FEDERAL HOME LOAN MORTGAGE CORP [FMCCT] Filings

10-Q 1 fmcc-20240630.htm 10-Q fmcc-20240630

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, 2024


☐			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 9, 2024, 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			22
l Credit Risk			22
l Market Risk			31
n Liquidity and Capital Resources			34
n Critical Accounting Estimates			42

n Regulation and Supervision			43
n Forward-Looking Statements			45
FINANCIAL STATEMENTS			47
OTHER INFORMATION			96
CONTROLS AND PROCEDURES			98
EXHIBIT INDEX			99
SIGNATURES			100
FORM 10-Q INDEX			101


Freddie Mac 2Q 2024 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	17
12	Multifamily Segment Financial Results	21
13	Allowance for Credit Losses Activity	22
14	Allowance for Credit Losses Ratios	23
15	Single-Family New Business Activity	24
16	Single-Family Mortgage Portfolio Newly Acquired Credit Enhancements	24
17	Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding	25
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	26
20	Single-Family Mortgage Portfolio Attribute Combinations	27
21	Single-Family Completed Loan Workout Activity	29
22	Multifamily Mortgage Portfolio CRT Issuance	30
23	Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio	31
24	Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement	31
25	PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve	32
26	Duration Gap and PVS Results	32
27	PVS-L Results Before Derivatives and After Derivatives	32
28	Earnings Sensitivity to Changes in Interest Rates	33
29	Liquidity Sources	34
30	Funding Sources	35
31	Debt of Freddie Mac Activity	35
32	Maturity and Redemption Dates	36
33	Debt of Consolidated Trusts Activity	37
34	Net Worth Activity	38
35	Regulatory Capital Components	39
36	Statutory Capital Components	39
37	Capital Metrics Under ERCF	40
38	Forecasted House Price Growth Rates	42


Freddie Mac 2Q 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 six months ended June 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.


Freddie Mac 2Q 2024 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 $2.8 billion, a decrease of 6% year-over-year, primarily driven by a credit reserve build in the current period compared to a credit reserve release in the prior year period, partially offset by higher net revenues.

n Net revenues were $6.0 billion, an increase of 12% year-over-year, driven by higher net interest income and higher non-interest income.

n Net worth was $53.2 billion as of June 30, 2024, up from $42.0 billion as of June 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 $123.1 billion on June 30, 2024, and will increase to $125.9 billion on September 30, 2024 based on the increase in net worth in 2Q 2024.

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 2024, which enabled the financing of 349,000 home purchases, refinancings, and rental units.


Freddie Mac 2Q 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 June 30, 2024, continuing to grow at a moderate pace as new business activity remained low.

l Our Single-Family mortgage portfolio was $3.1 trillion at June 30, 2024, up 2% year-over-year.

l Our Multifamily mortgage portfolio was $447 billion at June 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 June 30, 2024, we had credit enhancement coverage on 62% of our Single-Family mortgage portfolio and 95% of our Multifamily mortgage portfolio. See MD&A - Risk Management – Credit Risk for additional information on our credit enhancements.


Freddie Mac 2Q 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.

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 (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 2Q 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 2Q 2024 U.S. single-family mortgage debt outstanding balance is not yet available.


Freddie Mac 2Q 2024 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 conduit market, excluding REOs). The 2Q 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 2Q 2024 U.S. multifamily mortgage debt outstanding balance is not yet available.


Freddie Mac 2Q 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)	2Q 2024	2Q 2023	$	%(1)		YTD 2024	YTD 2023	$	%(1)
Net interest income	$4,928	$4,523	$405	9	%	$9,687	$9,024	$663	7	%
Non-interest income	1,060	816	244	30		2,058	1,142	916	80
Net revenues	5,988	5,339	649	12		11,745	10,166	1,579	16
(Provision) benefit for credit losses	(394)	537	(931)	NM		(575)	142	(717)	NM
Non-interest expense	(2,134)	(2,204)	70	3		(4,256)	(4,136)	(120)	(3)
Income before income tax expense	3,460	3,672	(212)	(6)		6,914	6,172	742	12
Income tax expense	(695)	(728)	33	5		(1,383)	(1,233)	(150)	(12)
Net income	2,765	2,944	(179)	(6)		5,531	4,939	592	12
Other comprehensive income (loss), net of taxes and reclassification adjustments	(5)	(54)	49	91		(30)	—	(30)	NM
Comprehensive income	$2,760	$2,890	($130)	(4)	%	$5,501	$4,939	$562	11	%

(1)NM - not meaningful.

