☒
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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
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8200 Jones Branch Drive
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22102-3110
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(703)
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903-2000
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corporation |
McLean,
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Virginia
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(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer
Identification No.)
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(Address of principal executive offices) | (Zip Code) |
(Registrant’s telephone number,
including area code)
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Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||||||
None | N/A | N/A |
Large accelerated filer
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☒ | 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
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n Market Conditions and Economic Indicators
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n Consolidated Results of Operations
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n Consolidated Balance Sheets Analysis
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n Our Portfolios
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n Our Business Segments
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n Risk Management
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l Credit Risk
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l Market Risk
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n Liquidity and Capital Resources
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n Critical Accounting Policies and Estimates
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n Regulation and Supervision
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n Forward-Looking Statements
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FINANCIAL STATEMENTS | |||||
OTHER INFORMATION | |||||
CONTROLS AND PROCEDURES | |||||
EXHIBIT INDEX | |||||
SIGNATURES | |||||
FORM 10-Q INDEX |
Freddie Mac 1Q 2021 Form 10-Q |
i
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Table of Contents |
Table | Description | Page | ||||||
1 |
Summary of Condensed Consolidated Statements of Comprehensive Income (Loss)
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|||||||
2 | Components of Net Interest Income | |||||||
3 | Analysis of Net Interest Yield | |||||||
4 | Components of Guarantee Fee Income | |||||||
5 | Components of Investment Gains (Losses), Net | |||||||
6 | Components of Mortgage Loans Gains (Losses) | |||||||
7 | Components of Investment Securities Gains (Losses) | |||||||
8 | Components of Debt Gains (Losses) | |||||||
9 | Components of Derivative Gains (Losses) | |||||||
10 | Components of Benefit (Provision) for Credit Losses | |||||||
11 | Summarized Condensed Consolidated Balance Sheets | |||||||
12 | Mortgage Portfolio | |||||||
13 | Guarantee Portfolio | |||||||
14 | Mortgage-Related Investments Portfolio | |||||||
15 | Single-Family Segment Financial Results | |||||||
16 | Multifamily Segment Financial Results | |||||||
17 | Single-Family New Business Activity | |||||||
18 | Single-Family Mortgage Portfolio CRT Issuance | |||||||
19 | Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding | |||||||
20 | Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio | |||||||
21 | Credit Enhancement Coverage by Year of Origination | |||||||
22 | Single-Family Mortgage Portfolio Without Credit Enhancement | |||||||
23 | Details of Single-Family Credit Enhancement Costs, Investment Gains (Losses), and Recoveries | |||||||
24 | Single-Family Credit Enhancement Receivables | |||||||
25 | Credit Quality Characteristics of Our Single-Family Loans in Forbearance | |||||||
26 | Single-Family Loans in Forbearance Plans by Payment Status | |||||||
27 | Single-Family Loans in Forbearance | |||||||
28 | Status of Single-Family Loans That Received Forbearance | |||||||
29 | Single-Family Allowance for Credit Losses Activity | |||||||
30 | Single-Family Mortgage Portfolio Credit Performance Metrics | |||||||
31 | Single-Family TDR and Non-Accrual Loans | |||||||
32 | Foregone Interest Income on Single-Family TDRs and Non-Accrual Loans | |||||||
33 | Single-Family TDR Loan Activity | |||||||
34 | Credit Quality Characteristics of Our Single-Family Mortgage Portfolio | |||||||
35 | Single-Family Mortgage Portfolio Attribute Combinations | |||||||
36 | Alt-A Loans in Our Single-Family Mortgage Portfolio | |||||||
37 | Concentration of Credit Risk of Our Single-Family Mortgage Portfolio | |||||||
38 | Single-Family REO Activity | |||||||
39 | Current Credit Quality of Multifamily Loans Under a Forbearance Program | |||||||
40 | Multifamily Allowance for Credit Losses Activity | |||||||
41 | Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio | |||||||
42 | Level of Subordination Outstanding | |||||||
43 | Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement | |||||||
44 | Single-Family Mortgage Portfolio Non-Depository Servicers | |||||||
45 | Single-Family Mortgage Insurers |
Freddie Mac 1Q 2021 Form 10-Q |
ii
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Table of Contents |
Table | Description | Page | ||||||
46 | Single-Family ACIS Counterparties | |||||||
47 | PVS-YC and PVS-L Results Assuming Shifts of the LIBOR Yield Curve | |||||||
48 | Duration Gap and PVS Results | |||||||
49 | PVS-L Results Before Derivatives and After Derivatives | |||||||
50 | Earnings Sensitivity to Changes in Interest Rates | |||||||
51 | Liquidity Sources | |||||||
52 | Other Investments Portfolio | |||||||
53 | Funding Sources | |||||||
54 | Debt of Freddie Mac Activity | |||||||
55 | Activity for Debt Securities of Consolidated Trusts Held by Third Parties | |||||||
56 | Net Worth Activity | |||||||
57 | Forecasted House Price Growth Rates |
Freddie Mac 1Q 2021 Form 10-Q |
iii
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Management's Discussion and Analysis | Introduction |
Freddie Mac 1Q 2021 Form 10-Q |
1
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Management's Discussion and Analysis | Introduction |
Freddie Mac 1Q 2021 Form 10-Q |
2
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Management's Discussion and Analysis | Introduction |
Freddie Mac 1Q 2021 Form 10-Q |
3
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Management's Discussion and Analysis | Introduction |
Freddie Mac 1Q 2021 Form 10-Q |
4
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Management's Discussion and Analysis | Introduction |
Freddie Mac 1Q 2021 Form 10-Q |
5
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Management's Discussion and Analysis | Introduction |
Freddie Mac 1Q 2021 Form 10-Q |
6
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Management's Discussion and Analysis | Introduction |
Freddie Mac 1Q 2021 Form 10-Q |
7
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Management's Discussion and Analysis | Market Conditions and Economic Indicators |
Freddie Mac 1Q 2021 Form 10-Q |
8
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Management's Discussion and Analysis | Market Conditions and Economic Indicators |
Freddie Mac 1Q 2021 Form 10-Q |
9
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Management's Discussion and Analysis | Market Conditions and Economic Indicators |
Freddie Mac 1Q 2021 Form 10-Q |
10
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Management's Discussion and Analysis | Market Conditions and Economic Indicators |
Freddie Mac 1Q 2021 Form 10-Q |
11
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Management's Discussion and Analysis | Market Conditions and Economic Indicators |
Freddie Mac 1Q 2021 Form 10-Q |
12
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Management's Discussion and Analysis | Consolidated Results of Operations |
Change | ||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 1Q 2021 | 1Q 2020 | $ | % | ||||||||||||||||||||||||||||||||||
Net interest income
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$3,639 | $2,785 | $854 | 31 | % | |||||||||||||||||||||||||||||||||
Guarantee fee income
|
248 | 377 | (129) | (34) | ||||||||||||||||||||||||||||||||||
Investment gains (losses), net
|
1,208 | (835) | 2,043 | 245 | ||||||||||||||||||||||||||||||||||
Other income (loss)
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178 | 95 | 83 | 87 | ||||||||||||||||||||||||||||||||||
Net revenues | 5,273 | 2,422 | 2,851 | 118 | ||||||||||||||||||||||||||||||||||
Benefit (provision) for credit losses | 196 | (1,233) | 1,429 | 116 | ||||||||||||||||||||||||||||||||||
Credit enhancement expense | (335) | (231) | (104) | (45) | ||||||||||||||||||||||||||||||||||
Benefit for (decrease in) credit enhancement recoveries | (257) | 467 | (724) | (155) | ||||||||||||||||||||||||||||||||||
REO operations expense | (8) | (85) | 77 | 91 | ||||||||||||||||||||||||||||||||||
Credit-related expense | (404) | (1,082) | 678 | 63 | ||||||||||||||||||||||||||||||||||
Administrative expense | (639) | (587) | (52) | (9) | ||||||||||||||||||||||||||||||||||
Temporary Payroll Tax Cut Continuation Act of 2011 expense | (534) | (432) | (102) | (24) | ||||||||||||||||||||||||||||||||||
Other expense | (215) | (103) | (112) | (109) | ||||||||||||||||||||||||||||||||||
Operating expense | (1,388) | (1,122) | (266) | (24) | ||||||||||||||||||||||||||||||||||
Income (loss) before income tax (expense) benefit | 3,481 | 218 | 3,263 | 1,497 | ||||||||||||||||||||||||||||||||||
Income tax (expense) benefit | (714) | (45) | (669) | (1,487) | ||||||||||||||||||||||||||||||||||
Net income (loss) | 2,767 | 173 | 2,594 | 1,499 | ||||||||||||||||||||||||||||||||||
Total other comprehensive income (loss), net of taxes and reclassification adjustments | (389) | 449 | (838) | (187) | ||||||||||||||||||||||||||||||||||
Comprehensive income (loss) | $2,378 | $622 | $1,756 | 282 | % |
Freddie Mac 1Q 2021 Form 10-Q |
13
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Management's Discussion and Analysis | Consolidated Results of Operations |
Change | |||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 1Q 2021 | 1Q 2020 | $ | % | |||||||||||||||||||||||||||||||||||||
Guarantee net interest income: | |||||||||||||||||||||||||||||||||||||||||
Contractual net interest income | $1,825 | $1,184 | $641 | 54 | % | ||||||||||||||||||||||||||||||||||||
Net interest income related to the Temporary Payroll Tax Cut Continuation Act of 2011 | 555 | 429 | 126 | 29 | |||||||||||||||||||||||||||||||||||||
Deferred fee income | 1,019 | 552 | 467 | 85 | |||||||||||||||||||||||||||||||||||||
Total guarantee net interest income | 3,399 | 2,165 | 1,234 | 57 | |||||||||||||||||||||||||||||||||||||
Investments net interest income: | |||||||||||||||||||||||||||||||||||||||||
Contractual net interest income and amortization | 1,096 | 1,210 | (114) | (9) | |||||||||||||||||||||||||||||||||||||
Interest expense related to CRT debt | (147) | (240) | 93 | 39 | |||||||||||||||||||||||||||||||||||||
Total investments net interest income | 949 | 970 | (21) | (2) | |||||||||||||||||||||||||||||||||||||
Income (expense) from hedge accounting | (709) | (350) | (359) | (103) | |||||||||||||||||||||||||||||||||||||
Net interest income | $3,639 | $2,785 | $854 | 31 | % |
Freddie Mac 1Q 2021 Form 10-Q |
14
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Management's Discussion and Analysis | Consolidated Results of Operations |
1Q 2021 | 1Q 2020 | |||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) |
Average
Balance
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Interest
Income
(Expense)
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Average
Rate
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Average
Balance
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Interest
Income
(Expense)
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Average
Rate
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||||||||||||||||||||||||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | $65,143 | $3 | 0.02 | % | $12,232 | $21 | 0.68 | % | ||||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | 80,281 | 17 | 0.08 | 72,291 | 261 | 1.44 | ||||||||||||||||||||||||||||||||||||||
Secured lending | 5,601 | 17 | 1.27 | 3,680 | 26 | 2.72 | ||||||||||||||||||||||||||||||||||||||
Mortgage-related securities, net | 29,089 | 574 | 7.89 | 45,001 | 529 | 4.71 | ||||||||||||||||||||||||||||||||||||||
Non-mortgage-related securities | 27,592 | 36 | 0.53 | 28,616 | 123 | 1.71 | ||||||||||||||||||||||||||||||||||||||
Loans held by consolidated trusts(1)
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2,349,324 | 12,526 | 2.13 | 1,964,613 | 15,857 | 3.23 | ||||||||||||||||||||||||||||||||||||||
Loans held by Freddie Mac(1)
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104,001 | 729 | 2.80 | 78,406 | 775 | 3.95 | ||||||||||||||||||||||||||||||||||||||
Total interest-earning assets | 2,661,031 | 13,902 | 2.09 | 2,204,839 | 17,592 | 3.19 | ||||||||||||||||||||||||||||||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties | 2,342,060 | (9,756) | (1.67) | 1,901,467 | (13,447) | (2.83) | ||||||||||||||||||||||||||||||||||||||
Debt of Freddie Mac: | ||||||||||||||||||||||||||||||||||||||||||||
Short-term debt | 13,491 | (2) | (0.06) | 119,222 | (430) | (1.43) | ||||||||||||||||||||||||||||||||||||||
Long-term debt | 261,382 | (505) | (0.77) | 170,471 | (930) | (2.18) | ||||||||||||||||||||||||||||||||||||||
Total debt of Freddie Mac | 274,873 | (507) | (0.74) | 289,693 | (1,360) | (1.87) | ||||||||||||||||||||||||||||||||||||||
Total interest-bearing liabilities | 2,616,933 | (10,263) | (1.57) | 2,191,160 | (14,807) | (2.70) | ||||||||||||||||||||||||||||||||||||||
Impact of net non-interest-bearing funding | 44,098 | — | 0.03 | 13,679 | — | 0.02 | ||||||||||||||||||||||||||||||||||||||
Total funding of interest-earning assets | 2,661,031 | (10,263) | (1.54) | 2,204,839 | (14,807) | (2.68) | ||||||||||||||||||||||||||||||||||||||
Net interest income/yield | $3,639 | 0.55 | % | $2,785 | 0.51 | % | ||||||||||||||||||||||||||||||||||||||
Freddie Mac 1Q 2021 Form 10-Q |
15
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Management's Discussion and Analysis | Consolidated Results of Operations |
Change | ||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 1Q 2021 | 1Q 2020 | $ | % | ||||||||||||||||||||||||||||||||||
Mortgage loans gains (losses) | $206 | $1,172 | ($966) | (82) | % | |||||||||||||||||||||||||||||||||
Investment securities gains (losses) | (507) | 1,055 | (1,562) | (148) | ||||||||||||||||||||||||||||||||||
Debt gains (losses) | 138 | 700 | (562) | (80) | ||||||||||||||||||||||||||||||||||
Derivative gains (losses) | 1,371 | (3,762) | 5,133 | 136 | ||||||||||||||||||||||||||||||||||
Investment gains (losses), net | $1,208 | ($835) | $2,043 | 245 | % |
Change | ||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 1Q 2021 | 1Q 2020 | $ | % | ||||||||||||||||||||||||||||||||||
Single-family: | ||||||||||||||||||||||||||||||||||||||
Gains (losses) on mortgage loans | $44 | ($22) | $66 | 300 | % | |||||||||||||||||||||||||||||||||
Multifamily: | ||||||||||||||||||||||||||||||||||||||
Gains (losses) on certain loan purchase commitments | 195 | 532 | (337) | (63) | ||||||||||||||||||||||||||||||||||
Gains (losses) on mortgage loans | (33) | 662 | (695) | (105) | ||||||||||||||||||||||||||||||||||
Total Multifamily | 162 | 1,194 | (1,032) | (86) | ||||||||||||||||||||||||||||||||||
Mortgage loans gains (losses) | $206 | $1,172 | ($966) | (82) | % |
Change | ||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 1Q 2021 | 1Q 2020 | $ | % | ||||||||||||||||||||||||||||||||||
Realized gains (losses) on sales of available-for-sale securities | $368 | $10 | $358 | 3,580 | % | |||||||||||||||||||||||||||||||||
Realized and unrealized gains (losses) on trading securities | (854) | 1,069 | (1,923) | (180) | ||||||||||||||||||||||||||||||||||
Other | (21) | (24) | 3 | 13 | ||||||||||||||||||||||||||||||||||
Investment securities gains (losses) | ($507) | $1,055 | ($1,562) | (148) | % |
Freddie Mac 1Q 2021 Form 10-Q |
16
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Management's Discussion and Analysis | Consolidated Results of Operations |
Change | ||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 1Q 2021 | 1Q 2020 | $ | % | ||||||||||||||||||||||||||||||||||
Fair value changes: | ||||||||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts
|
($1) | $4 | ($5) | (125) | % | |||||||||||||||||||||||||||||||||
Debt of Freddie Mac | 8 | 548 | (540) | (99) | ||||||||||||||||||||||||||||||||||
Total fair value changes | 7 | 552 | (545) | (99) | ||||||||||||||||||||||||||||||||||
Gains (losses) on extinguishment of debt: | ||||||||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts
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141 | 4 | 137 | 3,425 | ||||||||||||||||||||||||||||||||||
Debt of Freddie Mac | (10) | 144 | (154) | (107) | ||||||||||||||||||||||||||||||||||
Total gains (losses) on extinguishment of debt | 131 | 148 | (17) | (11) | ||||||||||||||||||||||||||||||||||
Debt gains (losses) | $138 | $700 | ($562) | (80) | % |
Freddie Mac 1Q 2021 Form 10-Q |
17
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Management's Discussion and Analysis | Consolidated Results of Operations |
Change | ||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 1Q 2021 | 1Q 2020 | $ | % | ||||||||||||||||||||||||||||||||||
Benefit (provision) for credit losses: | ||||||||||||||||||||||||||||||||||||||
Single-family | $146 | ($1,166) | $1,312 | 113 | % | |||||||||||||||||||||||||||||||||
Multifamily | 50 | (67) | 117 | 175 | ||||||||||||||||||||||||||||||||||
Benefit (provision) for credit losses | $196 | ($1,233) | $1,429 | 116 | % |
Freddie Mac 1Q 2021 Form 10-Q |
18
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Management's Discussion and Analysis | Consolidated Balance Sheets Analysis |
Change | ||||||||||||||||||||
(Dollars in millions) | March 31, 2021 | December 31, 2020 | $ | % | ||||||||||||||||
Assets: | ||||||||||||||||||||
Cash and cash equivalents | $100,979 | $23,889 | $77,090 | 323 | % | |||||||||||||||
Securities purchased under agreements to resell | 15,140 | 105,003 | (89,863) | (86) | ||||||||||||||||
Subtotal | 116,119 | 128,892 | (12,773) | (10) | ||||||||||||||||
Investment securities, at fair value | 61,880 | 59,825 | 2,055 | 3 | ||||||||||||||||
Mortgage loans, net | 2,507,887 | 2,383,888 | 123,999 | 5 | ||||||||||||||||
Accrued interest receivable, net | 7,662 | 7,754 | (92) | (1) | ||||||||||||||||
Derivative assets, net | 2,085 | 1,205 | 880 | 73 | ||||||||||||||||
Deferred tax assets, net | 6,826 | 6,557 | 269 | 4 | ||||||||||||||||
Other assets | 39,415 | 39,294 | 121 | — | ||||||||||||||||
Total assets | $2,741,874 | $2,627,415 | $114,459 | 4 | % | |||||||||||||||
Liabilities and Equity: | ||||||||||||||||||||
Liabilities: | ||||||||||||||||||||
Accrued interest payable | $5,954 | $6,210 | ($256) | (4) | % | |||||||||||||||
Debt | 2,704,270 | 2,592,546 | 111,724 | 4 | ||||||||||||||||
Derivative liabilities, net | 950 | 954 | (4) | — | ||||||||||||||||
Other liabilities | 11,909 | 11,292 | 617 | 5 | ||||||||||||||||
Total liabilities | 2,723,083 | 2,611,002 | 112,081 | 4 | ||||||||||||||||
Total equity | 18,791 | 16,413 | 2,378 | 14 | ||||||||||||||||
Total liabilities and equity | $2,741,874 | $2,627,415 | $114,459 | 4 | % |
Freddie Mac 1Q 2021 Form 10-Q |
19
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Management's Discussion and Analysis | Our Portfolios |
March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||
Securitized mortgage loans: | ||||||||||||||||||||||||||
Held by consolidated trusts | $2,324,786 | $13,782 | $2,338,568 | $2,204,936 | $12,305 | $2,217,241 | ||||||||||||||||||||
Held by nonconsolidated trusts | 33,697 | 345,192 | 378,889 | 34,932 | 331,860 | 366,792 | ||||||||||||||||||||
Total securitized mortgage loans | 2,358,483 | 358,974 | 2,717,457 | 2,239,868 | 344,165 | 2,584,033 | ||||||||||||||||||||
Unsecuritized mortgage loans: | ||||||||||||||||||||||||||
Securitization pipeline loans | 63,516 | 20,281 | 83,797 | 51,040 | 29,183 | 80,223 | ||||||||||||||||||||
Loss mitigation loans | 26,529 | — | 26,529 | 26,303 | — | 26,303 | ||||||||||||||||||||
Other loans | — | 4,125 | 4,125 | — | 4,224 | 4,224 | ||||||||||||||||||||
Total unsecuritized mortgage loans | 90,045 | 24,406 | 114,451 | 77,343 | 33,407 | 110,750 | ||||||||||||||||||||
Other | 9,584 | 10,297 | 19,881 | 9,215 | 10,775 | 19,990 | ||||||||||||||||||||
Total mortgage portfolio | $2,458,112 | $393,677 | $2,851,789 | $2,326,426 | $388,347 | $2,714,773 |
Freddie Mac 1Q 2021 Form 10-Q |
20
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Management's Discussion and Analysis | Our Portfolios |
March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||
Guaranteed mortgage-related securities: | ||||||||||||||||||||||||||
Issued by consolidated trusts | $2,398,852 | $13,776 | $2,412,628 | $2,273,736 | $12,305 | $2,286,041 | ||||||||||||||||||||
Issued by nonconsolidated trusts | 28,095 | 301,593 | 329,688 | 29,300 | 289,056 | 318,356 | ||||||||||||||||||||
Total guaranteed mortgage-related securities | 2,426,947 | 315,369 | 2,742,316 | 2,303,036 | 301,361 | 2,604,397 | ||||||||||||||||||||
Other | 9,584 | 10,297 | 19,881 | 9,215 | 10,775 | 19,990 | ||||||||||||||||||||
Total guarantee portfolio | $2,436,531 | $325,666 | $2,762,197 | $2,312,251 | $312,136 | $2,624,387 |
March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||
Unsecuritized mortgage loans: | ||||||||||||||||||||||||||
Securitization pipeline loans | $63,516 | $20,281 | $83,797 | $51,040 | $29,183 | $80,223 | ||||||||||||||||||||
Loss mitigation loans | 26,529 | — | 26,529 | 26,303 | — | 26,303 | ||||||||||||||||||||
Other loans | — | 4,125 | 4,125 | — | 4,224 | 4,224 | ||||||||||||||||||||
Total unsecuritized mortgage loans | 90,045 | 24,406 | 114,451 | 77,343 | 33,407 | 110,750 | ||||||||||||||||||||
Mortgage-related securities: | ||||||||||||||||||||||||||
Agency mortgage-related securities | 55,115 | 3,511 | 58,626 | 65,954 | 4,066 | 70,020 | ||||||||||||||||||||
Non-agency mortgage-related securities | 1,266 | 113 | 1,379 | 1,300 | 114 | 1,414 | ||||||||||||||||||||
Total mortgage-related securities | 56,381 | 3,624 | 60,005 | 67,254 | 4,180 | 71,434 | ||||||||||||||||||||
Mortgage-related investments portfolio | $146,426 | $28,030 | $174,456 | $144,597 | $37,587 | $182,184 |
Freddie Mac 1Q 2021 Form 10-Q |
21
|
Management's Discussion and Analysis | Our Portfolios |
Freddie Mac 1Q 2021 Form 10-Q |
22
|
Management's Discussion and Analysis | Our Business Segments |
Segment | Description | ||||
Single-family |
Reflects results from our purchase, sale, securitization, and guarantee of single-family loans and securities, our investments in those loans and securities, the management of single-family mortgage credit risk and market risk, and any results of our treasury function that are not allocated to each segment.
