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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q | | | | | |
☒ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934. |
For the quarterly period ended September 30, 2023
or | | | | | |
☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934. |
For the transition period from to
Commission File Number: 001-34139
Federal Home Loan Mortgage Corporation
(Exact name of registrant as specified in its charter)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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) |
Securities registered pursuant to Section 12(b) of the Act:
| | | | | | | | |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered |
None | N/A | N/A |
Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. ☒ Yes ☐ No
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). ☒ Yes ☐ No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company," and "emerging growth company" in Rule 12b-2 of the Exchange Act. | | | | | | | | | | | | | | | | | | | | |
| Large accelerated filer | ☐ | | | Accelerated filer | ☒ |
| Non-accelerated filer | ☐ | | | Smaller reporting company | ☐ |
| Emerging growth company | ☐ | | | | |
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒
As of October 10, 2023, there were 650,059,553 shares of the registrant's common stock outstanding.
Table of Contents
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| Page |
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS | |
n Introduction | |
n Housing and Mortgage Market Conditions | |
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 | |
n Liquidity and Capital Resources | |
n Critical Accounting Estimates | |
| |
n Regulation and Supervision | |
n Forward-Looking Statements | |
FINANCIAL STATEMENTS | |
OTHER INFORMATION | |
CONTROLS AND PROCEDURES | |
EXHIBIT INDEX | |
SIGNATURES | |
FORM 10-Q INDEX | |
| | | | | | | | |
Freddie Mac 3Q 2023 Form 10-Q | | i |
MD&A TABLE INDEX | | | | | | | | |
Table | Description | Page |
1 | Summary of Consolidated Statements of Income and Comprehensive Income
| |
2 | Components of Net Interest Income | |
3 | Analysis of Net Interest Yield | |
4 | Components of Non-Interest Income | |
5 | (Provision) Benefit for Credit Losses | |
6 | Components of Non-Interest Expense | |
7 | Summarized Condensed Consolidated Balance Sheets | |
8 | Mortgage Portfolio | |
9 | Mortgage-Related Investments Portfolio | |
10 | Other Investments Portfolio | |
11 | Single-Family Segment Financial Results | |
12 | Multifamily Segment Financial Results | |
13 | Allowance for Credit Losses Activity | |
14 | Allowance for Credit Losses Ratios | |
15 | Single-Family New Business Activity | |
16 | Single-Family Mortgage Portfolio CRT Issuance | |
17 | Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding | |
18 | Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio | |
19 | Credit Quality Characteristics of Our Single-Family Mortgage Portfolio | |
20 | Single-Family Mortgage Portfolio Attribute Combinations | |
21 | Multifamily Mortgage Portfolio CRT Issuance | |
22 | Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio | |
23 | Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement | |
24 | PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve | |
25 | Duration Gap and PVS Results | |
26 | PVS-L Results Before Derivatives and After Derivatives | |
27 | Earnings Sensitivity to Changes in Interest Rates | |
28 | Liquidity Sources | |
29 | Funding Sources | |
30 | Debt of Freddie Mac Activity | |
31 | Maturity and Redemption Dates | |
32 | Debt of Consolidated Trusts Activity | |
33 | Net Worth Activity | |
34 | Regulatory Capital Components | |
35 | Statutory Capital Components | |
36 | Capital Metrics Under ERCF | |
37 | Forecasted House Price Growth Rates | |
| | | | | | | | |
Freddie Mac 3Q 2023 Form 10-Q | | ii |
| | | | | | | | |
Management's Discussion and Analysis | | Introduction |
Management's Discussion and Analysis of Financial Condition and Results of Operations
This Quarterly Report on Form 10-Q includes forward-looking statements that are based on current expectations and that are subject to significant risks and uncertainties. These forward-looking statements are made as of the date of this Form 10-Q. We undertake no obligation to update any forward-looking statement to reflect events or circumstances after the date of this Form 10-Q. Actual results might differ significantly from those described in or implied by such statements due to various factors and uncertainties, including those described in the MD&A - Forward-Looking Statements section of this Form 10-Q and the Introduction and Risk Factors sections of our Annual Report on Form 10-K for the year ended December 31, 2022, or 2022 Annual Report.
Throughout this Form 10-Q, we use certain acronyms and terms that are defined in the Glossary of our 2022 Annual Report.
You should read the following MD&A in conjunction with our 2022 Annual Report and our condensed consolidated financial statements and accompanying notes for the three and nine months ended September 30, 2023 included in Financial Statements.
