FEDERAL HOME LOAN MORTGAGE CORP [FMCCH] Filings

10-Q 1 fmcc-20230630.htm 10-Q fmcc-20230630

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 June 30, 2023


☐			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 July 11, 2023, there were 650,059,553 shares of the registrant's common stock outstanding.


Table of Contents

Table of Contents


			Page
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS			1
n Introduction			1
n Housing and Mortgage Market Conditions			4
n Consolidated Results of Operations			6
n Consolidated Balance Sheets Analysis			10
n Our Portfolios			11
n Our Business Segments			13
n Risk Management			23
l Credit Risk			23
l Market Risk			31
n Liquidity and Capital Resources			34
n Critical Accounting Estimates			42

n Regulation and Supervision			43
n Forward-Looking Statements			44
FINANCIAL STATEMENTS			46
OTHER INFORMATION			97
CONTROLS AND PROCEDURES			99
EXHIBIT INDEX			100
SIGNATURES			101
FORM 10-Q INDEX			102


Freddie Mac 2Q 2023 Form 10-Q						i


Table of Contents

MD&A TABLE INDEX


Table	Description	Page
1	Summary of Consolidated Statements of Income and Comprehensive Income	6
2	Components of Net Interest Income	6
3	Analysis of Net Interest Yield	7
4	Components of Non-Interest Income	8
5	(Provision) Benefit for Credit Losses	8
6	Components of Non-Interest Expense	9
7	Summarized Condensed Consolidated Balance Sheets	10
8	Mortgage Portfolio	11
9	Mortgage-Related Investments Portfolio	12
10	Other Investments Portfolio	12
11	Single-Family Segment Financial Results	18
12	Multifamily Segment Financial Results	22
13	Allowance for Credit Losses Activity	23
14	Allowance for Credit Losses Ratios	24
15	Single-Family New Business Activity	25
16	Single-Family Mortgage Portfolio CRT Issuance	25
17	Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding	26
18	Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio	26
19	Credit Quality Characteristics of Our Single-Family Mortgage Portfolio	27
20	Single-Family Mortgage Portfolio Attribute Combinations	28
21	Multifamily Mortgage Portfolio CRT Issuance	30
22	Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio	31
23	Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement	31
24	PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve	32
25	Duration Gap and PVS Results	32
26	PVS-L Results Before Derivatives and After Derivatives	32
27	Earnings Sensitivity to Changes in Interest Rates	33
28	Liquidity Sources	34
29	Funding Sources	35
30	Debt of Freddie Mac Activity	35
31	Maturity and Redemption Dates	36
32	Debt of Consolidated Trusts Activity	37
33	Net Worth Activity	38
34	Regulatory Capital Components	39
35	Statutory Capital Components	39
36	Capital Metrics Under ERCF	40
37	Forecasted House Price Growth Rates	42


Freddie Mac 2Q 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 six months ended June 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.


Freddie Mac 2Q 2023 Form 10-Q						1


Management's Discussion and Analysis						Introduction

Business Results

Consolidated Financial Results

Net Revenues and Net Income

(In billions)

Net Worth

(In billions)

Key Drivers:

n Net income was $2.9 billion, an increase of 20% year-over-year, with the increase primarily driven by a credit reserve release in Single-Family.

n Net revenues were $5.3 billion, a decrease of 1% year-over-year, as lower net interest income was partially offset by an increase in non-interest income.

n Net worth was $42.0 billion as of June 30, 2023, up from $39.1 billion as of March 31, 2023 and $34.1 billion as of June 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 $111.7 billion on June 30, 2023, and will increase to $114.6 billion on September 30, 2023 based on the increase in net worth in 2Q 2023.

Market Liquidity

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 $96 billion in liquidity to the mortgage market in 2Q 2023, which enabled the financing of 372,000 home purchases, refinancings, and rental units.


Freddie Mac 2Q 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 3% year-over-year to $3.4 trillion at June 30, 2023.

l Our Single-Family mortgage portfolio was $3.0 trillion at June 30, 2023, up 3% year-over-year, as portfolio growth has moderated in recent periods due to the slowdown in new business activity as both home purchase activity and refinance activity slowed due to higher mortgage interest rates.

l Our Multifamily mortgage portfolio was $427 billion at June 30, 2023, up 3% year-over-year, as portfolio growth has moderated in recent periods due to a slowdown in new business activity due to higher mortgage interest rates.

Credit Risk Transfer

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 2Q 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.

