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, 2021

or

☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.

For the transition period from                                to

Commission File Number: 001-34139

Federal Home Loan Mortgage Corporation 

(Exact name of registrant as specified in its charter)

Federally chartered 52-0904874 8200 Jones Branch Drive 22102-3110 (703) 903-2000 corporation McLean, Virginia

(State or other jurisdiction of 

incorporation or organization)

(I.R.S. Employer

Identification No.) (Address of principal executive offices) (Zip Code) (Registrant's telephone number,including area code)

Securities registered pursuant to Section 12(b) of the Act: 

Title of each class Trading Symbol(s) Name of each exchange on which registered

None N/A N/A

Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the 

Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was 

required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  ☒ Yes ☐ No

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be 

submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such 

shorter period that the registrant was required to submit such files). ☒ Yes ☐ No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a 

smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated 

filer," "smaller reporting company," and "emerging growth company" in Rule 12b-2 of the Exchange Act.

Large accelerated filer ☒ Accelerated filer ☐

Non-accelerated filer ☐ Smaller reporting company ☐

Emerging growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition 

period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the 

Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange 

Act).    Yes ☐  No ☒		 			

As of October 12, 2021, there were 650,059,553 shares of the registrant's common stock outstanding.
Table of Contents

Page

MANAGEMENT'S DISCUSSION AND ANALYSIS OF 

FINANCIAL CONDITION AND RESULTS OF OPERATIONS

1

n Introduction 1

n Market Conditions and Economic Indicators 7

n Consolidated Results of Operations 12

n Consolidated Balance Sheets Analysis 20

n Our Portfolios 21

n Our Business Segments 23

n Risk Management 36

l	Credit Risk 36

l	Market Risk 55

n Liquidity and Capital Resources 58

n Critical Accounting Policies and Estimates 64

n Regulation and Supervision 65

n Forward-Looking Statements 68

FINANCIAL STATEMENTS 71

OTHER INFORMATION 138

CONTROLS AND PROCEDURES 140

EXHIBIT INDEX 141

SIGNATURES 142

FORM 10-Q INDEX 143

Table of Contents

Freddie Mac 3Q 2021 Form 10-Q i
MD&A TABLE INDEX

1 Summary of Condensed Consolidated Statements of Comprehensive Income (Loss) 12

2 Components of Net Interest Income 13

3 Analysis of Net Interest Yield 14

4 Components of Guarantee Income 15

5 Components of Investment Gains (Losses), Net 16

6 Components of Mortgage Loans Gains (Losses) 16

7 Components of Investment Securities Gains (Losses) 17

8 Components of Debt Gains (Losses) 17

9 Components of Derivative Gains (Losses) 18

10 Components of Benefit (Provision) for Credit Losses 18

11 Summarized Condensed Consolidated Balance Sheets 20

12 Mortgage Portfolio 21

13 Guarantee Portfolio 21

14 Mortgage-Related Investments Portfolio 22

15 Single-Family Segment Financial Results 29

16 Multifamily Segment Financial Results 35

17 Single-Family New Business Activity 37

18 Single-Family Mortgage Portfolio CRT Issuance 38

19 Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding 38

20 Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio 39

21 Credit Enhancement Coverage by Year of Origination 39

22 Single-Family Mortgage Portfolio Without Credit Enhancement 40

23 Details of Single-Family Credit Enhancement Costs, Investment Gains (Losses), and Recoveries 40

24 Single-Family Credit Enhancement Receivables 40

25 Credit Quality Characteristics of Our Single-Family Mortgage Portfolio 41

26 Single-Family Mortgage Portfolio Attribute Combinations 41

27 Alt-A Loans in Our Single-Family Mortgage Portfolio 42

28 Concentration of Credit Risk of Our Single-Family Mortgage Portfolio 42

29 Credit Quality Characteristics of Our Single-Family Loans in Forbearance That Are Past Due 43

30 Single-Family Loans in Forbearance Plans by Payment Status 44

31 Accrued Interest Receivable Related to Single-Family Loans in Forbearance 44

32 Single-Family Loans That Received Forbearance 45

33 Single-Family Allowance for Credit Losses Activity 45

34 Single-Family Mortgage Portfolio Credit Performance Metrics 46

35 Single-Family TDR and Non-Accrual Loans 46

36 Foregone Interest Income on Single-Family TDRs and Non-Accrual Loans 47

37 Single-Family TDR Loan Activity 47

38 Single-Family Sales and Securitization of Seasoned Loans 49

39 Single-Family REO Activity 49

40 Multifamily Loans That Received Forbearance 51

41 Multifamily Allowance for Credit Losses Activity 51

42 Multifamily Mortgage Portfolio CRT Issuance 52

43 Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio 52

44 Level of Subordination Outstanding 52

45 Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement 53

Table Description Page

Table of Contents

Freddie Mac 3Q 2021 Form 10-Q ii
46 Single-Family Mortgage Portfolio Non-Depository Sellers 53

47 Single-Family Mortgage Portfolio Non-Depository Servicers 53

48 Single-Family Mortgage Insurers 54

49 Single-Family ACIS Counterparties 54

50 PVS-YC and PVS-L Results Assuming Shifts of the LIBOR Yield Curve 55

51 Duration Gap and PVS Results 56

52 PVS-L Results Before Derivatives and After Derivatives 56

53 Earnings Sensitivity to Changes in Interest Rates 57

54 Liquidity Sources 58

55 Other Investments Portfolio 58

56 Funding Sources 59

57 Debt of Freddie Mac Activity 60

58 Activity for Debt Securities of Consolidated Trusts Held by Third Parties 62

59 Net Worth Activity 63

60 Forecasted House Price Growth Rates 64

61 Current and Proposed 2022-2024 Affordable Housing Goal Benchmark Levels 65

Table Description Page

 

Table of Contents

Freddie Mac 3Q 2021 Form 10-Q iii
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, including the 

effects the COVID-19 pandemic and the actions taken in response may have on our liquidity, business activities, financial 

condition, and results of operations, 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 - ForwardLooking 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, 2020, or 2020 Annual Report.

Throughout this Form 10-Q, we use certain acronyms and terms that are defined in the Glossary of our 2020 Annual Report. 

You should read the following MD&A in conjunction with our 2020 Annual Report and our condensed consolidated financial 

statements and accompanying notes for the three and nine months ended September 30, 2021 included in Financial 

Statements.

INTRODUCTION

Freddie Mac is a GSE chartered by Congress in 1970. Our public mission is to provide liquidity, stability, and affordability to the 

U.S. housing market. We do this primarily by purchasing residential mortgage loans originated by lenders. In most instances, 

we package these loans into guaranteed mortgage-related securities, which are sold in the global capital markets, and transfer 

interest-rate and liquidity risks to third-party investors. In addition, we transfer mortgage credit risk exposure to third-party 

investors through our credit risk transfer programs, which include securities- and insurance-based offerings. We also invest in 

mortgage loans and mortgage-related securities. We do not originate 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. We 

are working with FHFA, our customers, and the industry to build a better housing finance system for the nation.

COVID-19 Pandemic Response Efforts

Throughout the COVID-19 pandemic, we have remained focused on serving our mission and the crucial role we play in the U.S. 

housing finance system while supporting the health and safety of our communities, customers, and staff. We continue to 

actively monitor the effects of the pandemic and to make decisions based on guidance from national, state, and local 

governments and public health authorities, including the U.S. CDC. More than 95% of our staff continued to work remotely as 

of September 30, 2021. We have started planning for our staff to return to the office. The decision as to timing will be informed 

by local infection rates, CDC guidance, and other factors.

We have taken actions to help homeowners with Freddie Mac-owned mortgages who are directly or indirectly affected by the 

COVID-19 pandemic stay in their homes during this challenging time. We have also provided support to the multifamily 

mortgage market. For additional information on our support of the mortgage markets during the pandemic, see MD&A - Our 

Business Segments - Single-Family, MD&A - Our Business Segments - Multifamily, MD&A - Risk Management 

- Credit Risk - Single-Family Mortgage Credit Risk, and MD&A - Risk Management - Credit Risk - Multifamily 

Mortgage Credit Risk.

Management's Discussion and Analysis Introduction

Freddie Mac 3Q 2021 Form 10-Q 1
Business Results

Consolidated Financial Results

Net Revenues, Net Income, and Comprehensive Income

(In billions)

$5.1 $5.0 $5.3

$5.9

$5.2

$2.5 $2.9 $2.8

$3.7

$2.9 $2.4 $2.5 $2.4

$3.6

$2.9

Net Revenues Net Income Comprehensive Income

3Q20 4Q20 1Q21 2Q21 3Q21

n	 Net income and comprehensive income were $2.9 billion for 3Q 2021, an increase of 19% each year-over-year. The 

increases in both net income and comprehensive income were driven by higher net revenues and a credit reserve release 

in Single-family. 

n Net revenues increased 4% year-over-year to $5.2 billion, primarily driven by higher net interest income, partially offset by 

a decline in net investment gains. The increase in net interest income was primarily driven by continued mortgage portfolio 

growth and higher average portfolio guarantee fee rates in Single-family. The decline in net investment gains was primarily 

due to lower gains from mortgage loan purchase and securitization activities in Multifamily as a result of lower favorable 

impacts from changes in market spreads. 

Net Worth

(In billions)

$13.9

$16.4

$18.8

$22.4

$25.3

09/30/20 12/31/20 03/31/21 06/30/21 09/30/21

n	 Net worth was $25.3 billion as of September 30, 2021, up from $16.4 billion as of December 31, 2020. The increases in net 

worth reflected above through June 30, 2021 have been added to the aggregate liquidation preference of the senior 

preferred stock, and the increase in net worth during 3Q 2021 will be added on December 31, 2021. For more information, 

see MD&A - Introduction - Business Results - Conservatorship and Government Support for Our Business.

Management's Discussion and Analysis Introduction

Freddie Mac 3Q 2021 Form 10-Q 2
Market Liquidity

 Market Liquidity

(In thousands)

1,338

1,598

1,365

1,160 1,188

340 356 291 315

415

813

936 940

708

612

185

306

134

137 161

Single-family home purchase borrowers Single-family refinance borrowers Multifamily rental units

3Q20 4Q20 1Q21 2Q21 3Q21

We support the U.S. housing market by executing our Charter Mission to provide liquidity and help maintain credit availability 

for new and refinanced single-family mortgages as well as for rental housing. We provided $318 billion in liquidity to the 

mortgage market in 3Q 2021, which enabled the financing of nearly 1.2 million home purchases, refinancings, and rental units.

Management's Discussion and Analysis Introduction

Freddie Mac 3Q 2021 Form 10-Q 3
Portfolio Balances

Mortgage Portfolio

(UPB in billions)

$2,545

$2,714

$2,852

$2,962

$3,086

$2,179 $2,326 $2,458 $2,564 $2,682

$366

$388

$394 $398

$404

Single-family mortgage portfolio

Multifamily mortgage portfolio

09/30/20 12/31/20 03/31/21 06/30/21 09/30/21

Investments Portfolio

(UPB in billions)

$345 $345 $339

$284

$255

$198 $182 $174

$113 $114

$147 $163 $165

$171 $141

Mortgage-related investments portfolio

Other investments portfolio

09/30/20 12/31/20 03/31/21 06/30/21 09/30/21

n	 Our mortgage portfolio increased 21% year-over-year to $3,086 billion, driven by a 23% increase in our single-family 

mortgage portfolio and a 10% increase in our multifamily mortgage portfolio.

l	 The growth in our single-family mortgage portfolio was primarily driven by higher new business activity. Additionally, 

continued house price appreciation contributed to new business acquisitions having a higher average loan size 

compared to older vintages that continued to run off.

l	 The growth in our multifamily mortgage portfolio was primarily driven by ongoing loan purchase and securitization 

activity attributable to continued high demand for multifamily financing.

n	 Our investments portfolio decreased 26% year-over-year to $255 billion, primarily due to a decrease in our mortgagerelated investments portfolio. 

l The decrease in our mortgage-related investments portfolio was driven by asset sales to comply with FHFA 

instructions to reduce our agency MBS and CMO portfolios. For more information on limits on our mortgage-related 

investments portfolio, see MD&A - Our Portfolios - Investments Portfolio - Mortgage-Related Investments 

Portfolio.

l	 The decrease in our other investments portfolio was driven primarily by a decline in our custodial trust account due to 

lower loan prepayments.

Management's Discussion and Analysis Introduction

Freddie Mac 3Q 2021 Form 10-Q 4
Credit Risk Transfer

Single-Family Mortgage Portfolio with Credit Enhancement 

(UPB in billions)

$1,108 $1,152

$1,230 $1,255

$1,345

51% 50% 50% 49% 50%

UPB Percentage

09/30/20 12/31/20 03/31/21 06/30/21 09/30/21

 

Multifamily Mortgage Portfolio with Credit Enhancement

(UPB in billions)

$332 $346 $362 $373 $380

91% 89%

92%

94% 94%

UPB Percentage

09/30/20 12/31/20 03/31/21 06/30/21 09/30/21

In addition to transferring interest-rate and liquidity risk to third-party investors through our securitization activities, we engage 

in various credit enhancement arrangements to reduce our credit risk exposure. We transfer a portion of the credit risk, 

primarily on recently acquired loans, through our CRT programs. We also reduce our credit risk exposure through other credit 

enhancement arrangements, primarily primary mortgage insurance. See MD&A - Risk Management – Credit Risk for 

additional information on our credit enhancements and CRT programs.

Conservatorship and Government Support for Our Business

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. The senior preferred stock and warrant 

were issued as an initial commitment fee in consideration for Treasury's commitment to provide funding to us under the 

Purchase Agreement. 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 that the support provided by Treasury 

pursuant to the Purchase Agreement currently enables us to have adequate liquidity to conduct normal business activities. 

The Purchase Agreement includes significant restrictions on our business activities, including limits on our secondary market 

activities; our single-family and multifamily loan acquisitions; the amount of indebtedness we can incur; the size of our 

mortgage-related investments portfolio; and our ability to pay dividends, transfer certain assets, raise capital, pay down the 

liquidation preference of the senior preferred stock, and exit conservatorship. In September 2021, certain requirements in the 

Purchase Agreement related to our secondary market activities and single-family and multifamily loan acquisitions were 

suspended. For additional information on this suspension of requirements, see MD&A - Regulation and Supervision - 

Legislative and Regulatory Developments - September 2021 Letter Agreement with Treasury.

Treasury, as the holder of the senior preferred stock, is entitled to receive cumulative quarterly cash dividends, when, as, and if 

declared by the Board of Directors. The dividends we have paid to Treasury on the senior preferred stock have been declared 

by, and paid at the direction of, the Conservator, acting as successor to the rights, titles, powers, and privileges of the Board. 

Management's Discussion and Analysis Introduction

Freddie Mac 3Q 2021 Form 10-Q 5
Under the August 2012 amendment to the Purchase Agreement, our cash dividend requirement each quarter is the amount, if 

any, by which our Net Worth Amount at the end of the immediately preceding fiscal quarter, less the applicable Capital Reserve 

Amount, exceeds zero. Pursuant to the January 2021 Letter Agreement, the applicable Capital Reserve Amount is the amount 

of adjusted total capital necessary to meet the capital requirements and buffers set forth in the ERCF. This Capital Reserve 

Amount will remain in effect until the last day of the second fiscal quarter during which we have reached and maintained such 

level of capital (the Capital Reserve End Date). As a result of increases in the applicable Capital Reserve Amount since 

December 2017, we have been able to retain earnings and build capital, but the increases in our Net Worth Amount have been, 

or will be, added to the aggregate liquidation preference of the senior preferred stock. If for any reason we were not to pay our 

dividend requirement on the senior preferred stock in full in any future period until the Capital Reserve End Date, the unpaid 

amount would be added to the liquidation preference and the applicable Capital Reserve Amount would thereafter be zero. This 

would not affect our ability to draw funds from Treasury at the request of FHFA, our Conservator, under the Purchase 

Agreement. After the Capital Reserve End Date, we will be subject to a new periodic cash dividend requirement, as well as a 

periodic commitment fee to be agreed upon with Treasury in consultation with the Chairman of the Federal Reserve.

The graphs below show our net worth, the liquidation preference of the senior preferred stock, the remaining amount of 

Treasury's funding commitment to us, the cumulative senior preferred stock dividends we have paid to Treasury, and the 

cumulative funds we have drawn from Treasury pursuant to its funding commitment. 

Net Worth, Liquidation Preference, and 

Treasury Funding Commitment

(In billions)

$25.3

$95.0

$140.2

Net worth

Senior preferred stock liquidation

preference

Remaining Treasury funding commitment

As of September 30, 2021

Draws and Dividend Payments

(In billions)

$71.6

$119.7

Cumulative draws from Treasury

Cumulative dividend payments to Treasury

As of September 30, 2021

Pursuant to the Purchase Agreement and terms of the senior preferred stock:

n	 Our Net Worth Amount was $25.3 billion as of September 30, 2021, up from $22.4 billion as of June 30, 2021. As our Net 

Worth Amount as of June 30, 2021 was below the amount necessary to meet the capital requirements and buffers set forth 

in the ERCF, we did not have a dividend requirement to Treasury on the senior preferred stock for 3Q 2021, and we will not 

have a dividend requirement on the senior preferred stock until we reach such capital levels. 

n	 The liquidation preference of the senior preferred stock increased from $91.4 billion on June 30, 2021 to $95.0 billion on 

September 30, 2021 based on the $3.6 billion increase in our Net Worth Amount during 2Q 2021, and will increase to $98.0 

billion on December 31, 2021 based on the $2.9 billion increase in our Net Worth Amount during 3Q 2021. 

n	 At September 30, 2021, our assets exceeded our liabilities under GAAP; therefore, no draw is being requested from 

Treasury under the Purchase Agreement. 

Management's Discussion and Analysis Introduction

Freddie Mac 3Q 2021 Form 10-Q 6
MARKET CONDITIONS AND ECONOMIC INDICATORS

The following graphs and related discussions present certain market and macroeconomic indicators that can significantly affect 

our business and financial results. 

Interest Rates(1)

Quarterly Ending Rates

3.13%

2.90%

2.67%

3.17% 3.02% 3.01%

0.08% 0.09% 0.07% 0.01% 0.03% 0.05%

0.30% 0.23% 0.24% 0.19% 0.15% 0.13%

0.64% 0.71%

0.93%

1.82%

1.44% 1.57%

30-year PMMS SOFR

3-month LIBOR 10-year LIBOR

06/30/20 09/30/20 12/31/20 03/31/21 06/30/21 09/30/21

(1) 30-year PMMS interest rates are as of the last week in each quarter. SOFR 

interest rates are 30-day average rates. 

n The 30-year Primary Mortgage Market Survey (PMMS) 

interest rate is indicative of what a consumer could 

expect to be offered on a first-lien prime conventional 

conforming home purchase mortgage with an LTV of 

80%. Increases (decreases) in the PMMS rate typically 

result in decreases (increases) in refinancing activity 

and total originations. 

n Changes in the 10-year LIBOR interest rate and other 

benchmark rates can significantly affect the fair value 

of our financial instruments. We have elected hedge 

accounting for certain assets and liabilities in an effort 

to reduce GAAP earnings variability attributable to 

changes in benchmark interest rates.

n SOFR is a benchmark rate for secured overnight 

dollar-denominated financing, identified by certain 

banking regulators and market participants as a 

potential replacement for LIBOR. SOFR affects the 

interest earned on our short-term investments.

n Changes in the 3-month LIBOR rate and SOFR rate 

affect the interest expense on our short-term funding.

Unemployment Rate and Monthly Net New Jobs

1,342,000

213,000

518,000 615,000 550,000

7.8%

6.7%

6.0% 5.9%

4.8%

Average monthly net new jobs

(non-farm)

National unemployment rate

(as of the last month in each quarter)

3Q20 4Q20 1Q21 2Q21 3Q21

Source: U.S. Bureau of Labor Statistics.

n	 Changes in the national unemployment rate can affect 

several market factors, including the demand for 

single-family and multifamily housing and loan 

delinquency rates.

n The unemployment rate has declined three percentage 

points from 3Q 2020 to 3Q 2021, but the labor market 

has not yet fully recovered from the COVID-19 

pandemic. The pace of job growth also declined 

quarter-over-quarter. 

Management's Discussion and Analysis Market Conditions and Economic Indicators 

Freddie Mac 3Q 2021 Form 10-Q 7
Single-Family Housing and Mortgage Market Conditions

 U.S. Single-Family Home Sales and House Prices

7,076

7,583

7,199

6,570 6,795

6,103 6,657 6,303 5,833 6,057

973

926

896

737

738

4.3% 3.8% 4.3%

5.5%

3.8%

Sales of existing homes (units in thousands)

Sales of new homes (units in thousands)

Single-family house price growth rate

3Q20 4Q20 1Q21 2Q21 3Q21

Sources: National Association of Realtors, U.S. Census Bureau, and Freddie Mac 

House Price Index.

U.S. Single-Family Mortgage Originations

(UPB in billions)

$990

$1,155

$1,265 $1,305 $1,280

2Q20 3Q20 4Q20 1Q21 2Q21

Source: Inside Mortgage Finance. 3Q 2021 U.S. single-family mortgage 

originations data is not yet available.

n Despite low mortgage rates, home sales decreased 

year-over-year driven by an increase in house prices 

and ongoing uncertainty with respect to the COVID-19 

pandemic. We expect home sales for full-year 2022 to 

remain relatively flat compared to full-year 2021. 

n	 Single-family house prices increased 3.8% during 3Q 

2021, compared to an increase of 4.3% during 3Q 

2020. Although supply constraints could continue to 

exert pressure on house prices for the remainder of 

2021 and into 2022, we expect house price growth to 

slow in 2022.

n	 U.S. single-family loan origination volumes increased 

to $1,280 billion in 2Q 2021 from $990 billion in 2Q 

2020 as a result of low average mortgage interest 

rates, higher home sales, and increasing house prices. 

We expect total originations to decrease in 2022 

primarily due to a decrease in refinance originations 

driven by higher mortgage rates.

Management's Discussion and Analysis Market Conditions and Economic Indicators

Freddie Mac 3Q 2021 Form 10-Q 8
Multifamily Housing and Mortgage Market Conditions 

Apartment Vacancy Rates and Change in Effective Rents

5.1% 5.2% 5.3% 5.3%

4.7%

(1.6)% (1.1)% (0.2)% 0.6%

7.9%

0.7%

Apartment vacancy rates

Change in effective rents

Long term quarterly effective rent growth rate

3Q20 4Q20 1Q21 2Q21 3Q21

Source: Reis. 

Apartment Completions and Net Absorption

(Units in thousands)

56 58

38

21

26

33 34

26

17

Completions Net absorption

3Q20 4Q20 1Q21 2Q21 3Q21

Source: For 3Q20 - 2Q21, "Reis National Performance Trends Report." For 

3Q21,"Reis 3Q 2021 Construction First Glance." 3Q21 net absorption data is not 

yet available.

n	 Vacancy rates decreased during 3Q 2021 and are 

returning to pre-pandemic levels, which are well below 

the average of 5.3% from 2000 to 3Q 2021. The 

decrease in vacancy rates was driven by higher 

demand for multifamily housing as a result of 

improving economic conditions. However, these rates 

may be impacted in the future by the expiration of 

COVID-19 relief programs and eviction moratoriums as 

well as ongoing uncertainty driven by the COVID-19 

variants.

n	 Effective rent growth (i.e., the average rent paid by the 

renter over the term of the lease, adjusted for 

concessions by the landlord and costs borne by the 

renter) was positive at a national level and in all of the 

major geographic markets in 3Q 2021, representing 

the highest quarterly national growth rate on record. 

n	 Multifamily property prices grew 5.3% in 3Q 2021, as 

investors continued to believe there was a need for 

additional rental housing in the U.S. and the overall 

investment environment remained attractive due to 

low interest rates.

n	 While final rates are not yet available, we expect net 

absorption rates to have increased markedly during 

3Q 2021 driven by improving economic conditions, 

pent-up demand, and rising income levels. We further 

expect net absorptions to match or exceed 

completions for full-year 2021.

Management's Discussion and Analysis Market Conditions and Economic Indicators

Freddie Mac 3Q 2021 Form 10-Q 9
Mortgage Debt Outstanding 

Single-Family Mortgage Debt Outstanding

(UPB in billions) 

$11,341 $11,510 $11,659 $11,790 $12,029

18.2% 18.9% 20.0% 20.8% 21.3%

U.S. single-family mortgage debt outstanding

Freddie Mac share

2Q20 3Q20 4Q20 1Q21 2Q21

Source: Federal Reserve Financial Accounts of the United States of America. 3Q 

2021 U.S. single-family mortgage debt outstanding data is not yet available.

Multifamily Mortgage Debt Outstanding 

 (UPB in billions)

$1,678 $1,709 $1,755 $1,785 $1,811

17.9% 18.3% 19.1% 19.1% 19.0%

U.S. multifamily mortgage debt outstanding

Freddie Mac share

2Q20 3Q20 4Q20 1Q21 2Q21

Source: Federal Reserve Financial Accounts of the United States of America. 3Q 

2021 U.S. multifamily mortgage debt outstanding data is not yet available.

n	 U.S. single-family mortgage debt outstanding is 

expected to increase year-over-year, primarily driven 

by house price appreciation. An increase in U.S. 

single-family mortgage debt outstanding typically 

results in the growth of our single-family mortgage 

portfolio.

n	 While the multifamily mortgage market grew, our share 

of multifamily mortgage debt outstanding decreased 

slightly in 2Q 2021 due to ongoing competition and a 

reduced FHFA multifamily loan purchase cap for 2021.

Management's Discussion and Analysis Market Conditions and Economic Indicators

Freddie Mac 3Q 2021 Form 10-Q 10
Delinquency Rates

Single-Family Serious Delinquency Rates

5.16% 5.03% 4.70%

4.03%

3.04%

2.64% 2.34%

1.86%

1.46%

Total mortgage market

Freddie Mac

3Q20 4Q20 1Q21 2Q21 3Q21

Source: National Delinquency Survey from the Mortgage Bankers Association. 

3Q 2021 total mortgage market rate is not yet available.

Multifamily Delinquency Rates 

0.13%

0.16% 0.17%

0.15%

0.12%

1.76%

1.95%

1.48%

1.28% 1.30%

0.22%

0.27% 0.25%

0.28%

0.10% 0.10%

0.08% 0.08%

Freddie Mac

Multifamily CMBS market

FDIC insured institutions

ACLI investment bulletin

3Q20 4Q20 1Q21 2Q21 3Q21

Source: Freddie Mac, FDIC Quarterly Banking Profile, Intex Solutions, Inc., and 

Wells Fargo Securities (Multifamily CMBS market, excluding REOs), American 

Council of Life Insurers (ACLI). The 3Q 2021 delinquency rates for FDIC insured 

institutions and ACLI investment bulletin are not yet available.

n	 Our single-family serious delinquency rate is based on 

the number of loans in our single-family mortgage 

portfolio that are three monthly payments or more past 

due or in the process of foreclosure. We report singlefamily loans in forbearance as delinquent during the 

forbearance period to the extent that payments are 

past due based on the loans' original contractual 

terms, irrespective of the forbearance plan. 

n	 Our single-family serious delinquency rate declined 

quarter-over-quarter and year-over-year, due primarily 

to an increase in the number of borrowers exiting 

forbearance and completing loan workout solutions 

that return their mortgages to current status. 54% of 

the seriously delinquent loans at September 30, 2021 

were covered by credit enhancements that are 

designed to partially reduce our credit risk exposure to 

these loans.

n	 While our single-family serious delinquency rate has 

declined since 3Q 2020, we expect the rate to remain 

elevated compared to pre-pandemic levels as a result 

of the COVID-19 pandemic and the forbearance 

programs we are offering in response. Our singlefamily serious delinquency rate as of February 29, 

2020 was 0.60%.

n	 Our multifamily delinquency rate is based on the UPB 

of loans in our multifamily mortgage portfolio that are 

two monthly payments or more past due or in the 

process of foreclosure. We report multifamily loans in 

forbearance as current as long as the borrowers are in 

compliance with their forbearance agreement, 

including the agreed-upon repayment plan. 

n	 While our multifamily delinquency rate remained above 

pre-pandemic levels, this rate was slightly down 

quarter-over-quarter and year-over-year, and remains 

low compared to many other market participants. 

n	 Multifamily delinquency rates could increase in the 

near term due to the continuing effects of the 

COVID-19 pandemic. However, our credit 

enhancement coverage will partially reduce our credit 

risk exposure from these loans. For additional 

information on our delinquency and forbearance rates 

and credit enhancement coverage, see MD&A - Risk 

Management - Credit Risk - Multifamily 

Mortgage Credit Risk.

Management's Discussion and Analysis Market Conditions and Economic Indicators

Freddie Mac 3Q 2021 Form 10-Q 11
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 Condensed Consolidated Statements of Comprehensive Income (Loss)

Change Change

(Dollars in millions) 3Q 2021 3Q 2020 $ % YTD 2021 YTD 2020 $ %

Net interest income $4,418 $3,457 $961 28 % $12,824 $9,118 $3,706 41 %

Guarantee income 246 315 (69) (22) 850 1,161 (311) (27) 

Investment gains (losses), net 383 1,122 (739) (66) 2,227 957 1,270 133 

Other income (loss) 200 172 28 16 485 401 84 21 

Net revenues 5,247 5,066 181 4 16,386 11,637 4,749 41 

Benefit (provision) for credit losses 243 (327) 570 174 1,179 (2,265) 3,444 152 

Credit enhancement expense (386) (267) (119) (45) (1,090) (731) (359) (49) 

Benefit for (decrease in) credit 

enhancement recoveries (60) 20 (80) (400) (510) 708 (1,218) (172) 

REO operations income (expense) 9 (40) 49 123 (6) (139) 133 96 

Credit-related income (expense) (194) (614) 420 68 (427) (2,427) 2,000 82 

Administrative expense (627) (641) 14 2 (1,917) (1,829) (88) (5) 

Temporary Payroll Tax Cut Continuation 

Act of 2011 expense (602) (467) (135) (29) (1,706) (1,341) (365) (27) 

Other expense (178) (237) 59 25 (572) (480) (92) (19) 

Operating expense (1,407) (1,345) (62) (5) (4,195) (3,650) (545) (15) 

Income (loss) before income tax 

(expense) benefit 3,646 3,107 539 17 11,764 5,560 6,204 112 

Income tax (expense) benefit (727) (644) (83) (13) (2,399) (1,147) (1,252) (109) 

Net income (loss) 2,919 2,463 456 19 9,365 4,413 4,952 112 

Total other comprehensive income (loss), 

net of taxes and reclassification 

adjustments

 (10) (14) 4 29 (467) 596 (1,063) (178) 

Comprehensive income (loss) $2,909 $2,449 $460 19 % $8,898 $5,009 $3,889 78 %

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 3Q 2021 Form 10-Q 12
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) 3Q 2021 3Q 2020 $ % YTD 2021 YTD 2020 $ %

Guarantee net interest income:

Contractual net interest income $2,320 $1,339 $981 73 % $6,253 $3,634 $2,619 72 %

Net interest income related to the Temporary 

Payroll Tax Cut Continuation Act of 2011 613 480 133 28 1,753 1,363 390 29 

Deferred fee income 934 1,243 (309) (25) 3,652 2,543 1,109 44 

Total guarantee net interest income 3,867 3,062 805 26 11,658 7,540 4,118 55 

Investments net interest income:

Contractual net interest income and 

amortization 864 1,258 (394) (31) 2,929 3,693 (764) (21) 

Interest expense related to CRT debt (135) (173) 38 22 (424) (600) 176 29 

Total investments net interest income 729 1,085 (356) (33) 2,505 3,093 (588) (19) 

Income (expense) from hedge accounting (178) (690) 512 74 (1,339) (1,515) 176 12 

Net interest income $4,418 $3,457 $961 28 % $12,824 $9,118 $3,706 41 %

Key Drivers:

n Guarantee net interest income 

l	 3Q 2021 vs. 3Q 2020 - Increased primarily driven by continued mortgage portfolio growth and higher average portfolio 

guarantee fee rates in Single-family.

l	 YTD 2021 vs. YTD 2020 - Increased primarily due to continued mortgage portfolio growth, higher average portfolio 

guarantee fee rates, and higher deferred fee income recognition in Single-family.

n Investments net interest income 

l	 3Q 2021 vs. 3Q 2020 and YTD 2021 vs. YTD 2020 - Decreased primarily due to a decline in the size of the mortgagerelated investments portfolio, partially offset by lower funding costs. Interest expense related to CRT debt decreased 

primarily due to a decline in volume as we no longer regularly issue STACR debt notes.

n Income (expense) from hedge accounting

l	 3Q 2021 vs. 3Q 2020 and YTD 2021 vs. YTD 2020 - Expense decreased primarily due to lower amortization of hedge 

accounting-related basis adjustments driven by a decline in the unamortized balance and slower prepayments.

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 3Q 2021 Form 10-Q 13
Net Interest Yield Analysis

The table below presents an analysis of interest-earning assets and interest-bearing liabilities. 

Table 3 - Analysis of Net Interest Yield

3Q 2021 3Q 2020

(Dollars in millions)

Average

Balance

Interest

Income

(Expense)

Average

Rate

Average

Balance

Interest

Income

(Expense)

Average

Rate

Interest-earning assets:

Cash and cash equivalents $26,657 $2 0.02 % $21,789 $3 0.04 %

Securities purchased under agreements to resell 110,140 15 0.06 105,371 34 0.13 

Investment securities 57,549 627 4.35 75,134 659 3.51 

Mortgage loans(1) 2,670,685 15,124 2.27 2,168,711 14,134 2.61 

Other assets 6,543 23 1.39 5,063 19 1.49 

Total interest-earning assets 2,871,574 15,791 2.20 2,376,068 14,849 2.50 

Interest-bearing liabilities:

Debt securities of consolidated trusts held by third parties 2,602,220 (10,953) (1.68) 2,045,865 (10,847) (2.12) 

Debt of Freddie Mac:

Short-term debt 6,590 — — 61,290 (38) (0.25) 

Long-term debt 216,795 (420) (0.77) 232,682 (507) (0.87) 

Total debt of Freddie Mac 223,385 (420) (0.75) 293,972 (545) (0.74) 

Total interest-bearing liabilities 2,825,605 (11,373) (1.61) 2,339,837 (11,392) (1.95) 

Impact of net non-interest-bearing funding 45,969 — 0.03 36,231 — 0.03 

Total funding of interest-earning assets 2,871,574 (11,373) (1.58) 2,376,068 (11,392) (1.92) 

Net interest income/yield $4,418 0.62 % $3,457 0.58 %

(1) Loan fees, primarily consisting of amortization of upfront fees, included in interest income were $650 million and $1.3 billion for loans held by consolidated trusts 

and $19 million and $27 million for loans held by Freddie Mac during 3Q 2021 and 3Q 2020, respectively.

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 3Q 2021 Form 10-Q 14
YTD 2021 YTD 2020

(Dollars in millions)

Average

Balance

Interest

Income

(Expense)

Average

Rate

Average

Balance

Interest

Income

(Expense)

Average

Rate

Interest-earning assets:

Cash and cash equivalents $70,708 $6 0.01 % $17,559 $27 0.20 %

Securities purchased under agreements to resell 73,232 36 0.07 90,968 325 0.48 

Investment securities 57,433 1,854 4.30 74,484 1,948 3.49 

Mortgage Loans(1) 2,564,295 42,969 2.23 2,097,447 45,792 2.91 

Other assets 5,844 58 1.32 4,439 65 1.95 

Total interest-earning assets 2,771,512 44,923 2.16 2,284,897 48,157 2.81 

Interest-bearing liabilities:

Debt securities of consolidated trusts held by third parties 2,474,639 (30,742) (1.66) 1,966,328 (36,269) (2.46) 

Debt of Freddie Mac:

Short-term debt 10,593 (2) (0.02) 94,167 (598) (0.84) 

Long-term debt 240,795 (1,355) (0.75) 199,575 (2,172) (1.45) 

Total debt of Freddie Mac 251,388 (1,357) (0.72) 293,742 (2,770) (1.25) 

Total interest-bearing liabilities 2,726,027 (32,099) (1.57) 2,260,070 (39,039) (2.30) 

Impact of net non-interest-bearing funding 45,485 — 0.03 24,827 — 0.02 

Total funding of interest-earning assets 2,771,512 (32,099) (1.54) 2,284,897 (39,039) (2.28) 

Net interest income/yield $12,824 0.62 % $9,118 0.53 %

(1) Loan fees, primarily consisting of amortization of upfront fees, included in interest income were $2.4 billion and $3.3 billion for loans held by consolidated trusts and 

$71 million and $68 million for loans held by Freddie Mac during YTD 2021 and YTD 2020, respectively.

Guarantee Income

The table below presents the components of guarantee income. 

Table 4 - Components of Guarantee Income

Change Change

(Dollars in millions) 3Q 2021 3Q 2020 $ % YTD 2021 YTD 2020 $ %

Contractual guarantee fees $311 $259 $52 20 % $900 $744 $156 21 %

Guarantee obligation amortization 294 239 55 23 854 713 141 20 

Guarantee asset fair value changes (359) (183) (176) (96) (904) (296) (608) (205) 

Guarantee income $246 $315 ($69) (22) % $850 $1,161 ($311) (27) %

Key Drivers:

n	 YTD 2021 vs. YTD 2020 - Decreased as continued growth in our multifamily guarantee portfolio was more than offset by 

the impacts of interest-rate changes on the fair values of our guarantee assets. During YTD 2021, we recorded higher fair 

value losses due to increases in medium- and long-term interest rates compared to lower fair value losses during YTD 

2020 due to significant decreases in interest rates. 