|
||||
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 risk.
|
||||
Freddie Mac 1Q 2021 Form 10-Q |
23
|
Management's Discussion and Analysis |
Our Business Segments | Single-Family
|
Freddie Mac 1Q 2021 Form 10-Q |
24
|
Management's Discussion and Analysis |
Our Business Segments | Single-Family
|
Freddie Mac 1Q 2021 Form 10-Q |
25
|
Management's Discussion and Analysis |
Our Business Segments | Single-Family
|
Freddie Mac 1Q 2021 Form 10-Q |
26
|
Management's Discussion and Analysis |
Our Business Segments | Single-Family
|
Freddie Mac 1Q 2021 Form 10-Q |
27
|
Management's Discussion and Analysis |
Our Business Segments | Single-Family
|
Freddie Mac 1Q 2021 Form 10-Q |
28
|
Management's Discussion and Analysis |
Our Business Segments | Single-Family
|
Change | ||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 1Q 2021 | 1Q 2020 | $ | % | ||||||||||||||||||||||||||||||||||
Guarantee net interest income | $3,346 | $2,140 | $1,206 | 56 | % | |||||||||||||||||||||||||||||||||
Investments net interest income | 671 | 695 | (24) | (3) | ||||||||||||||||||||||||||||||||||
Income (expense) from hedge accounting | (709) | (350) | (359) | (103) | ||||||||||||||||||||||||||||||||||
Net interest income | 3,308 | 2,485 | 823 | 33 | ||||||||||||||||||||||||||||||||||
Guarantee fee income | 89 | (13) | 102 | 785 | ||||||||||||||||||||||||||||||||||
Investment gains (losses), net | 300 | 24 | 276 | 1,150 | ||||||||||||||||||||||||||||||||||
Other income (loss) | 152 | 58 | 94 | 162 | ||||||||||||||||||||||||||||||||||
Net revenues | 3,849 | 2,554 | 1,295 | 51 | ||||||||||||||||||||||||||||||||||
Benefit (provision) for credit losses | 146 | (1,166) | 1,312 | 113 | ||||||||||||||||||||||||||||||||||
Credit enhancement expense | (325) | (227) | (98) | (43) | ||||||||||||||||||||||||||||||||||
Benefit for (decrease in) credit enhancement recoveries | (245) | 439 | (684) | (156) | ||||||||||||||||||||||||||||||||||
REO operations expense | (8) | (85) | 77 | 91 | ||||||||||||||||||||||||||||||||||
Credit-related expense | (432) | (1,039) | 607 | 58 | ||||||||||||||||||||||||||||||||||
Administrative expense | (488) | (467) | (21) | (4) | ||||||||||||||||||||||||||||||||||
Temporary Payroll Tax Cut Continuation Act of 2011 expense | (534) | (432) | (102) | (24) | ||||||||||||||||||||||||||||||||||
Other expense | (209) | (98) | (111) | (113) | ||||||||||||||||||||||||||||||||||
Operating expense | (1,231) | (997) | (234) | (23) | ||||||||||||||||||||||||||||||||||
Income (loss) before income tax (expense) benefit | 2,186 | 518 | 1,668 | 322 | ||||||||||||||||||||||||||||||||||
Income tax (expense) benefit | (448) | (107) | (341) | (319) | ||||||||||||||||||||||||||||||||||
Net income (loss) | 1,738 | 411 | 1,327 | 323 | ||||||||||||||||||||||||||||||||||
Total other comprehensive income (loss), net of taxes | (328) | 385 | (713) | (185) | ||||||||||||||||||||||||||||||||||
Total comprehensive income (loss) | $1,410 | $796 | $614 | 77 | % |
Freddie Mac 1Q 2021 Form 10-Q |
29
|
Management's Discussion and Analysis |
Our Business Segments | Multifamily
|
Freddie Mac 1Q 2021 Form 10-Q |
30
|
Management's Discussion and Analysis |
Our Business Segments | Multifamily
|
Freddie Mac 1Q 2021 Form 10-Q |
31
|
Management's Discussion and Analysis |
Our Business Segments | Multifamily
|
Freddie Mac 1Q 2021 Form 10-Q |
32
|
Management's Discussion and Analysis |
Our Business Segments | Multifamily
|
Freddie Mac 1Q 2021 Form 10-Q |
33
|
Management's Discussion and Analysis |
Our Business Segments | Multifamily
|
Freddie Mac 1Q 2021 Form 10-Q |
34
|
Management's Discussion and Analysis |
Our Business Segments | Multifamily
|
Change | ||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 1Q 2021 | 1Q 2020 | $ | % | ||||||||||||||||||||||||||||||||||
Guarantee net interest income | $53 | $25 | $28 | 112 | % | |||||||||||||||||||||||||||||||||
Investments net interest income | 278 | 275 | 3 | 1 | ||||||||||||||||||||||||||||||||||
Net interest income | 331 | 300 | 31 | 10 | ||||||||||||||||||||||||||||||||||
Guarantee fee income | 159 | 390 | (231) | (59) | ||||||||||||||||||||||||||||||||||
Mortgage loans gains (losses), net | 990 | (636) | 1,626 | 256 | ||||||||||||||||||||||||||||||||||
Other investment gains (losses), net | (82) | (223) | 141 | 63 | ||||||||||||||||||||||||||||||||||
Investment gains (losses), net | 908 | (859) | 1,767 | 206 | ||||||||||||||||||||||||||||||||||
Other income (loss) | 26 | 37 | (11) | (30) | ||||||||||||||||||||||||||||||||||
Net revenues | 1,424 | (132) | 1,556 | 1,179 | ||||||||||||||||||||||||||||||||||
Credit-related expense | 28 | (43) | 71 | 165 | ||||||||||||||||||||||||||||||||||
Administrative expense | (151) | (120) | (31) | (26) | ||||||||||||||||||||||||||||||||||
Other expense | (6) | (5) | (1) | (20) | ||||||||||||||||||||||||||||||||||
Operating expense | (157) | (125) | (32) | (26) | ||||||||||||||||||||||||||||||||||
Income (loss) before income tax (expense) benefit | 1,295 | (300) | 1,595 | 532 | ||||||||||||||||||||||||||||||||||
Income tax (expense) benefit | (266) | 62 | (328) | (529) | ||||||||||||||||||||||||||||||||||
Net income (loss) | 1,029 | (238) | 1,267 | 532 | ||||||||||||||||||||||||||||||||||
Total other comprehensive income (loss), net of taxes | (61) | 64 | (125) | (195) | ||||||||||||||||||||||||||||||||||
Total comprehensive income (loss) | $968 | ($174) | $1,142 | 656 | % |
Freddie Mac 1Q 2021 Form 10-Q |
35
|
Management's Discussion and Analysis | Risk Management |
Freddie Mac 1Q 2021 Form 10-Q |
36
|
Management's Discussion and Analysis | Risk Management |
1Q 2021 | 1Q 2020 | |||||||||||||||||||||||||||||||||||||
(Dollars in billions) | Amount | % of Total | Amount | % of Total | ||||||||||||||||||||||||||||||||||
30-year or more amortizing fixed-rate | $293 | 81 | % | $114 | 83 | % | ||||||||||||||||||||||||||||||||
20-year amortizing fixed-rate | 18 | 5 | 6 | 4 | ||||||||||||||||||||||||||||||||||
15-year amortizing fixed-rate | 51 | 14 | 17 | 13 | ||||||||||||||||||||||||||||||||||
Adjustable-rate | — | — | 1 | — | ||||||||||||||||||||||||||||||||||
Total | $362 | 100 | % | $138 | 100 | % | ||||||||||||||||||||||||||||||||
Percentage of purchases | ||||||||||||||||||||||||||||||||||||||
DTI ratio > 45% | 10 | % | 14 | % | ||||||||||||||||||||||||||||||||||
Original LTV ratio > 90% | 8 | 15 | ||||||||||||||||||||||||||||||||||||
Original credit score < 680 | 4 | 6 | ||||||||||||||||||||||||||||||||||||
Transaction type: | ||||||||||||||||||||||||||||||||||||||
Cash window | 62 | 48 | ||||||||||||||||||||||||||||||||||||
Guarantor swap | 38 | 52 | ||||||||||||||||||||||||||||||||||||
Property type: | ||||||||||||||||||||||||||||||||||||||
Detached single-family houses and townhouses | 93 | 92 | ||||||||||||||||||||||||||||||||||||
Condominium or co-op | 7 | 8 | ||||||||||||||||||||||||||||||||||||
Occupancy type: | ||||||||||||||||||||||||||||||||||||||
Primary residence | 93 | 91 | ||||||||||||||||||||||||||||||||||||
Second home | 3 | 4 | ||||||||||||||||||||||||||||||||||||
Investment property | 4 | 5 | ||||||||||||||||||||||||||||||||||||
Loan purpose: | ||||||||||||||||||||||||||||||||||||||
Purchase | 25 | 40 | ||||||||||||||||||||||||||||||||||||
Cash-out refinance | 20 | 21 | ||||||||||||||||||||||||||||||||||||
Other refinance | 55 | 39 |
Freddie Mac 1Q 2021 Form 10-Q |
37
|
Management's Discussion and Analysis | Risk Management |
1Q 2021 | 1Q 2020 | |||||||||||||||||||
(In millions) |
Protected UPB(1)
|
Maximum Coverage(2)
|
Protected UPB(1)
|
Maximum Coverage(2)
|
||||||||||||||||
STACR | $176,707 | $3,544 | $132,571 | $3,707 | ||||||||||||||||
Insurance/reinsurance | 228,307 | 2,714 | 97,758 | 854 | ||||||||||||||||
Subordination | — | — | 1,688 | 177 | ||||||||||||||||
Lender risk-sharing | 171 | 171 | 6,207 | 391 | ||||||||||||||||
Less: UPB with more than one type of CRT activity | (159,835) | — | (97,505) | — | ||||||||||||||||
Total CRT Activities | $245,350 | $6,429 | $140,719 | $5,129 | ||||||||||||||||
March 31, 2021 | ||||||||||||||
(Dollars in millions) |
Protected UPB(1)
|
% of Single-Family Mortgage Portfolio |
Maximum Coverage(2)
|
|||||||||||
Primary mortgage insurance | $485,593 | 20 | % | $119,111 | ||||||||||
STACR | 905,528 | 37 | 31,682 | |||||||||||
Insurance/reinsurance | 975,289 | 40 | 13,645 | |||||||||||
Subordination | 34,977 | 1 | 6,090 | |||||||||||
Lender risk-sharing | 5,177 | — | 4,587 | |||||||||||
Other | 314 | — | 311 | |||||||||||
Less: UPB with multiple CRT and/or other credit enhancements | (1,148,738) | (47) | — | |||||||||||
Single-family mortgage portfolio - covered by credit enhancement | 1,258,140 | 51 | 175,426 | |||||||||||
Single-family mortgage portfolio - other | 1,199,972 | 49 | — | |||||||||||
Total
|
$2,458,112 | 100 | % | $175,426 |
Freddie Mac 1Q 2021 Form 10-Q |
38
|
Management's Discussion and Analysis | Risk Management |
December 31, 2020 | ||||||||||||||
(Dollars in millions) |
Protected UPB(1)
|
% of Single-Family Mortgage Portfolio |
Maximum Coverage(2)
|
|||||||||||
Primary mortgage insurance | $472,881 | 20 | % | $116,973 | ||||||||||
STACR | 853,733 | 37 | 29,665 | |||||||||||
Insurance/reinsurance | 876,815 | 38 | 11,586 | |||||||||||
Subordination | 38,074 | 2 | 6,182 | |||||||||||
Lender risk sharing | 5,731 | — | 4,831 | |||||||||||
Other | 374 | — | 371 | |||||||||||
Less: UPB with multiple CRT and/or other credit enhancements | (1,069,281) | (46) | — | |||||||||||
Single-family mortgage portfolio - covered by credit enhancement | 1,178,327 | 51 | 169,608 | |||||||||||
Single-family mortgage portfolio - other | 1,148,099 | 49 | — | |||||||||||
Total
|
$2,326,426 | 100 | % | $169,608 |
March 31, 2021 | December 31, 2020 | |||||||||||||||||||
(% of portfolio based on loan UPB)(1)(2)
|
% of Portfolio | SDQ Rate | % of Portfolio | SDQ Rate | ||||||||||||||||
Credit-enhanced | ||||||||||||||||||||
Primary mortgage insurance | 20 | % | 3.42 | % | 21 | % | 3.77 | % | ||||||||||||
CRT and other | 43 | 2.79 | 41 | 3.22 | ||||||||||||||||
Non-credit-enhanced | 50 | 1.89 | 50 | 2.13 | ||||||||||||||||
Total | N/A | 2.34 | N/A | 2.64 |
March 31, 2021 | December 31, 2020 | |||||||||||||||||||
(Dollars in millions) |
UPB(1)(2)
|
% of UPB with Credit Enhancement |
UPB(1)(2)
|
% of UPB with Credit Enhancement | ||||||||||||||||
Year of Loan Origination | ||||||||||||||||||||
2021 | $249,721 | 18 | % | N/A | N/A | |||||||||||||||
2020 | 1,022,146 | 48 | $971,136 | 36 | % | |||||||||||||||
2019 | 231,493 | 73 | 276,315 | 73 | ||||||||||||||||
2018 | 100,324 | 79 | 118,673 | 80 | ||||||||||||||||
2017 | 127,073 | 75 | 147,863 | 75 | ||||||||||||||||
2016 and prior | 726,967 | 48 | 812,041 | 49 | ||||||||||||||||
Total | $2,457,724 | 50 | $2,326,028 | 50 |
Freddie Mac 1Q 2021 Form 10-Q |
39
|
Management's Discussion and Analysis | Risk Management |
March 31, 2021 | December 31, 2020 | |||||||||||||||||||
(Dollars in millions) | UPB | % of Total | UPB | % of Total | ||||||||||||||||
Low current LTV ratio(1)(2)
|
$837,533 | 68 | % | $784,150 | 66 | % | ||||||||||||||
Short-term(1)(3)
|
96,968 | 8 | 81,681 | 7 | ||||||||||||||||
Pre-CRT program inception(1)(4)
|
9,347 | 1 | 11,327 | 1 | ||||||||||||||||
CRT pipeline(1)(5)
|
264,843 | 21 | 276,611 | 24 | ||||||||||||||||
Other(1)(6)
|
19,356 | 2 | 20,414 | 2 | ||||||||||||||||
Total | $1,228,047 | 100 | % | $1,174,183 | 100 | % |
(In millions) | 1Q 2021 | 1Q 2020 | ||||||||||||||||||
Credit enhancement costs: | ||||||||||||||||||||
Credit enhancement expense | ($325) | ($227) | ||||||||||||||||||
Interest expense related to CRT debt | (139) | (232) | ||||||||||||||||||
Less: estimated reinvestment income from proceeds of CRT debt issuance | 11 | 46 | ||||||||||||||||||
Single-family credit enhancement costs | ($453) | ($413) | ||||||||||||||||||
Credit enhancement investment gains (losses): | ||||||||||||||||||||
CRT derivatives gains (losses) | $6 | $92 | ||||||||||||||||||
CRT debt gains (losses) | 37 | 549 | ||||||||||||||||||
Single-family credit enhancement investment gains (losses)(1)
|
$43 | $641 | ||||||||||||||||||
Single-family benefit for (decrease in) credit enhancement recoveries(1)
|
($245) | $439 |
(In millions) | March 31, 2021 | December 31, 2020 | |||||||||
Freestanding credit enhancement expected recovery receivables, net of allowance | $395 | $653 | |||||||||
Primary mortgage insurance receivables(1), net of allowance
|
82 | 74 | |||||||||
Total credit enhancement receivables | $477 | $727 |
Freddie Mac 1Q 2021 Form 10-Q |
40
|
Management's Discussion and Analysis | Risk Management |
March 31, 2021 | December 31, 2020 | |||||||||||||||||||
(Dollars in billions) | UPB | As a % of Total | UPB | As a % of Total | ||||||||||||||||
Current LTV ratio: | ||||||||||||||||||||
≤ 60 | $25.5 | 51 | % | $29.4 | 49 | % | ||||||||||||||
> 60 to 80 | 19.5 | 39 | 23.7 | 39 | ||||||||||||||||
> 80 to 100 | 4.7 | 10 | 6.9 | 11 | ||||||||||||||||
> 100 | 0.1 | — | 0.3 | 1 | ||||||||||||||||
Total | $49.8 | 100 | % | $60.3 | 100 | % |
March 31, 2021 | |||||||||||||||||||||||
(Dollars in millions) | Current | One Month Past Due |
Two
Months Past Due |
Three
Months to Six Months Past Due(2)
|
Greater Than Six Months Past Due(2)
|
Total | |||||||||||||||||
UPB | $7,725 | $3,149 | $2,947 | $10,425 | $33,293 | $57,539 | |||||||||||||||||
Number of loans (in thousands) | 39 | 16 | 15 | 51 | 149 | 270 | |||||||||||||||||
As a percentage of our single-family mortgage portfolio(3)
|
0.32% | 0.13% | 0.12% | 0.41% | 1.21% | 2.19% | |||||||||||||||||
December 31, 2020 | |||||||||||||||||||||||
(Dollars in millions) | Current | One Month Past Due |
Two
Months Past Due |
Three
Months to Six Months Past Due(2)
|
Greater Than Six Months Past Due(2)
|
Total | |||||||||||||||||
UPB | $8,907 | $5,443 | $4,372 | $15,366 | $35,144 | $69,232 | |||||||||||||||||
Number of loans (in thousands) | 44 | 28 | 22 | 75 | 155 | 324 | |||||||||||||||||
As a percentage of our single-family mortgage portfolio(3)
|
0.37% | 0.23% | 0.18% | 0.63% | 1.29% | 2.70% |
Freddie Mac 1Q 2021 Form 10-Q |
41
|
Management's Discussion and Analysis | Risk Management |
(In millions) | March 31, 2021 | December 31, 2020 | |||||||||
Accrued interest receivable: | |||||||||||
Less than three months past due | $40 | $74 | |||||||||
Three months to six months past due | 144 | 235 | |||||||||
Greater than six months past due(2)
|
930 | 911 | |||||||||
Accrued interest receivable, gross | 1,114 | 1,220 | |||||||||
Allowance for credit losses | (213) | (138) | |||||||||
Accrued interest receivable, net | $901 | $1,082 |
Freddie Mac 1Q 2021 Form 10-Q |
42
|
Management's Discussion and Analysis | Risk Management |
(Loan count in thousands) | March 31, 2021 | December 31, 2020 | |||||||||
Active forbearance at end of period | 230 | 280 | |||||||||
Forbearance plan exits(2) (from January 1, 2020 to end of period)
|
|||||||||||
Reinstatement(3)
|
219 | 189 | |||||||||
Pay-off | 48 | 39 | |||||||||
Payment deferral | 219 | 166 | |||||||||
Other(4)
|
52 | 43 | |||||||||
Total forbearance plan exits(5)
|
538 | 437 | |||||||||
Total single-family loans that received forbearance(6) (from January 1, 2020 to end of period)
|
768 | 717 |
(Dollars In millions) | 1Q 2021 | 1Q 2020 | ||||||||||||||||||
Beginning balance | $6,353 | $5,233 | ||||||||||||||||||
Provision (benefit) for credit losses | (146) | 1,166 | ||||||||||||||||||
Charge-offs | (238) | (164) | ||||||||||||||||||
Recoveries collected | 46 | 88 | ||||||||||||||||||
Other | 115 | 24 | ||||||||||||||||||
Ending balance | $6,130 | $6,347 | ||||||||||||||||||
Components of ending balance of allowance for credit losses: | ||||||||||||||||||||
Mortgage loans held-for-investment | $5,253 | $6,044 | ||||||||||||||||||
Advances of pre-foreclosure costs | 615 | 254 | ||||||||||||||||||
Accrued interest receivable on mortgage loans | 213 | — | ||||||||||||||||||
Off-balance-sheet credit exposures | 49 | 49 | ||||||||||||||||||
Total | $6,130 | $6,347 | ||||||||||||||||||
As a percentage of our single-family mortgage portfolio
|
0.25 | % | 0.31 | % |
Freddie Mac 1Q 2021 Form 10-Q |
43
|
Management's Discussion and Analysis | Risk Management |
March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
(Dollars in millions) | Mortgage Loans Held-for-Investment | Mortgage Loans Held-for-Sale | Total | Mortgage Loans Held-for-investment | Mortgage Loans Held-for-Sale | Total | ||||||||||||||||||||
UPB: | ||||||||||||||||||||||||||
TDRs on accrual status | $26,797 | $4,566 | $31,363 | $28,547 | $4,293 | $32,840 | ||||||||||||||||||||
Non-accrual loans | 22,974 | 4,880 | 27,854 | 13,679 | 5,020 | 18,699 | ||||||||||||||||||||
Total TDRs and non-accrual loans | $49,771 | $9,446 | $59,217 | $42,226 | $9,313 | $51,539 | ||||||||||||||||||||
Non-accrual loans as a percentage of total loans outstanding(1)
|
1.13 | % | 0.80 | % | ||||||||||||||||||||||
Allowance for credit losses as a percentage of non-accrual loans(2)
|
22.01 | 33.98 | ||||||||||||||||||||||||
Freddie Mac 1Q 2021 Form 10-Q |
44
|
Management's Discussion and Analysis | Risk Management |
March 31, 2021 | March 31, 2020 | |||||||||||||||||||
(Dollars in millions) | Loan Count | Amount | Loan Count | Amount | ||||||||||||||||
Beginning balance, as of January 1 | 229,277 | $32,676 | 249,182 | $35,623 | ||||||||||||||||
New additions(1)
|
4,453 | 731 | 7,424 | 1,215 | ||||||||||||||||
Repayments and reclassifications to held-for-sale | (10,783) | (1,838) | (19,741) | (3,223) | ||||||||||||||||
Foreclosure sales and foreclosure alternatives | (510) | (96) | (864) | (127) | ||||||||||||||||
Ending balance, as of March 31 | 222,437 | $31,473 | 236,001 | $33,488 | ||||||||||||||||
Freddie Mac 1Q 2021 Form 10-Q |
45
|
Management's Discussion and Analysis | Risk Management |
March 31, 2021 | ||||||||||||||||||||||||||
(Dollars in billions) | UPB |
Original Credit
Score (1) |
Current Credit
Score(1)(2) |
Original
LTV Ratio
|
Current
LTV Ratio |
Current
LTV Ratio
>100%
|
Alt-A % | |||||||||||||||||||
Single-family mortgage portfolio year of origination: | ||||||||||||||||||||||||||
2021 | $250 | 758 | 758 | 69 | % | 69 | % | — | % | — | % | |||||||||||||||
