10-Q 1 fmcc-20240331.htm 10-Q fmcc-20240331
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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 March 31, 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
primarylogoa04.jpg
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 classTrading Symbol(s)Name of each exchange on which registered
NoneN/AN/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 April 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
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 1Q 2024 Form 10-Q
i

Table of Contents
MD&A TABLE INDEX
TableDescriptionPage
1Summary of Consolidated Statements of Income and Comprehensive Income
2Components of Net Interest Income
3Analysis of Net Interest Yield
4Components of Non-Interest Income
5(Provision) Benefit for Credit Losses
6Components of Non-Interest Expense
7Summarized Condensed Consolidated Balance Sheets
8Mortgage Portfolio
9Mortgage-Related Investments Portfolio
10Other Investments Portfolio
11Single-Family Segment Financial Results
12Multifamily Segment Financial Results
13Allowance for Credit Losses Activity
14Allowance for Credit Losses Ratios
15Single-Family New Business Activity
16Single-Family Mortgage Portfolio Newly Acquired Credit Enhancements
17Single-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
19Credit Quality Characteristics of Our Single-Family Mortgage Portfolio
20Single-Family Mortgage Portfolio Attribute Combinations
21Single-Family Completed Loan Workout Activity
22Multifamily Mortgage Portfolio CRT Issuance
23Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio
24Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement
25PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve
26Duration Gap and PVS Results
27PVS-L Results Before Derivatives and After Derivatives
28Earnings Sensitivity to Changes in Interest Rates
29Liquidity Sources
30Funding Sources
31Debt of Freddie Mac Activity
32Maturity and Redemption Dates
33Debt of Consolidated Trusts Activity
34Net Worth Activity
35Regulatory Capital Components
36Statutory Capital Components
37
Capital Metrics Under ERCF
38Forecasted House Price Growth Rates
Freddie Mac 1Q 2024 Form 10-Q
ii

Management's Discussion and AnalysisIntroduction
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 months ended March 31, 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 1Q 2024 Form 10-Q
1

Management's Discussion and AnalysisIntroduction
Business Results
Consolidated Financial Results
Net Revenues and Net Income
(In billions)
46
Net Worth
(In billions)
72
Key Drivers:
n    Net income was $2.8 billion, an increase of 39% year-over-year, primarily driven by higher net revenues.
n    Net revenues were $5.8 billion, an increase of 19% year-over-year, driven by higher net interest income and higher non-interest income.
n    Net worth was $50.5 billion as of March 31, 2024, up from $39.1 billion as of March 31, 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 $120.4 billion on March 31, 2024, and will increase to $123.1 billion on June 30, 2024 based on the increase in net worth in 1Q 2024.
Market Liquidity
                      Market Liquidity
(In thousands)
74
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 $71 billion in liquidity to the mortgage market in 1Q 2024, which enabled the financing of 279,000 home purchases, refinancings, and rental units.

Freddie Mac 1Q 2024 Form 10-Q
2

Management's Discussion and AnalysisIntroduction
Mortgage Portfolio Balances

Mortgage Portfolio
(UPB in billions)
41
Key Drivers:
n    Our mortgage portfolio increased 2% year-over-year to $3.5 trillion at March 31, 2024, continuing to grow at a moderate pace as new business activity remained low.
l    Our Single-Family mortgage portfolio was $3.0 trillion at March 31, 2024, up 2% year-over-year.
l    Our Multifamily mortgage portfolio was $443 billion at March 31, 2024, up 4% year-over-year.
Credit Enhancement Coverage
Single-Family Mortgage Portfolio with Credit Enhancement
(UPB in billions)
81
Multifamily Mortgage Portfolio with Credit Enhancement
(UPB in billions)
157
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 March 31, 2024, we had credit enhancement coverage of 61% on our Single-Family mortgage portfolio and 94% on our Multifamily mortgage portfolio. See MD&A - Risk Management Credit Risk for additional information on our credit enhancements.

Freddie Mac 1Q 2024 Form 10-Q
3

Management's Discussion and AnalysisHousing 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
106Sources: 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)307
Source: Freddie Mac and Inside Mortgage Finance. The 1Q 2024 U.S. single-family mortgage originations data is not yet available.
Single-Family Serious Delinquency Rates


476
Source: Freddie Mac and National Delinquency Survey from the Mortgage Bankers Association. The 1Q 2024 total mortgage market rate is not yet available.

