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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, 2024
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)
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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 8, 2024, 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 2024 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 Newly Acquired Credit Enhancements | |
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 | Single-Family Completed Loan Workout Activity | |
22 | Multifamily Mortgage Portfolio CRT Issuance | |
23 | Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio | |
24 | Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement | |
25 | PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve | |
26 | Duration Gap and PVS Results | |
27 | PVS-L Results Before Derivatives and After Derivatives | |
28 | Earnings Sensitivity to Changes in Interest Rates | |
29 | Liquidity Sources | |
30 | Funding Sources | |
31 | Debt of Freddie Mac Activity | |
32 | Maturity and Redemption Dates | |
33 | Debt of Consolidated Trusts Activity | |
34 | Net Worth Activity | |
35 | Regulatory Capital Components | |
36 | Statutory Capital Components | |
37 | Capital Metrics Under ERCF | |
38 | Forecasted House Price Growth Rates | |
39 | Current and Proposed 2025-2027 Affordable Housing Goal Benchmark Levels | |
40 | 2023 and 2022 Affordable Housing Goals Results | |
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Freddie Mac 3Q 2024 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, 2023, or 2023 Annual Report. Throughout this Form 10-Q, we use certain acronyms and terms that are defined in the Glossary of our 2023 Annual Report.
You should read the following MD&A in conjunction with our 2023 Annual Report and our condensed consolidated financial statements and accompanying notes for the three and nine months ended September 30, 2024 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 a portion of our 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, mortgage-related securities, and other types of assets. 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 2023 Annual Report.
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Freddie Mac 3Q 2024 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 $3.1 billion, an increase of $420 million year-over-year, primarily driven by a decline in non-interest expense, as the prior period included a $313 million additional expense accrual.
n Net revenues were $5.8 billion, an increase of 3% year-over-year, primarily driven by higher net interest income.
n Net worth was $56.4 billion as of September 30, 2024, up from $44.7 billion as of September 30, 2023. 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 $125.9 billion on September 30, 2024, and will increase to $129.0 billion on December 31, 2024 based on the increase in net worth in 3Q 2024.
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 $113 billion in liquidity to the mortgage market in 3Q 2024, which enabled the financing of 415,000 home purchases, refinancings, and rental units.
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Freddie Mac 3Q 2024 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, 2024, continuing to grow at a moderate pace.
l Our Single-Family mortgage portfolio was $3.1 trillion at September 30, 2024, up 2% year-over-year.
l Our Multifamily mortgage portfolio was $452 billion at September 30, 2024, up 5% year-over-year.
Credit Enhancement Coverage 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 types of credit enhancements, such as primary mortgage insurance and CRT transactions, to reduce our credit risk exposure and transfer a portion of the credit risk on certain loans in our mortgage portfolio to third parties. At September 30, 2024, we had credit enhancement coverage on 62% of our Single-Family mortgage portfolio and 93% of our Multifamily mortgage portfolio. See MD&A - Risk Management – Credit Risk for additional information on our credit enhancements.
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Freddie Mac 3Q 2024 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 (seasonally adjusted rate).
U.S. Single-Family Mortgage Originations
(UPB in billions)
Source: Freddie Mac and Inside Mortgage Finance.
Single-Family Serious Delinquency Rates
Source: Freddie Mac and National Delinquency Survey from the Mortgage Bankers Association. The 3Q 2024 total mortgage market rate is not yet available.
Single-Family Mortgage Debt Outstanding
(UPB in trillions)
Source: Freddie Mac and Federal Reserve Financial Accounts of the United States of America. The 3Q 2024 U.S. single-family mortgage debt outstanding balance is not yet available.
| | | | | | | | |
Freddie Mac 3Q 2024 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 Quarterly 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 conduit market, excluding REOs). The 3Q 2024 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. The 3Q 2024 U.S. multifamily mortgage debt outstanding balance is not yet available. | | | | | | | | |
Freddie Mac 3Q 2024 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.