2020 | 1,022 | 759 | 759 | 71 | 66 | — | — | |||||||||||||||||||
2019 | 232 | 746 | 752 | 77 | 64 | — | — | |||||||||||||||||||
2018 | 100 | 738 | 737 | 77 | 60 | — | — | |||||||||||||||||||
2017 | 127 | 741 | 746 | 75 | 54 | — | — | |||||||||||||||||||
2016 and prior | 727 | 739 | 751 | 75 | 42 | — | 2 | |||||||||||||||||||
Total | $2,458 | 750 | 754 | 73 | 58 | — | 1 |
December 31, 2020 | ||||||||||||||||||||||||||
(Dollars in billions) | UPB |
Original Credit
Score (1) |
Current Credit
Score(1)(2) |
Original
LTV Ratio
|
Current
LTV Ratio |
Current
LTV Ratio
>100%
|
Alt-A % | |||||||||||||||||||
Single-family mortgage portfolio year of origination: | ||||||||||||||||||||||||||
2020 | $971 | 760 | 758 | 71 | % | 68 | % | — | % | — | % | |||||||||||||||
2019 | 276 | 747 | 754 | 77 | 67 | — | — | |||||||||||||||||||
2018 | 119 | 739 | 739 | 77 | 62 | — | — | |||||||||||||||||||
2017 | 148 | 742 | 747 | 75 | 56 | — | — | |||||||||||||||||||
2016 | 187 | 748 | 758 | 73 | 49 | — | — | |||||||||||||||||||
2015 and prior | 625 | 737 | 750 | 75 | 41 | — | 3 | |||||||||||||||||||
Total | $2,326 | 749 | 754 | 74 | 58 | — | 1 |
Freddie Mac 1Q 2021 Form 10-Q |
46
|
Management's Discussion and Analysis | Risk Management |
March 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||
CLTV ≤ 60 | CLTV > 60 to 80 |
CLTV > 80 to 100
|
CLTV > 100
|
All Loans | ||||||||||||||||||||||||||||||||||||||||||||||
(Original credit score) | % Portfolio |
SDQ Rate(1)
|
% Portfolio |
SDQ Rate(1)
|
% Portfolio
|
SDQ Rate(1)
|
% Portfolio
|
SDQ Rate(1)
|
% Portfolio
|
SDQ Rate(1)
|
% Modified(2)
|
|||||||||||||||||||||||||||||||||||||||
< 620 | 0.8 | % | 9.30 | % | 0.3 | % | 15.15 | % | 0.1 | % | 20.75% | — | % | NM | 1.2 | % | 10.93 | % | 10.1 | % | ||||||||||||||||||||||||||||||
620 to 659 | 2.1 | 6.31 | 1.1 | 8.25 | 0.2 | 8.97 | — | NM | 3.4 | 6.97 | 6.1 | |||||||||||||||||||||||||||||||||||||||
≥ 660
|
47.2 | 1.85 | 37.1 | 2.09 | 10.9 | 1.70 | 0.1 | 14.01% | 95.3 | 1.92 | 0.9 | |||||||||||||||||||||||||||||||||||||||
Not available | 0.1 | 8.33 | — | NM | — | NM | — | NM | 0.1 | 9.06 | 17.5 | |||||||||||||||||||||||||||||||||||||||
Total | 50.2 | % | 2.29 | 38.5 | % | 2.47 | 11.2 | % | 2.08 | 0.1 | % | 18.27 | 100.0 | % | 2.34 | 1.3 | ||||||||||||||||||||||||||||||||||
December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||
CLTV ≤ 60 | CLTV > 60 to 80 |
CLTV > 80 to 100
|
CLTV > 100
|
All Loans | ||||||||||||||||||||||||||||||||||||||||||||||
(Original credit score) | % Portfolio |
SDQ Rate(1)
|
% Portfolio |
SDQ Rate(1)
|
% Portfolio
|
SDQ Rate(1)
|
% Portfolio
|
SDQ Rate(1)
|
% Portfolio
|
SDQ Rate(1)
|
% Modified(2)
|
|||||||||||||||||||||||||||||||||||||||
< 620 | 0.9 | % | 9.27% | 0.3 | % | 14.96% | 0.1 | % | 19.62% | — | % | NM | 1.3 | % | 11.00% | 10.2% | ||||||||||||||||||||||||||||||||||
620 to 659 | 2.0 | 6.56 | 1.2 | 9.08 | 0.3 | 10.08 | — | NM | 3.5 | 7.45 | 6.3 | |||||||||||||||||||||||||||||||||||||||
≥ 660 | 47.6 | 2.01 | 35.8 | 2.50 | 11.6 | 2.22 | 0.1 | 13.99% | 95.1 | 2.18 | 0.9 | |||||||||||||||||||||||||||||||||||||||
Not available | 0.1 | 7.96 | — | NM | — | NM | — | NM | 0.1 | 8.79 | 16.9 | |||||||||||||||||||||||||||||||||||||||
Total | 50.6 | % | 2.46 | 37.3 | % | 2.94 | 12.0 | % | 2.65 | 0.1 | % | 18.11 | 100.0 | % | 2.64 | 1.4 |
Freddie Mac 1Q 2021 Form 10-Q |
47
|
Management's Discussion and Analysis | Risk Management |
March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||
(Dollars in billions) | UPB | CLTV |
% Modified(1)
|
SDQ Rate | UPB | CLTV |
% Modified(1)
|
SDQ Rate | ||||||||||||||||||||||||
Alt-A | $17.6 | 54 | % | 14.7 | % | 10.49 | % | $18.4 | 55 | % | 14.7 | % | 10.66 | % |
March 31, 2021 | December 31, 2020 |
1Q 2021(1)
|
1Q 2020(1)
|
|||||||||||||||||||||||||||||||||||||||||
(Dollars in billions) | Portfolio UPB |
% of
Portfolio
|
SDQ Rate | Portfolio UPB |
% of
Portfolio
|
SDQ Rate | Credit Losses Amount |
% of Credit Losses(2)
|
Credit Losses Amount | % of Credit Losses | ||||||||||||||||||||||||||||||||||
Region:(3)
|
||||||||||||||||||||||||||||||||||||||||||||
West
|
$770 | 31 | % | 2.11 | % | $720 | 31 | % | 2.41 | % | $— | NM | $— | 8 | % | |||||||||||||||||||||||||||||
Northeast
|
581 | 24 | 2.82 | 549 | 24 | 3.16 | — | NM | 0.1 | 36 | ||||||||||||||||||||||||||||||||||
North Central
|
371 | 15 | 1.88 | 357 | 15 | 2.06 | — | NM | 0.1 | 29 | ||||||||||||||||||||||||||||||||||
Southeast
|
393 | 16 | 2.58 | 375 | 16 | 2.95 | — | NM | — | 18 | ||||||||||||||||||||||||||||||||||
Southwest
|
343 | 14 | 2.33 | 325 | 14 | 2.59 | — | NM | — | 9 | ||||||||||||||||||||||||||||||||||
Total
|
$2,458 | 100 | % | 2.34 | $2,326 | 100 | % | 2.64 | $— | NM | $0.2 | 100 | % | |||||||||||||||||||||||||||||||
State: | ||||||||||||||||||||||||||||||||||||||||||||
California | $455 | 19 | % | 2.29 | $424 | 18 | % | 2.64 | $— | NM | $— | 5 | % | |||||||||||||||||||||||||||||||
Texas | 152 | 6 | 2.75 | 145 | 6 | 3.11 | — | NM | — | 3 | ||||||||||||||||||||||||||||||||||
Florida | 142 | 6 | 3.14 | 135 | 6 | 3.70 | — | NM | — | 9 | ||||||||||||||||||||||||||||||||||
New York | 108 | 4 | 4.07 | 103 | 4 | 4.56 | — | NM | — | 9 | ||||||||||||||||||||||||||||||||||
Illinois | 99 | 4 | 2.83 | 96 | 4 | 2.96 | — | NM | 0.1 | 16 | ||||||||||||||||||||||||||||||||||
All other | 1,502 | 61 | 2.09 | 1,423 | 62 | 2.34 | — | NM | 0.1 | 58 | ||||||||||||||||||||||||||||||||||
Total | $2,458 | 100 | % | 2.34 | $2,326 | 100 | % | 2.64 | $— | NM | $0.2 | 100 | % |
Freddie Mac 1Q 2021 Form 10-Q |
48
|
Management's Discussion and Analysis | Risk Management |
Freddie Mac 1Q 2021 Form 10-Q |
49
|
Management's Discussion and Analysis | Risk Management |
1Q 2021 | 1Q 2020 | |||||||||||||||||||||||||||||||||||||
(Dollars in millions) | Number of Properties | Amount | Number of Properties | Amount | ||||||||||||||||||||||||||||||||||
Beginning balance — REO | 1,766 | $199 | 4,989 | $565 | ||||||||||||||||||||||||||||||||||
Additions | 354 | 30 | 1,441 | 136 | ||||||||||||||||||||||||||||||||||
Dispositions | (516) | (54) | (2,262) | (227) | ||||||||||||||||||||||||||||||||||
Ending balance — REO | 1,604 | 175 | 4,168 | 474 | ||||||||||||||||||||||||||||||||||
Beginning balance, valuation allowance | (1) | (10) | ||||||||||||||||||||||||||||||||||||
Change in valuation allowance | — | (7) | ||||||||||||||||||||||||||||||||||||
Ending balance, valuation allowance | (1) | (17) | ||||||||||||||||||||||||||||||||||||
Ending balance — REO, net | $174 | $457 |
Freddie Mac 1Q 2021 Form 10-Q |
50
|
Management's Discussion and Analysis | Risk Management |
Freddie Mac 1Q 2021 Form 10-Q |
51
|
Management's Discussion and Analysis | Risk Management |
March 31, 2021 | ||||||||||||||
(Dollars in millions) | UPB |
LTV > 80%(1)
|
DSCR < 1.25(1)
|
|||||||||||
Forbearance period | $240 | $67 | $217 | |||||||||||
Repayment period | 6,522 | 362 | 3,821 | |||||||||||
Credit-enhanced | 6,762 | 429 | 4,038 | |||||||||||
Forbearance period | — | — | — | |||||||||||
Repayment period | 654 | 81 | 200 | |||||||||||
Non-credit-enhanced | 654 | 81 | 200 | |||||||||||
Total | $7,416 | $510 | $4,238 | |||||||||||
Weighted average LTV(1)
|
64 | % | ||||||||||||
Weighted average DSCR(1)
|
1.36 |
March 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||||||||
(Dollars in millions) | UPB | Delinquency Rate |
Forbearance Rate(1)
|
UPB | Delinquency Rate |
Forbearance Rate(1)
|
|||||||||||||||||||||||||||||
Credit-enhanced: | |||||||||||||||||||||||||||||||||||
Subordination | $342,425 | 0.19 | % | 1.83 | % | $328,897 | 0.18 | % | 1.99 | % | |||||||||||||||||||||||||
Other(2)
|
19,891 | 0.03 | 2.47 | 17,352 | 0.17 | 2.73 | |||||||||||||||||||||||||||||
Total credit-enhanced | 362,316 | 0.18 | 1.87 | 346,249 | 0.18 | 2.03 | |||||||||||||||||||||||||||||
Non-credit-enhanced | 31,361 | 0.03 | 2.09 | 42,098 | 0.02 | 1.83 | |||||||||||||||||||||||||||||
Total | $393,677 | 0.17 | 1.88 | $388,347 | 0.16 | 2.01 |
Freddie Mac 1Q 2021 Form 10-Q |
52
|
Management's Discussion and Analysis | Risk Management |
March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
(Dollars in millions) | UPB | Delinquency Rate | Forbearance Rate | UPB | Delinquency Rate | Forbearance Rate | ||||||||||||||||||||
Less than 10% | $72,364 | 0.03 | % | 0.11 | % | $53,220 | 0.04 | % | 0.15 | % | ||||||||||||||||
10% or greater | 270,061 | 0.23 | 2.29 | 275,677 | 0.20 | 2.35 | ||||||||||||||||||||
Total | $342,425 | 0.19 | 1.83 | $328,897 | 0.18 | 1.99 | ||||||||||||||||||||
Weighted average subordination level | 13 | % | 13 | % |
March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
(Dollars in millions) | UPB | Delinquency Rate | Forbearance Rate | UPB | Delinquency Rate | Forbearance Rate | ||||||||||||||||||||
Unsecuritized loans: | ||||||||||||||||||||||||||
Held-for-sale | $13,341 | 0.07 | % | 1.38 | % | $21,794 | 0.04 | % | 0.85 | % | ||||||||||||||||
Held-for-investment | 7,938 | — | 0.08 | 8,655 | — | 1.40 | ||||||||||||||||||||
Securitization products | 5,147 | — | 8.92 | 6,711 | — | 6.84 | ||||||||||||||||||||
Other mortgage-related guarantees | 4,935 | — | 0.07 | 4,938 | — | 0.07 | ||||||||||||||||||||
Total | $31,361 | 0.03 | 2.09 | $42,098 | 0.02 | 1.83 |
March 31, 2021 | December 31, 2020 | |||||||||||||||||||
% of Portfolio(1)
|
% of Seriously Delinquent Single-Family Loans |
% of Portfolio(1)
|
% of Seriously Delinquent Single-Family Loans | |||||||||||||||||
Top five non-depository servicers | 18 | % | 17 | % | 18 | % | 17 | % | ||||||||||||
Other non-depository servicers | 33 | 32 | 30 | 28 | ||||||||||||||||
Total | 51 | % | 49 | % | 48 | % | 45 | % |
Freddie Mac 1Q 2021 Form 10-Q |
53
|
Management's Discussion and Analysis | Risk Management |
March 31, 2021 | ||||||||||||||||||||
(In millions) |
Credit Rating(1)
|
Credit Rating
Outlook(1) |
UPB |
Coverage(2)
|
||||||||||||||||
Arch Mortgage Insurance Company | A- | Negative | $96,012 | $23,852 | ||||||||||||||||
Radian Guaranty Inc. (Radian) | BBB+ | Negative | 92,428 | 22,097 | ||||||||||||||||
Mortgage Guaranty Insurance Corporation (MGIC) | BBB+ | Negative | 88,879 | 21,743 | ||||||||||||||||
Essent Guaranty, Inc. | BBB+ | Negative | 76,693 | 18,724 | ||||||||||||||||
Genworth Mortgage Insurance Corporation | BB+ | Negative | 74,611 | 18,495 | ||||||||||||||||
National Mortgage Insurance (NMI) | BBB | Negative | 52,487 | 13,112 | ||||||||||||||||
PMI Mortgage Insurance Co. (PMI) | Not Rated | N/A | 1,793 | 449 | ||||||||||||||||
Republic Mortgage Insurance Company (RMIC) | Not Rated | N/A | 1,331 | 329 | ||||||||||||||||
Triad Guaranty Insurance Corporation (Triad) | Not Rated | N/A | 836 | 209 | ||||||||||||||||
Others | N/A | N/A | 523 | 101 | ||||||||||||||||
Total | $485,593 | $119,111 |
March 31, 2021 | December 31, 2020 | |||||||||||||||||||
(Dollars in billions) |
Maximum Coverage(1)
|
% of Total |
Maximum Coverage(1)
|
% of Total | ||||||||||||||||
Top five ACIS counterparties | $6.0 | 46 | % | $5.3 | 48 | % | ||||||||||||||
All other ACIS counterparties | 7.1 | 54 | 5.8 | 52 | ||||||||||||||||
Total | $13.1 | 100 | % | $11.1 | 100 | % |
Freddie Mac 1Q 2021 Form 10-Q |
54
|
Management's Discussion and Analysis |
Risk Management
|
March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||
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 | $358 | ($3,549) | ($6,976) | ($286) | $3,700 | $7,670 | ||||||||||||||||||||||||||
Guarantees(2)
|
(103) | 1,289 | 3,094 | 165 | (1,691) | (3,250) | ||||||||||||||||||||||||||
Total Assets | 255 | (2,260) | (3,882) | (121) | 2,009 | 4,420 | ||||||||||||||||||||||||||
Liabilities | 9 | 2,869 | 5,436 | (54) | (3,237) | (7,503) | ||||||||||||||||||||||||||
Derivatives | (262) | (633) | (1,676) | 185 | 1,180 | 2,839 | ||||||||||||||||||||||||||
Total | 2 | (24) | (122) | $10 | ($48) | ($244) | ||||||||||||||||||||||||||
PVS | 2 | — | — | $10 | $— | $— |
1Q 2021 | 1Q 2020 | |||||||||||||||||||||||||
(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 | 0.4 | $7 | $62 | 0.4 | $10 | $62 | ||||||||||||||||||||
Minimum | (0.2) | — | — | (0.1) | — | — | ||||||||||||||||||||
Maximum | 1.0 | 20 | 200 | 1.5 | 28 | 236 | ||||||||||||||||||||
Standard deviation | 0.3 | 6 | 58 | 0.4 | 7 | 73 | ||||||||||||||||||||
Freddie Mac 1Q 2021 Form 10-Q |
55
|
Management's Discussion and Analysis |
Risk Management
|
PVS-L (50 bps) | |||||||||||||||||
(In millions) |
Before
Derivatives
|
After
Derivatives
|
Effect of
Derivatives
|
||||||||||||||
March 31, 2021 | $610 | $— | ($610) | ||||||||||||||
December 31, 2020 (1)
|
601 | — | (601) |
(In millions) | March 31, 2021 | March 31, 2020 | ||||||||||||
Interest Rate Scenarios(1)
|
||||||||||||||
Parallel yield curve shifts: | ||||||||||||||
+100 basis points | $582 | $265 | ||||||||||||
-100 basis points | (582) | (265) | ||||||||||||
Non-parallel yield curve shifts - long-term interest rates: | ||||||||||||||
+100 basis points | 743 | 110 | ||||||||||||
-100 basis points | (743) | (110) | ||||||||||||
Non-parallel yield curve shifts - short-term and medium-term interest rates: | ||||||||||||||
+100 basis points | (161) | 155 | ||||||||||||
-100 basis points | 161 | (155) |
Freddie Mac 1Q 2021 Form 10-Q |
56
|
Management's Discussion and Analysis |
Risk Management
|
Freddie Mac 1Q 2021 Form 10-Q |
57
|
Management's Discussion and Analysis | Liquidity and Capital Resources |
Source |
Balance(1)
(In millions)
|
Description | ||||||||||||
Liquidity | ||||||||||||||
• | Other Investments Portfolio - Liquidity and Contingency Operating Portfolio | $89,151 | • | 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 | $56,301 |
•
|
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. |
Freddie Mac 1Q 2021 Form 10-Q |
58
|
Management's Discussion and Analysis | Liquidity and Capital Resources |
Source |
Balance(1)
(In millions)
|
Description | ||||||||||||
Funding | ||||||||||||||
• | Debt of Freddie Mac | $258,441 | • | Debt of Freddie Mac is used to fund our business activities. | ||||||||||
• | Debt Securities of Consolidated Trusts | $2,445,829 |
•
|
Debt securities of consolidated trusts are used primarily to fund our single-family 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. |
Freddie Mac 1Q 2021 Form 10-Q |
59
|
Management's Discussion and Analysis | Liquidity and Capital Resources |
1Q 2021 | 1Q 2020 | |||||||||||||||||||||||||||||||
(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 | $11 | 0.69 | % | $— | — | % | $60,830 | 1.67 | % | $— | — | % | ||||||||||||||||||||
Issuances | — | — | — | — | 99,376 | 1.34 | — | — | ||||||||||||||||||||||||
Repurchases | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Maturities | (11) | 0.69 | — | — | (102,384) | 1.62 | — | — | ||||||||||||||||||||||||
Ending Balance | — | — | — | — | 57,822 | 1.33 | — | — | ||||||||||||||||||||||||
Securities sold under
agreements to repurchase
|
||||||||||||||||||||||||||||||||
Beginning balance | — | — | — | — | 9,843 | 1.46 | — | — | ||||||||||||||||||||||||
Additions | 133,828 | (0.05) | — | — | 299,679 | 1.10 | — | — | ||||||||||||||||||||||||
Repayments | (125,898) | (0.05) | — | — | (295,217) | 1.16 | — | — | ||||||||||||||||||||||||
Ending Balance | 7,930 | (0.05) | — | — | 14,305 | 0.16 | — | — | ||||||||||||||||||||||||
Callable debt | ||||||||||||||||||||||||||||||||
Beginning balance | 685 | 0.10 | 123,338 | 0.71 | 1,000 | 2.36 | 94,152 | 2.03 | ||||||||||||||||||||||||
Issuances | 22,050 | 0.04 | 1,090 | 0.60 | — | — | 29,089 | 1.78 | ||||||||||||||||||||||||
Repurchases | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Calls | (11,825) | 0.04 | (22,389) | 0.71 | (1,000) | 2.36 | (36,102) | 2.09 | ||||||||||||||||||||||||
Maturities | — | — | (525) | 1.90 | — | — | (2,270) | 1.48 | ||||||||||||||||||||||||
Ending Balance | 10,910 | 0.03 | 101,514 | 0.71 | — | — | 84,869 | 1.92 | ||||||||||||||||||||||||
Non-callable debt | ||||||||||||||||||||||||||||||||
Beginning balance | 4,259 | 1.51 | 145,560 | 1.21 | 39,407 | 2.31 | 62,228 | 2.86 | ||||||||||||||||||||||||
Issuances | — | — | — | — | 14,356 | 1.57 | 31,656 | 0.85 | ||||||||||||||||||||||||
Repurchases | (1,835) | 1.53 | (2,821) | 1.93 | — | — | — | — | ||||||||||||||||||||||||
Maturities | (2,424) | 1.49 | (4,766) | 2.13 | (13,450) | 2.24 | (3,589) | 1.57 | ||||||||||||||||||||||||
Ending Balance | — | — | 137,973 | 1.17 | 40,313 | 2.07 | 90,295 | 2.21 | ||||||||||||||||||||||||
STACR and SCR Debt(2)
|
||||||||||||||||||||||||||||||||
Beginning balance | — | — | 12,488 | 4.09 | — | — | 15,497 | 5.55 | ||||||||||||||||||||||||
Issuances | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Repurchases | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Maturities | — | — | (427) | 4.27 | — | — | (843) | 3.83 | ||||||||||||||||||||||||
Ending Balance | — | — | 12,061 | 4.13 | — | — | 14,654 | 5.57 | ||||||||||||||||||||||||
Total debt of Freddie Mac | 18,840 | — | % | 251,548 | 1.12 | % | 112,440 | 1.45 | % | 189,818 | 2.34 | % | ||||||||||||||||||||
Offsetting arrangements | (7,930) | (14,305) | ||||||||||||||||||||||||||||||
Total debt of Freddie Mac, net | $10,910 | $251,548 | $98,135 | $189,818 |
Freddie Mac 1Q 2021 Form 10-Q |
60
|
Management's Discussion and Analysis | Liquidity and Capital Resources |
Freddie Mac 1Q 2021 Form 10-Q |
61
|
Management's Discussion and Analysis | Liquidity and Capital Resources |
(In millions) | 1Q 2021 | 1Q 2020 | ||||||||||||
Beginning balance | $2,240,602 | $1,854,802 | ||||||||||||
Issuances: | ||||||||||||||
New issuances to third parties | 230,200 | 103,769 | ||||||||||||
Additional issuances of securities | 179,923 | 42,652 | ||||||||||||
Total issuances | 410,123 | 146,421 | ||||||||||||
Extinguishments: | ||||||||||||||
Purchases of debt securities from third parties | (2,565) | (4,017) | ||||||||||||
Debt securities received in settlement of secured lending | (50,692) | (14,765) | ||||||||||||
Repayments of debt securities | (220,777) | (96,670) | ||||||||||||
Total extinguishments | (274,034) | (115,452) | ||||||||||||
Ending balance | 2,376,691 | 1,885,771 | ||||||||||||
Unamortized premiums and discounts
|
69,138 | 44,234 | ||||||||||||
Debt securities of consolidated trusts held by third parties
|
$2,445,829 | $1,930,005 |
Freddie Mac 1Q 2021 Form 10-Q |
62
|
Management's Discussion and Analysis | Liquidity and Capital Resources |