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 3Q 2021 Form 10-Q 15
Investment Gains (Losses), Net

The table below presents the components of investment gains (losses), net.

Table 5 - Components of Investment Gains (Losses), Net

Change Change

(Dollars in millions) 3Q 2021 3Q 2020 $ % YTD 2021 YTD 2020 $ %

Mortgage loans gains (losses) $784 $1,769 ($985) (56) % $2,501 $3,987 ($1,486) (37) %

Investment securities gains (losses) (480) (285) (195) (68) (1,317) 835 (2,152) (258) 

Debt gains (losses) 47 (25) 72 288 203 735 (532) (72) 

Derivative gains (losses) 32 (337) 369 109 840 (4,600) 5,440 118 

Investment gains (losses), net $383 $1,122 ($739) (66) % $2,227 $957 $1,270 133 %

Mortgage Loans Gains (Losses)

The table below presents the components of mortgage loans gains (losses). We economically hedge our interest rate exposure 

on loan commitments and mortgage loans primarily using interest-rate risk management derivatives. The offsetting effects of 

these derivatives are recognized in derivative gains (losses).

Table 6 - Components of Mortgage Loans Gains (Losses)

Change Change

(Dollars in millions) 3Q 2021 3Q 2020 $ % YTD 2021 YTD 2020 $ %

Single-family:

 Gains (losses) on mortgage loans $197 $777 ($580) (75) % $751 $858 ($107) (12) %

Multifamily:

Gains (losses) on certain loan purchase 

commitments 423 614 (191) (31) 960 1,796 ($836) (47) 

 Gains (losses) on mortgage loans 164 378 (214) (57) 790 1,333 (543) (41) 

Total Multifamily 587 992 (405) (41) 1,750 3,129 (1,379) (44) 

Mortgage loans gains (losses) $784 $1,769 ($985) (56) % $2,501 $3,987 ($1,486) (37) %

Key Drivers:

n	 3Q 2021 vs. 3Q 2020 - Single-family mortgage loans gains decreased primarily due to a lower volume of sales of singlefamily held-for-sale loans. Multifamily mortgage loans gains decreased primarily due to less K Certificate spread tightening 

and lower initial pricing margin rates on new loan commitments, partially offset by higher gains on floating-rate loan 

securitizations.

n	 YTD 2021 vs. YTD 2020 - Single-family mortgage loans gains decreased primarily due to a lower volume of sales of singlefamily held-for-sale loans. Multifamily mortgage loans gains decreased primarily due to fair value losses driven by 

increases in long-term interest rates during YTD 2021, compared to significant fair value gains during YTD 2020 driven by 

large interest rate decreases. The decrease was partially offset by higher gains on floating-rate loan securitizations and 

tighter K Certificate spreads.

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 3Q 2021 Form 10-Q 16
Investment Securities Gains (Losses)

The table below presents the components of investment securities gains (losses). We economically hedge our interest rate 

exposure on investment securities primarily using interest rate-risk management derivatives. The offsetting effects of these 

derivatives are recognized in derivative gains (losses). 

Table 7 - Components of Investment Securities Gains (Losses)

Change Change

(Dollars in millions) 3Q 2021 3Q 2020 $ % YTD 2021 YTD 2020 $ %

Realized gains (losses) on sales of availablefor-sale securities $10 $26 ($16) (62) % $477 $43 $434 1,009 %

Realized and unrealized gains (losses) on 

trading securities (470) (285) (185) (65) (1,734) 868 (2,602) (300) 

Other (20) (26) 6 23 (60) (76) 16 21 

Investment securities gains (losses) ($480) ($285) ($195) (68) % ($1,317) $835 ($2,152) (258) %

Key Drivers:

n	 3Q 2021 vs. 3Q 2020 - Decreased primarily due to higher losses on trading securities as long-term interest rates increased 

more in 3Q 2021 than in 3Q 2020.

n	 YTD 2021 vs. YTD 2020 - Decreased primarily due to losses on trading securities driven by the increase in long-term 

interest rates in YTD 2021 compared to gains in YTD 2020 due to a decrease in long-term interest rates. The losses on 

trading securities were partially offset by gains on sales of agency mortgage-related securities.

Debt Gains (Losses)

The table below presents the components of debt gains (losses). We economically hedge our interest rate exposure on certain 

issuances of debt primarily using interest-rate risk management derivatives. The offsetting effects of these derivatives are 

recognized in derivative gains (losses).

Table 8 - Components of Debt Gains (Losses)

Change Change

(Dollars in millions) 3Q 2021 3Q 2020 $ % YTD 2021 YTD 2020 $ %

Fair value changes:

Debt securities of consolidated trusts $7 $— $7 — % $19 $3 $16 533 %

Debt of Freddie Mac 6 (37) 43 116 36 442 (406) (92) 

Total fair value changes 13 (37) 50 135 55 445 (390) (88) 

Gains (losses) on extinguishment of debt:

Debt securities of consolidated trusts 104 7 97 1,386 237 46 191 415 

Debt of Freddie Mac (70) 5 (75) (1,500) (89) 244 (333) (136) 

Total gains (losses) on extinguishment of 

debt 34 12 22 183 148 290 (142) (49) 

Debt gains (losses) $47 ($25) $72 288 % $203 $735 ($532) (72) %

Key Drivers:

n YTD 2021 vs. YTD 2020 - Decreased primarily due to lower fair value gains on STACR debt notes for which we elected the 

fair value option. Fair value gains in YTD 2020 were driven by spread widening caused by the significant market volatility 

related to the COVID-19 pandemic.

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 3Q 2021 Form 10-Q 17
Derivative Gains (Losses)

The table below presents the components of derivative gains (losses). Certain of our interest rate-related derivative gains 

(losses) have offsetting effects recognized in mortgage loans gains (losses), investment securities gains (losses), debt gains 

(losses), or other comprehensive income (loss).

Table 9 - Components of Derivative Gains (Losses)

Change Change

(Dollars in millions) 3Q 2021 3Q 2020 $ % YTD 2021 YTD 2020 $ %

Fair value gains (losses):

Interest-rate risk management derivatives $445 $472 ($27) (6) % $1,468 ($2,322) $3,790 163 %

Mortgage commitment derivatives 46 (335) 381 114 662 (1,457) 2,119 145 

CRT-related derivatives (2) 48 (50) (104) (29) 169 (198) (117) 

Other 14 18 (4) (22) 22 55 (33) (60) 

Total fair value gains (losses) 503 203 300 148 2,123 (3,555) 5,678 160 

Accrual of periodic cash settlements (471) (540) 69 13 (1,283) (1,045) (238) (23) 

Derivative gains (losses) $32 ($337) $369 109 % $840 ($4,600) $5,440 118 %

Key Drivers:

n 3Q 2021 vs. 3Q 2020 - Derivative gains in 3Q 2021 primarily driven by lower losses on commitments due to less spread 

tightening. 

n YTD 2021 vs. YTD 2020 - Derivative gains in YTD 2021 primarily driven by the increase in long-term interest rates, 

compared to derivative losses in YTD 2020 due to the decrease in long-term interest rates. 

Credit-Related Income (Expense)

Benefit (Provision) for Credit Losses

The table below presents the components of benefit (provision) for credit losses.

Table 10 - Components of Benefit (Provision) for Credit Losses 

Change Change

(Dollars in millions) 3Q 2021 3Q 2020 $ % YTD 2021 YTD 2020 $ %

Benefit (provision) for credit losses:

 Single-family 244 ($320) $564 176 % 1,076 ($2,110) $3,186 151 %

 Multifamily (1) (7) 6 86 103 (155) 258 166 

Benefit (provision) for credit losses $243 ($327) $570 174 % $1,179 ($2,265) $3,444 152 %

Key Drivers:

Single-family

n 3Q 2021 vs. 3Q 2020 and YTD 2021 vs. YTD 2020 - A benefit for credit losses in the 2021 periods compared to a 

provision for credit losses in the 2020 periods primarily driven by the following factors:

l	 A reserve release due to:

– Reduced expected credit losses related to COVID-19 - Our estimate of expected credit losses related to the 

COVID-19 pandemic decreased during the 2021 periods as economic conditions improved. Our provision for 

credit losses increased during the 2020 periods due to the increase in expected credit losses related to the 

economic effects of the pandemic.

– Appreciation in realized house prices - The realized house price growth rates were higher in the 2021 periods 

and, as a result, further reduced our estimate of expected credit losses as the higher house prices decreased both 

the probability and severity of expected credit losses.

l	 This was partially offset by an increase in expected losses on new single-family loans due to growth in our singlefamily mortgage portfolio. We recognize expected credit losses at the time of loan acquisition.

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 3Q 2021 Form 10-Q 18
Multifamily

n YTD 2021 vs. YTD 2020 - A benefit for credit losses in YTD 2021 compared to a provision for credit losses in YTD 2020 

driven by improved actual and forecasted economic factors.

Credit Enhancement Expense

Key Drivers:

n 3Q 2021 vs. 3Q 2020 and YTD 2021 vs. YTD 2020 - Increased $119 million and $359 million, respectively, primarily due to 

higher outstanding cumulative volumes of CRT transactions.

Benefit for (Decrease in) Credit Enhancement Recoveries

Key Drivers:

n 3Q 2021 vs. 3Q 2020 and YTD 2021 vs. YTD 2020 - Decreased $80 million and $1.2 billion, respectively, as a result of the 

corresponding decrease in expected credit losses.

Other Comprehensive Income (Loss)

Key Drivers: 

n	 YTD 2021 vs. YTD 2020 - Decreased $1.1 billion primarily due to recognition of realized gains from sales of our availablefor-sale securities. YTD 2020 included fair value gains as long-term interest rates declined. We economically hedge our 

interest rate exposure on investment securities primarily using interest-rate risk management derivatives. The offsetting 

effects of these derivatives are recognized in derivative gains (losses).

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 3Q 2021 Form 10-Q 19
CONSOLIDATED BALANCE SHEETS ANALYSIS

The table below compares our summarized condensed consolidated balance sheets.

Table 11 - Summarized Condensed Consolidated Balance Sheets

Change

(Dollars in millions) September 30, 2021 December 31, 2020 $ %

Assets:

Cash and cash equivalents $9,478 $23,889 ($14,411) (60) %

Securities purchased under agreements to resell 85,315 105,003 (19,688) (19) 

Subtotal 94,793 128,892 (34,099) (26) 

Investment securities, at fair value 56,930 59,825 (2,895) (5) 

Mortgage loans, net 2,733,114 2,383,888 349,226 15 

Accrued interest receivable, net 7,490 7,754 (264) (3) 

Derivative assets, net 953 1,205 (252) (21) 

Deferred tax assets, net 6,099 6,557 (458) (7) 

Other assets 38,605 39,294 (689) (2) 

Total assets $2,937,984 $2,627,415 $310,569 12 %

Liabilities and Equity:

Liabilities:

Accrued interest payable $6,049 $6,210 ($161) (3) %

Debt 2,895,426 2,592,546 302,880 12 

Derivative liabilities, net 389 954 (565) (59) 

Other liabilities 10,809 11,292 (483) (4) 

Total liabilities 2,912,673 2,611,002 301,671 12 

Total equity 25,311 16,413 8,898 54 

Total liabilities and equity $2,937,984 $2,627,415 $310,569 12 %

Key Drivers:

As of September 30, 2021 compared to December 31, 2020:

n	 Cash and cash equivalents and securities purchased under agreements to resell decreased on a combined basis 

primarily due to a decrease in trust cash driven by lower loan prepayments and a decline in our operating cash due to a 

lower cash window purchase forecast and continued funding of maturities, calls, and buybacks of debt of Freddie Mac 

without issuing new debt.

n	 Mortgage loans, net and debt increased primarily due to the increase in the size of the single-family mortgage portfolio.

n	 Total equity increased primarily due to our net income in YTD 2021 combined with our continued ability to retain earnings 

as a result of the increases in the applicable Capital Reserve Amount and the resulting changes in our dividend requirement 

to Treasury on the senior preferred stock.

Management's Discussion and Analysis Consolidated Balance Sheets Analysis 

Freddie Mac 3Q 2021 Form 10-Q 20
OUR PORTFOLIOS

In connection with the change in our reportable segments implemented in 1Q 2021, we updated the definitions of our portfolio 

balances and aligned the definitions across our two reportable segments. Prior periods have been revised to conform to the 

current period presentation.

Mortgage Portfolio

Our mortgage portfolio includes assets held by both business segments and consists of:

n Securitized mortgage loans - Loans held by securitization trusts that issue securities that we guarantee.

n Unsecuritized mortgage loans

l Securitization pipeline and other loans - Single-family and multifamily loans that we have purchased for cash and 

aggregate on our balance sheet prior to securitization and other multifamily loans we intend to hold for the foreseeable 

future.

l Loss mitigation loans - Delinquent and modified single-family loans that we have purchased from securitization trusts 

to facilitate loss mitigation. Certain of these loans have re-performed, either on their own or through modification or 

other loss mitigation activity.

n Other - Primarily consists of other mortgage-related guarantees.

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

Table 12 - Mortgage Portfolio

September 30, 2021 December 31, 2020

(In millions) Single-Family Multifamily Total Single-Family Multifamily Total

Securitized mortgage loans:

Held by consolidated trusts $2,594,246 $16,666 $2,610,912 $2,204,936 $12,305 $2,217,241

Held by nonconsolidated trusts 34,338 358,417 392,755 34,932 331,860 366,792

Total securitized mortgage loans 2,628,584 375,083 3,003,667 2,239,868 344,165 2,584,033 

Unsecuritized mortgage loans:

Securitization pipeline and other loans 21,434 18,993 40,427 51,040 33,407 84,447 

Loss mitigation loans 22,013 — 22,013 26,303 — 26,303 

Total unsecuritized mortgage loans 43,447 18,993 62,440 77,343 33,407 110,750 

Other 10,375 10,391 20,766 9,215 10,775 19,990 

Total mortgage portfolio $2,682,406 $404,467 $3,086,873 $2,326,426 $388,347 $2,714,773 

Guarantee Portfolio

Our guarantee portfolio primarily consists of mortgage-related securities guaranteed by Freddie Mac in exchange for guarantee 

fee income. This amount differs from the securitized mortgage loans amount included in the mortgage portfolio because of two 

primary factors: (1) it includes only the UPB of securities guaranteed by Freddie Mac and excludes the UPB of any 

unguaranteed subordinated securities issued by securitization trusts and (2) it reflects timing differences between the receipt of 

mortgage payments and the pass-through of those payments to security holders. The other category primarily consists of other 

mortgage-related guarantees.

The table below presents the guarantee portfolio by segment.

Table 13 - Guarantee Portfolio

September 30, 2021 December 31, 2020

(In millions) Single-Family Multifamily Total Single-Family Multifamily Total

Guaranteed mortgage-related securities:

Issued by consolidated trusts $2,644,517 $16,676 $2,661,193 $2,273,736 $12,305 $2,286,041 

Issued by nonconsolidated trusts 28,525 314,401 342,926 29,300 289,056 318,356 

Total guaranteed mortgage-related securities 2,673,042 331,077 3,004,119 2,303,036 301,361 2,604,397 

Other 10,375 10,391 20,766 9,215 10,775 19,990 

Total guarantee portfolio $2,683,417 $341,468 $3,024,885 $2,312,251 $312,136 $2,624,387 

Management's Discussion and Analysis Our Portfolios

Freddie Mac 3Q 2021 Form 10-Q 21
Our guarantee portfolio excludes guarantees of Fannie Mae securities and other similar transactions in which we do not directly 

guarantee mortgage credit risk in exchange for guarantee fees. See Note 5 for additional information on our guarantee 

activities.

Investments Portfolio

Our investments portfolio consists of our mortgage-related investments portfolio and other investments portfolio.

Mortgage-Related Investments Portfolio

We primarily use our mortgage-related investments portfolio to provide liquidity to the mortgage market and support our loss 

mitigation activities. Our mortgage-related investments portfolio includes assets held by both business segments and consists 

of:

n Unsecuritized mortgage loans - Single-family and multifamily unsecuritized loans as discussed above.

n Agency mortgage-related securities - Primarily includes single-family and multifamily Freddie Mac mortgage-related 

securities, although we may also invest in Fannie Mae and Ginnie Mae mortgage-related securities.

n Non-agency mortgage-related securities - We continue to own certain non-agency mortgage-related securities that we 

acquired in prior years. We generally no longer purchase non-agency mortgage-related securities, although we may 

acquire such securities in connection with our senior subordinate securitization structures backed by seasoned loans.

The table below presents the UPB of our mortgage-related investments portfolio. The balance of our mortgage-related 

investments portfolio for purposes of the $225 billion FHFA cap and $250 billion Purchase Agreement cap was $126.7 billion as 

of September 30, 2021, including $12.9 billion representing 10% of the notional amount of the interest-only securities we held 

as of September 30, 2021. 

With respect to the composition of our mortgage-related investments portfolio, FHFA has instructed us to reduce the amount of 

agency MBS to no more than $20 billion, based on UPB, by June 30, 2022.

Table 14 - Mortgage-Related Investments Portfolio

September 30, 2021 December 31, 2020

(In millions) Single-Family Multifamily Total Single-Family Multifamily Total

Unsecuritized mortgage loans:

Securitization pipeline and other loans $21,434 $18,993 $40,427 $51,040 $33,407 $84,447 

Loss mitigation loans 22,013 — 22,013 26,303 — 26,303 

Total unsecuritized mortgage loans 43,447 18,993 62,440 77,343 33,407 110,750 

Mortgage-related securities:

Agency mortgage-related securities 46,921 3,153 50,074 65,954 4,066 70,020 

Non-agency mortgage-related securities 1,169 90 1,259 1,300 114 1,414 

Total mortgage-related securities 48,090 3,243 51,333 67,254 4,180 71,434 

Mortgage-related investments portfolio $91,537 $22,236 $113,773 $144,597 $37,587 $182,184 

Other Investments Portfolio

Our other investments portfolio, which includes the liquidity and contingency operating portfolio, is primarily used for short-term 

liquidity management, collateral management, and asset and liability management. The assets in the other investments portfolio 

are primarily allocated to the Single-family segment.

Management's Discussion and Analysis Our Portfolios

Freddie Mac 3Q 2021 Form 10-Q 22
OUR BUSINESS SEGMENTS

As shown in the table below, we have two reportable segments, which are based on the way our chief operating decision 

maker manages our business.

During 1Q 2021, our chief operating decision maker began making decisions about allocating resources and assessing 

segment performance based on two reportable segments, Single-family and Multifamily. In prior periods, we managed our 

business based on three reportable segments, Single-family Guarantee, Multifamily, and Capital Markets. As our mortgagerelated investments portfolio has declined over time, our capital markets activities have become increasingly focused on 

supporting our single-family and multifamily businesses. As a result, we determined that, effective in 1Q 2021, our Capital 

Markets segment should no longer be considered a separate reportable segment, and our chief operating decision maker no 

longer reviews separate financial results or discrete financial information for our capital markets activities. Substantially all of the 

revenues and expenses that were previously directly attributable to our Capital Markets segment are now included in our 

Single-family segment, while certain administrative expenses and other centrally-incurred costs previously allocated to the 

Capital Markets segment are now allocated between the Single-family and Multifamily segments using various methodologies 

depending on the nature of the expense.

In connection with this change, we also changed the measure of segment profit and loss for each segment to be based on net 

income and comprehensive income calculated using the same accounting policies we use to prepare our general purpose 

financial statements in conformity with generally accepted accounting principles. The financial results of each reportable 

segment include directly attributable revenue and expenses. We allocate interest expense and other debt funding and hedgingrelated costs to each reportable segment using a funds transfer pricing process. We fully allocate to each reportable segment 

the administrative expenses and other centrally-incurred costs that are not directly attributable to a particular segment using 

various methodologies depending on the nature of the expense. As a result, the sum of each income statement line item for the 

two reportable segments is equal to that same income statement line item for the consolidated entity. We have discontinued 

the reclassifications of certain activities between various line items that were included in our previous measure of segment 

profit and loss. Prior period information has been revised to conform to the current period presentation. See Note 15 for 

additional information on the change in our segment reporting presentation.

Segment Description

Single-family 

Reflects results from our purchase, sale, securitization, and guarantee of single-family loans and securities, our 

investments in those loans and 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, sale, securitization, and guarantee of multifamily loans and securities, our 

investments in those loans and securities, and the management of multifamily mortgage credit risk and market 

risk.

Segment Net Income (Loss) and Comprehensive Income (Loss) 

The graphs below show our net income (loss) and comprehensive income (loss) by segment. 

Segment Net Income (Loss)

(In millions)

$2,463

$2,913 $2,767

$3,679

$2,919

$4,413

$9,365

$1,282 $1,747 $1,738

$2,855 $2,028 $2,465

$6,621

$1,181

$1,166 $1,029

$824

$891

$1,948

$2,744

Single-family Multifamily

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

Segment Comprehensive Income (Loss)

(In millions)

$2,449 $2,522 $2,378

$3,611

$2,909

$5,009

$8,898

$1,272 $1,373 $1,410

$2,781 $2,046

$2,943

$6,237

$1,177 $1,149 $968

$830

$863

$2,066

$2,661

Single-family Multifamily

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

Management's Discussion and Analysis Our Business Segments

Freddie Mac 3Q 2021 Form 10-Q 23
Single-Family 

Business Results

The graphs, 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 Guarantee Fee Rate(1) Charged on New 

Acquisitions

(UPB in billions, guarantee fee rate in bps) 

$101 $109 $89 $98 $132 $216 $319 $236 $274 $273 $190 $167

$491

$630

46 47 50 49 48 47 49

$337 $383 $362

$288 $299

$707

$949

Home purchase

Refinance

Average guarantee fee rate charged

on new acquisitions

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

(1) Guarantee fee rate calculation excludes the legislated 10 basis point 

increase 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)

1,153 1,292 1,231

1,023 1,027

2,506

3,281

340 356 291 315 415

775

1,021

813

936 940 708

612

1,731

2,260

$292,000 $297,000 $294,000 $282,000 $291,000 $282,000 $289,000

Home purchase borrowers

Refinance borrowers

Average loan UPB of new acquisitions

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

n	 3Q 2021 vs. 3Q 2020 and YTD 2021 vs. YTD 2020

l Our loan purchase and guarantee activity decreased in 3Q 2021 compared to 3Q 2020 due to lower refinance volumes 

driven by a smaller decrease in mortgage interest rates during 2Q 2021 and 3Q 2021. Our loan purchase and 

guarantee activity increased in YTD 2021 compared to YTD 2020 due to higher refinance and home purchase volumes 

driven by more borrowers taking advantage of the low mortgage interest rate environment during YTD 2021. We 

expect mortgage interest rates to increase for the remainder of 2021 and in 2022 and, as a result, we expect refinance 

volume to decrease.

l The average guarantee fee rate charged on new acquisitions increased in the 2021 periods primarily due to the 

adverse market refinance fee we began to charge in December 2020. In July 2021, FHFA instructed us to eliminate this 

fee for loan deliveries effective August 1, 2021.

n	 In September 2021, certain requirements that were added to the Purchase Agreement pursuant to the January 2021 Letter 

Agreement related to our cash window activities, acquisitions of single-family loans with certain LTV, DTI, and credit score 

characteristics at origination, and acquisitions of single-family loans secured by investment properties and second homes 

were suspended. We will continue to manage these activities in accordance with our risk limits and guidance from FHFA. 

For additional information, see MD&A – Regulation and Supervision – Legislative and Regulatory 

Developments – September 2021 Letter Agreement with Treasury.

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

Freddie Mac 3Q 2021 Form 10-Q 24
Single-Family Mortgage Portfolio

Single-Family Mortgage Portfolio and Average Guarantee Fee 

Rate(1) Charged on Mortgage Portfolio 

(UPB in billions, guarantee fee rate in bps) 

$2,179 $2,326 $2,458 $2,564 $2,682

43

44 45

46 46

Single-family mortgage portfolio

Average guarantee fee rate charged

on mortgage portfolio

09/30/20 12/31/20 03/31/21 06/30/21 09/30/21

(1) Guarantee fee rate calculation excludes the legislated 10 basis point 

increase. As of September 30, 2021, excludes $48 billion in UPB primarily 

related to loans that we do not consolidate.

 

 Single-Family Loans

(Loan count in millions)

11.6 12.0 12.3 12.5 12.8

$187,000

$194,000

$200,000 $204,000 $209,000

Single-family mortgage portfolio

Average loan UPB

09/30/20 12/31/20 03/31/21 06/30/21 09/30/21

n	 The single-family mortgage portfolio grew $503 billion, or 23%, year-over-year driven by higher new business activity. 

Additionally, continued house price appreciation contributed to new business acquisitions having a higher average loan 

size compared to older vintages that continued to run off. 

n	 3Q 2021 vs. 3Q 2020 and YTD 2021 vs. YTD 2020 - The average guarantee fee rate charged on the single-family 

mortgage portfolio increased as older vintages with lower charged guarantee fee rates were replaced by acquisitions of 

new loans with higher charged guarantee fee rates, including the adverse market refinance fee we began to charge in 

December 2020. In July 2021, FHFA instructed us to eliminate this fee for loan deliveries effective August 1, 2021.

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

Freddie Mac 3Q 2021 Form 10-Q 25
CRT Activities

We transfer credit risk on a portion of our single-family mortgage portfolio to the private market, reducing the risk of future 

losses to us when borrowers default. The graphs below show the issuance amounts associated with CRT transactions for loans 

in our single-family mortgage portfolio. 

 UPB Covered by New CRT Issuance New CRT Issuance Maximum Coverage 

 (In billions) (In billions)

$168 $167

$245

$174 $167

$310

$586

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

 

$6

$5 $6

$3

$5

$12

$14

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

n	 The percentage of our single-family acquisitions targeted for CRT transactions (primarily 30-year fixed rate loans with LTV 

ratios between 60% and 97%) increased to 66% during 3Q 2021 from 61% during 3Q 2020 primarily driven by an increase 

in the proportion of purchases of 30-year fixed rate loans and a decrease in the proportion of recently acquired loans with 

lower LTV ratios. The percentage of our single-family acquisitions targeted for CRT transactions in YTD 2021 remained flat 

at 63% compared to YTD 2020.

n	 The UPB of mortgage loans covered by CRT transactions issued during YTD 2021 increased significantly due to the 

recovery of the CRT markets from the impact of the COVID-19 pandemic and the increase in loan acquisition activity in 

recent quarters. The related maximum coverage also increased but was proportionally lower than the increase in UPB of 

mortgage loans covered by CRT transactions due to the improved credit quality of the covered loans, which reduced the 

amount of credit coverage we required on those loans.

We evaluate and update our CRT strategy as needed depending on our business strategy, market conditions, and regulatory 

requirements. See MD&A – Risk Management - Single-Family Mortgage Credit Risk - Transferring Credit Risk to 

Third-Party Investors for additional information on our CRT activities and other credit enhancements.

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

Freddie Mac 3Q 2021 Form 10-Q 26
Loss Mitigation Activities 

The following graph provides details about our completed single-family loan workout activities. The forbearance data included 

below is limited to loans in forbearance that are past due based on the loans' original contractual terms and excludes both 

loans for which we do not control servicing and loans included in certain legacy transactions, as the forbearance data for such 

loans is either not reported to us by the servicers or is otherwise not readily available to us.

Completed Loan Workout Activity

(UPB in billions, number of loan workouts in thousands)

193

133

94 88 73

293

255

$42

$28

$20 $19

$16

$62

$55

Total single-family loan workouts

Number of loan workouts

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

n Completed loan workout activity includes forbearance plans where borrowers fully reinstated the loan to current status 

during or at the end of the forbearance period, payment deferrals, modifications, successfully completed repayment plans, 

short sales, and deeds in lieu of foreclosure. Completed loan workout activity excludes active loss mitigation activity that 

was ongoing and had not been completed as of the end of the quarter, such as forbearance plans that had been initiated 

but not completed and trial period modifications. There were approximately 129,000 loans in active forbearance plans and 

11,000 loans in other active loss mitigation activity as of September 30, 2021.

n Pursuant to FHFA guidance and the CARES Act, we have offered mortgage relief options for borrowers affected by the 

COVID-19 pandemic. Among other things, we have offered forbearance of up to 18 months to single-family borrowers 

experiencing a financial hardship, either directly or indirectly, related to the COVID-19 pandemic. We have also offered a 

payment deferral option that allows a borrower to defer up to 18 months of payments for eligible homeowners who have 

the financial capacity to resume making their monthly payments, but who are unable to afford the additional monthly 

contributions required by a repayment plan. The length of available forbearance or payment deferral may be extended or 

the terms of forbearance or payment deferral revised by further FHFA guidance or federal government regulation. 

n 3Q 2021 vs. 3Q 2020 - Our loan workout activity decreased primarily driven by the decrease in completed forbearance 

plans and payment deferrals related to the COVID-19 pandemic.

n YTD 2021 vs. YTD 2020 - Our loan workout activity decreased primarily driven by the decrease in completed forbearance 

plans related to the COVID-19 pandemic, partially offset by the increase of payment deferrals related to the COVID-19 

pandemic.

See MD&A - Risk Management for additional information on our loan workout activities.

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

Freddie Mac 3Q 2021 Form 10-Q 27
Net Interest Yield and Average Investments Portfolio Balances

Net Interest Yield & Average Investments Portfolio Balances

(Weighted average balance in billions)

 

$69 $77 $73 $61 $44

$59 $60

$93 $83

$67

$58

$53

$108

$59

$162 $182 $177 $185

$174

$142

$179

1.03%

0.88% 0.84%

0.76%

0.68%

1.00%

0.76%

$324 $342 $317 $304

$271

$309 $298

Unsecuritized mortgage loans Mortgage-related securities

Other investments portfolio Net interest yield

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

n	 3Q 2021 vs. 3Q 2020 and YTD 2021 vs. YTD 2020

l Net interest yield on our investments portfolio decreased primarily due to changes in investment mix as the loweryielding other investments portfolio represented a larger percentage of the total investments portfolio. Net interest 

yield on our investments portfolio is calculated as net interest income related to our investments portfolio divided by 

the weighted average investments portfolio balance during the period. 

l The weighted average investments portfolio balance decreased primarily due to a decline in our mortgage-related 

investments portfolio driven by asset sales to comply with FHFA instructions to reduce our agency MBS portfolio to 

$50 billion by June 30, 2021 and to reduce our CMO portfolio to zero by June 30, 2021.

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

Freddie Mac 3Q 2021 Form 10-Q 28
Financial Results

The table below presents the components of net income and comprehensive income for our Single-family segment.

Table 15 - Single-Family Segment Financial Results

Change Change

(Dollars in millions) 3Q 2021 3Q 2020 $ % YTD 2021 YTD 2020 $ %

 Guarantee net interest income $3,800 $3,026 $774 26 % $11,480 $7,449 $4,031 54 %

 Investments net interest income 458 832 (374) (45) 1,707 2,309 (602) (26) 

 Income (expense) from hedge accounting (178) (690) 512 74 (1,339) (1,515) 176 12 

 Net interest income 4,080 3,168 912 29 11,848 8,243 3,605 44 

Guarantee income (20) 40 (60) (150) 79 82 (3) (4) 

Investment gains (losses), net (247) 82 (329) (401) 190 45 145 322 

Other income (loss) 148 129 19 15 408 270 138 51 

Net revenues 3,961 3,419 542 16 12,525 8,640 3,885 45 

Benefit (provision) for credit losses 244 (320) 564 176 1,076 (2,110) 3,186 151 

Credit enhancement expense (371) (260) (111) (43) (1,057) (715) (342) (48) 

Benefit for (decrease in) credit enhancement 

recoveries (59) 26 (85) (327) (494) 684 (1,178) (172) 

REO operations income (expense) 9 (40) 49 123 (6) (139) 133 96 

Credit-related income (expense) (177) (594) 417 70 (481) (2,280) 1,799 79 

Administrative expense (479) (513) 34 7 (1,470) (1,457) (13) (1) 

Temporary Payroll Tax Cut Continuation Act of 

2011 expense (602) (467) (135) (29) (1,706) (1,341) (365) (27) 

Other expense (170) (228) 58 25 (551) (457) (94) (21) 

Operating expense (1,251) (1,208) (43) (4) (3,727) (3,255) (472) (15) 

Income (loss) before income tax (expense) 

benefit 2,533 1,617 916 57 8,317 3,105 5,212 168 

Income tax (expense) benefit (505) (335) (170) (51) (1,696) (640) (1,056) (165) 

Net income (loss) 2,028 1,282 746 58 6,621 2,465 4,156 169 

Total other comprehensive income (loss), net of 

taxes and reclassification adjustments 18 (10) 28 280 (384) 478 (862) (180) 

Comprehensive income (loss) $2,046 $1,272 $774 61 % $6,237 $2,943 $3,294 112 %

Key Business Drivers: 

n	3Q 2021 vs. 3Q 2020 and YTD 2021 vs. YTD 2020

l Higher net interest income in the 2021 periods primarily due to the continued growth in the single-family mortgage 

portfolio and higher average guarantee fee rates on this portfolio. Net interest income in YTD 2021 also increased due 

to higher deferred fee income recognition.

l	 Lower credit-related expense in the 2021 periods primarily driven by a higher benefit for credit losses as a result of a 

credit reserve release due to realized house price appreciation and improving economic conditions, partially offset by 

higher credit enhancement expense. Credit-related expense in the 2020 periods was primarily driven by the negative 

economic effects of the COVID-19 pandemic.

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

Freddie Mac 3Q 2021 Form 10-Q 29
Multifamily 

Business Results

The graphs, tables, and related discussion below present the business results of our Multifamily segment.

New Business Activity and Guarantee Activity

New Business Activity(1)

 (In billions) 

$18

$35

$14 $13

$18

$48

$45

185

306

134 137

161

497

432

New business activity

Total number of units financed

(in thousands)

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

 (1) Includes LIHTC new business activity

 Guarantee Activity

 (In billions)

$21

$26

$21

$18

$15

$45

$54

51 51 49 54 5651 52

Guaranteed securities and other mortgagerelated guarantees

Average guarantee fee rate charged (in bps)

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

n	 As of September 30, 2021, the total multifamily new business activity subject to the FHFA 2021 loan purchase cap of $70 

billion was $44.7 billion. Approximately 62% of this activity, based on UPB, was mission-driven, affordable housing, with 

approximately 30% being affordable to renters at or below 60% of AMI, exceeding FHFA's minimum requirements.

n	 In October 2021, FHFA announced that the 2022 loan purchase cap for the multifamily business will be $78 billion, up from 

$70 billion in 2021. FHFA will continue to require at least 50% of the multifamily new business activity to be mission-driven, 

affordable housing. FHFA has changed certain definitions of mission-driven, affordable housing and, in 2022, such 

definitions will include loans on affordable units in cost-burdened renter markets and loans to finance energy and water 

efficiency improvements with units affordable to renters at or below 60% of AMI. In 2022, FHFA also will require at least 

25% of the multifamily new business activity to be affordable to renters at or below 60% of AMI, up from 20% in 2021.

n	 In September 2021, certain requirements that were added to the Purchase Agreement pursuant to the January 2021 Letter 

Agreement related to our multifamily loan purchase activity were suspended. For additional information, see MD&A - 

Regulation and Supervision - Legislative and Regulatory Developments - September 2021 Letter 

Agreement with Treasury.

n	 While broader economic activity and demographic trends have contributed to higher demand for multifamily mortgage 

financing, our new business activity was lower in YTD 2021 compared to YTD 2020 due to ongoing competition and a 

reduced FHFA loan purchase cap. We expect our full year 2021 new business activity to reach the $70 billion loan 

purchase cap. 

n	 Outstanding commitments, including index lock commitments and commitments to purchase or guarantee multifamily 

assets, were $25.3 billion and $23.3 billion as of September 30, 2021 and September 30, 2020, respectively, indicating a 

strong pipeline for the remainder of 2021.

n	 Guarantee activity UPB increased in YTD 2021 compared to YTD 2020 primarily due to the securitization of the significant 

loan purchase activity from 4Q 2020, along with the purchase of a higher volume of floating-rate loans during YTD 2021, 

which typically have shorter aggregation periods.

Management's Discussion and Analysis Our Business Segments | Multifamily

Freddie Mac 3Q 2021 Form 10-Q 30
Multifamily Mortgage Portfolio and Guarantee Portfolio

 Mortgage Portfolio

 (In billions) 

$366

$388 $394 $398 $404

4,450

4,598 4,613 4,627 4,624

UPB of mortgage portfolio

Total units financed (in thousands)

9/30/20 12/31/20 3/31/21 6/30/21 9/30/21

 

 Guarantee Portfolio

 (In billions) 

$296

$312

$326

$337 $341

38

39

41 41

42

UPB of guarantee portfolio

Average guarantee fee rate charged (bps)

9/30/20 12/31/20 3/31/21 6/30/21 9/30/21

n	 Our multifamily mortgage and guarantee portfolios increased as of September 30, 2021 compared to December 31, 2020 

primarily due to ongoing loan purchase and securitization activities. We expect continued growth in these portfolios during 

the remainder of 2021 as purchase and securitization activities should outpace loan payoffs.

n	 In addition to our multifamily mortgage portfolio, we own equity interests in LIHTC fund partnerships with carrying values 

totaling $1.5 billion and $1.4 billion as of September 30, 2021 and December 31, 2020, respectively. In September 2021, 

FHFA announced that Freddie Mac may invest up to $850 million annually in the LIHTC market, an increase from the 

previous limit of $500 million.

