
$629
|
|
|
|
($1
|
)
|
|
|
$—
|
|
|
|
($1
|
)
|
|
|
$—
|
|
|
|
$100
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$728
|
|
|
|
($1
|
)
|
Other debt, at fair value
|
|
135
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
134
|
|
|
—
|
|
||||||||||||
Net derivatives(2)
|
|
42
|
|
|
8
|
|
|
—
|
|
|
8
|
|
|
—
|
|
|
41
|
|
|
—
|
|
|
(4
|
)
|
|
—
|
|
|
—
|
|
|
87
|
|
|
3
|
|
Freddie Mac Form 10-Q
|
|
110
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 15
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
|
|
YTD 2018
|
||||||||||||||||||||||||||||||||||||||||||||||
|
|
Balance,
January 1, 2018 |
|
Realized and unrealized gains (losses)
|
|
Purchases
|
|
Issues
|
|
Sales
|
|
Settlements,
net |
|
Transfers
into Level 3(1) |
|
Transfers
out of Level 3(1) |
|
Balance,
September 30, 2018 |
|
Unrealized
gains (losses) still held(3) |
||||||||||||||||||||||||||||
(In millions)
|
|
|
Included in
earnings |
|
Included in other
comprehensive income |
|
Total
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
|
|
|
||||||||||||||||||||||||||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Available-for-sale, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
|
|
$6,751
|
|
|
|
($13
|
)
|
|
|
($267
|
)
|
|
|
($280
|
)
|
|
|
$684
|
|
|
|
$—
|
|
|
|
($293
|
)
|
|
|
($772
|
)
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$6,090
|
|
|
|
($13
|
)
|
Other agency
|
|
46
|
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5
|
)
|
|
—
|
|
|
—
|
|
|
40
|
|
|
—
|
|
||||||||||||
Non-agency and other
|
|
4,291
|
|
|
876
|
|
|
(538
|
)
|
|
338
|
|
|
—
|
|
|
—
|
|
|
(2,160
|
)
|
|
(411
|
)
|
|
—
|
|
|
—
|
|
|
2,058
|
|
|
31
|
|
||||||||||||
Total available-for-sale mortgage-related securities
|
|
11,088
|
|
|
863
|
|
|
(806
|
)
|
|
57
|
|
|
684
|
|
|
—
|
|
|
(2,453
|
)
|
|
(1,188
|
)
|
|
—
|
|
|
—
|
|
|
8,188
|
|
|
18
|
|
||||||||||||
Trading, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Freddie Mac
|
|
2,907
|
|
|
(383
|
)
|
|
—
|
|
|
(383
|
)
|
|
1,027
|
|
|
—
|
|
|
(863
|
)
|
|
(55
|
)
|
|
579
|
|
|
(32
|
)
|
|
3,180
|
|
|
(362
|
)
|
||||||||||||
Other agency
|
|
9
|
|
|
(2
|
)
|
|
—
|
|
|
(2
|
)
|
|
30
|
|
|
—
|
|
|
(21
|
)
|
|
1
|
|
|
—
|
|
|
—
|
|
|
17
|
|
|
(2
|
)
|
||||||||||||
All other
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
||||||||||||
Total trading mortgage-related securities
|
|
2,917
|
|
|
(385
|
)
|
|
—
|
|
|
(385
|
)
|
|
1,057
|
|
|
—
|
|
|
(884
|
)
|
|
(54
|
)
|
|
579
|
|
|
(32
|
)
|
|
3,198
|
|
|
(364
|
)
|
||||||||||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Guarantee asset
|
|
3,171
|
|
|
(48
|
)
|
|
—
|
|
|
(48
|
)
|
|
—
|
|
|
745
|
|
|
—
|
|
|
(425
|
)
|
|
—
|
|
|
—
|
|
|
3,443
|
|
|
(48
|
)
|
||||||||||||
All other, at fair value
|
|
45
|
|
|
31
|
|
|
—
|
|
|
31
|
|
|
38
|
|
|
(24
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
90
|
|
|
11
|
|
||||||||||||
Total other assets
|
|
|
$3,216
|
|
|
|
($17
|
)
|
|
|
$—
|
|
|
|
($17
|
)
|
|
|
$38
|
|
|
|
$721
|
|
|
|
$—
|
|
|
|
($425
|
)
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$3,533
|
|
|
|
($37
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
|
|
Balance,
January 1, 2018 |
|
Realized and unrealized gains (losses)
|
|
Purchases
|
|
Issues
|
|
Sales
|
|
Settlements,
net |
|
Transfers
into Level 3(1) |
|
Transfers
out of Level 3(1) |
|
Balance,
September 30, 2018 |
|
Unrealized
gains (losses) still held(3) |
||||||||||||||||||||||||||||
|
|
|
Included in
earnings |
|
Included in other
comprehensive income |
|
Total
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
|
|
|
||||||||||||||||||||||||||||||||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value
|
|
|
$630
|
|
|
|
($2
|
)
|
|
|
$—
|
|
|
|
($2
|
)
|
|
|
$—
|
|
|
|
$100
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$728
|
|
|
|
($2
|
)
|
Other debt, at fair value
|
|
137
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
|
—
|
|
|
—
|
|
|
134
|
|
|
—
|
|
||||||||||||
Net derivatives(2)
|
|
57
|
|
|
28
|
|
|
—
|
|
|
28
|
|
|
—
|
|
|
15
|
|
|
—
|
|
|
(13
|
)
|
|
—
|
|
|
—
|
|
|
87
|
|
|
15
|
|
(1)
|
Transfers out of Level 3 during 3Q 2019 and YTD 2019 and 3Q 2018 and YTD 2018 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 3Q 2019 and YTD 2019 and 3Q 2018 and YTD 2018 consisted primarily of certain mortgage-related securities due to a decrease in market activity and the availability of relevant price quotes from dealers and third-party pricing services.