(In millions) | 1Q 2021 | 1Q 2020 | |||||||||
Beginning balance | $16,413 | $8,882 | |||||||||
Comprehensive income (loss) | 2,378 | 622 | |||||||||
Capital draw from Treasury | — | — | |||||||||
Senior preferred stock dividends declared | — | — | |||||||||
Total equity / net worth | $18,791 | $9,504 | |||||||||
Aggregate draws under Purchase Agreement | $71,648 | $71,648 | |||||||||
Aggregate cash dividends paid to Treasury | 119,680 | 119,680 | |||||||||
Liquidation preference of the senior preferred stock | 89,061 | 81,770 |
Freddie Mac 1Q 2021 Form 10-Q |
63
|
Management's Discussion and Analysis | Critical Accounting Policies and Estimates |
2021 | 2022 | ||||||||||
March 31, 2021 | 6.6 | % | 4.4 | % | |||||||
December 31, 2020 | 5.4 | % | 3.0 | % |
Freddie Mac 1Q 2021 Form 10-Q |
64
|
Management's Discussion and Analysis | Regulation and Supervision |
Freddie Mac 1Q 2021 Form 10-Q |
65
|
Management's Discussion and Analysis | Forward-Looking Statements |
Freddie Mac 1Q 2021 Form 10-Q |
66
|
Management's Discussion and Analysis | Forward-Looking Statements |
Freddie Mac 1Q 2021 Form 10-Q |
67
|
Financial Statements |
Financial Statements
|
Freddie Mac 1Q 2021 Form 10-Q |
68
|
Financial Statements | Condensed Consolidated Statements of Comprehensive Income |
(In millions, except share-related amounts)
|
1Q 2021 | 1Q 2020 | ||||||||||||||||||
Net interest income | ||||||||||||||||||||
Interest income | $13,902 | $17,592 | ||||||||||||||||||
Interest expense | (10,263) | (14,807) | ||||||||||||||||||
Net interest income | 3,639 | 2,785 | ||||||||||||||||||
Non-interest income (loss) | ||||||||||||||||||||
Guarantee fee income | 248 | 377 | ||||||||||||||||||
Investment gains (losses), net | 1,208 | (835) | ||||||||||||||||||
Other income (loss) | 178 | 95 | ||||||||||||||||||
Non-interest income (loss) | 1,634 | (363) | ||||||||||||||||||
Net revenues | 5,273 | 2,422 | ||||||||||||||||||
Benefit (provision) for credit losses | 196 | (1,233) | ||||||||||||||||||
Non-interest expense | ||||||||||||||||||||
Salaries and employee benefits | (344) | (341) | ||||||||||||||||||
Professional services | (87) | (76) | ||||||||||||||||||
Other administrative expense | (208) | (170) | ||||||||||||||||||
Total administrative expense | (639) | (587) | ||||||||||||||||||
Credit enhancement expense | (335) | (231) | ||||||||||||||||||
Benefit for (decrease in) credit enhancement recoveries | (257) | 467 | ||||||||||||||||||
REO operations expense | (8) | (85) | ||||||||||||||||||
Temporary Payroll Tax Cut Continuation Act of 2011 expense | (534) | (432) | ||||||||||||||||||
Other expense | (215) | (103) | ||||||||||||||||||
Non-interest expense | (1,988) | (971) | ||||||||||||||||||
Income (loss) before income tax (expense) benefit | 3,481 | 218 | ||||||||||||||||||
Income tax (expense) benefit | (714) | (45) | ||||||||||||||||||
Net income (loss) | 2,767 | 173 | ||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | ||||||||||||||||||||
Changes in unrealized gains (losses) related to available-for-sale securities | (395) | 438 | ||||||||||||||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships | 10 | 13 | ||||||||||||||||||
Changes in defined benefit plans | (4) | (2) | ||||||||||||||||||
Total other comprehensive income (loss), net of taxes and reclassification adjustments | (389) | 449 | ||||||||||||||||||
Comprehensive income (loss) | $2,378 | $622 | ||||||||||||||||||
Net income (loss) | $2,767 | $173 | ||||||||||||||||||
Future increase in senior preferred stock liquidation preference | (2,378) | (382) | ||||||||||||||||||
Net income (loss) attributable to common stockholders | $389 | ($209) | ||||||||||||||||||
Net income (loss) per common share — basic and diluted | $0.12 | ($0.06) | ||||||||||||||||||
Weighted average common shares outstanding (in millions) — basic and diluted | 3,234 | 3,234 |
Freddie Mac 1Q 2021 Form 10-Q |
69
|
Financial Statements | Condensed Consolidated Balance Sheets |
March 31, | December 31, | ||||||||||
(In millions, except share-related amounts)
|
2021 | 2020 | |||||||||
Assets | |||||||||||
Cash and cash equivalents (Notes 3, 16) (includes $61,962 and $17,379 of restricted cash and cash equivalents) | $100,979 | $23,889 | |||||||||
Securities purchased under agreements to resell (Notes 3, 11, 16) | 15,140 | 105,003 | |||||||||
Investment securities, at fair value (Note 3, 6) | 61,880 | 59,825 | |||||||||
Mortgage loans held-for-sale (Notes 3, 4) (includes $8,093 and $14,199 at fair value) | 24,915 | 33,652 | |||||||||
Mortgage loans held-for-investment (Notes 3, 4) (net of allowance for credit losses of $5,330 and $5,732) | 2,482,972 | 2,350,236 | |||||||||
Accrued interest receivable (Notes 3, 4, 6, 11) (net of allowance of $213 and $140) | 7,662 | 7,754 | |||||||||
Derivative assets, net (Notes 10, 11) | 2,085 | 1,205 | |||||||||
Deferred tax assets, net | 6,826 | 6,557 | |||||||||
Other assets (Notes 3) (includes $5,894 and $5,775, at fair value) | 39,415 | 39,294 | |||||||||
Total assets | $2,741,874 | $2,627,415 | |||||||||
Liabilities and equity | |||||||||||
Liabilities | |||||||||||
Accrued interest payable (Note 3) | $5,954 | $6,210 | |||||||||
Debt (Notes 3, 9) (includes $2,364 and $2,592 at fair value) | 2,704,270 | 2,592,546 | |||||||||
Derivative liabilities, net (Notes 10, 11) | 950 | 954 | |||||||||
Other liabilities (Notes 3) | 11,909 | 11,292 | |||||||||
Total liabilities | 2,723,083 | 2,611,002 | |||||||||
Commitments and contingencies (Notes 5, 10, 18) | |||||||||||
Equity (Note 12) | |||||||||||
Senior preferred stock (liquidation preference of $89,061 and $86,539) | 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 650,059,553 shares and 650,059,292 shares outstanding | — | — | |||||||||
Additional paid-in capital | — | — | |||||||||
Retained earnings (accumulated deficit) | (64,335) | (67,102) | |||||||||
AOCI, net of taxes, related to: | |||||||||||
Available-for-sale securities | 415 | 810 | |||||||||
Cash flow hedge relationships | (196) | (206) | |||||||||
Defined benefit plans | 35 | 39 | |||||||||
Total AOCI, net of taxes | 254 | 643 | |||||||||
Treasury stock, at cost, 75,804,333 shares and 75,804,594 shares | (3,885) | (3,885) | |||||||||
Total equity
|
18,791 | 16,413 | |||||||||
Total liabilities and equity | $2,741,874 | $2,627,415 |
March 31, | December 31, | ||||||||||
(In millions) | 2021 | 2020 | |||||||||
Condensed Consolidated Balance Sheet Line Item (Note 3) | |||||||||||
Assets: | |||||||||||
Mortgage loans held-for-investment | $2,395,707 | $2,273,347 | |||||||||
All other assets | 90,128 | 83,982 | |||||||||
Total assets of consolidated VIEs | $2,485,835 | $2,357,329 | |||||||||
Liabilities: | |||||||||||
Debt | $2,445,829 | $2,308,176 | |||||||||
All other liabilities | 5,592 | 5,610 | |||||||||
Total liabilities of consolidated VIEs | $2,451,421 | $2,313,786 |
Freddie Mac 1Q 2021 Form 10-Q |
70
|
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 December 31, 2020 | 1 | 464 | 650 | $72,648 | $14,109 | $— | $— | ($67,102) | $643 | ($3,885) | $16,413 | |||||||||||||||||||||||||||
Comprehensive income (loss): | ||||||||||||||||||||||||||||||||||||||
Net income (loss) | — | — | — | — | — | — | — | 2,767 | — | — | 2,767 | |||||||||||||||||||||||||||
Other comprehensive income (loss), net of taxes | — | — | — | — | — | — | — | — | (389) | — | (389) | |||||||||||||||||||||||||||
Comprehensive income (loss) | — | — | — | — | — | — | — | 2,767 | (389) | — | 2,378 | |||||||||||||||||||||||||||
Ending balance at March 31, 2021 | 1 | 464 | 650 | $72,648 | $14,109 | $— | $— | ($64,335) | $254 | ($3,885) | $18,791 | |||||||||||||||||||||||||||
Balance at December 31, 2019 | 1 | 464 | 650 | $72,648 | $14,109 | $— | $— | ($74,188) | $438 | ($3,885) | $9,122 | |||||||||||||||||||||||||||
Comprehensive income (loss): | ||||||||||||||||||||||||||||||||||||||
Net income (loss) | — | — | — | — | — | — | — | 173 | — | — | 173 | |||||||||||||||||||||||||||
Other comprehensive income (loss), net of taxes | — | — | — | — | — | — | — | — | 449 | — | 449 | |||||||||||||||||||||||||||
Comprehensive income (loss) | — | — | — | — | — | — | — | 173 | 449 | — | 622 | |||||||||||||||||||||||||||
Cumulative effect from adoption of CECL | — | — | — | — | — | — | — | (240) | — | — | (240) | |||||||||||||||||||||||||||
Ending balance at March 31, 2020 | 1 | 464 | 650 | $72,648 | $14,109 | $— | $— | ($74,255) | $887 | ($3,885) | $9,504 |
Freddie Mac 1Q 2021 Form 10-Q |
71
|
Financial Statements | Condensed Consolidated Statements of Cash Flows |
(In millions) | 1Q 2021 | 1Q 2020 | |||||||||
Net cash provided by (used in) operating activities | $10,382 | $2,791 | |||||||||
Cash flows from investing activities | |||||||||||
Purchases of trading securities | (34,301) | (29,067) | |||||||||
Proceeds from sales of trading securities | 31,425 | 24,252 | |||||||||
Proceeds from maturities and repayments of trading securities | 2,487 | 4,992 | |||||||||
Purchases of available-for-sale securities | (4,407) | (1,375) | |||||||||
Proceeds from sales of available-for-sale securities | 14,571 | 2,072 | |||||||||
Proceeds from maturities and repayments of available-for-sale securities | 502 | 865 | |||||||||
Purchases of mortgage loans acquired as held-for-investment | (229,709) | (68,834) | |||||||||
Proceeds from sales of mortgage loans acquired as held-for-investment | 1,019 | 2,464 | |||||||||
Proceeds from repayments of mortgage loans acquired as held-for-investment | 229,285 | 107,876 | |||||||||
Advances under secured lending arrangements | (54,777) | (17,047) | |||||||||
Repayments of secured lending arrangements | 52 | 591 | |||||||||
Net proceeds from dispositions of real estate owned and other recoveries | 71 | 260 | |||||||||
Net (increase) decrease in securities purchased under agreements to resell | 81,933 | 5,688 | |||||||||
Derivative premiums and terminations, swap collateral, and exchange settlement payments, net | 990 | (8,357) | |||||||||
Other, net | (155) | (138) | |||||||||
Net cash provided by (used in) investing activities | 38,986 | 24,242 | |||||||||
Cash flows from financing activities | |||||||||||
Proceeds from issuance of debt securities of consolidated trusts held by third parties | 267,096 | 73,626 | |||||||||
Repayments and redemptions of debt securities of consolidated trusts held by third parties | (223,437) | (100,829) | |||||||||
Proceeds from issuance of debt of Freddie Mac | 23,153 | 174,258 | |||||||||
Repayments of debt of Freddie Mac | (47,019) | (159,391) | |||||||||
Net increase (decrease) in securities sold under agreements to repurchase | 7,930 | 4,463 | |||||||||
Other, net | (1) | (25) | |||||||||
Net cash provided by (used in) financing activities | 27,722 | (7,898) | |||||||||
Net increase (decrease) in cash and cash equivalents (includes restricted cash and cash equivalents) | 77,090 | 19,135 | |||||||||
Cash and cash equivalents (includes restricted cash and cash equivalents) at beginning of year | 23,889 | 5,189 | |||||||||
Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period | $100,979 | $24,324 | |||||||||
Supplemental cash flow information | |||||||||||
Cash paid for: | |||||||||||
Debt interest | $17,373 | $17,962 | |||||||||
Income taxes | — | — | |||||||||
Non-cash investing and financing activities (Note 4, and 6) |
Freddie Mac 1Q 2021 Form 10-Q |
72
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 1
|
Freddie Mac 1Q 2021 Form 10-Q |
73
|
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 2020-06, Debt - Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging -Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity
|
The amendments in this Update simplify an issuer's
accounting for certain financial instruments with characteristics of liabilities and equity, primarily by eliminating many of the current separation models used to account for convertible debt and convertible preferred stock. |
January 1, 2021 | The adoption of the amendments did not have a material effect on our condensed consolidated financial statements or on our disclosures. | ||||||||
ASU 2020-08, Codification Improvements to Subtopic 310-20, Receivables -Nonrefundable Fees and Other Costs
|
The amendments in this Update clarify the guidance
for the reevaluation of whether a callable debt security’s amortized cost basis exceeds the amount repayable by the issuer at the next call date. |
January 1, 2021 | The adoption of the amendments did not have a material effect on our condensed consolidated financial statements or on our disclosures. |
Freddie Mac 1Q 2021 Form 10-Q |
74
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 2
|
Freddie Mac 1Q 2021 Form 10-Q |
75
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 2
|
Freddie Mac 1Q 2021 Form 10-Q |
76
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 2
|
Freddie Mac 1Q 2021 Form 10-Q |
77
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 3
|
Freddie Mac 1Q 2021 Form 10-Q |
78
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 3
|
(In millions) | March 31, 2021 | December 31, 2020 | |||||||||
Condensed Consolidated Balance Sheet Line Item | |||||||||||
Assets: | |||||||||||
Cash and cash equivalents (includes $61,856 and $17,289 of restricted cash and cash equivalents) | $61,857 | $17,290 | |||||||||
Securities purchased under agreements to resell | — | 38,487 | |||||||||
Investment securities, at fair value | 1,383 | 591 | |||||||||
Mortgage loans held-for-investment, net | 2,395,707 | 2,273,347 | |||||||||
Accrued interest receivable, net | 7,056 | 7,134 | |||||||||
Other assets | 19,832 | 20,480 | |||||||||
Total assets of consolidated VIEs | $2,485,835 | $2,357,329 | |||||||||
Liabilities: | |||||||||||
Accrued interest payable | $5,591 | $5,610 | |||||||||
Debt | 2,445,829 | 2,308,176 | |||||||||
Other liabilities | 1 | — | |||||||||
Total liabilities of consolidated VIEs | $2,451,421 | $2,313,786 |
Freddie Mac 1Q 2021 Form 10-Q |
79
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 3
|
(In millions)
|
March 31, 2021 | December 31, 2020 | |||||||||
Assets and Liabilities Recorded on our Condensed Consolidated Balance Sheets(1)
|
|||||||||||
Assets:
|
|||||||||||
Investment securities, at fair value | $24,898 | $28,459 | |||||||||
Accrued interest receivable, net | 232 | 239 | |||||||||
Derivative assets, net | 29 | 61 | |||||||||
Other assets
|
5,651 | 5,553 | |||||||||
Liabilities:
|
|||||||||||
Debt | 89 | — | |||||||||
Derivative liabilities, net
|
72 | 47 | |||||||||
Other liabilities
|
4,739 | 4,515 |
Freddie Mac 1Q 2021 Form 10-Q |
80
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 4
|
March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
(In millions) | Single-family | Multifamily | Total | Single-family | Multifamily | Total | ||||||||||||||||||||
Held-for-sale UPB | $10,850 | $15,450 | $26,300 | $10,702 | $23,789 | $34,491 | ||||||||||||||||||||
Cost basis and fair value adjustments, net | (1,592) | 207 | (1,385) | (1,637) | 798 | (839) | ||||||||||||||||||||
Total held-for-sale loans, net | 9,258 | 15,657 | 24,915 | 9,065 | 24,587 | 33,652 | ||||||||||||||||||||
Held-for-investment UPB | 2,403,981 | 22,738 | 2,426,719 | 2,271,576 | 21,923 | 2,293,499 | ||||||||||||||||||||
Cost basis adjustments | 61,527 | 56 | 61,583 | 62,415 | 54 | 62,469 | ||||||||||||||||||||
Allowance for credit losses | (5,253) | (77) | (5,330) | (5,628) | (104) | (5,732) | ||||||||||||||||||||
Total held-for-investment loans, net
|
2,460,255 | 22,717 | 2,482,972 | 2,328,363 | 21,873 | 2,350,236 | ||||||||||||||||||||
Total mortgage loans, net | $2,469,513 | $38,374 | $2,507,887 | $2,337,428 | $46,460 | $2,383,888 |
(In billions) | 1Q 2021 | 1Q 2020 | ||||||||||||||||||||||||
Single-family:
|
||||||||||||||||||||||||||
Purchases
|
||||||||||||||||||||||||||
Held-for-investment loans
|
$360.6 | $137.7 | ||||||||||||||||||||||||
Sale of held-for-sale loans(1)
|
— | 2.2 | ||||||||||||||||||||||||
Multifamily:
|
||||||||||||||||||||||||||
Purchases
|
||||||||||||||||||||||||||
Held-for-investment loans
|
1.6 | 1.2 | ||||||||||||||||||||||||
Held-for-sale loans
|
12.3 | 8.2 | ||||||||||||||||||||||||
Sale of held-for-sale loans(2)
|
21.1 | 10.7 |
1Q 2021 | 1Q 2020 | |||||||||||||||||||||||||||||||||||||||||||
(In millions) | UPB | Allowance for Credit Losses Reversed or (Established) | Valuation Allowance (Established) or Reversed | UPB | Allowance for Credit Losses Reversed or (Established) | Valuation Allowance (Established) or Reversed | ||||||||||||||||||||||||||||||||||||||
Single-family reclassifications from: | ||||||||||||||||||||||||||||||||||||||||||||
Held-for-investment to held-for-sale(1)
|
$501 | $7 | $— | $2,637 | $214 | $— | ||||||||||||||||||||||||||||||||||||||
Held-for-sale to held-for-investment(2)
|
35 | 3 | — | 1 | — | — | ||||||||||||||||||||||||||||||||||||||
Multifamily reclassifications from: | ||||||||||||||||||||||||||||||||||||||||||||
Held-for-investment to held-for-sale | 528 | 1 | — | 32 | — | — | ||||||||||||||||||||||||||||||||||||||
Held-for-sale to held-for-investment | 9 | — | — | 482 | (1) | — |
Freddie Mac 1Q 2021 Form 10-Q |
81
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 4
|
Non-accrual Amortized Cost Basis |
Interest Income Recognized(1)
|
||||||||||||||||
(In millions) | January 1, 2021 | March 31, 2021 | 1Q 2021 | ||||||||||||||
Single-family: | |||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $12,151 | $21,137 | $36 | ||||||||||||||
15-year amortizing fixed-rate | 696 | 1,031 | 1 | ||||||||||||||
Adjustable-rate | 193 | 296 | — | ||||||||||||||
Alt-A, interest-only, and option ARM | 637 | 700 | 1 | ||||||||||||||
Total single-family
|
13,677 | 23,164 | 38 | ||||||||||||||
Total multifamily
|
— | — | — | ||||||||||||||
Total single-family and multifamily | $13,677 | $23,164 | $38 |
Non-accrual Amortized Cost Basis |
Interest Income Recognized(1)
|
||||||||||||||||
(In millions) | January 1, 2020 | March 31, 2020 | 1Q 2020 | ||||||||||||||
Single-family: | |||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $5,598 | $5,494 | $4 | ||||||||||||||
15-year amortizing fixed-rate | 242 | 241 | — | ||||||||||||||