Single-Family Mortgage Debt Outstanding

(UPB in trillions)
4
Source: Freddie Mac and Federal Reserve Financial Accounts of the United States of America. The 1Q 2024 U.S. single-family mortgage debt outstanding balance is not yet available.

Freddie Mac 1Q 2024 Form 10-Q
4

Management's Discussion and AnalysisHousing and Mortgage Market Conditions
Multifamily
Apartment Vacancy Rates and Change in Effective Rents
58Source: Reis.


Multifamily Property Price Growth Rate

116
Source: Real Capital Analytics Commercial Property Price Index (RCA CPPI).


Multifamily Delinquency Rates
225Source: Freddie Mac, FDIC Quarterly Banking Profile, Intex Solutions, Inc., and Wells Fargo Securities (Multifamily CMBS conduit market, excluding REOs). The 1Q 2024 delinquency rate for FDIC insured institutions is not yet available.



Multifamily Mortgage Debt Outstanding
(UPB in billions)
513Source: Freddie Mac and Federal Reserve Financial Accounts of the United States of America. The 1Q 2024 U.S. multifamily mortgage debt outstanding balance is not yet available.
Freddie Mac 1Q 2024 Form 10-Q
5

Management's Discussion and AnalysisConsolidated 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
(Dollars in millions)1Q 20241Q 2023$%
Net interest income$4,759 $4,501 $258 %
Non-interest income998 326 672 206 
Net revenues5,757 4,827 930 19 
(Provision) benefit for credit losses(181)(395)214 54 
Non-interest expense(2,122)(1,932)(190)(10)
Income before income tax expense3,454 2,500 954 38 
Income tax expense(688)(505)(183)(36)
Net income2,766 1,995 771 39 
Other comprehensive income (loss),
net of taxes and reclassification adjustments
(25)54 (79)(146)
Comprehensive income$2,741 $2,049 $692 34 %
Net Revenues
Net Interest Income
The table below presents the components of net interest income.
Table 2 - Components of Net Interest Income
Change
(Dollars in millions)1Q 20241Q 2023$%
Guarantee net interest income:
Contractual net interest income$3,772 $3,666 $106 %
Deferred fee income166 207 (41)(20)
Total guarantee net interest income3,938 3,873 65 2 
Investments net interest income1,514 1,432 82 
Impact on net interest income from hedge accounting(693)(804)111 14 
Net interest income$4,759 $4,501 $258 6 %
Key Drivers:
n    Guarantee net interest income
l    1Q 2024 vs. 1Q 2023 - Increased primarily due to continued mortgage portfolio growth.
n    Investments net interest income
l    1Q 2024 vs. 1Q 2023 - Increased primarily due to higher returns on securities purchased under agreements to resell as a result of higher short-term interest rates.
n    Impact on net interest income from hedge accounting
l    1Q 2024 vs. 1Q 2023 - Expense decreased primarily due to lower interest expense on derivatives in hedge relationships, partially offset by an unfavorable change in the earnings mismatch on qualifying fair value hedge relationships.

Freddie Mac 1Q 2024 Form 10-Q
6

Management's Discussion and AnalysisConsolidated 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
1Q 20241Q 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$12,141 $125 4.09 %$13,758 $121 3.51 %
Securities purchased under agreements to resell111,796 1,532 5.48 107,516 1,220 4.54 
Investment securities41,293 470 4.56 38,126 316 3.31 
Mortgage loans(1)
3,100,111 26,229 3.38 3,042,128 23,304 3.06 
Other assets1,784 29 6.48 1,930 26 5.30 
Total interest-earning assets3,267,125 28,385 3.47 3,203,458 24,987 3.12 
Interest-bearing liabilities:
Debt of consolidated trusts3,035,073 (21,122)(2.78)2,975,417 (18,261)(2.45)
Debt of Freddie Mac180,850 (2,504)(5.53)187,599 (2,225)(4.74)
Total interest-bearing liabilities3,215,923 (23,626)(2.94)3,163,016 (20,486)(2.59)
Impact of net non-interest-bearing funding51,202 — 0.05 40,442 — 0.03 
Total funding of interest-earning assets3,267,125 (23,626)(2.89)3,203,458 (20,486)(2.56)
Net interest income/yield$4,759 0.58 %$4,501 0.56 %
(1)Loan fees included in net interest income were $0.3 billion during both 1Q 2024 and 1Q 2023.
Non-Interest Income
The table below presents the components of non-interest income.
Table 4 - Components of Non-Interest Income
Change
(Dollars in millions)1Q 20241Q 2023$%
Guarantee income$496 $466 $30 %
Investment gains, net405 (225)630 280 
Other income97 85 12 14 
Non-interest income$998 $326 $672 206 %
Key Drivers:
n    Investment gains, net
l    1Q 2024 vs. 1Q 2023 - Increased primarily due to gains in Multifamily driven by net gains from interest-rate risk management activities, higher revenues from held-for-sale loan purchase and securitization activities, and favorable fair value changes from spreads.