|
(2)
|
Amounts are the net of derivative assets and liabilities prior to counterparty netting, cash collateral netting, net trade/settle receivable or payable, and net derivative interest receivable or payable.
|
(3)
|
Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains and losses related to assets and liabilities classified as Level 3 that were still held at September 30, 2019 and September 30, 2018, respectively. Included in these amounts are other-than temporary impairments recorded on available-for-sale securities.
|
Freddie Mac Form 10-Q
|
|
111
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 15
|
|
|
September 30, 2019
|
||||||||||||
|
|
Level 3
Fair
Value
|
|
Predominant
Valuation
Technique(s)
|
|
Unobservable Inputs
|
||||||||
(Dollars in millions, except for certain unobservable inputs as shown)
|
|
Type
|
|
Range
|
|
Weighted
Average
|
||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
||||
Available-for-sale, at fair value
|
|
|
|
|
|
|
|
|
|
|
||||
Mortgage-related securities
|
|
|
|
|
|
|
|
|
|
|
||||
Freddie Mac
|
|
|
$2,150
|
|
|
Discounted cash flows
|
|
OAS
|
|
30 - 261 bps
|
|
81 bps
|
|
|
Non-agency and other
|
|
979
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$70.3 - $76.7
|
|
|
$73.5
|
|
|
|
|
388
|
|
|
Other
|
|
|
|
|
|
|
|||
Trading, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|||
Mortgage-related securities
|
|
|
|
|
|
|
|
|
|
|
|
|||
Freddie Mac
|
|
2,047
|
|
|
Single external source
|
|
External pricing sources
|
|
$0.0 - $102.4
|
|
|
$36.1
|
|
|
|
|
883
|
|
|
Discounted cash flows
|
|
OAS
|
|
(831) - 8,095 bps
|
|
555 bps
|
|
||
Guarantee asset, at fair value
|
|
3,970
|
|
|
Discounted cash flows
|
|
OAS
|
|
17-186 bps
|
|
43 bps
|
|
||
|
|
255
|
|
|
Other
|
|
|
|
|
|
|
|||
Insignificant Level 3 assets(1)
|
|
182
|
|
|
|
|
|
|
|
|
|
|||
Total level 3 assets
|
|
|
$10,854
|
|
|
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|||
Debt securities of consolidated trusts held by third parties, at fair value
|
|
|
$733
|
|
|
Single External Source
|
|
External Pricing Sources
|
|
$99.5 - $103.9
|
|
|
$100.4
|
|
Insignificant Level 3 liabilities(1)
|
|
156
|
|
|
|
|
|
|
|
|
|
Freddie Mac Form 10-Q
|
|
112
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 15
|
|
|
December 31, 2018
|
||||||||||||
|
|
Level 3
Fair Value |
|
Predominant
Valuation Technique(s) |
|
Unobservable Inputs
|
||||||||
(Dollars in millions, except for certain unobservable inputs as shown)
|
|
Type
|
|
Range
|
|
Weighted
Average
|
||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
||||
Available-for-sale, at fair value
|
|
|
|
|
|
|
|
|
|
|
||||
Mortgage-related securities
|
|
|
|
|
|
|
|
|
|
|
||||
Freddie Mac
|
|
|
$2,838
|
|
|
Discounted cash flows
|
|
OAS
|
|
30 - 325 bps
|
|
81 bps
|
|
|
|
|
1,259
|
|
|
Single external source
|
|
External pricing sources
|
|
$96.1 - $104.1
|
|
|
$102.3
|
|
|
Non-agency and other
|
|
1,403
|
|
|
Median of external sources
|
|
External pricing sources
|
|
$64.3 - $71.1
|
|
|
$67.3
|
|
|
|
|
237
|
|
|
Single external source
|
|
External pricing sources
|
|
$93.1 - $110.7
|
|
|
$100.7
|
|
|
Trading, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|||
Mortgage-related securities
|
|
|
|
|
|
|
|
|
|
|
|
|||
Freddie Mac
|
|
1,587
|
|
|
Single external source
|
|
External pricing sources
|
|
$0.0 - $99.2
|
|
|
$56.6
|
|
|
|
|
1,178
|
|
|