Adjustable-rate | 91 | 83 | — | ||||||||||||||
Alt-A, interest-only, and option ARM | 439 | 389 | 2 | ||||||||||||||
Total single-family
|
6,370 | 6,207 | 6 | ||||||||||||||
Total multifamily
|
13 | 13 | — | ||||||||||||||
Total single-family and multifamily | $6,383 | $6,220 | $6 |
Accrued Interest Receivable, Net | Accrued Interest Receivable Related Charge-offs | ||||||||||||||||
(In millions) | March 31, 2021 | December 31, 2020 | 1Q 2021 | 1Q 2020 | |||||||||||||
Single-family loans | $7,229 | $7,292 | ($166) | ($29) | |||||||||||||
Multifamily loans | 120 | 139 | — | — |
Freddie Mac 1Q 2021 Form 10-Q |
82
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 4
|
March 31, 2021 | ||||||||||||||||||||||||||
Year of Origination | Total | |||||||||||||||||||||||||
(In millions) | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | ||||||||||||||||||||
Current LTV Ratio:
|
||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate
|
||||||||||||||||||||||||||
≤ 60 | $51,100 | $243,582 | $53,075 | $33,730 | $63,245 | $498,835 | $943,567 | |||||||||||||||||||
> 60 to 80 | 112,096 | 466,621 | 125,253 | 51,535 | 43,041 | 61,433 | 859,979 | |||||||||||||||||||
> 80 to 100
|
52,066 | 182,963 | 28,503 | 4,226 | 1,292 | 3,529 | 272,579 | |||||||||||||||||||
> 100(1)
|
92 | 93 | 5 | 20 | 49 | 812 | 1,071 | |||||||||||||||||||
Total 20- and 30-year or more, amortizing fixed-rate
|
215,354 | 893,259 | 206,836 | 89,511 | 107,627 | 564,609 | 2,077,196 | |||||||||||||||||||
15-year amortizing fixed-rate
|
||||||||||||||||||||||||||
≤ 60 | 18,098 | 90,471 | 17,571 | 9,263 | 17,916 | 103,499 | 256,818 | |||||||||||||||||||
> 60 to 80 | 16,388 | 64,103 | 8,417 | 1,237 | 506 | 211 | 90,862 | |||||||||||||||||||
> 80 to 100
|
2,650 | 5,156 | 135 | 10 | 9 | 20 | 7,980 | |||||||||||||||||||
> 100(1)
|
9 | 7 | — | 2 | 3 | 8 | 29 | |||||||||||||||||||
Total 15-year amortizing fixed-rate
|
37,145 | 159,737 | 26,123 | 10,512 | 18,434 | 103,738 | 355,689 | |||||||||||||||||||
Adjustable-rate
|
||||||||||||||||||||||||||
≤ 60 | 29 | 1,422 | 772 | 655 | 2,205 | 13,493 | 18,576 | |||||||||||||||||||
> 60 to 80 | 34 | 1,221 | 692 | 382 | 715 | 597 | 3,641 | |||||||||||||||||||
> 80 to 100
|
7 | 146 | 56 | 14 | 17 | 7 | 247 | |||||||||||||||||||
> 100(1)
|
— | — | — | — | — | 1 | 1 | |||||||||||||||||||
Total adjustable-rate | 70 | 2,789 | 1,520 | 1,051 | 2,937 | 14,098 | 22,465 | |||||||||||||||||||
Alt-A, Interest-only, and option ARM
|
||||||||||||||||||||||||||
≤ 60 | — | — | — | — | — | 8,361 | 8,361 | |||||||||||||||||||
> 60 to 80 | — | — | — | — | — | 1,497 | 1,497 | |||||||||||||||||||
> 80 to 100
|
— | — | — | — | — | 252 | 252 | |||||||||||||||||||
> 100(1)
|
— | — | — | — | — | 48 | 48 | |||||||||||||||||||
Total Alt-A, interest-only, and option ARM | — | — | — | — | — | 10,158 | 10,158 | |||||||||||||||||||
Total single-family loans | $252,569 | $1,055,785 | $234,479 | $101,074 | $128,998 | $692,603 | $2,465,508 | |||||||||||||||||||
Total for all loan product types by current LTV ratio:
|
||||||||||||||||||||||||||
≤ 60
|
$69,227 | $335,475 | $71,418 | $43,648 | $83,366 | $624,188 | $1,227,322 | |||||||||||||||||||
> 60 to 80 | 128,518 | 531,945 | 134,362 | 53,154 | 44,262 | 63,738 | 955,979 | |||||||||||||||||||
> 80 to 100
|
54,723 | 188,265 | 28,694 | 4,250 | 1,318 | 3,808 | 281,058 | |||||||||||||||||||
> 100(1)
|
101 | 100 | 5 | 22 | 52 | 869 | 1,149 | |||||||||||||||||||
Total single-family loans | $252,569 | $1,055,785 | $234,479 | $101,074 | $128,998 | $692,603 | $2,465,508 |
Freddie Mac 1Q 2021 Form 10-Q |
83
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 4
|
December 31, 2020 | ||||||||||||||||||||||||||
Year of Origination | Total | |||||||||||||||||||||||||
(In millions) | 2020 | 2019 | 2018 | 2017 | 2016 | Prior | ||||||||||||||||||||
Current LTV Ratio:
|
||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate
|
||||||||||||||||||||||||||
≤ 60 | $203,333 | $52,820 | $33,139 | $64,834 | $115,978 | $431,406 | $901,510 | |||||||||||||||||||
> 60 to 80 | 437,107 | 141,094 | 64,236 | 59,110 | 40,614 | 44,636 | 786,797 | |||||||||||||||||||
> 80 to 100
|
206,457 | 53,926 | 8,822 | 2,117 | 654 | 3,983 | 275,959 | |||||||||||||||||||
> 100(1)
|
202 | 7 | 25 | 64 | 61 | 948 | 1,307 | |||||||||||||||||||
Total 20- and 30-year or more, amortizing fixed-rate
|
847,099 | 247,847 | 106,222 | 126,125 | 157,307 | 480,973 | 1,965,573 | |||||||||||||||||||
15-year amortizing fixed-rate
|
||||||||||||||||||||||||||
≤ 60 | 78,269 | 17,753 | 9,914 | 19,650 | 29,916 | 83,842 | 239,344 | |||||||||||||||||||
> 60 to 80 | 67,904 | 12,169 | 2,195 | 961 | 215 | 135 | 83,579 | |||||||||||||||||||
> 80 to 100
|
8,553 | 400 | 17 | 12 | 9 | 17 | 9,008 | |||||||||||||||||||
> 100(1)
|
21 | — | 3 | 5 | 3 | 7 | 39 | |||||||||||||||||||
Total 15-year amortizing fixed-rate
|
154,747 | 30,322 | 12,129 | 20,628 | 30,143 | 84,001 | 331,970 | |||||||||||||||||||
Adjustable-rate
|
||||||||||||||||||||||||||
≤ 60 | 1,427 | 850 | 731 | 2,429 | 2,042 | 12,993 | 20,472 | |||||||||||||||||||
> 60 to 80 | 1,403 | 877 | 537 | 1,061 | 329 | 528 | 4,735 | |||||||||||||||||||
> 80 to 100
|
232 | 125 | 34 | 29 | 2 | 8 | 430 | |||||||||||||||||||
> 100(1)
|
— | — | — | — | — | 1 | 1 | |||||||||||||||||||
Total adjustable-rate | 3,062 | 1,852 | 1,302 | 3,519 | 2,373 | 13,530 | 25,638 | |||||||||||||||||||
Alt-A, Interest-only, and option ARM
|
||||||||||||||||||||||||||
≤ 60 | — | — | — | — | — | 8,620 | 8,620 | |||||||||||||||||||
> 60 to 80 | — | — | — | — | — | 1,818 | 1,818 | |||||||||||||||||||
> 80 to 100
|
— | — | — | — | — | 314 | 314 | |||||||||||||||||||
> 100(1)
|
— | — | — | — | — | 58 | 58 | |||||||||||||||||||
Total Alt-A, interest-only, and option ARM | — | — | — | — | — | 10,810 | 10,810 | |||||||||||||||||||
Total single-family loans | $1,004,908 | $280,021 | $119,653 | $150,272 | $189,823 | $589,314 | $2,333,991 | |||||||||||||||||||
Total for all loan product types by Current LTV ratio:
|
||||||||||||||||||||||||||
≤ 60 | $283,029 | $71,423 | $43,784 | $86,913 | $147,936 | $536,861 | $1,169,946 | |||||||||||||||||||
> 60 to 80 | 506,414 | 154,140 | 66,968 | 61,132 | 41,158 | 47,117 | 876,929 | |||||||||||||||||||
> 80 to 100
|
215,242 | 54,451 | 8,873 | 2,158 | 665 | 4,322 | 285,711 | |||||||||||||||||||
> 100(1)
|
223 | 7 | 28 | 69 | 64 | 1,014 | 1,405 | |||||||||||||||||||
Total single-family loans | $1,004,908 | $280,021 | $119,653 | $150,272 | $189,823 | $589,314 | $2,333,991 |
Freddie Mac 1Q 2021 Form 10-Q |
84
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 4
|
March 31, 2021 | ||||||||||||||||||||||||||||||||
Year of Origination | Total | |||||||||||||||||||||||||||||||
(In millions) | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | Revolving Loans | |||||||||||||||||||||||||
Category: | ||||||||||||||||||||||||||||||||
Pass
|
$438 | $8,169 | $6,258 | $1,160 | $656 | $3,191 | $2,215 | $22,087 | ||||||||||||||||||||||||
Special mention
|
— | — | 500 | — | — | 107 | — | 607 | ||||||||||||||||||||||||
Substandard
|
— | — | 23 | — | 13 | 64 | — | 100 | ||||||||||||||||||||||||
Doubtful
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Total | $438 | $8,169 | $6,781 | $1,160 | $669 | $3,362 | $2,215 | $22,794 |
December 31, 2020 | ||||||||||||||||||||||||||||||||
|
Year of Origination | Total | ||||||||||||||||||||||||||||||
(In millions) | 2020 | 2019 | 2018 | 2017 | 2016 | Prior | Revolving Loans | |||||||||||||||||||||||||
Category: | ||||||||||||||||||||||||||||||||
Pass
|
$7,486 | $6,491 | $1,075 | $722 | $590 | $2,715 | $2,024 | $21,103 | ||||||||||||||||||||||||
Special mention
|
— | 524 | 115 | — | 8 | 108 | — | 755 | ||||||||||||||||||||||||
Substandard
|
— | — | 6 | 41 | — | 72 | — | 119 | ||||||||||||||||||||||||
Doubtful
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Total | $7,486 | $7,015 | $1,196 | $763 | $598 | $2,895 | $2,024 | $21,977 |
Freddie Mac 1Q 2021 Form 10-Q |
85
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 4
|
March 31, 2021 | ||||||||||||||||||||||||||
(In millions) | Current |
One
Month
Past Due
|
Two
Months
Past Due
|
Three Months or
More Past Due,
or in Foreclosure(1)
|
Total | Three Months or More Past Due, and Accruing |
Non-accrual With No Allowance(2)
|
|||||||||||||||||||
Single-family: | ||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $2,015,453 | $11,184 | $4,152 | $46,407 | $2,077,196 | $25,654 | $791 | |||||||||||||||||||
15-year amortizing fixed-rate | 351,388 | 1,024 | 309 | 2,968 | 355,689 | 1,907 | 11 | |||||||||||||||||||
Adjustable-rate | 21,474 | 151 | 80 | 760 | 22,465 | 464 | 10 | |||||||||||||||||||
Alt-A, interest-only, and option ARM | 8,725 | 243 | 129 | 1,061 | 10,158 | 376 | 139 | |||||||||||||||||||
Total single-family
|
2,397,040 | 12,602 | 4,670 | 51,196 | 2,465,508 | 28,401 | 951 | |||||||||||||||||||
Total multifamily(3)
|
22,788 | 6 | — | — | 22,794 | — | — | |||||||||||||||||||
Total single-family and multifamily | $2,419,828 | $12,608 | $4,670 | $51,196 | $2,488,302 | $28,401 | $951 |
December 31, 2020 | ||||||||||||||||||||||||||
(In millions) | Current |
One
Month Past Due |
Two
Months Past Due |
Three Months or
More Past Due, or in Foreclosure(1) |
Total | Three Months or More Past Due, and Accruing |
Non-accrual with No Allowance(2)
|
|||||||||||||||||||
Single-family: | ||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $1,891,981 | $15,798 | $5,941 | $51,853 | $1,965,573 | $40,162 | $648 | |||||||||||||||||||
15-year amortizing fixed-rate | 326,651 | 1,439 | 429 | 3,451 | 331,970 | 2,723 | 11 | |||||||||||||||||||
Adjustable-rate | 24,483 | 192 | 79 | 884 | 25,638 | 690 | 5 | |||||||||||||||||||
Alt-A, interest-only, and option ARM | 9,227 | 292 | 130 | 1,161 | 10,810 | 538 | 115 | |||||||||||||||||||
Total single-family
|
2,252,342 | 17,721 | 6,579 | 57,349 | 2,333,991 | 44,113 | 779 | |||||||||||||||||||
Total multifamily(3)
|
21,977 | — | — | — | 21,977 | — | — | |||||||||||||||||||
Total single-family and multifamily | $2,274,319 | $17,721 | $6,579 | $57,349 | $2,355,968 | $44,113 | $779 |
1Q 2021 | 1Q 2020 | ||||||||||
Percentage of single-family loan modifications that were classified as TDRs with: | |||||||||||
Interest rate reductions and related term extensions | 15 | % | 14 | % | |||||||
Principal forbearance and related interest rate reductions and term extensions | 34 | 19 | |||||||||
Average coupon interest rate reduction | 0.4 | % | 0.3 | % | |||||||
Average months of term extension | 153 | 187 |
Freddie Mac 1Q 2021 Form 10-Q |
86
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 4
|
Freddie Mac 1Q 2021 Form 10-Q |
87
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 5
|
|
March 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||
(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
|
$28,466 | $387 | 39 | $29,739 | $401 | 39 | ||||||||||||||||||||
Other mortgage-related guarantees
|
9,584 | 214 | 30 | 9,215 | 193 | 30 | ||||||||||||||||||||
Total single-family | $38,050 | $601 | $38,954 | $594 | ||||||||||||||||||||||
Multifamily: | ||||||||||||||||||||||||||
Securitization activity guarantees | $299,878 | $4,267 | 39 | $287,334 | $4,031 | 39 | ||||||||||||||||||||
Other mortgage-related guarantees | 10,243 | 407 | 33 | 10,721 | 425 | 33 | ||||||||||||||||||||
Total multifamily | $310,121 | $4,674 | $298,055 | $4,456 | ||||||||||||||||||||||
Other guarantees
|
$62,729 | $1,796 | 30 | $47,703 | $794 | 30 | ||||||||||||||||||||
Fannie Mae securities backing Freddie Mac resecuritization products | 93,726 | — | 40 | 85,841 | — | 41 |
Freddie Mac 1Q 2021 Form 10-Q |
88
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 5
|
March 31, 2021 | ||||||||||||||||||||
(In millions) | Current |
One
Month
Past Due
|
Two
Months
Past Due
|
Three Months or
More Past Due,
or in Foreclosure
|
Total(1)
|
|||||||||||||||
Single-family | $36,577 | $2,123 | $811 | $3,878 | $43,389 | |||||||||||||||
Multifamily(2)
|
352,559 | 55 | 63 | 592 | 353,269 | |||||||||||||||
Total | $389,136 | $2,178 | $874 | $4,470 | $396,658 |
December 31, 2020 | ||||||||||||||||||||
(In millions) | Current |
One
Month
Past Due
|
Two
Months
Past Due
|
Three Months or
More Past Due,
or in Foreclosure
|
Total(1)
|
|||||||||||||||
Single-family | $37,187 | $2,204 | $945 | $3,922 | $44,258 | |||||||||||||||
Multifamily | 339,614 | 87 | 62 | 557 | 340,320 | |||||||||||||||
Total | $376,801 | $2,291 | $1,007 | $4,479 | $384,578 |
Freddie Mac 1Q 2021 Form 10-Q |
89
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 6
|
(In millions) | March 31, 2021 | December 31, 2020 | |||||||||
Trading securities | $54,289 | $44,458 | |||||||||
Available-for-sale securities | 7,591 | 15,367 | |||||||||
Total fair value of investment securities | $61,880 | $59,825 |
(In millions) | March 31, 2021 | December 31, 2020 | |||||||||
Mortgage-related securities: | |||||||||||
Agency | $23,015 | $17,504 | |||||||||
Non-agency | 1 | 1 | |||||||||
Total mortgage-related securities | 23,016 | 17,505 | |||||||||
Non-mortgage-related securities | 31,273 | 26,953 | |||||||||
Total fair value of trading securities | $54,289 | $44,458 |
March 31, 2021 | ||||||||||||||||||||
Amortized
Cost
Basis
|
Gross Unrealized Gains in Other Comprehensive Income |
Gross Unrealized
Losses in Other Comprehensive Income |
Fair Value | Accrued Interest Receivable | ||||||||||||||||
(In millions) | ||||||||||||||||||||
Available-for-sale securities: | ||||||||||||||||||||
Agency | $6,267 | $294 | ($6) | $6,555 | $16 | |||||||||||||||
Non-agency and other | 802 | 234 | — | 1,036 | 4 | |||||||||||||||
Total available-for-sale securities | $7,069 | $528 | ($6) | $7,591 | $20 |
Freddie Mac 1Q 2021 Form 10-Q |
90
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 6
|
December 31, 2020 | ||||||||||||||||||||
Amortized
Cost
Basis
|
Gross Unrealized
Gains in Other Comprehensive Income |
Gross Unrealized
Losses in Other Comprehensive Income |
Fair Value | Accrued Interest Receivable | ||||||||||||||||
(In millions) | ||||||||||||||||||||
Available-for-sale securities: | ||||||||||||||||||||
Agency | $13,514 | $794 | ($4) | $14,304 | $36 | |||||||||||||||
Non-agency and other | 830 | 233 | — | 1,063 | 4 | |||||||||||||||
Total available-for-sale securities | $14,344 | $1,027 | ($4) | $15,367 | $40 |
March 31, 2021 | ||||||||||||||||||||
Less than 12 Months | 12 Months or Greater | |||||||||||||||||||
(In millions) |
Fair
Value
|
Gross Unrealized Losses |
Fair
Value
|
Gross Unrealized Losses | ||||||||||||||||
Available-for-sale securities: | ||||||||||||||||||||
Agency | $617 | ($3) | $117 | ($3) | ||||||||||||||||
Non-agency and other | 1 | — | 16 | — | ||||||||||||||||
Total available-for-sale securities in a gross unrealized loss position | $618 | ($3) | $133 | ($3) |
December 31, 2020 | ||||||||||||||||||||
Less than 12 Months | 12 Months or Greater | |||||||||||||||||||
(In millions) |
Fair
Value |
Gross Unrealized Losses |
Fair
Value |
Gross Unrealized Losses | ||||||||||||||||
Available-for-sale securities: | ||||||||||||||||||||
Agency | $223 | ($2) | $144 | ($2) | ||||||||||||||||
Non-agency and other | 17 | — | — | — | ||||||||||||||||
Total available-for-sale securities in a gross unrealized loss position | $240 | ($2) | $144 | ($2) |
(In millions) | 1Q 2021 | 1Q 2020 | ||||||||||||||||||
Gross realized gains | $399 | $33 | ||||||||||||||||||
Gross realized losses | (31) | (23) | ||||||||||||||||||
Net realized gains (losses) | $368 | $10 |
Freddie Mac 1Q 2021 Form 10-Q |
91
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 7
|
1Q 2021 | 1Q 2020 | |||||||||||||||||||||||||
(In millions) | Single-family | Multifamily | Total | Single-family | Multifamily | Total | ||||||||||||||||||||
Beginning balance | $6,353 | $200 | $6,553 | $5,233 | $69 | $5,302 | ||||||||||||||||||||
Provision (benefit) for credit losses | (146) | (50) | (196) | 1,166 | 67 | 1,233 | ||||||||||||||||||||
Charge-offs | (238) | — | (238) | (164) | — | (164) | ||||||||||||||||||||
Recoveries collected | 46 | — | 46 | 88 | — | 88 | ||||||||||||||||||||
Other | 115 | — | 115 | 24 | — | 24 | ||||||||||||||||||||
Ending balance | $6,130 | $150 | $6,280 | $6,347 | $136 | $6,483 | ||||||||||||||||||||
Components of ending balance of allowance for credit losses: | ||||||||||||||||||||||||||
Mortgage loans held-for-investment | $5,253 | $77 | $5,330 | $6,044 | $77 | $6,121 | ||||||||||||||||||||
Advances of pre-foreclosure costs | 615 | — | 615 | 254 | — | 254 | ||||||||||||||||||||
Accrued interest receivable on mortgage loans | 213 | — | 213 | — | — | — | ||||||||||||||||||||
Off-balance sheet credit exposures | 49 | 73 | 122 | 49 | 59 | 108 | ||||||||||||||||||||
Total | $6,130 | $150 | $6,280 | $6,347 | $136 | $6,483 |
Freddie Mac 1Q 2021 Form 10-Q |
92
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 8
|
(In millions) | March 31, 2021 | December 31, 2020 | |||||||||
Freestanding credit enhancement expected recovery receivables, net of allowance | $406 | $677 | |||||||||
Primary mortgage insurance receivables(1), net of allowance
|
82 | 74 | |||||||||
Total credit enhancement receivables | $488 | $751 |
March 31, 2021 | December 31, 2020 | ||||||||||||||||||||||
(In millions) | Credit Enhancement Accounting Treatment |
Total Current and Protected UPB(1)
|
Maximum Coverage |
Total Current and Protected UPB(1)
|
Maximum Coverage | ||||||||||||||||||
Primary mortgage insurance | Attached | $485,593 | $119,111 | $472,881 | $116,973 | ||||||||||||||||||
STACR:(2)
|
|||||||||||||||||||||||
Trust notes | Freestanding | 589,150 | 19,728 | 488,251 | 17,288 | ||||||||||||||||||
Debt notes | Debt | 316,378 | 11,954 | 365,482 | 12,377 | ||||||||||||||||||
Insurance/reinsurance(3)
|
Freestanding | 975,289 | 13,645 | 876,815 | 11,586 | ||||||||||||||||||
Subordination:(4)
|
|||||||||||||||||||||||
Non-consolidated VIEs
|
Guarantee | 27,774 | 5,686 | 29,039 | 5,718 | ||||||||||||||||||
Consolidated VIEs | Debt | 7,203 | 404 | 9,035 | 464 | ||||||||||||||||||
Lender risk-sharing | Freestanding | 5,177 | 4,587 | 5,731 | 4,831 | ||||||||||||||||||
Other | Primarily attached | 314 | 311 | 374 | 371 | ||||||||||||||||||
Total single-family credit enhancements | $175,426 | $169,608 |
Freddie Mac 1Q 2021 Form 10-Q |