INTRODUCTION
Freddie Mac is a GSE chartered by Congress in 1970, with a mission to provide liquidity, stability, and affordability to the U.S. housing market. We do this primarily by purchasing single-family and multifamily residential mortgage loans originated by lenders. In most instances, we package these loans into guaranteed mortgage-related securities, which are sold in the global capital markets, and transfer interest-rate and liquidity risks to third-party investors. In addition, we transfer mortgage credit risk exposure to third-party investors through our credit risk transfer programs, which include securities- and insurance-based offerings. We also invest in mortgage loans and mortgage-related securities. We do not originate mortgage loans or lend money directly to mortgage borrowers.
We support the U.S. housing market and the overall economy by enabling America's families to access mortgage loan funding with better terms and by providing consistent liquidity to the single-family and multifamily mortgage markets. We have helped many distressed borrowers keep their homes or avoid foreclosure and have helped many distressed renters avoid eviction.
Since September 2008, we have been operating in conservatorship, with FHFA as our Conservator. The conservatorship and related matters significantly affect our management, business activities, financial condition, and results of operations. Our future is uncertain, and the conservatorship has no specified termination date. We do not know what changes may occur to our business model during or following conservatorship, including whether we will continue to exist. In connection with our entry into conservatorship, we entered into the Purchase Agreement with Treasury, under which we issued Treasury both senior preferred stock and a warrant to purchase common stock. Our Purchase Agreement with Treasury is critical to keeping us solvent and avoiding the appointment of a receiver by FHFA under statutory mandatory receivership provisions. We believe the support provided by Treasury pursuant to the Purchase Agreement currently enables us to have adequate liquidity to conduct normal business activities. For additional information on the conservatorship and related matters and the Purchase Agreement, see our 2022 Annual Report.
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Freddie Mac 3Q 2023 Form 10-Q | | 1 |
| | | | | | | | |
Management's Discussion and Analysis | | Introduction |
Business Results
Consolidated Financial Results Net Revenues and Net Income
(In billions)
Key Drivers:
n Net income was $2.7 billion, an increase of 104% year-over-year, with the increase primarily driven by a credit reserve release in Single-Family in the current period compared to a credit reserve build in Single-Family in the prior period.
n Net revenues were $5.7 billion, an increase of 10% year-over-year, driven by higher net interest income and non-interest income.
n Net worth was $44.7 billion as of September 30, 2023, up from $35.2 billion as of September 30, 2022. The quarterly increases in net worth have been, or will be, added to the aggregate liquidation preference of the senior preferred stock. The liquidation preference of the senior preferred stock was $114.6 billion on September 30, 2023, and will increase to $117.3 billion on December 31, 2023 based on the increase in net worth in 3Q 2023.
Market Liquidity
(In thousands)
We support the U.S. housing market by executing our mission to provide liquidity and help maintain credit availability for new and refinanced single-family mortgages as well as for rental housing. We provided $98 billion in liquidity to the mortgage market in 3Q 2023, which enabled the financing of 389,000 home purchases, refinancings, and rental units.
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Freddie Mac 3Q 2023 Form 10-Q | | 2 |
| | | | | | | | |
Management's Discussion and Analysis | | Introduction |
Mortgage Portfolio Balances
Mortgage Portfolio
(UPB in billions)
Key Drivers:
n Our mortgage portfolio increased 2% year-over-year to $3.5 trillion at September 30, 2023.
l Our Single-Family mortgage portfolio was $3.0 trillion at September 30, 2023, up 2% year-over-year, as portfolio growth has moderated in recent periods due to the slowdown in new business activity as both home purchase and refinance activity slowed as a result of higher mortgage interest rates.
l Our Multifamily mortgage portfolio was $432 billion at September 30, 2023, up 4% year-over-year, as portfolio growth has moderated in recent periods due to a slowdown in new business activity as a result of higher mortgage interest rates.
Single-Family Mortgage Portfolio with Credit Enhancement
(UPB in billions)
Multifamily Mortgage Portfolio with Credit Enhancement
(UPB in billions)
In addition to transferring interest-rate and liquidity risk to third-party investors through our securitization activities, we engage in various credit enhancement arrangements to reduce our credit risk exposure. We transfer a portion of the credit risk, primarily on recently acquired loans, through our CRT programs. We also reduce our credit risk exposure through other credit enhancement arrangements, mainly primary mortgage insurance. See MD&A - Risk Management – Credit Risk for additional information on our credit enhancements and CRT programs.
| | | | | | | | |
Freddie Mac 3Q 2023 Form 10-Q | | 3 |
| | | | | | | | |
Management's Discussion and Analysis | | Housing and Mortgage Market Conditions |
HOUSING AND MORTGAGE MARKET CONDITIONS
The following charts present certain housing and mortgage market indicators that can significantly affect our business and financial results. Certain market and macroeconomic prior period data have been updated to reflect revised historical data. For additional information on the effect of these indicators on our business and financial results, see MD&A – Consolidated Results of Operations and MD&A – Our Business Segments.