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 2024 | 3Q 2023 | | $ | % | | YTD 2024 | YTD 2023 | | $ | %(1) |
Net interest income | | $4,999 | | $4,749 | | | $250 | | 5 | % | | $14,686 | | $13,773 | | | $913 | | 7 | % |
Non-interest income | | 839 | | 941 | | | (102) | | (11) | | | 2,897 | | 2,083 | | | 814 | | 39 | |
Net revenues | | 5,838 | | 5,690 | | | 148 | | 3 | | | 17,583 | | 15,856 | | | 1,727 | | 11 | |
(Provision) benefit for credit losses | | 191 | | 263 | | | (72) | | (27) | | | (384) | | 405 | | | (789) | | NM |
Non-interest expense | | (2,183) | | (2,576) | | | 393 | | 15 | | | (6,439) | | (6,712) | | | 273 | | 4 | |
Income before income tax expense | | 3,846 | | 3,377 | | | 469 | | 14 | | | 10,760 | | 9,549 | | | 1,211 | | 13 | |
Income tax expense | | (741) | | (692) | | | (49) | | (7) | | | (2,124) | | (1,925) | | | (199) | | (10) | |
Net income | | 3,105 | | 2,685 | | | 420 | | 16 | | | 8,636 | | 7,624 | | | 1,012 | | 13 | |
Other comprehensive income (loss), net of taxes and reclassification adjustments | | 62 | | 19 | | | 43 | | 226 | | | 32 | | 19 | | | 13 | | 68 | |
Comprehensive income | | $3,167 | | $2,704 | | | $463 | | 17 | % | | $8,668 | | $7,643 | | | $1,025 | | 13 | % |
(1)NM - not meaningful.
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 2024 | 3Q 2023 | | $ | % | | YTD 2024 | YTD 2023 | | $ | % |
Guarantee net interest income: | | | | | | | | | | | | |
Contractual net interest income | | $3,844 | | $3,695 | | | $149 | | 4 | % | | $11,430 | | $11,019 | | | $411 | | 4 | % |
Deferred fee income | | 188 | | 316 | | | (128) | | (41) | | | 533 | | 755 | | | (222) | | (29) | |
Total guarantee net interest income | | 4,032 | | 4,011 | | | 21 | | 1 | | | 11,963 | | 11,774 | | | 189 | | 2 | |
Investments net interest income | | 1,511 | | 1,675 | | | (164) | | (10) | | | 4,595 | | 4,718 | | | (123) | | (3) | |
Impact on net interest income from hedge accounting | | (544) | | (937) | | | 393 | | 42 | | | (1,872) | | (2,719) | | | 847 | | 31 | |
Net interest income | | $4,999 | | $4,749 | | | $250 | | 5 | % | | $14,686 | | $13,773 | | | $913 | | 7 | % |
Key Drivers:
n Guarantee net interest income
l YTD 2024 vs. YTD 2023 - Increased primarily due to continued mortgage portfolio growth.
n Impact on net interest income from hedge accounting
l 3Q 2024 vs. 3Q 2023 and YTD 2024 vs. YTD 2023 - Decreased due to lower expense related to debt in hedge accounting relationships.