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 2024	2Q 2023	$	%		YTD 2024	YTD 2023	$	%
Guarantee net interest income:
Contractual net interest income	$3,814	$3,658	$156	4	%	$7,586	$7,324	$262	4	%
Deferred fee income	179	232	(53)	(23)		345	439	(94)	(21)
Total guarantee net interest income	3,993	3,890	103	3		7,931	7,763	168	2
Investments net interest income	1,570	1,611	(41)	(3)		3,084	3,043	41	1
Impact on net interest income from hedge accounting	(635)	(978)	343	35		(1,328)	(1,782)	454	25
Net interest income	$4,928	$4,523	$405	9	%	$9,687	$9,024	$663	7	%

Key Drivers:

n Guarantee net interest income

l 2Q 2024 vs. 2Q 2023 and YTD 2024 vs. YTD 2023 - Increased primarily due to continued mortgage portfolio growth.

n Impact on net interest income from hedge accounting

l 2Q 2024 vs. 2Q 2023 and YTD 2024 vs. YTD 2023 - Decreased due to lower expense related to debt in hedge accounting relationships.


Freddie Mac 2Q 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


	2Q 2024				2Q 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	$11,368	$123	4.26	%	$13,572	$135	3.93	%
Securities purchased under agreements to resell	116,817	1,593	5.46		127,016	1,622	5.11
Investment securities	41,899	484	4.62		39,617	363	3.67
Mortgage loans(1)	3,113,656	26,821	3.45		3,047,556	23,598	3.10
Other assets	2,610	43	6.51		2,749	37	5.40
Total interest-earning assets	3,286,350	29,064	3.54		3,230,510	25,755	3.19
Interest-bearing liabilities:
Debt of consolidated trusts	3,049,378	(21,634)	(2.84)		2,984,057	(18,608)	(2.49)
Debt of Freddie Mac	180,158	(2,502)	(5.55)		201,432	(2,624)	(5.21)
Total interest-bearing liabilities	3,229,536	(24,136)	(2.99)		3,185,489	(21,232)	(2.67)
Impact of net non-interest-bearing funding	56,814	—	0.05		45,021	—	0.04
Total funding of interest-earning assets	3,286,350	(24,136)	(2.94)		3,230,510	(21,232)	(2.63)
Net interest income/yield		$4,928	0.60	%		$4,523	0.56	%

(1)Loan fees included in net interest income were $0.3 billion during both 2Q 2024 and 2Q 2023.


	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	$11,754	$248	4.17	%	$13,665	$256	3.72	%
Securities purchased under agreements to resell	114,307	3,125	5.47		117,266	2,842	4.85
Investment securities	41,596	954	4.59		38,871	679	3.49
Mortgage loans(1)	3,106,884	53,050	3.42		3,044,843	46,902	3.08
Other assets	2,197	72	6.49		2,339	63	5.36
Total interest-earning assets	3,276,738	57,449	3.50		3,216,984	50,742	3.15
Interest-bearing liabilities:
Debt of consolidated trusts	3,042,226	(42,756)	(2.81)		2,979,737	(36,869)	(2.47)
Debt of Freddie Mac	180,504	(5,006)	(5.54)		194,516	(4,849)	(4.98)
Total interest-bearing liabilities	3,222,730	(47,762)	(2.96)		3,174,253	(41,718)	(2.63)
Impact of net non-interest-bearing funding	54,008	—	0.05		42,731	—	0.03
Total funding of interest-earning assets	3,276,738	(47,762)	(2.91)		3,216,984	(41,718)	(2.60)
Net interest income/yield		$9,687	0.59	%		$9,024	0.55	%

(1)Loan fees included in net interest income were $0.6 billion during both YTD 2024 and YTD 2023.


Freddie Mac 2Q 2024 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 2024	2Q 2023	$	%		YTD 2024	YTD 2023	$	%
Guarantee income	$383	$309	$74	24	%	$879	$775	$104	13	%
Investment gains, net	549	411	138	34		954	186	768	413
Other income	128	96	32	33		225	181	44	24
Non-interest income	$1,060	$816	$244	30	%	$2,058	$1,142	$916	80	%

Key Drivers:

n Guarantee income

l 2Q 2024 vs. 2Q 2023 - Increased primarily due to lower fair value losses on guarantee assets as a result of smaller medium-term interest rate increases in 2Q 2024.

l YTD 2024 vs. YTD 2023 - Increased primarily due to favorable fair value changes on guarantee assets from prepayment rates.

n Investment gains, net

l 2Q 2024 vs. 2Q 2023 - Increased primarily due to impacts from interest-rate risk management activities.

l YTD 2024 vs. YTD 2023 - Increased primarily due to higher revenues from held-for-sale loan purchase and securitization activities and impacts from interest-rate risk management 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)	2Q 2024	2Q 2023	$	%(1)		YTD 2024	YTD 2023	$	%(1)
Single-Family	($315)	$638	($953)	NM		($435)	$320	($755)	NM
Multifamily	(79)	(101)	22	22	%	(140)	(178)	38	21	%
(Provision) benefit for credit losses	($394)	$537	($931)	NM		($575)	$142	($717)	NM

(1)NM - not meaningful.