Single-Family

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) 320

Source: Freddie Mac and Inside Mortgage Finance. 2Q 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. 2Q 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. 2Q 2023 U.S. single-family mortgage debt outstanding data is not yet available.


Freddie Mac 2Q 2023 Form 10-Q						4


Management's Discussion and Analysis						Housing and Mortgage Market Conditions

Multifamily

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 2Q 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. 2Q 2023 U.S. multifamily mortgage debt outstanding data is not yet available.


Freddie Mac 2Q 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)	2Q 2023	2Q 2022	$	%		YTD 2023	YTD 2022	$	%
Net interest income	$4,523	$4,759	($236)	(5)	%	$9,024	$8,863	$161	2	%
Non-interest income	816	645	171	27		1,142	2,387	(1,245)	(52)
Net revenues	5,339	5,404	(65)	(1)		10,166	11,250	(1,084)	(10)
(Provision) benefit for credit losses	537	(307)	844	275		142	530	(388)	(73)
Non-interest expense	(2,204)	(2,020)	(184)	(9)		(4,136)	(3,952)	(184)	(5)
Income before income tax expense	3,672	3,077	595	19		6,172	7,828	(1,656)	(21)
Income tax expense	(728)	(624)	(104)	(17)		(1,233)	(1,577)	344	22
Net income	2,944	2,453	491	20		4,939	6,251	(1,312)	(21)
Other comprehensive income (loss), net of taxes and reclassification adjustments	(54)	(66)	12	18		—	(186)	186	100
Comprehensive income	$2,890	$2,387	$503	21	%	$4,939	$6,065	($1,126)	(19)	%

Net Revenues

Net Interest Income

The table below presents the components of net interest income.

Table 2 - Components of Net Interest Income


			Change					Change
(Dollars in millions)	2Q 2023	2Q 2022	$	%		YTD 2023	YTD 2022	$	%
Guarantee net interest income:
Contractual net interest income	$3,658	$3,468	$190	5	%	$7,324	$6,802	$522	8	%
Deferred fee income	232	944	(712)	(75)		439	1,986	(1,547)	(78)
Total guarantee net interest income	3,890	4,412	(522)	(12)		7,763	8,788	(1,025)	(12)
Investments net interest income	1,611	693	918	132		3,043	1,272	1,771	139
Impact on net interest income from hedge accounting	(978)	(346)	(632)	(183)		(1,782)	(1,197)	(585)	(49)
Net interest income	$4,523	$4,759	($236)	(5)	%	$9,024	$8,863	$161	2	%

Key Drivers:

n Guarantee net interest income

l 2Q 2023 vs. 2Q 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 and higher average portfolio guarantee fee rates.

n Investments net interest income

l 2Q 2023 vs. 2Q 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 2Q 2023 Form 10-Q						6


Management's Discussion and Analysis						Consolidated Results of Operations

n Impact on net interest income from hedge accounting

l 2Q 2023 vs. 2Q 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


	2Q 2023				2Q 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	$13,572	$135	3.93	%	$14,628	$16	0.42	%
Securities purchased under agreements to resell	127,016	1,622	5.11		97,150	186	0.77
Investment securities	39,617	363	3.67		50,655	464	3.66
Mortgage loans(1)	3,047,556	23,598	3.10		2,953,930	19,324	2.62
Other assets	2,749	37	5.40		4,250	18	1.71
Total interest-earning assets	3,230,510	25,755	3.19		3,120,613	20,008	2.56
Interest-bearing liabilities:
Debt of consolidated trusts	2,984,057	(18,608)	(2.49)		2,903,912	(14,595)	(2.01)
Debt of Freddie Mac	201,432	(2,624)	(5.21)		174,018	(654)	(1.50)
Total interest-bearing liabilities	3,185,489	(21,232)	(2.67)		3,077,930	(15,249)	(1.98)
Impact of net non-interest-bearing funding	45,021	—	0.04		42,683	—	0.03
Total funding of interest-earning assets	3,230,510	(21,232)	(2.63)		3,120,613	(15,249)	(1.95)
Net interest income/yield		$4,523	0.56	%		$4,759	0.61	%