| | | | | | | | |
Freddie Mac 3Q 2024 Form 10-Q | | 6 |
| | | | | | | | |
Management's Discussion and Analysis | | Consolidated Results of Operations |
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 2024 | | 3Q 2023 | | | | | | |
(Dollars in millions) | | Average Balance | Interest Income (Expense) | Average Rate | | Average Balance | Interest Income (Expense) | Average Rate | | | | | | |
Interest-earning assets: | | | | | | | | | | | | | | |
Cash and cash equivalents | | $9,848 | | $103 | | 4.10 | % | | $13,523 | | $145 | | 4.19 | % | | | | | | |
Securities purchased under agreements to resell | | 109,863 | | 1,511 | | 5.50 | | | 122,140 | | 1,660 | | 5.43 | | | | | | | |
Investment securities | | 45,616 | | 510 | | 4.48 | | | 41,169 | | 427 | | 4.15 | | | | | | | |
Mortgage loans(1) | | 3,133,839 | | 27,640 | | 3.53 | | | 3,069,177 | | 24,525 | | 3.20 | | | | | | | |
Other assets | | 2,624 | | 45 | | 6.72 | | | 2,839 | | 42 | | 5.79 | | | | | | | |
Total interest-earning assets | | 3,301,790 | | 29,809 | | 3.62 | | | 3,248,848 | | 26,799 | | 3.30 | | | | | | | |
Interest-bearing liabilities: | | | | | | | | | | | | | | |
Debt of consolidated trusts | | 3,064,773 | | (22,330) | | (2.91) | | | 3,005,595 | | (19,383) | | (2.58) | | | | | | | |
Debt of Freddie Mac | | 178,148 | | (2,480) | | (5.56) | | | 193,925 | | (2,667) | | (5.49) | | | | | | | |
Total interest-bearing liabilities | | 3,242,921 | | (24,810) | | (3.06) | | | 3,199,520 | | (22,050) | | (2.76) | | | | | | | |
Impact of net non-interest-bearing funding | | 58,869 | | — | | 0.05 | | | 49,328 | | — | | 0.04 | | | | | | | |
Total funding of interest-earning assets | | 3,301,790 | | (24,810) | | (3.01) | | | 3,248,848 | | (22,050) | | (2.72) | | | | | | | |
Net interest income/yield | | | $4,999 | | 0.61 | % | | | $4,749 | | 0.58 | % | | | | | | |
| | | | | | | | | | | | | | |
(1)Loan fees included in net interest income were $0.3 and $0.2 billion during 3Q 2024 and 3Q 2023, respectively.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | YTD 2024 | | YTD 2023 |
(Dollars in millions) | | Average Balance | Interest Income (Expense) | Average Rate | | Average Balance | Interest Income (Expense) | Average Rate |
Interest-earning assets: | | | | | | | | |
Cash and cash equivalents | | $11,119 | | $351 | | 4.15 | % | | $13,618 | | $401 | | 3.88 | % |
Securities purchased under agreements to resell | | 112,825 | | 4,636 | | 5.48 | | | 118,891 | | 4,502 | | 5.05 | |
Investment securities | | 42,936 | | 1,464 | | 4.55 | | | 39,637 | | 1,106 | | 3.72 | |
Mortgage loans(1) | | 3,115,870 | | 80,690 | | 3.45 | | | 3,052,953 | 71,427 | 3.12 | |
Other assets | | 2,339 | | 117 | | 6.58 | | | 2,506 | 105 | 5.53 | |
Total interest-earning assets | | 3,285,089 | | 87,258 | | 3.55 | | | 3,227,605 | 77,541 | 3.20 | |
Interest-bearing liabilities: | | | | | | | | |
Debt of consolidated trusts | | 3,049,742 | | (65,086) | | (2.85) | | | 2,988,356 | | (56,252) | | (2.51) | |
Debt of Freddie Mac | | 179,719 | | (7,486) | | (5.55) | | | 194,319 | | (7,516) | | (5.15) | |
Total interest-bearing liabilities | | 3,229,461 | | (72,572) | | (3.00) | | | 3,182,675 | | (63,768) | | (2.67) | |
Impact of net non-interest-bearing funding | | 55,628 | | — | | 0.05 | | | 44,930 | | — | | 0.04 | |
Total funding of interest-earning assets | | 3,285,089 | | (72,572) | | (2.95) | | | 3,227,605 | | (63,768) | | (2.63) | |
Net interest income/yield | | | $14,686 | | 0.60 | % | | | $13,773 | | 0.57 | % |
(1)Loan fees included in net interest income were $0.9 and $0.8 billion during YTD 2024 and YTD 2023, respectively.