Discounted cash flows
|
|
OAS
|
|
(21,945) - 6,639 bps
|
|
90 bps
|
|
||
|
|
521
|
|
|
Other
|
|
|
|
|
|
|
|||
Guarantee asset, at fair value
|
|
3,391
|
|
|
Discounted cash flows
|
|
OAS
|
|
17-198 bps
|
|
49 bps
|
|
||
|
|
242
|
|
|
Other
|
|
|
|
|
|
|
|||
Insignificant Level 3 assets(1)
|
|
184
|
|
|
|
|
|
|
|
|
|
|||
Total level 3 assets
|
|
|
$12,840
|
|
|
|
|
|
|
|
|
|
||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|||
Debt securities of consolidated trusts held by third parties, at fair value
|
|
|
$728
|
|
|
Single External Source
|
|
External Pricing Sources
|
|
$97.4 - $101.1
|
|
|
$99.6
|
|
Insignificant Level 3 liabilities(1)
|
|
226
|
|
|
|
|
|
|
|
|
|
(1)
|
Represents the aggregate amount of Level 3 assets or liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant.
|
Freddie Mac Form 10-Q
|
|
113
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 15
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||||||||||||
(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)
|
|
|
$—
|
|
|
$429
|
|
|
$3,301
|
|
|
$3,730
|
|
|
|
$—
|
|
|
$24
|
|
|
$7,519
|
|
|
$7,543
|
|
(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
|
|
114
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 15
|
|
|
|
September 30, 2019
|
||||||||||||||||||||||
|
|
GAAP Measurement Category(1)
|
GAAP Carrying Amount
|
|
Fair Value
|
||||||||||||||||||||
(In millions)
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Netting
Adjustments(2)
|
|
Total
|
||||||||||||||
Financial Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Cash and cash equivalents
|
|
Amortized cost
|
|
$8,708
|
|
|
|
$8,693
|
|
|
|
$15
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$8,708
|
|
Securities purchased under agreements to resell
|
|
Amortized cost
|
51,187
|
|
|
—
|
|
|
51,187
|
|
|
—
|
|
|
—
|
|
|
51,187
|
|
||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Available-for-sale, at fair value
|
|
FV - OCI
|
28,533
|
|
|
—
|
|
|
24,982
|
|
|
3,551
|
|
|
—
|
|
|
28,533
|
|
||||||
Trading, at fair value
|
|
FV - NI
|
44,449
|
|
|
21,952
|
|
|
19,561
|
|
|
2,936
|
|
|
—
|
|
|
44,449
|
|
||||||
Total investments in securities
|
|
|
72,982
|
|
|
21,952
|
|
|
44,543
|
|
|
6,487
|
|
|
—
|
|
|
72,982
|
|
||||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Loans held by consolidated trusts
|
|
|
1,905,633
|
|
|
—
|
|
|
1,714,292
|
|
|
223,324
|
|
|
—
|
|
|
1,937,616
|
|
||||||
Loans held by Freddie Mac
|
|
|
91,857
|
|
|
—
|
|
|
46,636
|
|
|
48,517
|
|
|
—
|
|
|
95,153
|
|
||||||
Total mortgage loans
|
|
Various(3)
|
1,997,490
|
|
|
—
|
|
|
1,760,928
|
|
|
271,841
|
|
|
—
|
|
|
2,032,769
|
|
||||||
Derivative assets, net
|
|
FV - NI
|
1,592
|
|
|
—
|
|
|
7,892
|
|
|
16
|
|
|
(6,316
|
)
|
|
1,592
|
|
||||||
Guarantee asset
|
|
FV - NI
|
4,225
|
|
|
—
|
|
|
—
|
|
|
4,233
|
|
|
—
|
|
|
4,233
|
|
||||||
Non-derivative purchase commitments, at fair value
|
|
FV - NI
|
223
|
|
|
—
|
|
|
229
|
|
|
1
|
|
|
—
|
|
|
230
|
|
||||||
Secured lending and other
|
|
Amortized cost
|
5,439
|
|
|
—
|
|
|
1,728
|
|
|
2,745
|
|
|
—
|
|
|
4,473
|
|
||||||
Total financial assets
|
|
|
|
$2,141,846
|
|
|
|
$30,645
|
|
|
|
$1,866,522
|
|
|
|
$285,323
|
|
|
|
($6,316
|
)
|
|
|
$2,176,174
|
|
Financial Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Debt, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Debt securities of consolidated trusts held by third parties
