☒ | ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federally chartered | 52-0904874 | 8200 Jones Branch Drive | 22102-3110 | (703) | 903-2000 | |||||||||||||||||||||||||||||||||
corporation | McLean, | Virginia | ||||||||||||||||||||||||||||||||||||
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | (Address of principal executive offices) | (Zip Code) | (Registrant's telephone number, including area code) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||||||
None | N/A | N/A |
Large accelerated filer | ☒ | Accelerated filer | ☐ | Emerging growth company | ☐ | |||||||||||||||||||||
Non-accelerated filer | ☐ | Smaller reporting company | ☐ |
Table of Contents |
n About Freddie Mac | |||||
n Our Business | |||||
n Forward-Looking Statements | |||||
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS | |||||
n Market Conditions and Economic Indicators | |||||
n Consolidated Results of Operations | |||||
n Consolidated Balance Sheets Analysis | |||||
n Our Portfolios | |||||
n Our Business Segments | |||||
n Risk Management | |||||
l Credit Risk | |||||
l Market Risk | |||||
l Operational Risk | |||||
n Liquidity and Capital Resources | |||||
n Conservatorship and Related Matters | |||||
n Regulation and Supervision | |||||
n Critical Accounting Estimates | |||||
RISK FACTORS | |||||
LEGAL PROCEEDINGS | |||||
MARKET FOR REGISTRANT'S COMMON EQUITY, RELATED STOCKHOLDER MATTERS, AND ISSUER PURCHASES OF EQUITY SECURITIES | |||||
FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA | |||||
n Report of Independent Registered Public Accounting Firm (PCAOB ID 238) | |||||
n Consolidated Financial Statements | |||||
CONTROLS AND PROCEDURES | |||||
OTHER INFORMATION | |||||
DIRECTORS, CORPORATE GOVERNANCE, AND EXECUTIVE OFFICERS | |||||
n Directors | |||||
n Corporate Governance | |||||
n Executive Officers | |||||
EXECUTIVE COMPENSATION | |||||
n Compensation Discussion and Analysis | |||||
n Compensation and Risk | |||||
n CEO Pay Ratio | |||||
n 2021 Compensation Information for NEOs | |||||
SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS | |||||
CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS | |||||
PRINCIPAL ACCOUNTING FEES AND SERVICES | |||||
EXHIBITS AND FINANCIAL STATEMENT SCHEDULES | |||||
GLOSSARY | |||||
EXHIBIT INDEX | |||||
SIGNATURES | |||||
FORM 10-K INDEX |
FREDDIE MAC | 2021 Form 10-K | i |
Table of Contents | MD&A Table Index |
Table | Description | Page | ||||||
1 | Summary of Consolidated Statements of Comprehensive Income (Loss) | |||||||
2 | Components of Net Interest Income | |||||||
3 | Analysis of Net Interest Yield | |||||||
4 | Net Interest Income Rate / Volume Analysis | |||||||
5 | Components of Guarantee Income | |||||||
6 | Investment Gains (Losses), Net | |||||||
7 | Benefit (Provision) for Credit Losses | |||||||
8 | Summarized Consolidated Balance Sheets | |||||||
9 | Mortgage Portfolio | |||||||
10 | Guarantee Portfolio | |||||||
11 | Mortgage-Related Investments Portfolio | |||||||
12 | Single-Family Segment Financial Results | |||||||
13 | Multifamily Segment Financial Results | |||||||
14 | Allowance for Credit Losses Ratios | |||||||
15 | Principal Amounts Due for Held-for-Investment Loans | |||||||
16 | Single-Family New Business Activity | |||||||
17 | Single-Family Mortgage Portfolio CRT Issuance | |||||||
18 | Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding | |||||||
19 | Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio | |||||||
20 | Credit Enhancement Coverage by Year of Origination | |||||||
21 | Single-Family Mortgage Portfolio Without Credit Enhancement | |||||||
22 | Single-Family Credit Enhancement Receivables | |||||||
23 | Credit Quality Characteristics of Our Single-Family Mortgage Portfolio | |||||||
24 | Characteristics of the Loans in Our Single-Family Mortgage Portfolio | |||||||
25 | Single-Family Mortgage Portfolio Attribute Combinations | |||||||
26 | Single-Family Loans in Forbearance Plans by Payment Status | |||||||
27 | Single-Family Loans that Received Forbearance Plans | |||||||
28 | Single-Family Relief Refinance Loans | |||||||
29 | Credit Characteristics of Single-Family Modified Loans | |||||||
30 | Payment Performance of Single-Family Modified Loans | |||||||
31 | Seriously Delinquent Single-Family Loans by Jurisdiction | |||||||
32 | Average Length of Foreclosure Process for Single-Family Loans | |||||||
33 | Single-Family REO Activity | |||||||
34 | Single-Family Collateral Deficiency Ratios | |||||||
35 | Percentage of Multifamily New Business Activity with Higher Risk Characteristics | |||||||
36 | Multifamily Mortgage Portfolio CRT Issuance | |||||||
37 | Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio | |||||||
38 | Level of Subordination Outstanding | |||||||
39 | Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement | |||||||
40 | Single-Family Mortgage Purchases from Non-Depository Sellers | |||||||
41 | Single-Family Mortgage Portfolio Non-Depository Servicers | |||||||
42 | Single-Family Primary Mortgage Insurers | |||||||
43 | Single-Family ACIS Counterparties |
FREDDIE MAC | 2021 Form 10-K | ii |
Table of Contents | MD&A Table Index |
Table | Description | Page | ||||||
44 | Derivative Counterparty Credit Exposure | |||||||
45 | PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve | |||||||
46 | Duration Gap and PVS Results | |||||||
47 | PVS-L Results Before Derivatives and After Derivatives | |||||||
48 | Earnings Sensitivity to Changes in Interest Rates | |||||||
49 | Liquidity Sources | |||||||
50 | Other Investments Portfolio | |||||||
51 | Funding Sources | |||||||
52 | Debt of Freddie Mac Activity | |||||||
53 | Maturity and Redemption Dates | |||||||
54 | Activity for Debt Securities of Consolidated Trusts Held by Third Parties | |||||||
55 | Freddie Mac Credit Ratings | |||||||
56 | Net Worth Activity | |||||||
57 | 2020 and 2019 Affordable Housing Goals Results | |||||||
58 | 2021-2024 Single-Family and 2021-2022 Multifamily Affordable Housing Goal Benchmark Levels | |||||||
59 | Forecasted House Price Growth Rates | |||||||
60 | Board Compensation Levels | |||||||
61 | Director Compensation | |||||||
62 | 2021 Target TDC | |||||||
63 | 2021 Deferred Salary | |||||||
64 | CEO Pay Ratio | |||||||
65 | Compensation Summary | |||||||
66 | Grants of Plan-Based Awards | |||||||
67 | SERP and SERP II Benefits | |||||||
68 | Compensation and Benefits if NEO Terminated Employment as of December 31, 2021 | |||||||
69 | Stock Ownership by Directors and Executive Officers | |||||||
70 | Stock Ownership by Greater Than 5% Holders | |||||||
71 | Auditor Fees |
FREDDIE MAC | 2021 Form 10-K | iii |
Introduction | About Freddie Mac |
FREDDIE MAC | 2021 Form 10-K | 1 |
Introduction | About Freddie Mac |
FREDDIE MAC | 2021 Form 10-K | 2 |
Introduction | About Freddie Mac |
FREDDIE MAC | 2021 Form 10-K | 3 |
Introduction | About Freddie Mac |
FREDDIE MAC | 2021 Form 10-K | 4 |
Introduction | About Freddie Mac |
FREDDIE MAC | 2021 Form 10-K | 5 |
Introduction | About Freddie Mac |
FREDDIE MAC | 2021 Form 10-K | 6 |
Introduction | Our Business |
FREDDIE MAC | 2021 Form 10-K | 7 |
Introduction | Our Business |
FREDDIE MAC | 2021 Form 10-K | 8 |
Introduction | Our Business |
FREDDIE MAC | 2021 Form 10-K | 9 |
Introduction | Our Business |
FREDDIE MAC | 2021 Form 10-K | 10 |
Introduction | Forward-Looking Statements |
FREDDIE MAC | 2021 Form 10-K | 11 |
Introduction | Forward-Looking Statements |
FREDDIE MAC | 2021 Form 10-K | 12 |
Management's Discussion and Analysis | Market Conditions and Economic Indicators |
FREDDIE MAC | 2021 Form 10-K | 13 |
Management's Discussion and Analysis | Market Conditions and Economic Indicators |
FREDDIE MAC | 2021 Form 10-K | 14 |
Management's Discussion and Analysis | Market Conditions and Economic Indicators |
FREDDIE MAC | 2021 Form 10-K | 15 |
Management's Discussion and Analysis | Market Conditions and Economic Indicators |
FREDDIE MAC | 2021 Form 10-K | 16 |
Management's Discussion and Analysis | Market Conditions and Economic Indicators |
FREDDIE MAC | 2021 Form 10-K | 17 |
Management's Discussion and Analysis | Consolidated Results of Operations |
FREDDIE MAC | 2021 Form 10-K | 18 |
Management's Discussion and Analysis | Consolidated Results of Operations |
Year Over Year Change | ||||||||||||||||||||||||||||||||
Year Ended December 31, | 2021 vs. 2020 | 2020 vs. 2019 | ||||||||||||||||||||||||||||||
(Dollars in millions) | 2021 | 2020 | 2019 | $ | % | $ | % | |||||||||||||||||||||||||
Net interest income | $17,580 | $12,771 | $11,848 | $4,809 | 38 | % | $923 | 8 | % | |||||||||||||||||||||||
Guarantee income | 1,032 | 1,442 | 1,089 | (410) | (28) | 353 | 32 | |||||||||||||||||||||||||
Investment gains (losses), net | 2,746 | 1,813 | 818 | 933 | 51 | 995 | 122 | |||||||||||||||||||||||||
Other income (loss) | 593 | 633 | 323 | (40) | (6) | 310 | 96 | |||||||||||||||||||||||||
Net revenues | 21,951 | 16,659 | 14,078 | 5,292 | 32 | 2,581 | 18 | |||||||||||||||||||||||||
Benefit (provision) for credit losses | 1,041 | (1,452) | 746 | 2,493 | 172 | (2,198) | (295) | |||||||||||||||||||||||||
Credit enhancement expense | (1,518) | (1,058) | (749) | (460) | (43) | (309) | (41) | |||||||||||||||||||||||||
Benefit for (decrease in) credit enhancement recoveries | (542) | 323 | 41 | (865) | (268) | 282 | 688 | |||||||||||||||||||||||||
REO operations income (expense) | (12) | (149) | (229) | 137 | 92 | 80 | 35 | |||||||||||||||||||||||||
Credit-related income (expense) | (1,031) | (2,336) | (191) | 1,305 | 56 | (2,145) | (1,123) | |||||||||||||||||||||||||
Administrative expense | (2,651) | (2,535) | (2,564) | (116) | (5) | 29 | 1 | |||||||||||||||||||||||||
Legislated 10 basis point fee expense | (2,342) | (1,836) | (1,617) | (506) | (28) | (219) | (14) | |||||||||||||||||||||||||
Other expense | (728) | (723) | (657) | (5) | (1) | (66) | (10) | |||||||||||||||||||||||||
Operating expense | (5,721) | (5,094) | (4,838) | (627) | (12) | (256) | (5) | |||||||||||||||||||||||||
Income (loss) before income tax (expense) benefit | 15,199 | 9,229 | 9,049 | 5,970 | 65 | 180 | 2 | |||||||||||||||||||||||||
Income tax (expense) benefit | (3,090) | (1,903) | (1,835) | (1,187) | (62) | (68) | (4) | |||||||||||||||||||||||||
Net income (loss) | 12,109 | 7,326 | 7,214 | 4,783 | 65 | 112 | 2 | |||||||||||||||||||||||||
Total other comprehensive income (loss), net of taxes and reclassification adjustments | (489) | 205 | 573 | (694) | (339) | (368) | (64) | |||||||||||||||||||||||||
Comprehensive income (loss) | $11,620 | $7,531 | $7,787 | $4,089 | 54 | % | ($256) | (3) | % |
FREDDIE MAC | 2021 Form 10-K | 19 |
Management's Discussion and Analysis | Consolidated Results of Operations |
Year Over Year Change | ||||||||||||||||||||||||||||||||
Year Ended December 31, | 2021 vs. 2020 | 2020 vs. 2019 | ||||||||||||||||||||||||||||||
(Dollars in millions) | 2021 | 2020 | 2019 | $ | % | $ | % | |||||||||||||||||||||||||
Guarantee net interest income: | ||||||||||||||||||||||||||||||||
Contractual net interest income | $8,736 | $5,232 | $4,034 | $3,504 | 67% | $1,198 | 30% | |||||||||||||||||||||||||
Net interest income related to the legislated 10 basis point fee | 2,397 | 1,884 | 1,590 | 513 | 27 | 294 | 18 | |||||||||||||||||||||||||
Deferred fee income | 4,874 | 3,787 | 2,436 | 1,087 | 29 | 1,351 | 55 | |||||||||||||||||||||||||
Total guarantee net interest income | 16,007 | 10,903 | 8,060 | 5,104 | 47 | 2,843 | 35 | |||||||||||||||||||||||||
Investments net interest income | 3,068 | 4,100 | 4,040 | (1,032) | (25) | 60 | 1 | |||||||||||||||||||||||||
Income (expense) from hedge accounting | (1,495) | (2,232) | (252) | 737 | 33 | (1,980) | (786) | |||||||||||||||||||||||||
Net interest income | $17,580 | $12,771 | $11,848 | $4,809 | 38% | $923 | 8% |
FREDDIE MAC | 2021 Form 10-K | 20 |
Management's Discussion and Analysis | Consolidated Results of Operations |
Year Ended December 31, | ||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||||||||||||||||||
(Dollars in millions) | Average Balance | Interest Income (Expense) | Average Rate | Average Balance | Interest Income (Expense) | Average Rate | Average Balance | Interest Income (Expense) | Average Rate | |||||||||||||||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | $62,042 | $8 | 0.01 | % | $24,428 | $30 | 0.12 | % | $8,925 | $187 | 2.10 | % | ||||||||||||||||||||||||||
Securities purchased under agreements to resell | 75,425 | 48 | 0.06 | 94,350 | 354 | 0.38 | 56,465 | 1,284 | 2.27 | |||||||||||||||||||||||||||||
Investment securities | 56,211 | 2,261 | 4.02 | 71,842 | 2,581 | 3.59 | 70,104 | 2,737 | 3.90 | |||||||||||||||||||||||||||||
Mortgage loans(1) | 2,622,952 | 59,130 | 2.25 | 2,149,787 | 59,290 | 2.76 | 1,969,775 | 68,583 | 3.48 | |||||||||||||||||||||||||||||
Other assets | 6,049 | 80 | 1.32 | 4,752 | 85 | 1.79 | 2,933 | 104 | 3.55 | |||||||||||||||||||||||||||||
Total interest-earning assets | 2,822,679 | 61,527 | 2.18 | 2,345,159 | 62,340 | 2.66 | 2,108,202 | 72,895 | 3.46 | |||||||||||||||||||||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties | 2,538,757 | (42,209) | (1.66) | 2,020,908 | (46,281) | (2.29) | 1,822,411 | (53,980) | (2.96) | |||||||||||||||||||||||||||||
Debt of Freddie Mac: | ||||||||||||||||||||||||||||||||||||||
Short-term debt | 10,157 | — | — | 75,668 | (606) | (0.80) | 85,492 | (1,910) | (2.23) | |||||||||||||||||||||||||||||
Long-term debt | 227,415 | (1,738) | (0.76) | 218,447 | (2,682) | (1.23) | 192,100 | (5,157) | (2.68) | |||||||||||||||||||||||||||||
Total debt of Freddie Mac | 237,572 | (1,738) | (0.73) | 294,115 | (3,288) | (1.12) | 277,592 | (7,067) | (2.55) | |||||||||||||||||||||||||||||
Total interest-bearing liabilities | 2,776,329 | (43,947) | (1.58) | 2,315,023 | (49,569) | (2.14) | 2,100,003 | (61,047) | (2.91) | |||||||||||||||||||||||||||||
Impact of net non-interest-bearing funding | 46,350 | — | 0.02 | 30,136 | — | 0.03 | 8,199 | — | 0.01 | |||||||||||||||||||||||||||||
Total funding of interest-earning assets | 2,822,679 | (43,947) | (1.56) | 2,345,159 | (49,569) | (2.11) | 2,108,202 | (61,047) | (2.90) | |||||||||||||||||||||||||||||
Net interest income/yield | $17,580 | 0.62 | % | $12,771 | 0.55 | % | $11,848 | 0.56 | % |
FREDDIE MAC | 2021 Form 10-K | 21 |
Management's Discussion and Analysis | Consolidated Results of Operations |
Variance Analysis | ||||||||||||||||||||||||||
2021 vs. 2020 | 2020 vs. 2019 | |||||||||||||||||||||||||
(Dollars in millions) | Rate(1) | Volume(1) | Total Change | Rate(1) | Volume(1) | Total Change | ||||||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||||||||
Cash and cash equivalents | ($43) | $21 | ($22) | ($249) | $92 | ($157) | ||||||||||||||||||||
Securities purchased under agreements to resell | (252) | (54) | (306) | (1,450) | 520 | (930) | ||||||||||||||||||||
Investment securities | 826 | (1,146) | (320) | 36 | (192) | (156) | ||||||||||||||||||||
Mortgage loans | (11,660) | 11,500 | (160) | (15,145) | 5,852 | (9,293) | ||||||||||||||||||||
Other assets | (16) | 11 | (5) | (66) | 47 | (19) | ||||||||||||||||||||
Total interest-earning assets | (11,145) | 10,332 | (813) | (16,874) | 6,319 | (10,555) | ||||||||||||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties | 15,245 | (11,173) | 4,072 | 13,447 | (5,748) | 7,699 | ||||||||||||||||||||
Debt of Freddie Mac: | ||||||||||||||||||||||||||
Short-term debt | 324 | 282 | 606 | 1,105 | 199 | 1,304 | ||||||||||||||||||||
Long-term debt | 1,050 | (106) | 944 | 3,105 | (630) | 2,475 | ||||||||||||||||||||
Total debt of Freddie Mac | 1,374 | 176 | 1,550 | 4,210 | (431) | 3,779 | ||||||||||||||||||||
Total interest-bearing liabilities | 16,619 | (10,997) | 5,622 | 17,657 | (6,179) | 11,478 | ||||||||||||||||||||
Net interest income | $5,474 | ($665) | $4,809 | $783 | $140 | $923 |
FREDDIE MAC | 2021 Form 10-K | 22 |
Management's Discussion and Analysis | Consolidated Results of Operations |
Year Over Year Change | ||||||||||||||||||||||||||||||||
Year Ended December 31, | 2021 vs. 2020 | 2020 vs. 2019 | ||||||||||||||||||||||||||||||
(Dollars in millions) | 2021 | 2020 | 2019 | $ | % | $ | % | |||||||||||||||||||||||||
Contractual guarantee fees | $1,217 | $1,023 | $910 | $194 | 19 | % | $113 | 12 | % | |||||||||||||||||||||||
Guarantee obligation amortization | 1,148 | 977 | 813 | 171 | 18 | 164 | 20 | |||||||||||||||||||||||||
Guarantee asset fair value changes | (1,333) | (558) | (634) | (775) | (139) | 76 | 12 | |||||||||||||||||||||||||
Guarantee income | $1,032 | $1,442 | $1,089 | ($410) | (28) | % | $353 | 32 | % |
FREDDIE MAC | 2021 Form 10-K | 23 |
Management's Discussion and Analysis | Consolidated Results of Operations |
Year Over Year Change | ||||||||||||||||||||||||||||||||
Year Ended December 31, | 2021 vs. 2020 | 2020 vs. 2019 | ||||||||||||||||||||||||||||||
(Dollars in millions) | 2021 | 2020 | 2019 | $ | % | $ | % | |||||||||||||||||||||||||
Single-Family | $361 | ($112) | $300 | $473 | 422 | % | ($412) | (137 | %) | |||||||||||||||||||||||
Multifamily | 2,385 | 1,925 | 518 | 460 | 24 | 1,407 | 272 | |||||||||||||||||||||||||
Investment gains (losses), net | $2,746 | $1,813 | $818 | $933 | 51 | % | $995 | 122 | % |
Year Over Year Change | ||||||||||||||||||||||||||||||||
Year Ended December 31, | 2021 vs. 2020 | 2020 vs. 2019 | ||||||||||||||||||||||||||||||
(Dollars in millions) | 2021 | 2020 | 2019 | $ | % | $ | % | |||||||||||||||||||||||||
Single-Family | $919 | ($1,320) | $749 | $2,239 | 170 | % | ($2,069) | (276) | % | |||||||||||||||||||||||
Multifamily | 122 | (132) | (3) | 254 | 192 | (129) | (4,300) | |||||||||||||||||||||||||
Benefit (provision) for credit losses | $1,041 | ($1,452) | $746 | $2,493 | 172 | % | ($2,198) | (295) | % |
FREDDIE MAC | 2021 Form 10-K | 24 |
Management's Discussion and Analysis | Consolidated Results of Operations |
FREDDIE MAC | 2021 Form 10-K | 25 |
Management's Discussion and Analysis | Consolidated Balance Sheets Analysis |
December 31, | Year Over Year Change | |||||||||||||||||||
(Dollars in millions) | 2021 | 2020 | $ | % | ||||||||||||||||
Assets: | ||||||||||||||||||||
Cash and cash equivalents | $10,150 | $23,889 | ($13,739) | (58) | % | |||||||||||||||
Securities purchased under agreements to resell | 71,203 | 105,003 | (33,800) | (32) | ||||||||||||||||
Subtotal | 81,353 | 128,892 | (47,539) | (37) | ||||||||||||||||
Investment securities, at fair value | 53,015 | 59,825 | (6,810) | (11) | ||||||||||||||||
Mortgage loans, net | 2,848,109 | 2,383,888 | 464,221 | 19 | ||||||||||||||||
Accrued interest receivable, net | 7,474 | 7,754 | (280) | (4) | ||||||||||||||||
Deferred tax assets, net | 6,214 | 6,557 | (343) | (5) | ||||||||||||||||
Other assets | 29,421 | 40,499 | (11,078) | (27) | ||||||||||||||||
Total assets | $3,025,586 | $2,627,415 | $398,171 | 15 | % | |||||||||||||||
Liabilities and Equity: | ||||||||||||||||||||
Liabilities: | ||||||||||||||||||||
Accrued interest payable | $6,268 | $6,210 | $58 | 1 | % | |||||||||||||||
Debt | 2,980,185 | 2,592,546 | 387,639 | 15 | ||||||||||||||||
Other liabilities | 11,100 | 12,246 | (1,146) | (9) | ||||||||||||||||
Total liabilities | 2,997,553 | 2,611,002 | 386,551 | 15 | ||||||||||||||||
Total equity | 28,033 | 16,413 | 11,620 | 71 | ||||||||||||||||
Total liabilities and equity | $3,025,586 | $2,627,415 | $398,171 | 15 | % |
FREDDIE MAC | 2021 Form 10-K | 26 |
Management's Discussion and Analysis | Our Portfolios |
December 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||
Securitized mortgage loans: | ||||||||||||||||||||||||||
Held by consolidated trusts | $2,706,514 | $18,757 | $2,725,271 | $2,204,936 | $12,305 | $2,217,241 | ||||||||||||||||||||
Held by nonconsolidated trusts | 33,340 | 362,627 | 395,967 | 34,932 | 331,860 | 366,792 | ||||||||||||||||||||
Total securitized mortgage loans | 2,739,854 | 381,384 | 3,121,238 | 2,239,868 | 344,165 | 2,584,033 | ||||||||||||||||||||
Unsecuritized mortgage loans: | ||||||||||||||||||||||||||
Securitization pipeline and other loans | 21,189 | 22,771 | 43,960 | 51,040 | 33,407 | 84,447 | ||||||||||||||||||||
Seasoned loans | 20,594 | — | 20,594 | 26,303 | — | 26,303 | ||||||||||||||||||||
Total unsecuritized mortgage loans | 41,783 | 22,771 | 64,554 | 77,343 | 33,407 | 110,750 | ||||||||||||||||||||
Other | 10,587 | 10,508 | 21,095 | 9,215 | 10,775 | 19,990 | ||||||||||||||||||||
Total mortgage portfolio | $2,792,224 | $414,663 | $3,206,887 | $2,326,426 | $388,347 | $2,714,773 |
FREDDIE MAC | 2021 Form 10-K | 27 |
Management's Discussion and Analysis | Our Portfolios |
December 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||
Guaranteed mortgage-related securities: | ||||||||||||||||||||||||||
Issued by consolidated trusts | $2,744,899 | $18,883 | $2,763,782 | $2,273,736 | $12,305 | $2,286,041 | ||||||||||||||||||||
Issued by nonconsolidated trusts | 27,538 | 318,756 | 346,294 | 29,300 | 289,056 | 318,356 | ||||||||||||||||||||
Total guaranteed mortgage-related securities | 2,772,437 | 337,639 | 3,110,076 | 2,303,036 | 301,361 | 2,604,397 | ||||||||||||||||||||
Other | 10,587 | 10,508 | 21,095 | 9,215 | 10,775 | 19,990 | ||||||||||||||||||||
Total guarantee portfolio | $2,783,024 | $348,147 | $3,131,171 | $2,312,251 | $312,136 | $2,624,387 |
December 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||
Unsecuritized mortgage loans | $41,783 | $22,771 | $64,554 | $77,343 | $33,407 | $110,750 | ||||||||||||||||||||
Mortgage-related securities | 43,357 | 3,100 | 46,457 | 67,254 | 4,180 | 71,434 | ||||||||||||||||||||
Mortgage-related investments portfolio | $85,140 | $25,871 | $111,011 | $144,597 | $37,587 | $182,184 | ||||||||||||||||||||
10% of notional amount of interest-only securities | $12,517 | $6,586 | ||||||||||||||||||||||||
Mortgage-related investments portfolio for purposes of Purchase Agreement cap | 123,528 | 188,770 |
FREDDIE MAC | 2021 Form 10-K | 28 |
Management's Discussion and Analysis | Our Business Segments |
Segment | Description | ||||
Single-Family | Reflects results from our purchase, securitization, and guarantee of single-family loans, our investments in single-family loans and mortgage-related 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, securitization, and guarantee of multifamily loans, our investments in multifamily loans and mortgage-related securities, and the management of Multifamily mortgage credit risk and market risk. | ||||
FREDDIE MAC | 2021 Form 10-K | 29 |
Management's Discussion and Analysis | Our Business Segments |
FREDDIE MAC | 2021 Form 10-K | 30 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
FREDDIE MAC | 2021 Form 10-K | 31 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
FREDDIE MAC | 2021 Form 10-K | 32 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
FREDDIE MAC | 2021 Form 10-K | 33 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
FREDDIE MAC | 2021 Form 10-K | 34 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
FREDDIE MAC | 2021 Form 10-K | 35 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
FREDDIE MAC | 2021 Form 10-K | 36 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
FREDDIE MAC | 2021 Form 10-K | 37 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
FREDDIE MAC | 2021 Form 10-K | 38 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
FREDDIE MAC | 2021 Form 10-K | 39 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
FREDDIE MAC | 2021 Form 10-K | 40 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
FREDDIE MAC | 2021 Form 10-K | 41 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
FREDDIE MAC | 2021 Form 10-K | 42 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
FREDDIE MAC | 2021 Form 10-K | 43 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
FREDDIE MAC | 2021 Form 10-K | 44 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
FREDDIE MAC | 2021 Form 10-K | 45 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
Year Over Year Change | ||||||||||||||||||||||||||||||||
Year Ended December 31, | 2021 vs. 2020 | 2020 vs. 2019 | ||||||||||||||||||||||||||||||
(Dollars in millions) | 2021 | 2020 | 2019 | $ | % | $ | % | |||||||||||||||||||||||||
Guarantee net interest income | $15,745 | $10,762 | $7,999 | $4,983 | 46 | % | $2,763 | 35 | % | |||||||||||||||||||||||
Investments net interest income | 2,023 | 3,062 | 2,917 | (1,039) | (34) | 145 | 5 | |||||||||||||||||||||||||
Income (expense) from hedge accounting | (1,495) | (2,232) | (252) | 737 | 33 | (1,980) | (786) | |||||||||||||||||||||||||
Net interest income | 16,273 | 11,592 | 10,664 | 4,681 | 40 | 928 | 9 | |||||||||||||||||||||||||
Non-interest income | 954 | 457 | 560 | 497 | 109 | (103) | (18) | |||||||||||||||||||||||||
Net revenues | 17,227 | 12,049 | 11,224 | 5,178 | 43 | 825 | 7 | |||||||||||||||||||||||||
Benefit (provision) for credit losses | 919 | (1,320) | 749 | 2,239 | 170 | (2,069) | (276) | |||||||||||||||||||||||||
Credit enhancement expense | (1,470) | (1,036) | (734) | (434) | (42) | (302) | (41) | |||||||||||||||||||||||||
Benefit for (decrease in) credit enhancement recoveries | (523) | 305 | 41 | (828) | (271) | 264 | 644 | |||||||||||||||||||||||||
REO operations income (expense) | (12) | (149) | (229) | 137 | 92 | 80 | 35 | |||||||||||||||||||||||||
Credit-related income (expense) | (1,086) | (2,200) | (173) | 1,114 | 51 | (2,027) | (1,172) | |||||||||||||||||||||||||
Operating expense | (5,070) | (4,543) | (4,294) | (527) | (12) | (249) | (6) | |||||||||||||||||||||||||
Income (loss) before income tax (expense) benefit | 11,071 | 5,306 | 6,757 | 5,765 | 109 | (1,451) | (21) | |||||||||||||||||||||||||
Income tax (expense) benefit | (2,251) | (1,094) | (1,370) | (1,157) | (106) | 276 | 20 | |||||||||||||||||||||||||
Net income (loss) | 8,820 | 4,212 | 5,387 | 4,608 | 109 | (1,175) | (22) | |||||||||||||||||||||||||
Total other comprehensive income (loss), net of taxes and reclassification adjustments | (379) | 104 | 472 | (483) | (464) | (368) | (78) | |||||||||||||||||||||||||
Comprehensive income (loss) | $8,441 | $4,316 | $5,859 | $4,125 | 96 | % | ($1,543) | (26) | % |
FREDDIE MAC | 2021 Form 10-K | 46 |
Management's Discussion and Analysis | Our Business Segments | Multifamily |
FREDDIE MAC | 2021 Form 10-K | 47 |
Management's Discussion and Analysis | Our Business Segments | Multifamily |
FREDDIE MAC | 2021 Form 10-K | 48 |
Management's Discussion and Analysis | Our Business Segments | Multifamily |
FREDDIE MAC | 2021 Form 10-K | 49 |
Management's Discussion and Analysis | Our Business Segments | Multifamily |