Management's Discussion and Analysis Our Business Segments | Multifamily

Freddie Mac 3Q 2021 Form 10-Q 31
CRT Activities

 UPB Covered by New CRT Issuance New CRT Issuance Maximum Coverage 

 (In billions) (In billions)

$24

$26 $26

$17

$18

$45

$61

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

 

$1.8 $2.0 $1.9

$1.3 $1.3

$4.0

$4.5

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

n	 As of September 30, 2021, we had cumulatively transferred a substantial amount of the expected and stressed credit risk 

on the multifamily guarantee portfolio primarily through subordination in our securitizations. In addition, nearly all of our 

securitization activities shifted substantially all of the interest rate and liquidity risk associated with the underlying collateral 

away from Freddie Mac to third-party investors.

n	 The UPB of mortgage loans covered by CRT transactions issued during YTD 2021 and the related maximum coverage 

increased as we securitized the significant loan purchase activity from 4Q 2020 and the first half of 2021.

We evaluate and update our risk transfer strategy as needed depending on our business strategy, market conditions, and 

regulatory requirements. 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.

Management's Discussion and Analysis Our Business Segments | Multifamily

Freddie Mac 3Q 2021 Form 10-Q 32
 Net Interest Yield and Average Investments Portfolio Balances

Net Interest Yield & Average Investments Portfolio Balances

(Weighted average balance in billions)

$31

$27

$31

$21 $18

$29

$23

$6

$6

$6

$6 $6

$7

$6

$1

$1

$1

$1 $1

$2

$1

2.61%

2.96% 2.94%

3.58%

4.37%

$38

$34

$38

$28

$25

$38

$30

2.74%

3.53%

$38

$30

Unsecuritized mortgage loans Mortgage-related securities

Other investments portfolio

(excludes LIHTC)

Net interest yield

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

n	 3Q 2021 vs. 3Q 2020 and YTD 2021 vs. YTD 2020 

l Net interest yield increased primarily due to a change in the composition of our investments portfolio as our interestonly securities, which are generally higher yielding investments, represented a larger percentage of our investments 

portfolio.

l The weighted average investments portfolio balance decreased as the average unsecuritized mortgage loans balance 

was lower due to an increase in securitization activity and shorter loan aggregation periods. 

Management's Discussion and Analysis Our Business Segments | Multifamily

Freddie Mac 3Q 2021 Form 10-Q 33
Mortgage Loans Gains (Losses), Net and Initial Pricing Margin on Commitments

 Mortgage Loans Gains (Losses), Net

 (In millions)

$1,042

$1,196

$990

$671

$631 $666

$309 $314

$458

$220 $172

$236

$58

$19

$191

$358

$445

$299

$252

39

28

18 15 16

29 26

23 22 18

$729

Initial pricing margin on commitments

Spread-related fair value changes

Other

10-year fixed-rate spread

(largest guaranteed security, in bps)

7-year ARM spread

(largest guaranteed security, in bps)

3Q20 4Q20 1Q21 2Q21 3Q21

Source of spread data in basis points: Independent dealers.

 Initial Pricing Margin on Commitments 

 (In millions)

$631 $666

$309 $314

$458

5.84%

5.07%

6.38%

5.43%

3.70%

Initial pricing margin on commitments

Initial pricing margin on commitments (in %)

3Q20 4Q20 1Q21 2Q21 3Q21

(Notional in millions) 3Q20 4Q20 1Q21 2Q21 3Q21

New loan commitments for $10,804 $13,127 $4,850 $5,778 $12,353

which we have elected

the fair value option

n	 We primarily recognize revenue from our mortgage loans as mortgage loans gains (losses), net, which is a component of 

investment gains (losses), net. The amount of mortgage loans gains (losses), net, shown above is net of gains and losses 

on derivative instruments we use to economically hedge the interest-rate risk of the loan commitments and mortgage 

loans.

n	 Mortgage loans gains (losses), net, consists of three components: (1) the initial pricing margin on new loan commitments 

for which we have elected the fair value option, (2) spread-related fair value changes during the commitment and loan 

holding periods for loan commitments and mortgage loans we measure at fair value, which are primarily driven by changes 

in benchmark spreads after the commitment date, and (3) other items, including realized gains on sales of mortgage loans 

for which we do not elect the fair value option.

n	 Mortgage loans gains, net, decreased during 3Q 2021 compared to 3Q 2020 due to less K Certificate spread tightening 

and lower initial pricing margin rates on new loan commitments, partially offset by higher gains on floating-rate loan 

securitizations. 

n	 While the initial pricing margin rates for new loan commitments decreased year-over-year, these rates remained strong 

relative to our long-term average rates. 

Management's Discussion and Analysis Our Business Segments | Multifamily

Freddie Mac 3Q 2021 Form 10-Q 34
Financial Results

The table below presents the components of net income and comprehensive income for our Multifamily segment. 

Table 16 - Multifamily Segment Financial Results 

Change Change

(Dollars in millions) 3Q 2021 3Q 2020 $ % YTD 2021 YTD 2020 $ %

Guarantee net interest income $66 $39 $27 69 % $178 $101 $77 76 %

Investments net interest income 272 250 22 9 798 774 24 3 

Net interest income 338 289 49 17 976 875 101 12 

Guarantee income 266 275 (9) (3) 771 1,079 (308) (29) 

Mortgage loans gains (losses), net 729 1,042 (313) (30) 2,390 1,213 1,177 97 

Other investment gains (losses), net (99) (2) (97) (4,850) (353) (301) (52) (17) 

Investment gains (losses), net 630 1,040 (410) (39) 2,037 912 1,125 123 

Other income (loss) 52 43 9 21 77 131 (54) (41) 

Net revenues 1,286 1,647 (361) (22) 3,861 2,997 864 29 

Credit-related income (expense) (17) (20) 3 15 54 (147) 201 137 

Operating expense (156) (137) (19) (14) (468) (395) (73) (18) 

Income (loss) before income tax (expense) 

benefit 1,113 1,490 (377) (25) 3,447 2,455 992 40 

Income tax (expense) benefit (222) (309) 87 28 (703) (507) (196) (39) 

Net income (loss) 891 1,181 (290) (25) 2,744 1,948 796 41 

Total other comprehensive income (loss), net 

of taxes and reclassification adjustments (28) (4) (24) (600) (83) 118 (201) (170) 

Comprehensive income (loss) $863 $1,177 ($314) (27) % $2,661 $2,066 $595 29 %

Key Business Drivers: 

n	 3Q 2021 vs. 3Q 2020

l Higher net interest income was primarily driven by the growth in our PC securitizations.

l Lower net investment gains primarily due to less K Certificate spread tightening and lower initial pricing margin rates 

on new loan commitments, partially offset by higher gains on floating-rate loan securitizations.

n	 YTD 2021 vs. YTD 2020

l Lower guarantee income as continued growth in our multifamily guarantee portfolio was more than offset by the 

impacts of interest-rate changes on the fair values of our guarantee assets. During YTD 2021, we recorded higher fair 

value losses due to increases in medium- and long-term interest rates compared to lower fair value losses during YTD 

2020 due to significant decreases in interest rates. 

l Higher net investment gains primarily due to higher gains on floating-rate loan securitizations and K Certificate spread 

tightening. YTD 2020 included spread-related losses as a result of the market volatility caused by the COVID-19 

pandemic.

l Benefit for credit losses compared to a provision for credit losses driven by improved actual and forecasted economic 

factors.

Management's Discussion and Analysis Our Business Segments | Multifamily

Freddie Mac 3Q 2021 Form 10-Q 35
RISK MANAGEMENT

Risk is an inherent part of our business activities. We are exposed to the following key types of risk: credit risk, operational risk, 

market risk, liquidity risk, strategic risk, and reputation risk.

Credit Risk

Overview

Credit risk is the risk associated with the inability or failure of a borrower, issuer, or counterparty to meet its financial and/or 

contractual obligations. We are exposed to both mortgage credit risk and counterparty credit risk. 

Mortgage credit risk is the risk associated with the inability or failure of a borrower to meet its financial and/or contractual 

obligations. We are exposed to two types of mortgage credit risk:

n	 Single-family mortgage credit risk, through our ownership or guarantee of loans in the single-family mortgage portfolio 

and

n	 Multifamily mortgage credit risk, through our ownership or guarantee of loans in the multifamily mortgage portfolio.

In the section below, we provide a discussion of the current risk environment for our mortgage credit risk.

Single-Family Mortgage Credit Risk

Maintaining Prudent Underwriting Standards and Quality Control Practices and 

Managing Seller/Servicer Performance 

Temporary Underwriting Changes Due to COVID-19 Pandemic

We announced temporary changes in our underwriting standards due to the COVID-19 pandemic, which may negatively affect 

the expected performance of purchased loans that were underwritten under these temporary changes. These temporary 

changes have either expired or, in certain cases, been made permanent.

The following temporary measures expired during 3Q 2021 and are not applicable to loan applications dated on or after August 

11, 2021:

n Requiring income and asset documentation to be dated closer to the loan closing date in order to verify the most up-todate information is being used to support the borrower's ability to repay and

n Establishing underwriting restrictions applicable to a borrower's accounts containing stocks, stock options, and mutual 

funds due to current market volatility.

For additional information on our temporary underwriting changes in response to COVID-19, see MD&A - Risk Management 

- Single-Family Mortgage Credit Risk - Maintaining Prudent Underwriting Standards and Quality Control 

Practices and Managing Seller/Servicer Performance - Temporary Underwriting Changes Due to COVID-19 

Pandemic in our 2020 Annual Report and our Form 10-Qs for 1Q 2021 and 2Q 2021.

Also, pursuant to FHFA guidance, we eliminated the 50-basis point adverse market refinance fee for loan deliveries effective 

August 1, 2021.

Appraisal Waivers

Automated Collateral Evaluation (ACE) waiver usage decreased from 45% of loan purchases during 3Q 2020 to 34% of loan 

purchases during 3Q 2021 as refinance volume decreased and we restricted eligibility for ACE waivers.

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 36
Loan Purchase Credit Characteristics

We monitor and evaluate market conditions that could affect the credit quality of our single-family loan purchases. The graphs 

below show the credit profile of the single-family loans we purchased or guaranteed.

Weighted Average Original LTV Ratio 

71% 70% 69% 71% 72% 72% 71%

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

 Weighted Average Original Credit Score(1)

761 761 759 754 750 758 754

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

(1) Weighted average original credit score is based on three credit bureaus 

(Equifax, Experian, and TransUnion). 

The table below contains additional information about the single-family loans we purchased or guaranteed. 

Table 17 - Single-Family New Business Activity 

3Q 2021 3Q 2020 YTD 2021 YTD 2020

(Dollars in billions) Amount % of Total Amount % of Total Amount % of Total Amount % of Total

30-year or more amortizing fixed-rate $245 82 % $264 79 % $762 80 % $560 79 %

20-year amortizing fixed-rate 12 4 18 5 47 5 35 5 

15-year amortizing fixed-rate 39 13 54 16 136 14 109 15 

Adjustable-rate 3 1 1 — 4 1 3 1 

Total $299 100 % $337 100 % $949 100 % $707 100 %

Percentage of purchases

DTI ratio > 45% 12 % 10 % 11 % 11 %

Original LTV ratio > 90% 14 11 11 12 

Original credit score < 680 8 4 6 4 

Transaction type:

Cash window 31 62 47 60 

Guarantor swap 69 38 53 40 

Property type:

Detached single-family houses and townhouses 93 93 93 93 

Condominium or co-op 7 7 7 7 

Occupancy type:

Primary residence 95 94 94 94 

Second home 3 3 3 3 

Investment property 2 3 3 3 

Loan purpose:

Purchase 44 30 34 30 

Cash-out refinance 26 16 23 18 

 Other refinance 30 54 43 52 

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 37
Transferring Credit Risk to Third-Party Investors 

To reduce our credit risk exposure, we engage in various credit enhancement arrangements, which include CRT transactions 

and other credit enhancements.

Single-Family Mortgage Portfolio CRT Issuance

The table below provides the UPB of the mortgage loans covered by CRT transactions issued during the periods presented as 

well as the maximum coverage provided by those transactions.

Table 18 - Single-Family Mortgage Portfolio CRT Issuance 

3Q 2021 3Q 2020

(In millions) UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2)

STACR $109,064 $2,257 $152,423 $3,900 

Insurance/reinsurance 113,135 2,093 138,633 1,566 

Subordination 773 85 4,030 770 

Lender risk-sharing 193 193 377 340 

Less: UPB with more than one type of CRT (56,551) — (127,414) (191) 

Total CRT Issuance $166,614 $4,628 $168,049 $6,385 

YTD 2021 YTD 2020

(In millions) UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2)

STACR $386,907 $7,301 $302,676 $8,185 

Insurance/reinsurance 410,645 6,374 271,830 2,796 

Subordination 3,810 299 5,895 947 

Lender risk-sharing 559 559 6,830 919 

Less: UPB with more than one type of CRT (216,386) — (277,667) (769) 

Total CRT Issuance $585,535 $14,533 $309,564 $12,078 

(1) Represents the UPB of the assets included in the associated reference pool or securitization trust, as applicable. Prior periods have been revised to conform to the 

current period presentation.

(2) For STACR transactions, represents the balance held by third parties at issuance. For insurance/reinsurance transactions, represents the aggregate limit of 

insurance purchased from third parties at issuance. For subordination, represents the UPB of the securities that are held by third parties at issuance and are 

subordinate to the securities we guarantee. For lender risk-sharing, represents the amount of loss recovery that is available subject to the terms of counterparty 

agreements at issuance.

Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding

The table below provides information on the UPB and maximum coverage associated with credit-enhanced loans in our singlefamily mortgage portfolio.

Table 19 - Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding 

September 30, 2021

(Dollars in millions) UPB(1) % of Portfolio

Maximum 

Coverage(2)

Primary mortgage insurance(3) $528,184 20% $130,218 

STACR 918,667 34 30,737 

Insurance/reinsurance 945,982 35 15,652 

Subordination 39,180 1 6,203 

Lender risk-sharing 4,815 — 4,377 

Other 165 — 162 

Less: UPB with multiple credit enhancements and other reconciling items(4) (1,092,277) (40) — 

Single-family mortgage portfolio - credit-enhanced 1,344,716 50 187,349 

Single-family mortgage portfolio - non-credit-enhanced 1,337,690 50 — 

Total $2,682,406 100% $187,349 

Referenced footnotes are included after the prior period table.

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 38
December 31, 2020

(Dollars in millions) UPB(1) % of Portfolio

Maximum 

Coverage(2)

Primary mortgage insurance(3) $472,881 20% $116,973 

STACR 853,733 37 29,665 

Insurance/reinsurance 876,815 38 11,586 

Subordination 44,170 2 6,182 

Lender risk-sharing 5,731 — 4,831 

Other 374 — 371 

Less: UPB with multiple credit enhancements and other reconciling items(4) (1,101,461) (47) — 

Single-family mortgage portfolio - credit-enhanced 1,152,243 50 169,608 

Single-family mortgage portfolio - non-credit-enhanced 1,174,183 50 N/A

Total $2,326,426 100% $169,608 

(1) Represents the current UPB of the assets included in the associated reference pool or securitization trust, as applicable. Prior periods have been revised to conform 

to the current period presentation.

(2) For STACR transactions, represents the outstanding balance held by third parties. For insurance/reinsurance transactions, represents the remaining aggregate limit 

of insurance purchased from third parties. For subordination, represents the outstanding UPB of the securities that are held by third parties and are subordinate to 

the securities we guarantee. For lender risk-sharing, represents the remaining amount of loss recovery that is available subject to the terms of counterparty 

agreements.

(3) Amounts exclude certain loans for which we do not control servicing, as the coverage information for these loans is not readily available to us.

(4) Other reconciling items primarily include timing differences in reporting cycles between the UPB of certain CRT transactions and the UPB of the underlying loans. 

Our maximum coverage as a percentage of the UPB associated with credit-enhanced loans decreased to 14% as of 

September 30, 2021 from 15% as of December 31, 2020. 

Credit Enhancement Coverage Characteristics

The table below provides the serious delinquency rates for the credit-enhanced and non-credit-enhanced loans in our singlefamily mortgage portfolio. The credit-enhanced categories are not mutually exclusive as a single loan may be covered by both 

primary mortgage insurance and other credit enhancements.

Table 20 - Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family 

Mortgage Portfolio

September 30, 2021 December 31, 2020

(% of portfolio based on loan UPB)(1) % of Portfolio SDQ Rate % of Portfolio SDQ Rate

Credit-enhanced

 Primary mortgage insurance 20 % 2.16 % 21 % 3.77 %

 CRT and other 44 1.65 41 3.22 

Non-credit-enhanced 50 1.20 50 2.13 

Total N/A 1.46 N/A 2.64 

(1) Excludes loans underlying certain securitization products for which loan-level data is not available.

The table below provides information on the amount of credit enhancement coverage by year of origination associated with 

loans in our single-family mortgage portfolio. 

Table 21 - Credit Enhancement Coverage by Year of Origination

September 30, 2021 December 31, 2020

(Dollars in millions) UPB

% of UPB with 

Credit 

Enhancement UPB

% of UPB with 

Credit 

Enhancement

Year of Loan Origination

 2021 $813,611 28 % N/A N/A

 2020 916,836 63 $971,092 36 %

 2019 177,485 72 276,302 73 

 2018 74,652 78 118,668 80 

 2017 98,656 72 147,856 75 

 2016 and prior 601,166 47 812,508 49 

Total $2,682,406 50 $2,326,426 50 

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 39
The following table provides information on the characteristics of the loans in our single-family mortgage portfolio without credit 

enhancement. 

Table 22 - Single-Family Mortgage Portfolio Without Credit Enhancement(1) 

September 30, 2021 December 31, 2020

(Dollars in millions) UPB % of Portfolio UPB % of Portfolio 

Low current LTV ratio(1)(2) $966,974 36 % $784,150 34 %

Short-term(1)(3) 65,464 2 81,681 3 

Pre-CRT program inception(1)(4) 4,445 — 11,327 — 

CRT pipeline(1)(5) 285,026 11 276,611 12 

Other(1)(6) 15,781 1 20,414 1 

Single-family mortgage portfolio - non-credit-enhanced $1,337,690 50 % $1,174,183 50 %

(1) Loans with multiple characteristics are assigned to categories in this table based on the following order: low current LTV ratio, short-term, pre-CRT program 

inception, and CRT pipeline. 

(2) Represents loans with a current LTV ratio less than or equal to 60%.

(3) Represents loans with an original maturity of 20 years or less. 

(4) Represents relief refinance loans and loans that were acquired before the inception of our CRT programs in 2013.

(5) Represents recently acquired loans that are targeted to be included in the on-the-run CRT transactions and have not yet been included in a reference pool. 

(6) Primarily includes government guaranteed loans, ARM loans, loans with a current LTV ratio greater than 97%, and loans that fail the delinquency requirements for 

CRT transactions.

Credit Enhancement Expenses and Recoveries

The recognition of expenses and expected recoveries associated with credit enhancements in our condensed consolidated 

financial statements depends on the type of credit enhancement. See Note 8 for additional information on our credit 

enhancements. The table below contains details on the costs, investment gains (losses), and recoveries associated with our 

single-family credit enhancements.

Table 23 - Details of Single-Family Credit Enhancement Costs, Investment Gains (Losses), and Recoveries 

(In millions) 3Q 2021 3Q 2020 YTD 2021 YTD 2020

Credit enhancement costs:

Credit enhancement expense ($371) ($260) ($1,057) ($715) 

Interest expense related to CRT debt (129) (165) (404) (579) 

 Less: estimated reinvestment income from proceeds of CRT debt issuance 12 9 37 68 

Single-family credit enhancement costs ($488) ($416) ($1,424) ($1,226) 

Credit enhancement investment gains (losses):

 CRT derivatives gains (losses) $1 $32 13 $132 

 CRT debt gains (losses) (50) (35) (14) 448 

Single-family credit enhancement investment gains (losses)(1) ($49) ($3) ($1) $580 

Single-family benefit for (decrease in) credit enhancement recoveries(1) ($59) $26 ($494) $684 

(1) Recoveries collected under freestanding credit enhancements and write-offs of CRT debt were less than $1 million during 3Q 2021, compared to $5 million during 

3Q 2020. Recoveries collected under freestanding credit enhancements and write-offs of CRT debt were $5 million during YTD 2021, compared to $13 million

during YTD 2020.

The table below presents the details of the credit enhancement recovery receivables we have recognized within other assets on 

our condensed consolidated balance sheet.

Table 24 - Single-Family Credit Enhancement Receivables 

(In millions) September 30, 2021 December 31, 2020

Freestanding credit enhancement expected recovery receivables, net of allowance $150 $653 

Primary mortgage insurance receivables(1), net of allowance 71 74 

Total credit enhancement receivables $221 $727 

(1) Excludes $433 million and $444 million of deferred payment obligations associated with unpaid claim amounts as of September 30, 2021 and December 31, 2020, 

respectively. We have reserved for substantially all of these unpaid amounts as collectability is uncertain.

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 40
Monitoring Loan Performance and Characteristics 

We review loan performance, including delinquency statistics and related loan characteristics, in conjunction with housing 

market and economic conditions, including the economic effects associated with the COVID-19 pandemic, to assess credit risk 

when estimating our allowance for credit losses and to determine if our pricing and eligibility standards reflect the risk 

associated with the loans we purchase and guarantee. 

Loan Characteristics 

The table below contains details of the characteristics of the loans in our single-family mortgage portfolio.

Table 25 - Credit Quality Characteristics of Our Single-Family Mortgage Portfolio 

September 30, 2021

(Dollars in billions) UPB

Original 

Credit

Score (1)

Current 

Credit

Score(1)(2)

Original

LTV Ratio

Current

LTV

Ratio

Current

LTV Ratio

>100% Alt-A %

Single-family mortgage portfolio year of origination:

 2021 $814 754 752 71 % 66 % — % — %

 2020 917 760 766 71 58 — — 

 2019 177 746 751 76 57 — — 

 2018 75 736 736 76 53 — — 

 2017 99 741 746 75 47 — — 

 2016 and prior 600 737 751 75 37 — 3 

Total $2,682 751 756 72 55 — 1 

December 31, 2020

(Dollars in billions) UPB

Original 

Credit

Score (1)

Current 

Credit

Score(1)(2)

Original

LTV Ratio

Current

LTV

Ratio

Current

LTV Ratio

>100% Alt-A %

Single-family mortgage portfolio year of origination:

 2020 $971 760 758 71 % 68 % — % — %

 2019 276 747 754 77 67 — — 

 2018 119 739 739 77 62 — — 

 2017 148 742 747 75 56 — — 

 2016 187 748 758 73 49 — — 

 2015 and prior 625 737 750 75 41 — 3 

Total $2,326 749 754 74 58 — 1 

(1) Original credit score is based on three credit bureaus (Equifax, Experian, and TransUnion). Current credit score is based on Experian only. 

(2) Credit scores for certain recently acquired loans may not have been updated by the credit bureau since the loan acquisition and therefore the original credit scores 

also represented the current credit scores.

Higher Risk Loan Attributes and Attribute Combinations

Certain combinations of loan attributes can indicate a higher degree of credit risk, such as loans with both higher LTV ratios 

and lower credit scores. The following table presents the combination of credit score and CLTV ratio attributes of loans in our 

single-family mortgage portfolio. 

Table 26 - Single-Family Mortgage Portfolio Attribute Combinations 

September 30, 2021

CLTV ≤ 60 CLTV > 60 to 80 CLTV > 80 to 90 CLTV > 90 to 100 CLTV > 100 All Loans

(Original credit 

score)

% of 

Portfolio SDQ Rate

% of 

Portfolio

SDQ 

Rate(1)

% of 

Portfolio

SDQ 

Rate(1)

% of 

Portfolio

SDQ 

Rate(1)

% of 

Portfolio

SDQ 

Rate(1)

% of 

Portfolio SDQ Rate

% 

Modified(2)

< 620 0.8 % 7.40 % 0.2 % 12.84 % — % NM — % NM — % NM 1.0 % 8.36 % 9.0 %

620 to 679 4.5 4.06 2.1 4.02 0.3 3.37% 0.1 3.90% — NM 7.0 4.04 4.1 

≥ 680 52.3 1.08 32.7 1.04 5.1 0.64 1.8 0.29 — NM 91.9 1.04 0.6 

Not 

available 0.1 7.34 — NM — NM — NM — NM 0.1 7.71 18.1 

Total 57.7 % 1.53 35.0 % 1.36 5.4 % 0.94 1.9 % 0.66 — % NM 100.0 % 1.46 1.1

Referenced footnotes are included after the prior period table.

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 41
December 31, 2020

CLTV ≤ 60 CLTV > 60 to 80 CLTV > 80 to 90 CLTV > 90 to 100 CLTV > 100 All Loans

(Original credit 

score)

% of 

Portfolio SDQ Rate

% of 

Portfolio

SDQ 

Rate(1)

% of 

Portfolio

SDQ 

Rate(1)

% of 

Portfolio

SDQ 

Rate(1)

% of 

Portfolio

SDQ 

Rate(1)

% of 

Portfolio SDQ Rate

% 

Modified(2)

< 620 0.9 % 9.27 % 0.3 % 14.96 % 0.1 % 18.74 % — % NM — % NM 1.3 % 11.00 % 10.2 %

620 to 679 4.2 5.93 2.5 7.93 0.5 8.17 0.1 7.92% — NM 7.3 6.64 7.1 

≥ 680 45.4 1.83 34.5 2.31 8.9 2.37 2.4 0.96 0.1 12.56% 91.3 2.00 0.6 

Not 

available 0.1 7.96 — NM — NM — NM — NM 0.1 8.79 16.9 

Total 50.6 % 2.46 37.3 % 2.94 9.5 % 2.90 2.5 % 1.69 0.1 % 18.11 100.0 % 2.64 1.4

(1) NM - not meaningful due to the percentage of the portfolio rounding to zero.

(2) Primarily includes loans modified through the Freddie Mac Flex Modification program.

In September 2021, the Purchase Agreement limit on our acquisitions of single-family loans with certain LTV, DTI, and credit 

score characteristics at origination was suspended. For additional information, see MD&A - Regulation and Supervision - 

Legislative and Regulatory Developments - September 2021 Letter Agreement with Treasury.

Alt-A and Subprime Loans

While we have referred to certain loans as subprime or Alt-A for purposes of the discussion below and elsewhere in this Form 

10-Q, there is no universally accepted definition of subprime or Alt-A, and the classification of such loans may differ from 

company to company. We do not rely on these loan classifications to evaluate the credit risk exposure relating to such loans in 

our single-family mortgage portfolio.

Participants in the mortgage market have characterized single-family loans based upon their overall credit quality at the time of 

origination, including as prime or subprime. While we have not historically characterized the loans in our single-family mortgage 

portfolio as either prime or subprime, we monitor the amount of loans we have guaranteed with characteristics that indicate a 

higher degree of credit risk. In addition, we estimate that approximately $0.6 billion and $0.7 billion of security collateral 

underlying our other securitization products at September 30, 2021 and December 31, 2020, respectively, were identified as 

subprime based on information provided to us when we entered into these transactions.

Mortgage market participants have classified single-family loans as Alt-A if these loans have credit characteristics that range 

between their prime and subprime categories, if they are underwritten with lower or alternative income or asset documentation 

requirements compared to a full documentation loan, or both. Although we have discontinued new purchases of loans with 

lower documentation standards, we continue to purchase certain amounts of such loans in cases where the loan was either 

purchased pursuant to a previously issued guarantee, part of our relief refinance initiative or part of another refinance loan 

initiative and the pre-existing loan was originated under less than full documentation standards. In the event we purchase a 

refinance loan and the original loan had been previously identified as Alt-A, such refinance loan may no longer be categorized 

or reported as an Alt-A loan in this Form 10-Q and our other financial reports because the new refinance loan replacing the 

original loan would not be identified by the seller or servicer as an Alt-A loan. As a result, our reported Alt-A balances may be 

lower than would otherwise be the case had such refinancing not occurred. From the time the relief refinance initiative began in 

2009 to September 30, 2021, we have purchased approximately $36.4 billion of relief refinance loans that were previously 

categorized as Alt-A loans in our portfolio.

The table below contains information on Alt-A loans in our single-family mortgage portfolio.

Table 27 - Alt-A Loans in Our Single-Family Mortgage Portfolio 

September 30, 2021 December 31, 2020

(Dollars in billions) UPB CLTV % Modified(1) SDQ Rate UPB CLTV % Modified(1) SDQ Rate

Alt-A $16.1 48 % 13.4 % 7.93 % $18.4 55 % 14.7 % 10.66 %

(1) Primarily includes loans modified through the Freddie Mac Flex Modification program.

The UPB of Alt-A loans in our single-family mortgage portfolio is continuing to decline due to borrowers refinancing into other 

mortgage products, foreclosure sales, and other liquidation events.

Geographic Concentrations

We purchase mortgage loans from across the U.S. However, local economic conditions can affect the borrower's ability to 

repay and the value of the underlying collateral, leading to concentrations of credit risk in certain geographic areas. In addition, 

certain states and municipalities may pass laws that limit our ability to foreclose or evict and make it more difficult and costly to 

manage our risk.

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 42
The table below summarizes the concentration by geographic area of our single-family mortgage portfolio. While our portfolio is 

diversified geographically, the economic effects of the COVID-19 pandemic may be disproportionately concentrated in certain 

geographic regions or areas. See Note 16 for more information about credit risk associated with loans that we hold or 

guarantee. 

Table 28 - Concentration of Credit Risk of Our Single-Family Mortgage Portfolio 

September 30, 2021 December 31, 2020 YTD 2021(1) YTD 2020(1)

(Dollars in billions)

Portfolio 

UPB(2)

% of

Portfolio SDQ Rate

Portfolio 

UPB(2)

% of

Portfolio SDQ Rate

Credit 

Losses 

Amount

% of 

Credit 

Losses(3)

Credit 

Losses 

Amount

% of 

Credit 

Losses

Region:(4)

West $831 31 % 1.24 % $720 31 % 2.41 % $— NM $— 5 %

Northeast 636 24 1.82 549 24 3.16 — NM 0.1 40 

North Central 401 15 1.23 357 15 2.06 — NM 0.1 27 

Southeast 436 16 1.57 375 16 2.95 — NM 0.1 18 

Southwest 378 14 1.41 325 14 2.59 — NM — 10 

Total $2,682 100 % 1.46 $2,326 100 % 2.64 $— NM $0.3 100 %

State:

California $486 18 % 1.36 $424 18 % 2.64 $— NM $— 4 %

Texas 167 6 1.62 145 6 3.11 — NM — 3 

Florida 159 6 1.83 135 6 3.70 — NM — 10 

New York 116 4 2.75 103 4 4.56 — NM — 12 

Illinois 106 4 1.88 96 4 2.96 — NM 0.1 14 

All other 1,648 62 1.31 1,423 62 2.34 — NM 0.2 57 

Total $2,682 100 % 1.46 $2,326 100 % 2.64 $— NM $0.3 100 %

(1) Excludes credit losses related to charge-offs of accrued interest receivables.

(2) Excludes $458 million and $505 million in UPB of loans underlying certain securitization products for which data was not available as of September 30, 2021 and 

December 31, 2020, respectively. 

(3) NM - not meaningful due to the credit losses amount rounding to zero.

(4) Region designation: West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA); Northeast (CT, DE, DC, MA, ME, MD, NH, NJ, NY, PA, RI, VT, VA, WV); North Central (IL, IN, IA, 

MI, MN, ND, OH, SD, WI); Southeast (AL, FL, GA, KY, MS, NC, PR, SC, TN, VI); Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY).

Loans in COVID-19 Related Forbearance Plans 

The table below contains details on the characteristics of our single-family loans in forbearance that are past due based on the 

loan's original contractual terms. 

Table 29 - Credit Quality Characteristics of Our Single-Family Loans in Forbearance That Are Past Due(1) 

September 30, 2021 December 31, 2020

(Dollars in billions) UPB % of Total UPB % of Total 

Current LTV ratio(2):

≤ 60 $17.2 62 % $29.4 49 %

> 60 to 80 9.4 34 23.7 39 

> 80 to 100 1.1 4 6.9 11 

> 100 0.1 — 0.3 1 

Total $27.8 100 % $60.3 100 %

(1) Excludes certain loans for which we do not control servicing and loans underlying certain legacy transactions, as the forbearance information for these loans is 

either not reported to us by the servicers or is otherwise not readily available to us. These loans represented approximately 1.7% and 2.0% of the single-family 

mortgage portfolio as of September 30, 2021 and December 31, 2020, respectively. 

(2) The weighted average current LTV ratio for our single-family loans in forbearance that were past due based on the loan's original contractual terms was 54% and 

59% as of September 30, 2021 and December 31, 2020, respectively.

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 43
The table below presents payment status information of our single-family loans in forbearance based on the loans' original 

contractual terms.

Table 30 - Single-Family Loans in Forbearance Plans by Payment Status(1) 

September 30, 2021

(Dollars in millions) Current

One Month 

Past Due

Two

Months

Past Due

Three 

Months to Six 

Months Past Due(2)

Greater Than Six 

Months Past Due(2) Total

UPB $3,856 $2,082 $1,576 $4,681 $19,456 $31,651 

Number of loans (in thousands) 19 10 8 22 89 148

As a percentage of our single-family 

mortgage portfolio(3) 0.15 % 0.08 % 0.06 % 0.17 % 0.69 % 1.15 %

December 31, 2020

(Dollars in millions) Current

One Month 

Past Due

Two

Months

Past Due

Three 

Months to Six 

Months Past Due(2)

Greater Than Six 

Months Past Due(2) Total

UPB $8,907 $5,443 $4,372 $15,366 $35,144 $69,232 

Number of loans (in thousands) 44 28 22 75 155 324

As a percentage of our single-family 

mortgage portfolio(3) 0.37 % 0.23 % 0.18 % 0.63 % 1.29 % 2.70 %

(1) Excludes certain loans for which we do not control servicing and loans underlying certain legacy transactions, as the forbearance information for these loans is 

either not reported to us by the servicers or is otherwise not readily available to us. These loans represented approximately 1.7% and 2.0% of the single-family 

mortgage portfolio as of September 30, 2021 and December 31, 2020, respectively. 

(2) The UPB of loans in forbearance that were three months or more past due and accruing was $12.3 billion and $42.2 billion as of September 30, 2021 and 

December 31, 2020, respectively. 

(3) Based on loan count.

We generally place single-family loans on non-accrual status when the loan becomes three monthly payments past due. For 

loans in active forbearance plans that were current prior to receiving forbearance, we continue to accrue interest income while 

the loan is in forbearance and is three or more monthly payments past due when we believe the available evidence indicates 

that collectability of principal and interest is reasonably assured based on management judgment, taking into consideration 

additional factors, the most important of which is the current LTV ratio. We ceased accruing interest income on certain loans 

that were more than nine months past due and in forbearance based on this analysis starting in 1Q 2021. When we accrue 

interest on loans that are three or more monthly payments past due, we measure an allowance for expected credit losses on 

unpaid accrued interest receivable balances such that the balance sheet reflects the net amount of interest we expect to 

collect. 

The table below provides the amount of accrued interest receivable, net of the allowance for credit losses, related to our singlefamily loans in forbearance. 

Table 31 - Accrued Interest Receivable Related to Single-Family Loans in Forbearance(1) 

(In millions) September 30, 2021 December 31, 2020

Accrued interest receivable:

Less than three months past due $20 $74 

Three months to six months past due 56 235 

Greater than six months past due(2) 503 911 

Accrued interest receivable, gross 579 1,220 

Allowance for credit losses (156) (138) 

Accrued interest receivable, net $423 $1,082 

(1) Excludes certain loans for which we do not control servicing and loans underlying certain legacy transactions, as the forbearance information for these loans is 

either not reported to us by the servicers or is otherwise not readily available to us. These loans represented approximately 1.7% and 2.0% of the single-family 

mortgage portfolio as of September 30, 2021 and December 31, 2020, respectively. 

(2) 98% and 90% of the accrued interest receivable greater than six months past due is related to loans with current LTV ratios that are less than or equal to 80% as of 

September 30, 2021 and December 31, 2020, respectively. 

Prior to expiration of a borrower's forbearance plan, servicers are required to contact the borrower to determine how the 

payments missed during the forbearance period will be repaid. We require servicers to follow a defined loss mitigation hierarchy 

to determine which options to offer to borrowers. This hierarchy is based on certain factors, such as the borrowers' delinquency 

status, reasons for delinquency, loan types, and types of hardships. Borrowers are not required to repay all past due amounts 

in a single lump sum. Upon expiration of the forbearance plan, borrowers may reinstate the loan or enter into either a 

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 44
repayment plan, a payment deferral, or a trial period plan related to a loan modification. If the borrower is not eligible for any of 

the home retention options, we may seek to pursue a foreclosure alternative or foreclosure. As a result of loans exiting 

COVID-19 related forbearance plans through payment deferrals or loan modifications during 3Q 2021 and YTD 2021, we 

deferred $0.4 billion and $1.0 billion, respectively, of delinquent interest into non-interest-bearing principal balances that are 

due at the earlier of the payoff date, maturity date, or sale of the property. 