Freddie Mac 1Q 2024 Form 10-Q
7

Management's Discussion and AnalysisConsolidated Results of Operations

(Provision) Benefit for Credit Losses
The table below presents the components of provision for credit losses.
Table 5 - (Provision) Benefit for Credit Losses
Change
(Dollars in millions)1Q 20241Q 2023$%
Single-Family($120)($318)$198 62 %
Multifamily(61)(77)16 21 
(Provision) benefit for credit losses($181)($395)$214 54 %
Key Drivers:
n    1Q 2024 vs. 1Q 2023 - The provision for credit losses for 1Q 2024 was primarily driven by a modest credit reserve build in Single-Family attributable to new acquisitions and increasing mortgage interest rates. The provision for credit losses for 1Q 2023 was driven by a modest credit reserve build primarily attributable to new acquisitions in Single-Family.
Non-Interest Expense
The table below presents the components of non-interest expense.
Table 6 - Components of Non-Interest Expense
Change
(Dollars in millions)1Q 20241Q 2023$%
Salaries and employee benefits($421)($374)($47)(13)%
Credit enhancement expense(597)(530)(67)(13)
Benefit for (decrease in) credit enhancement recoveries49 (48)(98)
Legislative assessments expense:
Legislated guarantee fees expense(724)(708)(16)(2)
Affordable housing funds allocation(30)(27)(3)(11)
Total legislative assessments expense(754)(735)(19)(3)
Other expense(351)(342)(9)(3)
Non-interest expense($2,122)($1,932)($190)(10)%
Key Drivers:
n    Credit enhancement expense
l    1Q 2024 vs. 1Q 2023 - Increased primarily due to expenses related to STACR Trust note repurchases in 1Q 2024. There were no STACR Trust note repurchases in 1Q 2023.
n    Benefit for (decrease in) credit enhancement recoveries
l    1Q 2024 vs. 1Q 2023 - Decreased primarily due to a lower increase in expected credit losses on covered loans.

Freddie Mac 1Q 2024 Form 10-Q
8

Management's Discussion and AnalysisConsolidated 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)March 31, 2024December 31, 2023$%
Assets:
Cash and cash equivalents$3,531 $6,019 ($2,488)(41)%
Securities purchased under agreements to resell102,257 95,148 7,109 
Investment securities, at fair value41,400 43,275 (1,875)(4)
Mortgage loans held-for-sale12,034 12,941 (907)(7)
Mortgage loans held-for-investment3,088,687 3,083,665 5,022 — 
Accrued interest receivable, net10,047 9,925 122 
Deferred tax assets, net4,227 4,076 151 
Other assets25,190 25,927 (737)(3)
Total assets$3,287,373 $3,280,976 $6,397  %
Liabilities and Equity:
Liabilities:
Accrued interest payable$8,712 $8,812 ($100)(1)%
Debt3,211,742 3,208,346 3,396 — 
Other liabilities16,456 16,096 360 
Total liabilities3,236,910 3,233,254 3,656  
Total equity50,463 47,722 2,741 6 
Total liabilities and equity$3,287,373 $3,280,976 $6,397  %
Key Drivers:
As of March 31, 2024 compared to December 31, 2023:
n    Securities purchased under agreements to resell increased primarily due to investment of retained earnings and a shift from cash and cash equivalents and Treasury securities to securities purchased under agreements to resell.
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 1Q 2024 Form 10-Q
9