FREDDIE MAC | 2021 Form 10-K | 50 |
Management's Discussion and Analysis | Our Business Segments | Multifamily |
FREDDIE MAC | 2021 Form 10-K | 51 |
Management's Discussion and Analysis | Our Business Segments | Multifamily |
FREDDIE MAC | 2021 Form 10-K | 52 |
Management's Discussion and Analysis | Our Business Segments | Multifamily |
FREDDIE MAC | 2021 Form 10-K | 53 |
Management's Discussion and Analysis | Our Business Segments | Multifamily |
FREDDIE MAC | 2021 Form 10-K | 54 |
Management's Discussion and Analysis | Our Business Segments | Multifamily |
FREDDIE MAC | 2021 Form 10-K | 55 |
Management's Discussion and Analysis | Our Business Segments | Multifamily |
Year Over Year Change | ||||||||||||||||||||||||||||||||
Year Ended December 31, | 2021 vs. 2020 | 2020 vs. 2019 | ||||||||||||||||||||||||||||||
(Dollars in millions) | 2021 | 2020 | 2019 | $ | % | $ | % | |||||||||||||||||||||||||
Net interest income | $1,307 | $1,179 | $1,184 | $128 | 11 | % | ($5) | — | % | |||||||||||||||||||||||
Guarantee income | 918 | 1,330 | 1,045 | (412) | (31) | 285 | 27 | |||||||||||||||||||||||||
Investment gains (losses), net | 2,385 | 1,925 | 518 | 460 | 24 | 1,407 | 272 | |||||||||||||||||||||||||
Other income (loss) | 114 | 176 | 107 | (62) | (35) | 69 | 64 | |||||||||||||||||||||||||
Net revenues | 4,724 | 4,610 | 2,854 | 114 | 2 | 1,756 | 62 | |||||||||||||||||||||||||
Credit-related income (expense) | 55 | (136) | (18) | 191 | 140 | (118) | (656) | |||||||||||||||||||||||||
Operating expense | (651) | (551) | (544) | (100) | (18) | (7) | (1) | |||||||||||||||||||||||||
Income (loss) before income tax (expense) benefit | 4,128 | 3,923 | 2,292 | 205 | 5 | 1,631 | 71 | |||||||||||||||||||||||||
Income tax (expense) benefit | (839) | (809) | (465) | (30) | (4) | (344) | (74) | |||||||||||||||||||||||||
Net income (loss) | 3,289 | 3,114 | 1,827 | 175 | 6 | 1,287 | 70 | |||||||||||||||||||||||||
Total other comprehensive income (loss), net of taxes and reclassification adjustments | (110) | 101 | 101 | (211) | (209) | — | — | |||||||||||||||||||||||||
Comprehensive income (loss) | $3,179 | $3,215 | $1,928 | ($36) | (1) | % | $1,287 | 67 | % |
FREDDIE MAC | 2021 Form 10-K | 56 |
Management's Discussion and Analysis | Risk Management |
FREDDIE MAC | 2021 Form 10-K | 57 |
Management's Discussion and Analysis | Risk Management |
FREDDIE MAC | 2021 Form 10-K | 58 |
Management's Discussion and Analysis | Risk Management |
FREDDIE MAC | 2021 Form 10-K | 59 |
Management's Discussion and Analysis | Risk Management |
FREDDIE MAC | 2021 Form 10-K | 60 |
Management's Discussion and Analysis | Risk Management |
December 31, 2021 | December 31, 2020 | December 31, 2019 | ||||||||||||||||||||||||||||||||||||
(Dollars in millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | |||||||||||||||||||||||||||||
Allowance for credit losses: | ||||||||||||||||||||||||||||||||||||||
Beginning balance | $6,353 | $200 | $6,553 | $5,233 | $68 | $5,301 | $6,176 | $15 | $6,191 | |||||||||||||||||||||||||||||
Provision (benefit) for credit losses | (919) | (122) | (1,041) | 1,320 | 132 | 1,452 | (749) | 3 | (746) | |||||||||||||||||||||||||||||
Charge-offs(1) | (1,107) | — | (1,107) | (592) | — | (592) | (1,737) | — | (1,737) | |||||||||||||||||||||||||||||
Recoveries collected | 197 | — | 197 | 210 | — | 210 | 452 | — | 452 | |||||||||||||||||||||||||||||
Net charge-offs | (910) | — | (910) | (382) | — | (382) | (1,285) | — | (1,285) | |||||||||||||||||||||||||||||
Other(2) | 916 | — | 916 | 182 | — | 182 | 126 | — | 126 | |||||||||||||||||||||||||||||
Ending balance | $5,440 | $78 | $5,518 | $6,353 | $200 | $6,553 | $4,268 | $18 | $4,286 | |||||||||||||||||||||||||||||
Components of ending balance of allowance for credit losses: | ||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-investment | $4,913 | $34 | $4,947 | $5,628 | $104 | $5,732 | $4,222 | $12 | $4,234 | |||||||||||||||||||||||||||||
Advances of pre-foreclosure costs | 450 | — | 450 | 536 | — | 536 | — | — | — | |||||||||||||||||||||||||||||
Accrued interest receivable on mortgage loans | 24 | — | 24 | 140 | — | 140 | — | — | — | |||||||||||||||||||||||||||||
Off-balance sheet credit exposures | 53 | 44 | 97 | 49 | 96 | 145 | 46 | 6 | 52 | |||||||||||||||||||||||||||||
Total ending balance | $5,440 | $78 | $5,518 | $6,353 | $200 | $6,553 | $4,268 | $18 | $4,286 | |||||||||||||||||||||||||||||
Loan balances(3): | ||||||||||||||||||||||||||||||||||||||
Non-accrual loans | $18,650 | $— | $18,650 | $13,677 | $— | $13,677 | $6,370 | $13 | $6,383 | |||||||||||||||||||||||||||||
Total loans outstanding | 2,806,535 | 26,743 | 2,833,278 | 2,333,991 | 21,977 | 2,355,968 | 1,971,657 | 17,489 | 1,989,146 | |||||||||||||||||||||||||||||
Average loans outstanding during the year | 2,597,016 | 23,736 | 2,620,752 | 2,113,212 | 19,546 | 2,132,758 | 1,921,198 | 15,414 | 1,936,612 | |||||||||||||||||||||||||||||
Ratios: | ||||||||||||||||||||||||||||||||||||||
Allowance for credit losses(4) to total loans outstanding | 0.18 | % | 0.13 | % | 0.17 | % | 0.24 | % | 0.47 | % | 0.24 | % | 0.21 | % | 0.07 | % | 0.21 | % | ||||||||||||||||||||
Non-accrual loans to total loans outstanding | 0.66 | — | 0.66 | 0.59 | — | 0.58 | 0.32 | 0.07 | 0.32 | |||||||||||||||||||||||||||||
Allowance for credit losses(5) to non-accrual loans | 26.34 | NM | 26.53 | 41.15 | NM | 41.91 | 66.28 | 92.31 | 66.33 | |||||||||||||||||||||||||||||
Net charge-offs to average loans outstanding | 0.04 | — | 0.03 | 0.02 | — | 0.02 | 0.07 | — | 0.07 |
FREDDIE MAC | 2021 Form 10-K | 61 |
Management's Discussion and Analysis | Risk Management |
December 31, 2021 | ||||||||||||||||||||
(In millions) | Due in One Year or Less | Due after One Year through Five Years | Due after Five Years through 15 Years | Due after 15 Years | Total | |||||||||||||||
Single-Family: | ||||||||||||||||||||
Fixed-rate | $87,916 | $376,616 | $1,011,848 | $1,243,084 | $2,719,464 | |||||||||||||||
Adjustable-rate | 874 | 3,683 | 10,110 | 8,720 | 23,387 | |||||||||||||||
Total Single-Family | 88,790 | 380,299 | 1,021,958 | 1,251,804 | 2,742,851 | |||||||||||||||
Multifamily: | ||||||||||||||||||||
Fixed-rate | 186 | 3,937 | 17,971 | 1,510 | 23,604 | |||||||||||||||
Adjustable-rate | 933 | 1,610 | 510 | — | 3,053 | |||||||||||||||
Total Multifamily | 1,119 | 5,547 | 18,481 | 1,510 | 26,657 | |||||||||||||||
Cost basis adjustments | 63,770 | |||||||||||||||||||
Total | $2,833,278 |
FREDDIE MAC | 2021 Form 10-K | 62 |
Management's Discussion and Analysis | Risk Management |
FREDDIE MAC | 2021 Form 10-K | 63 |
Management's Discussion and Analysis | Risk Management |
FREDDIE MAC | 2021 Form 10-K | 64 |
Management's Discussion and Analysis | Risk Management |
FREDDIE MAC | 2021 Form 10-K | 65 |
Management's Discussion and Analysis | Risk Management |
Year Ended December 31, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||||||||||||||
(Dollars in billions) | Amount | % of Total | Amount | % of Total | Amount | % of Total | |||||||||||||||||||||||
20- and 30-year or more amortizing fixed-rate | $1,042 | 86 | % | $919 | 85 | % | $405 | 89 | % | ||||||||||||||||||||
15-year amortizing fixed-rate | 173 | 14 | 167 | 15 | 43 | 10 | |||||||||||||||||||||||
Adjustable-rate | 5 | — | 4 | — | 5 | 1 | |||||||||||||||||||||||
Total | $1,220 | 100 | % | $1,090 | 100 | % | $453 | 100 | % | ||||||||||||||||||||
Percentage of purchases | |||||||||||||||||||||||||||||
DTI ratio > 45% | 11 | % | 10 | % | 14 | % | |||||||||||||||||||||||
Original LTV ratio > 90% | 11 | 11 | 19 | ||||||||||||||||||||||||||
Transaction type: | |||||||||||||||||||||||||||||
Cash window | 43 | 61 | 48 | ||||||||||||||||||||||||||
Guarantor swap | 57 | 39 | 52 | ||||||||||||||||||||||||||
Property type: | |||||||||||||||||||||||||||||
Detached single-family houses and townhouses | 93 | 93 | 92 | ||||||||||||||||||||||||||
Condominium or co-op | 7 | 7 | 8 | ||||||||||||||||||||||||||
Occupancy type: | |||||||||||||||||||||||||||||
Primary residence | 93 | 94 | 92 | ||||||||||||||||||||||||||
Second home | 3 | 3 | 4 | ||||||||||||||||||||||||||
Investment property | 4 | 3 | 4 | ||||||||||||||||||||||||||
Loan purpose: | |||||||||||||||||||||||||||||
Purchase | 35 | 30 | 55 | ||||||||||||||||||||||||||
Cash-out refinance | 25 | 18 | 18 | ||||||||||||||||||||||||||
Other refinance | 40 | 52 | 27 |
FREDDIE MAC | 2021 Form 10-K | 66 |
Management's Discussion and Analysis | Risk Management |
Category | Products | CRT | Coverage type | Accounting treatment | ||||||||||
Primary mortgage insurance | Primary mortgage insurance | No | Front-end | Attached | ||||||||||
STACR | STACR Trust notes | Yes | Back-end | Freestanding | ||||||||||
STACR debt notes | Yes | Back-end | Debt | |||||||||||
Insurance/reinsurance | ACIS | Yes | Back-end | Freestanding | ||||||||||
Other insurance/reinsurance products | Yes | Front-end | Freestanding | |||||||||||
Other | Senior subordinate securitization structures backed by seasoned loans (nonconsolidated) | Yes | Back-end | Guarantee | ||||||||||
Senior subordinate securitization structures backed by recently originated loans (consolidated) | Yes | Back-end | Debt | |||||||||||
Lender risk-sharing | Yes | Front-end | Freestanding |
Year Ended December 31, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||||||||||||||
(In millions) | UPB(1) | Maximum Coverage(2) | UPB(1) | Maximum Coverage(2) | UPB(1) | Maximum Coverage(2) | |||||||||||||||||||||||
STACR | $574,705 | $11,024 | $427,155 | $11,141 | $203,239 | $6,671 | |||||||||||||||||||||||
Insurance/reinsurance | 465,043 | 7,885 | 422,719 | 4,181 | 210,650 | 2,687 | |||||||||||||||||||||||
Other | 5,094 | 1,062 | 15,563 | 2,379 | 43,888 | 3,526 | |||||||||||||||||||||||
Less: UPB with more than one type of CRT | (216,386) | — | (388,340) | (769) | (203,239) | (723) | |||||||||||||||||||||||
Total CRT Issuance | $828,456 | $19,971 | $477,097 | $16,932 | $254,538 | $12,161 |
FREDDIE MAC | 2021 Form 10-K | 67 |
Management's Discussion and Analysis | Risk Management |
December 31, 2021 | ||||||||||||||
(Dollars in millions) | UPB(1) | % of Portfolio | Maximum Coverage(2) | |||||||||||
Primary mortgage insurance(3) | $545,293 | 20 | % | $135,330 | ||||||||||
STACR | 1,024,013 | 37 | 32,641 | |||||||||||
Insurance/reinsurance | 914,003 | 33 | 16,209 | |||||||||||
Other | 42,273 | 1 | 10,598 | |||||||||||
Less: UPB with multiple credit enhancements and other reconciling items(4) | (1,034,546) | (38) | — | |||||||||||
Single-Family mortgage portfolio - credit-enhanced | 1,491,036 | 53 | 194,778 | |||||||||||
Single-Family mortgage portfolio - non-credit-enhanced | 1,301,188 | 47 | N/A | |||||||||||
Total | $2,792,224 | 100 | % | $194,778 |
December 31, 2020 | ||||||||||||||
(Dollars in millions) | UPB(1) | % of Portfolio | Maximum Coverage(2) | |||||||||||
Primary mortgage insurance(3) | $472,881 | 20 | % | $116,973 | ||||||||||
STACR | 853,733 | 37 | 29,665 | |||||||||||
Insurance/reinsurance | 876,815 | 38 | 11,586 | |||||||||||
Other | 50,275 | 2 | 11,384 | |||||||||||
Less: UPB with multiple credit enhancements and other reconciling items(4) | (1,101,461) | (47) | — | |||||||||||
Single-Family mortgage portfolio - credit-enhanced | 1,152,243 | 50 | 169,608 | |||||||||||
Single-Family mortgage portfolio - non-credit-enhanced | 1,174,183 | 50 | N/A | |||||||||||
Total | $2,326,426 | 100 | % | $169,608 |
December 31, 2021 | December 31, 2020 | |||||||||||||||||||
(% of portfolio based on UPB)(1) | % of Portfolio | SDQ Rate | % of Portfolio | SDQ Rate | ||||||||||||||||
Credit-enhanced: | ||||||||||||||||||||
Primary mortgage insurance | 20 | % | 1.79 | % | 21 | % | 3.77 | % | ||||||||||||
CRT and other | 47 | 1.24 | 41 | 3.22 | ||||||||||||||||
Non-credit-enhanced | 47 | 0.93 | 50 | 2.13 | ||||||||||||||||
Total | N/A | 1.12 | N/A | 2.64 |
FREDDIE MAC | 2021 Form 10-K | 68 |
Management's Discussion and Analysis | Risk Management |
December 31, 2021 | December 31, 2020 | |||||||||||||||||||
(Dollars in millions) | UPB | % of UPB with Credit Enhancement | UPB | % of UPB with Credit Enhancement | ||||||||||||||||
Year of Loan Origination | ||||||||||||||||||||
2021 | $1,059,299 | 40 | % | N/A | N/A | |||||||||||||||
2020 | 867,122 | 68 | $971,092 | 36 | % | |||||||||||||||
2019 | 157,971 | 71 | 276,302 | 73 | ||||||||||||||||
2018 | 66,149 | 78 | 118,668 | 80 | ||||||||||||||||
2017 | 88,800 | 72 | 147,856 | 75 | ||||||||||||||||
2016 and prior | 552,883 | 46 | 812,508 | 49 | ||||||||||||||||
Total | $2,792,224 | 53 | $2,326,426 | 50 |
December 31, 2021 | December 31, 2020 | |||||||||||||||||||
(Dollars in millions) | UPB | % of Portfolio | UPB | % of Portfolio | ||||||||||||||||
Low current LTV ratio(1)(2) | $968,315 | 35 | % | $784,150 | 34 | % | ||||||||||||||
Short-term(1)(3) | 73,947 | 2 | 81,681 | 3 | ||||||||||||||||
CRT pipeline(1)(4) | 239,330 | 9 | 276,611 | 12 | ||||||||||||||||
Other(1)(5) | 19,596 | 1 | 31,741 | 1 | ||||||||||||||||
Single-Family mortgage portfolio - non-credit-enhanced | $1,301,188 | 47 | % | $1,174,183 | 50 | % |
FREDDIE MAC | 2021 Form 10-K | 69 |
Management's Discussion and Analysis | Risk Management |
(In millions) | December 31, 2021 | December 31, 2020 | |||||||||
Freestanding credit enhancement expected recovery receivables, net of allowance | $114 | $653 | |||||||||
Primary mortgage insurance receivables(1), net of allowance | 76 | 74 | |||||||||
Total credit enhancement receivables | $190 | $727 |
FREDDIE MAC | 2021 Form 10-K | 70 |
Management's Discussion and Analysis | Risk Management |
Credit Characteristic | Description | Impact on Credit Quality | |||||||||
LTV ratio | Ratio of the UPB of the loan to the value of the underlying property collateralizing the loan. Original LTV ratio is measured at loan origination, while CLTV ratio is defined as the ratio of the current loan UPB to the estimated current property value. | • | Measures ability of the underlying property to cover our exposure on the loan | ||||||||
• | Higher LTV ratios indicate higher risk, as proceeds from sale of the property may not cover our exposure on the loan | ||||||||||
• | Lower LTV ratios indicate borrowers are more likely to repay | ||||||||||
Credit score | Statistically-derived number that may indicate a borrower's likelihood to repay debt. Original credit score represents each borrower's FICO score at the time of origination or our purchase, while current credit score represents each borrower's most recent FICO score, which is obtained by Freddie Mac as of the first month of the most recent quarter | • | Borrowers with higher credit scores are generally more likely to repay or have the ability to refinance their loans than those with lower scores | ||||||||
Loan purpose | Indicates how the borrower intends to use the proceeds from a loan (i.e., purchase, cash-out refinance, or other refinance) | • | Cash-out refinancings, which increase the LTV ratios, generally have a higher risk of default than loans originated in purchase or other refinance transactions | ||||||||
Property type | Indicates whether the property is a detached single-family house, townhouse, condominium, or co-op | • | Detached single-family houses and townhouses are the predominant type of single-family property | ||||||||
• | Condominiums historically have experienced greater volatility in house prices than detached single-family houses, which may expose us to more risk | ||||||||||
Occupancy type | Indicates whether the borrower intends to use the property as a primary residence, second home, or investment property | • | Loans on primary residence properties tend to have lower credit risk than loans on second homes or investment properties | ||||||||
Product type | Indicates the type of loan based on key loan terms, such as the contractual maturity, type of interest rate, and payment characteristics of the loan | • | Loan products that contain terms which result in scheduled changes in monthly payments may result in higher risk | ||||||||
• | Shorter loan terms result in faster repayment of principal and may indicate lower risk | ||||||||||
Second liens | Indicates whether the underlying property is covered by more than one loan at the time of origination | • | Second liens can increase the risk of default | ||||||||
• | Borrowers are free to obtain second-lien financing after origination, and we are not entitled to receive notification when a borrower does so | ||||||||||
DTI ratio | Ratio of the borrowers' total monthly debt payments to gross monthly income. One indicator of the creditworthiness of the borrowers, as it measures borrowers' ability to manage monthly payments and repay debts | • | Borrowers with lower DTI ratios are generally more likely to repay their loans than those with higher DTI ratios, holding all other factors equal | ||||||||
• | DTI ratios are at the time of origination and may not be indicative of the borrowers' current credit worthiness |
FREDDIE MAC | 2021 Form 10-K | 71 |
Management's Discussion and Analysis | Risk Management |
December 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% | |||||||||||||||||
Single-Family mortgage portfolio year of origination: | |||||||||||||||||||||||
2021 | $1,059 | 752 | 751 | 71 | % | 66 | % | — | % | ||||||||||||||
2020 | 867 | 760 | 769 | 71 | 56 | — | |||||||||||||||||
2019 | 158 | 746 | 751 | 76 | 55 | — | |||||||||||||||||
2018 | 66 | 736 | 736 | 76 | 52 | — | |||||||||||||||||
2017 | 89 | 741 | 746 | 75 | 46 | — | |||||||||||||||||
2016 and prior | 553 | 737 | 752 | 75 | 36 | — | |||||||||||||||||
Total | $2,792 | 751 | 756 | 72 | 55 | — | |||||||||||||||||
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% | |||||||||||||||||
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 | — | |||||||||||||||||
Total | $2,326 | 749 | 754 | 74 | 58 | — |
FREDDIE MAC | 2021 Form 10-K | 72 |
Management's Discussion and Analysis | Risk Management |
Year Ended December 31, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||||||||||||||
(Dollars in billions) | Amount | % of Total | Amount | % of Total | Amount | % of Total | |||||||||||||||||||||||
20- and 30-year or more amortizing fixed-rate | $2,359 | 84 | % | 1,950 | 84 | % | 1,689 | 85 | % | ||||||||||||||||||||
15-year amortizing fixed-rate | 393 | 14 | 326 | 14 | 241 | 12 | |||||||||||||||||||||||
Adjustable-rate | 21 | 1 | 26 | 1 | 37 | 2 | |||||||||||||||||||||||
Alt-A, interest-only, and option ARM | 19 | 1 | 24 | 1 | 27 | 1 | |||||||||||||||||||||||
Total | $2,792 | 100 | % | $2,326 | 100 | % | $1,994 | 100 | % | ||||||||||||||||||||
Percentage of portfolio based on UPB | |||||||||||||||||||||||||||||
Original LTV ratio range: | |||||||||||||||||||||||||||||
60% and below | 25 | % | 22 | % | 18 | % | |||||||||||||||||||||||
Above 60% to 80% | 51 | 51 | 52 | ||||||||||||||||||||||||||
Above 80% to 90% | 11 | 12 | 12 | ||||||||||||||||||||||||||
Above 90% to 100% | 12 | 13 | 16 | ||||||||||||||||||||||||||
Above 100% | 1 | 2 | 2 | ||||||||||||||||||||||||||
Portfolio weighted average original LTV ratio | 72 | 74 | 76 | ||||||||||||||||||||||||||
Current LTV ratio range: | |||||||||||||||||||||||||||||
60% and below | 58 | 51 | 51 | ||||||||||||||||||||||||||
Above 60% to 80% | 35 | 37 | 35 | ||||||||||||||||||||||||||
Above 80% to 90% | 5 | 10 | 9 | ||||||||||||||||||||||||||
Above 90% to 100% | 2 | 2 | 5 | ||||||||||||||||||||||||||
Above 100% | — | — | — | ||||||||||||||||||||||||||
Portfolio weighted average current LTV ratio | 55 | 58 | 59 | ||||||||||||||||||||||||||
Original credit score(1): | |||||||||||||||||||||||||||||
740 and above | 65 | 64 | 61 | ||||||||||||||||||||||||||
700 to 739 | 20 | 20 | 21 | ||||||||||||||||||||||||||
680 to 699 | 7 | 7 | 7 | ||||||||||||||||||||||||||
660 to 679 | 4 | 4 | 5 | ||||||||||||||||||||||||||
620 to 659 | 3 | 4 | 4 | ||||||||||||||||||||||||||
Less than 620 | 1 | 1 | 2 | ||||||||||||||||||||||||||
Portfolio weighted average original credit score | 751 | 749 | 745 | ||||||||||||||||||||||||||
Current credit score(1)(2): | |||||||||||||||||||||||||||||
740 and above | 70 | 70 | 66 | ||||||||||||||||||||||||||
700 to 739 | 15 | 15 | 16 | ||||||||||||||||||||||||||
680 to 699 | 5 | 5 | 5 | ||||||||||||||||||||||||||
660 to 679 | 4 | 3 | 4 | ||||||||||||||||||||||||||
620 to 659 | 4 | 4 | 4 | ||||||||||||||||||||||||||
Less than 620 | 2 | 3 | 5 | ||||||||||||||||||||||||||
Portfolio weighted average current credit score | 756 | 754 | 749 | ||||||||||||||||||||||||||
DTI ratio: | |||||||||||||||||||||||||||||
Above 45% | 14 | 14 | 15 | ||||||||||||||||||||||||||
Portfolio weighted average DTI ratio | 34 | 35 | 35 | ||||||||||||||||||||||||||
Property type: | |||||||||||||||||||||||||||||
Detached single-family houses and townhouse | 93 | 92 | 92 | ||||||||||||||||||||||||||
Condominium or co-op | 7 | 8 | 8 | ||||||||||||||||||||||||||
Occupancy type at origination: | |||||||||||||||||||||||||||||
Primary residence | 91 | 90 | 90 | ||||||||||||||||||||||||||
Second home | 4 | 4 | 4 | ||||||||||||||||||||||||||
Investment property | 5 | 6 | 6 | ||||||||||||||||||||||||||
Loan purpose: | |||||||||||||||||||||||||||||
Purchase | 36 | 38 | 46 | ||||||||||||||||||||||||||
Cash-out refinance | 22 | 19 | 20 | ||||||||||||||||||||||||||
Other refinance | 42 | 43 | 34 |
FREDDIE MAC | 2021 Form 10-K | 73 |
Management's Discussion and Analysis | Risk Management |
December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CLTV ≤ 60 | CLTV > 60 to 80 | CLTV > 80 to 90 | CLTV > 90 to 100 | CLTV > 100 | All Loans | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Original Credit score) | % of Portfolio | SDQ Rate | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate | % Modified(2) | ||||||||||||||||||||||||||||||||||||||||||||||
< 620 | 0.8 | % | 6.69 | % | 0.2 | % | 11.68 | % | — | % | NM | — | % | NM | — | % | NM | 1.0 | % | 7.50 | % | 8.5 | % | ||||||||||||||||||||||||||||||||||||
620 to 679 | 4.4 | 3.29 | 2.3 | 3.05 | 0.3 | 2.56 | % | 0.1 | 2.57 | % | — | NM | 7.1 | 3.22 | 3.7 | ||||||||||||||||||||||||||||||||||||||||||||
≥ 680 | 51.9 | 0.80 | 32.3 | 0.78 | 5.3 | 0.54 | 2.3 | 0.25 | — | NM | 91.8 | 0.78 | 0.6 | ||||||||||||||||||||||||||||||||||||||||||||||
Not available | 0.1 | 6.58 | — | NM | — | NM | — | NM | — | NM | 0.1 | 6.85 | 18.7 | ||||||||||||||||||||||||||||||||||||||||||||||
Total | 57.2 | % | 1.19 | 34.8 | % | 1.04 | 5.6 | % | 0.77 | 2.4 | % | 0.47 | — | % | NM | 100.0 | % | 1.12 | 1.0 |
December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CLTV ≤ 60 | CLTV > 60 to 80 | CLTV > 80 to 90 | CLTV > 90 to 100 | CLTV > 100 | All Loans | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Original Credit score) | % of Portfolio | SDQ Rate | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate | % Modified(2) | ||||||||||||||||||||||||||||||||||||||||||||||
< 620 | 0.9 | % | 9.27 | % | 0.3 | % | 14.96 | % | 0.1 | % | 18.74 | % | — | % | NM | — | % | NM | 1.3 | % | 11.00 | % | 10.2 | % | |||||||||||||||||||||||||||||||||||
620 to 679 | 4.2 | 5.93 | 2.5 | 7.93 | 0.5 | 8.17 | 0.1 | 7.92 | % | — | NM | 7.3 | 6.64 | 7.1 | |||||||||||||||||||||||||||||||||||||||||||||
≥ 680 | 45.4 | 1.83 | 34.5 | 2.31 | 8.9 | 2.37 | 2.4 | 0.96 | 0.1 | 12.56 | % | 91.3 | 2.00 | 0.6 | |||||||||||||||||||||||||||||||||||||||||||||
Not available | 0.1 | 7.96 | — | NM | — | NM | — | NM | — | NM | 0.1 | 8.79 | 16.9 | ||||||||||||||||||||||||||||||||||||||||||||||
Total | 50.6 | % | 2.46 | 37.3 | % | 2.94 | 9.5 | % | 2.90 | 2.5 | % | 1.69 | 0.1 | % | 18.11 | 100.0 | % | 2.64 | 1.4 |
FREDDIE MAC | 2021 Form 10-K | 74 |
Management's Discussion and Analysis | Risk Management |
FREDDIE MAC | 2021 Form 10-K | 75 |
Management's Discussion and Analysis | Risk Management |
December 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 | $1,553 | $1,474 | $1,233 | $3,713 | $7,890 | $15,863 | |||||||||||||||||
Number of loans (in thousands) | 8 | 7 | 6 | 18 | 36 | 75 | |||||||||||||||||
As a percentage of our Single-Family mortgage portfolio(3) | 0.06 | % | 0.05 | % | 0.05 | % | 0.13 | % | 0.28 | % | 0.57 | % |
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 | 2021 Form 10-K | 76 |
Management's Discussion and Analysis | Risk Management |
(Loan count in thousands) | December 31, 2021 | December 31, 2020 | |||||||||
Active forbearance plan at end of period | 67 | 280 | |||||||||
Forbearance plan exits(2) (from January 1, 2020 to end of period): | |||||||||||
Reinstatement(3) | 263 | 189 | |||||||||
Pay-off | 67 | 39 | |||||||||
Payment deferral plan | 374 | 166 | |||||||||
Other(4) | 87 | 43 | |||||||||
Total forbearance plan exits(5) | 791 | 437 | |||||||||
Total single-family loans that received forbearance plans(6) (from January 1, 2020 to end of period) | 858 | 717 |
December 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
(Dollars in millions) | UPB | Loan Count | SDQ Rate | UPB | Loan Count | SDQ Rate | ||||||||||||||||||||
Above 125% Original LTV | $8,084 | 61,100 | 2.69 | % | $11,972 | 83,439 | 4.41 | % | ||||||||||||||||||
Above 100% to 125% Original LTV | 15,538 | 116,683 | 2.51 | 23,064 | 159,542 | 4.33 | ||||||||||||||||||||
Above 80% to 100% Original LTV | 27,035 | 222,332 | 2.05 | 38,994 | 293,582 | 3.88 | ||||||||||||||||||||
80% and below Original LTV | 40,442 | 460,777 | 1.36 | 55,291 | 575,708 | 2.70 | ||||||||||||||||||||
Total | $91,099 | 860,892 | 1.79 | $129,321 | 1,112,271 | 3.38 |
December 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||
(Dollars in billions) | UPB | % of Portfolio | CLTV Ratio | SDQ Rate | UPB | % of Portfolio | CLTV Ratio | SDQ Rate | ||||||||||||||||||||||||
Loan modifications(1) | $21.9 | 1 | % | 51 | % | 14.65 | % | $27.6 | 1 | % | 58 | % | 22.39 | % |
FREDDIE MAC | 2021 Form 10-K | 77 |
Management's Discussion and Analysis | Risk Management |
Quarter of Loan Modification Completion | |||||||||||||||||||||||||||||
4Q 2020 | 3Q 2020 | 2Q 2020 | 1Q 2020 | 4Q 2019 | 3Q 2019 | 2Q 2019 | 1Q 2019 | ||||||||||||||||||||||
Current or paid off one year after modification: | 83 | % | 70 | % | 64 | % | 59 | % | 57 | % | 57 | % | 57 | % | 67 | % | |||||||||||||
Current or paid off two years after modification: | N/A | N/A | N/A | N/A | 65 | 64 | 61 | 58 |
FREDDIE MAC | 2021 Form 10-K | 78 |
Management's Discussion and Analysis | Risk Management |
Year Ended December 31, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||||||||||||||
Aging, by locality | Loan Count | % | Loan Count | % | Loan Count | % | |||||||||||||||||||||||
Judicial states | |||||||||||||||||||||||||||||