|
|
|
|
$1,869,308
|
|
|
|
$—
|
|
|
|
$1,898,887
|
|
|
|
$2,068
|
|
|
|
$—
|
|
|
|
$1,900,955
|
|
Other debt
|
|
|
279,951
|
|
|
—
|
|
|
281,229
|
|
|
3,757
|
|
|
—
|
|
|
284,986
|
|
||||||
Total debt, net
|
|
Various(4)
|
2,149,259
|
|
|
—
|
|
|
2,180,116
|
|
|
5,825
|
|
|
—
|
|
|
2,185,941
|
|
||||||
Derivative liabilities, net
|
|
FV - NI
|
355
|
|
|
—
|
|
|
6,437
|
|
|
40
|
|
|
(6,122
|
)
|
|
355
|
|
||||||
Guarantee obligation
|
|
Amortized cost
|
4,055
|
|
|
—
|
|
|
—
|
|
|
4,416
|
|
|
—
|
|
|
4,416
|
|
||||||
Non-derivative purchase commitments, at fair value
|
|
FV - NI
|
1
|
|
|
—
|
|
|
1
|
|
|
12
|
|
|
—
|
|
|
13
|
|
||||||
Total financial liabilities
|
|
|
|
$2,153,670
|
|
|
|
$—
|
|
|
|
$2,186,554
|
|
|
|
$10,293
|
|
|
|
($6,122
|
)
|
|
|
$2,190,725
|
|
(1)
|
FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income.
|
(2)
|
Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable.
|
(3)
|
As of September 30, 2019, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $2.0 trillion, $19.6 billion, and $21.5 billion, respectively.
|
(4)
|
As of September 30, 2019, the GAAP carrying amounts measured at amortized cost and FV - NI were $2.1 trillion and $4.6 billion, respectively.
|
Freddie Mac Form 10-Q
|
|
115
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 15
|
|
|
|
December 31, 2018
|
||||||||||||||||||||||
|
|
GAAP Measurement Category(1)
|
GAAP Carrying Amount
|
|
Fair Value
|
||||||||||||||||||||
(In millions)
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Netting Adjustments(2)
|
|
Total
|
||||||||||||||
Financial Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Cash and cash equivalents
|
|
Amortized cost
|
|
$7,273
|
|
|
|
$7,273
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$—
|
|
|
|
$7,273
|
|
Securities purchased under agreements to resell
|
|
Amortized cost
|
34,771
|
|
|
—
|
|
|
34,771
|
|
|
—
|
|
|
—
|
|
|
34,771
|
|
||||||
Investments in securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Available-for-sale, at fair value
|
|
FV - OCI
|
33,563
|
|
|
—
|
|
|
27,788
|
|
|
5,775
|
|
|
—
|
|
|
33,563
|
|
||||||
Trading, at fair value
|
|
FV - NI
|
35,548
|
|
|
15,885
|
|
|
16,369
|
|
|
3,294
|
|
|
—
|
|
|
35,548
|
|
||||||
Total investments in securities
|
|
|
69,111
|
|
|
15,885
|
|
|
44,157
|
|
|
9,069
|
|
|
—
|
|
|
69,111
|
|
||||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Loans held by consolidated trusts
|
|
|
1,842,850
|
|
|
—
|
|
|
1,605,874
|
|
|
209,542
|
|
|
—
|
|
|
1,815,416
|
|
||||||
Loans held by Freddie Mac
|
|
|
84,128
|
|
|
—
|
|
|
33,946
|
|
|
52,212
|
|
|
—
|
|
|
86,158
|
|
||||||
Total mortgage loans
|
|
Various(3)
|
1,926,978
|
|
|
—
|
|
|
1,639,820
|
|
|
261,754
|
|
|
—
|
|
|
1,901,574
|
|
||||||
Derivative assets, net
|
|
FV - NI
|
335
|
|
|
—
|
|
|
6,417
|
|
|
1
|
|
|
(6,083
|
)
|
|
335
|
|
||||||
Guarantee asset
|
|
FV - NI
|
3,633
|
|
|
—
|
|
|
—
|
|
|
3,642
|
|
|
—
|
|
|
3,642
|
|
||||||
Non-derivative purchase commitments, at fair value
|
|
FV - NI
|
159
|
|
|
—
|
|
|
159
|
|
|
2
|
|
|
—
|
|
|
161
|
|
||||||
Secured lending and other
|
|
Amortized cost
|
1,805
|
|
|
—
|
|
|
195
|
|
|
873
|
|
|
—
|
|
|
1,068
|
|
||||||
Total financial assets
|
|
|
|
$2,044,065
|
|
|
|
$23,158
|
|
|
|
$1,725,519
|
|
|
|
$275,341
|
|
|
|
($6,083
|
)
|
|
|
$2,017,935
|
|