Management's Discussion and AnalysisOur Portfolios
OUR PORTFOLIOS
Mortgage Portfolio
The table below presents the UPB of our mortgage portfolio by segment.
Table 8 - Mortgage Portfolio
March 31, 2024December 31, 2023
(In millions)Single-FamilyMultifamilyTotalSingle-FamilyMultifamilyTotal
Mortgage loans held-for-investment:
By consolidated trusts$2,965,370$51,757$3,017,127$2,963,296$47,433$3,010,729
By Freddie Mac35,64310,00045,64333,21311,77044,983
Total mortgage loans held-for-investment3,001,013 61,757 3,062,770 2,996,509 59,203 3,055,712 
Mortgage loans held-for-sale3,104 9,446 12,550 3,527 9,905 13,432 
Total mortgage loans3,004,117 71,203 3,075,320 3,000,036 69,108 3,069,144 
Mortgage-related guarantees:
Mortgage loans held by nonconsolidated trusts30,324 361,164 391,488 30,182 360,928 391,110 
Other mortgage-related guarantees8,511 10,720 19,231 8,692 10,761 19,453 
Total mortgage-related guarantees38,835 371,884 410,719 38,874 371,689 410,563 
Total mortgage portfolio$3,042,952 $443,087 $3,486,039 $3,038,910 $440,797 $3,479,707 
Guaranteed mortgage-related securities:
Issued by consolidated trusts$2,975,161$51,811$3,026,972$2,970,707$47,436$3,018,143
Issued by nonconsolidated trusts24,762321,905346,66724,600321,262345,862
Total guaranteed mortgage-related securities$2,999,923 $373,716 $3,373,639 $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 1Q 2024 Form 10-Q
10

Management's Discussion and AnalysisOur Portfolios
The table below presents the details of our mortgage-related investments portfolio.
Table 9 - Mortgage-Related Investments Portfolio
March 31, 2024December 31, 2023
(In millions)Single-FamilyMultifamilyTotalSingle-FamilyMultifamilyTotal
Unsecuritized mortgage loans:
Securitization pipeline loans(1)
$9,749 $13,057 $22,806 $8,225 $15,197 $23,422 
Other loans(2)
28,998 6,389 35,387 28,515 6,478 34,993 
Total unsecuritized mortgage loans38,747 19,446 58,193 36,74021,67558,415
Mortgage-related securities:
Investment securities2,916 4,486 7,402 2,667 4,613 7,280 
Debt of consolidated trusts18,367 684 19,051 18,639 660 19,299 
Total mortgage-related securities21,283 5,170 26,453 21,306 5,273 26,579 
Mortgage-related investments portfolio$60,030 $24,616 $84,646 $58,046 $26,948 $84,994 
10% of notional amount of interest-only securities$23,126$22,186
Mortgage-related investments portfolio for purposes of Purchase Agreement cap107,772107,180
(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 our other investments portfolio.
Table 10 - Other Investments Portfolio
March 31, 2024December 31, 2023
(In millions)Liquidity and Contingency Operating PortfolioCustodial AccountOther
Total Other Investments Portfolio (1)
Liquidity and Contingency Operating PortfolioCustodial AccountOther
Total Other Investments Portfolio (1)
Cash and cash equivalents$1,947 $1,483 $101 $3,531 $5,041 $890 $88 $6,019 
Securities purchased under
agreements to resell
104,243 10,777 1,037 116,057 94,904 9,396 1,093 105,393 
Non-mortgage related securities(2)
22,960 — 5,593 28,553 24,153 — 6,119 30,272 
Other assets— — 6,479 6,479 — — 5,555 5,555 
Other investments portfolio$129,150 $12,260 $13,210 $154,620 $124,098 $10,286 $12,855 $147,239 
(1)Represents carrying value.
(2)Primarily consists of U.S. Treasury securities.
Freddie Mac 1Q 2024 Form 10-Q
11

Management's Discussion and AnalysisOur 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.
SegmentDescription
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)38
Segment Net Income
(In billions)72
Freddie Mac 1Q 2024 Form 10-Q
12

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)
428
n    1Q 2024 vs. 1Q 2023
l    Our loan purchase and guarantee activity increased from $59 billion to $62 billion.
l    The average loan size of new acquisitions increased due to a higher conforming loan limit and house price appreciation in recent quarters.
l    The average estimated guarantee fee rate on new acquisitions remained at 55 bps.