(1)Loan fees included in net interest income were $0.3 billion and $0.4 billion during 2Q 2023 and 2Q 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	$13,665	$256	3.72	%	$15,230	$19	0.24	%
Securities purchased under agreements to resell	117,266	2,842	4.85		92,913	209	0.45
Investment securities	38,871	679	3.49		50,514	848	3.36
Mortgage loans(1)	3,044,843	46,902	3.08		2,927,495	36,634	2.50
Other assets	2,339	63	5.36		4,892	38	1.53
Total interest-earning assets	3,216,984	50,742	3.15		3,091,044	37,748	2.44
Interest-bearing liabilities:
Debt of consolidated trusts	2,979,737	(36,869)	(2.47)		2,870,198	(27,844)	(1.94)
Debt of Freddie Mac	194,516	(4,849)	(4.98)		178,299	(1,041)	(1.17)
Total interest-bearing liabilities	3,174,253	(41,718)	(2.63)		3,048,497	(28,885)	(1.89)
Impact of net non-interest-bearing funding	42,731	—	0.03		42,547	—	0.03
Total funding of interest-earning assets	3,216,984	(41,718)	(2.60)		3,091,044	(28,885)	(1.86)
Net interest income/yield		$9,024	0.55	%		$8,863	0.58	%

(1)Loan fees included in net interest income were $0.6 billion and $0.9 billion during YTD 2023 and YTD 2022, respectively.


Freddie Mac 2Q 2023 Form 10-Q						7


Management's Discussion and Analysis						Consolidated Results of Operations

Non-Interest Income

The table below presents the components of non-interest income.

Table 4 - Components of Non-Interest Income


			Change					Change
(Dollars in millions)	2Q 2023	2Q 2022	$	%		YTD 2023	YTD 2022	$	%
Guarantee income:
Contractual guarantee fees	323	$322	$1	—	%	$647	$640	$7	1	%
Guarantee obligation amortization	286	306	(20)	(7)		565	605	(40)	(7)
Guarantee asset fair value changes	(300)	(423)	123	29		(437)	(970)	533	55
Total guarantee income	309	205	104	51		775	275	500	182
Investment gains, net:
Single-Family	(4)	232	(236)	(102)		(183)	1,484	(1,667)	(112)
Multifamily	415	89	326	366		369	350	19	5
Total investment gains, net	411	321	90	28		186	1,834	(1,648)	(90)
Other income	96	119	(23)	(19)		181	278	(97)	(35)
Non-interest income	$816	$645	$171	27	%	$1,142	$2,387	($1,245)	(52)	%

Key Drivers:

n Guarantee income

l 2Q 2023 vs. 2Q 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 2Q 2023 vs. 2Q 2022 - Net investment gains increased primarily due to fair value gains from interest-rate risk management activities in Multifamily.

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)	2Q 2023	2Q 2022	$	%		YTD 2023	YTD 2022	$	%
Single-Family	$638	($298)	$936	314	%	$320	$533	($213)	(40)	%
Multifamily	(101)	(9)	(92)	(1,022)		(178)	(3)	(175)	(5,833)
(Provision) benefit for credit losses	$537	($307)	$844	275	%	$142	$530	($388)	(73)	%

Key Drivers:

n 2Q 2023 vs. 2Q 2022 - The benefit for credit losses for 2Q 2023 was primarily driven by a credit reserve release in Single-Family due to improvements in observed and forecasted house price appreciation, partially offset by a credit reserve build in Multifamily due to deterioration in forecasted multifamily market conditions and current loan performance. The provision for credit losses for 2Q 2022 was primarily driven by a credit reserve build in Single-Family due to portfolio growth and deterioration in forecasted economic conditions.

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 improvements in 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 loan performance. The benefit for credit losses for YTD 2022 was primarily driven by a credit reserve release in Single-Family due to improvements in observed house price appreciation.


Freddie Mac 2Q 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)	2Q 2023	2Q 2022	$	%		YTD 2023	YTD 2022	$	%

Salaries and employee benefits	($405)	($376)	($29)	(8)	%	($779)	($732)	($47)	(6)	%
Credit enhancement expense	(590)	(558)	(32)	(6)		(1,120)	(1,017)	(103)	(10)
Benefit for (decrease in) credit enhancement recoveries	(108)	(1)	(107)	(10,700)		(59)	(18)	(41)	(228)
Legislative assessments expense:
Legislated guarantee fees expense	(710)	(684)	(26)	(4)		(1,418)	(1,350)	(68)	(5)
Affordable housing funds allocation	(41)	(64)	23	36		(68)	(157)	89	57
Total legislative assessments expense	(751)	(748)	(3)	—		(1,486)	(1,507)	21	1
Other expense	(350)	(337)	(13)	(4)		(692)	(678)	(14)	(2)
Non-interest expense	($2,204)	($2,020)	($184)	(9)	%	($4,136)	($3,952)	($184)	(5)	%

Key Drivers:

n Credit enhancement expense

l 2Q 2023 vs. 2Q 2022 and YTD 2023 vs. YTD 2022 - Increased primarily due to a higher volume of outstanding cumulative CRT transactions.

n Benefit for (decrease in) credit enhancement recoveries

l 2Q 2023 vs. 2Q 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 2Q 2023 vs. 2Q 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.