Key Drivers:

n 2Q 2024 vs. 2Q 2023 - The provision for credit losses for 2Q 2024 was primarily driven by a credit reserve build in Single-Family attributable to new acquisitions. The benefit for credit losses for 2Q 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.

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 and increasing mortgage interest rates. 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 2Q 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)	2Q 2024	2Q 2023	$	%		YTD 2024	YTD 2023	$	%
Salaries and employee benefits	($420)	($405)	($15)	(4)	%	($841)	($779)	($62)	(8)	%
Credit enhancement expense	(588)	(590)	2	—		(1,185)	(1,120)	(65)	(6)
Benefit for (decrease in) credit enhancement recoveries	(7)	(108)	101	94		(6)	(59)	53	90
Legislative assessments expense:
Legislated guarantee fees expense	(728)	(710)	(18)	(3)		(1,452)	(1,418)	(34)	(2)
Affordable housing funds allocation	(40)	(41)	1	2		(70)	(68)	(2)	(3)
Total legislative assessments expense	(768)	(751)	(17)	(2)		(1,522)	(1,486)	(36)	(2)
Other expense	(351)	(350)	(1)	—		(702)	(692)	(10)	(1)
Non-interest expense	($2,134)	($2,204)	$70	3	%	($4,256)	($4,136)	($120)	(3)	%

Key Drivers:

n Credit enhancement expense

l YTD 2024 vs. YTD 2023 - Increased primarily due to higher expenses related to STACR Trust note repurchases.

n Benefit for (decrease in) credit enhancement recoveries

l 2Q 2024 vs. 2Q 2023 and YTD 2024 vs. YTD 2023 - Decreased primarily due to a smaller decrease in expected credit losses on covered loans.

n Legislative assessments expense

l YTD 2024 vs. YTD 2023 - Increased primarily due to higher legislated guarantee fees expense as a result of growth in our Single-Family mortgage portfolio.


Freddie Mac 2Q 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)	June 30, 2024	December 31, 2023	$	%
Assets:
Cash and cash equivalents	$5,532	$6,019	($487)	(8)	%
Securities purchased under agreements to resell	97,180	95,148	2,032	2
Investment securities, at fair value	43,480	43,275	205	—
Mortgage loans held-for-sale	12,346	12,941	(595)	(5)
Mortgage loans held-for-investment	3,105,869	3,083,665	22,204	1
Accrued interest receivable, net	10,445	9,925	520	5
Deferred tax assets, net	4,795	4,076	719	18
Other assets	27,605	25,927	1,678	6
Total assets	$3,307,252	$3,280,976	$26,276	1	%

Liabilities and Equity:
Liabilities:
Accrued interest payable	$9,346	$8,812	$534	6	%
Debt	3,227,612	3,208,346	19,266	1
Other liabilities	17,071	16,096	975	6
Total liabilities	3,254,029	3,233,254	20,775	1
Total equity	53,223	47,722	5,501	12
Total liabilities and equity	$3,307,252	$3,280,976	$26,276	1	%

Key Drivers:

As of June 30, 2024 compared to December 31, 2023:

n Mortgage loans held-for-investment increased primarily due to growth in our Single-Family mortgage portfolio.

n Debt increased due to an increase in debt of consolidated trusts driven by growth in our Single-Family mortgage portfolio.