Freddie Mac 1Q 2024 Form 10-Q
13

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 $41 billion as of March 31, 2024.
Single-Family Mortgage Loans
(Loan count in millions) 537
n    Our Single-Family mortgage portfolio was $3.0 trillion at March 31, 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 1Q 2024 Form 10-Q
14

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)49
New CRT Issuance
(In billions)98
n    1Q 2024 vs. 1Q 2023
l    The UPB of mortgage loans covered by CRT transactions and related maximum coverage issued increased as we accelerated our targeted 2024 CRT issuance amounts due to market conditions for new issuances during 1Q 2024.
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 1Q 2024 Form 10-Q
15

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
(Dollars in millions)1Q 20241Q 2023$%
Net interest income$4,488 $4,296 $192 %
Non-interest income(14)(93)79 85 
Net revenues4,474 4,203 271 6 
(Provision) benefit for credit losses(120)(318)198 62 
Non-interest expense (1,925)(1,783)(142)(8)
Income before Income tax expense2,429 2,102 327 16 
Income tax expense(484)(425)(59)(14)
Net income1,945 1,677 268 16 
Other comprehensive income (loss), net of taxes and reclassification adjustments(5)(1)(4)(400)
Comprehensive income$1,940 $1,676 $264 16 %
Key Business Drivers:
n 1Q 2024 vs. 1Q 2023
l    Net income of $1.9 billion, up 16% year-over-year.
Net revenues were $4.5 billion, up 6% year-over-year. Net interest income was $4.5 billion, up 4% year-over-year, primarily driven by continued mortgage portfolio growth and higher investments net interest income as a result of higher short-term interest rates.
Provision for credit losses was $0.1 billion for 1Q 2024, primarily driven by a modest credit reserve build attributable to new acquisitions and increasing mortgage interest rates. The provision for credit losses of $0.3 billion for 1Q 2023 was driven by a modest credit reserve build primarily attributable to new acquisitions.
Non-interest expense was $1.9 billion, up 8% year-over-year, primarily driven by expenses related to STACR Trust note repurchases in 1Q 2024. There were no STACR Trust note repurchases in 1Q 2023.

Freddie Mac 1Q 2024 Form 10-Q
16

Management's Discussion and Analysis
Our Business Segments | Multifamily

Multifamily
Business Results
The charts, tables, and related discussion below present the business results of our Multifamily segment.
New Business Activity
New Business Activity
(In billions)
227
Total Number of Rental Units Financed(1)
(In thousands)346
(1) Includes rental units financed by supplemental loans.

Key Drivers:
n    1Q 2024 vs. 1Q 2023 - The UPB of our new business activity increased by 50% year-over-year, driven by a smaller new business activity pipeline entering 1Q 2023. The new business activities for both periods were adversely impacted by the high interest rate environment. Approximately 60% of this activity, based on UPB, was mission-driven affordable housing, exceeding FHFA's minimum requirement of 50%.
n    Our index lock agreements and outstanding commitments to purchase or guarantee multifamily assets were $15.9 billion and $19.2 billion as of March 31, 2024 and March 31, 2023, respectively.
Freddie Mac 1Q 2024 Form 10-Q
17

Management's Discussion and Analysis
Our Business Segments | Multifamily

Multifamily Mortgage Portfolio and Guarantee Exposure

Mortgage Portfolio
(In billions)
310
Guarantee Exposure
(In billions) 548
Key Drivers:
n    1Q 2024 vs. 1Q 2023
l    Our mortgage portfolio increased by 4% year-over-year, continuing to grow at a moderate pace as new business activity remained low.
l    Our guarantee exposure increased by 6% year-over-year, as our new mortgage-related security guarantees outpaced paydowns.
n    In addition to our Multifamily mortgage portfolio, we have investments in LIHTC partnerships with carrying values totaling $3.6 billion and $3.5 billion as of March 31, 2024 and December 31, 2023, respectively.
Freddie Mac 1Q 2024 Form 10-Q
18

Management's Discussion and Analysis
Our Business Segments | Multifamily

CRT Activities
UPB Covered by New CRT Issuance New CRT Issuance Maximum Coverage
(In billions) (In billions)
352
369
Key Drivers:
n    1Q 2024 vs. 1Q 2023 - The UPB of mortgage loans covered by new CRT transactions and the maximum coverage decreased year-over-year primarily due to the issuance of SCR Trust note transactions in 1Q 2023. There were no SCR Trust note transactions in 1Q 2024.