Financial Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Debt, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Debt securities of consolidated trusts held by third parties
|
|
|
|
$1,792,677
|
|
|
|
$—
|
|
|
|
$1,759,911
|
|
|
|
$2,698
|
|
|
|
$—
|
|
|
|
$1,762,609
|
|
Other debt
|
|
|
252,273
|
|
|
—
|
|
|
251,543
|
|
|
3,629
|
|
|
—
|
|
|
255,172
|
|
||||||
Total debt, net
|
|
Various(4)
|
2,044,950
|
|
|
—
|
|
|
2,011,454
|
|
|
6,327
|
|
|
—
|
|
|
2,017,781
|
|
||||||
Derivative liabilities, net
|
|
FV - NI
|
583
|
|
|
—
|
|
|
4,336
|
|
|
92
|
|
|
(3,845
|
)
|
|
583
|
|
||||||
Guarantee obligation
|
|
Amortized cost
|
3,561
|
|
|
—
|
|
|
—
|
|
|
4,146
|
|
|
—
|
|
|
4,146
|
|
||||||
Non-derivative purchase commitments, at fair value
|
|
FV - NI
|
17
|
|
|
—
|
|
|
17
|
|
|
11
|
|
|
—
|
|
|
28
|
|
||||||
Total financial liabilities
|
|
|
|
$2,049,111
|
|
|
|
$—
|
|
|
|
$2,015,807
|
|
|
|
$10,576
|
|
|
|
($3,845
|
)
|
|
|
$2,022,538
|
|
(1)
|
FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income.
|
(2)
|
Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable.
|
(3)
|
As of December 31, 2018, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $1.9 trillion, $18.5 billion, and $23.1 billion, respectively.
|
(4)
|
As of December 31, 2018, the GAAP carrying amounts measured at amortized cost and FV - NI were $2.0 trillion and $5.1 billion, respectively.
|
Freddie Mac Form 10-Q
|
|
116
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 15
|
|
|
September 30, 2019
|
|
December 31, 2018
|
||||||||||||||||
(In millions)
|
|
Multifamily
Held-For-Sale
Loans
|
Other Debt -
Long Term
|
Debt Securities Of Consolidated Trusts Held By Third Parties
|
|
Multifamily
Held-For-Sale
Loans
|
Other Debt -
Long Term
|
Debt Securities Of Consolidated Trusts Held By Third Parties
|
||||||||||||
Fair value
|
|
|
$21,538
|
|
|
$3,806
|
|
|
$733
|
|
|
|
$23,106
|
|
|
$4,357
|
|
|
$728
|
|
UPB
|
|
20,152
|
|
3,538
|
|
730
|
|
|
22,693
|
|
3,998
|
|
730
|
|
||||||
Difference
|
|
|
$1,386
|
|
|
$268
|
|
|
$3
|
|
|
|
$413
|
|
|
$359
|
|
|
($2
|
)
|
|
|
3Q 2019
|
3Q 2018
|
|
YTD 2019
|
YTD 2018
|
||||||||
(In millions)
|
|
Gains (Losses)
|
|
Gains (Losses)
|
||||||||||
Multifamily held-for-sale loans
|
|
|
$398
|
|
|
($285
|
)
|
|
|
$1,216
|
|
|
($797
|
)
|
Multifamily held-for-sale loan purchase commitments
|
|
641
|
|
267
|
|
|
1,644
|
|
564
|
|
||||
Other debt - long term
|
|
49
|
|
10
|
|
|
116
|
|
38
|
|
||||
Debt securities of consolidated trusts held by third parties
|
|
(1
|
)
|
2
|
|
|
(6
|
)
|
4
|
|
Freddie Mac Form 10-Q
|
|
117
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 16
|
Freddie Mac Form 10-Q
|
|
118
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 16
|
Freddie Mac Form 10-Q
|
|
119
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 16
|
Freddie Mac Form 10-Q
|
|
120
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 16
|
Freddie Mac Form 10-Q
|
|
121
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 17
|
(In millions)
|
|
September 30, 2019
|
December 31, 2018
|
||||
GAAP net worth (deficit)
|
|
|
$6,674
|
|
|
$4,477
|
|
Core capital (deficit)(1)(2)
|
|
(66,556
|
)
|
(68,036
|
)
|
||
Less: Minimum capital requirement(1)
|
|
18,817
|
|
17,553
|
|
||
Minimum capital surplus (deficit)(1)
|
|
|
($85,373
|
)
|
|
($85,589
|
)
|
(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
|
|
122
|
Financial Statements
|