<= 1 year | 33,252 | 23 | % | 132,103 | 42 | % | 26,063 | 37 | % | ||||||||||||||||||||
> 1 year and <= 2 years | 30,896 | 21 | 9,627 | 3 | 7,416 | 11 | |||||||||||||||||||||||
> 2 years | 7,271 | 5 | 6,072 | 2 | 5,336 | 8 | |||||||||||||||||||||||
Non-judicial states | |||||||||||||||||||||||||||||
<= 1 year | 37,426 | 25 | 158,563 | 50 | 24,997 | 36 | |||||||||||||||||||||||
> 1 year and <= 2 years | 34,975 | 24 | 6,659 | 2 | 3,928 | 5 | |||||||||||||||||||||||
> 2 years | 3,402 | 2 | 2,283 | 1 | 1,981 | 3 | |||||||||||||||||||||||
Combined | |||||||||||||||||||||||||||||
<= 1 year | 70,678 | 48 | 290,666 | 92 | 51,060 | 73 | |||||||||||||||||||||||
> 1 year and <= 2 years | 65,871 | 45 | 16,286 | 5 | 11,344 | 16 | |||||||||||||||||||||||
> 2 years | 10,673 | 7 | 8,355 | 3 | 7,317 | 11 | |||||||||||||||||||||||
Total | 147,222 | 100 | % | 315,307 | 100 | % | 69,721 | 100 | % |
Year Ended December 31, | ||||||||||||||
(Average days) | 2021 | 2020 | 2019 | |||||||||||
Judicial states | ||||||||||||||
Florida | 1,262 | 1,037 | 1,143 | |||||||||||
New Jersey | 1,179 | 983 | 1,089 | |||||||||||
New York | 1,653 | 1,800 | 1,765 | |||||||||||
All other judicial states | 889 | 669 | 692 | |||||||||||
Judicial states, in aggregate | 970 | 802 | 872 | |||||||||||
Non-judicial states, in aggregate | 827 | 537 | 520 | |||||||||||
Total | 916 | 690 | 730 |
FREDDIE MAC | 2021 Form 10-K | 79 |
Management's Discussion and Analysis | Risk Management |
Year Ended December 31, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||||||||||||||
(Dollars in millions) | Number of Properties | Amount | Number of Properties | Amount | Number of Properties | Amount | |||||||||||||||||||||||
Beginning balance - REO | 1,766 | $199 | 4,989 | $565 | 7,100 | $780 | |||||||||||||||||||||||
Additions | 1,693 | 159 | 2,361 | 214 | 7,910 | 786 | |||||||||||||||||||||||
Dispositions | (1,844) | (179) | (5,584) | (580) | (10,021) | (1,001) | |||||||||||||||||||||||
Ending balance - REO | 1,615 | 179 | 1,766 | 199 | 4,989 | 565 | |||||||||||||||||||||||
Beginning balance, valuation allowance | (1) | (10) | (11) | ||||||||||||||||||||||||||
Change in valuation allowance | (2) | 9 | 1 | ||||||||||||||||||||||||||
Ending balance, valuation allowance | (3) | (1) | (10) | ||||||||||||||||||||||||||
Ending balance - REO, net | $176 | $198 | $555 |
Year Ended December 31, | ||||||||||||||
2021 | 2020 | 2019 | ||||||||||||
REO dispositions and third-party foreclosure sales | 6.8 | % | 20.4 | % | 21.7 | % | ||||||||
Short sales | 19.1 | 22.6 | 24.5 |
FREDDIE MAC | 2021 Form 10-K | 80 |
Management's Discussion and Analysis | Risk Management |
FREDDIE MAC | 2021 Form 10-K | 81 |
Management's Discussion and Analysis | Risk Management |
Year Ended December 31, | ||||||||||||||
2021 | 2020 | 2019 | ||||||||||||
Original LTV ratio greater than 80%(1) | 1 | % | 1 | % | 2 | % | ||||||||
Original DSCR less than or equal to 1.10(1) | 1 | 1 | 1 |
FREDDIE MAC | 2021 Form 10-K | 82 |
Management's Discussion and Analysis | Risk Management |
FREDDIE MAC | 2021 Form 10-K | 83 |
Management's Discussion and Analysis | Risk Management |
Category | Products | CRT | Coverage Type | Accounting Treatment | |||||||||||||
Subordination | Primary securitization products | Yes | Back-end | Guarantee | |||||||||||||
Other securitization products: | |||||||||||||||||
• Securitizations of purchased collateral | Yes | Back-end | Guarantee/Debt | ||||||||||||||
• Securitizations of collateral contributed by third parties | No | Front-end | Guarantee | ||||||||||||||
Lender risk-sharing | Securitizations in which we issue fully guaranteed securities and simultaneously enter into a separate loss sharing agreement. | Yes | Front-end | Freestanding | |||||||||||||
Insurance/reinsurance | MCIP | Yes | Back-end | Freestanding | |||||||||||||
SCR | SCR Trust notes SCR debt notes | Yes Yes | Back-end Back-end | Freestanding Debt |
December 31, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||||||||||||||
(In millions) | UPB(1) | Maximum Coverage(2) | UPB(1) | Maximum Coverage(2) | UPB(1) | Maximum Coverage(2) | |||||||||||||||||||||||
Subordination | $68,836 | $5,079 | $66,187 | $5,741 | $67,648 | $8,011 | |||||||||||||||||||||||
SCR | 14,502 | 827 | — | — | — | — | |||||||||||||||||||||||
Insurance/reinsurance | — | — | 2,646 | 65 | 1,873 | 84 | |||||||||||||||||||||||
Lender risk-sharing | 1,015 | 110 | 1,568 | 217 | 1,263 | 149 | |||||||||||||||||||||||
Total CRT Issuance | $84,353 | $6,016 | $70,401 | $6,023 | $70,784 | $8,244 | |||||||||||||||||||||||
December 31, | |||||||||||||||||||||||||||||
2021 | 2020 | ||||||||||||||||||||||||||||
(Dollars in millions) | UPB | Delinquency Rate | Forbearance Rate(1)(2) | UPB | Delinquency Rate | Forbearance Rate(1)(2) | |||||||||||||||||||||||
Credit-enhanced: | |||||||||||||||||||||||||||||
Subordination | $360,113 | 0.08 | % | 0.33 | % | $328,897 | 0.18 | % | 1.99 | % | |||||||||||||||||||
Other | 28,565 | 0.16 | 0.77 | 17,352 | 0.17 | 2.73 | |||||||||||||||||||||||
Total credit-enhanced | 388,678 | 0.08 | 0.36 | 346,249 | 0.18 | 2.03 | |||||||||||||||||||||||
Non-credit-enhanced | 25,985 | 0.05 | 1.25 | 42,098 | 0.02 | 1.83 | |||||||||||||||||||||||
Total | $414,663 | 0.08 | 0.42 | $388,347 | 0.16 | 2.01 |
FREDDIE MAC | 2021 Form 10-K | 84 |
Management's Discussion and Analysis | Risk Management |
December 31, | ||||||||||||||||||||||||||
2021 | 2020 | |||||||||||||||||||||||||
(Dollars in millions) | UPB | Delinquency Rate | Forbearance Rate | UPB | Delinquency Rate | Forbearance Rate | ||||||||||||||||||||
Less than 10% | $109,174 | — | % | 0.01 | % | $53,220 | 0.04 | % | 0.15 | % | ||||||||||||||||
10% or greater | 250,939 | 0.11 | 0.47 | 275,677 | 0.20 | 2.35 | ||||||||||||||||||||
Total | $360,113 | 0.08 | 0.33 | $328,897 | 0.18 | 1.99 | ||||||||||||||||||||
Weighted average subordination level | 12 | % | 13 | % |
December 31, | ||||||||||||||||||||||||||
2021 | 2020 | |||||||||||||||||||||||||
(Dollars in millions) | UPB | Delinquency Rate | Forbearance Rate | UPB | Delinquency Rate | Forbearance Rate | ||||||||||||||||||||
Unsecuritized loans: | ||||||||||||||||||||||||||
Held-for-sale | $12,596 | 0.07 | % | 0.48 | % | $21,794 | 0.04 | % | 0.85 | % | ||||||||||||||||
Held-for-investment | 7,180 | — | — | 8,655 | — | 1.40 | ||||||||||||||||||||
Securitized loans | 4,097 | — | 6.42 | 6,711 | — | 6.84 | ||||||||||||||||||||
Other mortgage-related guarantees | 2,112 | 0.16 | — | 4,938 | — | 0.07 | ||||||||||||||||||||
Total | $25,985 | 0.05 | 1.25 | $42,098 | 0.02 | 1.83 |
FREDDIE MAC | 2021 Form 10-K | 85 |
Management's Discussion and Analysis | Risk Management |
FREDDIE MAC | 2021 Form 10-K | 86 |
Management's Discussion and Analysis | Risk Management |
2021 | 2020 | |||||||||||||
% of Purchases | % of Purchases | |||||||||||||
Top five non-depository sellers | 30 | % | 26 | % | ||||||||||
Other non-depository sellers | 41 | 40 | ||||||||||||
Total | 71 | % | 66 | % |
FREDDIE MAC | 2021 Form 10-K | 87 |
Management's Discussion and Analysis | Risk Management |
December 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 | 19 | % | 17 | % | 18 | % | 17 | % | ||||||||||||
Other non-depository servicers | 35 | 32 | 30 | 28 | ||||||||||||||||
Total | 54 | % | 49 | % | 48 | % | 45 | % |
FREDDIE MAC | 2021 Form 10-K | 88 |
Management's Discussion and Analysis | Risk Management |
December 31, 2021 | ||||||||||||||||||||
(In millions) | Credit Rating(1) | Credit Rating Outlook(1) | UPB | Coverage(2) | ||||||||||||||||
Arch Mortgage Insurance Company | A | Negative | $104,008 | $26,045 | ||||||||||||||||
Mortgage Guaranty Insurance Corporation (MGIC) | BBB+ | Stable | 103,818 | 25,928 | ||||||||||||||||
Radian Guaranty Inc. (Radian) | BBB+ | Stable | 98,884 | 23,949 | ||||||||||||||||
Essent Guaranty, Inc. | BBB+ | Stable | 83,077 | 20,747 | ||||||||||||||||
Enact(3) | BBB | Stable | 84,462 | 20,834 | ||||||||||||||||
National Mortgage Insurance (NMI) | BBB | Stable | 67,603 | 17,001 | ||||||||||||||||
Others | N/A | N/A | 3,441 | 826 | ||||||||||||||||
Total | $545,293 | $135,330 |
FREDDIE MAC | 2021 Form 10-K | 89 |
Management's Discussion and Analysis | Risk Management |
December 31, 2021 | December 31, 2020 | |||||||||||||||||||
(Dollars in billions) | Maximum Coverage(1) | % of Total | Maximum Coverage(1) | % of Total | ||||||||||||||||
Top five ACIS counterparties | $6.8 | 43 | % | $5.3 | 48 | % | ||||||||||||||
All other ACIS counterparties | 8.9 | 57 | 5.8 | 52 | ||||||||||||||||
Total | $15.7 | 100 | % | $11.1 | 100 | % |
FREDDIE MAC | 2021 Form 10-K | 90 |
Management's Discussion and Analysis | Risk Management |
December 31, 2021 | ||||||||||||||
(Dollars in millions) | Number of Counterparties | Fair Value - Gain Positions | Fair Value - Gain Positions, Net of Collateral | |||||||||||
OTC interest-rate swap and swaption counterparties (by rating): | ||||||||||||||
A+, A, or A- | 7 | $1,233 | $20 | |||||||||||
Cleared and exchange-traded derivatives | 2 | 56 | 94 | |||||||||||
Total | 9 | $1,289 | $114 |
FREDDIE MAC | 2021 Form 10-K | 91 |
Management's Discussion and Analysis | Risk Management |
FREDDIE MAC | 2021 Form 10-K | 92 |
Management's Discussion and Analysis | Risk Management |
FREDDIE MAC | 2021 Form 10-K | 93 |
Management's Discussion and Analysis | Risk Management |
Negative Duration Gap | Zero Duration Gap | Positive Duration Gap | ||||||
Asset Duration < Liability Duration | Asset Duration = Liability Duration | Asset Duration > Liability Duration | ||||||
Net portfolio will increase in value when interest rates rise and decrease in value when interest rates fall. | Net portfolio economic value will be unchanged. The change in the value of assets from an instantaneous move in interest rates, either up or down, would be expected to be accompanied by an equal and offsetting change in the value of liabilities. | Net portfolio will increase in value when interest rates fall and decrease in value when interest rates rise. |
FREDDIE MAC | 2021 Form 10-K | 94 |
Management's Discussion and Analysis | Risk Management |
December 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 yield curve, (gains) losses on:(1) | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments(2) | $368 | $3,531 | $7,101 | ($314) | $3,837 | $7,979 | ||||||||||||||||||||||||||
Guarantees(2)(3) | (242) | (1,181) | (1,830) | 193 | (1,828) | (3,559) | ||||||||||||||||||||||||||
Total assets | 126 | 2,350 | 5,271 | (121) | 2,009 | 4,420 | ||||||||||||||||||||||||||
Liabilities | 18 | (2,385) | (4,870) | (54) | (3,237) | (7,503) | ||||||||||||||||||||||||||
Derivatives | (144) | 94 | (217) | 185 | 1,180 | 2,839 | ||||||||||||||||||||||||||
Total | $— | $59 | $184 | $10 | ($48) | ($244) | ||||||||||||||||||||||||||
PVS | $— | $59 | $184 | $10 | $— | $— |
Year Ended December 31, | ||||||||||||||||||||||||||
2021 | 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 | 0.2 | $8 | $50 | 0.5 | $11 | $73 | ||||||||||||||||||||
Minimum | (1.2) | — | — | (0.7) | — | — | ||||||||||||||||||||
Maximum | 1.0 | 45 | 200 | 1.5 | 44 | 275 | ||||||||||||||||||||
Standard deviation | 0.4 | 7 | 44 | 0.4 | 8 | 68 |
FREDDIE MAC | 2021 Form 10-K | 95 |
Management's Discussion and Analysis | Risk Management |
PVS-L (50 bps) | |||||||||||||||||
(In millions) | Before Derivatives | After Derivatives | Effect of Derivatives | ||||||||||||||
December 31, 2021 (1) | $508 | $59 | ($449) | ||||||||||||||
December 31, 2020 (1) | 601 | — | (601) |
FREDDIE MAC | 2021 Form 10-K | 96 |
Management's Discussion and Analysis | Risk Management |
(In millions) | December 31, 2021 | December 31, 2020 | |||||||||
Interest Rate Scenarios | |||||||||||
Parallel yield curve shifts: | |||||||||||
+100 basis points | $16.7 | $97.9 | |||||||||
-100 basis points | (16.7) | (97.9) | |||||||||
Non-parallel yield curve shifts - long-term interest rates: | |||||||||||
+100 basis points | (27.3) | (10.9) | |||||||||
-100 basis points | 27.3 | 10.9 | |||||||||
Non-parallel yield curve shifts - short-term and medium-term interest rates: | |||||||||||
+100 basis points | 44.0 | 108.7 | |||||||||
-100 basis points | (44.0) | (108.7) |
FREDDIE MAC | 2021 Form 10-K | 97 |
Management's Discussion and Analysis | Risk Management |
FREDDIE MAC | 2021 Form 10-K | 98 |
Management's Discussion and Analysis | Risk Management |
FREDDIE MAC | 2021 Form 10-K | 99 |
Management's Discussion and Analysis | Risk Management |
FREDDIE MAC | 2021 Form 10-K | 100 |
Management's Discussion and Analysis | Risk Management |
FREDDIE MAC | 2021 Form 10-K | 101 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
FREDDIE MAC | 2021 Form 10-K | 102 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
(In millions) | Balance(1) at December 31, 2021 | Balance(1) at December 31, 2020 | Description | ||||||||||||||
• | Other Investments Portfolio - Liquidity and Contingency Operating Portfolio | $80,262 | $95,894 | • | The liquidity and contingency operating portfolio, included within our other investments portfolio, is primarily used for short-term liquidity management. | ||||||||||||
• | Mortgage Loans and Mortgage- Related Securities - Liquid Portion of the Mortgage- Related Investments Portfolio | 43,393 | 67,562 | • | 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 | 2021 Form 10-K | 103 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
December 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||
(In millions) | Liquidity and Contingency Operating Portfolio | Custodial Account | Other | Total Other Investments Portfolio(1) | Liquidity and Contingency Operating Portfolio | Custodial Account | Other | Total Other Investments Portfolio(1) | ||||||||||||||||||||||||
Cash and cash equivalents | $8,455 | $1,596 | $99 | $10,150 | $6,509 | $17,380 | $— | $23,889 | ||||||||||||||||||||||||
Securities purchased under agreements to resell | 43,729 | 34,000 | 807 | 78,536 | 65,753 | 38,487 | 763 | 105,003 | ||||||||||||||||||||||||
Non-mortgage related securities | 28,078 | — | 4,695 | 32,773 | 23,632 | — | 3,321 | 26,953 | ||||||||||||||||||||||||
Other assets | — | — | 8,194 | 8,194 | — | — | 7,252 | 7,252 | ||||||||||||||||||||||||
Total | $80,262 | $35,596 | $13,795 | $129,653 | $95,894 | $55,867 | $11,336 | $163,097 |
FREDDIE MAC | 2021 Form 10-K | 104 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
(In millions) | December 31, 2021(1) | December 31, 2020(1) | Description | ||||||||||||||
• | Debt of Freddie Mac | $177,131 | $284,370 | • | Debt of Freddie Mac is used to fund our business activities. | ||||||||||||
• | Debt Securities of Consolidated Trusts | 2,803,054 | 2,308,176 | • | Debt securities of consolidated trusts are used primarily to fund our single-family guarantee activities. This type of debt is principally repaid by the cash flows of the associated mortgage loans. As a result, our repayment obligation is limited to amounts paid pursuant to our guarantee of principal and interest and to purchase modified or seriously delinquent loans from the trusts. |
FREDDIE MAC | 2021 Form 10-K | 105 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
Year Ended December 31, | ||||||||||||||||||||
2021 | 2020 | |||||||||||||||||||
(Dollars in millions) | Par Value | Average Rate(1) | Par Value | Average Rate(1) | ||||||||||||||||
Short-term: | ||||||||||||||||||||
Beginning balance | $4,955 | 1.31 | % | $101,237 | 1.92 | % | ||||||||||||||
Issuances | 22,050 | 0.04 | 162,290 | 1.02 | ||||||||||||||||
Repayments | (24,569) | 0.15 | (16,608) | 1.40 | ||||||||||||||||
Maturities | (2,436) | 1.49 | (241,964) | 1.40 | ||||||||||||||||
Ending balance | — | — | 4,955 | 1.31 | ||||||||||||||||
Securities sold under agreement to repurchase | 7,333 | (0.10) | — | — | ||||||||||||||||
Offsetting arrangements | (7,333) | — | ||||||||||||||||||
Securities sold under agreement to repurchase, net | — | — | — | — | ||||||||||||||||
Total short-term debt | — | — | 4,955 | 1.31 | ||||||||||||||||
Long-term: | ||||||||||||||||||||
Beginning balance | 281,386 | 1.12 | 171,876 | 2.65 | ||||||||||||||||
Issuances | 1,090 | 0.60 | 304,087 | 0.69 | ||||||||||||||||
Repayments | (58,067) | 0.70 | (159,945) | 1.64 | ||||||||||||||||
Maturities | (42,794) | 1.06 | (34,632) | 1.88 | ||||||||||||||||
Total long-term debt | 181,615 | 1.11 | 281,386 | 1.12 | ||||||||||||||||
Total debt of Freddie Mac, net | $181,615 | 1.11 | % | $286,341 | 1.12 | % |
As of December 31, 2021 | |||||||||||
(Par value in billions) | Contractual Maturity Date | Earliest Redemption Date | |||||||||
Debt of Freddie Mac(1): | |||||||||||
1 year or less | $56 | $118 | |||||||||
1 year through 2 years | 39 | 36 | |||||||||
2 years through 3 years | 13 | 2 | |||||||||
3 years through 4 years | 35 | 12 | |||||||||
4 years through 5 years | 5 | — | |||||||||
Thereafter | 32 | 12 | |||||||||
STACR and SCR debt(2) | 9 | 9 | |||||||||
Total debt of Freddie Mac | $189 | $189 |
FREDDIE MAC | 2021 Form 10-K | 106 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
Year Ended December 31, | |||||||||||
(In millions) | 2021 | 2020 | |||||||||
Beginning balance | $2,240,602 | $1,854,802 | |||||||||
Issuances | 1,532,367 | 1,231,008 | |||||||||
Extinguishments | (1,040,913) | (845,208) | |||||||||
Ending balance | 2,732,056 | 2,240,602 | |||||||||
Unamortized premiums and discounts | 70,998 | 67,574 | |||||||||
Debt securities of consolidated trusts held by third parties | $2,803,054 | $2,308,176 |
Nationally Recognized Statistical Rating Organization | ||||||||||||||
S&P | Moody's | Fitch | ||||||||||||
Senior long-term debt | AA+ | Aaa | AAA | |||||||||||
Short-term debt | A-1+ | P-1 | F1+ | |||||||||||
Preferred stock(1) | D | Ca | C | |||||||||||
Outlook | Stable | Stable | Negative |
FREDDIE MAC | 2021 Form 10-K | 107 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
FREDDIE MAC | 2021 Form 10-K | 108 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
FREDDIE MAC | 2021 Form 10-K | 109 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
Year Ended December 31, | ||||||||||||||
(In millions) | 2021 | 2020 | 2019 | |||||||||||
Ending balance, December 31 | $16,413 | $9,122 | $4,477 | |||||||||||
Cumulative-effect adjustment (1) | — | (240) | — | |||||||||||
Beginning balance, January 1 | 16,413 | 8,882 | 4,477 | |||||||||||
Comprehensive income (loss) | 11,620 | 7,531 | 7,787 | |||||||||||
Capital draws from Treasury | — | — | — | |||||||||||
Senior preferred stock dividends declared | — | — | (3,142) | |||||||||||
Total equity / net worth | $28,033 | $16,413 | $9,122 | |||||||||||
Aggregate draws under Purchase Agreement | $71,648 | $71,648 | $71,648 | |||||||||||
Aggregate cash dividends paid to Treasury | 119,680 | 119,680 | 119,680 | |||||||||||
Liquidation preference of the senior preferred stock | 97,959 | 86,539 | 79,322 |
FREDDIE MAC | 2021 Form 10-K | 110 |
Management's Discussion and Analysis | Conservatorship and Related Matters |
FREDDIE MAC | 2021 Form 10-K | 111 |
Management's Discussion and Analysis | Conservatorship and Related Matters |
FREDDIE MAC | 2021 Form 10-K | 112 |
Management's Discussion and Analysis | Conservatorship and Related Matters |
FREDDIE MAC | 2021 Form 10-K | 113 |
Management's Discussion and Analysis | Conservatorship and Related Matters |
FREDDIE MAC | 2021 Form 10-K | 114 |
Management's Discussion and Analysis | Conservatorship and Related Matters |
FREDDIE MAC | 2021 Form 10-K | 115 |
Management's Discussion and Analysis | Regulation and Supervision |
FREDDIE MAC | 2021 Form 10-K | 116 |
Management's Discussion and Analysis | Regulation and Supervision |
FREDDIE MAC | 2021 Form 10-K | 117 |
Management's Discussion and Analysis | Regulation and Supervision |
FREDDIE MAC | 2021 Form 10-K | 118 |
Management's Discussion and Analysis | Regulation and Supervision |
2020 | 2019 | |||||||||||||||||||||||||
Affordable Housing Goals | Benchmark Level | Market Level | Results | Benchmark Level | Market Level | Results | ||||||||||||||||||||
Single-Family | ||||||||||||||||||||||||||
Low-income home purchase goal | 24 | % | 27.6 | % | 28.5 | % | 24 | % | 26.6 | % | 27.4 | % | ||||||||||||||
Very low-income home purchase goal | 6 | % | 7.0 | % | 6.9 | % | 6 | % | 6.6 | % | 6.8 | % | ||||||||||||||
Low-income areas home purchase goal | 18 | % | 22.4 | % | 21.8 | % | 19 | % | 22.9 | % | 22.9 | % | ||||||||||||||
Low-income areas home purchase subgoal | 14 | % | 17.6 | % | 17.1 | % | 14 | % | 18.1 | % | 18.0 | % | ||||||||||||||
Low-income refinance goal | 21 | % | 21.0 | % | 19.7 | % | 21 | % | 24.0 | % | 22.4 | % | ||||||||||||||
Multifamily | ||||||||||||||||||||||||||
Low-income goal (units) | 315,000 | N/A | 473,338 | 315,000 | N/A | 455,451 | ||||||||||||||||||||
Very low-income subgoal (units) | 60,000 | N/A | 107,105 | 60,000 | N/A | 112,773 | ||||||||||||||||||||
Small multifamily (5-50 units) low-income subgoal | 10,000 | N/A | 28,142 | 10,000 | N/A | 34,847 |
Affordable Housing Goals | Benchmark Levels for 2021 | Benchmark Levels for 2022-2024 | |||||||||
Single-Family | |||||||||||
Low-income home purchase goal | 24 | % | 28 | % | |||||||
Very low-income home purchase goal | 6 | % | 7 | % | |||||||
Low-income areas home purchase goal | 18 | % | TBD | ||||||||
Low-income areas subgoal | 14 | % | N/A | ||||||||
Minority census tracts home purchase subgoal (new) | N/A | 10 | % | ||||||||
Low-income census tracts home purchase subgoal (new) | N/A | 4 | % | ||||||||
Low-income refinance goal | 21 | % | 26 | % | |||||||
Multifamily | |||||||||||
Low-income goal (units) | 315,000 | 415,000 | |||||||||
Very low-income subgoal (units) | 60,000 | 88,000 | |||||||||
Small multifamily (5-50 units) low-income subgoal (units) | 10,000 | 23,000 |
FREDDIE MAC | 2021 Form 10-K | 119 |
Management's Discussion and Analysis | Regulation and Supervision |
FREDDIE MAC | 2021 Form 10-K | 120 |
Management's Discussion and Analysis | Regulation and Supervision |
FREDDIE MAC | 2021 Form 10-K | 121 |
Management's Discussion and Analysis | Regulation and Supervision |
FREDDIE MAC | 2021 Form 10-K | 122 |
Management's Discussion and Analysis | Regulation and Supervision |
FREDDIE MAC | 2021 Form 10-K | 123 |
Management's Discussion and Analysis | Critical Accounting Estimates |
2022 | 2023 | ||||||||||
December 31, 2021 | 6.2 | % | 2.5 | % | |||||||
2021 | 2022 | ||||||||||
December 31, 2020 | 5.4 | % | 3.0 | % |
FREDDIE MAC | 2021 Form 10-K | 124 |
Risk Factors |
FREDDIE MAC | 2021 Form 10-K | 125 |
Risk Factors |
FREDDIE MAC | 2021 Form 10-K | 126 |
Risk Factors |
FREDDIE MAC | 2021 Form 10-K | 127 |
Risk Factors |
FREDDIE MAC | 2021 Form 10-K | 128 |
Risk Factors |
FREDDIE MAC | 2021 Form 10-K | 129 |
Risk Factors |
FREDDIE MAC | 2021 Form 10-K | 130 |
Risk Factors |
FREDDIE MAC | 2021 Form 10-K | 131 |
Risk Factors |
FREDDIE MAC | 2021 Form 10-K | 132 |
Risk Factors |
FREDDIE MAC | 2021 Form 10-K | 133 |
Risk Factors |
FREDDIE MAC | 2021 Form 10-K | 134 |
Risk Factors |
FREDDIE MAC | 2021 Form 10-K | 135 |
Risk Factors |
FREDDIE MAC | 2021 Form 10-K | 136 |
Risk Factors |
FREDDIE MAC | 2021 Form 10-K | 137 |
Risk Factors |
FREDDIE MAC | 2021 Form 10-K | 138 |
Risk Factors |
FREDDIE MAC | 2021 Form 10-K | 139 |
Risk Factors |
FREDDIE MAC | 2021 Form 10-K | 140 |
Risk Factors |
FREDDIE MAC | 2021 Form 10-K | 141 |
Risk Factors |
FREDDIE MAC | 2021 Form 10-K | 142 |
Legal Proceedings |
FREDDIE MAC | 2021 Form 10-K | 143 |
Market for Registrant's Common Equity, Related Stockholder Matters, and Issuer Purchases of Equity Securities |
FREDDIE MAC | 2021 Form 10-K | 144 |
Financial Statements |
Financial Statements and Supplementary Data |
FREDDIE MAC | 2021 Form 10-K | 145 |
Financial Statements | Report of Independent Registered Public Accounting Firm |
FREDDIE MAC | 2021 Form 10-K | 146 |
Financial Statements | Report of Independent Registered Public Accounting Firm |
FREDDIE MAC | 2021 Form 10-K | 147 |
Financial Statements | Consolidated Statements of Comprehensive Income |
Year Ended December 31, | ||||||||||||||
(In millions, except share-related amounts) | 2021 | 2020 | 2019 | |||||||||||
Net interest income | ||||||||||||||
Interest income | $61,527 | $62,340 | $72,895 | |||||||||||
Interest expense | (43,947) | (49,569) | (61,047) | |||||||||||
Net interest income | 17,580 | 12,771 | 11,848 | |||||||||||
Non-interest income (loss) | ||||||||||||||
Guarantee income | 1,032 | 1,442 | 1,089 | |||||||||||
Investment gains (losses), net | 2,746 | 1,813 | 818 | |||||||||||
Other income (loss) | 593 | 633 | 323 | |||||||||||
Non-interest income (loss) | 4,371 | 3,888 | 2,230 | |||||||||||
Net revenues | 21,951 | 16,659 | 14,078 | |||||||||||
Benefit (provision) for credit losses | 1,041 | (1,452) | 746 | |||||||||||
Non-interest expense | ||||||||||||||
Salaries and employee benefits | (1,398) | (1,344) | (1,434) | |||||||||||
Other administrative expense | (1,253) | (1,191) | (1,130) | |||||||||||
Total administrative expense | (2,651) | (2,535) | (2,564) | |||||||||||
Credit enhancement expense | (1,518) | (1,058) | (749) | |||||||||||
Benefit for (decrease in) credit enhancement recoveries | (542) | 323 | 41 | |||||||||||
REO operations income (expense) | (12) | (149) | (229) | |||||||||||
Legislated 10 basis point fee expense | (2,342) | (1,836) | (1,617) | |||||||||||
Other expense | (728) | (723) | (657) | |||||||||||
Non-interest expense | (7,793) | (5,978) | (5,775) | |||||||||||
Income (loss) before income tax (expense) benefit | 15,199 | 9,229 | 9,049 | |||||||||||
Income tax (expense) benefit | (3,090) | (1,903) | (1,835) | |||||||||||
Net income (loss) | 12,109 | 7,326 | 7,214 | |||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | (489) | 205 | 573 | |||||||||||
Comprehensive income (loss) | $11,620 | $7,531 | $7,787 | |||||||||||
Net income (loss) | $12,109 | $7,326 | $7,214 | |||||||||||
Future increase in senior preferred stock liquidation preference | (11,620) | (7,291) | (7,787) | |||||||||||
Net income (loss) attributable to common stockholders | $489 | $35 | ($573) | |||||||||||
Net income (loss) per common share | $0.15 | $0.01 | ($0.18) | |||||||||||
Weighted average common shares outstanding (in millions) | 3,234 | 3,234 | 3,234 |
FREDDIE MAC | 2021 Form 10-K | 148 |
Financial Statements | Consolidated Balance Sheets |
December 31, | |||||||||||
(In millions, except share-related amounts) | 2021 | 2020 | |||||||||
Assets | |||||||||||
Cash and cash equivalents (includes $1,695 and $17,379 of restricted cash and cash equivalents) | $10,150 | $23,889 | |||||||||
Securities purchased under agreements to resell | 71,203 | 105,003 | |||||||||