93
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 8
|
March 31, 2021 | December 31, 2020 | ||||||||||||||||||||||
(In millions) | Credit Enhancement Accounting Treatment |
Total Current and Protected UPB(1)
|
Maximum Coverage |
Total Current and Protected UPB(1)
|
Maximum Coverage | ||||||||||||||||||
Subordination:(2)
|
|||||||||||||||||||||||
Non-consolidated VIEs | Guarantee | $298,965 | $43,450 | $286,199 | $42,712 | ||||||||||||||||||
Consolidated VIEs | Debt | 1,800 | 200 | 1,800 | 200 | ||||||||||||||||||
Lender risk-sharing(3)
|
Freestanding | 3,127 | 597 | 3,321 | 598 | ||||||||||||||||||
Insurance/reinsurance(4)
|
Freestanding | 5,366 | 190 | 5,383 | 190 | ||||||||||||||||||
SCR:(5)
|
|||||||||||||||||||||||
Trust notes | Freestanding | 4,801 | 273 | — | — | ||||||||||||||||||
Debt notes | Debt | 2,149 | 107 | 2,217 | 111 | ||||||||||||||||||
Other(3)
|
Attached | 251 | 251 | 253 | 253 | ||||||||||||||||||
Total multifamily credit enhancements | $45,068 | $44,064 |
Freddie Mac 1Q 2021 Form 10-Q |
94
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 9
|
(In millions)
|
March 31, 2021 | December 31, 2020 | |||||||||
Debt securities of consolidated trusts held by third parties
|
$2,445,829 | $2,308,176 | |||||||||
Debt of Freddie Mac: | |||||||||||
Short-term debt
|
10,910 | 4,955 | |||||||||
Long-term debt
|
247,531 | 279,415 | |||||||||
Total Debt of Freddie Mac | 258,441 | 284,370 | |||||||||
Total debt
|
$2,704,270 | $2,592,546 |
March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||
(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 | 2021 - 2060 | $1,896,894 | $1,953,618 | 2.89 | % | 2021 - 2060 | $1,799,065 | $1,855,438 | 3.07 | % | ||||||||||||||||||||||
20-year fixed-rate | 2021 - 2041 | 107,510 | 110,680 | 2.67 | 2021 - 2041 | 97,520 | 100,498 | 2.84 | ||||||||||||||||||||||||
15-year fixed-rate | 2021 - 2036 | 332,355 | 340,820 | 2.34 | 2021 - 2036 | 303,142 | 310,612 | 2.46 | ||||||||||||||||||||||||
Adjustable-rate | 2021 - 2051 | 21,801 | 22,280 | 2.64 | 2021 - 2051 | 23,964 | 24,484 | 2.76 | ||||||||||||||||||||||||
Interest-only | 2026 - 2048 | 3,404 | 3,520 | 2.85 | 2026 - 2041 | 3,671 | 3,736 | 3.15 | ||||||||||||||||||||||||
FHA/VA | 2021 - 2050 | 759 | 774 | 4.02 | 2021 - 2050 | 752 | 769 | 4.04 | ||||||||||||||||||||||||
Total single-family | 2,362,723 | 2,431,692 | 2,228,114 | 2,295,537 | ||||||||||||||||||||||||||||
Multifamily | 2021-2050 | 13,968 | 14,137 | 2.34 | 2021-2050 | 12,488 | 12,639 | 2.43 | ||||||||||||||||||||||||
Total debt of consolidated trusts held by third parties | $2,376,691 | $2,445,829 | $2,240,602 | $2,308,176 |
Freddie Mac 1Q 2021 Form 10-Q |
95
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 9
|
March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
(Dollars in millions) | Par Value |
Carrying Amount(1)
|
Weighted
Average
Effective Rate(2)
|
Par Value |
Carrying Amount(1)
|
Weighted
Average
Effective Rate(2)
|
||||||||||||||||||||
Short-term debt: | ||||||||||||||||||||||||||
Discount notes and Reference Bills | $— | $— | — | % | $11 | $11 | 0.69 | % | ||||||||||||||||||
Medium-term notes | 10,910 | 10,910 | 0.03 | 4,944 | 4,944 | 1.31 | ||||||||||||||||||||
Securities sold under agreements to repurchase (3)
|
7,930 | 7,930 | (0.05) | — | — | — | ||||||||||||||||||||
Total short-term debt | 18,840 | 18,840 | — | 4,955 | 4,955 | 1.31 | ||||||||||||||||||||
Long-term debt: | ||||||||||||||||||||||||||
Original maturities on or before December 31, | ||||||||||||||||||||||||||
2021 | 35,488 | 35,484 | 0.71 | 43,422 | 43,417 | 0.95 | ||||||||||||||||||||
2022 | 59,002 | 59,022 | 0.69 | 61,071 | 61,092 | 0.68 | ||||||||||||||||||||
2023 | 54,049 | 53,980 | 0.45 | 61,998 | 61,920 | 0.45 | ||||||||||||||||||||
2024 | 17,744 | 17,719 | 0.55 | 21,679 | 21,651 | 0.61 | ||||||||||||||||||||
2025 | 36,587 | 36,207 | 0.83 | 44,342 | 43,944 | 0.84 | ||||||||||||||||||||
Thereafter | 36,617 | 34,881 | 2.62 | 36,386 | 34,583 | 2.64 | ||||||||||||||||||||
STACR and SCR debt(4)
|
12,061 | 11,888 | 4.23 | 12,488 | 12,342 | 4.18 | ||||||||||||||||||||
Hedging-related basis adjustments | N/A | (1,650) | N/A | 466 | ||||||||||||||||||||||
Total long-term debt | 251,548 | 247,531 | 1.09 | 281,386 | 279,415 | 1.09 | ||||||||||||||||||||
Total debt of Freddie Mac(5)
|
$270,388 | $266,371 | $286,341 | $284,370 |
Freddie Mac 1Q 2021 Form 10-Q |
96
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 10
|
Freddie Mac 1Q 2021 Form 10-Q |
97
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 10
|
March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
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 risk management derivatives: | ||||||||||||||||||||||||||
Swaps | $534,976 | $1,947 | ($4,140) | $559,596 | $2,639 | ($7,091) | ||||||||||||||||||||
Written options | 30,830 | — | (1,714) | 18,259 | — | (735) | ||||||||||||||||||||
Purchased options (1)
|
242,260 | 5,107 | — | 169,995 | 5,265 | — | ||||||||||||||||||||
Futures | 157,628 | — | — | 181,702 | — | — | ||||||||||||||||||||
Total interest-rate management derivatives | 965,694 | 7,054 | (5,854) | 929,552 | 7,904 | (7,826) | ||||||||||||||||||||
Mortgage commitment derivatives: | ||||||||||||||||||||||||||
Forward contracts to purchase mortgage loans | 38,152 | 5 | (337) | 37,122 | 183 | — | ||||||||||||||||||||
Forward contracts to purchase mortgage-related securities | 55,805 | 19 | (316) | 45,185 | 203 | — | ||||||||||||||||||||
Forward contracts to sell mortgage-related securities | 171,285 | 1,483 | (34) | 136,802 | 2 | (759) | ||||||||||||||||||||
Total mortgage commitment derivatives | 265,242 | 1,507 | (687) | 219,109 | 388 | (759) | ||||||||||||||||||||
CRT-related derivatives | 30,513 | 29 | (57) | 28,949 | 61 | (47) | ||||||||||||||||||||
Other | 9,190 | 1 | (30) | 4,029 | 2 | (16) | ||||||||||||||||||||
Total derivatives not designated as hedges | 1,270,639 | 8,591 | (6,628) | 1,181,639 | 8,355 | (8,648) | ||||||||||||||||||||
Designated as fair value hedges | ||||||||||||||||||||||||||
Interest-rate risk management derivatives: | ||||||||||||||||||||||||||
Swaps | 238,120 | 149 | (2,521) | 180,686 | 224 | (500) | ||||||||||||||||||||
Total derivatives designated as fair value hedges | 238,120 | 149 | (2,521) | 180,686 | 224 | (500) | ||||||||||||||||||||
Derivative interest receivable (payable)(2)
|
480 | (485) | 455 | (523) | ||||||||||||||||||||||
Netting adjustments(3)
|
(7,135) | 8,684 | (7,829) | 8,717 | ||||||||||||||||||||||
Total derivative portfolio, net
|
$1,508,759 | $2,085 | ($950) | $1,362,325 | $1,205 | ($954) |
Freddie Mac 1Q 2021 Form 10-Q |
98
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 10
|
(In millions) | 1Q 2021 | 1Q 2020 | ||||||||||||||||||
Not designated as hedges | ||||||||||||||||||||
Interest-rate risk management derivatives: | ||||||||||||||||||||
Swaps | $615 | ($4,863) | ||||||||||||||||||
Written options | (461) | (320) | ||||||||||||||||||
Purchased options | (48) | 4,542 | ||||||||||||||||||
Futures | 286 | (2,328) | ||||||||||||||||||
Total interest-rate risk management derivatives fair value gains (losses) | 392 | (2,969) | ||||||||||||||||||
Mortgage commitment derivatives | 1,476 | (726) | ||||||||||||||||||
CRT-related derivatives | (42) | 78 | ||||||||||||||||||
Other | (3) | 31 | ||||||||||||||||||
Total derivatives not designated as hedges fair value gains (losses) | 1,823 | (3,586) | ||||||||||||||||||
Accrual of periodic cash settlements(1)
|
(452) | (176) | ||||||||||||||||||
Total | $1,371 | ($3,762) |
1Q 2021 | 1Q 2020 | ||||||||||||||||
(In millions) | Interest Income | Interest Expense | Interest Income | 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: | $13,902 | ($10,263) | $17,592 | ($14,807) | |||||||||||||
Interest contracts on mortgage loans held-for-investment: | |||||||||||||||||
Gain (loss) on fair value hedging relationships: | |||||||||||||||||
Hedged items | (1,523) | — | 4,893 | — | |||||||||||||
Derivatives designated as hedging instruments | 1,534 | — | (5,080) | — | |||||||||||||
Interest accruals on hedging instruments | (114) | — | (63) | — | |||||||||||||
Discontinued hedge-related basis adjustments amortization | (781) | — | (253) | — | |||||||||||||
Interest contracts on debt: | |||||||||||||||||
Gain (loss) on fair value hedging relationships: | |||||||||||||||||
Hedged items | — | 2,114 | — | (505) | |||||||||||||
Derivatives designated as hedging instruments | — | (2,188) | — | 554 | |||||||||||||
Interest accruals on hedging instruments | — | 255 | — | 100 | |||||||||||||
Discontinued hedge-related basis adjustments amortization | — | 5 | — | 20 |
Freddie Mac 1Q 2021 Form 10-Q |
99
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 10
|
March 31, 2021 | |||||||||||||||||||||||||||||
Carrying Amount Assets / (Liabilities) | Cumulative Amount of Fair Value Hedging Basis Adjustments 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 | $417,644 | $2,813 | ($1,152) | $3,965 | $192,912 | $9,507 | |||||||||||||||||||||||
Debt | (158,646) | 1,650 | — | (33) | — | — | |||||||||||||||||||||||
December 31, 2020 | |||||||||||||||||||||||||||||
Carrying Amount Assets / (Liabilities) | Cumulative Amount of Fair Value Hedging Basis Adjustments 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 | $478,077 | $5,117 | ($318) | $5,435 | $220,301 | $9,112 | |||||||||||||||||||||||
Debt | (176,512) | (466) | — | (38) | — | — |
Freddie Mac 1Q 2021 Form 10-Q |
100
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 11
|
March 31, 2021 | |||||||||||||||||||||||||||||
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 | $7,614 | ($5,681) | ($1,497) | $436 | ($392) | $44 | |||||||||||||||||||||||
Cleared and exchange-traded derivatives | 69 | — | 43 | 112 | — | 112 | |||||||||||||||||||||||
Mortgage commitment derivatives | 1,507 | — | — | 1,507 | — | 1,507 | |||||||||||||||||||||||
Other | 30 | — | — | 30 | — | 30 | |||||||||||||||||||||||
Total derivatives | 9,220 | (5,681) | (1,454) | 2,085 | (392) | 1,693 | |||||||||||||||||||||||
Securities purchased under agreements to resell | 23,070 | (7,930) | — | 15,140 | (15,140) | — | |||||||||||||||||||||||
Total | $32,290 | ($13,611) | ($1,454) | $17,225 | ($15,532) | $1,693 | |||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||||||||
OTC derivatives | ($8,828) | $5,681 | $2,975 | ($172) | $— | ($172) | |||||||||||||||||||||||
Cleared and exchange-traded derivatives | (32) | — | 28 | (4) | 4 | — | |||||||||||||||||||||||
Mortgage commitment derivatives | (687) | — | — | (687) | — | (687) | |||||||||||||||||||||||
Other | (87) | — | — | (87) | — | (87) | |||||||||||||||||||||||
Total derivatives | (9,634) | 5,681 | 3,003 | (950) | 4 | (946) | |||||||||||||||||||||||
Securities sold under agreements to repurchase | (7,930) | 7,930 | — | — | — | — | |||||||||||||||||||||||
Total | ($17,564) | $13,611 | $3,003 | ($950) | $4 | ($946) |
Freddie Mac 1Q 2021 Form 10-Q |
101
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 11
|
December 31, 2020 | |||||||||||||||||||||||||||||
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 | $8,566 | ($5,932) | ($1,957) | $677 | ($648) | $29 | |||||||||||||||||||||||
Cleared and exchange-traded derivatives | 17 | — | 60 | 77 | — | 77 | |||||||||||||||||||||||
Mortgage commitment derivatives | 388 | — | — | 388 | — | 388 | |||||||||||||||||||||||
Other | 63 | — | — | 63 | — | 63 | |||||||||||||||||||||||
Total derivatives | 9,034 | (5,932) | (1,897) | 1,205 | (648) | 557 | |||||||||||||||||||||||
Securities purchased under agreements to resell | 105,003 | — | — | 105,003 | (105,003) | — | |||||||||||||||||||||||
Total | $114,037 | ($5,932) | ($1,897) | $106,208 | ($105,651) | $557 | |||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||||||||
OTC derivatives | ($8,812) | $5,932 | $2,759 | ($121) | $— | ($121) | |||||||||||||||||||||||
Cleared and exchange-traded derivatives | (37) | — | 26 | (11) | — | (11) | |||||||||||||||||||||||
Mortgage commitment derivatives | (759) | — | — | (759) | — | (759) | |||||||||||||||||||||||
Other | (63) | — | — | (63) | — | (63) | |||||||||||||||||||||||
Total derivatives | (9,671) | 5,932 | 2,785 | (954) | — | (954) | |||||||||||||||||||||||
Securities sold under agreements to repurchase | — | — | — | — | — | — | |||||||||||||||||||||||
Total | ($9,671) | $5,932 | $2,785 | ($954) | $— | ($954) |
Freddie Mac 1Q 2021 Form 10-Q |
102
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 11
|
March 31, 2021 | |||||||||||||||||
(In millions) | Derivatives | Securities Sold Under Agreements to Repurchase |
Other(3)
|
Total | |||||||||||||
Cash equivalents(1)
|
$— | $2,671 | $— | $2,671 | |||||||||||||
Debt securities of consolidated trusts(2)
|
— | — | 348 | 348 | |||||||||||||
Trading securities | 1,555 | 5,230 | 1,442 | 8,227 | |||||||||||||
Total securities pledged | $1,555 | $7,901 | $1,790 | $11,246 |
December 31, 2020 | |||||||||||||||||
(In millions) | Derivatives | Securities Sold Under Agreements to Repurchase |
Other(3)
|
Total | |||||||||||||
Debt securities of consolidated trusts(2)
|
$121 | $— | $345 | $466 | |||||||||||||
Trading securities | 1,920 | — | 1,163 | 3,083 | |||||||||||||
Total securities pledged | $2,041 | $— | $1,508 | $3,549 |
March 31, 2021 | ||||||||||||||||||||
(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 | $2,453 | $5,448 | $— | $— | $7,901 |
Freddie Mac 1Q 2021 Form 10-Q |
103
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 12
|
1Q 2021 | |||||||||||||||||
(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 | $810 | ($206) | $39 | $643 | |||||||||||||
Other comprehensive income before reclassifications | (105) | — | (1) | (106) | |||||||||||||
Amounts reclassified from accumulated other comprehensive income | (290) | 10 | (3) | (283) | |||||||||||||
Changes in AOCI by component | (395) | 10 | (4) | (389) | |||||||||||||
Ending balance | $415 | ($196) | $35 | $254 |
1Q 2020 | |||||||||||||||||
(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 | $618 | ($244) | $64 | $438 | |||||||||||||
Other comprehensive income before reclassifications | 446 | — | 2 | 448 | |||||||||||||
Amounts reclassified from accumulated other comprehensive income | (8) | 13 | (4) | 1 | |||||||||||||
Changes in AOCI by component | 438 | 13 | (2) | 449 | |||||||||||||
Ending balance | $1,056 | ($231) | $62 | $887 |
(In millions) | 1Q 2021 | 1Q 2020 | ||||||||||||||||||
AOCI related to available-for-sale securities | ||||||||||||||||||||
Affected line items on the condensed consolidated statements of comprehensive income (loss): | ||||||||||||||||||||
Investment gains (losses), net | $368 | $10 | ||||||||||||||||||
Income tax (expense) benefit | (78) | (2) | ||||||||||||||||||
Net of tax | 290 | 8 | ||||||||||||||||||
AOCI related to cash flow hedge relationships | ||||||||||||||||||||
Affected line items on the condensed consolidated statements of comprehensive income (loss): | ||||||||||||||||||||
Interest expense | (11) | (16) | ||||||||||||||||||
Income tax (expense) benefit | 1 | 3 | ||||||||||||||||||
Net of tax | (10) | (13) | ||||||||||||||||||
AOCI related to defined benefit plans | ||||||||||||||||||||
Affected line items on the condensed consolidated statements of comprehensive income (loss): | ||||||||||||||||||||
Salaries and employee benefits | 4 | 5 | ||||||||||||||||||
Income tax (expense) benefit | (1) | (1) | ||||||||||||||||||
Net of tax | 3 | 4 | ||||||||||||||||||
Total reclassifications in the period net of tax | $283 | ($1) |
Freddie Mac 1Q 2021 Form 10-Q |
104
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 12
|
(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 | |||||||||||||||
December 31, 2019 | — | — | — | N/A | 1,848 | |||||||||||||||
March 31, 2020 | — | — | — | N/A | 2,448 | |||||||||||||||
June 30, 2020 | — | — | — | N/A | 382 | |||||||||||||||
September 30, 2020 | — | — | — | N/A | 1,938 | |||||||||||||||
December 31, 2020 | — | — | — | N/A | 2,449 | |||||||||||||||
March 31, 2021 | — | — | — | N/A | 2,522 | |||||||||||||||
Total non-draw adjustments | 1.00 | 1.00 | 1.00 | 17,413 | ||||||||||||||||
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 draw adjustments | — | — | — | 71,648 | ||||||||||||||||
Total senior preferred stock | 1.00 | 1.00 | $1.00 | $89,061 |
Freddie Mac 1Q 2021 Form 10-Q |
105
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 12
|
Freddie Mac 1Q 2021 Form 10-Q |
106
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 13
|
(In millions) | March 31, 2021 | March 31, 2020 | |||||||||
Interest income | |||||||||||
Mortgage loans | $13,255 | $16,632 | |||||||||
Investment securities | 610 | 652 | |||||||||
Other | 37 | 308 | |||||||||
Total interest income | 13,902 | 17,592 | |||||||||
Interest expense | |||||||||||
Debt securities of consolidated trusts held by third parties | (9,756) | (13,447) | |||||||||
Debt of Freddie Mac: | |||||||||||
Short-term debt | (2) | (430) | |||||||||
Long-term debt | (505) | (930) | |||||||||
Total interest expense | (10,263) | (14,807) | |||||||||
Net interest income | 3,639 | 2,785 | |||||||||
Benefit (provision) for credit losses | 196 | (1,233) | |||||||||
Net interest income after benefit (provision) for credit losses | $3,835 | $1,552 |
Freddie Mac 1Q 2021 Form 10-Q |
107
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 14
|
(In millions) | 1Q 2021 | 1Q 2020 | ||||||||||||||||||
Investment gains (losses), net: | ||||||||||||||||||||
Mortgage loans gains (losses) | $206 | $1,172 | ||||||||||||||||||
Investment securities gains (losses) | (507) | 1,055 | ||||||||||||||||||
Debt gains (losses) | 138 | 700 | ||||||||||||||||||
Derivative gains (losses) | 1,371 | (3,762) | ||||||||||||||||||
Investment gains (losses), net | $1,208 | ($835) |
Freddie Mac 1Q 2021 Form 10-Q |
108
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 15
|
Segment
|
Description
|
||||
Single-family
|
Reflects results from our purchase, sale, securitization, and guarantee of single-family loans and securities, our investments in those loans and securities, the management of single-family mortgage credit risk and market risk, and any results of our treasury function that are not allocated to each segment.