U.S. Single-Family Home Sales and House Prices
Sources: National Association of Realtors, U.S. Census Bureau, and Freddie Mac House Price Index.
U.S. Single-Family Mortgage Originations
_
(UPB in billions)
Source: Freddie Mac and Inside Mortgage Finance. 3Q 2023 U.S. single-family mortgage originations data is not yet available.
Single-Family Serious Delinquency Rates
Source: Freddie Mac and National Delinquency Survey from the Mortgage Bankers Association. 3Q 2023 total mortgage market rate is not yet available.
Single-Family Mortgage Debt Outstanding
(UPB in billions)
Source: Freddie Mac and Federal Reserve Financial Accounts of the United States of America. 3Q 2023 U.S. single-family mortgage debt outstanding data is not yet available.
| | | | | | | | |
Freddie Mac 3Q 2023 Form 10-Q | | 4 |
| | | | | | | | |
Management's Discussion and Analysis | | Housing and Mortgage Market Conditions |
Apartment Vacancy Rates and Change in Effective Rents
Source: Reis.
Multifamily Property Price Growth Rate
Source: Real Capital Analytics Commercial Property Price Index (RCA CPPI).
Multifamily Delinquency Rates
Source: Freddie Mac, FDIC Quarterly Banking Profile, Intex Solutions, Inc., and Wells Fargo Securities (Multifamily CMBS market, excluding REOs). The 3Q 2023 delinquency rate for FDIC insured institutions is not yet available.
Multifamily Mortgage Debt Outstanding
(UPB in billions)
Source: Freddie Mac and Federal Reserve Financial Accounts of the United States of America. 3Q 2023 U.S. multifamily mortgage debt outstanding data is not yet available. | | | | | | | | |
Freddie Mac 3Q 2023 Form 10-Q | | 5 |
| | | | | | | | |
Management's Discussion and Analysis | | Consolidated Results of Operations |
CONSOLIDATED RESULTS OF OPERATIONS
The discussion of our consolidated results of operations should be read in conjunction with our condensed consolidated financial statements and accompanying notes. Our financial results and business volumes could be negatively affected by adverse changes in the housing market or economic conditions, including volatility and stress within the banking sector and the measures governments and financial services companies take in response. Stress in U.S. regional banks could drive elevated counterparty credit risk and indirect risk due to financing or banking relationships that our counterparties have with the affected banking organizations. We could also experience declines in the liquidity in the markets for our securities as a result of any such adverse changes or regulatory responses to adverse changes. See Risk Factors in our 2022 Annual Report for additional information.
The table below compares our summarized consolidated results of operations.
Table 1 - Summary of Consolidated Statements of Income and Comprehensive Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Change | | | | | Change |
(Dollars in millions) | | 3Q 2023 | 3Q 2022 | | $ | % | | YTD 2023 | YTD 2022 | | $ | % |
Net interest income | | $4,749 | | $4,554 | | | $195 | | 4 | % | | $13,773 | | $13,417 | | | $356 | | 3 | % |
Non-interest income | | 941 | | 627 | | | 314 | | 50 | | | 2,083 | | 3,014 | | | (931) | | (31) | |
Net revenues | | 5,690 | | 5,181 | | | 509 | | 10 | | | 15,856 | | 16,431 | | | (575) | | (3) | |
(Provision) benefit for credit losses | | 263 | | (1,796) | | | 2,059 | | 115 | | | 405 | | (1,266) | | | 1,671 | | 132 | |
Non-interest expense | | (2,576) | | (1,825) | | | (751) | | (41) | | | (6,712) | | (5,777) | | | (935) | | (16) | |
Income before income tax expense | | 3,377 | | 1,560 | | | 1,817 | | 116 | | | 9,549 | | 9,388 | | | 161 | | 2 | |
Income tax expense | | (692) | | (247) | | | (445) | | (180) | | | (1,925) | | (1,824) | | | (101) | | (6) | |
Net income | | 2,685 | | 1,313 | | | 1,372 | | 104 | | | 7,624 | | 7,564 | | | 60 | | 1 | |
Other comprehensive income (loss), net of taxes and reclassification adjustments | | 19 | | (181) | | | 200 | | 110 | | | 19 | | (367) | | | 386 | | 105 | |
Comprehensive income | | $2,704 | | $1,132 | | | $1,572 | | 139 | % | | $7,643 | | $7,197 | | | $446 | | 6 | % |
Net Revenues
The table below presents the components of net interest income.