Notes to the Condensed Consolidated Financial Statements | Note 18
|
(In millions)
|
|
3Q 2019
|
3Q 2018
|
|
YTD 2019
|
YTD 2018
|
||||||||
Other income (loss):
|
|
|
|
|
|
|
||||||||
Income on guarantee obligation
|
|
|
$206
|
|
|
$176
|
|
|
|
$593
|
|
|
$524
|
|
All other
|
|
(60
|
)
|
(97
|
)
|
|
(204
|
)
|
124
|
|
||||
Total other income (loss)
|
|
|
$146
|
|
|
$79
|
|
|
|
$389
|
|
|
$648
|
|
(In millions)
|
|
September 30, 2019
|
December 31, 2018
|
||||
Other assets:
|
|
|
|
||||
Real estate owned, net
|
|
|
$607
|
|
|
$769
|
|
Accounts and other receivables(1)
|
|
12,816
|
|
2,447
|
|
||
Guarantee asset
|
|
4,225
|
|
3,633
|
|
||
Secured lending and other
|
|
5,439
|
|
1,805
|
|
||
All other
|
|
2,626
|
|
2,322
|
|
||
Total other assets
|
|
|
$25,713
|
|
|
$10,976
|
|
Other liabilities:
|
|
|
|
||||
Guarantee obligation
|
|
|
$4,055
|
|
|
$3,561
|
|
All other
|
|
3,215
|
|
2,837
|
|
||
Total other liabilities
|
|
|
$7,270
|
|
|
$6,398
|
|
(1)
|
Primarily consists of servicer receivables and other non-interest receivables.
|
Freddie Mac Form 10-Q
|
|
123
|
Other Information
|
Freddie Mac Form 10-Q
|
|
124
|
Other Information
|
Freddie Mac Form 10-Q
|
|
125
|
Controls and Procedures
|
n
|
FHFA has established the Division of Conservatorship, which is intended to facilitate operation of the company with the oversight of the Conservator.
|
n
|
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 certain speeches to FHFA personnel for their review and comment prior to release.
|
n
|
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.
|
n
|
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.
|
n
|
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.
|
Freddie Mac Form 10-Q
|
|
126
|
Controls and Procedures
|
n
|
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
|
|
127
|
Exhibit Index
|
Exhibit
|
Description*
|
|
|
4.1
|
|
|
|
|
|
10.1
|
|
|
|
|
|
10.2
|
|
|
|
|
|
31.1
|
|
|
|
|
|
31.2
|
|
|
|
|
|
32.1
|
|
|
|
|
|
32.2
|
|
|
|
|
|
101.INS
|
XBRL Instance Document - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document
|
|
|
|
|
101.SCH
|
XBRL Taxonomy Extension Schema
|
|
|
|
|
101. CAL
|
XBRL Taxonomy Extension Calculation
|
|
|
|
|
101.DEF
|
XBRL Taxonomy Extension Definition
|
|
|
|
|
101.LAB
|
XBRL Taxonomy Label
|
|
|
|
|
101. PRE
|
XBRL Taxonomy Extension Presentation
|
|
|
|
|
104
|
Cover Page Interactive Data File - the cover page interactive data file does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document
|
|
|
* The SEC file numbers for the Registrant’s Registration Statement on Form 10, Annual Reports on Form 10-K, Quarterly Reports on Form 10-Q, and Current Reports on Form 8-K are 000-53330 and 001-34139.
|
|
† This exhibit is a management contract or compensatory plan, contract, or arrangement.
|
Freddie Mac Form 10-Q
|
|
128
|
Signatures
|
Federal Home Loan Mortgage Corporation
|
||
|
|
|
By:
|
|
/s/ David M. Brickman
|
|
|
David M. Brickman
|
|
|
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
|
|
129
|
Form 10-Q Index
|
Freddie Mac Form 10-Q
|
|
130
|
FEDERAL HOME LOAN MORTGAGE CORPORATION,
|
||
by
|
||
The Federal Housing Finance Agency, its Conservator
|
||
|
|
|
By:
|
|
/s/ Mark A. Calabria
|
|
|
Mark A. Calabria
|
|
|
Director
|
Deferred Salary (continued)
|
At-Risk Deferred Salary payments for Covered Officers are subject to review and approval by the Committee and FHFA, as appropriate.