Investment securities, at fair value | 53,015 | 59,825 | |||||||||
Mortgage loans held-for-sale (includes $10,498 and $14,199 at fair value) | 19,778 | 33,652 | |||||||||
Mortgage loans held-for-investment (net of allowance for credit losses of $4,947 and $5,732) | 2,828,331 | 2,350,236 | |||||||||
Accrued interest receivable | 7,474 | 7,754 | |||||||||
Deferred tax assets, net | 6,214 | 6,557 | |||||||||
Other assets (includes $6,594 and $6,980 at fair value) | 29,421 | 40,499 | |||||||||
Total assets | $3,025,586 | $2,627,415 | |||||||||
Liabilities and equity | |||||||||||
Liabilities | |||||||||||
Accrued interest payable | $6,268 | $6,210 | |||||||||
Debt (includes $2,478 and $2,592 at fair value) | 2,980,185 | 2,592,546 | |||||||||
Other liabilities (includes $287 and $958 at fair value) | 11,100 | 12,246 | |||||||||
Total liabilities | 2,997,553 | 2,611,002 | |||||||||
Commitments and contingencies (Notes 5, 9, 18) | |||||||||||
Equity | |||||||||||
Senior preferred stock (liquidation preference of $97,959 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) | (54,993) | (67,102) | |||||||||
AOCI, net of taxes, related to: | |||||||||||
Available-for-sale securities | 297 | 810 | |||||||||
Other | (143) | (167) | |||||||||
AOCI, net of taxes | 154 | 643 | |||||||||
Treasury stock, at cost, 75,804,333 shares and 75,804,594 shares | (3,885) | (3,885) | |||||||||
Total equity | 28,033 | 16,413 | |||||||||
Total liabilities and equity | $3,025,586 | $2,627,415 |
December 31, | |||||||||||
(In millions) | 2021 | 2020 | |||||||||
Consolidated Balance Sheet Line Item | |||||||||||
Assets: | |||||||||||
Mortgage loans held-for-investment | $2,784,626 | $2,273,347 | |||||||||
All other assets | 54,300 | 83,982 | |||||||||
Total assets of consolidated VIEs | $2,838,926 | $2,357,329 | |||||||||
Liabilities: | |||||||||||
Debt | $2,803,054 | $2,308,176 | |||||||||
All other liabilities | 5,823 | 5,610 | |||||||||
Total liabilities of consolidated VIEs | $2,808,877 | $2,313,786 |
FREDDIE MAC | 2021 Form 10-K | 149 |
Financial Statements | 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, 2018 | 1 | 464 | 650 | $72,648 | $14,109 | $— | $— | ($78,260) | ($135) | ($3,885) | $4,477 | |||||||||||||||||||||||||||
Comprehensive income (loss): | ||||||||||||||||||||||||||||||||||||||
Net income (loss) | — | — | — | — | — | — | — | 7,214 | — | — | 7,214 | |||||||||||||||||||||||||||
Other comprehensive income (loss): | ||||||||||||||||||||||||||||||||||||||
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $177 million) | — | — | — | — | — | — | — | — | 668 | — | 668 | |||||||||||||||||||||||||||
Reclassification adjustment for gains on available-for-sale securities included in net income (net of taxes of $35 million) | — | — | — | — | — | — | — | — | (133) | — | (133) | |||||||||||||||||||||||||||
Other (net of taxes of $10 million) | — | — | — | — | — | — | — | — | 38 | — | 38 | |||||||||||||||||||||||||||
Comprehensive income (loss) | — | — | — | — | — | — | — | 7,214 | 573 | — | 7,787 | |||||||||||||||||||||||||||
Senior preferred stock dividends paid | — | — | — | — | — | — | — | (3,142) | — | — | (3,142) | |||||||||||||||||||||||||||
Ending 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) | — | — | — | — | — | — | — | 7,326 | — | — | 7,326 | |||||||||||||||||||||||||||
Other comprehensive income (loss): | ||||||||||||||||||||||||||||||||||||||
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $133 million) | — | — | — | — | — | — | — | — | 502 | — | 502 | |||||||||||||||||||||||||||
Reclassification adjustment for gains on available-for-sale securities included in net income (net of taxes of $83 million) | — | — | — | — | — | — | — | — | (310) | — | (310) | |||||||||||||||||||||||||||
Other (net of taxes of $6 million) | — | — | — | — | — | — | — | — | 13 | — | 13 | |||||||||||||||||||||||||||
Comprehensive income (loss) | — | — | — | — | — | — | — | 7,326 | 205 | — | 7,531 | |||||||||||||||||||||||||||
Cumulative effect from adoption of CECL | — | — | — | — | — | — | — | (240) | — | — | (240) | |||||||||||||||||||||||||||
Ending 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) | — | — | — | — | — | — | — | 12,109 | — | — | 12,109 | |||||||||||||||||||||||||||
Other comprehensive income (loss): | ||||||||||||||||||||||||||||||||||||||
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $36 million) | — | — | — | — | — | — | — | — | (134) | — | (134) | |||||||||||||||||||||||||||
Reclassification adjustment for gains on available-for-sale securities included in net income (net of taxes of $101 million) | — | — | — | — | — | — | — | — | (379) | — | (379) | |||||||||||||||||||||||||||
Other (net of taxes of $4 million) | — | — | — | — | — | — | — | — | 24 | — | 24 | |||||||||||||||||||||||||||
Comprehensive income (loss) | — | — | — | — | — | — | — | 12,109 | (489) | — | 11,620 | |||||||||||||||||||||||||||
Ending balance at December 31, 2021 | 1 | 464 | 650 | $72,648 | $14,109 | $0 | $0 | ($54,993) | $154 | ($3,885) | $28,033 |
FREDDIE MAC | 2021 Form 10-K | 150 |
Financial Statements | Consolidated Statements of Cash Flows |
Year Ended December 31, | ||||||||||||||
(In millions) | 2021 | 2020 | 2019 | |||||||||||
Cash flows from operating activities | ||||||||||||||
Net income (loss) | $12,109 | $7,326 | $7,214 | |||||||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||||||||||||||
Amortization of cost basis adjustments | (1,922) | 214 | (466) | |||||||||||
(Benefit) provision for credit losses | (1,041) | 1,452 | (746) | |||||||||||
Investment (gains) losses, net | (4,312) | (3,390) | (1,100) | |||||||||||
(Benefit for) decrease in credit enhancement recoveries | 557 | (289) | (2) | |||||||||||
Hedge accounting earnings mismatch | 147 | (162) | (288) | |||||||||||
Deferred income tax expense (benefit) | 473 | (590) | 817 | |||||||||||
Purchases of mortgage loans acquired as held-for-sale | (59,270) | (69,908) | (65,516) | |||||||||||
Proceeds from sales of mortgage loans acquired as held-for-sale | 69,891 | 68,065 | 71,557 | |||||||||||
Proceeds from repayments of mortgage loans acquired as held-for-sale | 390 | 116 | 517 | |||||||||||
Payments to servicers for pre-foreclosure expense and servicer incentive fees | (340) | (232) | (282) | |||||||||||
Change in accrued interest receivable | 396 | (1,046) | (120) | |||||||||||
Change in interest payable | 57 | (238) | 177 | |||||||||||
Change in income taxes receivable | (586) | 845 | 712 | |||||||||||
Other, net | (196) | (1,256) | (277) | |||||||||||
Net cash provided by (used in) operating activities | 16,353 | 907 | 12,197 | |||||||||||
Cash flows from investing activities | ||||||||||||||
Purchases of investment securities | (124,710) | (159,202) | (111,136) | |||||||||||
Proceeds from sales of investment securities | 154,352 | 175,422 | 97,274 | |||||||||||
Proceeds from maturities and repayments of investment securities | 7,701 | 31,504 | 18,786 | |||||||||||
Purchases of mortgage loans acquired as held-for-investment | (542,222) | (695,645) | (228,628) | |||||||||||
Proceeds from sales of mortgage loans acquired as held-for-investment | 9,255 | 11,657 | 15,218 | |||||||||||
Proceeds from repayments of mortgage loans acquired as held-for-investment | 757,186 | 744,571 | 348,387 | |||||||||||
Advances under secured lending arrangements | (264,790) | (144,828) | (54,176) | |||||||||||
Repayments of secured lending arrangements | 501 | 1,515 | 1,275 | |||||||||||
Net proceeds from dispositions of real estate owned and other recoveries | 244 | 670 | 1,150 | |||||||||||
Net (increase) decrease in securities purchased under agreements to resell | 26,467 | (39,143) | (31,343) | |||||||||||
Derivative premiums and terminations, swap collateral, and exchange settlement payments, net | 1,070 | (9,185) | (8,163) | |||||||||||
Other, net | (804) | (691) | (492) | |||||||||||
Net cash provided by (used in) investing activities | 24,250 | (83,355) | 48,152 | |||||||||||
Cash flows from financing activities | ||||||||||||||
Proceeds from issuance of debt securities of consolidated trusts held by third parties | 825,632 | 811,707 | 264,373 | |||||||||||
Repayments and redemptions of debt securities of consolidated trusts held by third parties | (782,545) | (713,382) | (351,099) | |||||||||||
Proceeds from issuance of debt of Freddie Mac | 23,153 | 465,260 | 554,812 | |||||||||||
Repayments of debt of Freddie Mac | (127,911) | (452,548) | (531,103) | |||||||||||
Net increase (decrease) in securities sold under agreements to repurchase | 7,333 | (9,843) | 3,856 | |||||||||||
Payment of cash dividends on senior preferred stock | — | — | (3,142) | |||||||||||
Other, net | (4) | (46) | (130) | |||||||||||
Net cash provided by (used in) financing activities | (54,342) | 101,148 | (62,433) | |||||||||||
Net (decrease) increase in cash and cash equivalents (includes restricted cash and cash equivalents) | (13,739) | 18,700 | (2,084) | |||||||||||
Cash and cash equivalents (includes restricted cash and cash equivalents) at the beginning of year | 23,889 | 5,189 | 7,273 | |||||||||||
Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period | $10,150 | $23,889 | $5,189 | |||||||||||
Supplemental cash flow information | ||||||||||||||
Cash paid for: | ||||||||||||||
Debt interest | $69,093 | $70,073 | $70,918 | |||||||||||
Income taxes | 3,204 | 1,690 | 306 | |||||||||||
Non-cash investing and financing activities (Notes 4, 7, and 8) |
FREDDIE MAC | 2021 Form 10-K | 151 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 1 |
FREDDIE MAC | 2021 Form 10-K | 152 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 1 |
Note | Accounting Policy | ||||
Securitization Activities and Consolidation | |||||
Note 4 | Mortgage Loans | ||||
Note 5 | Guarantees and Other Off-Balance Sheet Credit Exposures | ||||
Note 6 | Allowance for Credit Losses | ||||
Note 7 | Investment Securities | ||||
Note 8 | Debt | ||||
Note 9 | Derivatives | ||||
Note 10 | Collateralized Agreements and Offsetting Arrangements | ||||
Note 12 | Stockholders' Equity | ||||
Note 12 | Earnings Per Share | ||||
Note 14 | Income Taxes | ||||
Note 15 | Segment Reporting | ||||
Note 17 | Fair Value Disclosures |
Recently Adopted Accounting Guidance | |||||||||||
Standard | Description | Date of Adoption | Effect on 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 consolidated financial statements. | ||||||||
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 consolidated financial statements. |
FREDDIE MAC | 2021 Form 10-K | 153 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 2 |
FREDDIE MAC | 2021 Form 10-K | 154 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 2 |
FREDDIE MAC | 2021 Form 10-K | 155 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 2 |
FREDDIE MAC | 2021 Form 10-K | 156 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 2 |
FREDDIE MAC | 2021 Form 10-K | 157 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 2 |
FREDDIE MAC | 2021 Form 10-K | 158 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 2 |
FREDDIE MAC | 2021 Form 10-K | 159 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 3 |
FREDDIE MAC | 2021 Form 10-K | 160 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 3 |
FREDDIE MAC | 2021 Form 10-K | 161 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 3 |
FREDDIE MAC | 2021 Form 10-K | 162 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 3 |
FREDDIE MAC | 2021 Form 10-K | 163 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 3 |
(In millions) | December 31, 2021 | December 31, 2020 | |||||||||
Consolidated Balance Sheet Line Item | |||||||||||
Assets: | |||||||||||
Cash and cash equivalents (includes $1,595 and $17,289 of restricted cash and cash equivalents) | $1,596 | $17,290 | |||||||||
Securities purchased under agreements to resell | 34,000 | 38,487 | |||||||||
Investment securities, at fair value | 420 | 591 | |||||||||
Mortgage loans held-for-investment, net | 2,784,626 | 2,273,347 | |||||||||
Accrued interest receivable, net | 7,019 | 7,134 | |||||||||
Other assets | 11,265 | 20,480 | |||||||||
Total assets of consolidated VIEs | $2,838,926 | $2,357,329 | |||||||||
Liabilities: | |||||||||||
Accrued interest payable | $5,823 | $5,610 | |||||||||
Debt | 2,803,054 | 2,308,176 | |||||||||
Total liabilities of consolidated VIEs | $2,808,877 | $2,313,786 |
(In millions) | December 31, 2021 | December 31, 2020 | |||||||||
Assets and Liabilities Recorded on our Consolidated Balance Sheets(1) | |||||||||||
Assets: | |||||||||||
Investment securities, at fair value | $16,506 | $28,459 | |||||||||
Accrued interest receivable, net | 220 | 239 | |||||||||
Other assets(2) | 5,589 | 5,614 | |||||||||
Liabilities: | |||||||||||
Debt | 67 | — | |||||||||
Other liabilities(3) | 5,172 | 4,562 |
FREDDIE MAC | 2021 Form 10-K | 164 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 4 |
December 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||
Held-for-sale UPB | $5,446 | $14,871 | $20,317 | $10,702 | $23,789 | $34,491 | ||||||||||||||||||||
Cost basis and fair value adjustments, net | (813) | 274 | (539) | (1,637) | 798 | (839) | ||||||||||||||||||||
Total held-for-sale loans, net | 4,633 | 15,145 | 19,778 | 9,065 | 24,587 | 33,652 | ||||||||||||||||||||
Held-for-investment UPB | 2,742,851 | 26,657 | 2,769,508 | 2,271,576 | 21,923 | 2,293,499 | ||||||||||||||||||||
Cost basis adjustments | 63,684 | 86 | 63,770 | 62,415 | 54 | 62,469 | ||||||||||||||||||||
Allowance for credit losses | (4,913) | (34) | (4,947) | (5,628) | (104) | (5,732) | ||||||||||||||||||||
Total held-for-investment loans, net | 2,801,622 | 26,709 | 2,828,331 | 2,328,363 | 21,873 | 2,350,236 | ||||||||||||||||||||
Total mortgage loans, net | $2,806,255 | $41,854 | $2,848,109 | $2,337,428 | $46,460 | $2,383,888 |
FREDDIE MAC | 2021 Form 10-K | 165 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 4 |
Year Ended December 31, | ||||||||||||||
(In billions) | 2021 | 2020 | 2019 | |||||||||||
Single-Family | ||||||||||||||
Purchases: | ||||||||||||||
Held-for-investment loans | $1,215.3 | $1,085.9 | $451.2 | |||||||||||
Reclassified from held-for-investment to held-for-sale(1) | 1.6 | 4.6 | 13.6 | |||||||||||
Sale of held-for-sale loans(2) | 5.5 | 9.0 | 13.1 | |||||||||||
Multifamily | ||||||||||||||
Purchases: | ||||||||||||||
Held-for-investment loans | 9.4 | 9.6 | 9.5 | |||||||||||
Held-for-sale loans | 59.1 | 69.7 | 65.3 | |||||||||||
Reclassified from held-for-investment to held-for-sale(1) | 2.6 | 2.7 | 1.9 | |||||||||||
Sale of held-for-sale loans(3) | 70.4 | 66.7 | 71.3 |
2021 | 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) | $1,642 | $66 | $— | $4,628 | $300 | $— | ||||||||||||||||||||
Held-for-sale to held-for-investment(2) | 266 | 18 | — | 1,721 | 147 | 34 | ||||||||||||||||||||
Multifamily reclassifications from: | ||||||||||||||||||||||||||
Held-for-investment to held-for-sale | 2,602 | 7 | — | 2,703 | 9 | (6) | ||||||||||||||||||||
Held-for-sale to held-for-investment | 76 | — | — | 775 | (1) | 4 |
FREDDIE MAC | 2021 Form 10-K | 166 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 4 |
Non-accrual Amortized Cost Basis | Interest Income Recognized(1) | |||||||||||||
(In millions) | January 1, 2021 | December 31, 2021 | Year Ended December 31, 2021 | |||||||||||
Single-Family: | ||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $12,151 | $17,013 | $197 | |||||||||||
15-year amortizing fixed-rate | 696 | 844 | 7 | |||||||||||
Adjustable-rate | 193 | 233 | 1 | |||||||||||
Alt-A, interest-only, and option ARM | 637 | 560 | 7 | |||||||||||
Total Single-Family | 13,677 | 18,650 | 212 | |||||||||||
Total Multifamily | — | — | — | |||||||||||
Total Single-Family and Multifamily | $13,677 | $18,650 | $212 |
Non-accrual Amortized Cost Basis | Interest Income Recognized(1) | |||||||||||||
(In millions) | January 1, 2020 | December 31, 2020 | Year Ended December 31, 2020 | |||||||||||
Single-Family: | ||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $5,598 | $12,151 | $235 | |||||||||||
15-year amortizing fixed-rate | 242 | 696 | 10 | |||||||||||
Adjustable-rate | 91 | 193 | 3 | |||||||||||
Alt-A, interest-only, and option ARM | 439 | 637 | 10 | |||||||||||
Total Single-Family | 6,370 | 13,677 | 258 | |||||||||||
Total Multifamily | 13 | — | — | |||||||||||
Total Single-Family and Multifamily | $6,383 | $13,677 | $258 |
FREDDIE MAC | 2021 Form 10-K | 167 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 4 |
Accrued Interest Receivable, Net | Accrued Interest Receivable Related Charge-offs | |||||||||||||||||||
(In millions) | December 31, 2021 | December 31, 2020 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | ||||||||||||||||
Single-Family loans | $7,065 | $7,292 | ($742) | ($333) | ||||||||||||||||
Multifamily loans | 125 | 139 | — | — |
FREDDIE MAC | 2021 Form 10-K | 168 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 4 |
December 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 | $260,244 | $397,680 | $77,812 | $39,143 | $61,434 | $405,467 | $1,241,780 | |||||||||||||||||||
> 60 to 80 | 467,193 | 334,560 | 60,570 | 18,914 | 12,715 | 17,354 | 911,306 | |||||||||||||||||||
> 80 to 90 | 124,074 | 28,944 | 2,034 | 482 | 208 | 818 | 156,560 | |||||||||||||||||||
> 90 to 100 | 66,851 | 1,083 | 126 | 45 | 29 | 309 | 68,443 | |||||||||||||||||||
> 100 | 75 | 2 | 4 | 8 | 18 | 328 | 435 | |||||||||||||||||||
Total 20- and 30-year or more, amortizing fixed-rate | 918,437 | 762,269 | 140,546 | 58,592 | 74,404 | 424,276 | 2,378,524 | |||||||||||||||||||
15-year amortizing fixed-rate | ||||||||||||||||||||||||||
≤ 60 | 93,732 | 111,899 | 17,335 | 7,161 | 13,602 | 78,001 | 321,730 | |||||||||||||||||||
> 60 to 80 | 52,521 | 18,834 | 1,136 | 137 | 54 | 36 | 72,718 | |||||||||||||||||||
> 80 to 90 | 3,785 | 168 | 6 | 2 | 2 | 3 | 3,966 | |||||||||||||||||||
> 90 to 100 | 598 | 2 | 1 | 1 | 1 | 2 | 605 | |||||||||||||||||||
> 100 | 4 | — | — | 1 | 1 | 3 | 9 | |||||||||||||||||||
Total 15-year amortizing fixed-rate | 150,640 | 130,903 | 18,478 | 7,302 | 13,660 | 78,045 | 399,028 | |||||||||||||||||||
Adjustable-rate | ||||||||||||||||||||||||||
≤ 60 | 2,054 | 1,554 | 727 | 543 | 1,657 | 10,011 | 16,546 | |||||||||||||||||||
> 60 to 80 | 2,435 | 535 | 209 | 90 | 190 | 151 | 3,610 | |||||||||||||||||||
> 80 to 90 | 417 | 16 | 6 | 3 | 4 | 2 | 448 | |||||||||||||||||||
> 90 to 100 | 116 | — | — | — | — | 1 | 117 | |||||||||||||||||||
> 100 | 1 | — | — | — | — | — | 1 | |||||||||||||||||||
Total Adjustable-rate | 5,023 | 2,105 | 942 | 636 | 1,851 | 10,165 | 20,722 | |||||||||||||||||||
Alt-A, Interest-only, and option ARM | ||||||||||||||||||||||||||
≤ 60 | — | — | — | — | — | 7,506 | 7,506 | |||||||||||||||||||
> 60 to 80 | — | — | — | — | — | 644 | 644 | |||||||||||||||||||
> 80 to 90 | — | — | — | — | — | 64 | 64 | |||||||||||||||||||
> 90 to 100 | — | — | — | — | — | 29 | 29 | |||||||||||||||||||
> 100 | — | — | — | — | — | 18 | 18 | |||||||||||||||||||
Total Alt-A, Interest-only, and option ARM | — | — | — | — | — | 8,261 | 8,261 | |||||||||||||||||||
Total Single-Family loans | $1,074,100 | $895,277 | $159,966 | $66,530 | $89,915 | $520,747 | $2,806,535 | |||||||||||||||||||
Total for all loan product types by Current LTV ratio: | ||||||||||||||||||||||||||
≤ 60 | $356,030 | $511,133 | $95,874 | $46,847 | $76,693 | $500,985 | $1,587,562 | |||||||||||||||||||
> 60 to 80 | 522,149 | 353,929 | 61,915 | 19,141 | 12,959 | 18,185 | 988,278 | |||||||||||||||||||
> 80 to 90 | 128,276 | 29,128 | 2,046 | 487 | 214 | 887 | 161,038 | |||||||||||||||||||
> 90 to 100 | 67,565 | 1,085 | 127 | 46 | 30 | 341 | 69,194 | |||||||||||||||||||
> 100 | 80 | 2 | 4 | 9 | 19 | 349 | 463 | |||||||||||||||||||
Total Single-Family loans | $1,074,100 | $895,277 | $159,966 | $66,530 | $89,915 | $520,747 | $2,806,535 |
FREDDIE MAC | 2021 Form 10-K | 169 |
Financial Statements | Notes to the 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 | 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 | 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 | |||||||||||||||||||
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 | — | — | — | — | — | 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 | 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 | 2021 Form 10-K | 170 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 4 |
December 31, 2021 | |||||||||||||||||||||||||||||
Year of Origination | Total | ||||||||||||||||||||||||||||
(In millions) | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | Revolving Loans | ||||||||||||||||||||||
Category: | |||||||||||||||||||||||||||||
Pass | $6,955 | $7,116 | $5,273 | $979 | $610 | $2,795 | $2,275 | $26,003 | |||||||||||||||||||||
Special mention | — | 40 | 372 | — | 3 | 42 | — | 457 | |||||||||||||||||||||
Substandard | — | 62 | 171 | 4 | 2 | 44 | — | 283 | |||||||||||||||||||||
Doubtful | — | — | — | — | — | — | — | — | |||||||||||||||||||||
Total | $6,955 | $7,218 | $5,816 | $983 | $615 | $2,881 | $2,275 | $26,743 |
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 |
December 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 Interest | Non-accrual With No Allowance(2) | |||||||||||||||||||
Single-Family: | ||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $2,338,076 | $14,833 | $3,214 | $22,401 | $2,378,524 | $5,784 | $857 | |||||||||||||||||||
15-year amortizing fixed-rate | 396,030 | 1,550 | 230 | 1,218 | 399,028 | 392 | 13 | |||||||||||||||||||
Adjustable-rate | 20,302 | 105 | 31 | 284 | 20,722 | 54 | 8 | |||||||||||||||||||
Alt-A, interest-only, and option ARM | 7,450 | 175 | 58 | 578 | 8,261 | 41 | 94 | |||||||||||||||||||
Total Single-Family | 2,761,858 | 16,663 | 3,533 | 24,481 | 2,806,535 | 6,271 | 972 | |||||||||||||||||||
Total Multifamily(3) | 26,743 | — | — | — | 26,743 | — | — | |||||||||||||||||||
Total Single-Family and Multifamily | $2,788,601 | $16,663 | $3,533 | $24,481 | $2,833,278 | $6,271 | $972 |
FREDDIE MAC | 2021 Form 10-K | 171 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 4 |
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 Interest | 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 |
FREDDIE MAC | 2021 Form 10-K | 172 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 4 |
2021 | 2020 | 2019 | ||||||||||||
Percentage of single-family loan modifications that were classified as TDRs with: | ||||||||||||||
Interest rate reductions and related term extensions | 13 | % | 15 | % | 9 | % | ||||||||
Principal forbearance and related interest rate reductions and term extensions | 33 | 22 | 23 | |||||||||||
Average coupon interest rate reduction | 0.4 | % | 0.3 | % | 0.1 | % | ||||||||
Average months of term extension | 155 | 179 | 180 |
FREDDIE MAC | 2021 Form 10-K | 173 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 4 |
Year Ended December 31, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||||||||||||||
(Dollars in millions) | Number of Loans | Post-TDR Amortized Cost Basis | Number of Loans | Post-TDR Amortized Cost Basis | Number of Loans | Post-TDR Amortized Cost Basis | |||||||||||||||||||||||
Single-Family(1)(2): | |||||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 13,448 | $2,368 | 22,471 | $4,169 | 25,924 | $4,331 | |||||||||||||||||||||||
15-year amortizing fixed-rate | 1,620 | 167 | 2,584 | 283 | 3,018 | 296 | |||||||||||||||||||||||
Adjustable-rate | 172 | 31 | 334 | 59 | 529 | 86 | |||||||||||||||||||||||
Alt-A, interest-only, and option ARM | 508 | 65 | 1,300 | 204 | 1,523 | 219 | |||||||||||||||||||||||
Total Single-Family | 15,748 | 2,631 | 26,689 | 4,715 | 30,994 | 4,932 | |||||||||||||||||||||||
Multifamily | — | — | — | — | — | — |
Year Ended December 31, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||||||||||||||
(Dollars in millions) | Number of Loans | Post-TDR Amortized Cost Basis | Number of Loans | Post-TDR Amortized Cost Basis | Number of Loans | Post-TDR Amortized Cost Basis | |||||||||||||||||||||||
Single-Family: | |||||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 3,044 | $535 | 10,339 | $1,869 | 13,428 | $1,702 | |||||||||||||||||||||||
15-year amortizing fixed-rate | 121 | 13 | 482 | 58 | 451 | 36 | |||||||||||||||||||||||
Adjustable-rate | 30 | 5 | 130 | 19 | 132 | 15 | |||||||||||||||||||||||
Alt-A, interest-only, and option ARM | 337 | 53 | 749 | 144 | 871 | 129 | |||||||||||||||||||||||
Total Single-Family | 3,532 | 606 | 11,700 | 2,090 | 14,882 | 1,882 | |||||||||||||||||||||||
Multifamily | — | — | — | — | — | — |
FREDDIE MAC | 2021 Form 10-K | 174 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 5 |
FREDDIE MAC | 2021 Form 10-K | 175 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 5 |
December 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 | $27,975 | $398 | 39 | $29,739 | $401 | 39 | ||||||||||||||||||||
Other mortgage-related guarantees | 10,588 | 251 | 30 | 9,215 | 193 | 30 | ||||||||||||||||||||
Total Single-Family | $38,563 | $649 | $38,954 | $594 | ||||||||||||||||||||||
Multifamily: | ||||||||||||||||||||||||||
Securitization activity guarantees | $317,006 | $4,663 | 38 | $287,334 | $4,031 | 39 | ||||||||||||||||||||
Other mortgage-related guarantees | 10,456 | 404 | 32 | 10,721 | 425 | 33 | ||||||||||||||||||||
Total Multifamily | $327,462 | $5,067 | $298,055 | $4,456 | ||||||||||||||||||||||
Other guarantees | $69,799 | $1,652 | 30 | $47,703 | $794 | 30 | ||||||||||||||||||||
Fannie Mae securities backing Freddie Mac resecuritization products | 111,150 | — | 40 | 85,841 | — | 41 |
FREDDIE MAC | 2021 Form 10-K | 176 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 5 |
December 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 | $38,964 | $2,040 | $692 | $2,341 | $44,037 | |||||||||||||||
Multifamily(2) | 370,541 | 47 | 7 | 317 | 370,912 | |||||||||||||||
Total | $409,505 | $2,087 | $699 | $2,658 | $414,949 |
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(2) | 339,614 | 87 | 62 | 557 | 340,320 | |||||||||||||||
Total | $376,801 | $2,291 | $1,007 | $4,479 | $384,578 |
FREDDIE MAC | 2021 Form 10-K | 177 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 6 |
December 31, 2021 | December 31, 2020 | December 31, 2019 | ||||||||||||||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | |||||||||||||||||||||||||||||
Beginning balance(1) | $6,353 | $200 | $6,553 | $5,233 | $68 | $5,301 | $6,176 | $15 | $6,191 | |||||||||||||||||||||||||||||
Provision (benefit) for credit losses | (919) | (122) | (1,041) | 1,320 | 132 | 1,452 | (749) | 3 | (746) | |||||||||||||||||||||||||||||