Table 2 - Components of Net Interest Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Change | | | | | Change |
(Dollars in millions) | | 3Q 2023 | 3Q 2022 | | $ | % | | YTD 2023 | YTD 2022 | | $ | % |
Guarantee net interest income: | | | | | | | | | | | | |
Contractual net interest income | | $3,695 | | $3,577 | | | $118 | | 3 | % | | $11,019 | | $10,379 | | | $640 | | 6 | % |
Deferred fee income | | 316 | | 550 | | | (234) | | (43) | | | 755 | | 2,536 | | | (1,781) | | (70) | |
Total guarantee net interest income | | 4,011 | | 4,127 | | | (116) | | (3) | | | 11,774 | | 12,915 | | | (1,141) | | (9) | |
Investments net interest income | | 1,675 | | 914 | | | 761 | | 83 | | | 4,718 | | 2,186 | | | 2,532 | | 116 | |
Impact on net interest income from hedge accounting | | (937) | | (487) | | | (450) | | (92) | | | (2,719) | | (1,684) | | | (1,035) | | (61) | |
Net interest income | | $4,749 | | $4,554 | | | $195 | | 4 | % | | $13,773 | | $13,417 | | | $356 | | 3 | % |
Key Drivers:
n Guarantee net interest income
l 3Q 2023 vs. 3Q 2022 and YTD 2023 vs. YTD 2022 - Decreased primarily due to a decline in deferred fee income due to slower prepayments driven by higher mortgage interest rates, partially offset by continued mortgage portfolio growth.
n Investments net interest income
l 3Q 2023 vs. 3Q 2022 and YTD 2023 vs. YTD 2022 - Increased primarily due to higher returns on securities purchased under agreements to resell as a result of higher short-term interest rates.
| | | | | | | | |
Freddie Mac 3Q 2023 Form 10-Q | | 6 |
| | | | | | | | |
Management's Discussion and Analysis | | Consolidated Results of Operations |
n Impact on net interest income from hedge accounting
l 3Q 2023 vs. 3Q 2022 - Expense increased primarily due to higher interest expense on derivatives in hedge relationships as a result of higher interest rates.
l YTD 2023 vs. YTD 2022 - Expense increased primarily due to higher interest expense on derivatives in hedge relationships as a result of higher interest rates, partially offset by a favorable change in the earnings mismatch on qualifying fair value hedge relationships in 1Q 2023.
Net Interest Yield Analysis The table below presents a yield analysis of interest-earning assets and interest-bearing liabilities.
Table 3 - Analysis of Net Interest Yield | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 3Q 2023 | | 3Q 2022 | | | | | | |
(Dollars in millions) | | Average Balance | Interest Income (Expense) | Average Rate | | Average Balance | Interest Income (Expense) | Average Rate | | | | | | |
Interest-earning assets: | | | | | | | | | | | | | | |
Cash and cash equivalents | | $13,523 | | $145 | | 4.19 | % | | $13,418 | | $52 | | 1.54 | % | | | | | | |
Securities purchased under agreements to resell | | 122,140 | | 1,660 | | 5.43 | | | 100,393 | | 554 | | 2.21 | | | | | | | |
Investment securities | | 41,169 | | 427 | | 4.15 | | | 46,561 | | 416 | | 3.57 | | | | | | | |
Mortgage loans(1) | | 3,069,177 | | 24,525 | | 3.20 | | | 2,992,378 | | 20,843 | | 2.79 | | | | | | | |
Other assets | | 2,839 | | 42 | | 5.79 | | | 3,882 | | 29 | | 2.93 | | | | | | | |
Total interest-earning assets | | 3,248,848 | | 26,799 | | 3.30 | | | 3,156,632 | | 21,894 | | 2.77 | | | | | | | |
Interest-bearing liabilities: | | | | | | | | | | | | | | |
Debt of consolidated trusts | | 3,005,595 | | (19,383) | | (2.58) | | | 2,939,663 | | (16,166) | | (2.20) | | | | | | | |
Debt of Freddie Mac | | 193,925 | | (2,667) | | (5.49) | | | 177,205 | | (1,174) | | (2.64) | | | | | | | |
Total interest-bearing liabilities | | 3,199,520 | | (22,050) | | (2.76) | | | 3,116,868 | | (17,340) | | (2.22) | | | | | | | |
Impact of net non-interest-bearing funding | | 49,328 | | — | | 0.04 | | | 39,764 | | — | | 0.03 | | | | | | | |
Total funding of interest-earning assets | | 3,248,848 | | (22,050) | | (2.72) | | | 3,156,632 | | (17,340) | | (2.19) | | | | | | | |
Net interest income/yield | | | $4,749 | | 0.58 | % | | | $4,554 | | 0.58 | % | | | | | | |
| | | | | | | | | | | | | | |