Freddie Mac 2Q 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)	June 30, 2023	December 31, 2022	$	%
Assets:
Cash and cash equivalents	$5,514	$6,360	($846)	(13)	%
Securities purchased under agreements to resell	112,386	87,295	25,091	29
Investment securities, at fair value	41,629	38,701	2,928	8
Mortgage loans held-for-sale	11,695	12,197	(502)	(4)
Mortgage loans held-for-investment	3,042,604	3,022,318	20,286	1
Accrued interest receivable, net	9,081	8,529	552	6
Deferred tax assets, net	5,237	5,777	(540)	(9)
Other assets	22,810	27,156	(4,346)	(16)
Total assets	$3,250,956	$3,208,333	$42,623	1	%

Liabilities and Equity:
Liabilities:
Accrued interest payable	$8,049	$7,309	$740	10	%
Debt	3,189,086	3,145,832	43,254	1
Other liabilities	11,864	18,174	(6,310)	(35)
Total liabilities	3,208,999	3,171,315	37,684	1
Total equity	41,957	37,018	4,939	13
Total liabilities and equity	$3,250,956	$3,208,333	$42,623	1	%

Key Drivers:

As of June 30, 2023 compared to December 31, 2022:

n Securities purchased under agreements to resell increased to provide additional liquidity due to the uncertainty created by the debate about increasing the federal debt ceiling.

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 the uncertainty created by the debate about increasing the federal debt ceiling, 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 2Q 2023 Form 10-Q						10


Management's Discussion and Analysis						Our Portfolios

OUR PORTFOLIOS

Mortgage Portfolio

The table below presents the UPB of our mortgage portfolio by segment.

Table 8 - Mortgage Portfolio


	June 30, 2023			December 31, 2022
(In millions)	Single-Family	Multifamily	Total	Single-Family	Multifamily	Total
Mortgage loans held-for-investment:
By consolidated trusts	$2,925,576	$39,443	$2,965,019	$2,907,999	$30,574	$2,938,573
By Freddie Mac	35,883	11,866	47,749	33,506	17,805	51,311
Total mortgage loans held-for-investment	2,961,459	51,309	3,012,768	2,941,505	48,379	2,989,884
Mortgage loans held-for-sale	3,231	9,319	12,550	3,564	9,544	13,108
Total mortgage loans	2,964,690	60,628	3,025,318	2,945,069	57,923	3,002,992
Mortgage-related guarantees:
Mortgage loans held by nonconsolidated trusts	30,475	355,723	386,198	31,500	360,869	392,369
Other mortgage-related guarantees	9,079	10,847	19,926	9,476	10,510	19,986
Total mortgage-related guarantees	39,554	366,570	406,124	40,976	371,379	412,355
Total mortgage portfolio	$3,004,244	$427,198	$3,431,442	$2,986,045	$429,302	$3,415,347
Guaranteed mortgage-related securities:
Issued by consolidated trusts	$2,938,070	$39,444	$2,977,514	$2,916,038	$30,813	$2,946,851
Issued by nonconsolidated trusts	24,828	315,542	340,370	25,772	319,117	344,889
Total guaranteed mortgage-related securities	$2,962,898	$354,986	$3,317,884	$2,941,810	$349,930	$3,291,740

Investments Portfolio

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 2Q 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


	June 30, 2023			December 31, 2022
(In millions)	Single-Family	Multifamily	Total	Single-Family	Multifamily	Total
Unsecuritized mortgage loans:
Securitization pipeline and other loans	$10,888	$21,185	$32,073	$10,093	$27,349	$37,442
Seasoned loans	28,226	—	28,226	26,977	—	26,977
Total unsecuritized mortgage loans	39,114	21,185	60,299	37,070	27,349	64,419
Mortgage-related securities:
Investment securities	4,815	5,835	10,650	3,440	6,396	9,836
Debt of consolidated trusts	16,327	811	17,138	17,939	536	18,475
Total mortgage-related securities	21,142	6,646	27,788	21,379	6,932	28,311
Mortgage-related investments portfolio	$60,256	$27,831	$88,087	$58,449	$34,281	$92,730
10% of notional amount of interest-only securities			$22,994			$21,758
Mortgage-related investments portfolio for purposes of Purchase Agreement cap			111,081			114,488

Other Investments Portfolio

The table below presents the details of our other investments portfolio.