Charge-offs | (1,107) | — | (1,107) | (592) | — | (592) | (1,737) | — | (1,737) | |||||||||||||||||||||||||||||
Recoveries collected | 197 | — | 197 | 210 | — | 210 | 452 | — | 452 | |||||||||||||||||||||||||||||
Other(2) | 916 | — | 916 | 182 | — | 182 | 126 | — | 126 | |||||||||||||||||||||||||||||
Ending balance | $5,440 | $78 | $5,518 | $6,353 | $200 | $6,553 | $4,268 | $18 | $4,286 | |||||||||||||||||||||||||||||
Components of the ending balance of the allowance for credit losses: | ||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-investment | $4,913 | $34 | $4,947 | $5,628 | $104 | $5,732 | $4,222 | $12 | $4,234 | |||||||||||||||||||||||||||||
Advances of pre-foreclosure costs | 450 | — | 450 | 536 | — | 536 | — | — | — | |||||||||||||||||||||||||||||
Accrued interest receivable on mortgage loans | 24 | — | 24 | 140 | — | 140 | — | — | — | |||||||||||||||||||||||||||||
Off-balance sheet credit exposures | 53 | 44 | 97 | 49 | 96 | 145 | 46 | 6 | 52 | |||||||||||||||||||||||||||||
Total | $5,440 | $78 | $5,518 | $6,353 | $200 | $6,553 | $4,268 | $18 | $4,286 |
FREDDIE MAC | 2021 Form 10-K | 178 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 6 |
FREDDIE MAC | 2021 Form 10-K | 179 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 6 |
FREDDIE MAC | 2021 Form 10-K | 180 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 6 |
FREDDIE MAC | 2021 Form 10-K | 181 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 6 |
FREDDIE MAC | 2021 Form 10-K | 182 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 6 |
Year Ended December 31, 2019 | ||||||||||||||
(In millions) | Average Recorded Investment | Interest Income Recognized | Interest Income Recognized on Cash Basis(3) | |||||||||||
Single-Family: | ||||||||||||||
With no allowance recorded:(1) | ||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $2,450 | $262 | $7 | |||||||||||
15-year amortizing fixed-rate | 20 | 1 | — | |||||||||||
Adjustable rate | 200 | 11 | — | |||||||||||
Alt-A, interest-only, and option ARM | 891 | 66 | 1 | |||||||||||
Total with no allowance recorded | 3,561 | 340 | 8 | |||||||||||
With an allowance recorded:(2) | ||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 32,960 | 1,805 | 156 | |||||||||||
15-year amortizing fixed-rate | 653 | 22 | 4 | |||||||||||
Adjustable rate | 135 | 6 | 2 | |||||||||||
Alt-A, interest-only, and option ARM | 3,917 | 226 | 20 | |||||||||||
Total with an allowance recorded | 37,665 | 2,059 | 182 | |||||||||||
Combined Single-Family: | ||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 35,410 | 2,067 | 163 | |||||||||||
15-year amortizing fixed-rate | 673 | 23 | 4 | |||||||||||
Adjustable rate | 335 | 17 | 2 | |||||||||||
Alt-A, interest-only, and option ARM | 4,808 | 292 | 21 | |||||||||||
Total Single-Family | 41,226 | 2,399 | 190 | |||||||||||
Multifamily: | ||||||||||||||
With no allowance recorded (1) | 83 | 5 | 1 | |||||||||||
With an allowance recorded | — | — | — | |||||||||||
Total Multifamily | 83 | 5 | 1 | |||||||||||
Total Single-Family and Multifamily | $41,309 | $2,404 | $191 |
FREDDIE MAC | 2021 Form 10-K | 183 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 7 |
(In millions) | December 31, 2021 | December 31, 2020 | |||||||||
Trading securities | $49,003 | $44,458 | |||||||||
Available-for-sale securities | 4,012 | 15,367 | |||||||||
Total fair value of investment securities | $53,015 | $59,825 |
(In millions) | December 31, 2021 | December 31, 2020 | |||||||||
Mortgage-related securities | $16,231 | $17,505 | |||||||||
Non-mortgage-related securities | 32,772 | 26,953 | |||||||||
Total fair value of trading securities | $49,003 | $44,458 |
FREDDIE MAC | 2021 Form 10-K | 184 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 7 |
(In millions) | Amortized Cost Basis | Gross Unrealized Gains in Other Comprehensive Income | Gross Unrealized Losses in Other Comprehensive Income | Fair Value | Accrued Interest Receivable | |||||||||||||||
December 31, 2021 | $3,638 | $376 | ($2) | $4,012 | $10 | |||||||||||||||
December 31, 2020 | 14,344 | 1,027 | (4) | 15,367 | 40 |
Year Ended December 31, | ||||||||||||||
(In millions) | 2021 | 2020 | 2019 | |||||||||||
Gross realized gains | $540 | $501 | $219 | |||||||||||
Gross realized losses | (60) | (108) | (49) | |||||||||||
Net realized gains | $480 | $393 | $170 |
FREDDIE MAC | 2021 Form 10-K | 185 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 8 |
December 31, | |||||||||||
(In millions) | 2021 | 2020 | |||||||||
Debt securities of consolidated trusts held by third parties | $2,803,054 | $2,308,176 | |||||||||
Debt of Freddie Mac: | |||||||||||
Short-term debt | — | 4,955 | |||||||||
Long-term debt | 177,131 | 279,415 | |||||||||
Total Debt of Freddie Mac | 177,131 | 284,370 | |||||||||
Total debt | $2,980,185 | $2,592,546 |
FREDDIE MAC | 2021 Form 10-K | 186 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 8 |
December 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 | 2022 - 2061 | $2,178,150 | $2,235,903 | 2.63 | % | 2021 - 2060 | $1,799,065 | $1,855,438 | 3.07 | % | ||||||||||||||||||||||
20-year fixed-rate | 2022 - 2042 | 129,193 | 132,410 | 2.40 | 2021 - 2041 | 97,520 | 100,498 | 2.84 | ||||||||||||||||||||||||
15-year fixed-rate | 2022 - 2037 | 379,805 | 388,893 | 2.14 | 2021 - 2036 | 303,142 | 310,612 | 2.46 | ||||||||||||||||||||||||
Adjustable-rate | 2022 - 2052 | 21,546 | 22,038 | 2.30 | 2021 - 2051 | 23,964 | 24,484 | 2.76 | ||||||||||||||||||||||||
Interest-only | 2026 - 2051 | 2,702 | 2,883 | 2.42 | 2026 - 2041 | 3,671 | 3,736 | 3.15 | ||||||||||||||||||||||||
FHA/VA | 2022 - 2051 | 822 | 838 | 3.61 | 2021 - 2050 | 752 | 769 | 4.04 | ||||||||||||||||||||||||
Total Single-Family | 2,712,218 | 2,782,965 | 2,228,114 | 2,295,537 | ||||||||||||||||||||||||||||
Multifamily | 2022 - 2051 | 19,838 | 20,089 | 2.17 | 2021 - 2050 | 12,488 | 12,639 | 2.43 | ||||||||||||||||||||||||
Total debt securities of consolidated trusts held by third parties | $2,732,056 | $2,803,054 | $2,240,602 | $2,308,176 |
FREDDIE MAC | 2021 Form 10-K | 187 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 8 |
December 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
(Dollars in millions) | Par Value | Carrying Amount | Weighted Average Effective Rate | Par Value | Carrying Amount | Weighted Average Effective Rate | ||||||||||||||||||||
Short-term debt: | ||||||||||||||||||||||||||
Discount notes and Reference Bills | $— | $— | — | % | $11 | $11 | 0.69 | % | ||||||||||||||||||
Medium-term notes | — | — | — | 4,944 | 4,944 | 1.31 | ||||||||||||||||||||
Securities sold under agreements to repurchase | 7,333 | 7,333 | (0.10) | — | — | — | ||||||||||||||||||||
Offsetting arrangements(1) | (7,333) | (7,333) | — | — | ||||||||||||||||||||||
Total short-term debt | $— | $— | — | % | $4,955 | $4,955 | 1.31 | % |
December 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||
(Dollars in millions) | Contractual Maturity | Par Value | Carrying Amount(1) | Weighted Average Effective Rate(2) | Contractual Maturity | Par Value | Carrying Amount(1) | Weighted Average Effective Rate(2) | ||||||||||||||||||||||||
Long-term debt: | ||||||||||||||||||||||||||||||||
Fixed-rate: | ||||||||||||||||||||||||||||||||
Medium-term notes — callable | 2022 - 2050 | $68,411 | $68,364 | 0.80 | % | 2021 - 2050 | $122,967 | $122,895 | 0.71 | % | ||||||||||||||||||||||
Medium-term notes — non-callable | 2022 - 2028 | 6,551 | 6,573 | 0.54 | 2021 - 2028 | 7,710 | 7,758 | 0.75 | ||||||||||||||||||||||||
Reference Notes securities — non-callable | 2022 - 2032 | 59,412 | 59,413 | 1.19 | 2021 - 2032 | 64,162 | 64,124 | 1.55 | ||||||||||||||||||||||||
STACR and SCR debt notes | 2031 - 2042 | 103 | 106 | 12.69 | 2031 - 2042 | 111 | 114 | 12.71 | ||||||||||||||||||||||||
Variable-rate: | ||||||||||||||||||||||||||||||||
Medium-term notes — callable | 2022 - 2025 | 166 | 166 | 1.75 | 2021 - 2025 | 371 | 371 | 1.93 | ||||||||||||||||||||||||
Medium-term notes — non-callable | 2022 - 2026 | 33,090 | 33,087 | 0.23 | 2021 - 2026 | 68,838 | 68,824 | 0.63 | ||||||||||||||||||||||||
STACR | 2023 - 2042 | 9,036 | 8,875 | 4.13 | 2023 - 2042 | 12,377 | 12,228 | 4.10 | ||||||||||||||||||||||||
Zero-coupon: | ||||||||||||||||||||||||||||||||
Medium-term notes — non-callable | 2022 - 2039 | 4,846 | 2,740 | 6.05 | 2021 - 2039 | 4,850 | 2,578 | 5.99 | ||||||||||||||||||||||||
Other | 2047 - 2051 | — | 74 | 0.45 | 2047 - 2050 | — | 57 | 0.49 | ||||||||||||||||||||||||
Hedging-related basis adjustments | N/A | (2,267) | N/A | 466 | ||||||||||||||||||||||||||||
Total long-term debt | $181,615 | $177,131 | 1.07 | % | $281,386 | $279,415 | 1.09 | % |
FREDDIE MAC | 2021 Form 10-K | 188 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 8 |
(In millions) | Amounts | |||||||
Annual Maturities | ||||||||
Long-term debt (excluding STACR and SCR debt notes): | ||||||||
2022 | $48,625 | |||||||
2023 | 38,688 | |||||||
2024 | 13,274 | |||||||
2025 | 35,436 | |||||||
2026 | 4,717 | |||||||
Thereafter | 31,736 | |||||||
Debt securities of consolidated trusts held by third parties, STACR, and SCR debt notes(1) | 2,741,195 | |||||||
Total | 2,913,671 | |||||||
Net discounts, premiums, debt issuance costs, hedge-related, and other basis adjustments(2) | 66,514 | |||||||
Total debt securities of consolidated trusts held by third parties, STACR, SCR and long-term debt | $2,980,185 |
FREDDIE MAC | 2021 Form 10-K | 189 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 9 |
FREDDIE MAC | 2021 Form 10-K | 190 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 9 |
FREDDIE MAC | 2021 Form 10-K | 191 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 9 |
December 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 | $561,393 | $1,748 | ($3,319) | $559,596 | $2,639 | ($7,091) | ||||||||||||||||||||
Written options | 34,861 | — | (1,597) | 18,259 | — | (735) | ||||||||||||||||||||
Purchased options (1) | 137,873 | 3,585 | — | 169,995 | 5,265 | — | ||||||||||||||||||||
Futures | 126,528 | — | — | 181,702 | — | — | ||||||||||||||||||||
Total interest-rate risk management derivatives | 860,655 | 5,333 | (4,916) | 929,552 | 7,904 | (7,826) | ||||||||||||||||||||
Mortgage commitment derivatives: | ||||||||||||||||||||||||||
Forward contracts to purchase mortgage loans | 7,582 | 15 | (5) | 37,122 | 183 | — | ||||||||||||||||||||
Forward contracts to purchase mortgage-related securities | 16,605 | 26 | (8) | 45,185 | 203 | — | ||||||||||||||||||||
Forward contracts to sell mortgage-related securities | 59,469 | 38 | (73) | 136,802 | 2 | (759) | ||||||||||||||||||||
Total mortgage commitment derivatives | 83,656 | 79 | (86) | 219,109 | 388 | (759) | ||||||||||||||||||||
CRT-related derivatives | 33,351 | 15 | (37) | 28,949 | 61 | (47) | ||||||||||||||||||||
Other | 4,335 | 2 | (21) | 4,029 | 2 | (16) | ||||||||||||||||||||
Total derivatives not designated as hedges | 981,997 | 5,429 | (5,060) | 1,181,639 | 8,355 | (8,648) | ||||||||||||||||||||
Designated as fair value hedges | ||||||||||||||||||||||||||
Interest-rate risk management derivatives: | ||||||||||||||||||||||||||
Swaps | 154,819 | 37 | (2,689) | 180,686 | 224 | (500) | ||||||||||||||||||||
Total derivatives designated as fair value hedges | 154,819 | 37 | (2,689) | 180,686 | 224 | (500) | ||||||||||||||||||||
Derivative interest receivable (payable)(2) | 360 | (413) | 455 | (523) | ||||||||||||||||||||||
Netting adjustments(3) | (5,366) | 7,880 | (7,829) | 8,717 | ||||||||||||||||||||||
Total derivative portfolio, net | $1,136,816 | $460 | ($282) | $1,362,325 | $1,205 | ($954) |
FREDDIE MAC | 2021 Form 10-K | 192 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 9 |
Year Ended December 31, | ||||||||||||||
(In millions) | 2021 | 2020 | 2019 | |||||||||||
Not designated as hedges | ||||||||||||||
Interest-rate risk management derivatives: | ||||||||||||||
Swaps | $2,851 | ($1,627) | ($3,085) | |||||||||||
Written options | (77) | (161) | (235) | |||||||||||
Purchased options | (982) | 2,404 | 423 | |||||||||||
Futures | 235 | (2,442) | (946) | |||||||||||
Total interest-rate risk management derivatives fair value gains (losses) | 2,027 | (1,826) | (3,843) | |||||||||||
Mortgage commitment derivatives | 713 | (1,856) | (452) | |||||||||||
CRT-related derivatives | (41) | 163 | (1) | |||||||||||
Other | 30 | 57 | 52 | |||||||||||
Total derivatives not designated as hedges fair value gains (losses) | 2,729 | (3,462) | (4,244) | |||||||||||
Accrual of periodic cash settlements on swaps(1) | (1,578) | (1,576) | (272) | |||||||||||
Total | $1,151 | ($5,038) | ($4,516) |
FREDDIE MAC | 2021 Form 10-K | 193 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 9 |
Year Ended December 31, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||||||||||||||
(In millions) | Interest Income | Interest Expense | Interest Income | Interest Expense | Interest Income | Interest Expense | |||||||||||||||||||||||
Total amounts of income and expense line items presented on our consolidated statements of comprehensive income in which the effects of fair value hedges are recorded: | $61,527 | ($43,947) | $62,340 | ($49,569) | $72,895 | ($61,047) | |||||||||||||||||||||||
Interest contracts on mortgage loans held-for-investment: | |||||||||||||||||||||||||||||
Gain or (loss) on fair value hedging relationships: | |||||||||||||||||||||||||||||
Hedged items | (457) | — | 5,071 | — | 4,569 | — | |||||||||||||||||||||||
Derivatives designated as hedging instruments | 529 | — | (4,836) | — | (4,309) | — | |||||||||||||||||||||||
Interest accruals on hedging instruments | (433) | — | (434) | — | (48) | — | |||||||||||||||||||||||
Discontinued hedge related basis adjustment amortization | (1,884) | — | (2,840) | — | (446) | — | |||||||||||||||||||||||
Interest contracts on debt: | |||||||||||||||||||||||||||||
Gain or (loss) on fair value hedging relationships: | |||||||||||||||||||||||||||||
Hedged Items | — | 2,698 | — | (49) | — | (1,038) | |||||||||||||||||||||||
Derivatives designated as hedging instruments | — | (2,895) | — | 11 | — | 1,231 | |||||||||||||||||||||||
Interest accruals on hedging instruments | — | 931 | — | 835 | — | (184) | |||||||||||||||||||||||
Discontinued hedge related basis adjustment amortization | — | 55 | — | 60 | — | 63 |
December 31, 2021 | |||||||||||||||||||||||||||||
Carrying Amount Assets / (Liabilities) | Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount | Closed Portfolio Under the Last-of-Layer Method | |||||||||||||||||||||||||||
(In millions) | Total | Under the Last-of-Layer Method | Discontinued - Hedge Related | Total Amount by Amortized Cost Basis | Designated Amount by UPB | ||||||||||||||||||||||||
Mortgage loans held-for-investment | $855,173 | $2,774 | $— | $2,774 | $— | $— | |||||||||||||||||||||||
Debt | (124,235) | 2,267 | — | (30) | — | — | |||||||||||||||||||||||
December 31, 2020 | |||||||||||||||||||||||||||||
Carrying Amount Assets / (Liabilities) | Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount | Closed Portfolio Under the Last-of-Layer Method | |||||||||||||||||||||||||||
(In millions) | Total | Under the Last-of-Layer Method | Discontinued - Hedge Related | Total Amount by Amortized Cost Basis | Designated Amount by UPB | ||||||||||||||||||||||||
Mortgage loans held-for-investment | $478,077 | $5,117 | ($318) | $5,435 | $220,301 | $9,112 | |||||||||||||||||||||||
Debt | (176,512) | (466) | — | (38) | — | — |
FREDDIE MAC | 2021 Form 10-K | 194 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 10 |
FREDDIE MAC | 2021 Form 10-K | 195 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 10 |
FREDDIE MAC | 2021 Form 10-K | 196 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 10 |
December 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 | $5,670 | ($4,437) | ($963) | $270 | ($250) | $20 | |||||||||||||||||||||||
Cleared and exchange-traded derivatives | 60 | (4) | 38 | 94 | — | 94 | |||||||||||||||||||||||
Mortgage commitment derivatives | 79 | — | — | 79 | — | 79 | |||||||||||||||||||||||
Other | 17 | — | — | 17 | — | 17 | |||||||||||||||||||||||
Total derivatives | 5,826 | (4,441) | (925) | 460 | (250) | 210 | |||||||||||||||||||||||
Securities purchased under agreements to resell | 78,536 | (7,333) | — | 71,203 | (71,203) | — | |||||||||||||||||||||||
Total | $84,362 | ($11,774) | ($925) | $71,663 | ($71,453) | $210 | |||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||||||||
OTC derivatives | ($7,979) | $4,437 | $3,417 | ($125) | $— | ($125) | |||||||||||||||||||||||
Cleared and exchange-traded derivatives | (39) | 4 | 22 | (13) | 13 | — | |||||||||||||||||||||||
Mortgage commitment derivatives | (86) | — | — | (86) | — | (86) | |||||||||||||||||||||||
Other | (58) | — | — | (58) | — | (58) | |||||||||||||||||||||||
Total derivatives | (8,162) | 4,441 | 3,439 | (282) | 13 | (269) | |||||||||||||||||||||||
Securities sold under agreements to repurchase | (7,333) | 7,333 | — | — | — | — | |||||||||||||||||||||||
Total | ($15,495) | $11,774 | $3,439 | ($282) | $13 | ($269) | |||||||||||||||||||||||
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 | 2021 Form 10-K | 197 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 10 |
December 31, 2021 | |||||||||||||||||
(In millions) | Derivatives | Securities Sold Under Agreements to Repurchase | Other(2) | Total | |||||||||||||
Debt securities of consolidated trusts(1) | $— | $— | $161 | $161 | |||||||||||||
Trading securities | 1,542 | 7,333 | 1,115 | 9,990 | |||||||||||||
Total securities pledged | $1,542 | $7,333 | $1,276 | $10,151 |
December 31, 2020 | |||||||||||||||||
(In millions) | Derivatives | Securities Sold Under Agreements to Repurchase | Other(2) | Total | |||||||||||||
Debt securities of consolidated trusts(1) | $121 | $— | $345 | $466 | |||||||||||||
Trading securities | 1,920 | — | 1,163 | 3,083 | |||||||||||||
Total securities pledged | $2,041 | $— | $1,508 | $3,549 |
December 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 | $— | $3,085 | $4,248 | $— | $7,333 |
FREDDIE MAC | 2021 Form 10-K | 198 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 11 |
December 31, | |||||||||||
(In millions) | 2021 | 2020 | |||||||||
Other assets: | |||||||||||
Real estate owned, net | $176 | $198 | |||||||||
Guarantee assets | 5,919 | 5,509 | |||||||||
Servicer receivables | 11,571 | 20,926 | |||||||||
Credit enhancement receivables | 194 | 751 | |||||||||
Advances of pre-foreclosure costs | 974 | 1,372 | |||||||||
Derivative assets, net | 460 | 1,205 | |||||||||
All other | 10,127 | 10,538 | |||||||||
Total other assets | $29,421 | $40,499 | |||||||||
Other liabilities: | |||||||||||
Guarantee obligations | $5,716 | $5,050 | |||||||||
Derivative liabilities, net | 282 | 954 | |||||||||
All other | 5,102 | 6,242 | |||||||||
Total other liabilities | $11,100 | $12,246 |
FREDDIE MAC | 2021 Form 10-K | 199 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 12 |
FREDDIE MAC | 2021 Form 10-K | 200 |
Financial Statements | Notes to the 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 Adjustments: | ||||||||||||||||||||
2008 | 1.00 | 1.00 | $1.00 | $1,000 | $1,000 | |||||||||||||||
2017 | — | — | — | N/A | 3,000 | |||||||||||||||
2019 | — | — | — | N/A | 3,674 | |||||||||||||||
2020 | — | — | — | N/A | 7,217 | |||||||||||||||
2021 | — | — | — | N/A | 11,420 | |||||||||||||||
Total non-draw adjustments | 1.00 | 1.00 | 1.00 | 26,311 | ||||||||||||||||
Draw Adjustments: | ||||||||||||||||||||
2008 | — | — | — | N/A | 13,800 | |||||||||||||||
2009 | — | — | — | N/A | 36,900 | |||||||||||||||
2010 | — | — | — | N/A | 12,500 | |||||||||||||||
2011 | — | — | — | N/A | 7,971 | |||||||||||||||
2012 | — | — | — | N/A | 165 | |||||||||||||||
2018 | — | — | — | N/A | 312 | |||||||||||||||
Total draw adjustments | — | — | — | 71,648 | ||||||||||||||||
Total senior preferred stock | 1.00 | 1.00 | $1.00 | $97,959 |
FREDDIE MAC | 2021 Form 10-K | 201 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 12 |
FREDDIE MAC | 2021 Form 10-K | 202 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 12 |
(In millions, except redemption price per share) | Issue Date | Shares Authorized | Shares Outstanding | Total Par Value | Redemption Price per Share | Total Outstanding Balance | Redeemable On or After | OTCQB Symbol | ||||||||||||||||||
Preferred stock: | ||||||||||||||||||||||||||
1996 Variable-rate(1) | April 26, 1996 | 5.00 | 5.00 | $5.00 | $50.00 | $250 | June 30, 2001 | FMCCI | ||||||||||||||||||
5.81% | October 27, 1997 | 3.00 | 3.00 | 3.00 | 50.00 | 150 | October 27, 1998 | (2) | ||||||||||||||||||
5% | March 23, 1998 | 8.00 | 8.00 | 8.00 | 50.00 | 400 | March 31, 2003 | FMCKK | ||||||||||||||||||
1998 Variable-rate(3) | September 23 and 29, 1998 | 4.40 | 4.40 | 4.40 | 50.00 | 220 | September 30, 2003 | FMCCG | ||||||||||||||||||
5.10% | September 23, 1998 | 8.00 | 8.00 | 8.00 | 50.00 | 400 | September 30, 2003 | FMCCH | ||||||||||||||||||
5.30% | October 28, 1998 | 4.00 | 4.00 | 4.00 | 50.00 | 200 | October 30, 2000 | (2) | ||||||||||||||||||
5.10% | March 19, 1999 | 3.00 | 3.00 | 3.00 | 50.00 | 150 | March 31, 2004 | (2) | ||||||||||||||||||
5.79% | July 21, 1999 | 5.00 | 5.00 | 5.00 | 50.00 | 250 | June 30, 2009 | FMCCK | ||||||||||||||||||
1999 Variable-rate(4) | November 5, 1999 | 5.75 | 5.75 | 5.75 | 50.00 | 287 | December 31, 2004 | FMCCL | ||||||||||||||||||
2001 Variable-rate(5) | January 26, 2001 | 6.50 | 6.50 | 6.50 | 50.00 | 325 | March 31, 2003 | FMCCM | ||||||||||||||||||
2001 Variable-rate(6) | March 23, 2001 | 4.60 | 4.60 | 4.60 | 50.00 | 230 | March 31, 2003 | FMCCN | ||||||||||||||||||
5.81% | March 23, 2001 | 3.45 | 3.45 | 3.45 | 50.00 | 173 | March 31, 2011 | FMCCO | ||||||||||||||||||
6% | May 30, 2001 | 3.45 | 3.45 | 3.45 | 50.00 | 173 | June 30, 2006 | FMCCP | ||||||||||||||||||
2001 Variable-rate(7) | May 30, 2001 | 4.02 | 4.02 | 4.02 | 50.00 | 201 | June 30, 2003 | FMCCJ | ||||||||||||||||||
5.70% | October 30, 2001 | 6.00 | 6.00 | 6.00 | 50.00 | 300 | December 31, 2006 | FMCKP | ||||||||||||||||||
5.81% | January 29, 2002 | 6.00 | 6.00 | 6.00 | 50.00 | 300 | March 31, 2007 | (2) | ||||||||||||||||||
2006 Variable-rate(8) | July 17, 2006 | 15.00 | 15.00 | 15.00 | 50.00 | 750 | June 30, 2011 | FMCCS | ||||||||||||||||||
6.42% | July 17, 2006 | 5.00 | 5.00 | 5.00 | 50.00 | 250 | June 30, 2011 | FMCCT | ||||||||||||||||||
5.90% | October 16, 2006 | 20.00 | 20.00 | 20.00 | 25.00 | 500 | September 30, 2011 | FMCKO | ||||||||||||||||||
5.57% | January 16, 2007 | 44.00 | 44.00 | 44.00 | 25.00 | 1,100 | December 31, 2011 | FMCKM | ||||||||||||||||||
5.66% | April 16, 2007 | 20.00 | 20.00 | 20.00 | 25.00 | 500 | March 31, 2012 | FMCKN | ||||||||||||||||||
6.02% | July 24, 2007 | 20.00 | 20.00 | 20.00 | 25.00 | 500 | June 30, 2012 | FMCKL | ||||||||||||||||||
6.55% | September 28, 2007 | 20.00 | 20.00 | 20.00 | 25.00 | 500 | September 30, 2017 | FMCKI | ||||||||||||||||||
2007 Fixed-to-floating rate(9) | December 4, 2007 | 240.00 | 240.00 | 240.00 | 25.00 | 6,000 | December 31, 2012 | FMCKJ | ||||||||||||||||||
Total, preferred stock | 464.17 | 464.17 | $464.17 | $14,109 |
FREDDIE MAC | 2021 Form 10-K | 203 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 12 |
FREDDIE MAC | 2021 Form 10-K | 204 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 12 |
FREDDIE MAC | 2021 Form 10-K | 205 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 13 |
Year Ended December 31, | ||||||||||||||
(In millions) | 2021 | 2020 | 2019 | |||||||||||
Interest income | ||||||||||||||
Mortgage loans | $59,130 | $59,290 | $68,583 | |||||||||||
Investment securities | 2,261 | 2,581 | 2,737 | |||||||||||
Other | 136 | 469 | 1,575 | |||||||||||
Total interest income | 61,527 | 62,340 | 72,895 | |||||||||||
Interest expense | ||||||||||||||
Debt securities of consolidated trusts held by third parties | (42,209) | (46,281) | (53,980) | |||||||||||
Debt of Freddie Mac: | ||||||||||||||
Short-term debt | — | (606) | (1,910) | |||||||||||
Long-term debt | (1,738) | (2,682) | (5,157) | |||||||||||
Total interest expense | (43,947) | (49,569) | (61,047) | |||||||||||
Net interest income | 17,580 | 12,771 | 11,848 | |||||||||||
Benefit (provision) for credit losses | 1,041 | (1,452) | 746 | |||||||||||
Net interest income after benefit (provision) for credit losses | $18,621 | $11,319 | $12,594 |
FREDDIE MAC | 2021 Form 10-K | 206 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 14 |
Year Ended December 31, | ||||||||||||||
(In millions) | 2021 | 2020 | 2019 | |||||||||||
Current income tax (expense) benefit | ($2,617) | ($2,493) | ($1,018) | |||||||||||
Deferred income tax (expense) benefit | (473) | 590 | (817) | |||||||||||
Total income tax (expense) benefit | ($3,090) | ($1,903) | ($1,835) |
Year Ended December 31, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||||||||||||||
(Dollars in millions) | Amount | Percent | Amount | Percent | Amount | Percent | |||||||||||||||||||||||
Statutory corporate tax rate | ($3,192) | 21.0 | % | ($1,938) | 21.0 | % | ($1,900) | 21.0 | % | ||||||||||||||||||||
Tax-exempt interest | 20 | (0.2) | 25 | (0.3) | 18 | (0.2) | |||||||||||||||||||||||
Tax credits | 133 | (0.9) | 55 | (0.6) | 48 | (0.5) | |||||||||||||||||||||||
Valuation allowance | (11) | 0.1 | (4) | 0.1 | 9 | (0.1) | |||||||||||||||||||||||
Other | (40) | 0.3 | (41) | 0.4 | (10) | 0.1 | |||||||||||||||||||||||
Effective tax rate | ($3,090) | 20.3 | % | ($1,903) | 20.6 | % | ($1,835) | 20.3 | % |
FREDDIE MAC | 2021 Form 10-K | 207 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 14 |
Year Ended December 31, | |||||||||||
(In millions) | 2021 | 2020 | |||||||||
Deferred tax assets: | |||||||||||
Deferred fees | $3,179 | $3,354 | |||||||||
Basis differences related to derivative instruments | 1,629 | 1,810 | |||||||||
Credit related items and allowance for loan losses | 815 | 844 | |||||||||
Basis differences related to assets held-for-investment and held-for-sale | 544 | 999 | |||||||||
Other items, net | 178 | 134 | |||||||||
Total deferred tax assets | 6,345 | 7,141 | |||||||||
Deferred tax liabilities: | |||||||||||
Unrealized gains related to available-for-sale securities | (79) | (543) | |||||||||
Total deferred tax liabilities | (79) | (543) | |||||||||
Valuation allowance | (52) | (41) | |||||||||
Deferred tax assets, net | $6,214 | $6,557 |
FREDDIE MAC | 2021 Form 10-K | 208 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 15 |
Segment | Description | ||||