(1)Loan fees included in net interest income were $0.2 billion and $0.3 billion during 3Q 2023 and 3Q 2022, respectively.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | YTD 2023 | | YTD 2022 |
(Dollars in millions) | | Average Balance | Interest Income (Expense) | Average Rate | | Average Balance | Interest Income (Expense) | Average Rate |
Interest-earning assets: | | | | | | | | |
Cash and cash equivalents | | $13,618 | | $401 | | 3.88 | % | | $14,626 | | $71 | | 0.64 | % |
Securities purchased under agreements to resell | | 118,891 | | 4,502 | | 5.05 | | | 95,406 | | 763 | | 1.07 | |
Investment securities | | 39,637 | | 1,106 | | 3.72 | | | 49,196 | | 1,264 | | 3.43 | |
Mortgage loans(1) | | 3,052,953 | | 71,427 | | 3.12 | | | 2,949,123 | 57,477 | 2.60 | |
Other assets | | 2,506 | | 105 | | 5.53 | | | 4,555 | 67 | 1.93 | |
Total interest-earning assets | | 3,227,605 | | 77,541 | | 3.20 | | | 3,112,906 | 59,642 | 2.55 | |
Interest-bearing liabilities: | | | | | | | | |
Debt of consolidated trusts | | 2,988,356 | | (56,252) | | (2.51) | | | 2,893,353 | | (44,010) | | (2.03) | |
Debt of Freddie Mac | | 194,319 | | (7,516) | | (5.15) | | | 177,934 | | (2,215) | | (1.66) | |
Total interest-bearing liabilities | | 3,182,675 | | (63,768) | | (2.67) | | | 3,071,287 | | (46,225) | | (2.01) | |
Impact of net non-interest-bearing funding | | 44,930 | | — | | 0.04 | | | 41,619 | | — | | 0.03 | |
Total funding of interest-earning assets | | 3,227,605 | | (63,768) | | (2.63) | | | 3,112,906 | | (46,225) | | (1.98) | |
Net interest income/yield | | | $13,773 | | 0.57 | % | | | $13,417 | | 0.57 | % |
(1)Loan fees included in net interest income were $0.8 billion and $1.2 billion during YTD 2023 and YTD 2022, respectively.
| | | | | | | | |
Freddie Mac 3Q 2023 Form 10-Q | | 7 |
| | | | | | | | |
Management's Discussion and Analysis | | Consolidated Results of Operations |
The table below presents the components of non-interest income.
Table 4 - Components of Non-Interest Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Change | | | | | Change |
(Dollars in millions) | | 3Q 2023 | 3Q 2022 | | $ | % | | YTD 2023 | YTD 2022 | | $ | % |
Guarantee income: | | | | | | | | | | | | |
Contractual guarantee fees | | $325 | | $323 | | | $2 | | 1 | % | | $972 | | $963 | | | $9 | | 1 | % |
Guarantee obligation amortization | | 283 | | 292 | | | (9) | | (3) | | | 848 | | 897 | | | (49) | | (5) | |
Guarantee asset fair value changes | | (307) | | (490) | | | 183 | | 37 | | | (744) | | (1,460) | | | 716 | | 49 | |
Total guarantee income | | 301 | | 125 | | | 176 | | 141 | | | 1,076 | | 400 | | | 676 | | 169 | |
Investment gains, net: | | | | | | | | | | | | |
Single-Family | | 314 | | (13) | | | 327 | | 2,515 | | | 131 | | 1,471 | | | (1,340) | | (91) | |
Multifamily | | 241 | | 428 | | | (187) | | (44) | | | 610 | | 778 | | | (168) | | (22) | |
Total investment gains, net | | 555 | | 415 | | | 140 | | 34 | | | 741 | | 2,249 | | | (1,508) | | (67) | |
Other income | | 85 | | 87 | | | (2) | | (2) | | | 266 | | 365 | | | (99) | | (27) | |
Non-interest income | | $941 | | $627 | | | $314 | | 50 | % | | $2,083 | | $3,014 | | | ($931) | | (31) | % |
Key Drivers:
n Guarantee income
l 3Q 2023 vs. 3Q 2022 and YTD 2023 vs. YTD 2022 - Increased primarily due to lower fair value losses on guarantee assets as a result of smaller interest rate increases.
n Investment gains, net
l 3Q 2023 vs. 3Q 2022 - Net investment gains in Single-Family increased primarily due to interest rate-related impacts. These gains were offset by a decline in net investment gains in Multifamily primarily due to lower fair value gains from interest-rate risk management activities and realized losses on sales of available-for-sale securities, partially offset by favorable fair value changes from spreads.
l YTD 2023 vs. YTD 2022 - Net investment gains declined from elevated levels in YTD 2022, which were driven by spread-related gains on commitments to hedge the Single-Family securitization pipeline during that period.