| | | | | | | | |
Freddie Mac 3Q 2024 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 2024 | 3Q 2023 | | $ | % | | YTD 2024 | YTD 2023 | | $ | % |
Guarantee income | | $487 | | $301 | | | $186 | | 62 | % | | $1,366 | | $1,076 | | | $290 | | 27 | % |
Investment gains, net | | 243 | | 555 | | | (312) | | (56) | | | 1,197 | | 741 | | | 456 | | 62 | |
Other income | | 109 | | 85 | | | 24 | | 28 | | | 334 | | 266 | | | 68 | | 26 | |
Non-interest income | | $839 | | $941 | | | ($102) | | (11) | % | | $2,897 | | $2,083 | | | $814 | | 39 | % |
Key Drivers:
n Guarantee income
l 3Q 2024 vs. 3Q 2023 - Increased primarily due to lower fair value losses on guarantee assets as a result of medium-term interest rate declines in 3Q 2024.
l YTD 2024 vs. YTD 2023 - Increased primarily due to lower fair value losses on guarantee assets as a result of medium-term interest rate declines and favorable fair value changes on guarantee assets from prepayment rates in YTD 2024.
n Investment gains, net
l 3Q 2024 vs. 3Q 2023 - Decreased primarily due to impacts from interest-rate risk management activities.
l YTD 2024 vs. YTD 2023 - Increased primarily due to impacts from interest-rate risk management activities and higher revenues from held-for-sale loan purchase and securitization activities.
(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 2024 | 3Q 2023 | | $ | %(1) | | YTD 2024 | YTD 2023 | | $ | %(1) |
Single-Family | | $99 | | $304 | | | ($205) | | (67) | % | | ($336) | | $624 | | | ($960) | | NM |
Multifamily | | 92 | | (41) | | | 133 | | NM | | (48) | | (219) | | | 171 | | 78 | % |
(Provision) benefit for credit losses | | $191 | | $263 | | | ($72) | | (27) | % | | ($384) | | $405 | | | ($789) | | NM |
(1)NM - not meaningful.
Key Drivers:
n 3Q 2024 vs. 3Q 2023 - The benefit for credit losses for 3Q 2024 was driven by a credit reserve release in Single-Family as a result of lower mortgage interest rates and a credit reserve release in Multifamily due to enhancements in the credit loss estimation process. The benefit for credit losses for 3Q 2023 was primarily driven by a credit reserve release in Single-Family due to improvements in house prices.
n YTD 2024 vs. YTD 2023 - The provision for credit losses for YTD 2024 was primarily driven by a credit reserve build in Single-Family attributable to new acquisitions. The benefit for credit losses for YTD 2023 was primarily driven by a credit reserve release in Single-Family due to improvements in house prices, partially offset by a credit reserve build in Multifamily.
| | | | | | | | |
Freddie Mac 3Q 2024 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 2024 | 3Q 2023 | | $ | % | | YTD 2024 | YTD 2023 | | $ | % |
Salaries and employee benefits | | ($424) | | ($418) | | | ($6) | | (1) | % | | ($1,265) | | ($1,197) | | | ($68) | | (6) | % |
Credit enhancement expense | | (616) | | (634) | | | 18 | | 3 | | | (1,801) | | (1,754) | | | (47) | | (3) | |
Benefit for (decrease in) credit enhancement recoveries | | (4) | | (103) | | | 99 | | 96 | | | (10) | | (162) | | | 152 | | 94 | |
Legislative assessments expense: | | | | | | | | | | | | |
Legislated guarantee fees expense | | (732) | | (716) | | | (16) | | (2) | | | (2,184) | | (2,134) | | | (50) | | (2) | |
Affordable housing funds allocation | | (48) | | (41) | | | (7) | | (17) | | | (118) | | (109) | | | (9) | | (8) | |
Total legislative assessments expense | | (780) | | (757) | | | (23) | | (3) | | | (2,302) | | (2,243) | | | (59) | | (3) | |
Other expense | | (359) | | (664) | | | 305 | | 46 | | | (1,061) | | (1,356) | | | 295 | | 22 | |
Non-interest expense | | ($2,183) | | ($2,576) | | | $393 | | 15 | % | | ($6,439) | | ($6,712) | | | $273 | | 4 | % |
Key Drivers:
n Benefit for (decrease in) credit enhancement recoveries
l 3Q 2024 vs. 3Q 2023 and YTD 2024 vs. YTD 2023 - Decreased primarily due to a smaller decrease in expected credit losses on covered loans.