Single-Family | Reflects results from our purchase, securitization, and guarantee of single-family loans, our investments in single-family loans and mortgage-related 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, securitization, and guarantee of multifamily loans, our investments in multifamily loans and mortgage-related securities, and the management of Multifamily mortgage credit risk and market risk. | ||||
FREDDIE MAC | 2021 Form 10-K | 209 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 15 |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | ||||||||||||||||||||||||||||||
Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Net interest income | $16,273 | $1,307 | $17,580 | $11,592 | $1,179 | $12,771 | $10,664 | $1,184 | $11,848 | |||||||||||||||||||||||
Non-interest income (loss) | ||||||||||||||||||||||||||||||||
Guarantee income | 114 | 918 | 1,032 | 112 | 1,330 | 1,442 | 44 | 1,045 | 1,089 | |||||||||||||||||||||||
Investment gains (losses), net | 361 | 2,385 | 2,746 | (112) | 1,925 | 1,813 | 300 | 518 | 818 | |||||||||||||||||||||||
Other income (loss) | 479 | 114 | 593 | 457 | 176 | 633 | 216 | 107 | 323 | |||||||||||||||||||||||
Non-interest income (loss) | 954 | 3,417 | 4,371 | 457 | 3,431 | 3,888 | 560 | 1,670 | 2,230 | |||||||||||||||||||||||
Net revenues | 17,227 | 4,724 | 21,951 | 12,049 | 4,610 | 16,659 | 11,224 | 2,854 | 14,078 | |||||||||||||||||||||||
Benefit (provision) for credit losses | 919 | 122 | 1,041 | (1,320) | (132) | (1,452) | 749 | (3) | 746 | |||||||||||||||||||||||
Non-interest expense | ||||||||||||||||||||||||||||||||
Administrative expense | (2,033) | (618) | (2,651) | (2,021) | (514) | (2,535) | (2,061) | (503) | (2,564) | |||||||||||||||||||||||
Credit enhancement expense | (1,470) | (48) | (1,518) | (1,036) | (22) | (1,058) | (734) | (15) | (749) | |||||||||||||||||||||||
Benefit for (decrease in) credit enhancement recoveries | (523) | (19) | (542) | 305 | 18 | 323 | 41 | — | 41 | |||||||||||||||||||||||
REO operations income (expense) | (12) | — | (12) | (149) | — | (149) | (229) | — | (229) | |||||||||||||||||||||||
Legislated 10 basis point fee expense | (2,342) | — | (2,342) | (1,836) | — | (1,836) | (1,617) | — | (1,617) | |||||||||||||||||||||||
Other expense | (695) | (33) | (728) | (686) | (37) | (723) | (616) | (41) | (657) | |||||||||||||||||||||||
Non-interest expense | (7,075) | (718) | (7,793) | (5,423) | (555) | (5,978) | (5,216) | (559) | (5,775) | |||||||||||||||||||||||
Income (loss) before income tax (expense) benefit | 11,071 | 4,128 | 15,199 | 5,306 | 3,923 | 9,229 | 6,757 | 2,292 | 9,049 | |||||||||||||||||||||||
Income tax (expense) benefit | (2,251) | (839) | (3,090) | (1,094) | (809) | (1,903) | (1,370) | (465) | (1,835) | |||||||||||||||||||||||
Net income (loss) | 8,820 | 3,289 | 12,109 | 4,212 | 3,114 | 7,326 | 5,387 | 1,827 | 7,214 | |||||||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | (379) | (110) | (489) | 104 | 101 | 205 | 472 | 101 | 573 | |||||||||||||||||||||||
Comprehensive income (loss) | $8,441 | $3,179 | $11,620 | $4,316 | $3,215 | $7,531 | $5,859 | $1,928 | $7,787 |
(In millions) | December 31, 2021 | December 31, 2020 | |||||||||
Single-Family | $2,792,224 | $2,326,426 | |||||||||
Multifamily | 414,663 | 388,347 | |||||||||
Total segment assets | 3,206,887 | 2,714,773 | |||||||||
Reconciling items(1) | (181,301) | (87,358) | |||||||||
Total assets per consolidated balance sheets | $3,025,586 | $2,627,415 | |||||||||
FREDDIE MAC | 2021 Form 10-K | 210 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 16 |
December 31, 2021 | December 31, 2020 | 2021(1) | 2020(1) | |||||||||||||||||||||||||||||||||||
(Dollars in billions) | Portfolio UPB(2) | % of Portfolio | SDQ Rate | Portfolio UPB(2) | % of Portfolio | SDQ Rate | Credit Losses Amount | Credit Losses Amount | ||||||||||||||||||||||||||||||
Region(3): | ||||||||||||||||||||||||||||||||||||||
West | $859 | 31 | % | 0.92 | % | $720 | 31 | % | 2.41 | % | $— | $— | ||||||||||||||||||||||||||
Northeast | 660 | 24 | 1.37 | 549 | 24 | 3.16 | — | 0.2 | ||||||||||||||||||||||||||||||
North Central | 416 | 15 | 0.98 | 357 | 15 | 2.06 | 0.1 | 0.1 | ||||||||||||||||||||||||||||||
Southeast | 461 | 16 | 1.21 | 375 | 16 | 2.95 | — | 0.1 | ||||||||||||||||||||||||||||||
Southwest | 396 | 14 | 1.14 | 325 | 14 | 2.59 | — | — | ||||||||||||||||||||||||||||||
Total | $2,792 | 100 | % | 1.12 | $2,326 | 100 | % | 2.64 | $0.1 | $0.4 | ||||||||||||||||||||||||||||
State: | ||||||||||||||||||||||||||||||||||||||
California | $498 | 18 | % | 0.99 | $424 | 18 | % | 2.64 | $— | $— | ||||||||||||||||||||||||||||
Texas | 177 | 6 | 1.23 | 145 | 6 | 3.11 | — | — | ||||||||||||||||||||||||||||||
Florida | 169 | 6 | 1.36 | 135 | 6 | 3.70 | — | — | ||||||||||||||||||||||||||||||
New York | 121 | 4 | 2.07 | 103 | 4 | 4.56 | — | 0.1 | ||||||||||||||||||||||||||||||
Illinois | 109 | 4 | 1.44 | 96 | 4 | 2.96 | — | 0.1 | ||||||||||||||||||||||||||||||
All other | 1,718 | 62 | 1.03 | 1,423 | 62 | 2.34 | 0.1 | 0.2 | ||||||||||||||||||||||||||||||
Total | $2,792 | 100 | % | 1.12 | $2,326 | 100 | % | 2.64 | $0.1 | $0.4 |
FREDDIE MAC | 2021 Form 10-K | 211 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 16 |
December 31, 2021 | December 31, 2020 | |||||||||||||||||||
(Dollars in billions) | UPB | Delinquency Rate(1) | UPB | Delinquency Rate(1) | ||||||||||||||||
Unsecuritized loans | $22.8 | 0.04 | % | $33.4 | 0.04 | % | ||||||||||||||
Securitized loans | 381.4 | 0.07 | 344.1 | 0.18 | ||||||||||||||||
Other mortgage-related guarantees | 10.5 | 0.44 | 10.8 | 0.06 | ||||||||||||||||
Total | $414.7 | 0.08 | $388.3 | 0.16 |
Multifamily Sellers | 2021 | 2020 | |||||||||
Berkadia Commercial Mortgage LLC | 15 | % | 14 | % | |||||||
CBRE Capital Markets, Inc. | 13 | 16 | |||||||||
JLL Real Estate Capital LLC | 10 | 11 | |||||||||
Walker & Dunlop LLC | 9 | 10 | |||||||||
Other top 10 sellers | 32 | 31 | |||||||||
Top 10 Multifamily sellers | 79 | % | 82 | % |
FREDDIE MAC | 2021 Form 10-K | 212 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 16 |
Single-Family Servicers | December 31, 2021(1) | December 31, 2020(1) | |||||||||
Wells Fargo Bank, N.A. | 8 | % | 11 | % | |||||||
Other top 10 servicers | 39 | 38 | |||||||||
Top 10 Single-Family servicers | 47 | % | 49 | % | |||||||
Multifamily Servicers(2) | December 31, 2021 | December 31, 2020 | |||||||||
CBRE Capital Markets, Inc. | 16 | % | 17 | % | |||||||
Berkadia Commercial Mortgage LLC | 14 | 13 | |||||||||
JLL Real Estate Capital LLC | 11 | 11 | |||||||||
Other top 10 servicers | 39 | 39 | |||||||||
Top 10 Multifamily servicers | 80 | % | 80 | % |
FREDDIE MAC | 2021 Form 10-K | 213 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 16 |
Mortgage Insurance Coverage(2) | |||||||||||||||||
Mortgage Insurer | Credit Rating(1) | December 31, 2021 | December 31, 2020 | ||||||||||||||
Arch Mortgage Insurance Company | A | 19 | % | 20 | % | ||||||||||||
Mortgage Guaranty Insurance Corporation | BBB+ | 19 | 18 | ||||||||||||||
Radian Guaranty Inc. | BBB+ | 18 | 19 | ||||||||||||||
Enact(3) | BBB | 15 | 15 | ||||||||||||||
Essent Guaranty, Inc. | BBB+ | 15 | 16 | ||||||||||||||
National Mortgage Insurance Corporation | BBB | 13 | 10 | ||||||||||||||
Total | 99 | % | 98 | % |
FREDDIE MAC | 2021 Form 10-K | 214 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 16 |
FREDDIE MAC | 2021 Form 10-K | 215 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 17 |
FREDDIE MAC | 2021 Form 10-K | 216 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 17 |
FREDDIE MAC | 2021 Form 10-K | 217 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 17 |
Instrument | Valuation Technique | Classification in the Fair Value Hierarchy | |||||||||
Securities | |||||||||||
U.S. Treasury Securities | Quoted prices in active markets | Level 1 | |||||||||
Mortgage-related securities | Majority of agency securities | Median of external sources | Level 2 | ||||||||
Certain other agency securities | Single external source | Levels 2 and 3 | |||||||||
Certain securities with limited market activity | Discounted cash flows or risk metric pricing. Significant inputs used in the discounted cash flow technique include OAS. Significant increases (decreases) in the OAS in isolation would result in a significantly lower (higher) fair value measurement. Significant inputs used in the risk metric pricing technique include key risk metrics, such as key rate durations. Significant increases (decreases) in key rate durations in isolation would result in a significant increase (decrease) in the magnitude of change of fair value measurement in response to key rate movements. Under risk metric pricing, securities are valued by starting with a prior period price and adjusting that price for market changes in the key risk metric input used. | Level 3 | |||||||||
Derivatives | |||||||||||
Exchange-traded futures | Quoted prices in active markets | Level 1 | |||||||||
Interest-rate swaps | Discounted cash flows. Significant inputs include market-based interest rates. | Level 2 | |||||||||
Option-based derivatives | Option-pricing models. Significant inputs include interest-rate volatility matrices. | Level 2 | |||||||||
Purchase and sale commitments | See Mortgage-related securities | Level 2 | |||||||||
Debt | |||||||||||
Debt securities of consolidated trusts held by third parties | See Mortgage-related securities | Level 2 or 3 | |||||||||
Debt of Freddie Mac | Median of external sources | Level 2 | |||||||||
Single external source | |||||||||||
Published yield matrices | |||||||||||
Mortgage Loans | |||||||||||
Single-Family loans | GSE securitization market | Benchmark security pricing for actively traded mortgage-related securities with similar characteristics, adjusting for the value of our guarantee fee and our credit obligation related to performing our guarantee (see Guarantee obligation). The credit obligation is based on: delivery and guarantee fees we charge under current market pricing for loans that qualify under our current underwriting standards (Level 2) and internal credit models for loans that do not qualify under our current underwriting standards (Level 3). | Level 2 or 3 | ||||||||
Whole loan market | Median of external sources, referencing market activity for deeply delinquent and modified loans, where available | Level 3 | |||||||||
Certain held-for-investment | Internal models that estimate the fair value of the underlying collateral for impaired loans. Significant inputs used by our internal models include REO disposition, short sale, and third-party sale values, combined with mortgage loan level characteristics using the repeat housing sales index to estimate the current fair value of the mortgage loan. Significant increases (decreases) in the historical average sales proceeds per mortgage loan in isolation would result in significantly higher (lower) fair value measurements. | Level 3 |
FREDDIE MAC | 2021 Form 10-K | 218 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 17 |
Instrument | Valuation Technique | Classification in the Fair Value Hierarchy | |||||||||
Multifamily loans | Held-for-sale | Discounted cash flows based on observable K Certificate and SB Certificate market spreads | Level 2 | ||||||||
Held-for-investment | Market prices from a third-party pricing service using discounted cash flows incorporating credit spreads for similar loans based on the loan's LTV and DSCR | Level 3 | |||||||||
Non-derivative Purchase Commitments | |||||||||||
Multifamily loan purchase commitments | See Multifamily loans | Level 2 or 3 | |||||||||
Other Assets | |||||||||||
Guarantee assets | Single-Family | Median of external sources with adjustments for specific loan characteristics | Level 3 | ||||||||
Multifamily | Discounted cash flows. Significant inputs include current OAS-to-benchmark interest rates for new guarantees. Significant increases (decreases) in the OAS in isolation would result in a significantly lower (higher) fair value measurement. | Level 3 | |||||||||
Mortgage servicing rights | Market prices from a third party or internally developed prices using discounted cash flows. Significant inputs include: | Level 3 | |||||||||
Estimated prepayment rates, | |||||||||||
Estimated costs to service both performing and non-accrual loans, and | |||||||||||
Estimated servicing income per loan (including ancillary income). | |||||||||||
Significant increases (decreases) in cost to service per loan and prepayment rate in isolation would result in a significantly lower (higher) fair value measurement. Significant increases (decreases) in servicing income per loan in isolation would result in a significantly higher (lower) fair value measurement. | |||||||||||
Other Liabilities | |||||||||||
Guarantee obligations | Single-Family | Delivery and guarantee fees that we charge under our current market pricing | Level 2 | ||||||||
Internal credit models. Significant inputs include loan characteristics, loan performance, and status information. | Level 3 | ||||||||||
Multifamily | Discounted cash flows. Significant inputs are similar to those used in the valuation technique for the Multifamily guarantee assets. | Level 3 |
FREDDIE MAC | 2021 Form 10-K | 219 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 17 |
December 31, 2021 | ||||||||||||||||||||
(In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustment(1) | Total | |||||||||||||||
Assets: | ||||||||||||||||||||
Investments securities: | ||||||||||||||||||||
Available-for-sale, at fair value | $— | $2,726 | $1,286 | $— | $4,012 | |||||||||||||||
Trading, at fair value: | ||||||||||||||||||||
Mortgage-related securities | — | 12,845 | 3,386 | — | 16,231 | |||||||||||||||
Non-mortgage-related securities | 31,780 | 992 | — | — | 32,772 | |||||||||||||||
Total trading securities, at fair value | 31,780 | 13,837 | 3,386 | — | 49,003 | |||||||||||||||
Total investments in securities | 31,780 | 16,563 | 4,672 | — | 53,015 | |||||||||||||||
Mortgage loans: | ||||||||||||||||||||
Held-for-sale, at fair value | — | 10,498 | — | — | 10,498 | |||||||||||||||
Other assets: | ||||||||||||||||||||
Guarantee assets, at fair value | — | — | 5,919 | — | 5,919 | |||||||||||||||
Derivative assets, net | 33 | 5,416 | 17 | — | 5,466 | |||||||||||||||
Netting adjustments(1) | — | — | — | (5,006) | (5,006) | |||||||||||||||
Total derivative assets, net | 33 | 5,416 | 17 | (5,006) | 460 | |||||||||||||||
Non-derivative purchase commitments, at fair value | — | 131 | — | — | 131 | |||||||||||||||
All other, at fair value | — | — | 84 | — | 84 | |||||||||||||||
Total other assets | 33 | 5,547 | 6,020 | (5,006) | 6,594 | |||||||||||||||
Total assets carried at fair value on a recurring basis | $31,813 | $32,608 | $10,692 | ($5,006) | $70,107 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value | $— | $910 | $184 | $— | $1,094 | |||||||||||||||
Debt of Freddie Mac, at fair value | — | 1,274 | 110 | — | 1,384 | |||||||||||||||
Other liabilities: | ||||||||||||||||||||
Derivative liabilities, net | — | 7,726 | 23 | — | 7,749 | |||||||||||||||
Netting adjustments(1) | — | — | — | (7,467) | (7,467) | |||||||||||||||
Total derivative liabilities, net | — | 7,726 | 23 | (7,467) | 282 | |||||||||||||||
Non-derivative purchase commitments, at fair value | — | 4 | — | — | 4 | |||||||||||||||
All other, at fair value | — | — | 1 | — | 1 | |||||||||||||||
Total other liabilities | — | 7,730 | 24 | (7,467) | 287 | |||||||||||||||
Total liabilities carried at fair value on a recurring basis | $— | $9,914 | $318 | ($7,467) | $2,765 |
FREDDIE MAC | 2021 Form 10-K | 220 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 17 |
December 31, 2020 | ||||||||||||||||||||
(In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustment(1) | Total | |||||||||||||||
Assets: | ||||||||||||||||||||
Investments securities: | ||||||||||||||||||||
Available-for-sale, at fair value: | $— | $13,779 | $1,588 | $— | $15,367 | |||||||||||||||
Trading, at fair value: | ||||||||||||||||||||
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 | |||||||||||||||
Other assets: | ||||||||||||||||||||
Guarantee assets, at fair value | — | — | 5,509 | — | 5,509 | |||||||||||||||
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 | |||||||||||||||
Non-derivative purchase commitments, at fair value | — | 158 | — | — | 158 | |||||||||||||||
All other, at fair value | — | — | 108 | — | 108 | |||||||||||||||
Total other assets | — | 8,674 | 5,680 | (7,374) | 6,980 | |||||||||||||||
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 | |||||||||||||||
Other liabilities: | ||||||||||||||||||||
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 | |||||||||||||||
Non-derivative purchase commitments, at fair value | — | 1 | — | — | 1 | |||||||||||||||
All other, at fair value | — | — | 3 | — | 3 | |||||||||||||||
Total other liabilities | — | 9,133 | 19 | (8,194) | 958 | |||||||||||||||
Total liabilities carried at fair value on a recurring basis | $— | $11,402 | $342 | ($8,194) | $3,550 |
FREDDIE MAC | 2021 Form 10-K | 221 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 17 |
Year Ended December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2021 | Total Realized/Unrealized Gains (Losses) | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, December 31, 2021 | Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2021(2) | Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Included in Earnings | Included in Other Comprehensive Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale, at fair value | 1,588 | 29 | 7 | — | — | (32) | (306) | — | — | 1,286 | 26 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading, at fair value | 3,259 | (869) | — | 1,536 | — | (277) | (83) | — | (180) | 3,386 | (872) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total investments in securities | 4,847 | (840) | 7 | 1,536 | — | (309) | (389) | — | (180) | 4,672 | (846) | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee assets | 5,509 | (378) | — | — | 1,742 | — | (954) | — | — | 5,919 | (378) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative assets | 63 | (45) | — | — | — | (1) | — | — | — | 17 | (46) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
All other, at fair value | 108 | (9) | — | (6) | 19 | (8) | (20) | — | — | 84 | (9) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other assets | 5,680 | (432) | — | (6) | 1,761 | (9) | (974) | — | — | 6,020 | (433) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | 10,527 | (1,272) | 7 | 1,530 | 1,761 | (318) | (1,363) | — | (180) | 10,692 | (1,279) | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2021 | Total Realized/Unrealized (Gains) Losses | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, December 31, 2021 | Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2021(2) | Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Included in Earnings | Included in other comprehensive income | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value | $203 | ($27) | $— | ($8) | $168 | $— | ($152) | $— | $— | $184 | ($16) | $— | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt of Freddie Mac, at fair value | 120 | (3) | — | — | 1 | — | (8) | — | — | 110 | (3) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Debt | 323 | (30) | — | (8) | 169 | — | (160) | — | — | 294 | (19) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative liabilities | 16 | 15 | — | — | 2 | — | (10) | — | — | 23 | 5 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
All other, at fair value | 3 | (8) | — | 7 | — | (1) | — | — | — | 1 | (8) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other liabilities | 19 | 7 | — | 7 | 2 | (1) | (10) | — | — | 24 | (3) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities | 342 | (23) | — | (1) | 171 | (1) | (170) | — | — | 318 | (22) | — |
FREDDIE MAC | 2021 Form 10-K | 222 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 17 |
Year Ended December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2020 | Total Realized/Unrealized Gains (Losses) | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, December 31, 2020 | Change in Unrealized Gains(Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2020(2) | Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Included in Earnings | Included in Other Comprehensive Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale, at fair value | $3,227 | $27 | ($8) | $— | $— | ($218) | ($344) | $— | ($1,096) | $1,588 | $15 | ($38) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading, at fair value | 2,710 | (251) | — | 1,555 | — | (281) | (77) | — | (397) | 3,259 | (241) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total investments in securities | 5,937 | — | (224) | (8) | 1,555 | — | (499) | (421) | — | (1,493) | 4,847 | (226) | (38) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee assets | 4,426 | 250 | — | — | 1,641 | — | (808) | — | — | 5,509 | 250 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative assets | 15 | 22 | — | — | 26 | — | — | — | — | 63 | 21 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
All other, at fair value | 120 | (3) | — | (15) | 27 | (19) | (2) | — | — | 108 | (3) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other assets | 4,561 | 269 | — | (15) | 1,694 | (19) | (810) | — | — | 5,680 | 268 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | 10,498 | 45 | (8) | 1,540 | 1,694 | (518) | (1,231) | — | (1,493) | 10,527 | 42 | (38) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2020 | Total Realized/Unrealized (Gains) Losses | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, December 31, 2020 | Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2020(2) | Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Included in Earnings | Included in Other Comprehensive Income | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value | $203 | $— | $— | $— | $— | $— | $— | $— | $— | $203 | $— | $— | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt of Freddie Mac, at fair value | 129 | (1) | — | — | 4 | — | (12) | — | — | 120 | (1) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Debt | 332 | (1) | — | — | 4 | — | (12) | — | — | 323 | (1) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative liabilities | 36 | (8) | — | — | 2 | — | (14) | — | — | 16 | (23) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
All other, at fair value | 1 | — | — | 1 | — | 1 | — | — | — | 3 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other liabilities | 37 | (8) | — | 1 | 2 | 1 | (14) | — | — | 19 | (23) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities | 369 | (9) | — | 1 | 6 | 1 | (26) | — | — | 342 | (24) | — |
FREDDIE MAC | 2021 Form 10-K | 223 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 17 |
December 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) | |||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
Available-for-sale, at fair value | ||||||||||||||||||||||||||||||||
Mortgage-related securities | ||||||||||||||||||||||||||||||||
$839 | Median of external sources | External pricing sources | $72.8 - $83.7 | $77.0 | ||||||||||||||||||||||||||||
322 | Discounted cash flows | OAS | 87 - 198 bps | 88 bps | ||||||||||||||||||||||||||||
124 | Other | |||||||||||||||||||||||||||||||
Trading, at fair value | ||||||||||||||||||||||||||||||||
Mortgage-related securities | ||||||||||||||||||||||||||||||||
2,846 | Single external source | External pricing sources | $0.0 - $7,343.1 | $396.7 | ||||||||||||||||||||||||||||
273 | Median of external sources | External pricing sources | $3.8 - $4.4 | $4.1 | ||||||||||||||||||||||||||||
259 | Discounted cash flows | OAS | (339) - 3,000 bps | 551 bps | ||||||||||||||||||||||||||||
9 | Other | |||||||||||||||||||||||||||||||
Guarantee assets, at fair value | 5,531 | Discounted cash flows | OAS | 17 - 186 bps | 45 bps | |||||||||||||||||||||||||||
388 | Other | |||||||||||||||||||||||||||||||
Insignificant Level 3 assets(2) | 101 | |||||||||||||||||||||||||||||||
Total level 3 assets | $10,692 | |||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value | 135 | Other | ||||||||||||||||||||||||||||||
Insignificant Level 3 liabilities(2) | 183 | |||||||||||||||||||||||||||||||
Total level 3 liabilities | $318 |
FREDDIE MAC | 2021 Form 10-K | 224 |
Financial Statements | Notes to the 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(1) | |||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
Available-for-sale, at fair value | ||||||||||||||||||||||||||||||||
Mortgage-related securities(2) | ||||||||||||||||||||||||||||||||
$1,009 | Median of external sources | External pricing sources | $70.6 - $81.6 | $75.9 | ||||||||||||||||||||||||||||
410 | Discounted cash flows | OAS | 90 - 90 bps | 90 bps | ||||||||||||||||||||||||||||
119 | Single external source | External pricing sources | $100.9 - $100.9 | $100.9 | ||||||||||||||||||||||||||||
50 | Other | |||||||||||||||||||||||||||||||
Trading, at fair value | ||||||||||||||||||||||||||||||||
Mortgage-related securities(2) | ||||||||||||||||||||||||||||||||
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(3) | 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(3) | 139 | |||||||||||||||||||||||||||||||
Total level 3 liabilities | $342 |
FREDDIE MAC | 2021 Form 10-K | 225 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 17 |
December 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) | $— | $12 | $797 | $809 | $— | $6 | $2,241 | $2,247 | ||||||||||||||||||||||||
December 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 | $797 | |||||||||||||||||||||||||
Internal model | Historical sales proceeds | $3,956 - $744,000 | $221,442 | |||||||||||||||||||||||
Internal model | Housing sales index | 72 - 439 bps | 140 bps | |||||||||||||||||||||||
Median of external sources | External pricing sources | $61.9 - $107.1 | $97.3 | |||||||||||||||||||||||
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 | 2021 Form 10-K | 226 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 17 |
December 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 | $10,150 | $10,150 | $— | $— | $— | $10,150 | ||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Amortized cost | 71,203 | — | 78,536 | — | (7,333) | 71,203 | ||||||||||||||||||||||||||||||||||
Investments in securities: | |||||||||||||||||||||||||||||||||||||||||
Available-for-sale, at fair value | FV - OCI | 4,012 | — | 2,726 | 1,286 | — | 4,012 | ||||||||||||||||||||||||||||||||||
Trading, at fair value | FV - NI | 49,003 | 31,780 | 13,837 | 3,386 | — | 49,003 | ||||||||||||||||||||||||||||||||||