The table below presents a summary of single-family loans that received forbearance and were past due based on the loans' 

original contractual terms at some point during the forbearance period. 

Table 32 - Single-Family Loans That Received Forbearance(1)

(Loan count in thousands) September 30, 2021 December 31, 2020

Active forbearance at end of period 129 280

Forbearance plan exits(2) (from January 1, 2020 to end of period)

 Reinstatement(3) 252 189

Pay-off 62 39

 Payment deferral 326 166

 Other(4) 64 43

Total forbearance plan exits(5) 704 437

Total single-family loans that received forbearance(6) (from January 1, 2020 to end of period) 833 717

(1) Excludes certain loans for which we do not control servicing and loans underlying certain legacy transactions, as the forbearance information for these loans is either 

not reported to us by the servicers or is otherwise not readily available to us. These loans represented approximately 1.7% and 2.0% of the single-family mortgage 

portfolio as of September 30, 2021 and December 31, 2020, respectively. 

(2) Represents the exit path the borrower took upon exit from the forbearance plan, which could be during or at the end of the forbearance period.

(3) Includes forbearance plans where the borrower brought the mortgage current during forbearance. 

(4) Primarily includes forbearance plans where the borrowers remained delinquent and the exit paths were not determined at the end of the forbearance periods. Also 

includes other exit paths such as repayment plans, modifications, and foreclosure alternatives.

(5) 87% and 83% of loans that received and subsequently exited forbearance were current, paid off, or sold as of September 30, 2021 and December 31, 2020, 

respectively. 

(6) Based on number of forbearance plans. A loan may have received more than one forbearance plan during the period.

Allowance for Credit Losses

The table below summarizes our single-family allowance for credit losses activity. 

Table 33 - Single-Family Allowance for Credit Losses Activity 

 (Dollars in millions) 3Q 2021 3Q 2020 YTD 2021 YTD 2020

Beginning balance $5,513 $6,916 $6,353 $5,233 

Provision (benefit) for credit losses (244) 320 (1,076) 2,110 

Charge-offs (288) (122) (729) (407) 

Recoveries collected 43 41 150 165 

Other 268 39 594 93 

Ending balance $5,292 $7,194 $5,292 $7,194 

Components of ending balance of allowance for credit losses:

Mortgage loans held-for-investment $4,490 $6,647 

Advances of pre-foreclosure costs 592 383 

Accrued interest receivable on mortgage loans 157 107 

Off-balance-sheet credit exposures 53 57 

Total $5,292 $7,194 

As a percentage of our single-family mortgage portfolio 0.20 % 0.33 %

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 45
Credit Losses and Recoveries

The table below contains certain credit performance metrics for our single-family mortgage portfolio. Credit losses increased 

year-over-year as charge-offs of accrued interest receivable increased. Other credit losses were insignificant in the 2021 

periods as a result of the foreclosure moratorium that remained in effect through July 31, 2021. After July 31, 2021, servicers 

implemented foreclosure regulations issued by the CFPB on June 28, 2021. It is likely that we will incur additional costs in 

future periods, such as higher property preservation and maintenance expenses, due to the foreclosure moratorium and the 

foreclosure regulations newly issued by the CFPB as borrowers may remain delinquent for an extended period of time. 

Table 34 - Single-Family Mortgage Portfolio Credit Performance Metrics 

(Dollars in millions) 3Q 2021 3Q 2020 YTD 2021 YTD 2020

Charge-offs $288 $122 $729 $407 

Recoveries collected(1) (43) (41) (150) (165) 

Charge-offs, net 245 81 579 242 

REO operations expense (income) (9) 40 6 139 

Total credit losses $236 $121 $585 $381 

Total credit losses (in bps) 3.5 2.3 3.0 2.9 

(1) Includes cash, REO, or other assets such as receivables from primary mortgage insurance.

TDRs and Non-Accrual Loan Activity

Single-family loans that have been modified or placed on non-accrual status generally have a higher associated allowance for 

credit losses. 

The table below presents information about the UPB of single-family TDR loans and non-accrual loans on our condensed 

consolidated balance sheets.

Table 35 - Single-Family TDR and Non-Accrual Loans 

September 30, 2021 December 31, 2020

(Dollars in millions) 

Mortgage Loans 

Held-forInvestment

Mortgage 

Loans Heldfor-Sale Total

Mortgage Loans 

Held-forInvestment

Mortgage 

Loans Heldfor-Sale Total

UPB:

 TDRs on accrual status $24,861 $2,779 $27,640 $28,547 $4,293 $32,840 

 Non-accrual loans 18,985 3,840 22,825 13,679 5,020 18,699 

Total TDRs and non-accrual loans $43,846 $6,619 $50,465 $42,226 $9,313 $51,539 

Non-accrual loans as a percentage of total 

loans outstanding(1) 0.85 % 0.80 %

Allowance for credit losses as a percentage 

of non-accrual loans(2) 23.19 33.98 

(1) Represents the total UPB of single-family non-accrual loans as a percentage of the total UPB of the single-family mortgage portfolio as of period end. 

(2) Represents the total allowance for credit losses as a percentage of the total UPB of single-family non-accrual loans as of period end.

The table below presents information about the foregone interest income of single-family TDR loans and non-accrual loans. 

Table 36 - Foregone Interest Income on Single-Family TDRs and Non-Accrual Loans

3Q 2021(1) 3Q 2020(1)

(In millions)

Mortgage Loans 

Held-forInvestment

Mortgage 

Loans Heldfor-Sale Total

Mortgage Loans 

Held-forInvestment

Mortgage 

Loans Heldfor-Sale Total

Interest on TDRs and non-accrual loans:

 At original contractual rates $540 $98 $638 $549 $157 $706 

 Recognized (296) (39) (335) (343) (68) (411) 

Foregone interest income on TDRs and 

non-accrual loans(2) $244 $59 $303 $206 $89 $295 

Referenced footnotes are included after the next table.

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 46
YTD 2021(1) YTD 2020(1)

(In millions)

Mortgage Loans 

Held-forInvestment

Mortgage 

Loans Heldfor-Sale Total

Mortgage Loans 

Held-forInvestment

Mortgage 

Loans Heldfor-Sale Total

Interest on TDRs and non-accrual loans:

At original contractual rates $1,641 $275 $1,916 $1,471 $471 $1,942 

Recognized (965) (107) (1,072) (1,001) (236) (1,237) 

Foregone interest income on TDRs and 

non-accrual loans(2) $676 $168 $844 $470 $235 $705 

(1) Represents interest income at the original contractual rates, interest income recognized, and foregone interest income based on TDRs and non-accrual loans at the 

end of each period. 

(2) Represents the amount of interest income that we did not recognize but would have recognized during the period for the loans outstanding at the end of each period 

had the loans performed according to their original contractual terms. 

The table below summarizes the UPB of single-family held-for-investment TDR loan activity.

Table 37 - Single-Family TDR Loan Activity

September 30, 2021 September 30, 2020

(Dollars in millions) Loan Count Amount Loan Count Amount

Beginning balance, as of January 1 229,277 $32,676 249,182 $35,623 

New additions(1) 12,462 2,059 21,176 3,654 

Repayments and reclassifications to held-for-sale (33,989) (5,645) (32,480) (5,172) 

Foreclosure sales and foreclosure alternatives (1,723) (322) (1,446) (226) 

Ending balance, as of September 30 206,027 $28,768 236,432 $33,879 

(1) Includes certain bankruptcy events and forbearance plans, repayment plans, payment deferrals, and modification activities that do not qualify for the temporary relief 

related to TDRs provided by the CARES Act, based on servicer reporting at the time of the TDR event.

Delinquency Rates 

We report single-family delinquency rates based on the number of loans in our single-family mortgage portfolio that are past 

due as reported to us by our servicers as a percentage of the total number of loans in our single-family mortgage portfolio. 

The chart below shows the delinquency rates of mortgage loans in our single-family mortgage portfolio.

Single-Family Delinquency Rates

1.08% 1.01%

0.73% 0.73% 0.76%

0.50% 0.38% 0.27% 0.21% 0.20%

3.04%

2.64%

2.34%

1.86%

1.46%

One month past due Two months past due Seriously delinquent

09/30/20 12/31/20 03/31/21 06/30/21 09/30/21

The percentages of loans that were one month past due and two months past due increased in early 2020 due to the COVID-19 

pandemic but have trended back toward pre-pandemic levels as the impact of the pandemic on early-stage delinquencies has 

started to stabilize. The percentage of loans one month past due can be volatile due to seasonality and other factors that may 

not be indicative of default. As a result, the percentage of loans two months past due tends to be a better early performance 

indicator than the percentage of loans one month past due. 

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 47
Our single-family serious delinquency rate decreased to 1.46% as of September 30, 2021, compared to 3.04% as of 

September 30, 2020, driven by an increase in the number of borrowers exiting forbearance and completing loan workout 

solutions that returned their mortgages to current status. In addition, 54% of the seriously delinquent loans at September 30, 

2021 were covered by credit enhancements that may partially reduce our credit risk exposure to these loans. See Note 4 for 

additional information on the payment status of our single-family mortgage loans.

Engaging in Loss Mitigation Activities

We offer a variety of borrower assistance programs, including loan workout activities for struggling borrowers. Our loan 

workouts include both home retention options and foreclosure alternatives. We also engage in transfers of servicing for, and 

sales of, certain seriously delinquent and reperforming loans. 

Loan Workout Activities

Pursuant to FHFA guidance and the CARES Act, we have offered mortgage payment relief options to borrowers affected by the 

COVID-19 pandemic. Among other things, we have offered forbearance of up to 18 months to single-family borrowers 

experiencing a financial hardship and a payment deferral option that allows a borrower to defer up to 18 months of payments 

for eligible homeowners who have the financial capacity to resume making their monthly payments, but who are unable to 

afford the additional monthly contributions required by a repayment plan. The types of loss mitigation options available to 

borrowers impacted by the COVID-19 pandemic may be revised by further FHFA guidance or federal government regulation. 

The volume of our foreclosure alternatives remained insignificant in recent periods. The volume of foreclosures in YTD 2021 

declined year-over-year, primarily due to the foreclosure moratorium that remained in effect through July 31, 2021. After July 

31, 2021, servicers implemented foreclosure regulations issued by the CFPB on June 28, 2021.

The following graphs provide details about our single-family loan workout activities and foreclosure sales. In prior periods, 

payment deferrals were included in the loan modification category, as such amounts were not significant. Prior periods have 

been revised to conform to the current period presentation. 

Home Retention Actions(1)

(In thousands)

94

52

38

27 21

176

86

2 3 2 1

6 3

94

74

50 55

45

95

150

4 4 4 5 7

15 16

194

133

94 88 73

292

255

Forbearance plans

Repayment plans

Payment deferrals

Loan modifications

Total

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

(1) Forbearance plans in this graph only include those where borrowers fully 

reinstated the loan to current status during or at the end of the 

forbearance period.

Foreclosure Alternatives and Foreclosure Sales

(In thousands)

0.3 0.3 0.2 0.2 0.2

1.0

0.6 0.6

0.7 0.6 0.7

0.8

3.5

2.1

Foreclosure alternatives

Foreclosure sales

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 48
Sales and Securitization of Certain Seasoned Loans

We pursue sales of certain seriously delinquent loans when we believe the sale of these loans provides better economic returns 

than continuing to hold them. The FHFA requirements guiding these transactions include bidder qualifications, loan 

modifications, and performance reporting. In addition, in February 2021, in response to the COVID-19 pandemic, FHFA required 

that future transactions include requirements that the loans (i) be serviced in a manner that is consistent with any requirements 

that would apply under Section 4022 of the CARES Act as if the loans were still owned or securitized by Freddie Mac and (ii) 

adhere to any existing and future foreclosure or eviction moratoria related to the COVID-19 pandemic that have been imposed 

by FHFA or by federal legislation applicable to single-family loans that are owned or securitized by Freddie Mac. 

Certain seriously delinquent loans may reperform, either on their own or through modification. In addition to sales of seriously 

delinquent loans, we securitize certain reperforming loans, which typically involves securitization of the loans using our senior 

subordinate securitization structures or Level 1 Securitization Products, depending on market conditions, business strategy, 

credit risk considerations, and operational efficiency. As with sales of seriously delinquent loans, FHFA required that future 

securitizations of such reperforming loans include requirements regarding compliance with Section 4022 of the CARES Act 

(which is applicable for loans purchased or securitized by Freddie Mac) and that the servicers adhere to any existing and future 

foreclosure or eviction moratoria related to the COVID-19 pandemic that have been imposed by FHFA or by federal legislation 

applicable to single-family loans that are owned or securitized by Freddie Mac. Of the $7.1 billion in UPB of single-family loans 

classified as held-for-sale at September 30, 2021, $3.7 billion related to loans that were seriously delinquent.

The table below presents the UPB of our single-family sales and securitization of seasoned loans. 

Table 38 - Single-Family Sales and Securitization of Seasoned Loans 

(In millions) 3Q 2021 3Q 2020 YTD 2021 YTD 2020

Seriously delinquent loans $156 $— $156 $296 

Reperforming loans 773 4,329 4,197 6,194 

Total $929 $4,329 $4,353 $6,490 

Managing Foreclosure and REO Activities 

Pursuant to FHFA guidance and the CARES Act, we were required to suspend COVID-19-related foreclosures, other than for 

vacant or abandoned properties, until July 31, 2021, and COVID-19-related REO evictions until September 30, 2021. As a result 

of these suspensions, our REO ending inventory declined year-over-year. After July 31, 2021, servicers implemented 

foreclosure regulations issued by the CFPB on June 28, 2021.

The table below shows our single-family REO activity.

Table 39 - Single-Family REO Activity 

3Q 2021 3Q 2020 YTD 2021 YTD 2020

(Dollars in millions)

Number of 

Properties Amount

Number of 

Properties Amount

Number of 

Properties Amount

Number of 

Properties Amount

Beginning balance — REO 1,477 $159 2,812 $330 1,766 $199 4,989 $565 

Additions 431 44 356 27 1,160 105 1,987 178 

Dispositions (461) (43) (1,126) (121) (1,479) (144) (4,934) (507) 

Ending balance — REO 1,447 160 2,042 236 1,447 160 2,042 236 

Beginning balance, valuation allowance (1) (8) (1) (10) 

Change in valuation allowance — 6 — 8 

Ending balance, valuation allowance (1) (2) (1) (2) 

Ending balance — REO, net $159 $234 $159 $234 

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 49
Multifamily Mortgage Credit Risk

Maintaining Prudent Underwriting Standards 

We use a prior approval underwriting approach for multifamily loans, completing our own underwriting and credit review for 

each new loan prior to purchase. This helps us maintain credit discipline throughout the process. Our underwriting standards 

focus on the LTV ratio and DSCR, which estimates a borrower's ability to repay the loan using the secured property's cash 

flows, after expenses. Our standards define maximum LTV ratios and minimum DSCRs that vary based on the characteristics 

and features of the loan. Changes in market conditions can affect the credit quality of our multifamily loan purchases and/or 

guarantees. Notwithstanding the effects of the COVID-19 pandemic on the multifamily market and broader economic 

environment, the credit quality of our multifamily loan purchases and guarantees remained consistent with prior periods.

The graphs below show the credit profile of the multifamily loans we purchased or guaranteed.

Weighted Average Original LTV Ratio 

66%

70% 69% 68% 67% 68% 68%

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

 Weighted Average Original DSCR

1.42 1.38 1.38 1.38 1.35 1.40 1.37

3Q20 4Q20 1Q21 2Q21 3Q21 YTD20 YTD21

Managing Our Portfolio, Including Loss Mitigation Activities

Loans in COVID-19 Related Forbearance Plans

Pursuant to FHFA guidance and the CARES Act, beginning in March 2020, we offered multifamily borrowers mortgage 

forbearance with the condition that they suspend all evictions during the forbearance period for renters unable to pay rent. 

Initially under our forbearance program, through December 31, 2020, multifamily borrowers with a fully performing loan as of 

February 1, 2020 were able to defer their loan payments for up to 90 days by showing hardship as a consequence of the 

COVID-19 pandemic and by gaining lender approval. After the forbearance period, the borrower was required to repay the 

forborne loan amounts in no more than 12 equal monthly installments.

In June 2020, in coordination with FHFA, we announced several supplemental forbearance relief options that servicers may use 

to assist borrowers who have a forbearance plan in place and continue to be materially affected by the COVID-19 pandemic. 

These supplemental relief options extend most of the original tenant protections and provide increased flexibility to tenants, 

including allowing the repayment of past due rent over time and not in a lump sum. The deadline for borrowers to request a 

new COVID-19 forbearance agreement or supplemental relief has been extended until otherwise instructed by FHFA. Beginning 

in January 2021, as a condition of obtaining forbearance relief, a borrower's loan may not have been more than 30 days past 

due during the loan term.

We report multifamily delinquency rates based on the UPB of loans in our multifamily mortgage portfolio that are two monthly 

payments or more past due based on the loan's current contractual terms or are in the process of foreclosure, as reported by 

our servicers. Loans in forbearance are not considered delinquent as long as the borrower is in compliance with the 

forbearance agreement, including the agreed upon repayment plan.

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 50
The following table summarizes the current quarter's activity of loans in our COVID-19 forbearance program, which includes 

both the forbearance period and the repayment period.

Table 40 - Multifamily Loans That Received Forbearance(1)

3Q 2021

(Dollars in millions) UPB Loan Count

Total multifamily loans in a forbearance program, beginning of period $5,099 747 

New loans entering forbearance program 326 23 

Active forbearance paydowns 6 — 

Total loans exiting forbearance program(2) 3,555 566 

Total multifamily loans in a forbearance program $1,864 204 

(1) Excludes loans granted forbearance outside of our COVID-19 forbearance program. These loans represented less than 0.1% of the multifamily mortgage portfolio as 

of September 30, 2021.

(2) Approximately 99% of loans exited our COVID-19 forbearance program through full repayment of the forborne amounts or loan payoff.

Of the loans in our COVID-19 forbearance program as of September 30, 2021, 67%, based on UPB, are in securitizations with 

first loss credit protection provided by subordination. The weighted average subordination level of securitizations with 

subordination that have loans in forbearance was 14%. 16% of the loans in our COVID-19 forbearance program are scheduled 

to mature prior to 2023. 

Since the inception of our COVID-19 forbearance program, 75% of loans, based on UPB, that received relief have exited 

forbearance through full repayment of the forborne amounts, while 19% remain active in either their forbearance or repayment 

periods. The remaining percentage exited our forbearance program through either delinquency or a third-party modification 

program.

Monitoring Loan Performance and Characteristics 

Allowance for Credit Losses

The following table summarizes the allowance for credit losses recorded on our multifamily mortgage loans held-for-investment 

and our off-balance sheet credit exposures. 

Table 41 - Multifamily Allowance for Credit Losses Activity

 (In millions) 3Q 2021 3Q 2020 YTD 2021 YTD 2020

Beginning balance $96 $216 $200 $68 

Provision (benefit) for credit losses 1 7 (103) 155 

Ending balance $97 $223 $97 $223 

Components of ending balance of allowance for credit losses:

Mortgage loans held-for-investment $41 $126 

Off-balance sheet credit exposures 56 97 

Total $97 $223 

Our multifamily credit losses remain low due to the property performance of the loans underlying our multifamily mortgage 

portfolio. See Note 7 for additional information regarding our multifamily credit losses and allowance for credit losses.

Transferring Credit Risk to Third-Party Investors 

To reduce our credit risk exposure, we engage in a variety of CRT activities; however, securitizations remain our principal risk 

transfer mechanism. Through securitizations, we have transferred a substantial amount of the expected and stressed credit risk 

on the multifamily guarantee portfolio, thereby reducing our overall credit risk exposure.

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 51
Multifamily Mortgage Portfolio CRT Issuance

The table below provides the UPB of the mortgage loans covered by CRT transactions issued during the periods presented as 

well as the maximum coverage provided by those transactions.

Table 42 - Multifamily Mortgage Portfolio CRT Issuance

3Q 2021 3Q 2020 YTD 2021 YTD 2020

(In millions) UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2)

Subordination $13,192 $938 $19,541 $1,571 $51,235 $3,908 $40,825 $3,760 

SCR 4,083 233 — — 8,935 509 — — 

Insurance/reinsurance — — 2,646 65 — — 2,646 65 

Lender risk-sharing 1,015 110 1,378 198 1,015 110 1,378 198 

Total CRT Issuance $18,290 $1,281 $23,565 $1,834 $61,185 $4,527 $44,849 $4,023 

(1) Represents the UPB of the assets included in the associated reference pool or securitization trust, as applicable.

(2) For subordination, represents the UPB of the securities that are held by third parties at issuance and are subordinate to the securities we guarantee. For SCR 

transactions, represents the UPB of securities held by third parties at issuance. For insurance/reinsurance transactions, represents the aggregate limit of insurance 

purchased from third parties at issuance. For lender risk-sharing, represents the amount of loss recovery that is available subject to the terms of counterparty 

agreements at issuance.

Multifamily Mortgage Portfolio Credit Enhancement Coverage Outstanding

While we obtain various forms of credit protection in connection with the acquisition, guarantee, or securitization of a loan or 

group of loans, our principal credit enhancement type is subordination, which is created through our securitization transactions. 

As of September 30, 2021 and December 31, 2020, our maximum coverage provided by subordination in nonconsolidated VIEs 

was $44.0 billion and $42.8 billion, respectively. See Note 8 for additional information on our credit enhancements. 

The table below presents the UPB, delinquency rates, and forbearance rates for both credit-enhanced and non-creditenhanced loans underlying our multifamily mortgage portfolio.

Table 43 - Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio

September 30, 2021 December 31, 2020

(Dollars in millions) UPB

Delinquency 

Rate

Forbearance 

Rate(1)(2) UPB

Delinquency 

Rate

Forbearance 

Rate(1)(2)

Credit-enhanced:

Subordination $355,710 0.12 % 0.35 % $328,897 0.18 % 1.99 %

Other 23,955 0.19 1.01 17,352 0.17 2.73 

Total credit-enhanced 379,665 0.13 0.39 346,249 0.18 2.03 

Non-credit-enhanced 24,802 0.04 1.52 42,098 0.02 1.83 

Total $404,467 0.12 0.46 $388,347 0.16 2.01 

(1) Excludes loans granted forbearance outside of our COVID-19 forbearance program. These loans represented less than 0.1% of the multifamily mortgage portfolio as 

of September 30, 2021 and December 31, 2020. 

(2) Forbearance rate includes loans in a forbearance program, including loans in their repayment period. 

The following table provides information on the level of subordination outstanding for our securitizations with subordination.

Table 44 - Level of Subordination Outstanding 

September 30, 2021 December 31, 2020

(Dollars in millions) UPB

Delinquency 

Rate

Forbearance 

Rate UPB

Delinquency 

Rate

Forbearance 

Rate

Less than 10% $97,876 — % 0.02 % $53,220 0.04 % 0.15 %

10% or greater 257,834 0.17 0.48 275,677 0.20 2.35 

Total $355,710 0.12 0.35 $328,897 0.18 1.99 

Weighted average subordination level 13% 13% 

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 52
The table below contains details on the loans underlying our multifamily mortgage portfolio that are not credit-enhanced.

Table 45 - Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement

September 30, 2021 December 31, 2020

(Dollars in millions) UPB

Delinquency 

Rate

Forbearance 

Rate UPB

Delinquency 

Rate

Forbearance 

Rate

Unsecuritized loans:

Held-for-sale $8,697 0.11 % 1.28 % $21,794 0.04 % 0.85 %

Held-for-investment 6,872 — — 8,655 — 1.40 

Securitization products 7,315 — 3.60 6,711 — 6.84 

Other mortgage-related guarantees 1,918 — 0.17 4,938 — 0.07 

Total $24,802 0.04 1.52 $42,098 0.02 1.83 

Counterparty Credit Risk

We are exposed to counterparty credit risk, which is a type of institutional credit risk, as a result of our contracts with sellers 

and servicers, credit enhancement providers, financial intermediaries, clearinghouses, and other counterparties, as well as 

through our guarantees of Fannie Mae securities underlying commingled resecuritization transactions. 

As of September 1, 2021, Freddie Mac is subject to new initial margin requirements for OTC derivative transactions, which are 

expected to reduce our counterparty credit risk exposure. As of September 30, 2021, the new initial margin requirements did 

not have a significant impact on our collateral posting arrangements.

Sellers and Servicers 

Single-Family

We perform ongoing monitoring and review of our exposure to individual sellers or servicers in accordance with our institutional 

credit risk management framework, including requiring our counterparties to provide regular financial reporting to us. We have 

significant exposure to non-depository and smaller depository financial institutions in our single-family business. These 

institutions may not have the same financial strength or operational capacity, or be subject to the same level of regulatory 

oversight, as large depository institutions.

The table below shows the concentration of non-depository sellers of our single-family mortgage portfolio.

Table 46 - Single-Family Mortgage Portfolio Non-Depository Sellers

3Q 2021 3Q 2020 YTD 2021 YTD 2020

% of Portfolio % of Portfolio

Top five non-depository sellers 31 % 26 % 30 % 24 %

Other non-depository sellers 40 40 41 38 

Total 71 % 66 % 71 % 62 %

The table below shows the concentration of non-depository servicers of our single-family mortgage portfolio.

Table 47 - Single-Family Mortgage Portfolio Non-Depository Servicers

September 30, 2021 December 31, 2020

% of Portfolio(1)

% of Seriously Delinquent 

Single-Family Loans % of Portfolio(1)

% of Seriously Delinquent 

Single-Family Loans

Top five non-depository servicers 19 % 15 % 18 % 17 %

Other non-depository servicers 35 38 30 28 

Total 54 % 53 % 48 % 45 %

(1) Excludes loans where we do not exercise control over the associated servicing.

Multifamily

The majority of our multifamily loans are securitized using trusts that are administered by master servicers who bear 

responsibility to advance funds in the event of payment shortfalls, including principal and interest payments related to loans in 

forbearance. For the majority of our K Certificate securitizations, we utilize one of three large financial depository institutions as 

master servicer. For SB Certificate securitizations and a smaller number of K Certificate securitizations, we serve as master 

servicer. In instances where payment shortfalls occur, the master servicer is required to make advances as long as such 

advances have not been deemed non-recoverable. For loans purchased and held in our mortgage-related investments 

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 53
portfolio, the primary servicers are not required to advance funds in the event of payment shortfalls and therefore do not 

present significant counterparty credit risk.

Credit Enhancement Providers

We perform periodic analysis of the financial capacity of individual insurers under various adverse economic conditions and 

have continued our close monitoring and active communication with them to assess potential risk impacts. 

The table below summarizes our exposure to single-family mortgage insurers as of September 30, 2021. In the event a 

mortgage insurer fails to perform, the coverage amounts represent our maximum exposure to credit losses resulting from such 

a failure.

Table 48 - Single-Family Mortgage Insurers

September 30, 2021

(In millions) Credit Rating(1)

Credit Rating

Outlook(1) UPB Coverage(2)

Arch Mortgage Insurance Company A Negative $102,150 $25,477 

Mortgage Guaranty Insurance Corporation (MGIC) BBB+ Stable 99,719 24,617 

Radian Guaranty Inc. (Radian) BBB+ Stable 95,905 23,027 

Essent Guaranty, Inc. BBB+ Stable 82,110 20,328 

Enact(3) BBB Stable 81,809 20,199 

National Mortgage Insurance (NMI) BBB Stable 62,779 15,675 

PMI Mortgage Insurance Co. (PMI) Not Rated N/A 1,415 355 

Republic Mortgage Insurance Company (RMIC) Not Rated N/A 1,054 261 

Triad Guaranty Insurance Corporation (Triad) Not Rated N/A 673 169 

Others N/A N/A 570 110 

Total $528,184 $130,218 

(1) Ratings and outlooks are for the corporate entity to which we have the greatest exposure. Latest rating available as of September 30, 2021. Represents the lower of 

S&P and Moody's credit ratings and outlooks stated in terms of the S&P equivalent. 

(2) Coverage amounts exclude coverage related to IMAGIN and certain loans for which we do not control servicing, and may include coverage provided by consolidated 

affiliates and subsidiaries of the counterparty.

(3) Enact was previously known as Genworth Mortgage Insurance Corporation.

The table below displays the concentration of our single-family credit risk exposure to our ACIS counterparties.

Table 49 - Single-Family ACIS Counterparties

September 30, 2021 December 31, 2020

(Dollars in billions) Maximum Coverage(1) % of Total Maximum Coverage(1) % of Total

Top five ACIS counterparties $6.7 45 % $5.3 48 %

All other ACIS counterparties 8.4 55 5.8 52 

Total $15.1 100 % $11.1 100 %

(1) Represents maximum coverage exclusive of the collateral posted to secure the counterparties' obligations.

As of September 30, 2021 and December 31, 2020, our ACIS counterparties posted collateral of $3.6 billion and $2.4 billion, 

respectively. 

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 54
Market Risk

Overview

Our business has embedded exposure to market risk, which is the economic risk associated with adverse changes in interest 

rates, volatility, and spreads. Market risk can adversely affect future cash flows, or economic value, as well as earnings and net 

worth.

A significant source of interest-rate risk is from our investments in mortgage-related assets (securities and loans) and the debt 

we issue to fund our assets. Another source of interest-rate risk comes from our single-family guarantee portfolio, which 

includes upfront fees (including buy-downs), buy-ups, and float. Our primary goal in managing interest-rate risk is to reduce the 

amount of change in the value of our future cash flows due to future changes in interest rates. We use models to analyze 

possible future interest-rate scenarios, along with the cash flows of our assets and liabilities over those scenarios. Our models 

include the possibility of future negative interest rate scenarios and such risk is included in our hedging framework.

Interest-Rate Risk

Our primary interest-rate risk measures are duration gap and Portfolio Value Sensitivity (PVS). Duration gap measures the 

difference in price sensitivity to interest rate changes between our financial assets and liabilities and is expressed in months 

relative to the value of assets. PVS is an estimate of the change in the present value of the cash flows of our financial assets 

and liabilities from an instantaneous shock to interest rates, assuming spreads are held constant and no rebalancing actions 

are undertaken. PVS is measured in two ways, one measuring the estimated sensitivity of our portfolio value to a 50 basis point 

parallel movement in the LIBOR yield curve (PVS-L) and the other to a non-parallel movement resulting from a 25 basis point 

change in the slope of the LIBOR yield curve (PVS-YC). While we believe that duration gap and PVS are useful risk 

management tools, they should be understood as estimates rather than as precise measurements.

Beginning in October 2021, we transitioned from LIBOR to SOFR in measuring the company's interest-rate risk. As a result, for 

periods after September 30, 2021, the measurement of the price sensitivity and valuation of our assets and liabilities will use the 

SOFR curve instead of the LIBOR yield curve. This change is not expected to have a significant impact on measurement of our 

interest-rate risk or our financial results.

The following tables provide our duration gap, estimated point-in-time and minimum and maximum PVS-L and PVS-YC results, 

and an average of the daily values and standard deviation. The table below also provides PVS-L estimates assuming an 

immediate 100 basis point shift in the LIBOR yield curve. The interest-rate sensitivity of a mortgage portfolio varies across a 

wide range of interest rates.

Table 50 - PVS-YC and PVS-L Results Assuming Shifts of the LIBOR Yield Curve

September 30, 2021 December 31, 2020

PVS-YC PVS-L PVS-YC PVS-L

(In millions) 25 bps 50 bps 100 bps 25 bps 50 bps 100 bps

Assuming shifts of the LIBOR yield curve, 

(gains) losses on:(1)

Assets:

Investments $91 $2,691 $5,789 ($286) $3,700 $7,670 

Guarantees(2) 11 (506) (647) 165 (1,691) (3,250) 

Total Assets 102 2,185 5,142 (121) 2,009 4,420 

Liabilities (5) (2,582) (5,491) (54) (3,237) (7,503) 

Derivatives (87) 491 652 185 1,180 2,839 

Total 10 94 303 $10 ($48) ($244) 

PVS 10 94 303 $10 $— $— 

(1) The categorization of the PVS impact between assets, liabilities, and derivatives on this table is based upon the economic characteristics of those assets and 

liabilities, not their accounting classification. For example, purchase and sale commitments of mortgage-related securities and debt securities of consolidated trusts 

held by the mortgage-related investments portfolio are both categorized as assets on this table.

(2) Represents the interest-rate risk from our single-family mortgage portfolio, which includes upfront fees (including buy-downs), buy-ups, and float. 

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 55
Table 51 - Duration Gap and PVS Results

3Q 2021 3Q 2020

(Duration gap in months, dollars in millions)

Duration

Gap

PVS-YC

25 bps

PVS-L

50 bps

Duration

Gap

PVS-YC

25 bps

PVS-L

50 bps

Average 0.1 $12 $77 0.7 $11 $105 

Minimum (1.2) — — (0.1) — — 

Maximum 0.9 45 147 1.5 29 257 

Standard deviation 0.5 9 33 0.3 7 65 

YTD 2021 YTD 2020

(Duration gap in months, dollars in millions)

Duration

Gap

PVS-YC

25 bps

PVS-L

50 bps

Duration

Gap

PVS-YC

25 bps

PVS-L

50 bps

Average 0.3 $9 $52 0.5 $11 $76 

Minimum (1.2) — — (0.6) — — 

Maximum 1.0 45 200 1.5 30 257 

Standard deviation 0.4 7 48 0.4 7 66 

Derivatives enable us to reduce our economic interest-rate risk exposure as we continue to align our derivative portfolio with 

the changing duration of our economically hedged assets and liabilities. The table below shows that the PVS-L risk levels, 

assuming a 50 basis point shift in the LIBOR yield curve for the periods presented, would have been higher if we had not used 

derivatives.

Table 52 - PVS-L Results Before Derivatives and After Derivatives

PVS-L (50 bps)

(In millions)

Before

Derivatives

After

Derivatives

Effect of

Derivatives

September 30, 2021 $841 $94 ($747) 

December 31, 2020 (1) 601 — (601) 

(1) Before derivatives, our adverse PVS-L rate movement is -50 bps, whereas after derivatives our adverse PVS-L rate movement is +50 bps.

Earnings Sensitivity to Market Risk

The accounting treatment for our financial assets and liabilities (e.g., some are measured at amortized cost, while others are 

measured at fair value) creates variability in our earnings when interest rates and spreads change. We have elected fair value 

hedge accounting for certain assets and liabilities in an effort to reduce this earnings variability due to interest rates and better 

align our financial results with the economics of our business. See MD&A - Consolidated Results of Operations and 

MD&A - Our Business Segments for additional information on the effect of changes in interest rates and market spreads on 

our financial results.

Interest Rate-Related Earnings Sensitivity

While we manage our interest-rate risk exposure on an economic basis to a low level as measured by our models, changes in 

interest rates may still result in significant earnings variability from period to period. Based upon the composition of our financial 

assets and liabilities, including derivatives, at September 30, 2021, we would generally recognize fair value losses when interest 

rates increase if we did not apply fair value hedge accounting.

By electing fair value hedge accounting for certain single-family mortgage loans and certain debt instruments, we are able to 

reduce the potential variability in our earnings attributable to changes in interest rates. See Note 10 for additional information 

on hedge accounting.

Earnings Sensitivity to Changes in Interest Rates

We evaluate a range of interest rate scenarios to determine the sensitivity of our earnings due to changes in interest rates and 

to determine our fair value hedge accounting strategies. The interest rate scenarios evaluated include parallel shifts in the yield 

curve in which interest rates increase or decrease by 100 basis points, non-parallel shifts in the yield curve in which long-term 

interest rates increase or decrease by 100 basis points, and non-parallel shifts in the yield curve in which short-term and 

medium-term interest rates increase or decrease by 100 basis points. This evaluation identifies the net effect on comprehensive 

income from changes in fair value attributable to changes in interest rates for financial instruments measured at fair value, 

including the effects of fair value hedge accounting, for each of the identified scenarios. This evaluation does not include the 

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 56
net effect on comprehensive income from interest-rate sensitive items that are not measured at fair value (e.g., amortization of 

mortgage loan premiums and discounts, changes in fair value of held-for-sale mortgage loans for which we have not elected 

the fair value option), or from changes in our future contractual net interest income due to repricing of our interest-bearing 

assets and liabilities. The before-tax results of this evaluation are shown in the table below.

Table 53 - Earnings Sensitivity to Changes in Interest Rates

(In millions) September 30, 2021 September 30, 2020

Interest Rate Scenarios(1)

Parallel yield curve shifts: 

 +100 basis points $26 ($2) 

 -100 basis points (26) 2 

Non-parallel yield curve shifts - long-term interest rates:

 +100 basis points (153) 147 

 -100 basis points 153 (147) 

Non-parallel yield curve shifts - short-term and medium-term interest rates:

 +100 basis points 179 (149) 

 -100 basis points (179) 149 

(1) The earnings sensitivity presented is calculated using the change in interest rates and net effective duration exposure.