n Other expense
l 3Q 2024 vs. 3Q 2023 and YTD 2024 vs. YTD 2023 - Decreased primarily due to a $313 million expense accrual for an adverse judgment at trial in 3Q 2023. We did not have a similar litigation accrual in 3Q 2024.
| | | | | | | | |
Freddie Mac 3Q 2024 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, 2024 | December 31, 2023 | | $ | % |
Assets: | | | | | | |
Cash and cash equivalents | | $4,857 | | $6,019 | | | ($1,162) | | (19) | % |
Securities purchased under agreements to resell | | 103,110 | | 95,148 | | | 7,962 | | 8 | |
Investment securities, at fair value | | 43,613 | | 43,275 | | | 338 | | 1 | |
Mortgage loans held-for-sale | | 11,678 | | 12,941 | | | (1,263) | | (10) | |
Mortgage loans held-for-investment | | 3,140,319 | | 3,083,665 | | | 56,654 | | 2 | |
Accrued interest receivable, net | | 10,561 | | 9,925 | | | 636 | | 6 | |
Deferred tax assets, net | | 4,730 | | 4,076 | | | 654 | | 16 | |
Other assets | | 23,715 | | 25,927 | | | (2,212) | | (9) | |
Total assets | | $3,342,583 | | $3,280,976 | | | $61,607 | | 2 | % |
| | | | | | |
Liabilities and Equity: | | | | | | |
Liabilities: | | | | | | |
Accrued interest payable | | $9,222 | | $8,812 | | | $410 | | 5 | % |
Debt | | 3,265,267 | | 3,208,346 | | | 56,921 | | 2 | |
Other liabilities | | 11,704 | | 16,096 | | | (4,392) | | (27) | |
Total liabilities | | 3,286,193 | | 3,233,254 | | | 52,939 | | 2 | |
Total equity | | 56,390 | | 47,722 | | | 8,668 | | 18 | |
Total liabilities and equity | | $3,342,583 | | $3,280,976 | | | $61,607 | | 2 | % |
Key Drivers:
As of September 30, 2024 compared to December 31, 2023:
n Securities purchased under agreements to resell increased, driven by a shift from securities sold under agreements to repurchase to debt of Freddie Mac due to lower funding costs. Securities sold under agreements to repurchase are generally offset against securities purchased under agreements to resell on our condensed consolidated balance sheets.
n Mortgage loans held-for-investment increased primarily due to growth in our Single-Family mortgage portfolio.
n Debt increased primarily due to an increase in debt of consolidated trusts driven by growth in our Single-Family mortgage portfolio.
| | | | | | | | |
Freddie Mac 3Q 2024 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, 2024 | | December 31, 2023 |
(In millions) | | Single-Family | Multifamily | Total | | Single-Family | Multifamily | Total |
Mortgage loans held-for-investment: | | | | | | | | |
By consolidated trusts | | $2,997,105 | $60,202 | $3,057,307 | | $2,963,296 | $47,433 | $3,010,729 |
By Freddie Mac | | 43,911 | 12,507 | 56,418 | | 33,213 | 11,770 | 44,983 |
Total mortgage loans held-for-investment | | 3,041,016 | | 72,709 | | 3,113,725 | | | 2,996,509 | | 59,203 | | 3,055,712 | |
Mortgage loans held-for-sale | | 2,803 | | 9,051 | | 11,854 | | | 3,527 | | 9,905 | | 13,432 | |
Total mortgage loans | | 3,043,819 | | 81,760 | | 3,125,579 | | | 3,000,036 | | 69,108 | | 3,069,144 | |
Mortgage-related guarantees: | | | | | | | | |
Mortgage loans held by nonconsolidated trusts | | 30,287 | | 359,166 | | 389,453 | | | 30,182 | | 360,928 | | 391,110 | |
Other mortgage-related guarantees | | 8,126 | | 11,190 | | 19,316 | | | 8,692 | | 10,761 | | 19,453 | |
Total mortgage-related guarantees | | 38,413 | | 370,356 | | 408,769 | | | 38,874 | | 371,689 | | 410,563 | |
Total mortgage portfolio | | $3,082,232 | | $452,116 | | $3,534,348 | | | $3,038,910 | | $440,797 | | $3,479,707 | |
Guaranteed mortgage-related securities: | | | | | | | | |
Issued by consolidated trusts | | $3,009,915 | $60,201 | $3,070,116 | | $2,970,707 | $47,436 | $3,018,143 |
Issued by nonconsolidated trusts | | 24,684 | 320,710 | 345,394 | | 24,600 | 321,262 | 345,862 |
Total guaranteed mortgage-related securities | | $3,034,599 | | $380,911 | | $3,415,510 | | | $2,995,307 | | $368,698 | | $3,364,005 | |
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 2023 Annual Report.