Total investments in securities | 53,015 | 31,780 | 16,563 | 4,672 | — | 53,015 | |||||||||||||||||||||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||||||||||||||||||||
Loans held by consolidated trusts | 2,784,626 | — | 2,563,588 | 238,133 | — | 2,801,721 | |||||||||||||||||||||||||||||||||||
Loans held by Freddie Mac | 63,483 | — | 35,856 | 29,803 | — | 65,659 | |||||||||||||||||||||||||||||||||||
Total mortgage loans | Various(3) | 2,848,109 | — | 2,599,444 | 267,936 | — | 2,867,380 | ||||||||||||||||||||||||||||||||||
Guarantee assets | FV - NI | 5,919 | — | — | 5,923 | — | 5,923 | ||||||||||||||||||||||||||||||||||
Derivative assets, net | FV - NI | 460 | 33 | 5,416 | 17 | (5,006) | 460 | ||||||||||||||||||||||||||||||||||
Non-derivative purchase and other commitments | FV - NI | 131 | — | 217 | — | — | 217 | ||||||||||||||||||||||||||||||||||
Advances to lenders | Amortized cost | 4,932 | — | — | 4,932 | — | 4,932 | ||||||||||||||||||||||||||||||||||
Secured lending | Amortized cost | 1,263 | — | 1,187 | 76 | — | 1,263 | ||||||||||||||||||||||||||||||||||
Total financial assets | $2,995,182 | $41,963 | $2,701,363 | $283,556 | ($12,339) | $3,014,543 | |||||||||||||||||||||||||||||||||||
Financial Liabilities | |||||||||||||||||||||||||||||||||||||||||
Debt: | |||||||||||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties | $2,803,054 | $— | $2,803,030 | $656 | $— | $2,803,686 | |||||||||||||||||||||||||||||||||||
Debt of Freddie Mac | 177,131 | — | 185,793 | 3,957 | (7,333) | 182,417 | |||||||||||||||||||||||||||||||||||
Total debt | Various(4) | 2,980,185 | — | 2,988,823 | 4,613 | (7,333) | 2,986,103 | ||||||||||||||||||||||||||||||||||
Guarantee obligations | Amortized cost | 5,716 | — | — | 6,240 | — | 6,240 | ||||||||||||||||||||||||||||||||||
Derivative liabilities, net | FV - NI | 282 | — | 7,726 | 23 | (7,467) | 282 | ||||||||||||||||||||||||||||||||||
Non-derivative purchase and other commitments | FV - NI | 13 | — | 4 | 101 | — | 105 | ||||||||||||||||||||||||||||||||||
Total financial liabilities | $2,986,196 | $— | $2,996,553 | $10,977 | ($14,800) | $2,992,730 |
FREDDIE MAC | 2021 Form 10-K | 227 |
Financial Statements | Notes to the 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(2) | Netting Adjustments(3) | 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 | ||||||||||||||||||||||||||||||||||
Investments in 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 investments in 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(4) | 2,383,888 | — | 2,157,604 | 298,887 | — | 2,456,491 | ||||||||||||||||||||||||||||||||||
Guarantee assets | FV - NI | 5,509 | — | — | 5,515 | — | 5,515 | ||||||||||||||||||||||||||||||||||
Derivative assets, net | FV - NI | 1,205 | — | 8,516 | 63 | (7,374) | 1,205 | ||||||||||||||||||||||||||||||||||
Non-derivative purchase and other commitments | FV - NI | 158 | — | 246 | — | — | 246 | ||||||||||||||||||||||||||||||||||
Advances to lenders | Amortized cost | 4,162 | — | — | 4,162 | — | 4,162 | ||||||||||||||||||||||||||||||||||
Secured lending | Amortized cost | 1,680 | — | 1,427 | 253 | — | 1,680 | ||||||||||||||||||||||||||||||||||
Total financial assets | $2,585,319 | $50,144 | $2,301,519 | $313,727 | ($7,374) | $2,658,016 | |||||||||||||||||||||||||||||||||||
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(5) | 2,592,546 | — | 2,668,791 | 4,940 | — | 2,673,731 | ||||||||||||||||||||||||||||||||||
Guarantee obligations | Amortized cost | 5,050 | — | — | 5,378 | — | 5,378 | ||||||||||||||||||||||||||||||||||
Derivative liabilities, net | FV - NI | 954 | — | 9,132 | 16 | (8,194) | 954 | ||||||||||||||||||||||||||||||||||
Non-derivative purchase and other commitments | FV - NI | 20 | — | 1 | 307 | — | 308 | ||||||||||||||||||||||||||||||||||
Total financial liabilities | $2,598,570 | $— | $2,677,924 | $10,641 | ($8,194) | $2,680,371 |
FREDDIE MAC | 2021 Form 10-K | 228 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 17 |
December 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
(In millions) | Multifamily Held-For-Sale Loans | Debt of Freddie Mac | Debt Securities of Consolidated Trusts Held by Third Parties | Multifamily Held-For-Sale Loans | Debt of Freddie Mac | Debt Securities of Consolidated Trusts Held by Third Parties | ||||||||||||||||||||
Fair value | $10,498 | $1,252 | $958 | $14,199 | $2,216 | $203 | ||||||||||||||||||||
UPB | 10,224 | 1,220 | 958 | 13,400 | 2,189 | 200 | ||||||||||||||||||||
Difference | $274 | $32 | $— | $799 | $27 | $3 |
December 31, 2021 | December 31, 2020 | December 31, 2019 | ||||||||||||
(In millions) | Gains (Losses) | |||||||||||||
Multifamily held-for-sale loans | ($407) | $1,247 | $853 | |||||||||||
Multifamily held-for-sale loan purchase commitments | 1,271 | 2,288 | 1,913 | |||||||||||
Debt of Freddie Mac - long term | 50 | 335 | 136 | |||||||||||
Debt securities of consolidated trusts held by third parties | 17 | 4 | (4) |
FREDDIE MAC | 2021 Form 10-K | 229 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 18 |
FREDDIE MAC | 2021 Form 10-K | 230 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 18 |
FREDDIE MAC | 2021 Form 10-K | 231 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 18 |
FREDDIE MAC | 2021 Form 10-K | 232 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 18 |
FREDDIE MAC | 2021 Form 10-K | 233 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 19 |
FREDDIE MAC | 2021 Form 10-K | 234 |
Financial Statements | Notes to the Consolidated Financial Statements | Note 19 |
(In millions) | December 31, 2021 | December 31, 2020 | |||||||||
GAAP net worth (deficit) | $28,033 | $16,413 | |||||||||
Core capital (deficit)(1)(2) | (44,769) | (56,878) | |||||||||
Less: Minimum capital(1) | 24,302 | 22,694 | |||||||||
Minimum capital surplus (deficit)(1) | ($69,071) | ($79,572) |
FREDDIE MAC | 2021 Form 10-K | 235 |
Controls and Procedures |
FREDDIE MAC | 2021 Form 10-K | 236 |
Controls and Procedures |
FREDDIE MAC | 2021 Form 10-K | 237 |
Other Information |
FREDDIE MAC | 2021 Form 10-K | 238 |
Directors, Corporate Governance, and Executive Officers | Directors |
n | Mark H. Bloom | n | Aleem Gillani | n | Grace A. Huebscher | ||||||||||||
n | Kathleen L. Casey | n | Mark B. Grier | n | Sara Mathew | ||||||||||||
n | Kevin G. Chavers | n | Luke S. Hayden | n | Allan P. Merrill | ||||||||||||
n | Michael J. DeVito | n | Christopher E. Herbert | n | Alberto G. Musalem | ||||||||||||
n | Lance F. Drummond |
FREDDIE MAC | 2021 Form 10-K | 239 |
Directors, Corporate Governance, and Executive Officers | Directors |
Age | Director Since | Freddie Mac Committees | Public Company Directorships | ||||||||||||||
57 | November 2019 | • | Compensation and Human Capital | None | |||||||||||||
• | Executive | ||||||||||||||||
• | Operations and Technology, Chair | ||||||||||||||||
• | Risk |
FREDDIE MAC | 2021 Form 10-K | 240 |
Directors, Corporate Governance, and Executive Officers | Directors |
Age | Director Since | Freddie Mac Committees | Public Company Directorships | ||||||||||||||
55 | October 2019 | • | Audit | • | None | ||||||||||||
• | Nominating and Governance | ||||||||||||||||
• | Operations and Technology |
Age | Director Since | Freddie Mac Committees | Public Company Directorships | ||||||||||||||
57 | June 2021 | • | Executive | None |
Age | Director Since | Freddie Mac Committees | Public Company Directorships | ||||||||||||||
67 | July 2015 | • | Audit | • | AvidXchange Holdings, Inc. | ||||||||||||
• | Compensation and Human Capital, Chair | • | United Community Banks, Inc. | ||||||||||||||
• | Executive | ||||||||||||||||
• | Operations and Technology |
FREDDIE MAC | 2021 Form 10-K | 241 |
Directors, Corporate Governance, and Executive Officers | Directors |
Age | Director Since | Freddie Mac Committees | Public Company Directorships | ||||||||||||||
59 | January 2019 | • | Audit, Chair | None | |||||||||||||
• | Compensation and Human Capital | ||||||||||||||||
• | Executive |
Age | Director Since | Freddie Mac Committees | Public Company Directorships | ||||||||||||||
69 | February 2020 | • | Executive | None | |||||||||||||
• | Nominating and Governance, Chair | ||||||||||||||||
• | Risk |
FREDDIE MAC | 2021 Form 10-K | 242 |
Directors, Corporate Governance, and Executive Officers | Directors |
Age | Director Since | Freddie Mac Committees | Public Company Directorships | ||||||||||||||
61 | March 2018 | • | Compensation and Human Capital | None | |||||||||||||
• | Risk |
Age | Director Since | Freddie Mac Committees | Public Company Directorships | ||||||||||||||
62 | December 2017 | • | Executive | None | |||||||||||||
• | Nominating and Governance | ||||||||||||||||
• | Operations and Technology | ||||||||||||||||
• | Risk, Chair |
Age | Director Since | Freddie Mac Committees | Public Company Directorships | ||||||||||||||
66 | December 2013 | • | Executive, Chair | • | Dropbox, Inc. | ||||||||||||
• | State Street Corporation | ||||||||||||||||
• | Xos, Inc. |
FREDDIE MAC | 2021 Form 10-K | 243 |
Directors, Corporate Governance, and Executive Officers | Directors |
Age | Director Since | Freddie Mac Committees | Public Company Directorships | ||||||||||||||
55 | September 2020 | • | Audit | • | Beazer Homes USA, Inc. | ||||||||||||
• | Nominating and Governance |
Age | Director Since | Freddie Mac Committees | Public Company Directorships | ||||||||||||||
53 | June 2021 | • | Compensation and Human Capital | None | |||||||||||||
• | Operations and Technology | ||||||||||||||||
• | Risk |
FREDDIE MAC | 2021 Form 10-K | 244 |
Directors, Corporate Governance, and Executive Officers | Corporate Governance |
FREDDIE MAC | 2021 Form 10-K | 245 |
Directors, Corporate Governance, and Executive Officers | Corporate Governance |
FREDDIE MAC | 2021 Form 10-K | 246 |
Directors, Corporate Governance, and Executive Officers | Corporate Governance |
FREDDIE MAC | 2021 Form 10-K | 247 |
Directors, Corporate Governance, and Executive Officers | Corporate Governance |
Committee | Meetings in 2021 | Chair | Members | ||||||||||||||
Audit Committee | 10 Committee meetings | Aleem Gillani | • | Kathleen L. Casey | |||||||||||||
• | Kevin G. Chavers(1) | ||||||||||||||||
• | Lance F. Drummond | ||||||||||||||||
• | Allan P. Merrill | ||||||||||||||||
Compensation and Human Capital Committee | 8 Committee meetings | Lance F. Drummond | • | Mark H. Bloom | |||||||||||||
• | Aleem Gillani | ||||||||||||||||
• | Christopher E. Herbert | ||||||||||||||||
• | Alberto G. Musalem | ||||||||||||||||
Executive Committee | None | Sara Mathew | • | Mark H. Bloom | |||||||||||||
• | Michael J. DeVito | ||||||||||||||||
• | Lance F. Drummond | ||||||||||||||||
• | Aleem Gillani | ||||||||||||||||
• | Mark B. Grier | ||||||||||||||||
• | Grace A. Huebscher | ||||||||||||||||
Nominating and Governance Committee | 7 Committee meetings | Mark B. Grier | • | Kathleen L. Casey | |||||||||||||
• | Kevin G. Chavers (1) | ||||||||||||||||
• | Grace A. Huebscher | ||||||||||||||||
• | Allan P. Merrill | ||||||||||||||||
Operations and Technology (established in October 2021) | 1 Committee meeting | Mark H. Bloom | • | Kathleen L. Casey | |||||||||||||
• | Lance F. Drummond | ||||||||||||||||
• | Luke S. Hayden(1) | ||||||||||||||||
• | Grace A. Huebscher | ||||||||||||||||
• | Alberto G. Musalem | ||||||||||||||||
Risk Committee | 7 Committee meetings | Grace A. Huebscher | • | Mark H. Bloom | |||||||||||||
• | Mark B. Grier | ||||||||||||||||
• | Luke S. Hayden(1) | ||||||||||||||||
• | Christopher E. Herbert | ||||||||||||||||
• | Alberto G. Musalem | ||||||||||||||||
FREDDIE MAC | 2021 Form 10-K | 248 |
Directors, Corporate Governance, and Executive Officers | Corporate Governance |
FREDDIE MAC | 2021 Form 10-K | 249 |
Directors, Corporate Governance, and Executive Officers | Corporate Governance |
FREDDIE MAC | 2021 Form 10-K | 250 |
Directors, Corporate Governance, and Executive Officers | Corporate Governance |
Board Service | Cash Compensation | |||||||
Annual Retainer for Non-Executive Chair | $290,000 | |||||||
Annual Retainer for Non-Employee Directors (other than the Non-Executive Chair) | 160,000 | |||||||
Committee Service | Cash Compensation | |||||||
Annual Retainer for Audit Committee Chair | $25,000 | |||||||
Annual Retainer for Risk Committee Chair | 15,000 | |||||||
Annual Retainer for Committee Chairs (other than Audit or Risk) | 10,000 | |||||||
Annual Retainer for Audit Committee Members | 10,000 |
FREDDIE MAC | 2021 Form 10-K | 251 |
Directors, Corporate Governance, and Executive Officers | Corporate Governance |
Non-Employee Director | Fees Earned or Paid in Cash(1) | Total | ||||||||||||
Sara Mathew | $290,000 | $290,000 | ||||||||||||
Mark H. Bloom(2) | 162,391 | 162,391 | ||||||||||||
Kathleen L. Casey | 170,000 | 170,000 | ||||||||||||
Lance F. Drummond | 180,000 | 180,000 | ||||||||||||
Aleem Gillani | 185,000 | 185,000 | ||||||||||||
Mark B. Grier(3) | 125,631 | 125,631 | ||||||||||||
Christopher E. Herbert | 160,000 | 160,000 | ||||||||||||
Grace A. Huebscher | 170,000 | 170,000 | ||||||||||||
Allan P. Merrill | 170,000 | 170,000 | ||||||||||||
Alberto G. Musalem(4) | 86,154 | 86,154 | ||||||||||||
Saiyid T. Naqvi(5) | 175,000 | 175,000 | ||||||||||||
Paul T. Schumacher(5) | 18,417 | 18,417 |
FREDDIE MAC | 2021 Form 10-K | 252 |
Directors, Corporate Governance, and Executive Officers | Executive Officers |
Age | Year of Affiliation | Position | ||||||
57 | 2021 | Chief Executive Officer |
Age | Year of Affiliation | Position | ||||||
66 | 2013 | President |
Age | Year of Affiliation | Position | ||||||
52 | 2020 | Executive Vice President & Chief Financial Officer |
Age | Year of Affiliation | Position | ||||||
48 | 1995 | Executive Vice President - Single-Family Business |
Age | Year of Affiliation | Position | ||||||
49 | 2010 | Senior Vice President - Investments and Capital Markets |
FREDDIE MAC | 2021 Form 10-K | 253 |
Directors, Corporate Governance, and Executive Officers | Executive Officers |
Age | Year of Affiliation | Position | ||||||
58 | 2015 | Executive Vice President - Chief Risk Officer |
Age | Year of Affiliation | Position | ||||||
60 | 2018 | Executive Vice President - Enterprise Operations & Technology |
Age | Year of Affiliation | Position | ||||||
63 | 2003 | Executive Vice President - Chief Administrative Officer & Interim General Counsel |
FREDDIE MAC | 2021 Form 10-K | 254 |
Executive Compensation | Compensation Discussion and Analysis |
Named Executive Officers | |||||
Michael DeVito | Chief Executive Officer(1) | ||||
Michael T. Hutchins | President(2) | ||||
Christian M. Lown | Executive Vice President & Chief Financial Officer | ||||
Donna Corley | Executive Vice President - Single-Family Business | ||||
Anil Hinduja | Executive Vice President - Chief Risk Officer | ||||
Jerry Weiss | Executive Vice President - Chief Administrative Officer & Interim General Counsel | ||||
Mark B. Grier | Former Interim Chief Executive Officer(3) | ||||
David M. Brickman | Former Chief Executive Officer(4) | ||||
FREDDIE MAC | 2021 Form 10-K | 255 |
Executive Compensation | Compensation Discussion and Analysis |
Base Salary Rate | Deferred Salary | |||||||||||||||||||||||||||||||
n | The amount earned in each quarter, including interest, is paid (1) on the last pay date of the corresponding quarter in the first year following the performance period for Fixed Deferred Salary; and (2) on the last pay date of the corresponding quarter in either the first or second year following the performance period for At-Risk Deferred Salary(1) | |||||||||||||||||||||||||||||||
Fixed Deferred Salary | At-Risk Deferred Salary | |||||||||||||||||||||||||||||||
n | To encourage achievement of conservatorship, corporate, and individual performance goals | |||||||||||||||||||||||||||||||
Conservatorship Scorecard and Assessment Criteria | Corporate Scorecard / Individual | |||||||||||||||||||||||||||||||
n | Cannot exceed $600,000 without approval from FHFA | n | To encourage executive retention | n | Subject to reduction based on Conservatorship Scorecard performance and the Assessment Criteria | n | Subject to reduction based on performance against both the Corporate Scorecard and individual objectives | |||||||||||||||||||||||||
n | Equal to total Deferred Salary less the At-Risk portion | |||||||||||||||||||||||||||||||
FREDDIE MAC | 2021 Form 10-K | 256 |
Executive Compensation | Compensation Discussion and Analysis |
What We Do | What We Don't Do | |||||||||||||
n | Clawback provisions with a significant portion of compensation subject to recapture and/or forfeiture | n | No agreements that guarantee a specific amount of compensation for a specified term of employment | |||||||||||
n | Use of an independent compensation consultant by the Compensation and Human Capital Committee | n | No golden parachute payments or other similar change in control provisions | |||||||||||
n | Annual compensation risk review | n | No tax "gross-ups" | |||||||||||
n | No executive perquisites other than reimbursement of tax, estate, and/or personal financial planning (which we discontinued in 2022) and reimbursement of relocation expenses | n | No hedging or pledging of company securities permitted | |||||||||||
n | Evaluation of company performance against multiple measures, including non-financial measures | |||||||||||||
FREDDIE MAC | 2021 Form 10-K | 257 |
Executive Compensation | Compensation Discussion and Analysis |
The Allstate Corporation | Fannie Mae | Prudential Financial, Inc. | |||||||||||||||
Ally Financial Inc. | Fifth Third Bancorp | Regions Financial Corporation | |||||||||||||||
American Express Company | The Hartford Financial Services Group, Inc. | State Street Corporation | |||||||||||||||
American International Group, Inc. | JPMorgan Chase & Co* | Synchrony Financial | |||||||||||||||
Bank of America Corporation* | KeyCorp | Truist Financial Corporation | |||||||||||||||
The Bank of New York Mellon Corporation | Mastercard Incorporated | U.S. Bancorp | |||||||||||||||
Capital One Financial Corporation | MetLife, Inc. | Visa, Inc. | |||||||||||||||
Citigroup Inc.* | Northern Trust Corporation | Voya Financial, Inc. | |||||||||||||||
Citizens Financial Group, Inc. | PNC Financial Services Group, Inc. | Wells Fargo & Company* | |||||||||||||||
Discover Financial Services | |||||||||||||||||
* | Only mortgage or real estate division-level compensation data from these diversified banking firms may be utilized where available and appropriate for the position being benchmarked. | ||||||||||||||||
2021 Target TDC | |||||||||||||||||||||||||||||||||||
Named Executive Officer(1) | Base Salary Rate | Fixed Deferred Salary | At-Risk Deferred Salary | Target TDC | |||||||||||||||||||||||||||||||
Michael T. Hutchins | $600,000 | $1,675,000 | $975,000 | $3,250,000 | |||||||||||||||||||||||||||||||
Christian M. Lown(2) | 600,000 | 1,500,000 | 900,000 | 3,000,000 | |||||||||||||||||||||||||||||||
Donna M. Corley(3) | 600,000 | 1,176,923 | 761,538 | 2,538,461 | |||||||||||||||||||||||||||||||
Anil D. Hinduja | 600,000 | 1,220,000 | 780,000 | 2,600,000 | |||||||||||||||||||||||||||||||
Jerry Weiss | 600,000 | 975,000 | 675,000 | 2,250,000 |
FREDDIE MAC | 2021 Form 10-K | 258 |
Executive Compensation | Compensation Discussion and Analysis |
Performance Goals | FHFA's Summary of Performance | ||||||||||||||||||||||
I.Foster CLEAR National Housing Finance Markets | |||||||||||||||||||||||
• | Housing Goals / Duty-to-Serve: Fulfill Freddie Mac’s Housing Goals and Duty-to-Serve plans by offering sustainable mortgage programs and conducting effective outreach. | Goal was achieved.(1) | |||||||||||||||||||||
• | UMBS: Carefully monitor and maintain UMBS cash flow alignment and take such further steps as necessary to ensure a well-functioning TBA securitization market. | Goal was achieved. | |||||||||||||||||||||
• | Key On-going Initiatives: Successfully continue to implement key on-going initiatives. | All goals were achieved. | |||||||||||||||||||||
- | COVID-19 Market Actions - Continue to respond as appropriate to mortgage market needs related to COVID-19. | ||||||||||||||||||||||
- | Multifamily Caps - manage to the multifamily cap requirements announced November 17, 2020. | ||||||||||||||||||||||
- | Credit Score Rule - Continue implementation of the final Credit Score Rule with adherence to the regulation’s requirements in a timely and effective manner. | ||||||||||||||||||||||
- | Collateral Evaluation Request for Information Process - Continue to support FHFA’s assessment of the collateral evaluation process, including alternative appraisal approaches and supporting technology. | ||||||||||||||||||||||
- | LIBOR Transition - Continue to ensure that there is an effective transition from LIBOR to approved alternative reference rates by announcing plans and milestones to transition legacy LIBOR products. | ||||||||||||||||||||||
• | Level Playing Field Standards and Increased Transparency: | FHFA suspended these goals. | |||||||||||||||||||||
- | Support strategies that enhance a level playing field for a wide range of mortgage market participants. |
FREDDIE MAC | 2021 Form 10-K | 259 |
Executive Compensation | Compensation Discussion and Analysis |
Performance Goals | FHFA's Summary of Performance | ||||||||||||||||||||||
- | Continue to comply with prohibitions on volume-based pricing for purchases of mortgage loans from lenders and work to ensure that all approved lenders have access to Freddie Mac programs on consistent terms. | ||||||||||||||||||||||
- | Continue to operate the cash window and whole loan conduit and implement requirements related to focusing cash window and whole loan conduit purchases on small and regional lenders. | ||||||||||||||||||||||
- | Continue to assess additional data that could be made publicly available to inform risk transfer markets and foster a competitive mortgage market that does not crowd out private capital. | ||||||||||||||||||||||
• | Efficient Operation of State and Local Housing Markets: Assess opportunities and seek stakeholder feedback through an RFI to support and encourage state and local policies that enable the housing market to function more efficiently by (1) reducing the cost of housing production and/or (2) lowering the cost or risk of providing mortgage financing. | Goal was achieved. | |||||||||||||||||||||
• | Natural Disaster Assessment: Monitor risks and exposures to Freddie Mac’s books of business from natural disasters. | Goal was achieved. | |||||||||||||||||||||
II. Ensure Safety and Soundness | |||||||||||||||||||||||
• | Risk Profile: Develop appropriate Freddie Mac risk limits to ensure risk and complexity are reduced to levels more appropriate for regulated entities with limited capital cushions. | FHFA suspended this goal. | |||||||||||||||||||||
• | Capital Management and Planning: Implement capital management and capital planning capabilities that transition away from the existing Conservatorship Capital Framework to the Enterprise Capital Rule requirements. | All goals were achieved. | |||||||||||||||||||||
- | Develop and implement transition plans that achieve compliance with the Enterprise Capital Rule in a reasonable amount of time under alternative scenarios. | ||||||||||||||||||||||
- | Implement capabilities to allocate capital and manage risk dynamically. | ||||||||||||||||||||||
- | Develop and implement sound capital management plans that appropriately tailor risk to Freddie Mac capital levels and incorporate resolution planning objectives. | ||||||||||||||||||||||
• | Resolution Planning: Begin developing, in coordination with and pursuant to guidance from FHFA, a plan to resolve Freddie Mac without recourse to extraordinary support from Treasury or taxpayers, that preserves the core businesses of Freddie Mac and minimizes potential disruption to housing and finance markets. | Goal was achieved. | |||||||||||||||||||||
• | Risk Transfer: Continue to transfer credit risk to private markets in a commercially reasonable and safe and sound manner, including actively pursuing sales of less liquid assets such as non-performing loans and re-performing loans. | Goal was achieved. | |||||||||||||||||||||
• | Mortgage Selling and Servicing: Continue mortgage selling, servicing, and asset management efforts that promote stability and readiness for continued COVID-19 stress and the potential for more challenging market conditions. | All goals were achieved. Note that FHFA deferred the implementation of the updated Seller / Servicer Eligibility Requirements. | |||||||||||||||||||||
- | Assist FHFA in finalizing and implementing updated Seller / Servicer Eligibility Requirements. | ||||||||||||||||||||||
- | Continue to assess additional counterparty risk management controls and requirements that further ensure appropriate safety and soundness. | ||||||||||||||||||||||
- | Continue to assess readiness and capability of servicers and appropriateness of servicing policies and processes. | ||||||||||||||||||||||
- | Carefully assess and mitigate, to the extent possible, any material adverse risk impacts from COVID-19 selling or servicing flexibilities. | ||||||||||||||||||||||
- | Partner with FHFA, the Mortgage Industry Standards Maintenance Organization (MISMO) and the Servicing Transfers Development Work Group membership, including the Consumer Financial Protection Bureau (CFPB), to further data standardization efforts. | ||||||||||||||||||||||
• | Core Operations and Technology: Increase focus on core Freddie Mac operational and technology management to ensure stability, resiliency, efficiency, and risk reduction. | All goals were achieved. | |||||||||||||||||||||
- | Continue efforts to enhance business resiliency and recovery management capabilities to minimize the impact of disruptions and maintain business operations for mission-critical processes. | ||||||||||||||||||||||
- | Continue efforts to protect the availability, security, integrity, and confidentiality of information. | ||||||||||||||||||||||
- | Continue efforts to improve the efficiency and effectiveness of operations, including multi-year planning for legacy system modernization. | ||||||||||||||||||||||
- | Continue efforts to establish and improve enterprise-level data management and governance capabilities. |
FREDDIE MAC | 2021 Form 10-K | 260 |
Executive Compensation | Compensation Discussion and Analysis |
Performance Goals | FHFA's Summary of Performance | ||||||||||||||||||||||
- | Ensure that the structure and design of core operations and technology systems are reflected in Freddie Mac resolution planning efforts. | ||||||||||||||||||||||