Fixed Deferred Salary - Fixed Deferred Salary shall be equal to the Covered Officer’s Target TDC less Base Salary and less At-Risk Deferred Salary and is not subject to reduction based on either corporate or individual performance.
Payment of both At-Risk and Fixed Deferred Salary is also subject, if applicable, to the “Treatment Upon Termination” provisions set forth below.
|
Deferred Salary Approved Payment Schedule
|
At-Risk Deferred Salary - For Covered Officers hired after December 31, 2019, At-Risk Deferred Salary earned in each quarter will be paid on the last regular pay date in the corresponding quarter of the second calendar year following the quarter in which it was earned.
For Covered Officers hired prior to December 31, 2019, At-Risk Deferred Salary earned in each quarter prior to January 1, 2022, will be paid on the last regular pay date in the corresponding quarter of the following calendar year. At-Risk Deferred Salary earned in each quarter after January 1, 2022, will be paid on the last regular pay date in the corresponding quarter of the second calendar year following the quarter in which it was earned.
Fixed Deferred Salary - Fixed Deferred Salary earned in each quarter will be paid on the last regular pay date within the corresponding quarter of the following calendar year.
|
Interest on Deferred Salary
|
Interest will be credited on the amount of a Covered Officer’s At-Risk and Fixed Deferred Salary earned during each calendar quarter. The interest rate used is one-half the one-year Treasury Bill rate in effect on the last business day immediately preceding the year in which Deferred Salary is earned. The amount on which interest is accrued will take into account any reduction for corporate and/or individual performance applicable to a Covered Officer’s At-Risk Deferred Salary and any reduction applicable to a Covered Officer’s Fixed Deferred Salary resulting from certain terminations of employment as described in “Treatment Upon Termination: Fixed Deferred Salary.” Interest is earned from the first day of the calendar quarter following the quarter during which the Deferred Salary is earned through the payment date under the Approved Payment Schedule or, in the event of death, the actual payment date.
The amount of interest payable with respect to a Covered Officer’s Deferred Salary will be determined as of the payment date and will be paid at the same time as the Deferred Salary to which it relates. If Deferred Salary is forfeited or recaptured for any of the reasons described in the Recapture Agreement, the related interest will also be forfeited or recaptured.
|
Impact on Retirement, Executive, and Welfare Plans
|
The treatment of Base Salary and Deferred Salary as compensation for purposes of Freddie Mac’s retirement and welfare benefit plans is governed by the actual terms of those plans. The table below summarizes whether the Base Salary and Deferred Salary a Covered Officer receives while an active employee are treated as compensation for purposes of the following Freddie Mac retirement and welfare benefit plans. Freddie Mac retains the right to amend, revise or discontinue any of the retirement and welfare benefit plans and the terms of each plan will prevail in the event that there is any conflict between those terms and the table below.
|
Impact on Retirement, Executive, and Welfare Plans (continued)
|
Freddie Mac's Retirement and Welfare Benefit Plans
|
Base Salary Considered Compensation?
|
Deferred Salary Considered Compensation?
|
|
Tax-Qualified Thrift/401(k)
|
Yes
|
Yes
|
||
Non-Qualified Thrift/401(k) Supplemental Executive Retirement Plan (SERP)4
|
Yes
|
Yes
|
||
Group Term Life Insurance
|
Yes
|
No
|
||
Group Universal Life Insurance
|
Yes
|
No
|
||
Long-Term Disability Plan
|
Yes
|
No
|
||
Accidental Death and Personal Loss Insurance
|
Yes
|
No
|
||
Business Travel Accident Insurance
|
Yes
|
No
|
||
Worker’s Compensation
|
Yes
|
No
|
||
Purchase/Payout of Vacation
|
Yes
|
No
|
||
Interest earned on Deferred Salary, as well as any Base Salary or Deferred Salary a Covered Officer receives after termination of employment are not treated as compensation for purposes of any Freddie Mac retirement or welfare benefit plan.
|
||||
Treatment Upon Termination:
Base Salary
|
Base Salary will cease upon termination of employment, regardless of the reason for such termination.
|
Treatment Upon Termination:
At-Risk Deferred Salary
|
The timing and payment of any unpaid portion of At-Risk Deferred Salary is based on the reason for termination of employment, as follows:
•
Forfeiture Event - All earned but unpaid At-Risk Deferred Salary and related interest is subject to forfeiture if a Covered Officer is terminated due to the occurrence of an event or conduct described in the Recapture Agreement;
•
Death - All earned but unpaid At-Risk Deferred Salary and related interest is paid as soon as administratively possible, but not later than 90 calendar days after the date of death, subject to the terms and conditions of the Recapture Agreement; and
•
Any Other Reason5 - All earned but unpaid At-Risk Deferred Salary and related interest is paid in accordance with the Approved Payment Schedule, subject to the terms and conditions of the Recapture Agreement.