|
||||
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 risk.
|
||||
Freddie Mac 1Q 2021 Form 10-Q |
109
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 15
|
1Q 2021 | |||||||||||||||||
Single-family | Multifamily | Total | |||||||||||||||
(In millions) | |||||||||||||||||
Net interest income | $3,308 | $331 | $3,639 | ||||||||||||||
Non-interest income (loss) | |||||||||||||||||
Guarantee fee income | 89 | 159 | 248 | ||||||||||||||
Investment gains (losses), net | 300 | 908 | 1,208 | ||||||||||||||
Other income (loss) | 152 | 26 | 178 | ||||||||||||||
Non-interest income (loss) | 541 | 1,093 | 1,634 | ||||||||||||||
Net revenues | 3,849 | 1,424 | 5,273 | ||||||||||||||
Benefit (provision) for credit losses | 146 | 50 | 196 | ||||||||||||||
Non-interest expense | |||||||||||||||||
Administrative expense | (488) | (151) | (639) | ||||||||||||||
Credit enhancement expense | (325) | (10) | (335) | ||||||||||||||
Benefit for (decrease in) credit enhancement recoveries | (245) | (12) | (257) | ||||||||||||||
REO operations expense | (8) | — | (8) | ||||||||||||||
Temporary Payroll Tax Cut Continuation Act of 2011 expense | (534) | — | (534) | ||||||||||||||
Other expense | (209) | (6) | (215) | ||||||||||||||
Non-interest expense | (1,809) | (179) | (1,988) | ||||||||||||||
Income (loss) before income tax (expense) benefit | 2,186 | 1,295 | 3,481 | ||||||||||||||
Income tax (expense) benefit | (448) | (266) | (714) | ||||||||||||||
Net income (loss) | 1,738 | 1,029 | 2,767 | ||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | |||||||||||||||||
Changes in unrealized gains (losses) related to available-for-sale securities | (335) | (60) | (395) | ||||||||||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships | 10 | — | 10 | ||||||||||||||
Changes in defined benefit plans | (3) | (1) | (4) | ||||||||||||||
Total other comprehensive income (loss), net of taxes and reclassification adjustments | (328) | (61) | (389) | ||||||||||||||
Comprehensive income (loss) | $1,410 | $968 | $2,378 | ||||||||||||||
Freddie Mac 1Q 2021 Form 10-Q |
110
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 15
|
1Q 2020 | |||||||||||||||||
Single-family | Multifamily | Total | |||||||||||||||
(In millions) | |||||||||||||||||
Net interest income | $2,485 | $300 | $2,785 | ||||||||||||||
Non-interest income (loss) | |||||||||||||||||
Guarantee fee income | (13) | 390 | 377 | ||||||||||||||
Investment gains (losses), net | 24 | (859) | (835) | ||||||||||||||
Other income (loss) | 58 | 37 | 95 | ||||||||||||||
Non-interest income (loss) | 69 | (432) | (363) | ||||||||||||||
Net revenues | 2,554 | (132) | 2,422 | ||||||||||||||
Benefit (provision) for credit losses | (1,166) | (67) | (1,233) | ||||||||||||||
Non-interest expense | |||||||||||||||||
Administrative expense | (467) | (120) | (587) | ||||||||||||||
Credit enhancement expense | (227) | (4) | (231) | ||||||||||||||
Benefit for (decrease in) credit enhancement recoveries | 439 | 28 | 467 | ||||||||||||||
REO operations expense | (85) | — | (85) | ||||||||||||||
Temporary Payroll Tax Cut Continuation Act of 2011 expense | (432) | — | (432) | ||||||||||||||
Other expense | (98) | (5) | (103) | ||||||||||||||
Non-interest expense | (870) | (101) | (971) | ||||||||||||||
Income (loss) before income tax (expense) benefit | 518 | (300) | 218 | ||||||||||||||
Income tax (expense) benefit | (107) | 62 | (45) | ||||||||||||||
Net income (loss) | 411 | (238) | 173 | ||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | |||||||||||||||||
Changes in unrealized gains (losses) related to available-for-sale securities | 374 | 64 | 438 | ||||||||||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships | 13 | — | 13 | ||||||||||||||
Changes in defined benefit plans | (2) | — | (2) | ||||||||||||||
Total other comprehensive income (loss), net of taxes and reclassification adjustments | 385 | 64 | 449 | ||||||||||||||
Comprehensive income (loss) | $796 | ($174) | $622 | ||||||||||||||
(In millions) | March 31, 2021 | December 31, 2020 | ||||||||||||
Single-family | $2,458,112 | $2,326,426 | ||||||||||||
Multifamily | 393,677 | 388,347 | ||||||||||||
Total segment assets | 2,851,789 | 2,714,773 | ||||||||||||
Reconciling items(1)
|
(109,915) | (87,358) | ||||||||||||
Total assets per condensed consolidated balance sheets | $2,741,874 | $2,627,415 | ||||||||||||
Freddie Mac 1Q 2021 Form 10-Q |
111
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 16
|
March 31, 2021 | December 31, 2020 |
1Q 2021(1)
|
1Q 2020(1)
|
|||||||||||||||||||||||||||||||||||||||||
(Dollars in billions) | Portfolio UPB |
% of
Portfolio
|
SDQ Rate | Portfolio UPB |
% of
Portfolio
|
SDQ Rate | Credit Losses Amount |
% of Credit Losses(2)
|
Credit Losses Amount | % of Credit Losses | ||||||||||||||||||||||||||||||||||
Region:(3)
|
||||||||||||||||||||||||||||||||||||||||||||
West
|
$770 | 31 | % | 2.11 | % | $720 | 31 | % | 2.41 | % | $— | NM | $— | 8 | % | |||||||||||||||||||||||||||||
Northeast
|
581 | 24 | 2.82 | 549 | 24 | 3.16 | — | NM | 0.1 | 36 | ||||||||||||||||||||||||||||||||||
North Central
|
371 | 15 | 1.88 | 357 | 15 | 2.06 | — | NM | 0.1 | 29 | ||||||||||||||||||||||||||||||||||
Southeast
|
393 | 16 | 2.58 | 375 | 16 | 2.95 | — | NM | — | 18 | ||||||||||||||||||||||||||||||||||
Southwest
|
343 | 14 | 2.33 | 325 | 14 | 2.59 | — | NM | — | 9 | ||||||||||||||||||||||||||||||||||
Total
|
$2,458 | 100 | % | 2.34 | $2,326 | 100 | % | 2.64 | $— | NM | $0.2 | 100 | % | |||||||||||||||||||||||||||||||
State: | ||||||||||||||||||||||||||||||||||||||||||||
California | $455 | 19 | % | 2.29 | $424 | 18 | % | 2.64 | $— | NM | $— | 5 | % | |||||||||||||||||||||||||||||||
Texas | 152 | 6 | 2.75 | 145 | 6 | 3.11 | — | NM | — | 3 | ||||||||||||||||||||||||||||||||||
Florida | 142 | 6 | 3.14 | 135 | 6 | 3.70 | — | NM | — | 9 | ||||||||||||||||||||||||||||||||||
New York | 108 | 4 | 4.07 | 103 | 4 | 4.56 | — | NM | — | 9 | ||||||||||||||||||||||||||||||||||
Illinois | 99 | 4 | 2.83 | 96 | 4 | 2.96 | — | NM | 0.1 | 16 | ||||||||||||||||||||||||||||||||||
All other | 1,502 | 61 | 2.09 | 1,423 | 62 | 2.34 | — | NM | 0.1 | 58 | ||||||||||||||||||||||||||||||||||
Total | $2,458 | 100 | % | 2.34 | $2,326 | 100 | % | 2.64 | $— | NM | $0.2 | 100 | % |
Freddie Mac 1Q 2021 Form 10-Q |
112
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 16
|
% of Portfolio(1)
|
SDQ Rate(1)
|
|||||||||||||||||||
(% of portfolio based on UPB) | March 31, 2021 | December 31, 2020 | March 31, 2021 | December 31, 2020 | ||||||||||||||||
Interest-only
|
— | % | — | % | NM | NM | ||||||||||||||
Alt-A
|
1 | 1 | 10.49 | % | 10.66 | % | ||||||||||||||
Original LTV ratio greater than 90%(2)
|
14 | 15 | 4.01 | 4.25 | ||||||||||||||||
Lower credit scores at origination (less than 620)
|
1 | 1 | 10.93 | 11.00 |
Single-family Sellers
|
1Q 2021 | 1Q 2020 | |||||||||
JPMorgan Chase Bank, N.A. | 4 | % | 12 | % | |||||||
United Wholesale Mortgage, LLC(1)
|
5 | 10 | |||||||||
Other top 10 sellers | 39 | 33 | |||||||||
Top 10 single-family sellers | 48 | % | 55 | % |
Multifamily Sellers | 1Q 2021 | 1Q 2020 | |||||||||
Berkadia Commercial Mortgage LLC | 14 | % | 14 | % | |||||||
CBRE Capital Markets, Inc. | 14 | 17 | |||||||||
JLL Real Estate Capital, LLC | 10 | 4 | |||||||||
Other top 10 sellers | 43 | 43 | |||||||||
Top 10 multifamily sellers | 81 | % | 78 | % |
Freddie Mac 1Q 2021 Form 10-Q |
113
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 16
|
Single-family Servicers |
March 31, 2021(1)
|
December 31, 2020(1)
|
|||||||||
Wells Fargo Bank, N.A. | 10 | % | 11 | % | |||||||
Other top 10 servicers | 37 | 38 | |||||||||
Top 10 single-family servicers | 47 | % | 49 | % |
Multifamily Servicers(2)
|
March 31, 2021 | December 31, 2020 | |||||||||
CBRE Capital Markets, Inc. | 17 | % | 17 | % | |||||||
Berkadia Commercial Mortgage LLC | 13 | 13 | |||||||||
JLL Real Estate Capital LLC | 11 | 11 | |||||||||
Other top 10 servicers | 40 | 39 | |||||||||
Top 10 multifamily servicers | 81 | % | 80 | % |
Freddie Mac 1Q 2021 Form 10-Q |
114
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 16
|
Mortgage Insurance Coverage(2)
|
|||||||||||||||||
Mortgage Insurer |
Credit Rating(1)
|
March 31, 2021 | December 31, 2020 | ||||||||||||||
Arch Mortgage Insurance Company | A- | 20 | % | 20 | % | ||||||||||||
Radian Guaranty Inc. | BBB+ | 19 | 19 | ||||||||||||||
Mortgage Guaranty Insurance Corporation | BBB+ | 18 | 18 | ||||||||||||||
Essent Guaranty, Inc. | BBB+ | 16 | 16 | ||||||||||||||
Genworth Mortgage Insurance Corporation | BB+ | 15 | 15 | ||||||||||||||
National Mortgage Insurance Corporation | BBB | 11 | 10 | ||||||||||||||
Total | 99 | % | 98 | % |
Freddie Mac 1Q 2021 Form 10-Q |
115
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 17
|
Freddie Mac 1Q 2021 Form 10-Q |
116
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 17
|
March 31, 2021 | ||||||||||||||||||||
(In millions)
|
Level 1 | Level 2 | Level 3 |
Netting Adjustment(1)
|
Total | |||||||||||||||
Assets:
|
||||||||||||||||||||
Investment securities:
|
||||||||||||||||||||
Available-for-sale, at fair value:
|
||||||||||||||||||||
Mortgage-related securities:
|
||||||||||||||||||||
Agency
|
$— | $5,754 | $801 | $— | $6,555 | |||||||||||||||
Non-agency and other | — | 1 | 1,035 | — | 1,036 | |||||||||||||||
Total available-for-sale securities, at fair value
|
— | 5,755 | 1,836 | — | 7,591 | |||||||||||||||
Trading, at fair value:
|
||||||||||||||||||||
Mortgage-related securities:
|
||||||||||||||||||||
Agency
|
— | 19,954 | 3,061 | — | 23,015 | |||||||||||||||
Non-agency
|
— | — | 1 | — | 1 | |||||||||||||||
Total mortgage-related securities
|
— | 19,954 | 3,062 | — | 23,016 | |||||||||||||||
Non-mortgage-related securities
|
30,208 | 1,065 | — | — | 31,273 | |||||||||||||||
Total trading securities, at fair value
|
30,208 | 21,019 | 3,062 | — | 54,289 | |||||||||||||||
Total investments in securities | 30,208 | 26,774 | 4,898 | — | 61,880 | |||||||||||||||
Mortgage loans:
|
||||||||||||||||||||
Held-for-sale, at fair value | — | 8,093 | — | — | 8,093 | |||||||||||||||
Derivative assets, net | 30 | 8,680 | 30 | — | 8,740 | |||||||||||||||
Netting adjustments(1)
|
— | — | — | (6,655) | (6,655) | |||||||||||||||
Total derivative assets, net
|
30 | 8,680 | 30 | (6,655) | 2,085 | |||||||||||||||
Other assets:
|
||||||||||||||||||||
Guarantee assets, at fair value | — | — | 5,688 | — | 5,688 | |||||||||||||||
Non-derivative held-for-sale purchase commitments, at fair value | — | 91 | — | — | 91 | |||||||||||||||
All other, at fair value | — | — | 115 | — | 115 | |||||||||||||||
Total other assets
|
— | 91 | 5,803 | — | 5,894 | |||||||||||||||
Total assets carried at fair value on a recurring basis
|
$30,238 | $43,638 | $10,731 | ($6,655) | $77,952 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value | $— | $2 | $260 | $— | $262 | |||||||||||||||
Debt of Freddie Mac, at fair value | — | 1,982 | 120 | — | 2,102 | |||||||||||||||
Derivative liabilities, net | — | 9,115 | 34 | — | 9,149 | |||||||||||||||
Netting adjustments(1)
|
— | — | — | (8,199) | (8,199) | |||||||||||||||
Total derivative liabilities, net | — | 9,115 | 34 | (8,199) | 950 | |||||||||||||||
Other liabilities: | ||||||||||||||||||||
Non-derivative held-for-sale purchase commitments, at fair value | — | 5 | — | — | 5 | |||||||||||||||
All other, at fair value | — | — | — | — | — | |||||||||||||||
Total other liabilities | — | 5 | — | — | 5 | |||||||||||||||
Total liabilities carried at fair value on a recurring basis
|
$— | $11,104 | $414 | ($8,199) | $3,319 |
Freddie Mac 1Q 2021 Form 10-Q |
117
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 17
|
December 31, 2020 | ||||||||||||||||||||
(In millions) | Level 1 | Level 2 | Level 3 |
Netting Adjustment(1)
|
Total | |||||||||||||||
Assets: | ||||||||||||||||||||
Investment securities: | ||||||||||||||||||||
Available-for-sale, at fair value: | ||||||||||||||||||||
Mortgage-related securities: | ||||||||||||||||||||
Agency | $— | $13,778 | $526 | $— | $14,304 | |||||||||||||||
Non-agency and other | — | 1 | 1,062 | — | 1,063 | |||||||||||||||
Total available-for-sale securities, at fair value | — | 13,779 | 1,588 | — | 15,367 | |||||||||||||||
Trading, at fair value: | ||||||||||||||||||||
Mortgage-related securities: | ||||||||||||||||||||
Agency | — | 14,246 | 3,258 | — | 17,504 | |||||||||||||||
Non-agency | — | — | 1 | — | 1 | |||||||||||||||
Total mortgage-related securities | — | 14,246 | 3,259 | — | 17,505 | |||||||||||||||
Non-mortgage-related securities | 26,255 | 698 | — | — | 26,953 | |||||||||||||||
Total trading securities, at fair value | 26,255 | 14,944 | 3,259 | — | 44,458 | |||||||||||||||
Total investments in securities | 26,255 | 28,723 | 4,847 | — | 59,825 | |||||||||||||||
Mortgage loans: | ||||||||||||||||||||
Held-for-sale, at fair value | — | 14,199 | — | — | 14,199 | |||||||||||||||
Derivative assets, net | — | 8,516 | 63 | — | 8,579 | |||||||||||||||
Netting adjustments(1)
|
— | — | — | (7,374) | (7,374) | |||||||||||||||
Total derivative assets, net | — | 8,516 | 63 | (7,374) | 1,205 | |||||||||||||||
Other assets: | ||||||||||||||||||||
Guarantee assets, at fair value | — | — | 5,509 | — | 5,509 | |||||||||||||||
Non-derivative held-for-sale purchase commitments, at fair value | — | 158 | — | — | 158 | |||||||||||||||
All other, at fair value | — | — | 108 | — | 108 | |||||||||||||||
Total other assets | — | 158 | 5,617 | — | 5,775 | |||||||||||||||
Total assets carried at fair value on a recurring basis | $26,255 | $51,596 | $10,527 | ($7,374) | $81,004 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value | $— | $2 | $203 | $— | $205 | |||||||||||||||
Debt of Freddie Mac, at fair value | — | 2,267 | 120 | — | 2,387 | |||||||||||||||
Derivative liabilities, net | — | 9,132 | 16 | — | 9,148 | |||||||||||||||
Netting adjustments(1)
|
— | — | — | (8,194) | (8,194) | |||||||||||||||
Total derivative liabilities, net | — | 9,132 | 16 | (8,194) | 954 | |||||||||||||||
Other liabilities: | ||||||||||||||||||||
Non-derivative held-for-sale purchase commitments, at fair value | — | 1 | — | — | 1 | |||||||||||||||
All other, at fair value | — | — | 3 | — | 3 | |||||||||||||||
Total other liabilities | — | 1 | 3 | — | 4 | |||||||||||||||
Total liabilities carried at fair value on a recurring basis | $— | $11,402 | $342 | ($8,194) | $3,550 |
Freddie Mac 1Q 2021 Form 10-Q |
118
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 17
|
Freddie Mac 1Q 2021 Form 10-Q |
119
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 17
|
1Q 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance,
January 1, 2020 |
Total Realized/Unrealized Gains (Losses) | Purchases | Issues | Sales |
Settlements,
Net |
Transfers
into Level 3(1) |
Transfers
out of Level 3(1) |
Balance,
March 31, 2020 |
Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2020(2)
|
Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) |
Included in
Earnings |
Included in Other
Comprehensive Income |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale, at fair value: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-related securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency | $1,960 | $12 | $38 | $— | $— | ($208) | ($57) | $— | ($1,095) | $650 | $— | ($2) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-agency and other | 1,267 | 3 | (126) | — | — | — | (43) | — | — | 1,101 | 3 | (100) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total available-for-sale mortgage-related securities | 3,227 | 15 | (88) | — | — | (208) | (100) | — | (1,095) | 1,751 | 3 | (102) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading, at fair value: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-related securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency | 2,709 | 15 | — | 352 | — | (105) | (31) | — | (396) | 2,544 | 1 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-agency | 1 | — | — | — | — | — | — | — | — | 1 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total trading mortgage-related securities | 2,710 | 15 | — | 352 | — | (105) | (31) | — | (396) | 2,545 | 1 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative assets | 16 | 47 | — | — | — | — | — | — | — | 63 | 47 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee assets | 4,426 | 99 | — | — | 223 | — | (183) | — | — | 4,565 | 99 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