The actual effect of changes in interest rates on our comprehensive income in any given period may vary based on a number of 

factors, including, but not limited to, the composition of our assets and liabilities, the actual changes in interest rates that are 

realized at different terms along the yield curve, and the effectiveness of our hedge accounting strategies. Even if implemented 

properly, our hedge accounting programs may not be effective in reducing earnings volatility, and our hedges may fail in any 

given future period, which could expose us to significant earnings variability in that period.

Spread-Related Earnings Sensitivity

We have limited ability to manage our spread risk exposure, and therefore, the volatility of market spreads may contribute to 

significant GAAP earnings variability. For financial assets measured at fair value, we generally recognize fair value losses when 

market spreads widen. Conversely, for financial liabilities measured at fair value, we generally recognize fair value gains when 

market spreads widen. See MD&A - Our Business Segments for additional information on the impact of market spreads on 

our results of operations.

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2021 Form 10-Q 57
LIQUIDITY AND CAPITAL RESOURCES

Our business activities require that we maintain adequate liquidity to meet our financial obligations as they come due and to 

meet the needs of customers in a timely and cost-efficient manner. We are also required to comply with minimum liquidity 

requirements established by FHFA, and we must maintain adequate capital resources to avoid being placed into receivership 

by FHFA.

Liquidity

Primary Sources of Liquidity 

The following table lists the sources of our liquidity, the balances as of the dates shown, and a brief description of their 

importance to Freddie Mac.

Table 54 - Liquidity Sources 

(In millions) September 30, 2021(1) December 31, 2020(1) Description

• Other Investments Portfolio - 

Liquidity and Contingency 

Operating Portfolio

 $82,130 $95,894 • The liquidity and contingency operating portfolio, included 

within our other investments portfolio, is primarily used for 

short-term liquidity management.

• Mortgage Loans and MortgageRelated Securities - Liquid 

Portion of the MortgageRelated Investments Portfolio

 48,017 67,562 • The liquid portion of our mortgage-related investments 

portfolio can be pledged or sold for liquidity purposes. The 

amount of cash we may be able to successfully raise may 

be substantially less than the balance.

(1) Represents carrying value for the liquidity and contingency operating portfolio, included within our other investments portfolio, and UPB for the liquid portion of the 

mortgage-related investments portfolio.

Other Investments Portfolio

Our other investments portfolio is important to our cash flow, collateral management, asset and liability management, and 

ability to provide liquidity and stability to the mortgage market. The table below summarizes the balances in our other 

investments portfolio, which includes the liquidity and contingency operating portfolio.

Table 55 - Other Investments Portfolio

September 30, 2021 December 31, 2020

(In millions)

Liquidity and 

Contingency 

Operating 

Portfolio

Custodial 

Account Other

Total Other 

Investments 

Portfolio (1)

Liquidity and 

Contingency 

Operating 

Portfolio

Custodial 

Account Other

Total Other 

Investments 

Portfolio (1)

Cash and cash equivalents $8,603 $699 $176 $9,478 $6,509 $17,380 $— $23,889 

Securities purchased under 

agreements to resell 47,811 40,154 805 88,770 65,753 38,487 763 105,003 

Non-mortgage-related securities 25,716 — 4,797 30,513 23,632 — 3,321 26,953 

Advances to lenders — — 8,954 8,954 — — 4,162 4,162 

LIHTC equity investment — — 1,545 1,545 — — 1,410 1,410 

Secured lending — — 1,284 1,284 — — 1,680 1,680 

Total $82,130 $40,853 $17,561 $140,544 $95,894 $55,867 $11,336 $163,097 

(1) Represents carrying value.

Our non-mortgage-related investments in the liquidity and contingency operating portfolio consist of U.S. Treasury securities 

and other investments that we could sell to provide us with an additional source of liquidity to fund our business operations. We 

also maintain non-interest-bearing deposits at the Federal Reserve Bank of New York and interest-bearing deposits at 

commercial banks. Our interest-bearing deposits at commercial banks totaled $3.4 billion and $3.1 billion as of September 30, 

2021 and December 31, 2020, respectively.

The other investments portfolio also included cash collateral posted to us primarily by derivatives counterparties of $1.7 billion

and $2.8 billion as of September 30, 2021 and December 31, 2020, respectively. We have primarily invested this collateral in 

securities purchased under agreements to resell and non-mortgage-related securities as part of our liquidity and contingency 

operating portfolio, although the collateral may be subject to return to our counterparties based on the terms of our master 

netting and collateral agreements. 

Management's Discussion and Analysis Liquidity and Capital Resources 

Freddie Mac 3Q 2021 Form 10-Q 58
Mortgage Loans and Mortgage-Related Securities

We invest principally in mortgage loans and mortgage-related securities, certain categories of which are largely unencumbered 

and liquid. Our primary source of liquidity among these mortgage assets is our holdings of single-class and multiclass agency 

securities, excluding certain structured agency securities collateralized by non-agency mortgage-related securities. Our ability 

to pledge certain of these assets as collateral or sell them enhances our liquidity profile, although the amount of cash we may 

be able to raise successfully in the event of a liquidity crisis or significant market disruption may be substantially less than the 

amount of mortgage-related assets we hold. 

We hold other mortgage assets, but given their characteristics, they may not be available for immediate sale or for use as 

collateral for repurchase agreements. These assets consist of certain structured agency securities collateralized by non-agency 

mortgage-related securities, non-agency CMBS, non-agency RMBS, and unsecuritized seriously delinquent and modified 

single-family loans.

Primary Sources of Funding 

The following table lists the sources and balances of our funding as of the dates shown and a brief description of their 

importance to Freddie Mac.

Table 56 - Funding Sources

(In millions) September 30, 2021(1) December 31, 2020(1) Description

• Debt of Freddie Mac $193,896 $284,370 • Debt of Freddie Mac is used to fund our business activities.

• Debt Securities of

Consolidated Trusts

 2,701,530 2,308,176 • Debt securities of consolidated trusts are used primarily to fund 

our single-family guarantee activities. This type of debt is 

principally repaid by the cash flows of the associated mortgage 

loans. As a result, our repayment obligation is limited to amounts 

paid pursuant to our guarantee of principal and interest and to 

purchase modified or seriously delinquent loans from the trusts.

(1) Represents the carrying value of debt balances after consideration of offsetting arrangements.

Debt of Freddie Mac

We issue debt of Freddie Mac to fund our business activities. Competition for funding can vary depending on economic, 

financial market, and regulatory environments. We issue debt of Freddie Mac based on a variety of factors, including an 

assessment of market conditions and our liquidity requirements. 

The table below summarizes the par value and the average rate of debt of Freddie Mac we issued or paid off, including 

regularly scheduled principal payments, payments resulting from calls, and payments for repurchases. We call, exchange, or 

repurchase our outstanding debt from time to time for a variety of reasons, including managing our funding composition and 

supporting the liquidity of our debt securities.

Management's Discussion and Analysis Liquidity and Capital Resources 

Freddie Mac 3Q 2021 Form 10-Q 59
Table 57 - Debt of Freddie Mac Activity

3Q 2021 YTD 2021

(Dollars in millions) Short-term

Average 

Rate(1) Long-term

Average 

Rate(1) Short-term

Average 

Rate(1) Long-term

Average 

Rate(1)

Discount notes and Reference Bills®

Beginning balance $— — % $— — % $11 0.69 % $— —% 

Issuances — — — — — — — — 

Repurchases — — — — — — — — 

Maturities — — — — (11) 0.69 — — 

Ending Balance — — — — — — — — 

Securities sold under 

agreements to repurchase

Beginning balance 4,620 (0.03) — — — — — — 

Additions 159,818 (0.03) — — 446,836 (0.05) — — 

Repayments (160,983) (0.03) — — (443,381) (0.05) — — 

Ending Balance 3,455 (0.01) — — 3,455 (0.01) — — 

Callable debt

Beginning balance — — 89,051 0.72 685 0.10 123,338 0.71 

Issuances — — — — 22,050 0.04 1,090 0.60 

Repurchases — — — — — — — — 

Calls — — (18,077) 0.38 (22,735) 0.04 (52,261) 0.56 

Maturities — — (550) 1.82 — — (1,743) 1.80 

Ending Balance — — 70,424 0.80 — — 70,424 0.80 

Non-callable debt

Beginning balance — — 129,765 1.21 4,259 1.51 145,560 1.21 

Issuances — — — — — — — — 

Repurchases — — — — (1,833) 1.53 (2,832) 1.93 

Maturities — — (12,584) 0.62 (2,426) 1.49 (25,547) 0.90 

Ending Balance — — 117,181 1.27 — — 117,181 1.27 

STACR and SCR Debt(2)

Beginning balance — — 11,660 4.10 — — 12,488 4.09 

Issuances — — — — — — — — 

Repurchases — — (1,343) 3.62 — — (1,343) 3.62 

Maturities — — (511) 4.68 — — (1,339) 4.46 

Ending Balance — — 9,806 4.12 — — 9,806 4.12 

 Total debt of Freddie Mac 3,455 (0.01) % 197,411 1.25 % 3,455 (0.01%) 197,411 1.25% 

Offsetting arrangements (3,455) (3,455) 

Total debt of Freddie Mac, net $— $197,411 $— $197,411 

(1) Average rate is weighted based on par value.

(2) STACR debt notes and SCR debt notes are subject to prepayment risk as their payments are based upon the performance of a reference pool of mortgage assets that 

may be prepaid by the related mortgage borrower at any time generally without penalty and are therefore included as a separate category in the table. 

As of September 30, 2021, our aggregate indebtedness was $197.6 billion, which was below the current $300.0 billion debt cap 

limit imposed by the Purchase Agreement. Our aggregate indebtedness calculation primarily includes the par value of shortand long-term debt.

The decrease in total outstanding debt of Freddie Mac from December 31, 2020 to September 30, 2021 was driven by the 

decline in the mortgage-related investments portfolio, coupled with lower expected cash window volume.

Management's Discussion and Analysis Liquidity and Capital Resources 

Freddie Mac 3Q 2021 Form 10-Q 60
Maturity and Redemption Dates

The following graphs present debt of Freddie Mac by contractual maturity date and earliest redemption date. The earliest 

redemption date refers to the earliest call date for callable debt and the contractual maturity date for all other debt of Freddie 

Mac.

Contractual Maturity Date as of September 30, 2021 (1) 

(Par value in billions)

$61

$32

$24 $23

$18

$33

$10

Due in 1 year or less

Due after 1 year through 2 years

Due after 2 years through 3 yearsDue after 3 years through 4 years

Due after 4 years through 5 years

Thereafter

STACR and SCR debt

Earliest Redemption Date as of September 30, 2021 (1)

(Par value in billions)

$119

$36

$12 $11

$1

$12 $10

1 year or less

After 1 year through 2 years

After 2 years through 3 years

After 3 years through 4 yearsAfter 4 years through 5 years

Thereafter

STACR and SCR debt

(1) STACR debt notes and SCR debt notes are subject to prepayment risk as their payments are based upon the performance of a reference pool of mortgage assets that 

may be prepaid by the related mortgage borrower at any time generally without penalty and are therefore included as a separate category in the graphs.

Debt Securities of Consolidated Trusts

The largest component of debt on our condensed consolidated balance sheets is debt securities of consolidated trusts. We 

issue this type of debt by securitizing mortgage loans primarily to fund the majority of our single-family guarantee activities. 

When we consolidate securitization trusts, we recognize the following on our condensed consolidated balance sheets:

n	 The assets held by the securitization trusts, the majority of which are mortgage loans. We recognized $2,672.0 billion and 

$2,273.3 billion of mortgage loans, which represented 90.9% and 86.5% of our total assets, as of September 30, 2021 and 

December 31, 2020, respectively.

n	 The debt securities issued by the securitization trusts, the majority of which are Level 1 Securitization Products and are 

pass-through securities, where the cash flows of the mortgage loans held by the securitization trust are passed through to 

the holders of the securities. We recognized $2,701.5 billion and $2,308.2 billion of debt securities of consolidated trusts, 

which represented 93.3% and 89.0% of our total debt, as of September 30, 2021 and December 31, 2020, respectively.

Debt securities of consolidated trusts represent our liability to third parties that hold beneficial interests in our consolidated 

securitization trusts. Debt securities of consolidated trusts are principally repaid from the cash flows of the mortgage loans held 

by the securitization trusts that issued the debt securities. In circumstances when the cash flows of the mortgage loans are not 

sufficient to repay the debt, we make up the shortfall because we have guaranteed the payment of principal and interest on the 

debt. In certain circumstances, we have the right and/or obligation to purchase the loan from the trust prior to its contractual 

maturity. 

Management's Discussion and Analysis Our Business Segments | Capital Markets

Freddie Mac 3Q 2021 Form 10-Q 61
The table below shows the issuance and extinguishment activity for the debt securities of our consolidated trusts.

Table 58 - Activity for Debt Securities of Consolidated Trusts Held by Third Parties

(In millions) 3Q 2021 YTD 2021

Beginning balance $2,506,334 $2,240,602 

Issuances:

New issuances to third parties 247,112 702,867 

Additional issuances of securities 130,214 478,600 

Total issuances 377,326 1,181,467 

Extinguishments:

Purchases of debt securities from third parties (4,004) (9,075) 

Debt securities received in settlement of secured lending (75,207) (184,371) 

Repayments of debt securities (174,873) (599,047) 

Total extinguishments (254,084) (792,493) 

Ending balance 2,629,576 2,629,576 

Unamortized premiums and discounts 71,954 71,954 

Debt securities of consolidated trusts held by third parties $2,701,530 $2,701,530 

Off-Balance Sheet Arrangements

We enter into certain business arrangements that are not recorded on our condensed consolidated balance sheets or that may 

be recorded in amounts that differ from the full contractual or notional amount of the transaction that affect our short- and longterm liquidity needs. Certain of these arrangements present credit risk exposure. See MD&A - Risk Management - Credit 

Risk for additional information on our credit risk exposure on off-balance sheet arrangements. 

We have certain off-balance sheet arrangements related to our securitization and other mortgage-related guarantee activities. 

Our off-balance sheet arrangements related to securitization activities primarily consist of guaranteed K Certificates and SB 

Certificates. Our guarantee of these securitization activities and other mortgage-related guarantees may result in liquidity needs 

to cover potential cash flow shortfalls from borrower defaults. As of September 30, 2021 and December 31, 2020, the 

outstanding UPB of the guaranteed securities was $362.1 billion and $337.0 billion, respectively. In addition to our 

securitization and other mortgage-related guarantees, we have certain other guarantees that are accounted for as derivative 

instruments and are recognized on our condensed consolidated balance sheets at fair value. See Note 10 for additional 

information on these guarantees, which are not included in the totals above.

We have the ability to commingle TBA-eligible Fannie Mae collateral in certain of our resecuritization products. When we 

resecuritize Fannie Mae securities in our commingled resecuritization products, our guarantee covers timely payments of 

principal and interest on such securities. Accordingly, commingling Fannie Mae collateral in our resecuritization transactions 

increases our off-balance sheet liquidity exposure as we do not have control over the Fannie Mae collateral. As of 

September 30, 2021 and December 31, 2020, the total amount of our off-balance sheet exposure related to Fannie Mae 

securities backing Freddie Mac resecuritization products was approximately $104.7 billion and $85.8 billion, respectively.

Cash Flows

Cash and cash equivalents (including restricted cash and cash equivalents) increased by $1.4 billion from $8.1 billion as of 

September 30, 2020 to $9.5 billion as of September 30, 2021, primarily driven by a decrease in securities purchased under 

agreements to resell partially offset by a decline in new issuance of debt.

Management's Discussion and Analysis Liquidity and Capital Resources 

Freddie Mac 3Q 2021 Form 10-Q 62
Capital Resources

Primary Sources of Capital 

Our entry into conservatorship resulted in significant changes to the assessment of our capital adequacy and our management 

of capital. Under the Purchase Agreement, Treasury made a commitment to provide us with funding, under certain conditions, 

to eliminate deficits in our net worth. Pursuant to the January 2021 Letter Agreement, we will not be required to pay a dividend 

on the senior preferred stock to Treasury until our Net Worth Amount exceeds the amount of adjusted total capital necessary to 

meet capital requirements and buffers set forth in the ERCF. Based on our Net Worth Amount of $25.3 billion as of 

September 30, 2021, no dividend is payable to Treasury for the quarter ended September 30, 2021. See Note 2 for details of 

the support we receive from Treasury.

In May 2017, FHFA, as Conservator, issued guidance to us to evaluate and manage our financial risk and to make business 

decisions, while in conservatorship, utilizing a risk-based CCF, a capital system with detailed formulae provided by FHFA. In 

November 2020, FHFA released a final rule that establishes the ERCF as a new enterprise regulatory capital framework for 

Freddie Mac and Fannie Mae. The ERCF, which went into effect in February 2021, has a transition period for compliance. In 

general, the compliance date for the regulatory capital requirements will be the later of the date of termination of our 

conservatorship and any later compliance date provided in a consent order or other transition order. In accordance with FHFA 

guidance, we are transitioning to the ERCF to measure and manage risk. Pursuant to the final rule, we will be required to report 

our regulatory capital under the ERCF beginning on January 1, 2022.

In September, 2021, FHFA proposed amendments to the ERCF with respect to the prescribed leverage buffer amount (PLBA) 

and the capital treatment of CRT transactions. FHFA is seeking comments on the proposed rule through November 26, 2021. 

On October 27, 2021, FHFA issued an additional notice of proposed rulemaking to amend the ERCF by introducing additional 

public disclosure requirements for the Enterprises. FHFA is seeking comments on this proposed rule within 60 days of its 

publication in the Federal Register. For additional information regarding the proposed amendments, see MD&A - Regulation 

and Supervision - Legislative and Regulatory Developments - FHFA Proposed Rules to Amend the ERCF.

We invest our Net Worth Amount primarily in short-term investments. The table below presents activity related to our net worth 

during 3Q 2021 and YTD 2021. 

Table 59 - Net Worth Activity 

(In millions) 3Q 2021 YTD 2021 

Beginning balance $22,402 $16,413 

Comprehensive income (loss) 2,909 8,898 

Capital draw from Treasury — — 

Senior preferred stock dividends declared — — 

Total equity / net worth $25,311 $25,311 

Aggregate draws under Purchase Agreement $71,648 $71,648 

Aggregate cash dividends paid to Treasury 119,680 119,680 

Liquidation preference of the senior preferred stock 95,050 95,050 

Management's Discussion and Analysis Liquidity and Capital Resources

Freddie Mac 3Q 2021 Form 10-Q 63
CRITICAL ACCOUNTING POLICIES AND ESTIMATES

The preparation of financial statements in accordance with GAAP requires us to make a number of judgments, estimates, and 

assumptions that affect the reported amounts within our condensed consolidated financial statements. Certain of our 

accounting policies, as well as estimates we make, are critical, as they are both important to the presentation of our financial 

condition and results of operations and require management to make difficult, complex, or subjective judgments and estimates, 

often regarding matters that are inherently uncertain. Actual results could differ from our estimates, and the use of different 

judgments and assumptions related to these policies and estimates could have a material impact on our condensed 

consolidated financial statements.

Our critical accounting policies and estimates relate to the single-family allowance for credit losses and fair value 

measurements. For additional information about our critical accounting policies and estimates and other significant accounting 

policies, as well as recently issued accounting guidance, see Note 1.

Single-Family Allowance for Credit Losses

The single-family allowance for credit losses represents our estimate of expected credit losses over the contractual term of the 

mortgage loans. The single-family allowance for credit losses pertains to all held-for-investment single-family mortgage loans 

on our condensed consolidated balance sheets.

Determining the appropriateness of the single-family allowance for credit losses is a complex process that is subject to 

numerous estimates and assumptions requiring significant management judgment about matters that involve a high degree of 

subjectivity. This process involves the use of models that require us to make judgments about matters that are difficult to 

predict.

Changes in forecasted house price growth rates can have a significant effect on our allowance for credit losses. Our estimate of 

expected credit losses leverages an internally based model that uses a Monte Carlo simulation which generates many possible 

house price scenarios for up to 40 years for each metropolitan statistical area (MSA). These scenarios are used to estimate 

loan-level expected future cash flows and credit losses based on each loan's individual characteristics. The COVID-19 

pandemic initially resulted in a decline in our near-term forecasted house price growth rates compared to pre-pandemic 

estimates, but our forecast has since improved. The table below summarizes our nationwide forecasted house price growth 

rates for both full-year 2021 and 2022 that were used in determining our allowance for credit losses as of September 30, 2021 

and as of December 31, 2020. These growth rates are used as inputs to our models to develop the detailed forecasted life-ofloan house price growth rates for each MSA.

Table 60 - Forecasted House Price Growth Rates

2021 2022

September 30, 2021 16.9 % 7.0 %

December 31, 2020 5.4 % 3.0 %

Management's Discussion and Analysis Critical Accounting Policies and Estimates

Freddie Mac 3Q 2021 Form 10-Q 64
REGULATION AND SUPERVISION

In addition to our oversight by FHFA as our Conservator, we are subject to regulation and oversight by FHFA under our Charter 

and the GSE Act and to certain regulation by other government agencies. Furthermore, regulatory activities by other 

government agencies can affect us indirectly, even if we are not directly subject to such agencies' regulation or oversight. For 

example, regulations that modify requirements applicable to the purchase or servicing of mortgages can affect us.

Federal Housing Finance Agency

Affordable Housing Fund Allocations

The GSE Act requires us to set aside in each fiscal year an amount equal to 4.2 basis points of each dollar of total new 

business purchases and pay this amount to certain housing funds. During 3Q 2021 and YTD 2021, we completed $315.3 billion

and $989.9 billion, respectively, of new business purchases subject to this requirement and accrued $132 million and $416 

million, respectively, of related expense. We are prohibited from passing through these costs to the originators of the loans that 

we purchase.

Legislative and Regulatory Developments

Proposed Affordable Housing Goals for 2022-2024

On August 18, 2021, FHFA proposed its single-family and multifamily affordable housing goals for Freddie Mac for 2022-2024. 

These proposed goals include two new single-family home purchase subgoals: a Minority Census Tracts Home Purchase 

Subgoal and a Low-Income Census Tracts Home Purchase Subgoal. These two new proposed goals would replace the existing 

low-income areas subgoal. 

Our current and proposed affordable housing goal benchmark levels are set forth below.

Table 61 - Current and Proposed 2022-2024 Affordable Housing Goal Benchmark Levels

Affordable Housing Goals

Current

Benchmark

Levels for 2021

Proposed

Benchmark

Levels for 

2022-2024

Single-family 

Low-income home purchase goal 24 % 28 %

Very low-income home purchase goal 6 % 7 %

Low-income areas home purchase goal 18 % TBD

Low-income areas subgoal 14 % N/A

Minority census tracts subgoal (new) N/A 10 %

Low-income census tracts subgoal (new) N/A 4 %

Low-income refinancing goal 21 % 26 %

Multifamily 

Low-income goal (units) 315,000 415,000 

Very low-income subgoal (units) 60,000 88,000 

Small multifamily (5-50 units) low-income subgoal (units) 10,000 23,000 

Fair Housing and Fair Lending Enforcement

On August 12, 2021, FHFA and HUD announced that they had entered into a collaborative agreement regarding fair housing 

and fair lending coordination. Under the Memorandum of Understanding, FHFA and HUD will focus on enhancing their 

enforcement of the Fair Housing Act, which HUD is primarily charged with administering and enforcing, and their oversight of 

Freddie Mac and Fannie Mae (the Enterprises) and the Federal Home Loan Banks, all of which FHFA regulates.

Management's Discussion and Analysis Regulation and Supervision

Freddie Mac 3Q 2021 Form 10-Q 65
2020 and 2021 Dodd-Frank Stress Test Results

On August 13, 2021, FHFA released reports providing the results of the 2020 and 2021 annual stress tests for Freddie Mac and 

Fannie Mae. These reports provide updated information on possible ranges of future financial results of the Enterprises under 

severely adverse economic conditions.

FHFA 2021 Conservatorship Scorecard Update

On August 20, 2021, FHFA informed us that the following two objectives had been removed from the 2021 FHFA 

Conservatorship Scorecard: (1) Roadmap Toward End of Conservatorship: Continue to provide support to FHFA as needed to 

develop a roadmap with milestones for exiting conservatorship, including the development of any capital restoration plans, and 

(2) Housing Market Reform and Alignment: Conduct such activities as directed by FHFA related to housing market reform. For 

more information on our 2021 Conservatorship Scorecard, see our Current Report on Form 8-K filed on February 18, 2021.

Administration and FHFA Actions to Promote Affordable Housing

On September 1, 2021, the Administration announced immediate steps to increase affordable housing supply. These include 

steps various federal agencies will take to boost the supply of quality, affordable rental units; boost the supply of manufactured 

housing and 2-4 unit properties; make more single-family homes available to individuals, families, and non-profit organizations, 

rather than large investors; and work with state and local governments to boost housing supply. Also on September 1, 2021, 

FHFA increased our annual multifamily LIHTC investment cap from $500 million to $850 million and increased the Duty to Serve 

rural/targeted investment requirement from 40% to 50% of total LIHTC investment capacity (or $425 million in targeted 

investment and $425 million in unrestricted investment). FHFA authorized us to accept eligible single-wide manufactured 

housing loan deliveries and to revisit certain mortgage eligibility requirements for 2-4 unit properties implemented in 2020. In 

addition, FHFA extended from 20 to 30 days the period during which owner occupants, public entities, and nonprofits would 

have exclusive ability to buy Freddie Mac and Fannie Mae REO properties before they are available for investor purchase.

On October 18, 2021, FHFA announced two additional measures to advance housing affordability and sustainability, especially 

for borrowers in underserved communities. Over the coming months, Freddie Mac and Fannie Mae will expand certain eligibility 

requirements for our refinancing programs aimed at low-income borrowers, including by expanding the income thresholds from 

at or below 80% of AMI to at or below 100% of AMI to include some moderate-income borrowers. In addition, Freddie Mac and 

Fannie Mae will incorporate desktop appraisals into our selling guides for certain single-family home purchase loans starting in 

early 2022. 

To further support affordable homeownership and serve historically underserved markets, we announced in October 2021 that 

we plan to issue at least $3 billion in Single-family affordable housing bonds by the end of 2022. 

Equitable Housing Finance

On September 7, 2021, FHFA announced that Freddie Mac and Fannie Mae will submit equitable housing finance plans to 

FHFA by the end of 2021. The Enterprises will update these plans annually. The plans are intended to identify and address 

barriers to sustainable housing opportunities, including the Enterprises' goals and action plans to advance equity in housing 

finance for the next three years. FHFA also will require the Enterprises to submit annual progress reports on the actions 

undertaken during the prior year to implement their plans.

September 2021 Letter Agreement with Treasury

On September 14, 2021, we, acting through FHFA as our Conservator, and Treasury entered into a letter agreement to suspend 

certain requirements that were added to the Purchase Agreement pursuant to the January 2021 Letter Agreement. Specifically, 

this letter agreement suspended the requirements under the Purchase Agreement related to our cash window activities, 

multifamily loan purchase activity, acquisitions of single-family loans with certain LTV, DTI, and credit score characteristics at 

origination, and acquisitions of single-family loans secured by investment properties and second homes. Each such suspension 

shall terminate on the later of September 14, 2022 and six months after Treasury so notifies Freddie Mac. For additional 

information on the January 2021 Letter Agreement, see MD&A - Regulation and Supervision - Legislative and 

Regulatory Developments - January 2021 Letter Agreement with Treasury in our 2020 Annual Report. We will 

continue to manage these activities pursuant to our risk limits and FHFA guidance.

Management's Discussion and Analysis Regulation and Supervision

Freddie Mac 3Q 2021 Form 10-Q 66
FHFA Proposed Rules to Amend the ERCF

On September 15, 2021, FHFA issued a notice of proposed rulemaking to amend the ERCF. The proposed amendments would 

refine the PLBA and the capital treatment of CRT transactions. Specifically, the proposed rule would replace the fixed PLBA 

equal to 1.5% of an Enterprise's adjusted total assets with a dynamic PLBA equal to 50% of the Enterprise's stability capital 

buffer (which is related to the Enterprise's relative share of total residential mortgage debt outstanding that exceeds 5%); 

replace the prudential floor of 10% on the risk weight assigned to any retained CRT exposure with a prudential floor of 5% on 

the risk weight assigned to any retained CRT exposure; and remove the requirement that an Enterprise must apply an overall 

effectiveness adjustment to its retained CRT exposures. FHFA is seeking comments on the proposed rule through November 

26, 2021. 

On October 27, 2021, FHFA issued an additional notice of proposed rulemaking to amend the ERCF by introducing additional 

public disclosure requirements for the Enterprises. This proposed rule would implement quarterly quantitative and annual 

qualitative disclosure requirements for the Enterprises related to regulatory capital instruments, risk-weighted assets calculated 

under the ERCF’s standardized approach, and risk management policies and procedures. FHFA is seeking comments on this 

proposed rule within 60 days of its publication in the Federal Register.

We cannot predict whether and when FHFA will finalize these amendments to the ERCF or the content of any such amended 

rule that FHFA may adopt.

Expiration of Guarantee Fee Provision of Temporary Payroll Tax Cut 

Continuation Act of 2011

In December 2011, Congress enacted the Temporary Payroll Tax Cut Continuation Act of 2011 (TCCA) pursuant to which, at 

the direction of FHFA, we increased the guarantee fee by 10 basis points on all single-family residential mortgages delivered to 

us on or after April 1, 2012. Pursuant to the TCCA, the revenue generated by this fee increase is paid to Treasury. Although the 

guarantee fee provision of the TCCA expired on October 1, 2021, FHFA advised us to charge and remit this 10 basis point fee 

to Treasury with respect to single-family residential loans acquired by us before January 1, 2022, and to continue to collect and 

remit to Treasury the proceeds from this fee until any such loans acquired before January 1, 2022 are paid off or an exclusion 

event, including liquidation or removal from a securitization pool, occurs. On August 10, 2021, the Senate passed legislation, 

the Infrastructure Investment and Jobs Act, that, if enacted, would extend our obligation to charge and remit to Treasury this 10 

basis point fee on single-family residential mortgages delivered to us to October 1, 2032.

Management's Discussion and Analysis Regulation and Supervision

Freddie Mac 3Q 2021 Form 10-Q 67
FORWARD-LOOKING STATEMENTS

We regularly communicate information concerning our business activities to investors, the news media, securities analysts, and 

others as part of our normal operations. Some of these communications, including this Form 10-Q, contain "forward-looking 

statements." Examples of forward-looking statements include, but are not limited to, statements pertaining to the 

conservatorship, our current expectations and objectives for the Single-family and Multifamily segments of our business, our 

efforts to assist the housing market, our liquidity and capital management, economic and market conditions and trends, the 

effects of the COVID-19 pandemic and actions taken in response thereto on our business, financial condition, and liquidity, our 

market share, the effect of legislative and regulatory developments and new accounting guidance, the credit quality of loans we 

own or guarantee, the costs and benefits of our CRT transactions, and our results of operations and financial condition. 

Forward-looking statements involve known and unknown risks and uncertainties, some of which are beyond our control. 

Forward-looking statements are often accompanied by, and identified with, terms such as "could," "may," "will," "believe," 

"expect," "anticipate," "forecast," and similar phrases. These statements are not historical facts, but rather represent our 

expectations based on current information, plans, judgments, assumptions, estimates, and projections. Actual results may 

differ significantly from those described in or implied by such forward-looking statements due to various factors and 

uncertainties, including those described in the Risk Factors section in our 2020 Annual Report, and including, without 

limitation, the following:

n Uncertainty regarding the duration and severity of the COVID-19 pandemic and the effects of the pandemic and actions 

taken in response thereto on the U.S. economy and housing market, which could, in turn, adversely affect our business in 

numerous ways, including, for example, by increasing our credit losses, impairing the value of our mortgage-related 

securities, decreasing our liquidity and capital levels, and increasing our credit risk and operational risk;

n The actions the U.S. government (including FHFA, Treasury, and Congress) may take, require us to take, or restrict us from 

taking, including actions to support the housing markets (such as programs implemented in response to the COVID-19 

pandemic or to implement the recommendations in FHFA's Conservatorship Scorecards, recent requirements and 

guidance related to equitable housing, and other objectives for us);

n The effect of the restrictions on our business due to the conservatorship and the Purchase Agreement;

n Changes in our Charter or in applicable legislative or regulatory requirements (including any legislation affecting the future 

status of our company);

n Changes to our capital requirements and potential effects of such changes on our business strategies;

n Changes in the fiscal and monetary policies of the Federal Reserve (including changes in the amount of agency MBS and 

agency CMBS purchased to support the market during the COVID-19 pandemic);

n Changes in tax laws;

n Changes in accounting policies, practices, or guidance;

n Changes in economic and market conditions generally, and as a result of the COVID-19 pandemic, including changes in 

employment rates, interest rates, spreads, and house prices;

n Changes in the U.S. residential mortgage market, including changes in the supply and type of loan products (e.g., 

refinance vs. purchase and fixed-rate vs. ARM);

n The success of our efforts to mitigate our losses on our single-family mortgage portfolio;

n The success of our strategy to transfer mortgage credit risk through STACR, ACIS, K Certificate, SB Certificate, and other 

CRT transactions;

n Our ability to maintain adequate liquidity to fund our operations;

n Our ability to maintain the security and resiliency of our operational systems and infrastructure, including against 

cyberattacks;

n Our ability to effectively execute our business strategies, implement new initiatives, and improve efficiency;

n The adequacy of our risk management framework, including the adequacy of our capital framework for measuring risk;

n Our ability to manage mortgage credit risk, including the effect of changes in underwriting and servicing practices;

n Our ability to limit or manage our economic exposure and GAAP earnings exposure to interest-rate volatility and spread 

volatility, including the availability of derivative financial instruments needed for interest-rate risk management purposes 

and our ability to apply hedge accounting;

n Our operational ability to issue new securities, make timely and correct payments on securities, and provide initial and 

ongoing disclosures;

n Our reliance on CSS and the CSP for the operation of the majority of our single-family securitization activities, limits on our 

influence over CSS Board decisions, and any additional changes FHFA may require in our relationship with, or support of, 

CSS;

n	 Changes in the methodologies, models, assumptions, and estimates we use to prepare our financial statements, make 

business decisions, and manage risks;

Management's Discussion and Analysis Forward-Looking Statements

Freddie Mac 3Q 2021 Form 10-Q 68
n Changes in investor demand for our debt or mortgage-related securities;

n Our ability to maintain market acceptance of the UMBS, including our ability to maintain alignment of the prepayment 

speeds of our and Fannie Mae's respective UMBS;

n Changes in the practices of loan originators, servicers, investors, and other participants in the secondary mortgage market; 

n The discontinuance of, transition from, or replacement of LIBOR and the adverse consequences it could have on our 

business and operations;

n The occurrence of a major natural disaster, other catastrophic event, or significant climate change effects in areas in which 

our offices or significant portions of our total mortgage portfolio are located; and 

n	 Other factors and assumptions described in this Form 10-Q and our 2020 Annual Report, including in the MD&A section.

Forward-looking statements are made only as of the date of this Form 10-Q, and we undertake no obligation to update any 

forward-looking statements we make to reflect events or circumstances occurring after the date of this Form 10-Q.

Management's Discussion and Analysis Forward-Looking Statements

Freddie Mac 3Q 2021 Form 10-Q 69
Financial Statements

Financial Statements

Freddie Mac 3Q 2021 Form 10-Q 70
 FREDDIE MAC 

Condensed Consolidated Statements of Comprehensive Income 

(Loss) (Unaudited)

(In millions, except share-related amounts) 3Q 2021 3Q 2020 YTD 2021 YTD 2020

Net interest income

Interest income $15,791 $14,849 $44,923 $48,157 

Interest expense (11,373) (11,392) (32,099) (39,039) 

Net interest income 4,418 3,457 12,824 9,118 

Non-interest income (loss)

Guarantee income 246 315 850 1,161 

Investment gains (losses), net 383 1,122 2,227 957 

Other income (loss) 200 172 485 401 

Non-interest income (loss) 829 1,609 3,562 2,519 

Net revenues 5,247 5,066 16,386 11,637 

Benefit (provision) for credit losses 243 (327) 1,179 (2,265) 

Non-interest expense

Salaries and employee benefits (352) (334) (1,042) (1,002) 

Professional services (76) (105) (260) (269) 

Other administrative expense (199) (202) (615) (558) 

Total administrative expense (627) (641) (1,917) (1,829) 

Credit enhancement expense (386) (267) (1,090) (731) 

Benefit for (decrease in) credit enhancement recoveries (60) 20 (510) 708 

REO operations income (expense) 9 (40) (6) (139) 

Temporary Payroll Tax Cut Continuation Act of 2011 expense (602) (467) (1,706) (1,341) 

Other expense (178) (237) (572) (480) 

Non-interest expense (1,844) (1,632) (5,801) (3,812) 

Income (loss) before income tax (expense) benefit 3,646 3,107 11,764 5,560 

Income tax (expense) benefit (727) (644) (2,399) (1,147) 

Net income (loss) 2,919 2,463 9,365 4,413 

Other comprehensive income (loss), net of taxes and 

reclassification adjustments

Changes in unrealized gains (losses) related to available-for-sale 

securities (14) (16) (482) 576 

Changes in unrealized gains (losses) related to cash flow hedge 

relationships 7 6 25 30 

Changes in defined benefit plans (3) (4) (10) (10) 

Total other comprehensive income (loss), net of taxes and 

reclassification adjustments (10) (14) (467) 596 

Comprehensive income (loss) $2,909 $2,449 $8,898 $5,009 

Net income (loss) $2,919 $2,463 $9,365 $4,413 

Future increase in senior preferred stock liquidation preference (2,909) (2,449) (8,898) (4,769) 

Net income (loss) attributable to common stockholders $10 $14 $467 ($356) 

Net income (loss) per common share — basic and diluted $— $— $0.14 $0.11 

Weighted average common shares outstanding (in millions) — basic 

and diluted 3,234 3,234 3,234 3,234 

The accompanying notes are an integral part of these condensed consolidated financial statements.