| | | | | | | | |
Freddie Mac 3Q 2024 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, 2024 | | December 31, 2023 |
(In millions) | | Single-Family | Multifamily | Total | | Single-Family | Multifamily | Total |
Unsecuritized mortgage loans: | | | | | | | | |
Securitization pipeline loans(1) | | $16,243 | | $15,199 | | $31,442 | | | $8,225 | | $15,197 | | $23,422 | |
Other loans(2) | | 30,471 | | 6,359 | | 36,830 | | | 28,515 | | 6,478 | | 34,993 | |
Total unsecuritized mortgage loans | | 46,714 | | 21,558 | | 68,272 | | | 36,740 | 21,675 | 58,415 |
Mortgage-related securities: | | | | | | | | |
Investment securities | | 2,906 | | 4,245 | | 7,151 | | | 2,667 | | 4,613 | | 7,280 | |
Debt of consolidated trusts | | 18,319 | | 637 | | 18,956 | | | 18,639 | | 660 | | 19,299 | |
Total mortgage-related securities | | 21,225 | | 4,882 | | 26,107 | | | 21,306 | | 5,273 | | 26,579 | |
Mortgage-related investments portfolio | | $67,939 | | $26,440 | | $94,379 | | | $58,046 | | $26,948 | | $84,994 | |
10% of notional amount of interest-only securities | | | | $22,580 | | | | $22,186 |
Mortgage-related investments portfolio for purposes of Purchase Agreement cap | | | | 116,959 | | | | 107,180 |
(1)Single-family and multifamily loans that we have purchased for cash and aggregate on our balance sheet for securitization within the normal course of business.
(2)Primarily includes delinquent and modified single-family loans that we have purchased from securitization trusts.
Other Investments Portfolio The table below presents the details of the carrying value of our other investments portfolio.
Table 10 - Other Investments Portfolio
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | September 30, 2024 | | December 31, 2023 |
(In millions) | | Liquidity and Contingency Operating Portfolio | Custodial Account | Other | Total Other Investments Portfolio | | Liquidity and Contingency Operating Portfolio | Custodial Account | Other | Total Other Investments Portfolio |
Cash and cash equivalents | | $3,638 | | $1,106 | | $113 | | $4,857 | | | $5,041 | | $890 | | $88 | | $6,019 | |
Securities purchased under agreements to resell | | 89,903 | | 13,429 | | 1,888 | | 105,220 | | | 94,904 | | 9,396 | | 1,093 | | 105,393 | |
Non-mortgage related securities(1) | | 24,531 | | — | | 6,000 | | 30,531 | | | 24,153 | | — | | 6,119 | | 30,272 | |
Other assets | | — | | — | | 6,530 | | 6,530 | | | — | | — | | 5,555 | | 5,555 | |
Other investments portfolio | | $118,072 | | $14,535 | | $14,531 | | $147,138 | | | $124,098 | | $10,286 | | $12,855 | | $147,239 | |
(1)Primarily consists of U.S. Treasury securities.
| | | | | | | | |
Freddie Mac 3Q 2024 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 3Q 2024 Form 10-Q | | 13 |
| | | | | |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
Single-Family
The charts, tables, and related discussion below present the business results of our Single-Family segment.