All other, at fair value | 120 | (7) | — | (1) | 6 | (8) | (4) | — | — | 106 | (8) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other assets | 4,546 | 92 | — | (1) | 229 | (8) | (187) | — | — | 4,671 | 91 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance,
January 1, 2020 |
Total Realized/Unrealized (Gains) Losses | Purchases | Issues | Sales |
Settlements,
Net |
Transfers
into Level 3(1) |
Transfers
out of Level 3(1) |
Balance,
March 31, 2020 |
Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2020(2)
|
Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Included in
Earnings |
Included in Other
Comprehensive Income |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value | $203 | ($4) | $— | $— | $— | $— | $— | $— | $— | $199 | ($4) | $— | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt of Freddie Mac, at fair value
|
129 | (11) | — | — | 1 | — | (1) | 33 | — | 151 | (11) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative liabilities | 37 | (10) | — | — | 1 | — | (4) | — | — | 24 | (14) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
All other, at fair value | 1 | — | — | — | — | — | — | — | — | 1 | — | — |
Freddie Mac 1Q 2021 Form 10-Q |
120
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 17
|
March 31, 2021 | ||||||||||||||||||||||||||||||||
Level 3
Fair
Value
|
Predominant
Valuation
Technique(s)
|
Unobservable Inputs | ||||||||||||||||||||||||||||||
(Dollars in millions, except for certain unobservable inputs as shown)
|
Type | Range |
Weighted
Average(2)
|
|||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
Available-for-sale, at fair value | ||||||||||||||||||||||||||||||||
Mortgage-related securities | ||||||||||||||||||||||||||||||||
Agency
|
$690 | Discounted cash flows | OAS | 36 - 89 bps | 66 bps | |||||||||||||||||||||||||||
111 | Other | |||||||||||||||||||||||||||||||
Non-agency and other
|
879 | Median of external sources | External pricing sources | $66.2 - $79.3 | $72.0 | |||||||||||||||||||||||||||
156 | Other | |||||||||||||||||||||||||||||||
Trading, at fair value | ||||||||||||||||||||||||||||||||
Mortgage-related securities | ||||||||||||||||||||||||||||||||
Agency
|
2,360 | Single external source | External pricing sources | $0.0 - $8,257.7 | $970.5 | |||||||||||||||||||||||||||
364 | Discounted cash flows | OAS | (811) - 56,028 bps | 596 bps | ||||||||||||||||||||||||||||
337 | Other | |||||||||||||||||||||||||||||||
Guarantee assets, at fair value | 5,300 | Discounted cash flows | OAS | 17 - 186 bps | 45 bps | |||||||||||||||||||||||||||
388 | Other | |||||||||||||||||||||||||||||||
Insignificant Level 3 assets(1)
|
146 | |||||||||||||||||||||||||||||||
Total level 3 assets | $10,731 | |||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value | $204 | Single external source | External pricing sources | $99.8 - $106.9 | $102.2 | |||||||||||||||||||||||||||
56 | Other | |||||||||||||||||||||||||||||||
Insignificant Level 3 liabilities(1)
|
154 | |||||||||||||||||||||||||||||||
Total level 3 liabilities | $414 |
Freddie Mac 1Q 2021 Form 10-Q |
121
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 17
|
December 31, 2020 | ||||||||||||||||||||||||||||||||
Level 3
Fair Value |
Predominant
Valuation Technique(s) |
Unobservable Inputs
|
||||||||||||||||||||||||||||||
(Dollars in millions, except for certain unobservable inputs as shown)
|
Type
|
Range
|
Weighted
Average(2)
|
|||||||||||||||||||||||||||||
Assets
|
||||||||||||||||||||||||||||||||
Available-for-sale, at fair value
|
||||||||||||||||||||||||||||||||
Mortgage-related securities
|
||||||||||||||||||||||||||||||||
Agency
|
$410 |
Discounted cash flows
|
OAS
|
90 - 90 bps | 90 bps | |||||||||||||||||||||||||||
116 | Other | |||||||||||||||||||||||||||||||
Non-agency and other
|
875 | Median of external sources | External pricing sources | $67.1 - $79.1 | $72.8 | |||||||||||||||||||||||||||
|
187 |
Other
|
||||||||||||||||||||||||||||||
Trading, at fair value
|
||||||||||||||||||||||||||||||||
Mortgage-related securities
|
||||||||||||||||||||||||||||||||
Agency
|
2,204 |
Single external source
|
External pricing sources
|
$0.0 - $8,894.6 | $947.8 | |||||||||||||||||||||||||||
|
472 |
Discounted cash flows
|
OAS
|
(951) - 2,910 bps | 834 bps | |||||||||||||||||||||||||||
583 | Other | |||||||||||||||||||||||||||||||
Guarantee assets, at fair value | 5,195 |
Discounted cash flows
|
OAS
|
15 - 186 bps | 38 bps | |||||||||||||||||||||||||||
314 |
Other
|
|||||||||||||||||||||||||||||||
Insignificant Level 3 assets(1)
|
171 | |||||||||||||||||||||||||||||||
Total level 3 assets
|
$10,527 | |||||||||||||||||||||||||||||||
Liabilities
|
||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value
|
$203 |
Single external source
|
External pricing sources
|
$97.3 - $ 107.0 | $101.7 | |||||||||||||||||||||||||||
Insignificant Level 3 liabilities(1)
|
139 | |||||||||||||||||||||||||||||||
Total level 3 liabilities | $342 |
Freddie Mac 1Q 2021 Form 10-Q |
122
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 17
|
March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||
(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)
|
$— | $11 | $1,731 | $1,742 | $— | $6 | $2,241 | $2,247 |
March 31, 2021 | ||||||||||||||||||||||||||
Level 3
Fair
Value
|
Predominant
Valuation
Technique(s)
|
Unobservable Inputs | ||||||||||||||||||||||||
(Dollars in millions, except for certain unobservable inputs as shown)
|
Type | Range |
Weighted
Average(1)
|
|||||||||||||||||||||||
Non-recurring fair value measurements | ||||||||||||||||||||||||||
Mortgage loans | $1,731 | |||||||||||||||||||||||||
Internal model | Historical sales proceeds | $3,431 - $595,000 | $209,549 | |||||||||||||||||||||||
Internal model | Housing sales index | 69 - 640 bps | 122 bps | |||||||||||||||||||||||
Median of external sources | External pricing sources | $60.2 - $106.0 | $94.5 | |||||||||||||||||||||||
December 31, 2020 | ||||||||||||||||||||||||||
Level 3
Fair
Value
|
Predominant
Valuation
Technique(s)
|
Unobservable Inputs | ||||||||||||||||||||||||
(Dollars in millions, except for certain unobservable inputs as shown)
|
Type | Range |
Weighted
Average(1)
|
|||||||||||||||||||||||
Non-recurring fair value measurements | ||||||||||||||||||||||||||
Mortgage loans | $2,241 | |||||||||||||||||||||||||
Internal model | Historical sales proceeds | $3,001 - $696,004 | $202,539 | |||||||||||||||||||||||
Internal model | Housing sales index | 66 - 345 bps | 119 bps | |||||||||||||||||||||||
Median of external sources | External pricing sources | $59.5 - $104.0 | $92.1 |
Freddie Mac 1Q 2021 Form 10-Q |
123
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 17
|
March 31, 2021 | |||||||||||||||||||||||||||||||||||||||||
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 | $100,979 | $100,979 | $— | $— | $— | $100,979 | ||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Amortized cost | 15,140 | — | 23,070 | — | (7,930) | 15,140 | ||||||||||||||||||||||||||||||||||
Investment securities: | |||||||||||||||||||||||||||||||||||||||||
Available-for-sale, at fair value | FV - OCI | 7,591 | — | 5,755 | 1,836 | — | 7,591 | ||||||||||||||||||||||||||||||||||
Trading, at fair value | FV - NI | 54,289 | 30,208 | 21,019 | 3,062 | — | 54,289 | ||||||||||||||||||||||||||||||||||
Total investment securities | 61,880 | 30,208 | 26,774 | 4,898 | — | 61,880 | |||||||||||||||||||||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||||||||||||||||||||
Loans held by consolidated trusts | 2,395,707 | — | 2,174,999 | 258,491 | — | 2,433,490 | |||||||||||||||||||||||||||||||||||
Loans held by Freddie Mac | 112,180 | — | 77,983 | 37,537 | — | 115,520 | |||||||||||||||||||||||||||||||||||
Total mortgage loans |
Various(3)
|
2,507,887 | — | 2,252,982 | 296,028 | — | 2,549,010 | ||||||||||||||||||||||||||||||||||
Derivative assets, net | FV - NI | 2,085 | 30 | 8,680 | 30 | (6,655) | 2,085 | ||||||||||||||||||||||||||||||||||
Guarantee assets | FV - NI | 5,688 | — | — | 5,694 | — | 5,694 | ||||||||||||||||||||||||||||||||||
Non-derivative purchase commitments, at fair value | FV - NI | 91 | — | 192 | — | — | 192 | ||||||||||||||||||||||||||||||||||
Advances to lenders | Amortized cost | 6,401 | — | — | 6,401 | — | 6,401 | ||||||||||||||||||||||||||||||||||
Secured lending | Amortized cost | 1,632 | — | 1,430 | 49 | — | 1,479 | ||||||||||||||||||||||||||||||||||
Total financial assets | $2,701,783 | $131,217 | $2,313,128 | $313,100 | ($14,585) | $2,742,860 | |||||||||||||||||||||||||||||||||||
Financial Liabilities | |||||||||||||||||||||||||||||||||||||||||
Debt: | |||||||||||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties | $2,445,829 | $— | $2,472,078 | $855 | $— | $2,472,933 | |||||||||||||||||||||||||||||||||||
Debt of Freddie Mac | 258,441 | — | 268,093 | 3,813 | (7,930) | 263,976 | |||||||||||||||||||||||||||||||||||
Total debt |
Various(4)
|
2,704,270 | — | 2,740,171 | 4,668 | (7,930) | 2,736,909 | ||||||||||||||||||||||||||||||||||
Derivative liabilities, net | FV - NI | 950 | — | 9,115 | 34 | (8,199) | 950 | ||||||||||||||||||||||||||||||||||
Guarantee obligations | Amortized cost | 5,275 | — | — | 6,100 | — | 6,100 | ||||||||||||||||||||||||||||||||||
Non-derivative purchase commitments, at fair value | FV - NI | 29 | — | 5 | 167 | — | 172 | ||||||||||||||||||||||||||||||||||
Total financial liabilities | $2,710,524 | $— | $2,749,291 | $10,969 | ($16,129) | $2,744,131 |
Freddie Mac 1Q 2021 Form 10-Q |
124
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 17
|
December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||
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 | $23,889 | $23,889 | $— | $— | $— | $23,889 | ||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Amortized cost | 105,003 | — | 105,003 | — | — | 105,003 | ||||||||||||||||||||||||||||||||||
Investment securities: | |||||||||||||||||||||||||||||||||||||||||
Available-for-sale, at fair value | FV - OCI | 15,367 | — | 13,779 | 1,588 | — | 15,367 | ||||||||||||||||||||||||||||||||||
Trading, at fair value | FV - NI | 44,458 | 26,255 | 14,944 | 3,259 | — | 44,458 | ||||||||||||||||||||||||||||||||||
Total investment securities | 59,825 | 26,255 | 28,723 | 4,847 | — | 59,825 | |||||||||||||||||||||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||||||||||||||||||||
Loans held by consolidated trusts | 2,273,347 | — | 2,080,687 | 262,309 | — | 2,342,996 | |||||||||||||||||||||||||||||||||||
Loans held by Freddie Mac | 110,541 | — | 76,917 | 36,578 | — | 113,495 | |||||||||||||||||||||||||||||||||||
Total mortgage loans |
Various(3)
|
2,383,888 | — | 2,157,604 | 298,887 | — | 2,456,491 | ||||||||||||||||||||||||||||||||||
Derivative assets, net | FV - NI | 1,205 | — | 8,516 | 63 | (7,374) | 1,205 | ||||||||||||||||||||||||||||||||||
Guarantee assets | FV - NI | 5,509 | — | — | 5,515 | — | 5,515 | ||||||||||||||||||||||||||||||||||
Non-derivative purchase commitments, at fair value | FV - NI | 158 | — | 246 | — | — | 246 | ||||||||||||||||||||||||||||||||||
Advances to lenders | Amortized cost | 4,162 | — | — | 4,162 | — | 4,162 | ||||||||||||||||||||||||||||||||||
Secured lending | Amortized cost | 1,680 | — | 1,427 | 89 | — | 1,516 | ||||||||||||||||||||||||||||||||||
Total financial assets | $2,585,319 | $50,144 | $2,301,519 | $313,563 | ($7,374) | $2,657,852 | |||||||||||||||||||||||||||||||||||
Financial Liabilities | |||||||||||||||||||||||||||||||||||||||||
Debt: | |||||||||||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties | $2,308,176 | $— | $2,382,157 | $852 | $— | $2,383,009 | |||||||||||||||||||||||||||||||||||
Debt of Freddie Mac | 284,370 | — | 286,634 | 4,088 | — | 290,722 | |||||||||||||||||||||||||||||||||||
Total debt |
Various(4)
|
2,592,546 | — | 2,668,791 | 4,940 | — | 2,673,731 | ||||||||||||||||||||||||||||||||||
Derivative liabilities, net | FV - NI | 954 | — | 9,132 | 16 | (8,194) | 954 | ||||||||||||||||||||||||||||||||||
Guarantee obligations | Amortized cost | 5,050 | — | — | 5,378 | — | 5,378 | ||||||||||||||||||||||||||||||||||
Non-derivative purchase commitments, at fair value | FV - NI | 20 | — | 1 | 143 | — | 144 | ||||||||||||||||||||||||||||||||||
Total financial liabilities | $2,598,570 | $— | $2,677,924 | $10,477 | ($8,194) | $2,680,207 |
Freddie Mac 1Q 2021 Form 10-Q |
125
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 17
|
March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
(In millions) |
Multifamily
Held-For-Sale
Loans
|
Debt of Freddie Mac -
Long Term |
Debt Securities of Consolidated Trusts Held by Third Parties |
Multifamily
Held-For-Sale
Loans
|
Debt of Freddie Mac -
Long Term |
Debt Securities of Consolidated Trusts Held by Third Parties | ||||||||||||||||||||
Fair value | $8,093 | $1,915 | $204 | $14,199 | $2,216 | $203 | ||||||||||||||||||||
UPB | 7,884 | 1,896 | 200 | 13,400 | 2,189 | 200 | ||||||||||||||||||||
Difference | $209 | $19 | $4 | $799 | $27 | $3 |
1Q 2021 | 1Q 2020 | |||||||||||||||||||
(In millions) | Gains (Losses) | |||||||||||||||||||
Multifamily held-for-sale loans
|
($451) | $638 | ||||||||||||||||||
Multifamily held-for-sale loan purchase commitments | 195 | 532 | ||||||||||||||||||
Debt of Freddie Mac - long term | 8 | 548 | ||||||||||||||||||
Debt securities of consolidated trusts held by third parties | (4) | 4 |
Freddie Mac 1Q 2021 Form 10-Q |
126
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 18
|
Freddie Mac 1Q 2021 Form 10-Q |
127
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 18
|
Freddie Mac 1Q 2021 Form 10-Q |
128
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 18
|
Freddie Mac 1Q 2021 Form 10-Q |
129
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 18
|
Freddie Mac 1Q 2021 Form 10-Q |
130
|
Financial Statements |
Notes to the Condensed Consolidated Financial Statements | Note 19
|
(In millions) | March 31, 2021 | December 31, 2020 | |||||||||
GAAP net worth (deficit) | $18,791 | $16,413 | |||||||||
Core capital (deficit)(1)(2)
|
(54,111) | (56,878) | |||||||||
Less: Minimum capital(1)
|
23,068 | 22,694 | |||||||||
Minimum capital surplus (deficit)(1)
|
($77,179) | ($79,572) |
Freddie Mac 1Q 2021 Form 10-Q |
131
|
Other Information |
Freddie Mac 1Q 2021 Form 10-Q |
132
|
Controls and Procedures |
Freddie Mac 1Q 2021 Form 10-Q |
133
|
Exhibit Index |
Exhibit | Description* | ||||
4.1 | |||||
4.2 | |||||
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 1Q 2021 Form 10-Q |
134
|
Signatures |
Federal Home Loan Mortgage Corporation | ||||||||
By: | /s/ Mark B. Grier | |||||||
Mark B. Grier | ||||||||
Interim Chief Executive Officer | ||||||||
(Principal Executive Officer) |
By: | /s/ Christian M. Lown | |||||||
Christian M. Lown | ||||||||
Executive Vice President and Chief Financial Officer | ||||||||
(Principal Financial Officer) |
Freddie Mac 1Q 2021 Form 10-Q |
135
|
Form 10-Q Index |
Freddie Mac 1Q 2021 Form 10-Q |
136
|
/s/ Michael T. Hutchins | /s/ David M. Brickman | |||||||
For Freddie Mac | David M. Brickman | |||||||
Date: 2/10/2021 | Date: 2/9/2021 |
1. | I have reviewed this Quarterly Report on Form 10-Q for the quarter ended March 31, 2021 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/ Mark B. Grier | ||||||||
Mark B. Grier | ||||||||
Interim Chief Executive Officer |
1. | I have reviewed this Quarterly Report on Form 10-Q for the quarter ended March 31, 2021 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/ Christian M. Lown | ||||||||
Christian M. Lown | ||||||||
Executive Vice President and 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/ Mark B. Grier | ||||||||
Mark B. Grier | ||||||||
Interim 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/ Christian M. Lown | ||||||||
Christian M. Lown | ||||||||
Executive Vice President and Chief Financial Officer |