Table 10 - Other Investments Portfolio


	June 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	$4,721	$700	$93	$5,514	$5,652	$611	$97	$6,360
Securities purchased under agreements to resell	109,307	11,265	982	121,554	88,499	9,703	1,084	99,286
Non-mortgage-related securities	19,310	—	6,121	25,431	20,188	—	3,645	23,833
Other assets	—	—	6,133	6,133	—	—	4,565	4,565
Other investments portfolio	$133,338	$11,965	$13,329	$158,632	$114,339	$10,314	$9,391	$134,044

(1)Represents carrying value.


Freddie Mac 2Q 2023 Form 10-Q						12


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.


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.

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)


Freddie Mac 2Q 2023 Form 10-Q						13


Management's Discussion and Analysis			Our Business Segments \| Single-Family

Single-Family

Business Results

The charts, tables, and related discussion below present the business results of our Single-Family segment.

New Business Activity

UPB of Single-Family Loan Purchases and Guarantees by Loan Purpose and Average Estimated Guarantee Fee Rate(1) on New Acquisitions

(UPB in billions) 152

(1)Estimated guarantee fee rate calculation excludes the legislated guarantee fees and includes deferred fees recognized over the estimated life of the related loans.

Number of Families Helped to Own a Home and Average Loan UPB of New Acquisitions

(Loan count in thousands)

n 2Q 2023 vs. 2Q 2022 and YTD 2023 vs YTD 2022

l Our loan purchase and guarantee activity slowed due to higher mortgage interest rates. We expect volume for the remainder of the year to be lower than 2022 due in part to higher mortgage interest rates.

l The average loan size of new acquisitions increased due to a higher conforming loan limit and house price appreciation in recent quarters.

FEDERAL HOME LOAN MORTGAGE CORP [FMCCH] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCC] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCCT] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FREJO] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCKI] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCCL] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCKL] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCCI] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCCG] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCCJ] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCCS] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCCO] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCKN] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FREJN] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCCN] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCKO] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCKJ] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCKM] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FREGP] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCCK] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCCP] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCCM] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCKP] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FMCKK] Filings
FEDERAL HOME LOAN MORTGAGE CORP [FREJP] Filings
10-Q	[2023-08-02]
10-Q	[2023-05-03]
10-K	[2023-02-22]
10-Q	[2022-11-08]
10-Q	[2022-07-28]
10-Q	[2022-04-28]
10-K	[2022-02-10]
10-Q	[2021-10-29]
10-Q	[2021-07-29]
10-Q	[2021-04-29]
10-K	[2021-02-11]
10-Q	[2020-10-29]
10-Q	[2020-07-30]
10-Q	[2020-04-30]
10-K	[2020-02-13]
10-Q	[2019-10-30]
10-Q	[2019-07-31]
10-Q	[2019-05-01]
10-K	[2019-02-14]
10-Q	[2018-10-31]
10-Q	[2018-07-31]
10-Q	[2018-05-01]
10-K	[2018-02-15]
10-Q	[2017-10-31]
10-Q	[2017-08-01]
10-Q	[2017-05-02]
10-K	[2017-02-16]
10-Q	[2016-11-01]
10-Q	[2016-08-02]
10-Q	[2016-05-03]
10-K	[2016-02-18]
10-Q	[2015-11-03]
10-Q	[2015-08-04]
10-Q	[2015-05-05]
10-K	[2015-02-19]
10-Q	[2014-11-06]
10-Q	[2014-08-07]
10-Q	[2014-05-08]
10-K	[2014-02-27]
10-Q	[2013-11-07]
10-Q	[2013-08-07]
10-Q	[2013-05-08]
10-K	[2013-02-28]
10-Q	[2012-11-06]
10-Q	[2012-08-07]
10-Q	[2012-05-03]
10-K	[2012-03-09]

FEDERAL HOME LOAN MORTGAGE CORP [FMCCH] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCC] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCCT] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FREJO] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCKI] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCCL] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCKL] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCCI] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCCG] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCCJ] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCCS] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCCO] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCKN] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FREJN] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCCN] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCKO] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCKJ] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCKM] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FREGP] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCCK] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCCP] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCCM] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCKP] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FMCKK] Filings

FEDERAL HOME LOAN MORTGAGE CORP [FREJP] Filings