Financial Statements Condensed Consolidated Statements of Comprehensive Income

Freddie Mac 3Q 2021 Form 10-Q 71
FREDDIE MAC

Condensed Consolidated Balance Sheets (Unaudited)

September 30, December 31,

(In millions, except share-related amounts) 2021 2020

Assets

Cash and cash equivalents (Notes 3, 16) (includes $875 and $17,379 of restricted cash and cash 

equivalents) $9,478 $23,889 

Securities purchased under agreements to resell (Notes 3, 11, 16) 85,315 105,003 

Investment securities, at fair value (Note 3, 6) 56,930 59,825 

Mortgage loans held-for-sale (Notes 3, 4) (includes $8,436 and $14,199 at fair value) 17,517 33,652 

Mortgage loans held-for-investment (Notes 3, 4) (net of allowance for credit losses of $4,531 and $5,732) 2,715,597 2,350,236 

Accrued interest receivable (Notes 3, 4, 6, 11) (net of allowance of $157 and $140) 7,490 7,754 

Derivative assets, net (Notes 10, 11) 953 1,205 

Deferred tax assets, net 6,099 6,557 

Other assets (Notes 3) (includes $6,078 and $5,775, at fair value) 38,605 39,294 

Total assets $2,937,984 $2,627,415 

Liabilities and equity

Liabilities

Accrued interest payable (Note 3) $6,049 $6,210 

Debt (Notes 3, 9) (includes $1,984 and $2,592 at fair value) 2,895,426 2,592,546 

Derivative liabilities, net (Notes 10, 11) 389 954 

Other liabilities (Notes 3) 10,809 11,292 

Total liabilities 2,912,673 2,611,002 

Commitments and contingencies (Notes 5, 10, 18)

Equity (Note 12)

Senior preferred stock (liquidation preference of $95,050 and $86,539) 72,648 72,648 

Preferred stock, at redemption value 14,109 14,109 

Common stock, $0.00 par value, 4,000,000,000 shares authorized, 725,863,886 shares issued and 

650,059,553 shares and 650,059,292 shares outstanding — — 

Additional paid-in capital — — 

Retained earnings (accumulated deficit) (57,737) (67,102) 

AOCI, net of taxes, related to:

Available-for-sale securities 328 810 

Cash flow hedge relationships (181) (206) 

Defined benefit plans 29 39 

Total AOCI, net of taxes 176 643 

Treasury stock, at cost, 75,804,333 shares and 75,804,594 shares (3,885) (3,885) 

Total equity 25,311 16,413 

Total liabilities and equity $2,937,984 $2,627,415 

The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on our condensed consolidated balance 

sheets.

September 30, December 31, 

(In millions) 2021 2020

Condensed Consolidated Balance Sheet Line Item (Note 3)

Assets:

Mortgage loans held-for-investment $2,671,954 $2,273,347 

All other assets 65,454 83,982 

Total assets of consolidated VIEs $2,737,408 $2,357,329 

Liabilities:

Debt $2,701,530 $2,308,176 

All other liabilities 5,731 5,610 

Total liabilities of consolidated VIEs $2,707,261 $2,313,786 

The accompanying notes are an integral part of these condensed consolidated financial statements.

Financial Statements Condensed Consolidated Balance Sheets

Freddie Mac 3Q 2021 Form 10-Q 72
FREDDIE MAC

Condensed Consolidated Statements of Equity (Unaudited)

Shares Outstanding

Senior

Preferred

Stock

Preferred

Stock, at

Redemption

Value

Common

Stock, at

Par Value

Additional

Paid-In

Capital

Retained

Earnings

(Accumulated

Deficit)

AOCI,

Net of

Tax

Treasury

Stock, at

Cost

Total

(In millions) Equity 

Senior

Preferred

Stock

Preferred

Stock

Common

Stock

Balance at June 30, 2021 1 464 650 $72,648 $14,109 $— $— ($60,656) $186 ($3,885) $22,402 

Comprehensive income (loss):

Net income (loss) — — — — — — — 2,919 — — 2,919 

Other comprehensive income (loss), net of 

taxes — — — — — — — — (10) — (10) 

Comprehensive income (loss) — — — — — — — 2,919 (10) — 2,909 

Ending balance at September 30, 2021 1 464 650 $72,648 $14,109 $— $— ($57,737) $176 ($3,885) $25,311 

Balance at June 30, 2020 1 464 650 $72,648 $14,109 $— $— ($72,478) $1,048 ($3,885) $11,442 

Comprehensive income (loss):

Net income (loss) — — — — — — — 2,463 — — 2,463 

Other comprehensive income (loss), net of 

taxes — — — — — — — — (14) — (14) 

Comprehensive income (loss) — — — — — — — 2,463 (14) — 2,449 

Ending balance at September 30, 2020 1 464 650 $72,648 $14,109 $— $— ($70,015) $1,034 ($3,885) $13,891 

Shares Outstanding

Senior

Preferred

Stock

Preferred

Stock, at

Redemption

Value

Common

Stock, at

Par Value

Additional

Paid-In

Capital

Retained

Earnings

(Accumulated

Deficit)

AOCI,

Net of

Tax

Treasury

Stock, at

Cost

Total

(In millions) Equity 

Senior

Preferred

Stock

Preferred

Stock

Common

Stock

Balance at December 31, 2020 1 464 650 $72,648 $14,109 $— $— ($67,102) $643 ($3,885) $16,413 

Comprehensive income (loss):

Net income (loss) — — — — — — — 9,365 — — 9,365 

Other comprehensive income (loss), net of 

taxes — — — — — — — — (467) — (467) 

Comprehensive income (loss) — — — — — — — 9,365 (467) — 8,898 

Ending balance at September 30, 2021 1 464 650 $72,648 $14,109 $— $— ($57,737) $176 ($3,885) $25,311 

Balance at December 31, 2019 1 464 650 $72,648 $14,109 $— $— ($74,188) $438 ($3,885) $9,122 

Comprehensive income (loss):

Net income (loss) — — — — — — — 4,413 — — 4,413 

Other comprehensive income (loss), net of 

taxes — — — — — — — — 596 — 596 

Comprehensive income (loss) — — — — — — — 4,413 596 — 5,009 

Cumulative effect from adoption of CECL — — — — — — — (240) — — (240) 

Ending balance at September 30, 2020 1 464 650 $72,648 $14,109 $— $— ($70,015) $1,034 ($3,885) $13,891 

The accompanying notes are an integral part of these condensed consolidated financial statements.

Financial Statements Condensed Consolidated Statements of Equity

Freddie Mac 3Q 2021 Form 10-Q 73
FREDDIE MAC

Condensed Consolidated Statements of Cash Flows (Unaudited)

(In millions) YTD 2021 YTD 2020

Net cash provided by (used in) operating activities $17,318 $6,235 

Cash flows from investing activities

Purchases of trading securities (88,061) (111,472) 

Proceeds from sales of trading securities 100,545 86,603 

Proceeds from maturities and repayments of trading securities 6,005 24,589 

Purchases of available-for-sale securities (8,108) (7,851) 

Proceeds from sales of available-for-sale securities 22,270 33,175 

Proceeds from maturities and repayments of available-for-sale securities 991 2,650 

Purchases of mortgage loans acquired as held-for-investment (463,273) (439,606) 

Proceeds from sales of mortgage loans acquired as held-for-investment 6,917 7,725 

Proceeds from repayments of mortgage loans acquired as held-for-investment 592,454 509,762 

Advances under secured lending arrangements (194,127) (91,511) 

Repayments of secured lending arrangements 478 1,406 

Net proceeds from dispositions of real estate owned and other recoveries 199 585 

Net (increase) decrease in securities purchased under agreements to resell 16,282 (36,189) 

Derivative premiums and terminations, swap collateral, and exchange settlement payments, net 1,105 (9,891) 

Other, net (488) (439) 

Net cash provided by (used in) investing activities (6,811) (30,464) 

Cash flows from financing activities

Proceeds from issuance of debt securities of consolidated trusts held by third parties 669,060 502,025 

Repayments and redemptions of debt securities of consolidated trusts held by third parties (608,468) (480,984) 

Proceeds from issuance of debt of Freddie Mac 23,153 409,217 

Repayments of debt of Freddie Mac (112,114) (396,053) 

Net increase (decrease) in securities sold under agreements to repurchase 3,455 (7,046) 

Other, net (4) (45) 

Net cash provided by (used in) financing activities (24,918) 27,114 

Net increase (decrease) in cash and cash equivalents (includes restricted cash and cash equivalents) (14,411) 2,885 

Cash and cash equivalents (includes restricted cash and cash equivalents) at beginning of year 23,889 5,189 

Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period $9,478 $8,074 

Supplemental cash flow information

Cash paid for:

Debt interest $51,686 $53,045 

Income taxes 3,124 740 

Non-cash investing and financing activities (Note 4, 6, and 9)

 The accompanying notes are an integral part of these condensed consolidated financial statements. 

Financial Statements Condensed Consolidated Statements of Cash Flows

Freddie Mac 3Q 2021 Form 10-Q 74
Notes to Condensed Consolidated Financial 

Statements

NOTE 1

Summary of Significant Accounting Policies

Freddie Mac is a GSE chartered by Congress in 1970. Our public mission is to provide liquidity, stability, and affordability to the 

U.S. housing market. We are regulated by FHFA, the SEC, HUD, and Treasury, and are currently operating in conservatorship 

with FHFA as our Conservator. For more information on the roles of FHFA and Treasury, see Note 2 in this Form 10-Q and in 

our Annual Report on Form 10-K for the year ended December 31, 2020, or 2020 Annual Report. Throughout our unaudited 

condensed consolidated financial statements and related notes, we use certain acronyms and terms which are defined in the 

Glossary of our 2020 Annual Report. 

The accompanying unaudited condensed consolidated financial statements should be read in conjunction with the audited 

consolidated financial statements and related notes in our 2020 Annual Report.

Basis of Presentation

The accompanying unaudited condensed consolidated financial statements have been prepared in accordance with GAAP and 

include our accounts as well as the accounts of other entities in which we have a controlling financial interest. All intercompany 

balances and transactions have been eliminated.

We are operating under the basis that we will realize assets and satisfy liabilities in the normal course of business as a going 

concern and in accordance with the authority provided by FHFA to our Board of Directors to oversee management's conduct of 

our business operations. In the opinion of management, our unaudited condensed consolidated financial statements contain all 

adjustments, which include only normal recurring adjustments, necessary for a fair statement of our results.

During 1Q 2021, our chief operating decision maker began making decisions about allocating resources and assessing 

segment performance based on two reportable segments, Single-family and Multifamily. See Note 15 for additional 

information on the change in our segment reporting presentation.

Use of Estimates

The preparation of financial statements requires us to make estimates and assumptions that affect the reported amounts of 

assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported 

amounts of revenues, expenses, gains, and losses during the reporting period. Management has made significant estimates in 

preparing the financial statements for establishing the allowance for credit losses and valuing financial instruments and other 

assets and liabilities. Actual results could be different from these estimates.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 1

Freddie Mac 3Q 2021 Form 10-Q 75
Other Significant Accounting Policies

ASU 2020-06, Debt-Debt with 

Conversion and Other Options 

(Subtopic 470-20) and 

Derivatives and HedgingContracts in Entity's Own Equity 

(Subtopic 815-40): Accounting 

for Convertible Instruments and 

Contracts in an Entity's Own 

Equity

The amendments in this Update simplify an issuer's

accounting for certain financial instruments with

characteristics of liabilities and equity, primarily by

eliminating many of the current separation models

used to account for convertible debt and convertible

preferred stock.

January 1, 2021 The adoption of the amendments did not 

have a material effect on our consolidated 

financial statements.

ASU 2020-08, Codification 

Improvements to Subtopic 

310-20, ReceivablesNonrefundable Fees and Other 

Costs

The amendments in this Update clarify the guidance

for the reevaluation of whether a callable debt

security's amortized cost basis exceeds the amount

repayable by the issuer at the next call date.

January 1, 2021 The adoption of the amendments did not 

have a material effect on our consolidated 

financial statements.

Recently Adopted Accounting Guidance

Standard Description Date of

 Adoption

Effect on Consolidated Financial 

Statements

Recently Issued Accounting Guidance, Not Yet Adopted Within Our Consolidated Financial Statements

Standard Description

Date of 

Planned 

Adoption

Effect on Consolidated Financial 

Statements

ASU 2021-04, Earnings Per 

Share (Topic 260), DebtModifications and 

Extinguishments (Subtopic 

470-50), Compensation-Stock 

Compensation (Topic 718), and 

Derivatives and HedgingContracts in Entity's Own Equity 

(Subtopic 815-40): Issuer's 

Accounting for Certain 

Modifications or Exchanges of 

Freestanding Equity-Classified 

Written Call Options

The amendments in this Update require issuers to 

account for modifications or exchanges of 

freestanding equity-classified written call options 

based on the reason for the modification or 

exchange, to issue equity, to issue or modify debt, 

or for other reasons.

January 1, 2022 We do not expect the adoption of the 

amendments to have a material effect on 

our consolidated financial statements.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 1

Freddie Mac 3Q 2021 Form 10-Q 76
NOTE 2

Conservatorship and Related Matters

Business Objectives

We operate under the conservatorship that commenced on September 6, 2008, conducting our business under the direction of 

FHFA, as our Conservator. The conservatorship and related matters significantly affect our management, business activities, 

financial condition, and results of operations. Upon its appointment, FHFA, as Conservator, immediately succeeded to all 

rights, titles, powers, and privileges of Freddie Mac, and of any stockholder, officer, or director thereof, with respect to the 

company and its assets. The Conservator also succeeded to the title to all books, records, and assets of Freddie Mac held by 

any other legal custodian or third party. The Conservator provided for the Board of Directors to perform certain functions and to 

oversee management, and the Board of Directors delegated to management authority to conduct business operations so that 

the company can continue to operate in the ordinary course. The directors serve on behalf of, and perform such functions as 

provided by, the Conservator.

We are subject to certain constraints on our business activities under the Purchase Agreement. However, the support provided 

by Treasury pursuant to the Purchase Agreement currently enables us to maintain our access to the debt markets and to have 

adequate liquidity to conduct our normal business activities, although the costs of our debt funding could vary. Our ability to 

access funds from Treasury under the Purchase Agreement is critical to keeping us solvent. 

Purchase Agreement

Treasury, as the holder of the senior preferred stock, is entitled to receive quarterly cash dividends, when, as, and if declared by 

our Board of Directors. The dividends we have paid to Treasury on the senior preferred stock have been declared by, and paid 

at the direction of, the Conservator, acting as successor to the rights, titles, powers, and privileges of the Board of Directors. 

Under the August 2012 amendment to the Purchase Agreement, for each quarter from January 1, 2013 and thereafter, the 

dividend payment to Treasury on the senior preferred stock will be the amount, if any, by which our Net Worth Amount at the 

end of the immediately preceding fiscal quarter, less the applicable Capital Reserve Amount, exceeds zero. Pursuant to the 

January 2021 Letter Agreement, the applicable Capital Reserve Amount from October 1, 2020 is the amount of adjusted total 

capital necessary to meet capital requirements and buffers set forth in the ERCF. This increased Capital Reserve Amount will 

remain in effect until the last day of the second fiscal quarter during which we have reached and maintained such level of 

capital (the Capital Reserve End Date). As a result, the company was not required to pay a dividend to Treasury on the senior 

preferred stock in September 2021, and we will not be required to pay a dividend on the senior preferred stock to Treasury until 

we have built sufficient capital to meet the capital requirements and buffers set forth in the ERCF. If for any reason we were not 

to pay our dividend requirements on the senior preferred stock in full in any future period until the Capital Reserve End Date, 

the unpaid amount would be added to the liquidation preference and the applicable Capital Reserve Amount would thereafter 

be zero.

As the company builds capital during this period, the quarterly increases in our Net Worth Amount have been, or will be, added 

to the liquidation preference of the senior preferred stock. As a result, the liquidation preference of the senior preferred stock 

increased from $91.4 billion as of June 30, 2021 to $95.0 billion on September 30, 2021 based on the $3.6 billion increase in 

our Net Worth Amount during 2Q 2021, and will increase to $98.0 billion on December 31, 2021 based on the $2.9 billion

increase in our Net Worth Amount during 3Q 2021. 

The Purchase Agreement includes significant restrictions on our business activities, including limits on our secondary market 

activities; our acquisitions of single-family and multifamily loans; the amount of indebtedness we can incur; the size of our 

mortgage-related investments portfolio; and our ability to pay dividends, transfer certain assets, raise capital, pay down the 

liquidation preference of the senior preferred stock, and exit conservatorship. On September 14, 2021, we, acting through 

FHFA as our Conservator, and Treasury entered into a letter agreement suspending certain requirements in the Purchase 

Agreement related to our cash window activities, multifamily loan purchase activity, acquisitions of single-family loans with 

certain LTV, DTI, and credit score characteristics at origination, and acquisitions of single-family loans secured by investment 

properties and second homes. Each such suspension shall terminate on the later of September 14, 2022 and six months after 

Treasury so notifies Freddie Mac.

The Purchase Agreement has an indefinite term and can terminate only in limited circumstances, which do not include the end 

of the conservatorship. Under the Purchase Agreement, Treasury's consent is required for a termination of conservatorship 

other than in connection with receivership or under specified limited circumstances involving maintenance of certain capital 

levels and resolution of currently pending material litigation related to our conservatorship and the Purchase Agreement.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 2

Freddie Mac 3Q 2021 Form 10-Q 77
Impact of Conservatorship and Related Developments on the MortgageRelated Investments Portfolio

Our ability to acquire and sell mortgage assets is significantly constrained by limitations imposed by the Purchase Agreement 

and FHFA. For example, FHFA has directed us to maintain our mortgage-related investments portfolio at or below $225 billion

at all times. The amount of mortgage assets that we may own in this portfolio is also currently capped under the Purchase 

Agreement at $250 billion. The Purchase Agreement cap will be lowered from $250 billion to $225 billion at the end of 2022. In 

addition to UPB, the calculation of mortgage assets subject to the FHFA and Purchase Agreement caps includes 10% of the 

notional value of our interest-only securities. The balance of the mortgage-related investments portfolio for the purposes of the 

FHFA and Purchase Agreement limits was $126.7 billion as of September 30, 2021, including $12.9 billion representing 10% of 

the notional amount of the interest-only securities we held as of September 30, 2021. 

With respect to the composition of our mortgage-related investments portfolio, FHFA has instructed us to reduce the amount of 

agency MBS to no more than $20 billion, based on UPB, by June 30, 2022.

Government Support for Our Business

We receive substantial support from Treasury and are dependent upon its continued support to continue operating our 

business. Our ability to access funds from Treasury under the Purchase Agreement is critical to: 

n	 Keeping us solvent;

n	 Allowing us to focus on our primary business objectives under conservatorship; and

n	 Avoiding the appointment of a receiver by FHFA under statutory mandatory receivership provisions. 

At June 30, 2021, our assets exceeded our liabilities under GAAP; therefore, FHFA did not request a draw on our behalf and, as 

a result, we did not receive any funding from Treasury under the Purchase Agreement during 3Q 2021. The amount of available 

funding remaining under the Purchase Agreement is $140.2 billion and will be reduced by any future draws.

See Note 9 and Note 12 for more information on the conservatorship and the Purchase Agreement.

Related Parties As a Result of Conservatorship

We are deemed related parties with Fannie Mae as both we and Fannie Mae have the same relationships with FHFA and 

Treasury. CSS was formed in 2013 as a limited liability company equally owned by Freddie Mac and Fannie Mae and is also 

deemed a related party. In October 2021, FHFA announced that it had named a new interim Chair to the CSS Board and that 

the independent members FHFA previously appointed had left the CSS Board. As a result, the CSS Board currently includes an 

independent non-executive interim Chair, the CEO of CSS, two Freddie Mac representatives, and two Fannie Mae 

representatives. During conservatorship, the CSS Board Chair must be designated by FHFA, and all CSS Board decisions 

require the affirmative vote of the Board Chair.

During YTD 2021, we contributed $60 million of capital to CSS, and we have contributed $718 million since we began making 

contributions in the fourth quarter of 2014. The carrying value of our investment in CSS was $12 million and $16 million as of 

September 30, 2021 and December 31, 2020, respectively, and was included in other assets on our condensed consolidated 

balance sheets.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 2

Freddie Mac 3Q 2021 Form 10-Q 78
NOTE 3

Securitization Activities and Consolidation

Our primary business activities in our Single-family and Multifamily segments involve the securitization of loans or other 

mortgage-related assets using trusts that are VIEs. These trusts issue beneficial interests in the loans or other mortgage-related 

assets that they own. We guarantee the principal and interest payments on some or all of the issued beneficial interests in 

substantially all of our securitization transactions. We consolidate VIEs when we have a controlling financial interest in the VIE 

and are therefore considered the primary beneficiary of the VIE. See Note 5 for additional information on our guarantee 

activities.

We do not believe the maximum exposure to loss from our involvement with VIEs for which we are not the primary beneficiary 

discussed below is representative of the actual loss we are likely to incur, based on our historical loss experience and after 

consideration of proceeds from related collateral liquidation, including possible recoveries under credit enhancements. See 

Note 8 for additional information on credit enhancements. Certain of our interest-rate risk-related guarantees to VIEs for which 

we are not the primary beneficiary may create exposure to loss that is unlimited. We account for these interest-rate risk-related 

guarantees at fair value as discussed further in Note 5 and generally reduce our exposure to these guarantees with unlimited 

interest rate exposure through separate derivative contracts with third parties. See Note 10 for additional information on 

derivatives.

Securitization Activities

Single-family

Resecuritization Products

With the exception of commingled securities, our investments in and guarantees of securities issued by resecuritization trusts 

for which we are not the primary beneficiary typically do not create any incremental exposure to loss because we already 

guarantee and consolidate the underlying collateral. While our guarantee of Fannie Mae securities underlying commingled 

resecuritization products creates incremental exposure to loss, we view the likelihood of being required to perform on our 

guarantee as remote due to Fannie Mae's status as a GSE and the funding commitment available to it through its senior 

preferred stock purchase agreement with Treasury. The UPB of Fannie Mae securities underlying commingled Freddie Mac 

resecuritization trusts for which we are not the primary beneficiary totaled $103.9 billion and $85.3 billion as of September 30, 

2021 and December 31, 2020, respectively. See Note 5 for additional information on our guarantee of Fannie Mae securities.

Senior Subordinate Securitization Structures

We do not consolidate our single-family senior subordinate securitization structures backed by seasoned loans because we do 

not have the ability to direct the loss mitigation activities of the underlying loans, which is the most significant activity affecting 

the economic performance of the VIE. The maximum exposure to loss for our single-family senior subordinate securitization 

structures for which we are not the primary beneficiary totaled $27.4 billion and $28.1 billion at September 30, 2021 and 

December 31, 2020, respectively, and represents the UPB of the beneficial interests that we have guaranteed. The total assets 

of these nonconsolidated VIEs totaled $33.3 billion and $33.7 billion at September 30, 2021 and December 31, 2020, 

respectively.

Other Securitization Products

We do not consolidate the trusts used to issue our single-family other securitization products when we are not the primary 

beneficiary. The maximum exposure to loss for these single-family securitizations for which we are not the primary beneficiary 

totaled $1.3 billion and $1.7 billion at September 30, 2021 and December 31, 2020, respectively. The total assets of these 

nonconsolidated VIEs totaled $1.4 billion and $1.8 billion at September 30, 2021 and December 31, 2020, respectively. 

Multifamily

K Certificates

We do not consolidate our K Certificate securitization trusts that have subordination because we do not have the ability to 

direct the loss mitigation activities of the underlying loans, which is the most significant activity affecting the economic 

performance of the VIE. The maximum exposure to loss for our K Certificate securitizations for which we are not the primary 

beneficiary totaled $277.4 billion and $253.0 billion at September 30, 2021 and December 31, 2020, respectively, and primarily 

represents the UPB of the beneficial interests that we have guaranteed. The total assets of these nonconsolidated VIEs totaled 

$316.8 billion and $291.3 billion at September 30, 2021 and December 31, 2020, respectively. 

SB Certificates

Similar to K Certificate transactions, we are not the primary beneficiary of and, therefore, do not consolidate SB Certificate 

trusts, as we do not have the ability to direct loss mitigation activities of the underlying loans, which is the most significant 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 3Q 2021 Form 10-Q 79
activity affecting the economic performance of the VIE. The maximum exposure to loss for our SB Certificate securitizations for 

which we are not the primary beneficiary totaled $22.4 billion and $21.5 billion at September 30, 2021 and December 31, 2020, 

respectively, and primarily represents the UPB of the beneficial interests that we have guaranteed. The total assets of these 

nonconsolidated VIEs totaled $24.9 billion and $23.9 billion at September 30, 2021 and December 31, 2020, respectively.

Other Securitization Products

We do not consolidate the trusts used to issue our other securitization products when we are not the primary beneficiary. The 

maximum exposure to loss for our other securitization products for which we are not the primary beneficiary totaled 

$15.0 billion and $14.9 billion at September 30, 2021 and December 31, 2020, respectively, and primarily represents the UPB of 

the beneficial interests that we have guaranteed. The total assets of these nonconsolidated VIEs totaled $16.9 billion as of 

September 30, 2021 and December 31, 2020.

CRT Activities

STACR Trust Notes

We are not the primary beneficiary of and, therefore, do not consolidate the STACR Trusts used in the STACR Trust Note 

transactions. The maximum exposure to loss for our STACR Trust transactions for which we are not the primary beneficiary 

represents our recorded expected recovery receivable and totaled $69 million and $420 million at September 30, 2021 and 

December 31, 2020, respectively. The total assets of these nonconsolidated VIEs totaled $21.0 billion and $17.3 billion at 

September 30, 2021 and December 31, 2020, respectively. See Note 8 for additional information on the amount of available 

coverage.

Consolidated VIEs 

The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on our 

condensed consolidated balance sheets.

Table 3.1 - Consolidated VIEs

(In millions) September 30, 2021 December 31, 2020

Condensed Consolidated Balance Sheet Line Item

Assets:

Cash and cash equivalents (includes $699 and $17,289 of restricted cash and cash 

equivalents) $700 $17,290 

Securities purchased under agreements to resell 40,154 38,487 

Investment securities, at fair value 842 591 

Mortgage loans held-for-investment, net 2,671,954 2,273,347 

Accrued interest receivable, net 7,031 7,134 

Other assets 16,727 20,480 

Total assets of consolidated VIEs $2,737,408 $2,357,329 

Liabilities:

Accrued interest payable $5,731 $5,610 

Debt 2,701,530 2,308,176 

Total liabilities of consolidated VIEs $2,707,261 $2,313,786 

Nonconsolidated VIEs

The following table presents the carrying amounts and classification of the assets and liabilities recorded on our condensed 

consolidated balance sheets related to VIEs for which we are not the primary beneficiary and with which we were involved in 

the design and creation and have a significant continuing involvement. Our involvement with such VIEs primarily consists of 

investments in debt securities issued by resecuritization trusts and guarantees of senior securities issued by certain Multifamily 

securitization trusts.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 3Q 2021 Form 10-Q 80
Table 3.2 - Nonconsolidated VIEs

(In millions) September 30, 2021 December 31, 2020

Assets and Liabilities Recorded on our Condensed Consolidated Balance Sheets(1)

Assets:

Investment securities, at fair value $23,726 $28,459 

Accrued interest receivable, net 234 239 

Derivative assets, net 22 61 

Other assets 5,516 5,553 

 Liabilities:

Debt 69 — 

Derivative liabilities, net 41 47 

Other liabilities 4,942 4,515 

(1) Includes our variable interests in REMICs and Strips, commingled Supers, K Certificates, SB Certificates, certain senior subordinate securitization structures, and 

other securitization products that we do not consolidate. 

We also obtain interests in various other entities created by third parties through the normal course of business that may be 

VIEs, such as through our investments in certain non-Freddie Mac mortgage-related securities, purchases of multifamily loans, 

guarantees of multifamily housing revenue bonds, as a derivative counterparty, or through other activities. To the extent that we 

were not involved in the design or creation of these VIEs, they are excluded from the table above. Our interests in these VIEs 

are generally passive in nature and are not expected to result in us obtaining a controlling financial interest in these VIEs in the 

future. As a result, we do not consolidate these VIEs and we account for our interests in these VIEs in the same manner that we 

account for our interests in other third-party transactions. See Note 6 for additional information regarding our investments in 

non-Freddie Mac mortgage-related securities. See Note 4 for more information regarding multifamily loans.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 3Q 2021 Form 10-Q 81
NOTE 4

Mortgage Loans 

The table below provides details of the loans on our condensed consolidated balance sheets.

Table 4.1 - Mortgage Loans 

September 30, 2021 December 31, 2020

(In millions) Single-family Multifamily Total Single-family Multifamily Total

Held-for-sale UPB $7,051 $11,246 $18,297 $10,702 $23,789 $34,491 

Cost basis and fair value adjustments, net (1,085) 305 (780) (1,637) 798 (839) 

Total held-for-sale loans, net 5,966 11,551 17,517 9,065 24,587 33,652 

Held-for-investment UPB 2,630,642 24,413 2,655,055 2,271,576 21,923 2,293,499 

Cost basis adjustments 64,994 79 65,073 62,415 54 62,469 

Allowance for credit losses (4,490) (41) (4,531) (5,628) (104) (5,732) 

Total held-for-investment loans, net 2,691,146 24,451 2,715,597 2,328,363 21,873 2,350,236 

Total mortgage loans, net $2,697,112 $36,002 $2,733,114 $2,337,428 $46,460 $2,383,888 

The table below provides details of the UPB of loans we purchased and sold during the periods presented.

Table 4.2 - Loans Purchased and Sold

(In billions) 3Q 2021 3Q 2020 YTD 2021 YTD 2020

Single-family:

Purchases:

 Held-for-investment loans $297.5 $335.4 $945.2 $703.8 

Sale of held-for-sale loans(1) 1.0 4.0 4.0 6.2 

Multifamily:

Purchases:

 Held-for-investment loans 3.0 1.6 5.9 5.9 

 Held-for-sale loans 13.8 14.9 37.6 39.5 

Sale of held-for-sale loans(2) 13.4 19.6 52.2 41.3 

(1) Our sales of single-family loans reflect the sale of seasoned single-family mortgage loans. 

(2) Our sales of multifamily loans occur primarily through the issuance of multifamily K Certificates and SB Certificates. See Note 3 for more information on our K 

Certificates and SB Certificates.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 4

Freddie Mac 3Q 2021 Form 10-Q 82
Reclassifications 

We reclassify loans between held-for-investment and held-for-sale depending on our intent and ability to hold the loan for the 

foreseeable future. The table below presents the allowance for credit losses or valuation allowance that was reversed or 

established due to loan reclassifications between held-for-investment and held-for-sale during the period presented.

Table 4.3 - Loan Reclassifications 

 

3Q 2021 3Q 2020

(In millions) UPB

Allowance for 

Credit Losses 

Reversed or 

(Established)

Valuation 

Allowance 

(Established) 

or Reversed UPB

Allowance for 

Credit Losses 

Reversed or 

(Established)

Valuation 

Allowance 

(Established) 

or Reversed

Single-family reclassifications from:

Held-for-investment to held-for-sale(1) $388 $19 $— $523 $27 $— 

Held-for-sale to held-for-investment(2) 81 4 — 1,440 124 30 

Multifamily reclassifications from:

Held-for-investment to held-for-sale 445 — — 1,432 8 (6) 

 Held-for-sale to held-for-investment — — — 62 — 4 

YTD 2021 YTD 2020

(In millions) UPB

Allowance for 

Credit Losses 

Reversed or 

(Established)

Valuation 

Allowance 

(Established) 

or Reversed UPB

Allowance for 

Credit Losses 

Reversed or 

(Established)

Valuation 

Allowance 

(Established) 

or Reversed

Single-family reclassifications from:

Held-for-investment to held-for-sale(1) $1,358 $54 $— $3,919 $275 $— 

Held-for-sale to held-for-investment(2) 183 13 — 1,685 144 34 

Multifamily reclassifications from:

Held-for-investment to held-for-sale 2,175 6 — 2,079 8 (6) 

 Held-for-sale to held-for-investment 21 — — 633 (1) 4 

(1) Prior to reclassification from held-for-investment to held-for-sale, we charged-off $9 million and $51 million against the allowance for credit losses during 3Q 2021 

and YTD 2021, respectively, compared to $47 million and $220 million during 3Q 2020 and YTD 2020, respectively.

(2) Allowance for credit losses reversed upon reclassifications from held-for-sale to held-for-investment for loans that were previously charged off and the present 

values of expected future cash flows were in excess of the amortized cost basis upon reclassification.

Interest Income

The table below provides the amortized cost basis of non-accrual loans as of the beginning and the end of the periods 

presented, including the interest income recognized for the period that is related to the loans on non-accrual status as of the 

period end. 

Table 4.4 - Amortized Cost Basis of Held-for-Investment Loans on Non-Accrual 

Non-Accrual Amortized Cost Basis Interest Income Recognized(1)

(In millions) June 30, 2021 September 30, 2021 3Q 2021 YTD 2021

Single-family:

20- and 30-year or more, amortizing fixed-rate $19,431 $17,524 $35 $115 

15-year amortizing fixed-rate 914 862 1 4 

Adjustable-rate 268 250 — 1 

Alt-A, interest-only, and option ARM 611 568 2 5 

Total single-family 21,224 19,204 38 125 

Total multifamily — — — — 

Total single-family and multifamily $21,224 $19,204 $38 $125 

 Referenced footnotes are included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 4

Freddie Mac 3Q 2021 Form 10-Q 83
Non-Accrual Amortized Cost Basis Interest Income Recognized(1)

(In millions) June 30, 2020 September 30, 2020 3Q 2020 YTD 2020

Single-family:

20- and 30-year or more, amortizing fixed-rate $10,226 $12,376 $32 $180 

15-year amortizing fixed-rate 528 788 1 9 

Adjustable-rate 150 235 — 3 

Alt-A, interest-only, and option ARM 540 673 1 8 

Total single-family 11,444 14,072 34 200 

Total multifamily — — — — 

Total single-family and multifamily $11,444 $14,072 $34 $200 

(1) Represents the amount of payments received during the period, including those received while the loans were on accrual status, for the held-for-investment loans on 

non-accrual status as of period end.

The table below provides the amount of accrued interest receivable, net, presented on our condensed consolidated balance 

sheets and the amount of accrued interest receivable related to loans on non-accrual status at the end of the periods that is 

charged off.

Table 4.5 - Accrued Interest Receivable, Net and Related Charge-Offs

Accrued Interest Receivable, Net Accrued Interest Receivable Related Charge-Offs

(In millions) September 30, 2021 December 31, 2020 3Q 2021 3Q 2020 YTD 2021 YTD 2020

Single-family loans $7,085 $7,292 ($222) ($104) ($507) ($225) 

Multifamily loans 109 139 — — — — 

Credit Quality 

Single-Family

The current LTV ratio is one key factor we consider when estimating our allowance for credit losses for single-family loans. As 

current LTV ratios increase, the borrower's equity in the home decreases, which may negatively affect the borrower's ability to 

refinance (outside of our relief refinance programs) or to sell the property for an amount at or above the balance of the 

outstanding loan.

A second-lien loan also reduces the borrower's equity in the home and has a similar negative effect on the borrower's ability to 

refinance or sell the property for an amount at or above the combined balances of the first and second loans. However, 

borrowers are free to obtain second-lien financing after origination, and we are not entitled to receive notification when a 

borrower does so. For further information about concentrations of risk associated with our single-family and multifamily loans, 

see Note 16. 