(Provision) Benefit for Credit Losses
The table below presents the components of provision for credit losses.
Table 5 - (Provision) Benefit for Credit Losses | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Change | | | | | Change |
(Dollars in millions) | | 3Q 2023 | 3Q 2022 | | $ | % | | YTD 2023 | YTD 2022 | | $ | % |
Single-Family | | $304 | | ($1,784) | | | $2,088 | | 117 | % | | $624 | | ($1,251) | | | $1,875 | | 150 | % |
Multifamily | | (41) | | (12) | | | (29) | | (242) | | | (219) | | (15) | | | (204) | | (1,360) | |
(Provision) benefit for credit losses | | $263 | | ($1,796) | | | $2,059 | | 115 | % | | $405 | | ($1,266) | | | $1,671 | | 132 | % |
Key Drivers:
n 3Q 2023 vs. 3Q 2022 - The benefit for credit losses for 3Q 2023 was primarily driven by a credit reserve release in Single-Family due to increases in observed and forecasted house price appreciation, partially offset by a credit reserve build in Multifamily due to deterioration in overall loan performance. The provision for credit losses for 3Q 2022 was primarily driven by a credit reserve build in Single-Family due to deterioration in housing market conditions, including lower observed and forecasted house price appreciation.
n YTD 2023 vs. YTD 2022 - The benefit for credit losses for YTD 2023 was primarily driven by a credit reserve release in Single-Family due to increases in observed and forecasted house price appreciation, partially offset by a credit reserve build in Multifamily due to increased uncertainty in forecasted economic conditions and multifamily market conditions as well as deterioration in overall loan performance. The provision for credit losses for YTD 2022 was primarily driven by a credit reserve build in Single-Family due to deterioration in housing market conditions, including lower observed and forecasted house price appreciation.
| | | | | | | | |
Freddie Mac 3Q 2023 Form 10-Q | | 8 |
| | | | | | | | |
Management's Discussion and Analysis | | Consolidated Results of Operations |
Non-Interest Expense
The table below presents the components of non-interest expense.
Table 6 - Components of Non-Interest Expense | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Change | | | | | Change |
(Dollars in millions) | | 3Q 2023 | 3Q 2022 | | $ | % | | YTD 2023 | YTD 2022 | | $ | % |
| | | | | | | | | | | | |
Salaries and employee benefits | | ($418) | | ($387) | | | ($31) | | (8) | % | | ($1,197) | | ($1,119) | | | ($78) | | (7) | % |
Credit enhancement expense | | (634) | | (542) | | | (92) | | (17) | | | (1,754) | | (1,559) | | | (195) | | (13) | |
Benefit for (decrease in) credit enhancement recoveries | | (103) | | 210 | | | (313) | | (149) | | | (162) | | 192 | | | (354) | | (184) | |
Legislative assessments expense: | | | | | | | | | | | | |
Legislated guarantee fees expense | | (716) | | (696) | | | (20) | | (3) | | | (2,134) | | (2,046) | | | (88) | | (4) | |
Affordable housing funds allocation | | (41) | | (57) | | | 16 | | 28 | | | (109) | | (214) | | | 105 | | 49 | |
Total legislative assessments expense | | (757) | | (753) | | | (4) | | (1) | | | (2,243) | | (2,260) | | | 17 | | 1 | |
Other expense | | (664) | | (353) | | | (311) | | (88) | | | (1,356) | | (1,031) | | | (325) | | (32) | |
Non-interest expense | | ($2,576) | | ($1,825) | | | ($751) | | (41) | % | | ($6,712) | | ($5,777) | | | ($935) | | (16) | % |
Key Drivers:
n Credit enhancement expense
l 3Q 2023 vs. 3Q 2022 - Increased primarily due to losses on STACR Trust note repurchases.
l YTD 2023 vs. YTD 2022 - Increased primarily due to a higher volume of outstanding cumulative CRT transactions and higher losses on STACR Trust note repurchases.
n Benefit for (decrease in) credit enhancement recoveries
l 3Q 2023 vs. 3Q 2022 and YTD 2023 vs. YTD 2022 - Decreased primarily due to a decrease in expected credit losses on covered loans.
n Legislative assessments expense
l 3Q 2023 vs. 3Q 2022 - Increased primarily due to higher legislated guarantee fees expense due to growth in our Single-Family mortgage portfolio, partially offset by lower affordable housing funds allocation as a result of lower Single-Family new business activity.
l YTD 2023 vs. YTD 2022 - Decreased primarily due to lower affordable housing funds allocation as a result of lower Single-Family new business activity, partially offset by higher legislated guarantee fees expense due to growth in our Single-Family mortgage portfolio.
n Other expense
l 3Q 2023 vs. 3Q 2022 and YTD 2023 vs. YTD 2022 - Increased primarily due to recording an accrual of $0.3 billion for an adverse judgment at trial. See Note 14 for additional information regarding our legal proceedings.
| | | | | | | | |
Freddie Mac 3Q 2023 Form 10-Q | | 9 |
| | | | | | | | |
Management's Discussion and Analysis | | Consolidated Balance Sheets Analysis |
CONSOLIDATED BALANCE SHEETS ANALYSIS
The table below compares our summarized condensed consolidated balance sheets.