Freddie Mac 2Q 2024 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, 2024			December 31, 2023
(In millions)	Single-Family	Multifamily	Total	Single-Family	Multifamily	Total
Mortgage loans held-for-investment:
By consolidated trusts	$2,977,525	$55,395	$3,032,920	$2,963,296	$47,433	$3,010,729
By Freddie Mac	39,012	9,719	48,731	33,213	11,770	44,983
Total mortgage loans held-for-investment	3,016,537	65,114	3,081,651	2,996,509	59,203	3,055,712
Mortgage loans held-for-sale	3,244	9,660	12,904	3,527	9,905	13,432
Total mortgage loans	3,019,781	74,774	3,094,555	3,000,036	69,108	3,069,144
Mortgage-related guarantees:
Mortgage loans held by nonconsolidated trusts	30,188	361,442	391,630	30,182	360,928	391,110
Other mortgage-related guarantees	8,325	11,054	19,379	8,692	10,761	19,453
Total mortgage-related guarantees	38,513	372,496	411,009	38,874	371,689	410,563
Total mortgage portfolio	$3,058,294	$447,270	$3,505,564	$3,038,910	$440,797	$3,479,707
Guaranteed mortgage-related securities:
Issued by consolidated trusts	$2,988,924	$55,426	$3,044,350	$2,970,707	$47,436	$3,018,143
Issued by nonconsolidated trusts	24,553	322,434	346,987	24,600	321,262	345,862
Total guaranteed mortgage-related securities	$3,013,477	$377,860	$3,391,337	$2,995,307	$368,698	$3,364,005

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 2023 Annual Report.


Freddie Mac 2Q 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


	June 30, 2024			December 31, 2023
(In millions)	Single-Family	Multifamily	Total	Single-Family	Multifamily	Total
Unsecuritized mortgage loans:
Securitization pipeline loans(1)	$12,397	$13,696	$26,093	$8,225	$15,197	$23,422
Other loans(2)	29,859	5,683	35,542	28,515	6,478	34,993
Total unsecuritized mortgage loans	42,256	19,379	61,635	36,740	21,675	58,415
Mortgage-related securities:
Investment securities	2,890	4,272	7,162	2,667	4,613	7,280
Debt of consolidated trusts	18,234	638	18,872	18,639	660	19,299
Total mortgage-related securities	21,124	4,910	26,034	21,306	5,273	26,579
Mortgage-related investments portfolio	$63,380	$24,289	$87,669	$58,046	$26,948	$84,994
10% of notional amount of interest-only securities			$22,759			$22,186
Mortgage-related investments portfolio for purposes of Purchase Agreement cap			110,428			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


	June 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	$4,326	$1,100	$106	$5,532	$5,041	$890	$88	$6,019
Securities purchased under agreements to resell	95,476	12,692	1,088	109,256	94,904	9,396	1,093	105,393
Non-mortgage related securities(1)	25,488	—	5,501	30,989	24,153	—	6,119	30,272
Other assets	—	—	6,235	6,235	—	—	5,555	5,555
Other investments portfolio	$125,290	$13,792	$12,930	$152,012	$124,098	$10,286	$12,855	$147,239

(1)Primarily consists of U.S. Treasury securities.


Freddie Mac 2Q 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 2Q 2024 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 2024 vs. 2Q 2023 and YTD 2024 vs. YTD 2023

l Our loan purchase and guarantee activity increased slightly.

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 declined slightly due to changes in business mix and slower estimated prepayment rates based on such month-end market rates.


Freddie Mac 2Q 2024 Form 10-Q						14


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) 120

(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 June 30, 2024.

Single-Family Mortgage Loans

(Loan count in millions) 537

n Our Single-Family mortgage portfolio was $3.1 trillion at June 30, 2024, up 2% year-over-year. The mortgage portfolio continued to grow at a moderate pace as new business activity remained low.

n The average estimated guarantee fee rate on our Single-Family mortgage portfolio increased slightly year-over-year.


Freddie Mac 2Q 2024 Form 10-Q						15


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

Credit Enhancements

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) 104

n 2Q 2024 vs. 2Q 2023 and YTD 2024 vs. YTD 2023

l The UPB of mortgage loans acquired during YTD 2024 that were covered by primary mortgage insurance decreased slightly year-over-year.

l The UPB of mortgage loans covered by CRT transactions issued during the period decreased in 2Q 2024 compared to 2Q 2023, as we continued to manage our CRT activities to meet the full-year 2024 CRT issuance target.

l The UPB of mortgage loans covered by CRT transactions issued during the period increased in YTD 2024 compared to YTD 2023 due to changes in business strategy in YTD 2023 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 YTD 2023.

See MD&A - Risk Management - Single-Family Mortgage Credit Risk - Transferring Credit Risk to Third-Party Investors for additional information on our credit enhancements.


Freddie Mac 2Q 2024 Form 10-Q						16


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

Financial Results

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)	2Q 2024	2Q 2023	$	%(1)		YTD 2024	YTD 2023	$	%(1)
Net interest income	$4,635	$4,295	$340	8	%	$9,123	$8,591	$532	6	%
Non-interest income	459	65	394	606		445	(28)	473	NM
Net revenues	5,094	4,360	734

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