Payment of earned but unpaid At-Risk Deferred Salary and related interest following a termination of employment shall be subject to the performance assessment and reduction process. The performance assessment and reduction process for At-Risk Deferred Salary is waived, however, in cases of death or Long-Term Disability (as defined in the Long-Term Disability Plan in effect on the date of termination) if the process is not complete as of the termination date.
|
Treatment Upon Termination:
Fixed Deferred Salary
|
The timing and payment of any unpaid portion of Fixed Deferred Salary is based on the reason for termination of employment, as follows:
•
Forfeiture Event - All earned but unpaid Fixed Deferred Salary and related interest is subject to forfeiture if a Covered Officer is terminated due to the occurrence of an event or conduct described in the Recapture Agreement;
•
Death - All earned but unpaid Fixed Deferred Salary and related interest is paid in full as soon as administratively possible, but not later than 90 calendar days after the date of death, subject to the terms and conditions of the Recapture Agreement; and
•
Any Other Reason5 - All earned but unpaid Fixed Deferred Salary and related interest is paid in accordance with the Approved Payment Schedule, subject to the terms and conditions of the Recapture Agreement.
A Covered Officer’s earned but unpaid Fixed Deferred Salary will be reduced by 2% for each full or partial month by which the termination precedes January 31 of the second calendar year following the calendar year in which the Fixed Deferred Salary is earned.
This reduction will not be applied in cases of death, Long-Term Disability, a severance-eligible termination, as defined in the severance plan applicable to Covered Officers who are not executive officers, or retirement. A Covered Officer is considered to have retired when s/he voluntarily terminates employment after attaining or exceeding 62 years of age, regardless of length of service, or attaining or exceeding 55 years of age with 10 or more years of continuous service.
|
Reservation of Rights and Applicable Law
|
Each Covered Officer’s employment with Freddie Mac is “at-will,” meaning that either the Covered Officer or Freddie Mac may terminate such employment at any time with or without cause or notice. Nothing in this Program Document or any other document referred to or incorporated by reference herein shall be held or construed to change the at-will nature of any Covered Officer’s employment with Freddie Mac.
Nothing in this Program Document is intended or shall be construed to abrogate FHFA’s authority to either: (i) modify or terminate any compensation plan or program (including the 2020 EMCP); or (ii) disapprove the actual payment of any form of compensation to be paid pursuant to the 2020 EMCP.
FHFA retains the right to modify any of the terms and conditions of your employment, including the right to modify or rescind the terms and conditions of the 2020 EMCP as well as the actual payment of compensation to you pursuant thereto, without giving rise to liability on the part of Freddie Mac.
The 2020 EMCP is subject to and shall be construed in accordance with: (i) any applicable law and any applicable regulation, guidance or interpretation of FHFA and/or the United States Department of the Treasury; and (ii) the substantive laws of the Commonwealth of Virginia, excluding provisions of the Virginia law concerning choice-of-law that would result in the law of any state other than Virginia being applied.
Payment of Deferred Salary under the 2020 EMCP is intended to comply with the requirements of Section 409A of the Internal Revenue Code of 1986 (“Section 409A”), as amended, and, specifically, with the separation pay exemption and short-term deferral exemption of Section 409A, and shall in all respects be construed, interpreted, and administered in accordance with Section 409A. Notwithstanding anything in the 2020 EMCP to the contrary, payments may only be made pursuant to the 2020 EMCP upon an event and in a manner permitted by Section 409A or an applicable exemption. All payments to be made upon a termination of employment under this Program Document may only be made upon a “separation from service” under section 409A. If a Covered Officer is a “specified employee” (within the meaning of Section 409A(a)(2)(B)(i)) at the time of a separation from service, payments scheduled to be made during the six months following the separation from service shall, to the extent required by Section 409A, be deferred to and payable on the first day of the seventh month following the separation from service.
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q for the quarter ended September 30, 2019 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/ David M. Brickman
|
|
|
David M. Brickman
|
|
|
Chief Executive Officer
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q for the quarter ended September 30, 2019 of the Federal Home Loan Mortgage Corporation;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
|
a.
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
|
b.
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
c.
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
|
d.
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
|
a.
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
|
b.
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
|
|
/s/ James G. Mackey
|
|
|
James G. Mackey
|
|
|
Executive Vice President — Chief Financial Officer
|
1.
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
2.
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
|
|
/s/ David M. Brickman
|
|
|
David M. Brickman
|
|
|
Chief Executive Officer
|
1.
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
2.
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
|
|
/s/ James G. Mackey
|
|
|
James G. Mackey
|
|
|
Executive Vice President — Chief Financial Officer
|