Table 7 - Summarized Condensed Consolidated Balance Sheets | | | | | | | | | | | | | | | | | | | | |
| | | | | Change |
(Dollars in millions) | | September 30, 2023 | December 31, 2022 | | $ | % |
Assets: | | | | | | |
Cash and cash equivalents | | $5,354 | | $6,360 | | | ($1,006) | | (16) | % |
Securities purchased under agreements to resell | | 115,161 | | 87,295 | | | 27,866 | | 32 | |
Investment securities, at fair value | | 39,443 | | 38,701 | | | 742 | | 2 | |
Mortgage loans held-for-sale | | 13,905 | | 12,197 | | | 1,708 | | 14 | |
Mortgage loans held-for-investment | | 3,060,822 | | 3,022,318 | | | 38,504 | | 1 | |
Accrued interest receivable, net | | 9,526 | | 8,529 | | | 997 | | 12 | |
Deferred tax assets, net | | 4,875 | | 5,777 | | | (902) | | (16) | |
Other assets | | 22,555 | | 27,156 | | | (4,601) | | (17) | |
Total assets | | $3,271,641 | | $3,208,333 | | | $63,308 | | 2 | % |
| | | | | | |
Liabilities and Equity: | | | | | | |
Liabilities: | | | | | | |
Accrued interest payable | | $8,451 | | $7,309 | | | $1,142 | | 16 | % |
Debt | | 3,202,097 | | 3,145,832 | | | 56,265 | | 2 | |
Other liabilities | | 16,432 | | 18,174 | | | (1,742) | | (10) | |
Total liabilities | | 3,226,980 | | 3,171,315 | | | 55,665 | | 2 | |
Total equity | | 44,661 | | 37,018 | | | 7,643 | | 21 | |
Total liabilities and equity | | $3,271,641 | | $3,208,333 | | | $63,308 | | 2 | % |
Key Drivers:
As of September 30, 2023 compared to December 31, 2022:
n Securities purchased under agreements to resell increased due to an increase in cash provided by operating activities and to provide additional liquidity due to uncertain economic conditions.
n Mortgage loans held-for-investment increased primarily due to growth in our Single-Family mortgage portfolio.
n Other assets decreased primarily due to a decline in receivables related to U.S. Treasury securities sold but not yet settled.
n Debt increased due to new debt issuances to provide additional liquidity due to uncertain economic conditions, as well as an increase in debt of consolidated trusts driven by growth in our Single-Family mortgage portfolio.
n Other liabilities decreased primarily due to a decline in payables related to U.S. Treasury securities purchased but not yet settled.
| | | | | | | | |
Freddie Mac 3Q 2023 Form 10-Q | | 10 |
| | | | | | | | |
Management's Discussion and Analysis | | Our Portfolios |
OUR PORTFOLIOS
The table below presents the UPB of our mortgage portfolio by segment.
Table 8 - Mortgage Portfolio
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | September 30, 2023 | | December 31, 2022 |
(In millions) | | Single-Family | Multifamily | Total | | Single-Family | Multifamily | Total |
Mortgage loans held-for-investment: | | | | | | | | |
By consolidated trusts | | $2,947,023 | $44,158 | $2,991,181 | | $2,907,999 | $30,574 | $2,938,573 |
By Freddie Mac | | 34,024 | 9,165 | 43,189 | | 33,506 | 17,805 | 51,311 |
Total mortgage loans held-for-investment | | 2,981,047 | | 53,323 | | 3,034,370 | | | 2,941,505 | | 48,379 | | 2,989,884 | |
Mortgage loans held-for-sale | | 3,743 | | 11,311 | | 15,054 | | | 3,564 | | 9,544 | | 13,108 | |
Total mortgage loans | | 2,984,790 | | 64,634 | | 3,049,424 | | | 2,945,069 | | 57,923 | | 3,002,992 | |
Mortgage-related guarantees: | | | | | | | | |
Mortgage loans held by nonconsolidated trusts | | 30,382 | | 356,552 | | 386,934 | | | 31,500 | | 360,869 | | 392,369 | |
Other mortgage-related guarantees | | 8,869 | | 10,768 | | 19,637 | | | 9,476 | | 10,510 | | 19,986 | |
Total mortgage-related guarantees | | 39,251 | | 367,320 | | 406,571 | | | 40,976 | | 371,379 | | 412,355 | |
Total mortgage portfolio | | $3,024,041 | | $431,954 | | $3,455,995 | | | $2,986,045 | | $429,302 | | $3,415,347 | |
Guaranteed mortgage-related securities: | | | | | | | | |
Issued by consolidated trusts | | $2,956,213 | $44,169 | $3,000,382 | | $2,916,038 | $30,813 | $2,946,851 |
Issued by nonconsolidated trusts | | 24,768 | 316,874 | 341,642 | | 25,772 | 319,117 | 344,889 |
Total guaranteed mortgage-related securities | | $2,980,981 | | $361,043 | | $3,342,024 | | | $2,941,810 | | $349,930 | | $3,291,740 | |
Our investments portfolio consists of our mortgage-related investments portfolio and our other investments portfolio.