See MD&A - Risk Management - Multifamily Mortgage Credit Risk - Transferring Credit Risk to Third-Party Investors for more information on risk transfer transactions and credit enhancements on our Multifamily mortgage portfolio.

Freddie Mac 1Q 2024 Form 10-Q
19

Management's Discussion and Analysis
Our Business Segments | Multifamily

Financial Results
The table below presents the results of operations for our Multifamily segment. See Note 11 for additional information about segment financial results.
Table 12 - Multifamily Segment Financial Results
Change
(Dollars in millions)1Q 20241Q 2023$%
Net interest income$271 $205 $66 32 %
Non-interest income1,012 419 593 142 
Net revenues1,283 624 659 106 
(Provision) benefit for credit losses(61)(77)16 21 
Non-interest expense(197)(149)(48)(32)
Income before income tax expense1,025 398 627 158 
Income tax expense(204)(80)(124)(155)
Net income821 318 503 158 
Other comprehensive income (loss), net of taxes and reclassification adjustments(20)55 (75)(136)
Comprehensive income$801 $373 $428 115 %
Key Drivers:
n    1Q 2024 vs. 1Q 2023
l    Net income of $0.8 billion, up from $0.3 billion.
Net revenues of $1.3 billion, up from $0.6 billion.
Net interest income was $0.3 billion, up 32% year-over-year, primarily driven by continued mortgage portfolio growth and higher net yields on mortgage loans as a result of higher interest rates.
Non-interest income was $1.0 billion, up from $0.4 billion, primarily driven by net gains from interest-rate risk management activities, higher revenues from held-for-sale loan purchase and securitization activities, and favorable fair value changes from spreads and prepayment rates.
Non-interest expense was $0.2 billion, up 32% year-over-year, primarily driven by a larger volume of outstanding cumulative CRT transactions.


Freddie Mac 1Q 2024 Form 10-Q
20

Management's Discussion and AnalysisRisk Management


RISK MANAGEMENT
To achieve our mission, we take risks as an integral part of our business activities. We are exposed to the following key types of risk: credit risk, market risk, liquidity risk, operational risk, compliance risk, legal risk, strategic risk, and reputation risk.
Credit Risk
Allowance for Credit Losses
For financial assets measured at amortized cost, we recognize an allowance for credit losses that is deducted from or added to the amortized cost basis of the financial asset to present the net amount expected to be collected on the financial asset on the balance sheet. For Single-Family credit exposures, we estimate the allowance for credit losses for loans on a pooled basis using a discounted cash flow model that evaluates a variety of factors to estimate the cash flows we expect to collect. The discounted cash flow model forecasts cash flows over the loan’s remaining contractual life, adjusted for expectations of prepayments, and using our historical experience, adjusted for current and forecasted economic conditions. These projections require significant management judgment, and we face uncertainties and risks related to the models we use for financial accounting and reporting purposes. For further information on our accounting policies and methods for estimating our allowance for credit losses and related management judgments, see MD&A - Critical Accounting Estimates.
For Multifamily credit exposures, we estimate the allowance for credit losses using a loss-rate method to estimate the net amount of cash flows we expect to collect. The loss rate method is based on a probability of default and loss given default framework that estimates credit losses by considering a loan’s underlying characteristics and current and forecasted economic conditions. Loan characteristics considered by our model include vintage, loan term, current DSCR, current LTV ratio, occupancy rate, and interest rate hedges. We generally forecast economic conditions over a reasonable and supportable two-year period prior to reverting to historical averages at the model input level over a five-year period, using a linear reversion method. We also consider as model inputs expected prepayments, contractually specified extensions, expected recoveries from collateral posting requirements, and expected recoveries from credit enhancements that are not freestanding contracts. Management adjustments to our model output may be necessary to take into consideration current economic events and other factors not considered within the model.
The tables below present a summary of the changes in our allowance for credit losses and key allowance for credit losses ratios.
Table 13 - Allowance for Credit Losses Activity
1Q 20241Q 2023
(Dollars in millions) Single-FamilyMultifamilyTotalSingle-FamilyMultifamilyTotal
Allowance for credit losses:
Beginning balance$6,402 $447 $6,849 $7,746 $147 $7,893 
Provision (benefit) for credit losses120 61 181 318 77 395 
  Charge-offs(123)— (123)(90)— (90)
  Recoveries collected26 — 26 32 — 32 
Net charge-offs(97)— (97)(58)— (58)
Other(1)
83 — 83 91 — 91 
Ending balance$6,508 $508 $7,016 $8,097 $224 $8,321 
Average loans outstanding during the period(2)
$3,030,531$58,504$3,089,035$2,985,726$47,748$3,033,474
Net charge-offs to average loans outstanding— %— %— %— %— %— %
Components of ending balance of allowance for credit losses:
Mortgage loans held-for-investment$6,189 $381 $6,570 $7,675 $160 $7,835 
Other(3)
319 127 446 422 64 486 
Total ending balance$6,508 $508 $7,016 $8,097 $224 $8,321 
(1)Primarily includes capitalization of past due interest related to non-accrual loans that received payment deferral plans and loan modifications.
(2)Based on amortized cost basis of mortgage loans held-for-investment for which we have not elected the fair value option.
(3)Primarily includes allowance for credit losses related to advances of pre-foreclosure costs and off-balance sheet credit exposures.
Freddie Mac 1Q 2024 Form 10-Q
21