- | In partnership with CSS, ensure that CSS and the Common Securitization Platform (CSP) support the securitization needs of the Enterprises and operate in an efficient and safe and sound manner. | ||||||||||||||||||||||
III. Prepare for a Transition Out of Conservatorship | |||||||||||||||||||||||
• | Efficient Utilization of Capital: Develop and implement strategies that ensure the efficient utilization of capital targeted to support the core guaranty business with adequate returns to attract the private capital necessary to enable an exit from the conservatorship. | This goals was consolidated under "II. Ensure Safety and Soundness - Capital Management and Planning" per direction from FHFA. | |||||||||||||||||||||
• | Common Securitization Platform Strategy: Continue efforts to develop and implement, in conjunction with FHFA, a post-conservatorship strategy and governance framework for CSS/CSP. | We achieved this goal by providing FHFA with the requested analysis and recommendation. In October 2021, FHFA decided to better align CSS’ governance structure with its core mission of supporting the Enterprises. | |||||||||||||||||||||
• | Address Identified Areas in Need of Improvement: Timely resolve supervisory findings to FHFA’s satisfaction, and maintain an effective process to ensure that new findings are remediated by management in a timely fashion with appropriate board oversight. | Goal was achieved. | |||||||||||||||||||||
• | Fair Lending: Maintain a sustainable, effective process for fair lending risk assessment, monitoring, and mitigation, and work with the FHFA’s Office of Fair Lending Oversight to prepare for transition to post-conservatorship fair lending supervision and oversight. | Goal was achieved. |
FREDDIE MAC | 2021 Form 10-K | 261 |
Executive Compensation | Compensation Discussion and Analysis |
Corporate Scorecard Goal | Assessment of Performance | ||||
Financial Measures | The company exceeded all elements of this goal with strong financial results and capital accretion. | ||||
Major Conservatorship Exit Milestones | The company achieved or exceeded all elements of this goal, including executing on our capital management roadmap and preparing for resolution planning. | ||||
Major Remediation and Risk Reduction Milestones | The company achieved all elements of this goal, including remediation of significant issues, maturation of firm-wide risk management, and managing risk within established limits. | ||||
Technology | The company exceeded all elements of this goal, including achieving capability milestones in information security. | ||||
Business Transformation | The company achieved all elements of this goal through improvements in operational resiliency, payment modernization, information lifecycle management, and third party risk management. | ||||
People and Culture | The company achieved or exceeded all elements of this goal, including the development of strategies and programs to support our corporate culture evolution. | ||||
Inclusion and Diversity | The company achieved or exceeded all elements of this goal through the engagement of minority-, woman-, and disabled-owned businesses in capital markets and corporate transactions. | ||||
Mission | The company achieved all elements of this goal, including, based on preliminary information, meeting our 2021 single-family and multifamily affordable housing goals, and developing strategies to address racial and social injustice in the housing market. | ||||
FREDDIE MAC | 2021 Form 10-K | 262 |
Executive Compensation | Compensation Discussion and Analysis |
Michael T. Hutchins, President | ||||||||
Performance Highlights | ||||||||
n | Effectively assumed leadership over Freddie Mac’s major divisions: Single-Family, Multifamily, Investments & Capital Markets, Enterprise Operations & Technology, and Administration. | |||||||
n | Provided strong leadership on all aspects of the company, including: developing the company’s business plan and financial budget; designing the Future of Work strategy; and other key priorities such as resolution planning and capital deliverables. | |||||||
n | Led the Single-Family and Multifamily businesses to develop impactful equitable housing and sustainable homeownership plans as well as initiatives related to affordable housing and Duty to Serve goals. | |||||||
n | Continued to enhance liquidity in the capital markets, level the playing field between small and large mortgage originators, and offer innovative credit risk transfer structures while managing to various risk/capital/volume limitations. | |||||||
n | Restructured the company’s operations and technology function to realign resources to enhance business synergies, increased operational efficiency with targeted investments for system modernization, and continued to strengthen operational risk management, including technology resiliency and cybersecurity capabilities. | |||||||
At-Risk Deferred Salary (Corporate Scorecard/Individual) Funding Decision | ||||||||
The CHC Committee determined that Mr. Hutchins should receive 100% of his At-Risk Deferred Salary that was subject to reduction based on the company's performance against the Corporate Scorecard and his individual performance. |
FREDDIE MAC | 2021 Form 10-K | 263 |
Executive Compensation | Compensation Discussion and Analysis |
Jerry Weiss, Executive Vice President - Chief Administrative Officer & Interim General Counsel | |||||
Performance Highlights | |||||
n | Outstanding leadership performing dual senior executive-level roles as both Chief Administrative Officer and Interim General Counsel for almost the entire year. | ||||
n | Provided guidance to the Board and senior management on a wide range of legal and governance issues, including: a variety of complex business-line initiatives; the transition in leadership of Freddie Mac; the development of equitable and sustainable housing plans; resolution planning; and implementation of initiatives to reduce risk and increase efficiency to support new products. | ||||
n | Played a key role in partnering with the CEO and the Board in developing the company’s updated strategic plan and related corporate priorities and objectives. | ||||
n | Partnered with other leaders to continue providing support to meet the evolving needs of the company, including: addressing FHFA’s regulatory and conservatorship initiatives; advancing housing and economic research and internal and external communications, and improving employees' on-site experience. | ||||
n | Led the company’s Future of Work strategy and partnered with other leaders on the Return-to-Office planning to help grow our talent and support our staff in a dynamic environment due to COVID-19. | ||||
n | Provided strong leadership in the ongoing development of the staff of the Legal and Administrative divisions with continued focus on leadership and management skills development. | ||||
At-Risk Deferred Salary (Corporate Scorecard/Individual) Funding Decision | |||||
The CHC Committee determined that Mr. Weiss should receive 100% of his At-Risk Deferred Salary that was subject to reduction based on the company's performance against the Corporate Scorecard and his individual performance. |
FREDDIE MAC | 2021 Form 10-K | 264 |
Executive Compensation | Compensation Discussion and Analysis |
2021 Actual Deferred Salary | |||||||||||||||||||||||
Fixed | At-Risk | ||||||||||||||||||||||
Named Executive Officer | Conservatorship Scorecard | Corporate Scorecard/ Individual | |||||||||||||||||||||
Mr. Hutchins | $1,675,000 | $448,500 | $487,500 | ||||||||||||||||||||
Mr. Lown | 1,500,000 | 414,000 | 450,000 | ||||||||||||||||||||
Ms. Corley | 1,176,923 | 350,308 | 371,250 | ||||||||||||||||||||
Mr. Hinduja | 1,220,000 | 358,800 | 390,000 | ||||||||||||||||||||
Mr. Weiss | 975,000 | 310,500 | 337,500 |
FREDDIE MAC | 2021 Form 10-K | 265 |
Executive Compensation | Compensation Discussion and Analysis |
FREDDIE MAC | 2021 Form 10-K | 266 |
Executive Compensation | Compensation Discussion and Analysis |
FREDDIE MAC | 2021 Form 10-K | 267 |
Executive Compensation | Compensation Discussion and Analysis |
FREDDIE MAC | 2021 Form 10-K | 268 |
Executive Compensation | Compensation Discussion and Analysis |
FREDDIE MAC | 2021 Form 10-K | 269 |
Executive Compensation | Compensation Discussion and Analysis |
Lance F. Drummond, Chair | ||
Mark H. Bloom | ||
Aleem Gillani | ||
Christopher E. Herbert | ||
Alberto G. Musalem |
FREDDIE MAC | 2021 Form 10-K | 270 |
Executive Compensation | Compensation and Risk |
FREDDIE MAC | 2021 Form 10-K | 271 |
Executive Compensation | CEO Pay Ratio |
CEO Pay Ratio | |||||||||||
Employee | Total Compensation | Ratio | |||||||||
Michael J. DeVito (CEO) | $687,647(1) | 4.5 to 1 | |||||||||
Median Employee | 154,483(2) |
FREDDIE MAC | 2021 Form 10-K | 272 |
Executive Compensation | 2021 Compensation Information for NEOs |
Salary | Bonus(3) | Non-Equity Incentive Plan Compensation(4) | All Other Compensation(5) | Total | ||||||||||||||||||||||||||||||||||
Named Executive Officer | Year | Earned During Year(1) | Deferred(2) | |||||||||||||||||||||||||||||||||||
Michael J. DeVito(6) | 2021 | $355,385 | $— | $— | $— | $87,647 | $443,032 | |||||||||||||||||||||||||||||||
Chief Executive Officer | ||||||||||||||||||||||||||||||||||||||
Michael T. Hutchins | 2021 | 600,000 | 1,675,000 | — | 936,468 | 102,838 | 3,314,306 | |||||||||||||||||||||||||||||||
President | 2020 | 623,077 | 1,675,000 | — | 884,476 | 119,239 | 3,301,792 | |||||||||||||||||||||||||||||||
2019 | 600,000 | 1,675,000 | — | 913,735 | 123,634 | 3,312,369 | ||||||||||||||||||||||||||||||||
Christian M. Lown(6) | 2021 | 600,000 | 1,500,000 | 475,000 | 864,864 | 116,682 | 3,556,546 | |||||||||||||||||||||||||||||||
EVP & Chief Financial Officer | 2020 | 334,616 | 815,934 | — | 447,610 | 49,096 | 1,647,256 | |||||||||||||||||||||||||||||||
Donna M. Corley(6) | 2021 | 600,000 | 1,176,923 | — | 721,918 | 102,588 | 2,601,429 | |||||||||||||||||||||||||||||||
EVP - Single-Family Business | ||||||||||||||||||||||||||||||||||||||
Anil D. Hinduja | 2021 | 600,000 | 1,220,000 | — | 749,174 | 102,610 | 2,671,784 | |||||||||||||||||||||||||||||||
EVP - Chief Risk Officer | 2020 | 623,077 | 1,220,000 | — | 707,581 | 115,622 | 2,666,280 | |||||||||||||||||||||||||||||||
2019 | 600,000 | 1,220,000 | — | 730,988 | 117,651 | 2,668,639 | ||||||||||||||||||||||||||||||||
Jerry Weiss(6) | 2021 | 600,000 | 975,000 | — | 648,324 | 102,488 | 2,325,812 | |||||||||||||||||||||||||||||||
EVP - Chief Administrative Officer & Interim General Counsel | ||||||||||||||||||||||||||||||||||||||
Mark B. Grier(6) | 2021 | 129,231 | — | — | — | — | 129,231 | |||||||||||||||||||||||||||||||
Former Interim Chief Executive Officer | ||||||||||||||||||||||||||||||||||||||
David M. Brickman(7) | 2021 | 11,538 | — | — | — | 981 | 12,519 | |||||||||||||||||||||||||||||||
Former Chief Executive Officer | 2020 | 600,000 | — | — | — | 102,000 | 702,000 | |||||||||||||||||||||||||||||||
2019 | 600,000 | 837,500 | — | 456,867 | 112,621 | 2,006,988 | ||||||||||||||||||||||||||||||||
FREDDIE MAC | 2021 Form 10-K | 273 |
Executive Compensation | 2021 Compensation Information for NEOs |
Named Executive Officer | Thrift/401(k) Plan Contributions | SERP Benefit Accruals | Interest on Fixed Deferred Salary | Relocation and Financial Planning Expenses | ||||||||||||||||||||||
Mr. DeVito | $— | $— | $— | $87,647 | ||||||||||||||||||||||
Mr. Hutchins | 24,650 | 77,350 | 838 | — | ||||||||||||||||||||||
Mr. Lown | 9,419 | 49,427 | 750 | 57,086 | ||||||||||||||||||||||
Ms. Corley | 24,650 | 77,350 | 588 | — | ||||||||||||||||||||||
Mr. Hinduja | 24,650 | 77,350 | 610 | — | ||||||||||||||||||||||
Mr. Weiss | 24,650 | 77,350 | 488 | — | ||||||||||||||||||||||
Mr. Grier | — | — | — | — | ||||||||||||||||||||||
Mr. Brickman | 981 | — | — | — |
FREDDIE MAC | 2021 Form 10-K | 274 |
Executive Compensation | 2021 Compensation Information for NEOs |
Estimated Future Payouts Under Non-Equity Incentive Plan Awards(2) | ||||||||||||||||||||
Named Executive Officer(1) | At-Risk Deferred Salary Award | Threshold | Target/Maximum | |||||||||||||||||
Mr. Hutchins | Conservatorship Scorecard | — | $487,500 | |||||||||||||||||
Corporate Scorecard/Individual | — | 487,500 | ||||||||||||||||||
Total | — | 975,000 | ||||||||||||||||||
Mr. Lown | Conservatorship Scorecard | — | 450,000 | |||||||||||||||||
Corporate Scorecard/Individual | — | 450,000 | ||||||||||||||||||
Total | — | 900,000 | ||||||||||||||||||
Ms. Corley | Conservatorship Scorecard | — | 380,769 | |||||||||||||||||
Corporate Scorecard/Individual | — | 380,769 | ||||||||||||||||||
Total | — | 761,538 | ||||||||||||||||||
Mr. Hinduja | Conservatorship Scorecard | — | 390,000 | |||||||||||||||||
Corporate Scorecard/Individual | — | 390,000 | ||||||||||||||||||
Total | — | 780,000 | ||||||||||||||||||
Mr. Weiss | Conservatorship Scorecard | — | 337,500 | |||||||||||||||||
Corporate Scorecard/Individual | — | 337,500 | ||||||||||||||||||
Total | — | 675,000 | ||||||||||||||||||
FREDDIE MAC | 2021 Form 10-K | 275 |
Executive Compensation | 2021 Compensation Information for NEOs |
Named Executive Officer | Executive Contribution in Last FY ($)(1) | Freddie Mac Accruals in Last FY ($)(2) | Aggregate Earnings in Last FY ($)(3) | Aggregate Withdrawals/ Distributions ($) | Balance at Last FYE ($)(4) | ||||||||||||||||||||||||||||||
Mr. DeVito(5) | |||||||||||||||||||||||||||||||||||
SERP Benefit | $— | $— | $— | $— | $— | ||||||||||||||||||||||||||||||
Mr. Hutchins | |||||||||||||||||||||||||||||||||||
SERP Benefit | — | 77,350 | 99,043 | — | 740,207 | ||||||||||||||||||||||||||||||
Mr. Lown | |||||||||||||||||||||||||||||||||||
SERP Benefit | — | 49,427 | 2,073 | — | 51,500 | ||||||||||||||||||||||||||||||
Ms. Corley | |||||||||||||||||||||||||||||||||||
SERP Benefit | — | 77,350 | 154,676 | — | 1,334,717 | ||||||||||||||||||||||||||||||
SERP II Benefit | — | — | 18 | — | 171,378 | ||||||||||||||||||||||||||||||
Mr. Hinduja | |||||||||||||||||||||||||||||||||||
SERP Benefit | — | 77,350 | 91,387 | — | 620,423 | ||||||||||||||||||||||||||||||
Mr. Weiss | |||||||||||||||||||||||||||||||||||
SERP Benefit | — | 77,350 | 241,010 | — | 2,095,066 | ||||||||||||||||||||||||||||||
SERP II Benefit | — | — | 37,819 | — | 533,014 | ||||||||||||||||||||||||||||||
Mr. Grier(5) | |||||||||||||||||||||||||||||||||||
SERP Benefit | — | — | — | — | — | ||||||||||||||||||||||||||||||
Mr. Brickman | |||||||||||||||||||||||||||||||||||
SERP Benefit | — | — | 232,362 | — | 1,218,661(6) | ||||||||||||||||||||||||||||||
SERP II Benefit | — | — | 111,658 | — | 531,728 |
FREDDIE MAC | 2021 Form 10-K | 276 |
Executive Compensation | 2021 Compensation Information for NEOs |
FREDDIE MAC | 2021 Form 10-K | 277 |
Executive Compensation | 2021 Compensation Information for NEOs |
Named Executive Officer(1) | Death | Disability | Retirement(2) | All Other Not For Cause Terminations(3) | ||||||||||||||||||||||
Michael T. Hutchins | ||||||||||||||||||||||||||
Deferred Salary: | ||||||||||||||||||||||||||
Fixed | $1,675,000 | $1,675,000 | $1,675,000 | |||||||||||||||||||||||
At Risk-Conservatorship Scorecard(4) | 487,500 | 487,500 | 448,500 | |||||||||||||||||||||||
At Risk-Corporate Scorecard/Individual(5) | 487,500 | 487,500 | 487,500 | |||||||||||||||||||||||
Interest on Deferred Salary(6) | 827 | 1,325 | 1,306 | |||||||||||||||||||||||
Total | $2,650,827 | $2,651,325 | $2,612,306 | |||||||||||||||||||||||
Christian M. Lown | ||||||||||||||||||||||||||
Deferred Salary: | ||||||||||||||||||||||||||
Fixed | $1,500,000 | $1,500,000 | $1,110,000 | |||||||||||||||||||||||
At Risk-Conservatorship Scorecard(4)(7) | 450,000 | 450,000 | 414,000 | |||||||||||||||||||||||
At Risk-Corporate Scorecard/Individual(5)(7) | 450,000 | 450,000 | 450,000 | |||||||||||||||||||||||
Interest on Deferred Salary(6) | 749 | 1,650 | 1,419 | |||||||||||||||||||||||
Total | $2,400,749 | $2,401,650 | $1,975,419 | |||||||||||||||||||||||
Donna M. Corley | ||||||||||||||||||||||||||
Deferred Salary: | ||||||||||||||||||||||||||
Fixed | $1,176,923 | $1,176,923 | $870,923 | |||||||||||||||||||||||
At Risk-Conservatorship Scorecard(4) | 380,769 | 380,769 | 350,308 | |||||||||||||||||||||||
At Risk-Corporate Scorecard/Individual(5) | 380,769 | 380,769 | 371,250 | |||||||||||||||||||||||
Interest on Deferred Salary(6) | 544 | 969 | 796 | |||||||||||||||||||||||
Total | $1,939,005 | $1,939,430 | $1,593,277 | |||||||||||||||||||||||
Anil D. Hinduja | ||||||||||||||||||||||||||
Deferred Salary: | ||||||||||||||||||||||||||
Fixed | $1,220,000 | $1,220,000 | $902,800 | |||||||||||||||||||||||
At Risk-Conservatorship Scorecard(4) | 390,000 | 390,000 | 358,800 | |||||||||||||||||||||||
At Risk-Corporate Scorecard/Individual(5) | 390,000 | 390,000 | 390,000 | |||||||||||||||||||||||
Interest on Deferred Salary(6) | 624 | 1,000 | 826 | |||||||||||||||||||||||
Total | $2,000,624 | $2,001,000 | $1,652,426 | |||||||||||||||||||||||
Jerry Weiss | ||||||||||||||||||||||||||
Deferred Salary: | ||||||||||||||||||||||||||
Fixed | $975,000 | $975,000 | $975,000 | |||||||||||||||||||||||
At Risk-Conservatorship Scorecard(4) | 337,500 | 337,500 | 310,500 | |||||||||||||||||||||||
At Risk-Corporate Scorecard/Individual(5) | 337,500 | 337,500 | 337,500 | |||||||||||||||||||||||
Interest on Deferred Salary(6) | 515 | 825 | 812 | |||||||||||||||||||||||
Total | $1,650,515 | $1,650,825 | $1,623,812 | |||||||||||||||||||||||
FREDDIE MAC | 2021 Form 10-K | 278 |
Executive Compensation | 2021 Compensation Information for NEOs |
FREDDIE MAC | 2021 Form 10-K | 279 |
Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters |
FREDDIE MAC | 2021 Form 10-K | 280 |
Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters |
5% Holders(1) | Common Stock Beneficially Owned | Percent of Class | ||||||
U.S. Department of the Treasury 1500 Pennsylvania Avenue, NW Washington, D.C. 20220 | Variable(2) | 79.9% |
FREDDIE MAC | 2021 Form 10-K | 281 |
Certain Relationships and Related Transactions |
FREDDIE MAC | 2021 Form 10-K | 282 |
Certain Relationships and Related Transactions |
FREDDIE MAC | 2021 Form 10-K | 283 |
Principal Accounting Fees and Services |
(In thousands) | 2021 | 2020 | ||||||||||||
Audit Fees(2) | $22,744 | $20,550 | ||||||||||||
Audit-Related Fees(3) | 7,530 | 7,180 | ||||||||||||
Tax Fees(4) | 2,432 | 48 | ||||||||||||
All Other Fees(5) | 10 | 10 | ||||||||||||
Total | $32,716 | $27,788 |
FREDDIE MAC | 2021 Form 10-K | 284 |
Principal Accounting Fees and Services |
FREDDIE MAC | 2021 Form 10-K | 285 |
Exhibits and Financial Statement Schedules |
FREDDIE MAC | 2021 Form 10-K | 286 |
Glossary |
FREDDIE MAC | 2021 Form 10-K | 287 |
Glossary |
FREDDIE MAC | 2021 Form 10-K | 288 |
Glossary |
FREDDIE MAC | 2021 Form 10-K | 289 |
Glossary |
FREDDIE MAC | 2021 Form 10-K | 290 |
Glossary |
FREDDIE MAC | 2021 Form 10-K | 291 |
Glossary |
FREDDIE MAC | 2021 Form 10-K | 292 |
Glossary |
FREDDIE MAC | 2021 Form 10-K | 293 |
Glossary |
FREDDIE MAC | 2021 Form 10-K | 294 |
Glossary |
FREDDIE MAC | 2021 Form 10-K | 295 |
Exhibit Index |
Exhibit | Description* | ||||
3.1 | |||||
3.2 | |||||
4.1 | |||||
4.2 | |||||
4.3 | |||||
4.4 | |||||
4.5 | |||||
4.6 | |||||
4.7 | |||||
4.8 | |||||
4.9 | |||||
4.10 | |||||
* | The SEC file numbers for the Registrant's Registration Statement on Form 10, Annual Reports on Form 10-K, Quarterly Reports on Form 10-Q, and Current Reports on Form 8-K are 000-53330 and 001-34139. |
FREDDIE MAC | 2021 Form 10-K | 296 |
Exhibit Index |
Exhibit | Description* | ||||
4.11 | |||||
4.12 | |||||
4.13 | |||||
4.14 | |||||
4.15 | |||||
4.16 | |||||
4.17 | |||||
4.18 | |||||
4.19 | |||||
4.20 | |||||
4.21 | |||||
4.22 | |||||
4.23 | |||||
* | The SEC file numbers for the Registrant's Registration Statement on Form 10, Annual Reports on Form 10-K, Quarterly Reports on Form 10-Q, and Current Reports on Form 8-K are 000-53330 and 001-34139. |
FREDDIE MAC | 2021 Form 10-K | 297 |
Exhibit Index |
Exhibit | Description* | ||||
4.24 | |||||
4.25 | |||||
4.26 | |||||
4.27 | |||||
4.28 | |||||
4.29 | |||||
4.30 | |||||
4.31 | |||||
10.1 | |||||
10.2 | |||||
10.3 | |||||
10.4 | |||||
10.5 | |||||
10.6 | |||||
* | 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 | 2021 Form 10-K | 298 |
Exhibit Index |
Exhibit | Description* | ||||
10.7 | |||||
10.8 | |||||
10.9 | |||||
10.10 | |||||
10.11 | |||||
10.12 | |||||
10.13 | |||||
10.14 | |||||
10.15 | |||||
10.16 | |||||
10.17 | |||||
10.18 | |||||
10.19 | |||||
10.20 | |||||
10.21 | |||||
10.22 | |||||
* | 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 | 2021 Form 10-K | 299 |
Exhibit Index |
Exhibit | Description* | ||||
10.23 | |||||
10.24 | |||||
10.25 | |||||
10.26 | |||||
10.27 | |||||
10.28 | |||||
10.29 | |||||
10.30 | |||||
10.31 | |||||
10.32 | |||||
10.33 | |||||
10.34 | |||||
10.35 | |||||
10.36 | |||||
* | 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 | 2021 Form 10-K | 300 |
Exhibit Index |
Exhibit | Description* | ||||
10.37 | |||||
10.38 | |||||
10.39 | |||||
24.1 | |||||
31.1 | |||||
31.2 | |||||
32.1 | |||||
32.2 | |||||
99.1 | Third Amended and Restated Limited Liability Company Agreement of Common Securitization Solutions, LLC, dated as of January 9, 2020 (incorporated by reference to Exhibit 99.1 to the Registrant's Annual Report on Form 10-K filed on February 13, 2020) | ||||
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 Extension 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. |
FREDDIE MAC | 2021 Form 10-K | 301 |
Signatures |
Federal Home Loan Mortgage Corporation | |||||
By: | /s/ Michael J. DeVito | ||||
Michael J. DeVito | |||||
Chief Executive Officer | |||||
Date: February 10, 2022 |
FREDDIE MAC | 2021 Form 10-K | 302 |
Signatures |
Signature | Capacity | Date | ||||||||||||||||||
/s/ Sara Mathew* | Non-Executive Chair of the Board | February 10, 2022 | ||||||||||||||||||
Sara Mathew | ||||||||||||||||||||
/s/ Michael J. DeVito | Chief Executive Officer and Director | February 10, 2022 | ||||||||||||||||||
Michael J. DeVito | (Principal Executive Officer) | |||||||||||||||||||
/s/ Christian M. Lown | Executive Vice President and Chief Financial Officer | February 10, 2022 | ||||||||||||||||||
Christian M. Lown | (Principal Financial Officer) | |||||||||||||||||||
/s/ Donald F. Kish | Senior Vice President — Corporate Controller and | February 10, 2022 | ||||||||||||||||||
Donald F. Kish | Principal Accounting Officer (Principal Accounting Officer) | |||||||||||||||||||
/s/ Mark H. Bloom* | Director | February 10, 2022 | ||||||||||||||||||
Mark H. Bloom | ||||||||||||||||||||
/s/ Kathleen L. Casey* | Director | February 10, 2022 | ||||||||||||||||||
Kathleen L. Casey | ||||||||||||||||||||
/s/ Launcelot F. Drummond* | Director | February 10, 2022 | ||||||||||||||||||
Launcelot F. Drummond | ||||||||||||||||||||
/s/ Aleem Gillani* | Director | February 10, 2022 | ||||||||||||||||||
Aleem Gillani | ||||||||||||||||||||
/s/ Mark B. Grier* | Director | February 10, 2022 | ||||||||||||||||||
Mark B. Grier | ||||||||||||||||||||
/s/ Christopher E. Herbert* | Director | February 10, 2022 | ||||||||||||||||||
Christopher E. Herbert | ||||||||||||||||||||
/s/ Grace A. Huebscher* | Director | February 10, 2022 | ||||||||||||||||||
Grace A. Huebscher | ||||||||||||||||||||
/s/ Allan P. Merrill* | Director | February 10, 2022 | ||||||||||||||||||
Allan P. Merrill | ||||||||||||||||||||
/s/ Alberto G. Musalem* | Director | February 10, 2022 | ||||||||||||||||||
Alberto G. Musalem | ||||||||||||||||||||
*By: | /s/ Jerry Weiss | |||||||||||||||||||
Jerry Weiss | ||||||||||||||||||||
Attorney-in-Fact |
FREDDIE MAC | 2021 Form 10-K | 303 |
Index |
FREDDIE MAC | 2021 Form 10-K | 304 |
(In millions, except redemption price per share) | Issue Date | Shares Authorized | Shares Outstanding | Redemption Price per Share | Total Outstanding Balance | Redeemable On or After | OTCQB Symbol | ||||||||||||||||
1996 Variable-rate(1) | April 26, 1996 | 5.00 | 5.00 | $50.00 | $250 | June 30, 2001 | FMCCI | ||||||||||||||||
5% | March 23, 1998 | 8.00 | 8.00 | 50.00 | 400 | March 31, 2003 | FMCKK | ||||||||||||||||
1998 Variable-rate(2) | Sept 23/29, 1998 | 4.40 | 4.40 | 50.00 | 220 | Sept 30, 2003 | FMCCG | ||||||||||||||||
5.10% | Sept 23, 1998 | 8.00 | 8.00 | 50.00 | 400 | Sept 30, 2003 | FMCCH | ||||||||||||||||
5.79% | July 21, 1999 | 5.00 | 5.00 | 50.00 | 250 | June 30, 2009 | FMCCK | ||||||||||||||||
1999 Variable-rate(3) | November 5, 1999 | 5.75 | 5.75 | 50.00 | 287 | December 31, 2004 | FMCCL | ||||||||||||||||
2001 Variable-rate(4) | January 26, 2001 | 6.50 | 6.50 | 50.00 | 325 | March 31, 2003 | FMCCM | ||||||||||||||||
2001 Variable-rate(5) | March 23, 2001 | 4.60 | 4.60 | 50.00 | 230 | March 31, 2003 | FMCCN | ||||||||||||||||
5.81% | March 23, 2001 | 3.45 | 3.45 | 50.00 | 173 | March 31, 2011 | FMCCO | ||||||||||||||||
6% | May 30, 2001 | 3.45 | 3.45 | 50.00 | 173 | June 30, 2006 | FMCCP | ||||||||||||||||
2001 Variable-rate(6) | May 30, 2001 | 4.02 | 4.02 | 50.00 | 201 | June 30, 2003 | FMCCJ | ||||||||||||||||
5.70% | October 30, 2001 | 6.00 | 6.00 | 50.00 | 300 | December 31, 2006 | FMCKP | ||||||||||||||||
2006 Variable-rate(7) | July 17, 2006 | 15.00 | 15.00 | 50.00 | 750 | June 30, 2011 | FMCCS | ||||||||||||||||
6.42% | July 17, 2006 | 5.00 | 5.00 | 50.00 | 250 | June 30, 2011 | FMCCT | ||||||||||||||||
5.90% | October 16, 2006 | 20.00 | 20.00 | 25.00 | 500 | Sept 30, 2011 | FMCKO | ||||||||||||||||
5.57% | January 16, 2007 | 44.00 | 44.00 | 25.00 | 1,100 | December 31, 2011 | FMCKM | ||||||||||||||||
5.66% | April 16, 2007 | 20.00 | 20.00 | 25.00 | 500 | March 31, 2012 | FMCKN | ||||||||||||||||
6.02% | July 24, 2007 | 20.00 | 20.00 | 25.00 | 500 | June 30, 2012 | FMCKL | ||||||||||||||||
6.55% | Sept 28, 2007 | 20.00 | 20.00 | 25.00 | 500 | Sept 30, 2017 | FMCKI | ||||||||||||||||
2007 Fixed-to-floating rate(8) | December 4, 2007 | 240.00 | 240.00 | 25.00 | 6,000 | December 31, 2012 | FMCKJ |
1. | I have reviewed this Annual Report on Form 10-K for the year ended December 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/ Michael J. DeVito | ||||||||
Michael J. DeVito | ||||||||
Chief Executive Officer |
1. | I have reviewed this Annual Report on Form 10-K for the year ended December 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/ Michael J. DeVito | ||||||||
Michael J. DeVito | ||||||||
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 |