Mortgage-Related Investments Portfolio The Purchase Agreement limits the size of our mortgage-related investments portfolio to a maximum amount of $225 billion. The calculation of mortgage assets subject to the Purchase Agreement cap includes the UPB of mortgage assets and 10% of the notional value of interest-only securities. We are also subject to additional limitations on the size and composition of our mortgage-related investments portfolio pursuant to FHFA guidance. For additional information on the restrictions on our mortgage-related investments portfolio, see the MD&A - Conservatorship and Related Matters section in our 2022 Annual Report.
| | | | | | | | |
Freddie Mac 3Q 2023 Form 10-Q | | 11 |
| | | | | | | | |
Management's Discussion and Analysis | | Our Portfolios |
The table below presents the details of our mortgage-related investments portfolio.
Table 9 - Mortgage-Related Investments Portfolio
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | September 30, 2023 | | December 31, 2022 |
(In millions) | | Single-Family | Multifamily | Total | | Single-Family | Multifamily | Total |
Unsecuritized mortgage loans: | | | | | | | | |
Securitization pipeline and other loans | | $9,346 | | $20,476 | | $29,822 | | | $10,093 | | $27,349 | | $37,442 | |
Seasoned loans | | 28,420 | | — | | 28,420 | | | 26,977 | | — | | 26,977 | |
Total unsecuritized mortgage loans | | 37,766 | 20,476 | 58,242 | | 37,070 | 27,349 | 64,419 |
Mortgage-related securities: | | | | | | | | |
Investment securities | | 3,370 | | 5,284 | | 8,654 | | | 3,440 | | 6,396 | | 9,836 | |
Debt of consolidated trusts | | 17,509 | | 677 | | 18,186 | | | 17,939 | | 536 | | 18,475 | |
Total mortgage-related securities | | 20,879 | | 5,961 | | 26,840 | | | 21,379 | | 6,932 | | 28,311 | |
Mortgage-related investments portfolio | | $58,645 | | $26,437 | | $85,082 | | | $58,449 | | $34,281 | | $92,730 | |
10% of notional amount of interest-only securities | | | | $22,523 | | | | $21,758 |
Mortgage-related investments portfolio for purposes of Purchase Agreement cap | | | | 107,605 | | | | 114,488 |
Other Investments Portfolio The table below presents the details of our other investments portfolio.
Table 10 - Other Investments Portfolio
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| | September 30, 2023 | | December 31, 2022 |
(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 | | $4,699 | | $566 | | $89 | | $5,354 | | | $5,652 | | $611 | | $97 | | $6,360 | |
Securities purchased under agreements to resell | | 107,351 | | 10,786 | | 796 | | 118,933 | | | 88,499 | | 9,703 | | 1,084 | | 99,286 | |
Non-mortgage-related securities | | 19,399 | | — | | 6,069 | | 25,468 | | | 20,188 | | — | | 3,645 | | 23,833 | |
Other assets | | — | | — | | 6,612 | | 6,612 | | | — | | — | | 4,565 | | 4,565 | |
Other investments portfolio | | $131,449 | | $11,352 | | $13,566 | | $156,367 | | | $114,339 | | $10,314 | | $9,391 | | $134,044 | |
(1)Represents carrying value.
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Freddie Mac 3Q 2023 Form 10-Q | | 12 |
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Management's Discussion and Analysis | | Our Business Segments |
OUR BUSINESS SEGMENTS
As shown in the table below, we have two reportable segments, which are based on the way we manage our business.
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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. |
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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. |
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Segment Net Revenues and Net Income The charts below show our net revenues and net income by segment.
Segment Net Revenues
(In billions)
Segment Net Income
(In billions)
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Freddie Mac 3Q 2023 Form 10-Q | | |