The table below presents the amortized cost basis of single-family held-for-investment loans by current LTV ratio. Our current 

LTV ratios are estimates based on available data through the end of each period presented. For reporting purposes:

n	 Loans within the Alt-A category continue to be presented in that category following modification, even though the borrower 

may have provided full documentation of assets and income to complete the modification and

n Loans within the option ARM category continue to be presented in that category following modification, even though the 

modified loan no longer provides for optional payment provisions.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 4

Freddie Mac 3Q 2021 Form 10-Q 84
Table 4.6 - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratio and Vintage

September 30, 2021

Year of Origination 

Total

(In millions) 2021 2020 2019 2018 2017 Prior

Current LTV Ratio:

 20- and 30-year or more, amortizing fixed-rate

≤ 60 $192,504 $378,784 $79,464 $41,344 $65,973 $438,238 $1,196,307 

> 60 to 80 361,177 384,332 76,070 24,260 16,567 21,565 883,971 

> 80 to 90 101,356 40,872 2,472 563 218 1,036 146,517 

> 90 to 100 49,194 976 104 40 31 414 50,759 

> 100(1) 63 2 3 9 22 438 537 

 Total 20- and 30-year or more, amortizing fixed-rate 704,294 804,966 158,113 66,216 82,811 461,691 2,278,091 

 15-year amortizing fixed-rate

≤ 60 69,910 111,909 18,778 7,929 14,902 85,580 309,008 

> 60 to 80 44,232 27,557 1,817 215 83 56 73,960 

> 80 to 90 3,597 353 9 2 3 5 3,969 

> 90 to 100 559 5 — 1 1 3 569 

> 100(1) 5 — — 1 1 3 10 

 Total 15-year amortizing fixed-rate 118,303 139,824 20,604 8,148 14,990 85,647 387,516 

 Adjustable-rate 

≤ 60 1,457 1,611 808 606 1,874 10,983 17,339 

> 60 to 80 1,918 662 275 114 234 179 3,382 

> 80 to 90 335 20 6 3 4 3 371 

> 90 to 100 110 — — — — 1 111 

> 100(1) 1 — — — — — 1 

 Total adjustable-rate 3,821 2,293 1,089 723 2,112 11,166 21,204 

 Alt-A, Interest-only, and option ARM

≤ 60 — — — — — 7,916 7,916 

> 60 to 80 — — — — — 780 780 

> 80 to 90 — — — — — 76 76 

> 90 to 100 — — — — — 32 32 

> 100(1) — — — — — 21 21 

 Total Alt-A, interest-only, and option ARM — — — — — 8,825 8,825 

Total single-family loans $826,418 $947,083 $179,806 $75,087 $99,913 $567,329 $2,695,636 

Total for all loan product types by current LTV ratio:

≤ 60 $263,871 $492,304 $99,050 $49,879 $82,749 $542,717 $1,530,570 

> 60 to 80 407,327 412,551 78,162 24,589 16,884 22,580 962,093 

> 80 to 90 105,288 41,245 2,487 568 225 1,120 150,933 

> 90 to 100 49,863 981 104 41 32 450 51,471 

> 100(1) 69 2 3 10 23 462 569 

Total single-family loans $826,418 $947,083 $179,806 $75,087 $99,913 $567,329 $2,695,636 

Referenced footnotes are included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 4

Freddie Mac 3Q 2021 Form 10-Q 85
December 31, 2020

Year of Origination 

Total

(In millions) 2020 2019 2018 2017 2016 Prior

Current LTV Ratio:

 20- and 30-year or more, amortizing fixed-rate

≤ 60 $203,333 $52,820 $33,139 $64,834 $115,978 $431,406 $901,510 

> 60 to 80 437,107 141,094 64,236 59,110 40,614 44,636 786,797 

> 80 to 100 206,457 53,926 8,822 2,117 654 3,983 275,959 

> 100(1) 202 7 25 64 61 948 1,307 

 Total 20- and 30-year or more, amortizing fixed-rate 847,099 247,847 106,222 126,125 157,307 480,973 1,965,573 

 15-year amortizing fixed-rate

≤ 60 78,269 17,753 9,914 19,650 29,916 83,842 239,344 

> 60 to 80 67,904 12,169 2,195 961 215 135 83,579 

> 80 to 100 8,553 400 17 12 9 17 9,008 

> 100(1) 21 — 3 5 3 7 39 

 Total 15-year amortizing fixed-rate 154,747 30,322 12,129 20,628 30,143 84,001 331,970 

 Adjustable-rate 

≤ 60 1,427 850 731 2,429 2,042 12,993 20,472 

> 60 to 80 1,403 877 537 1,061 329 528 4,735 

> 80 to 100 232 125 34 29 2 8 430 

> 100(1) — — — — — 1 1 

 Total adjustable-rate 3,062 1,852 1,302 3,519 2,373 13,530 25,638 

 Alt-A, Interest-only, and option ARM

≤ 60 — — — — — 8,620 8,620 

> 60 to 80 — — — — — 1,818 1,818 

> 80 to 100 — — — — — 314 314 

> 100(1) — — — — — 58 58 

 Total Alt-A, interest-only, and option ARM — — — — — 10,810 10,810 

Total single-family loans $1,004,908 $280,021 $119,653 $150,272 $189,823 $589,314 $2,333,991 

Total for all loan product types by Current LTV ratio:

≤ 60 $283,029 $71,423 $43,784 $86,913 $147,936 $536,861 $1,169,946 

> 60 to 80 506,414 154,140 66,968 61,132 41,158 47,117 876,929 

> 80 to 100 215,242 54,451 8,873 2,158 665 4,322 285,711 

> 100(1) 223 7 28 69 64 1,014 1,405 

Total single-family loans $1,004,908 $280,021 $119,653 $150,272 $189,823 $589,314 $2,333,991 

(1) The serious delinquency rate for the single-family held-for-investment mortgage loans with current LTV ratios in excess of 100% was 9.48% and 11.17% as of 

September 30, 2021 and December 31, 2020, respectively.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 4

Freddie Mac 3Q 2021 Form 10-Q 86
Multifamily

The table below presents the amortized cost basis of our multifamily held-for-investment loans, by credit quality indicator, 

based on available data through the end of each period presented. These indicators involve significant management judgment 

and are defined as follows: 

n	 "Pass" is current and adequately protected by the borrower's current financial strength and debt service capacity; 

n	 "Special mention" has administrative issues that may affect future repayment prospects but does not have current credit 

weaknesses. In addition, this category generally includes loans in forbearance; 

n	 "Substandard" has a weakness that jeopardizes the timely full repayment; and 

n	 "Doubtful" has a weakness that makes collection or liquidation in full highly questionable and improbable based on existing 

conditions. 

Table 4.7 - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator and Vintage

September 30, 2021

Year of Origination

(In millions) 2021 2020 2019 2018 2017 Prior Total

Revolving 

Loans

Category:

Pass $3,870 $7,395 $5,510 $1,099 $616 $2,996 $2,385 $23,871 

Special mention — 40 408 — — 43 — 491 

Substandard — 3 32 2 13 80 — 130 

Doubtful — — — — — — — — 

Total $3,870 $7,438 $5,950 $1,101 $629 $3,119 $2,385 $24,492 

December 31, 2020

Year of Origination

(In millions) 2020 2019 2018 2017 2016 Prior Total

Revolving 

Loans

Category:

Pass $7,486 $6,491 $1,075 $722 $590 $2,715 $2,024 $21,103 

Special mention — 524 115 — 8 108 — 755 

Substandard — — 6 41 — 72 — 119 

Doubtful — — — — — — — — 

Total $7,486 $7,015 $1,196 $763 $598 $2,895 $2,024 $21,977 

Past Due Status

The table below presents the amortized cost basis of our single-family and multifamily held-for-investment loans, by payment 

status. 

Table 4.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status 

September 30, 2021

(In millions) Current

One

Month

Past Due

Two

Months

Past Due

Three Months or

More Past Due,

or in Foreclosure(1) Total

Three Months or 

More Past Due, 

and Accruing

Non-accrual 

With No 

Allowance(2)

Single-family:

20- and 30-year or more, amortizing 

fixed-rate $2,233,055 $13,229 $3,071 $28,736 $2,278,091 $11,554 $779 

15-year amortizing fixed-rate 384,362 1,261 220 1,673 387,516 819 11 

Adjustable-rate 20,627 123 29 425 21,204 175 9 

Alt-A, interest-only, and option ARM 7,860 189 68 708 8,825 152 104 

Total single-family 2,645,904 14,802 3,388 31,542 2,695,636 12,700 903 

Total multifamily(3) 24,486 6 — — 24,492 — — 

Total single-family and multifamily $2,670,390 $14,808 $3,388 $31,542 $2,720,128 $12,700 $903 

Referenced footnotes are included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 4

Freddie Mac 3Q 2021 Form 10-Q 87
December 31, 2020

(In millions) Current

One

Month

Past Due

Two

Months

Past Due

Three Months or

More Past Due,

or in Foreclosure(1) Total

Three Months or 

More Past Due, 

and Accruing

Non-accrual 

with No 

Allowance(2)

Single-family:

20- and 30-year or more, amortizing 

fixed-rate $1,891,981 $15,798 $5,941 $51,853 $1,965,573 $40,162 $648 

15-year amortizing fixed-rate 326,651 1,439 429 3,451 331,970 2,723 11 

Adjustable-rate 24,483 192 79 884 25,638 690 5 

Alt-A, interest-only, and option ARM 9,227 292 130 1,161 10,810 538 115 

Total single-family 2,252,342 17,721 6,579 57,349 2,333,991 44,113 779 

Total multifamily(3) 21,977 — — — 21,977 — — 

Total single-family and multifamily $2,274,319 $17,721 $6,579 $57,349 $2,355,968 $44,113 $779 

(1) Includes $0.7 billion and $1.0 billion of single-family loans that were in the process of foreclosure as of September 30, 2021 and December 31, 2020, respectively.

(2) Loans with no allowance for loan losses primarily represent those loans that were previously charged-off and therefore the collateral value is sufficiently in excess of 

the amortized cost to result in recovery of the entire amortized cost basis if the property were foreclosed upon or otherwise subject to disposition. We exclude the 

amounts of allowance for credit losses on accrued interest receivable and advances of pre-foreclosure costs when determining whether a loan has an allowance for 

credit losses.

(3) As of September 30, 2021 and December 31, 2020, includes $0.4 billion and $0.7 billion of multifamily loans in forbearance that are reported as current.

Troubled Debt Restructurings 

The table below provides details of our single-family loan modifications that were classified as TDRs during the periods 

presented. 

Table 4.9 - Single-Family TDR Modification Metrics

3Q 2021 3Q 2020 YTD 2021 YTD 2020

Percentage of single-family loan modifications that were classified as TDRs with:

 Interest rate reductions and related term extensions 12% 16% 13% 15% 

 Principal forbearance and related interest rate reductions and term extensions 34 25 35 20 

Average coupon interest rate reduction 0.4 % 0.3 % 0.4 % 0.3 %

Average months of term extension 154 173 151 183

Substantially all of our completed single-family loan modifications classified as a TDR during 3Q 2021, 3Q 2020, YTD 2021, and 

YTD 2020 resulted in a modified loan with a fixed interest rate.

The table below presents the volume of single-family and multifamily loans that were newly classified as TDRs. Loans classified 

as a TDR in one period may be subject to further action (such as a modification or remodification) in a subsequent period. In 

such cases, the subsequent action would not be reflected in the table below since the loan would already have been classified 

as a TDR.

Table 4.10 - TDR Activity 

3Q 2021 3Q 2020 YTD 2021 YTD 2020

(Dollars in millions)

Number  

of Loans

Post-TDR

Amortized 

Cost Basis

Number  

of Loans

Post-TDR

Amortized 

Cost Basis

Number  

of Loans

Post-TDR

Amortized 

Cost Basis

Number  

of Loans

Post-TDR

Amortized 

Cost Basis

Single-family:(1)(2)

20- and 30-year or more, amortizing fixed-rate 3,136 $562 6,432 $1,290 10,647 $1,889 18,173 $3,360 

15-year amortizing fixed-rate 365 37 802 97 1,262 131 2,121 230 

Adjustable-rate 37 8 89 18 137 27 274 50 

Alt-A, interest-only, and option ARM 109 16 307 47 416 55 608 90 

Total single-family 3,647 623 7,630 1,452 12,462 2,102 21,176 3,730 

Multifamily — — — — — — — — 

(1) The pre-TDR amortized cost basis for single-family loans initially classified as TDRs during 3Q 2021 and YTD 2021 was $0.6 billion and $2.1 billion, respectively, 

compared to $1.4 billion and $3.7 billion during 3Q 2020 and YTD 2020, respectively.

(2) Includes certain bankruptcy events and forbearance plans, repayment plans, payment deferrals, and modification activities that do not qualify for the temporary relief 

related to TDRs provided by the CARES Act based on servicer reporting at the time of the TDR event.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 4

Freddie Mac 3Q 2021 Form 10-Q 88
The table below presents the volume of our TDR modifications that experienced payment defaults (i.e., loans that became two 

months delinquent or completed a loss event) during the applicable periods and had completed a modification during the year 

preceding the payment default.

Table 4.11 - Payment Defaults of Completed TDR Modifications

3Q 2021 3Q 2020 YTD 2021 YTD 2020

(Dollars in millions)

Number 

of Loans

Post-TDR

Amortized 

Cost Basis

Number 

of Loans

Post-TDR

Amortized 

Cost Basis

Number 

of Loans

Post-TDR

Amortized 

Cost Basis

Number 

of Loans

Post-TDR

Amortized 

Cost Basis

Single-family:

20- and 30-year or more, amortizing fixed-rate 595 $103 2,008 $357 2,408 $425 8,628 $1,575 

15-year amortizing fixed-rate 15 2 82 9 101 11 398 49 

Adjustable-rate — — 17 2 21 4 105 16 

Alt-A, interest-only, and option ARM 70 10 106 19 286 44 619 123 

Total single-family 680 115 2,213 387 2,816 484 9,750 1,763 

Multifamily — — — — — — — — 

In addition to modifications, loans may be classified as TDRs as a result of other loss mitigation activities (i.e., repayment plans, 

forbearance plans, or loans in modification trial periods). During YTD 2021 and YTD 2020, 2,264 and 2,903, respectively, of 

such loans (with a post-TDR amortized cost basis of $0.4 billion during both periods) experienced a payment default within a 

year after the loss mitigation activity occurred.

Non-Cash Investing and Financing Activities

During YTD 2021 and YTD 2020, we acquired $507.4 billion and $293.9 billion, respectively, of loans held-for-investment in 

exchange for the issuance of debt securities of consolidated trusts in guarantor swap transactions. We received approximately 

$189.3 billion and $87.2 billion of loans held-for-investment from sellers during YTD 2021 and YTD 2020, respectively, to satisfy 

advances to lenders that were recorded in other assets on our condensed consolidated balance sheets.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 4

Freddie Mac 3Q 2021 Form 10-Q 89
NOTE 5 

Guarantees and Other Off-Balance Sheet Credit Exposures

We generate revenue through our guarantee activities by agreeing to absorb the credit risk associated with certain financial 

instruments that are owned or held by third parties. In exchange for providing this guarantee, we generally receive an ongoing 

guarantee fee that is commensurate with the risks assumed and that will, over the long-term, provide us with cash flows that 

are expected to exceed the credit-related and administrative expenses of the underlying financial instruments. The profitability 

of our guarantee activities may vary and will be dependent on our guarantee fee and the actual credit performance of the 

underlying financial instruments that we have guaranteed.

The table below shows our maximum exposure, recognized liability, and maximum remaining term of our guarantees to 

nonconsolidated VIEs and other third parties. This table does not include certain of our unrecognized guarantees, such as 

guarantees to consolidated VIEs or to resecuritization trusts that do not expose us to incremental credit risk. The maximum 

exposure disclosed in the table is not representative of the actual loss we are likely to incur, based on our historical loss 

experience and after consideration of proceeds from related collateral liquidation, including possible recoveries under credit 

enhancements. See Note 8 for additional information on our credit enhancements.

Table 5.1 - Financial Guarantees

September 30, 2021 December 31, 2020

(Dollars in millions, terms in years)

Maximum

Exposure(1)

Recognized

Liability(2)

Maximum

Remaining

Term

Maximum

Exposure(1)

Recognized

Liability(2)

Maximum

Remaining

Term

Single-family:

Securitization activity guarantees $28,735 $406 40 $29,739 $401 39

Other mortgage-related guarantees 10,375 245 30 9,215 193 30

Total single-family $39,110 $651 $38,954 $594 

Multifamily:

Securitization activity guarantees $312,677 $4,450 39 $287,334 $4,031 39

Other mortgage-related guarantees 10,338 402 33 10,721 425 33

Total multifamily $323,015 $4,852 $298,055 $4,456 

Other guarantees $66,065 $1,684 30 $47,703 $794 30

Fannie Mae securities backing Freddie Mac 

resecuritization products 104,736 — 40 85,841 — 41

(1) The maximum exposure represents the contractual amounts that could be lost if counterparties or borrowers defaulted, without consideration of proceeds from 

related collateral liquidation and possible recoveries under credit enhancements. For other guarantees, this amount primarily represents the notional amount or UPB 

of our interest rate and market value guarantees and guarantees of third-party derivatives. For certain of our other guarantees, our exposure may be unlimited; 

however, we generally reduce our exposure through separate derivative contracts with third parties.

(2) For securitization activity guarantees and other mortgage-related guarantees, this amount represents the guarantee obligation on our condensed consolidated 

balance sheets and excludes our allowance for credit losses on off-balance sheet credit exposures. For other guarantees, this amount represents the fair value of the 

contract.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 5

Freddie Mac 3Q 2021 Form 10-Q 90
The table below shows the payment status of the mortgage loans underlying our guarantees that are not measured at fair value.

Table 5.2 – UPB of Loans Underlying Our Guarantees by Payment Status 

September 30, 2021

(In millions) Current

One

Month

Past Due

Two

Months

Past Due

Three Months or

More Past Due,

or in Foreclosure Total(1)

Single-family $39,706 $1,870 $633 $2,614 $44,823 

Multifamily(2) 366,061 39 19 457 366,576 

Total $405,767 $1,909 $652 $3,071 $411,399 

December 31, 2020

(In millions) Current

One

Month

Past Due

Two

Months

Past Due

Three Months or

More Past Due,

or in Foreclosure Total(1)

Single-family $37,187 $2,204 $945 $3,922 $44,258 

Multifamily(2) 339,614 87 62 557 340,320 

Total $376,801 $2,291 $1,007 $4,479 $384,578 

(1) Loan-level payment status is not available for certain guarantees totaling $0.4 billion and $0.7 billion as of September 30, 2021 and December 31, 2020, 

respectively, and therefore is not included in the table above.

(2) As of September 30, 2021 and December 31, 2020, includes $1.3 billion and $6.9 billion, respectively, of multifamily loans in forbearance that are reported as 

current.

Other Off-Balance Sheet Credit Exposures

In addition to our guarantees, we enter into other agreements that expose us to off-balance sheet credit risk, primarily related to 

our multifamily business, including certain purchase commitments that are not accounted for as derivative instruments, liquidity 

guarantees, unfunded lending arrangements and other similar commitments. These agreements may require us to transfer cash 

before or upon settlement of our contractual obligation. We recognize an allowance for credit losses for those agreements not 

measured at fair value or otherwise recognized in the financial statements. The total notional value of off-balance sheet credit 

exposures was $15.4 billion as of September 30, 2021 and December 31, 2020. See Note 7 for additional discussion of our 

allowance for credit losses on our off-balance sheet credit exposures. 

We also have certain multifamily purchase commitments totaling $9.5 billion and $5.5 billion at September 30, 2021 and 

December 31, 2020, respectively, that are excluded from the amounts above as they are not included in our allowance for 

credit losses. We have elected the fair value option for certain of these commitments.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 5

Freddie Mac 3Q 2021 Form 10-Q 91
NOTE 6

Investment Securities

The table below summarizes the fair values of our investments in debt securities by classification.

Table 6.1 - Investment Securities

(In millions) September 30, 2021 December 31, 2020

Trading securities $52,723 $44,458 

Available-for-sale securities 4,207 15,367 

Total fair value of investment securities $56,930 $59,825 

As of September 30, 2021 and December 31, 2020, we did not classify any securities as held-to-maturity, although we may 

elect to do so in the future.

Trading Securities 

The table below presents the estimated fair values of our trading securities by major security type. Our non-mortgage-related 

securities primarily consist of investments in U.S. Treasury securities. 

Table 6.2 - Trading Securities

(In millions) September 30, 2021 December 31, 2020

Mortgage-related securities:

Agency $22,210 $17,504 

Non-agency — 1 

Total mortgage-related securities 22,210 17,505 

Non-mortgage-related securities 30,513 26,953 

Total fair value of trading securities $52,723 $44,458 

For trading securities held at September 30, 2021, we recorded net unrealized gains (losses) of ($480) million and ($1,229) 

million during 3Q 2021 and YTD 2021, respectively. For trading securities held at September 30, 2020, we recorded net 

unrealized gains (losses) of ($161) million and $171 million during 3Q 2020 and YTD 2020, respectively. 

Available-for-Sale Securities 

At September 30, 2021 and December 31, 2020, all available-for-sale securities were mortgage-related securities. We had no

allowance for credit losses on our available-for-sale securities as of September 30, 2021 and December 31, 2020. 

The table below provides details of the securities classified as available-for-sale on our condensed consolidated balance 

sheets. 

Table 6.3 - Available-for-Sale Securities 

September 30, 2021

Amortized

Cost

Basis

Gross Unrealized 

Gains in Other 

Comprehensive 

Income

Gross Unrealized

Losses in Other 

Comprehensive 

Income Fair Value

Accrued Interest 

(In millions) Receivable

Available-for-sale securities:

Agency $3,094 $153 ($1) $3,246 $7 

Non-agency and other 700 261 — 961 3 

Total available-for-sale securities $3,794 $414 ($1) $4,207 $10 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 6

Freddie Mac 3Q 2021 Form 10-Q 92
December 31, 2020

Amortized

Cost

Basis

Gross Unrealized

Gains in Other 

Comprehensive 

Income

Gross Unrealized

Losses in Other 

Comprehensive 

Income Fair Value

Accrued Interest 

(In millions) Receivable

Available-for-sale securities:

Agency $13,514 $794 ($4) $14,304 $36 

Non-agency and other 830 233 — 1,063 4 

Total available-for-sale securities $14,344 $1,027 ($4) $15,367 $40 

The fair value of our available-for-sale securities held at September 30, 2021 scheduled to contractually mature after ten years 

was $1.7 billion, with an additional $1.5 billion scheduled to contractually mature after five years through ten years. 

Available-for-Sale Securities in a Gross Unrealized Loss Position

The table below presents available-for-sale securities in a gross unrealized loss position and whether such securities have been 

in an unrealized loss position for less than 12 months, or 12 months or greater. 

Table 6.4 - Available-for-Sale Securities in a Gross Unrealized Loss Position

September 30, 2021

Less than 12 Months 12 Months or Greater

(In millions)

Fair

Value

Gross 

Unrealized 

Losses

Fair

Value

Gross 

Unrealized 

Losses

Available-for-sale securities:

Agency $36 $— $87 ($1) 

Non-agency and other 1 — — — 

Total available-for-sale securities in a gross unrealized loss position $37 $— $87 ($1) 

December 31, 2020

Less than 12 Months 12 Months or Greater

(In millions)

Fair

Value

Gross 

Unrealized 

Losses

Fair

Value

Gross 

Unrealized 

Losses

Available-for-sale securities:

Agency $223 ($2) $144 ($2) 

Non-agency and other 17 — — — 

Total available-for-sale securities in a gross unrealized loss position $240 ($2) $144 ($2) 

At September 30, 2021, the gross unrealized losses relate to 34 securities.

Realized Gains and Losses on Sales of Available-for-Sale Securities

The table below summarizes the gross realized gains and gross realized losses from the sale of available-for-sale securities. 

Table 6.5 - Gross Realized Gains and Gross Realized Losses from Sales of Available-for-Sale Securities

(In millions) 3Q 2021 3Q 2020 YTD 2021 YTD 2020

Gross realized gains $14 $53 $534 $130 

Gross realized losses (4) (27) (57) (87) 

Net realized gains (losses) $10 $26 $477 $43 

Non-Cash Investing and Financing Activities

During YTD 2021 and YTD 2020, we recognized $32.4 billion and $22.2 billion, respectively, of investment securities in 

exchange for the issuance of debt securities of consolidated trusts through partial sales of commingled single-class securities 

that were previously consolidated.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 6

Freddie Mac 3Q 2021 Form 10-Q 93
NOTE 7

Allowance for Credit Losses

The table below summarizes changes in our allowance for credit losses.

Table 7.1 - Details of the Allowance for Credit Losses 

3Q 2021 3Q 2020 YTD 2021 YTD 2020

 (In millions) 

Singlefamily Multifamily TotalSinglefamily Multifamily TotalSinglefamily Multifamily TotalSinglefamily Multifamily Total

Beginning balance $5,513 $96 $5,609 $6,916 $216 $7,132 $6,353 $200 $6,553 $5,233 $68 $5,301 

Provision (benefit) 

for credit losses (244) 1 (243) 320 7 327 (1,076) (103) (1,179) 2,110 155 2,265 

Charge-offs (288) — (288) (122) — (122) (729) — (729) (407) — (407) 

Recoveries 

collected 43 — 43 41 — 41 150 — 150 165 — 165 

Other 268 — 268 39 — 39 594 — 594 93 — 93 

Ending balance $5,292 $97 $5,389 $7,194 $223 $7,417 $5,292 $97 $5,389 $7,194 $223 $7,417 

Components of the ending balance of the allowance for credit losses:

Mortgage loans 

held-forinvestment $4,490 $41 $4,531 $6,647 $126 $6,773 

Advances of preforeclosure costs 592 — 592 383 — 383 

Accrued interest 

receivable on 

mortgage loans 157 — 157 107 — 107 

Off-balance sheet 

credit exposures 53 56 109 57 97 154 

 Total $5,292 $97 $5,389 $7,194 $223 $7,417 

3Q 2021 vs. 3Q 2020 and YTD 2021 vs. YTD 2020

A benefit for credit losses in the 2021 periods primarily driven by the following factors:

n A reserve release due to:

l	 Reduced expected credit losses related to COVID-19 - Our estimate of expected credit losses related to the COVID-19 

pandemic decreased during the 2021 periods as economic conditions improved. Our provision for credit losses 

increased during the 2020 periods due to the increase in expected credit losses related to the economic effects of the 

pandemic.

l	 Appreciation in realized house prices - The realized house price growth rates were higher in the 2021 periods and, as a 

result, further reduced our estimate of expected credit losses as the higher house prices decreased both the 

probability and severity of expected credit losses. 

n	 This was partially offset by an increase in expected losses on new single-family loans due to growth in our single-family 

mortgage portfolio. We recognize expected credit losses at the time of loan acquisition.

In addition, charge-offs increased due to an increase in the number of loans we placed on non-accrual status in the 2021 

periods. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 7

Freddie Mac 3Q 2021 Form 10-Q 94
NOTE 8

Credit Enhancements

We obtain various forms of credit enhancements that reduce our exposure to credit losses. These credit enhancements may be 

associated with mortgage loans or guarantees recognized on our condensed consolidated balance sheets or embedded in debt 

recognized on our condensed consolidated balance sheets. 

The table below presents details of our credit enhancement receivables. These amounts are recognized in other assets on our 

condensed consolidated balance sheets.

Table 8.1 - Credit Enhancement Receivables

(In millions) September 30, 2021 December 31, 2020

Freestanding credit enhancement expected recovery receivables, net of allowance $157 $677 

Primary mortgage insurance receivables(1), net of allowance 71 74 

Total credit enhancement receivables $228 $751 

(1) Excludes $433 million and $444 million of deferred payment obligations associated with unpaid claim amounts as of September 30, 2021 and December 31, 2020, 

respectively. We have reserved for substantially all these unpaid amounts as collectability is uncertain.

For information about counterparty credit risk associated with mortgage insurers and other credit enhancement providers, see 

Note 16.

Single-Family Credit Enhancements 

The table below presents the UPB and maximum coverage related to our single-family credit enhancements.

Table 8.2 - Single-Family Credit Enhancements 

September 30, 2021 December 31, 2020

(In millions) 

Credit Enhancement 

Accounting Treatment UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2)

Primary mortgage insurance(3) Attached $528,184 $130,218 $472,881 $116,973 

STACR:

 Trust notes Freestanding 674,897 21,036 488,251 17,288 

 Debt notes Debt 243,770 9,701 365,482 12,377 

Insurance/reinsurance(4) Freestanding 945,982 15,652 876,815 11,586 

Subordination:

 Nonconsolidated VIEs Guarantee 34,040 5,892 34,671 5,718 

 Consolidated VIEs Debt 5,140 311 9,499 464 

Lender risk-sharing Freestanding 4,815 4,377 5,731 4,831 

Other Primarily attached 165 162 374 371 

Total single-family credit enhancements $187,349 $169,608 

(1) Represents the current UPB of the assets included in the associated reference pool or securitization trust, as applicable. Underlying loans may be covered by more 

than one form of credit enhancement. The UPB of certain CRT transactions may be different from the UPB of the underlying loans due to timing differences in 

reporting cycles between the transactions and the loans. Prior periods have been revised to conform to the current period presentation.

(2) For STACR transactions, represents the outstanding balance held by third parties. For insurance/reinsurance transactions, represents the remaining aggregate limit 

of insurance purchased from third parties. For subordination, represents the outstanding UPB of the securities that are held by third parties and are subordinate to 

the securities we guarantee. For lender risk-sharing, represents the remaining amount of loss recovery that is available subject to the terms of counterparty 

agreements.

(3) Amounts exclude certain loans for which we do not control servicing, as the coverage information for these loans is not readily available to us.

(4) As of September 30, 2021 and December 31, 2020, substantially all of our counterparties posted sufficient collateral on our ACIS transactions to meet the minimum 

collateral requirements of the ACIS program, which are based on a combination of factors, including counterparty credit risk of the reinsurer and the structure and 

risk profile of the transaction.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 8

Freddie Mac 3Q 2021 Form 10-Q 95
Multifamily Credit Enhancements

The table below presents the UPB and maximum coverage related to our multifamily credit enhancements.

Table 8.3 - Multifamily Credit Enhancements

September 30, 2021 December 31, 2020

(In millions)

Credit Enhancement 

Accounting Treatment UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2)

Subordination:

Nonconsolidated VIEs Guarantee $355,710 $44,046 $328,897 $42,799 

Lender risk-sharing Freestanding 3,814 718 3,317 598 

Insurance/reinsurance(3) Freestanding 5,298 187 5,383 190 

SCR:

Trust notes Freestanding 8,846 503 — — 

Debt notes Debt 2,093 105 2,217 111 

Other Primarily debt 1,139 379 2,211 453 

Total multifamily credit enhancements $45,938 $44,151 

(1) Represents the current UPB of the mortgage assets included in the associated reference pool or securitization trust, as applicable. Underlying loans may be covered 

by more than one form of credit enhancement. Prior periods have been revised to conform to the current period presentation.

(2) For subordination, represents the outstanding UPB of the securities that are held by third parties and are subordinate to the securities we guarantee. For lender risksharing, represents the remaining amount of loss recovery that is available subject to the terms of counterparty agreements. For insurance/reinsurance transactions, 

represents the remaining aggregate limit of insurance purchased from third parties. For SCR transactions, represents the outstanding balance held by third parties. 

Prior periods have been revised to conform to the current period presentation. 

(3) As of September 30, 2021 and December 31, 2020, the counterparties to our insurance/reinsurance transactions have complied with the minimum collateral 

requirements. Minimum collateral requirements are assessed on each deal based on a combination of factors, including counterparty credit risk of the reinsurer and 

the structure and risk profile of the transaction.

We have other multifamily credit enhancements in the form of collateral posting requirements, indemnification, pool insurance, 

bond insurance, recourse, and other similar arrangements. These credit enhancements, along with the proceeds received from 

the sale of the underlying mortgage collateral, are designed to recover all or a portion of our losses on our mortgage loans or 

the amounts paid under our financial guarantee contracts. Our historical losses and related recoveries pursuant to these 

agreements have not been significant and therefore these other types of multifamily credit enhancements are excluded from the 

table above.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 8

Freddie Mac 3Q 2021 Form 10-Q 96
NOTE 9

Debt

The table below summarizes the balances of total debt per our condensed consolidated balance sheets.

Table 9.1 - Total Debt

(In millions) September 30, 2021 December 31, 2020

Debt securities of consolidated trusts held by third parties $2,701,530 $2,308,176 

Debt of Freddie Mac:

Short-term debt — 4,955 

Long-term debt 193,896 279,415 

Total debt of Freddie Mac 193,896 284,370 

Total debt $2,895,426 $2,592,546 

As of September 30, 2021, our aggregate indebtedness was $197.6 billion, which was below the current $300.0 billion debt cap 

limit imposed by the Purchase Agreement. Our aggregate indebtedness calculation primarily includes the par value of shortand long-term debt.

Debt Securities of Consolidated Trusts Held by Third Parties 

The table below summarizes the debt securities of consolidated trusts held by third parties based on underlying loan product 

type.

Table 9.2 - Debt Securities of Consolidated Trusts Held by Third Parties 

September 30, 2021 December 31, 2020

(Dollars in millions)

Contractual

Maturity UPB

Carrying 

Amount(1)

Weighted

Average

Coupon(2)

Contractual

Maturity UPB

Carrying 

Amount(1)

Weighted

Average

Coupon(2)

Single-family:

30-year or more, fixed-rate 2021 - 2061 $2,096,351 $2,154,881 2.68 % 2021 - 2060 $1,799,065 $1,855,438 3.07 %

20-year fixed-rate 2021 - 2041 122,738 126,011 2.46 2021 - 2041 97,520 100,498 2.84 

15-year fixed-rate 2021 - 2036 368,734 377,973 2.19 2021 - 2036 303,142 310,612 2.46 

Adjustable-rate 2021 - 2051 21,025 21,510 2.35 2021 - 2051 23,964 24,484 2.76 

Interest-only 2026 - 2051 2,893 3,075 2.47 2026 - 2041 3,671 3,736 3.15 

FHA/VA 2022 - 2051 841 857 3.65 2021 - 2050 752 769 4.04 

Total single-family 2,612,582 2,684,307 2,228,114 2,295,537 

Multifamily 2021 - 2051 16,994 17,223 2.19 2021 - 2050 12,488 12,639 2.43 

Total debt of consolidated trusts 

held by third parties $2,629,576 $2,701,530 $2,240,602 $2,308,176 

(1) Includes $448 million and $205 million at September 30, 2021 and December 31, 2020, respectively, of debt securities of consolidated trusts that represents the fair 

value of debt for which the fair value option was elected.

(2) The effective interest rate for debt securities of consolidated trusts held by third parties was 1.58% and 1.76% as of September 30, 2021 and December 31, 2020, 

respectively.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 9

Freddie Mac 3Q 2021 Form 10-Q 97
Debt of Freddie Mac

The table below summarizes the balances and effective interest rates for debt of Freddie Mac.

Table 9.3 - Total Debt of Freddie Mac 

September 30, 2021 December 31, 2020

(Dollars in millions) Par Value

Carrying 

Amount(1)

Weighted

Average

Effective Rate(2) Par Value

Carrying 

Amount(1)

Weighted

Average

Effective Rate(2)

Short-term debt:

Discount notes and Reference Bills $— $— — % $11 $11 0.69 %

Medium-term notes — — — 4,944 4,944 1.31 

Securities sold under agreements to repurchase(3) 3,455 3,455 (0.01) — — — 

Total short-term debt 3,455 3,455 (0.01) 4,955 4,955 1.31 

Long-term debt:

Original maturities on or before December 31,

2021 13,498 13,498 0.79 43,422 43,417 0.95 

2022 48,707 48,726 0.78 61,071 61,092 0.68 

2023 39,963 39,913 0.46 61,998 61,920 0.45 

2024 13,364 13,345 0.46 21,679 21,651 0.61 

2025 35,471 35,126 0.83 44,342 43,944 0.84 

Thereafter 36,602 34,892 2.62 36,386 34,583 2.64 

STACR and SCR debt(4) 9,806 9,651 4.23 12,488 12,342 4.18 

Hedging-related basis adjustments N/A (1,255) N/A 466 

Total long-term debt 197,411 193,896 1.20 281,386 279,415 1.09 

Total debt of Freddie Mac(5) $200,866 $197,351 $286,341 $284,370 

(1) Represents par value, net of associated discounts or premiums and issuance cost. Includes $1.5 billion and $2.4 billion at September 30, 2021 and December 31, 

2020, respectively, of long-term debt that represents the fair value of debt for which the fair value option was elected.

(2) Based on carrying amount.

(3) We offset payables related to securities sold under agreements to repurchase against receivables related to securities purchased under agreements to resell on our 

condensed consolidated balance sheets, when such amounts meet the conditions for offsetting in the accounting guidance.

(4) Contractual maturities of these debt securities are not presented because they are subject to prepayment risk, as their payments are based upon the performance of 

a pool of mortgage assets that may be prepaid by the related mortgage borrower at any time, generally without penalty. 

(5) Carrying amount for debt of Freddie Mac includes callable debt of $70.4 billion and $124.0 billion at September 30, 2021 and December 31, 2020, respectively.

Non-Cash Investing and Financing Activities

During 3Q 2020, we issued $0.8 billion of debt of Freddie Mac in exchange for cash collateral that was previously pledged by 

sellers. This debt issuance represents a non-cash transaction.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 9

Freddie Mac 3Q 2021 Form 10-Q 98
NOTE 10

Derivatives

Use of Derivatives

We use derivatives primarily to hedge interest-rate sensitivity mismatches between our financial assets and liabilities. We 

analyze the interest-rate sensitivity of financial assets and liabilities across a variety of interest-rate scenarios based on market 

prices, models, and economics. When we use derivatives to mitigate our exposures, we consider a number of factors, including 

cost, exposure to counterparty risk, and our overall risk management strategy.

We classify derivatives into three categories: 

n	 Exchange-traded derivatives; 

n	 Cleared derivatives; and 

n	 OTC derivatives.