UPB of Single-Family Loan Purchases and Guarantees by Loan Purpose and Average Estimated Guarantee Fee Rate(1) on New Acquisitions
(UPB in billions) (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 3Q 2024 vs. 3Q 2023 and YTD 2024 vs. YTD 2023
l Our loan purchase and guarantee activity increased as both home purchase and refinance volume increased due to lower 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.
l Estimated guarantee fee rate calculations are based on month-end market rates for the month of acquisition. The average estimated guarantee fee rate on new acquisitions increased during 3Q 2024 compared to 3Q 2023 due to higher contractual guarantee fee rates and faster estimated prepayment rates based on such month-end market rates. This increase was partially offset by a shift in the business mix of new acquisitions.
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Freddie Mac 3Q 2024 Form 10-Q | | 14 |
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Management's Discussion and Analysis | Our Business Segments | Single-Family |
Single-Family Mortgage Portfolio Single-Family Mortgage Portfolio and Average Estimated Guarantee Fee Rate(1) on Mortgage Portfolio
(UPB in billions) (1)Estimated guarantee fee rate is calculated as of acquisition and includes deferred fees recognized over the estimated life of the related loans. Estimated guarantee fee rate calculation excludes the legislated guarantee fees and certain loans, the majority of which are held by VIEs that we do not consolidate. The UPB of these excluded loans was $40 billion as of September 30, 2024.
Single-Family Mortgage Loans
(Loan count in millions) n Our Single-Family mortgage portfolio was $3.1 trillion at September 30, 2024, up 2% year-over-year. The mortgage portfolio continued to grow at a moderate pace.
n The average estimated guarantee fee rate on our Single-Family mortgage portfolio increased slightly year-over-year.
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Freddie Mac 3Q 2024 Form 10-Q | | 15 |
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Management's Discussion and Analysis | Our Business Segments | Single-Family |
We obtain credit enhancements on a portion of our Single-Family mortgage portfolio to reduce the risk of future losses to us when borrowers default. The charts below provide the UPB of the mortgage loans acquired during the periods presented that were covered by primary mortgage insurance, the UPB of the mortgage loans covered by CRT transactions issued during the periods presented, and maximum coverage related to these credit enhancements. The primary mortgage insurance and CRT activities presented in these charts are not mutually exclusive as a single loan may be covered by both primary mortgage insurance and CRT transactions.
New Acquisitions Covered by Primary Mortgage Insurance
(In billions) New CRT Issuance
(In billions) n 3Q 2024 vs. 3Q 2023 and YTD 2024 vs. YTD 2023
l The UPB of mortgage loans acquired during 3Q 2024 that were covered by primary mortgage insurance increased year-over-year.
l The UPB of mortgage loans covered by CRT transactions and related maximum coverage issued during the 2024 periods increased due to changes in business strategy in the 2023 periods that increased the timeline between loan acquisition and CRT issuance and resulted in a smaller population of loans that were covered by CRT transactions issued in the 2023 periods.
See MD&A - Risk Management - Single-Family Mortgage Credit Risk - Transferring Credit Risk to Third-Party Investors for additional information on our credit enhancements.
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Freddie Mac 3Q 2024 Form 10-Q | | 16 |
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Management's Discussion and Analysis | Our Business Segments | Single-Family |
The table below presents the results of operations for our Single-Family segment. See Note 11 for additional information about segment financial results.
Table 11 - Single-Family Segment Financial Results | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Change | | | | | Change |
(Dollars in millions) | | 3Q 2024 | 3Q 2023 | | $ | %(1) | | YTD 2024 | YTD 2023 | | $ | %(1) |
Net interest income | | $4,692 | | $4,534 | | | $158 | | 3% | | $13,815 | | $13,125 | | | $690 | | 5 | % |
Non-interest income | | 364 | | 393 | | | (29) | | (7) | | |