Management's Discussion and AnalysisRisk Management
Table 14 - Allowance for Credit Losses Ratios
March 31, 2024December 31, 2023
(Dollars in millions) Single-FamilyMultifamilyTotalSingle-FamilyMultifamilyTotal
Allowance for credit losses ratios:
Allowance for credit losses(1) to total loans outstanding
0.20 %0.64 %0.21 %0.20 %0.57 %0.21 %
Non-accrual loans to total loans outstanding0.43 0.17 0.42 0.44 0.11 0.44 
Allowance for credit losses to non-accrual loans47.90 369.90 50.45 45.01 509.38 47.20 
Balances:
Allowance for credit losses on mortgage loans held-for-investment$6,189 $381 $6,570 $6,057 $326 $6,383 
Total loans outstanding(2)
3,033,817 59,509 3,093,326 3,031,136 57,107 3,088,243 
Non-accrual loans(2)
12,921 103 13,024 13,458 64 13,522 
(1)Represents allowance for credit losses on mortgage loans held-for-investment.
(2)Based on amortized cost basis of mortgage loans held-for-investment for which we have not elected the fair value option.
As of March 31, 2024 compared to December 31, 2023:
n    The ratio of allowance for credit losses to total loans outstanding remained at 0.21%.
n    The ratio of non-accrual loans to total loans outstanding decreased and the ratio of allowance for credit losses to non-accrual loans increased slightly primarily due to a decrease in the balance of loans in non-accrual status.
Single-Family Mortgage Credit Risk
Maintaining Prudent Eligibility Standards and Quality Control Practices and Managing Seller/Servicer Performance
Loan Purchase Credit Characteristics
We monitor and evaluate market conditions that could affect the credit quality of our single-family loan purchases. Additionally, when managing our new acquisitions, we consider our risk limits and guidance from FHFA and capital requirements under the ERCF. This may affect the volume and characteristics of our loan acquisitions.
The charts below show the credit profile of the single-family loans we purchased.
Weighted Average Original LTV Ratio 152
Weighted Average Original Credit Score(1)195
(1)Weighted average original credit score is generally based on three credit bureaus (Equifax, Experian, and TransUnion).
Weighted Average Original DTI Ratio3298534884161
Freddie Mac 1Q 2024 Form 10-Q
22

Management's Discussion and AnalysisRisk Management


The table below contains additional information about the single-family loans we purchased.
Table 15 - Single-Family New Business Activity
1Q 20241Q 2023
(Dollars in millions)Amount% of TotalAmount% of Total
20- and 30-year, amortizing fixed-rate$59,091 95 %$55,469 94 %
15-year or less, amortizing fixed-rate2,278 2,214 
Adjustable-rate900 1,282 
Total$62,269 100 %$58,965 100 %