Exchange-traded derivatives include standardized interest-rate futures contracts and options on futures contracts. Cleared 

derivatives refer to those interest-rate swaps that the CFTC has determined are subject to the central clearing requirement of 

the Dodd-Frank Act. OTC derivatives refer to those derivatives that are neither exchange-traded derivatives nor cleared 

derivatives.

Types of Derivatives

We principally use the following types of derivatives:

n	 LIBOR- and SOFR-based interest-rate swaps;

n	 LIBOR-, Treasury-, and SOFR-based purchased options (including swaptions); and

n	 LIBOR-, Treasury-, and SOFR-based exchange-traded futures.

We also purchase swaptions on credit indices in order to obtain protection against adverse movements in multifamily spreads 

which may affect the profitability of our K Certificate or SB Certificate transactions.

In addition to swaps, futures, and purchased options, our derivative positions include written options and swaptions, and 

commitments.

Hedge Accounting

We apply fair value hedge accounting to certain single-family mortgage loans and certain issuances of debt where we hedge 

the changes in fair value of these items attributable to the designated benchmark interest rate (i.e., LIBOR), using LIBOR-based 

interest-rate swaps.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 10 

Freddie Mac 3Q 2021 Form 10-Q 99
Derivative Assets and Liabilities at Fair Value

The table below presents the notional value and fair value of derivatives reported on our condensed consolidated balance 

sheets. 

Table 10.1 - Derivative Assets and Liabilities at Fair Value

September 30, 2021 December 31, 2020

Notional or

Contractual

Amount

Derivatives at Fair Value Notional or

Contractual

Amount

Derivatives at Fair Value

(In millions) Assets Liabilities Assets Liabilities

Not designated as hedges

Interest-rate risk management derivatives:

Swaps $615,568 $1,910 ($4,465) $559,596 $2,639 ($7,091) 

Written options 32,882 — (1,634) 18,259 — (735) 

Purchased options(1) 163,055 4,011 — 169,995 5,265 — 

Futures 82,170 — — 181,702 — — 

Total interest-rate management derivatives 893,675 5,921 (6,099) 929,552 7,904 (7,826) 

Mortgage commitment derivatives:

Forward contracts to purchase mortgage loans 12,218 11 (38) 37,122 183 — 

Forward contracts to purchase mortgage-related securities 30,606 6 (170) 45,185 203 — 

Forward contracts to sell mortgage-related securities 83,885 456 (16) 136,802 2 (759) 

Total mortgage commitment derivatives 126,709 473 (224) 219,109 388 (759) 

CRT-related derivatives 31,530 22 (33) 28,949 61 (47) 

Other 6,625 2 (23) 4,029 2 (16) 

Total derivatives not designated as hedges 1,058,539 6,418 (6,379) 1,181,639 8,355 (8,648) 

Designated as fair value hedges

Interest-rate risk management derivatives:

Swaps 141,214 74 (1,602) 180,686 224 (500) 

Total derivatives designated as fair value hedges 141,214 74 (1,602) 180,686 224 (500) 

Derivative interest receivable (payable)(2) 407 (459) 455 (523) 

Netting adjustments(3) (5,946) 8,051 (7,829) 8,717 

Total derivative portfolio, net $1,199,753 $953 ($389) $1,362,325 $1,205 ($954) 

(1) Includes swaptions on credit indices with a notional or contractual amount of $11.4 billion and $16.8 billion at September 30, 2021 and December 31, 2020, 

respectively, and a fair value of $3.0 million and $9.0 million at September 30, 2021 and December 31, 2020, respectively. 

(2) Includes other derivative receivables and payables.

(3) Represents counterparty netting and cash collateral netting.

See Note 11 for information related to our derivative counterparties and collateral held and posted.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 10 

Freddie Mac 3Q 2021 Form 10-Q 100
Gains and Losses on Derivatives

The table below presents the gains and losses on derivatives, including the accrual of periodic cash settlements, while not 

designated in qualifying hedge relationships and reported on our condensed consolidated statements of comprehensive 

income (loss) as investment gains (losses), net.

Table 10.2 - Gains and Losses on Derivatives 

(In millions) 3Q 2021 3Q 2020 YTD 2021 YTD 2020

Not designated as hedges

Interest-rate risk management derivatives:

Swaps $649 $1,048 $2,303 ($2,815) 

Written options (9) 37 (165) (228) 

Purchased options (225) (580) (859) 3,202 

Futures 30 (33) 189 (2,481) 

Total interest-rate risk management derivatives fair value gains (losses) 445 472 1,468 (2,322) 

Mortgage commitment derivatives 46 (335) 662 (1,457) 

CRT-related derivatives (2) 48 (29) 169 

Other 14 18 22 55 

Total derivatives not designated as hedges fair value gains (losses) 503 203 2,123 (3,555) 

 Accrual of periodic cash settlements(1) (471) (540) (1,283) (1,045) 

Total $32 ($337) $840 ($4,600) 

(1) Includes interest on variation margin on cleared interest-rate swaps.

Fair Value Hedges 

The table below presents the effects of fair value hedge accounting by condensed consolidated statements of comprehensive 

income (loss) line item, including the gains and losses on derivatives and hedged items designated in qualifying hedge 

relationships and other components due to the application of hedge accounting.

Table 10.3 - Gains and Losses on Fair Value Hedges

3Q 2021 3Q 2020

(In millions) Interest Income Interest Expense Interest Income Interest Expense 

Total amounts of income and expense line items presented in 

our condensed consolidated statements of comprehensive 

income in which the effects of fair value hedges are recorded: $15,791 ($11,373) $14,849 ($11,392) 

Interest contracts on mortgage loans held-for-investment:

Gain (loss) on fair value hedging relationships:

Hedged items 38 — (121) — 

Derivatives designated as hedging instruments (58) — 239 — 

Interest accruals on hedging instruments (14) — (128) — 

Discontinued hedge-related basis adjustments amortization (332) — (943) — 

Interest contracts on debt:

Gain (loss) on fair value hedging relationships:

Hedged items — 211 — 210 

Derivatives designated as hedging instruments — (256) — (219) 

Interest accruals on hedging instruments — 236 — 266 

Discontinued hedge-related basis adjustments amortization — 6 — 15 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 10 

Freddie Mac 3Q 2021 Form 10-Q 101
YTD 2021 YTD 2020

(In millions) Interest Income Interest Expense Interest Income Interest Expense 

Total amounts of income and expense line items presented in 

our condensed consolidated statements of comprehensive 

income in which the effects of fair value hedges are recorded: $44,923 ($32,099) $48,157 ($39,039) 

Interest contracts on mortgage loans held-for-investment:

Gain (loss) on fair value hedging relationships:

Hedged items (399) — 5,442 — 

Derivatives designated as hedging instruments 379 — (5,315) — 

Interest accruals on hedging instruments (267) — (313) — 

Discontinued hedge-related basis adjustments amortization (1,624) — (1,891) — 

Interest contracts on debt:

Gain (loss) on fair value hedging relationships:

Hedged items — 1,725 — (258) 

Derivatives designated as hedging instruments — (1,876) — 254 

Interest accruals on hedging instruments — 739 — 553 

Discontinued hedge-related basis adjustments amortization — 14 — 52 

Cumulative Basis Adjustments Due to Fair Value Hedging

The table below presents the cumulative basis adjustments and the carrying amounts of the hedged item by its respective 

balance sheet line item.

Table 10.4 - Cumulative Basis Adjustments Due to Fair Value Hedging 

September 30, 2021

Carrying 

Amount 

Assets / 

(Liabilities)

Cumulative Amount of Fair Value Hedging Basis 

Adjustments Included in the Carrying Amount

Closed Portfolio Under the Lastof-Layer Method

(In millions) Total

Under the 

Last-of-Layer 

Method

Discontinued - 

Hedge Related

Total Amount 

by Amortized 

Cost Basis

Designated 

Amount by 

UPB

Mortgage loans held-for-investment $705,615 $3,094 $— $3,094 $— $— 

Debt (126,821) 1,255 — (26) — — 

December 31, 2020

Carrying 

Amount 

Assets / 

(Liabilities)

Cumulative Amount of Fair Value Hedging Basis 

Adjustments Included in the Carrying Amount

Closed Portfolio Under the Lastof-Layer Method

(In millions) Total

Under the 

Last-of-Layer 

Method

Discontinued - 

Hedge Related

Total Amount 

by Amortized 

Cost Basis

Designated 

Amount by 

UPB

Mortgage loans held-for-investment $478,077 $5,117 ($318) $5,435 $220,301 $9,112 

Debt (176,512) (466) — (38) — — 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 10 

Freddie Mac 3Q 2021 Form 10-Q 102
NOTE 11

Collateralized Agreements and Offsetting Arrangements

Offsetting of Financial Assets and Liabilities

We offset fair value amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral against 

fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting and 

collateral agreement. We also offset payables related to securities sold under agreements to repurchase against receivables 

related to securities purchased under agreements to resell when such amounts meet the conditions for balance sheet 

offsetting. 

As of September 1, 2021, Freddie Mac is subject to new initial margin requirements for OTC derivative transactions. As of 

September 30, 2021, the new initial margin requirements did not have a significant impact on our collateral posting 

arrangements.

The table below presents offsetting and collateral information related to derivatives, securities purchased under agreements to 

resell, and securities sold under agreements to repurchase which are subject to enforceable master netting agreements or 

similar arrangements.

Table 11.1 - Offsetting and Collateral Information of Financial Assets and Liabilities

September 30, 2021

Gross

Amount

Recognized

Amount 

Offset in the

Consolidated

Balance Sheets Net Amount

Presented in the 

Consolidated

Balance Sheets

Gross Amount

Not Offset in the  

Consolidated

Balance 

Sheets(2)

Net

(In millions) Amount

Counterparty 

Netting

Cash 

Collateral 

Netting(1)

Assets:

Derivatives:

OTC derivatives $6,374 ($4,800) ($1,197) $377 ($354) $23 

Cleared and exchange-traded derivatives 28 (7) 58 79 — 79 

Mortgage commitment derivatives 473 — — 473 — 473 

Other 24 — — 24 — 24 

Total derivatives 6,899 (4,807) (1,139) 953 (354) 599 

Securities purchased under agreements to resell 88,770 (3,455) — 85,315 (85,315) — 

Total $95,669 ($8,262) ($1,139) $86,268 ($85,669) $599 

Liabilities:

Derivatives:

OTC derivatives ($8,144) $4,800 $3,238 ($106) $— ($106) 

Cleared and exchange-traded derivatives (16) 7 6 (3) 3 — 

Mortgage commitment derivatives (224) — — (224) — (224) 

Other (56) — — (56) — (56) 

Total derivatives (8,440) 4,807 3,244 (389) 3 (386) 

Securities sold under agreements to repurchase (3,455) 3,455 — — — — 

Total ($11,895) $8,262 $3,244 ($389) $3 ($386) 

 Referenced footnotes are included after the next table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 11

Freddie Mac 3Q 2021 Form 10-Q 103
December 31, 2020

Gross

Amount

Recognized

Amount 

Offset in the

Consolidated

Balance Sheets Net Amount

Presented in the 

Consolidated

Balance Sheets

Gross Amount

Not Offset in the  

Consolidated

Balance 

Sheets(2)

Net

(In millions) Amount

Counterparty 

Netting

Cash 

Collateral 

Netting(1)

Assets:

Derivatives:

OTC derivatives $8,566 ($5,932) ($1,957) $677 ($648) $29 

Cleared and exchange-traded derivatives 17 — 60 77 — 77 

Mortgage commitment derivatives 388 — — 388 — 388 

Other 63 — — 63 — 63 

Total derivatives 9,034 (5,932) (1,897) 1,205 (648) 557 

Securities purchased under agreements to resell 105,003 — — 105,003 (105,003) — 

Total $114,037 ($5,932) ($1,897) $106,208 ($105,651) $557 

Liabilities:

Derivatives:

OTC derivatives ($8,812) $5,932 $2,759 ($121) $— ($121) 

Cleared and exchange-traded derivatives (37) — 26 (11) — (11) 

Mortgage commitment derivatives (759) — — (759) — (759) 

Other (63) — — (63) — (63) 

Total derivatives (9,671) 5,932 2,785 (954) — (954) 

Securities sold under agreements to repurchase — — — — — — 

Total ($9,671) $5,932 $2,785 ($954) $— ($954) 

(1) Excess cash collateral held is presented as a derivative liability, while excess cash collateral posted is presented as a derivative asset.

(2) Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability, netted by counterparty, presented on 

the condensed consolidated balance sheets. 

Collateral Pledged

Collateral Pledged to Freddie Mac

We have cash pledged to us as collateral primarily related to OTC derivative transactions. We had $1.7 billion and $2.8 billion

pledged to us as collateral that was invested as part of our other investments portfolio as of September 30, 2021 and 

December 31, 2020, respectively.

We primarily execute securities purchased under agreements to resell transactions with central clearing organizations where we 

have the right to repledge the collateral that has been pledged to us, either with the central clearing organization or with other 

counterparties. At September 30, 2021 and December 31, 2020, we had $44.4 billion and $85.8 billion, respectively, of 

securities pledged to us in these transactions. In addition, as of September 30, 2021 and December 31, 2020, we had 

$0.8 billion of securities pledged to us for transactions involving securities purchased under agreements to resell not executed 

with central clearing organizations that we had the right to repledge. 

Collateral Pledged by Freddie Mac

For cash collateral related to commitments and securities purchased under agreements to resell transactions primarily with 

central clearing organizations, we posted less than $0.1 billion cash collateral as of September 30, 2021 and $1.3 billion as of 

December 31, 2020. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 11

Freddie Mac 3Q 2021 Form 10-Q 104
The table below summarizes the fair value of the securities pledged as collateral by us for derivatives and collateralized 

borrowing transactions, including securities that the secured party may repledge.

Table 11.2 - Collateral in the Form of Securities Pledged 

September 30, 2021

(In millions) Derivatives

Securities Sold 

Under 

Agreements to 

Repurchase Other(1) Total

Trading securities $1,711 $3,456 $1,212 $6,379 

Total securities pledged $1,711 $3,456 $1,212 $6,379 

December 31, 2020

(In millions) Derivatives

Securities Sold 

Under 

Agreements to 

Repurchase Other(1) Total

Debt securities of consolidated trusts(2) $121 $— $345 $466 

Trading securities 1,920 — 1,163 3,083 

Total securities pledged $2,041 $— $1,508 $3,549 

(1) Includes other collateralized borrowings and collateral related to transactions with certain clearinghouses.

(2) Represents debt securities of consolidated trusts held by us in our mortgage-related investments portfolio which are recorded as a reduction to debt securities of 

consolidated trusts held by third parties on our condensed consolidated balance sheets.

The table below summarizes the underlying collateral pledged and the remaining contractual maturity of our gross obligations 

under securities sold under agreements to repurchase.

Table 11.3 - Underlying Collateral Pledged 

September 30, 2021

(In millions)

Overnight and 

Continuous 30 Days or Less

After 30 Days 

Through 90 Days

Greater Than 90 

Days Total

U.S. Treasury securities and other $715 $2,741 $— $— $3,456 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 11

Freddie Mac 3Q 2021 Form 10-Q 105
NOTE 12

Stockholders' Equity and Earnings Per Share

Accumulated Other Comprehensive Income

The table below presents changes in AOCI related to available-for-sale securities, cash flow hedges, and our defined benefit 

plans, after the effects of our federal statutory tax rate of 21% for the periods presented.

Table 12.1 - Changes in AOCI by Component, Net of Taxes

3Q 2021

(In millions)

AOCI Related

to Availablefor-Sale

Securities

AOCI Related

to Cash Flow

Hedge

Relationships

AOCI Related

to Defined

Benefit Plans Total

Beginning balance $342 ($188) $32 $186 

Other comprehensive income before reclassifications (6) — — (6) 

Amounts reclassified from accumulated other comprehensive income (8) 7 (3) (4) 

Changes in AOCI by component (14) 7 (3) (10) 

Ending balance $328 ($181) $29 $176 

YTD 2021

(In millions)

AOCI Related

to Availablefor-Sale

Securities

AOCI Related

to Cash Flow

Hedge

Relationships

AOCI Related

to Defined

Benefit Plans Total

Beginning balance $810 ($206) $39 $643 

Other comprehensive income before reclassifications (105) — (1) (106) 

Amounts reclassified from accumulated other comprehensive income (377) 25 (9) (361) 

Changes in AOCI by component (482) 25 (10) (467) 

Ending balance $328 ($181) $29 $176 

3Q 2020

(In millions)

AOCI Related

to Availablefor-Sale

Securities

AOCI Related

to Cash Flow

Hedge

Relationships

AOCI Related

to Defined

Benefit Plans Total

Beginning balance $1,210 ($220) $58 $1,048 

Other comprehensive income before reclassifications 4 — — 4 

Amounts reclassified from accumulated other comprehensive income (20) 6 (4) (18) 

Changes in AOCI by component (16) 6 (4) (14) 

Ending balance $1,194 ($214) $54 $1,034 

YTD 2020

(In millions)

AOCI Related

to Availablefor-Sale

Securities

AOCI Related

to Cash Flow

Hedge

Relationships

AOCI Related

to Defined

Benefit Plans Total

Beginning balance $618 ($244) $64 $438 

Other comprehensive income before reclassifications 610 — 2 612 

Amounts reclassified from accumulated other comprehensive income (34) 30 (12) (16) 

Changes in AOCI by component 576 30 (10) 596 

Ending balance $1,194 ($214) $54 $1,034 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 12

Freddie Mac 3Q 2021 Form 10-Q 106
Reclassifications from AOCI to Net Income

The table below presents reclassifications from AOCI to net income, including the affected line items in our condensed 

consolidated statements of comprehensive income (loss). 

Table 12.2 - Reclassifications from AOCI to Net Income 

(In millions) 3Q 2021 3Q 2020 YTD 2021 YTD 2020

AOCI related to available-for-sale securities

Affected line items on the condensed consolidated statements of comprehensive 

income (loss):

Investment gains (losses), net $10 $26 $477 $43 

Income tax (expense) benefit (2) (6) (100) (9) 

Net of tax 8 20 377 34 

AOCI related to cash flow hedge relationships

Affected line items on the condensed consolidated statements of comprehensive 

income (loss):

Interest expense (9) (9) (30) (39) 

Income tax (expense) benefit 2 3 5 9 

Net of tax (7) (6) (25) (30) 

AOCI related to defined benefit plans

Affected line items on the condensed consolidated statements of comprehensive 

income (loss):

Salaries and employee benefits 4 5 12 15 

Income tax (expense) benefit (1) (1) (3) (3) 

Net of tax 3 4 9 12 

Total reclassifications in the period, net of tax $4 $18 $361 $16 

Senior Preferred Stock

Pursuant to the January 2021 Letter Agreement, the company will not be required to pay a dividend to Treasury until we have 

built sufficient capital to meet the capital requirements and buffers set forth in the ERCF. Accordingly, the company was not 

required to pay a dividend to Treasury on the senior preferred stock in September 2021. As the company builds capital during 

this period, the quarterly increases in our Net Worth Amount have been, or will be, added to the aggregate liquidation 

preference of the senior preferred stock. As a result, the liquidation preference of the senior preferred stock increased from

$91.4 billion as of June 30, 2021 to $95.0 billion on September 30, 2021 based on the $3.6 billion increase in the Net Worth 

Amount during 2Q 2021. The liquidation preference will increase to $98.0 billion on December 31, 2021 based on the $2.9 

billion increase in our Net Worth Amount during 3Q 2021. See Note 2 for additional information.

As of September 30, 2021, our assets exceeded our liabilities under GAAP; therefore, no draw is being requested from Treasury 

under the Purchase Agreement. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 12 

Freddie Mac 3Q 2021 Form 10-Q 107
The table below provides a summary of our senior preferred stock outstanding at September 30, 2021.

Table 12.3 - Senior Preferred Stock

(In millions, except initial liquidation 

preference price per share)

Shares

Authorized

Shares

Outstanding

Total

Par Value

Initial

Liquidation

Preference

Price per Share

Total

Liquidation

Preference

Non-draw Adjustment Dates:

September 8, 2008 1.00 1.00 $1.00 $1,000 $1,000 

December 31, 2017 — — — N/A 3,000 

September 30, 2019 — — — N/A 1,826 

December 31, 2019 — — — N/A 1,848 

March 31, 2020 — — — N/A 2,448 

June 30, 2020 — — — N/A 382 

September 30, 2020 — — — N/A 1,938 

December 31, 2020 — — — N/A 2,449 

March 31, 2021 — — — N/A 2,522 

June 30, 2021 — — — N/A 2,378 

September 30, 2021 — — — N/A 3,611 

Total non-draw adjustments 1.00 1.00 1.00 23,402 

Draw Dates:

November 24, 2008 — — — N/A 13,800 

March 31, 2009 — — — N/A 30,800 

June 30, 2009 — — — N/A 6,100 

June 30, 2010 — — — N/A 10,600 

September 30, 2010 — — — N/A 1,800 

December 30, 2010 — — — N/A 100 

March 31, 2011 — — — N/A 500 

September 30, 2011 — — — N/A 1,479 

December 30, 2011 — — — N/A 5,992 

March 30, 2012 — — — N/A 146 

June 29, 2012 — — — N/A 19 

March 30, 2018 — — — N/A 312 

Total draw adjustments — — — 71,648 

Total senior preferred stock 1.00 1.00 $1.00 $95,050 

Stock Issuances and Repurchases

We did not repurchase or issue any of our common shares or non-cumulative preferred stock during YTD 2021, except for 

issuances of treasury stock related to stock based compensation granted prior to conservatorship.

Dividends and Dividend Restrictions

No common dividends were declared during YTD 2021. As a result of the increase in the applicable Capital Reserve Amount 

pursuant to the January 2021 Letter Agreement, we have not declared or paid a dividend on the senior preferred stock during 

YTD 2021. We also have not declared or paid dividends on any other series of Freddie Mac preferred stock outstanding during 

YTD 2021.

Our payment of dividends on Freddie Mac common stock or any series of Freddie Mac preferred stock (other than senior 

preferred stock) is subject to certain restrictions as described in Note 13 in our 2020 Annual Report.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 12 

Freddie Mac 3Q 2021 Form 10-Q 108
NOTE 13

Net Interest Income

The table below presents the components of net interest income per our condensed consolidated statements of 

comprehensive income (loss).

Table 13.1 - Components of Net Interest Income

(In millions) 3Q 2021 3Q 2020 YTD 2021 YTD 2020

Interest income

Mortgage loans $15,124 $14,134 $42,969 $45,792 

Investment securities 627 659 1,854 1,948 

Other 40 56 100 417 

Total interest income 15,791 14,849 44,923 48,157 

Interest expense

Debt securities of consolidated trusts 

held by third parties (10,954) (10,847) (30,742) (36,269) 

Debt of Freddie Mac:

Short-term debt — (38) (2) (598) 

Long-term debt (419) (507) (1,355) (2,172) 

Total interest expense (11,373) (11,392) (32,099) (39,039) 

Net interest income 4,418 3,457 12,824 9,118 

Benefit (provision) for credit losses 243 (327) 1,179 (2,265) 

Net interest income after benefit 

(provision) for credit losses $4,661 $3,130 $14,003 $6,853 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 3Q 2021 Form 10-Q 109
NOTE 14

Investment Gains (Losses), Net

The table below presents the components of investment gains (losses), net on our condensed consolidated statements of 

comprehensive income (loss).

Table 14.1 - Components of Investment Gains (Losses), Net

(In millions) 3Q 2021 3Q 2020 YTD 2021 YTD 2020

Investment gains (losses), net:

Mortgage loans gains (losses) $784 $1,769 $2,501 $3,987 

Investment securities gains (losses) (480) (285) (1,317) 835 

Debt gains (losses) 47 (25) 203 735 

Derivative gains (losses) 32 (337) 840 (4,600) 

Investment gains (losses), net $383 $1,122 $2,227 $957 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 14

Freddie Mac 3Q 2021 Form 10-Q 110
NOTE 15

Segment Reporting

During 1Q 2021, our chief operating decision maker began making decisions about allocating resources and assessing 

segment performance based on two reportable segments, Single-family and Multifamily. In prior periods, we managed our 

business based on three reportable segments, Single-family Guarantee, Multifamily, and Capital Markets. As our mortgagerelated investments portfolio has declined over time, our capital markets activities have become increasingly focused on 

supporting our single-family and multifamily businesses. As a result, we determined that, effective in 1Q 2021, our Capital 

Markets segment should no longer be considered a separate reportable segment, and our chief operating decision maker no 

longer reviews separate financial results or discrete financial information for our capital markets activities. Substantially all of the 

revenues and expenses that were previously directly attributable to our Capital Markets segment are now included in our 

Single-family segment, while certain administrative expenses and other centrally-incurred costs previously allocated to the 

Capital Markets segment are now allocated between the Single-family and Multifamily segments using various methodologies 

depending on the nature of the expense.

In connection with this change, we also changed the measure of segment profit and loss for each segment to be based on net 

income and comprehensive income calculated using the same accounting policies we use to prepare our general purpose 

financial statements in conformity with generally accepted accounting principles. The financial results of each reportable 

segment include directly attributable revenue and expenses. We allocate interest expense and other debt funding and hedgingrelated costs to each reportable segment using a funds transfer pricing process. We fully allocate to each reportable segment 

the administrative expenses and other centrally-incurred costs that are not directly attributable to a particular segment using 

various methodologies depending on the nature of the expense. As a result, the sum of each income statement line item for the 

two reportable segments is equal to that same income statement line item for the consolidated entity. We have discontinued 

the reclassifications of certain activities between various line items that were included in our previous measure of segment 

profit and loss. Prior period information has been revised to conform to the current period presentation. 

Segment Description

Single-family 

Reflects results from our purchase, sale, securitization, and guarantee of single-family loans and securities, our 

investments in those loans and 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, sale, securitization, and guarantee of multifamily loans and securities, our 

investments in those loans and securities, and the management of multifamily mortgage credit risk and market risk.

Segment Allocations and Results

The results of each reportable segment include directly attributable revenues and expenses. We allocate interest expense and 

other debt funding and hedging-related costs to each reportable segment using a funds transfer pricing process. We fully 

allocate to each reportable segment administrative expenses and other centrally-incurred costs that are not directly attributable 

to a particular segment using various methodologies depending on the nature of the expense.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 15

Freddie Mac 3Q 2021 Form 10-Q 111
The table below presents the financial results for our Single-family and Multifamily segments.

Table 15.1 - Segment Financial Results

3Q 2021

(In millions) Single-family Multifamily Total

Net interest income $4,080 $338 $4,418 

Non-interest income (loss)

Guarantee income (20) 266 246 

Investment gains (losses), net (247) 630 383 

Other income (loss) 148 52 200 

Non-interest income (loss) (119) 948 829 

Net revenues 3,961 1,286 5,247 

Benefit (provision) for credit losses 244 (1) 243 

Non-interest expense

Administrative expense (479) (148) (627) 

Credit enhancement expense (371) (15) (386) 

Benefit for (decrease in) credit enhancement recoveries (59) (1) (60) 

REO operations income (expense) 9 — 9 

Temporary Payroll Tax Cut Continuation Act of 2011 expense (602) — (602) 

Other expense (170) (8) (178) 

Non-interest expense (1,672) (172) (1,844) 

Income (loss) before income tax (expense) benefit 2,533 1,113 3,646 

Income tax (expense) benefit (505) (222) (727) 

Net income (loss) 2,028 891 2,919 

Other comprehensive income (loss), net of taxes and reclassification 

adjustments

Changes in unrealized gains (losses) related to available-for-sale 

securities 14 (28) (14) 

Changes in unrealized gains (losses) related to cash flow hedge 

relationships 7 — 7 

Changes in defined benefit plans (3) — (3) 

Total other comprehensive income (loss), net of taxes and 

reclassification adjustments 18 (28) (10) 

Comprehensive income (loss) $2,046 $863 $2,909 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 15

Freddie Mac 3Q 2021 Form 10-Q 112
YTD 2021

(In millions) Single-family Multifamily Total

Net interest income $11,848 $976 $12,824 

Non-interest income (loss)

Guarantee income 79 771 850 

Investment gains (losses), net 190 2,037 2,227 

Other income (loss) 408 77 485 

Non-interest income (loss) 677 2,885 3,562 

Net revenues 12,525 3,861 16,386 

Benefit (provision) for credit losses 1,076 103 1,179 

Non-interest expense

Administrative expense (1,470) (447) (1,917) 

Credit enhancement expense (1,057) (33) (1,090) 

Benefit for (decrease in) credit enhancement recoveries (494) (16) (510) 

REO operations income (expense) (6) — (6) 

Temporary Payroll Tax Cut Continuation Act of 2011 expense (1,706) — (1,706) 

Other expense (551) (21) (572) 

Non-interest expense (5,284) (517) (5,801) 

Income (loss) before income tax (expense) benefit 8,317 3,447 11,764 

Income tax (expense) benefit (1,696) (703) (2,399) 

Net income (loss) 6,621 2,744 9,365 

Other comprehensive income (loss), net of taxes and reclassification 

adjustments

Changes in unrealized gains (losses) related to available-for-sale 

securities (400) (82) (482) 

Changes in unrealized gains (losses) related to cash flow hedge 

relationships 25 — 25 

Changes in defined benefit plans (9) (1) (10) 

Total other comprehensive income (loss), net of taxes and 

reclassification adjustments (384) (83) (467) 

Comprehensive income (loss) $6,237 $2,661 $8,898 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 15

Freddie Mac 3Q 2021 Form 10-Q 113
3Q 2020

(In millions) Single-family Multifamily Total

Net interest income $3,168 $289 $3,457 

Non-interest income (loss)

Guarantee income 40 275 315 

Investment gains (losses), net 82 1,040 1,122 

Other income (loss) 129 43 172 

Non-interest income (loss) 251 1,358 1,609 

Net revenues 3,419 1,647 5,066 

Benefit (provision) for credit losses (320) (7) (327) 

Non-interest expense

Administrative expense (513) (128) (641) 

Credit enhancement expense (260) (7) (267) 

Benefit for (decrease in) credit enhancement recoveries 26 (6) 20 

REO operations income (expense) (40) — (40) 

Temporary Payroll Tax Cut Continuation Act of 2011 expense (467) — (467) 

Other expense (228) (9) (237) 

Non-interest expense (1,482) (150) (1,632) 

Income (loss) before income tax (expense) benefit 1,617 1,490 3,107 

Income tax (expense) benefit (335) (309) (644) 

Net income (loss) 1,282 1,181 2,463 

Other comprehensive income (loss), net of taxes and reclassification 

adjustments

Changes in unrealized gains (losses) related to available-for-sale 

securities (12) (4) (16) 

Changes in unrealized gains (losses) related to cash flow hedge 

relationships 6 — 6 

Changes in defined benefit plans (4) — (4) 

Total other comprehensive income (loss), net of taxes and 

reclassification adjustments (10) (4) (14) 

Comprehensive income (loss) $1,272 $1,177 $2,449 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 15

Freddie Mac 3Q 2021 Form 10-Q 114
YTD 2020

(In millions) Single-family Multifamily Total

Net interest income $8,243 $875 $9,118 

Non-interest income (loss)

Guarantee income 82 1,079 1,161 

Investment gains (losses), net 45 912 957 

Other income (loss) 270 131 401 

Non-interest income (loss) 397 2,122 2,519 

Net revenues 8,640 2,997 11,637 

Benefit (provision) for credit losses (2,110) (155) (2,265) 

Non-interest expense

Administrative expense (1,457) (372) (1,829) 

Credit enhancement expense (715) (16) (731) 

Benefit for (decrease in) credit enhancement recoveries 684 24 708 

REO operations income (expense) (139) — (139) 

Temporary Payroll Tax Cut Continuation Act of 2011 expense (1,341) — (1,341) 

Other expense (457) (23) (480) 

Non-interest expense (3,425) (387) (3,812) 

Income (loss) before income tax (expense) benefit 3,105 2,455 5,560 

Income tax (expense) benefit (640) (507) (1,147) 

Net income (loss) 2,465 1,948 4,413 

Other comprehensive income (loss), net of taxes and reclassification 

adjustments

Changes in unrealized gains (losses) related to available-for-sale 

securities 457 119 576 

Changes in unrealized gains (losses) related to cash flow hedge 

relationships 30 — 30 

Changes in defined benefit plans (9) (1) (10) 

Total other comprehensive income (loss), net of taxes and 

reclassification adjustments 478 118 596 

Comprehensive income (loss) $2,943 $2,066 $5,009 

We measure total assets for our reportable segments based on the mortgage portfolio for each segment. We operate our 

business in the U.S. and its territories, and accordingly, we generate no revenue from and have no long-lived assets, other than 

financial instruments, in geographic locations other than the U.S. and its territories.

The table below presents total assets for our Single-family and Multifamily segments.

Table 15.2 - Segment Assets

(In millions) September 30, 2021 December 31, 2020

Single-family $2,682,406 $2,326,426 

Multifamily 404,467 388,347 

Total segment assets 3,086,873 2,714,773 

Reconciling items(1) (148,889) (87,358) 

Total assets per condensed consolidated balance sheets $2,937,984 $2,627,415 

(1) Reconciling items include assets in our mortgage portfolio that are not recognized on our condensed consolidated balance sheets and assets recognized on our 

condensed consolidated balance sheets that are not allocated to the reportable segments. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 15

Freddie Mac 3Q 2021 Form 10-Q 115
NOTE 16

Concentration of Credit and Other Risks

Single-Family Mortgage Portfolio

The table below summarizes the concentration by geographic area of the approximately $2.7 trillion and $2.3 trillion UPB of our 

single-family mortgage portfolio as of September 30, 2021 and December 31, 2020, respectively. See Note 4, Note 6, and 

Note 7 for more information about credit risk associated with loans and mortgage-related securities that we hold or guarantee.

Table 16.1 - Concentration of Credit Risk of Our Single-Family Mortgage Portfolio 

September 30, 2021 December 31, 2020 YTD 2021(1) YTD 2020(1)

(Dollars in billions)

Portfolio 

UPB(2)

% of

Portfolio

SDQ 

Rate

Portfolio 

UPB(2)

% of

Portfolio

SDQ 

Rate

Credit 

Losses 

Amount

% of 

Credit 

Losses(3)

Credit 

Losses 

Amount

% of 

Credit 

Losses

Region:(4)

West $831 31 % 1.24 % $720 31 % 2.41 % $— NM $— 5 %

Northeast 636 24 1.82 549 24 3.16 — NM 0.1 40 

North Central 401 15 1.23 357 15 2.06 — NM 0.1 27 

Southeast 436 16 1.57 375 16 2.95 — NM 0.1 18 

Southwest 378 14 1.41 325 14 2.59 — NM — 10 

Total $2,682 100 % 1.46 $2,326 100 % 2.64 $— NM $0.3 100 %

State:

California $486 18 % 1.36 $424 18 % 2.64 $— NM $— 4 %

Texas 167 6 1.62 145 6 3.11 — NM — 3 

Florida 159 6 1.83 135 6 3.70 — NM — 10 

New York 116 4 2.75 103 4 4.56 — NM — 12 

Illinois 106 4 1.88 96 4 2.96 — NM 0.1 14 

All other 1,648 62 1.31 1,423 62 2.34 — NM 0.2 57 

Total $2,682 100 % 1.46 $2,326 100 % 2.64 $— NM $0.3 100 %

(1) Excludes credit losses related to charge-offs of accrued interest receivables.

(2) Excludes $458 million and $505 million in UPB of loans underlying certain securitization products for which data was not available as of September 30, 2021 and 

December 31, 2020, respectively. 

(3) NM - not meaningful due to the credit losses amount rounding to zero.

(4) Region designation: West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA); Northeast (CT, DE, DC, MA, ME, MD, NH, NJ, NY, PA, RI, VT, VA, WV); North Central (IL, IN, IA, 

MI, MN, ND, OH, SD, WI); Southeast (AL, FL, GA, KY, MS, NC, PR, SC, TN, VI); Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY).

Credit Performance of Certain Higher Risk Single-Family Loan Categories

Participants in the mortgage market have characterized single-family loans based upon their overall credit quality at the time of 

origination, including as prime or subprime. Mortgage market participants have classified single-family loans as Alt-A if these 

loans have credit characteristics that range between their prime and subprime categories, if they are underwritten with lower or 

alternative income or asset documentation requirements compared to a full documentation loan, or both. Although we 

discontinued new purchases of loans with lower documentation standards beginning March 1, 2009, we continued to purchase 

certain amounts of these loans in cases where the loan was either: 

n	Purchased pursuant to a previously issued other mortgage-related guarantee;

n	Part of our relief refinance initiative; or 

n	In another refinance loan initiative and the pre-existing loan (including Alt-A loans) was originated under less than full 

documentation standards. 

In the event we purchase a refinance loan and the original loan had been previously identified as Alt-A, such refinance loan may 

no longer be categorized or reported as Alt-A in the table below because the new refinance loan replacing the original loan 

would not be identified by the seller/servicer as an Alt-A loan. As a result, our reported Alt-A balances may be lower than would 

otherwise be the case had such refinancing not occurred.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 16

Freddie Mac 3Q 2021 Form 10-Q 116
Although we do not categorize single-family loans we purchase or guarantee as prime or subprime, we recognize that there are 

a number of loan types with certain characteristics that indicate a higher degree of credit risk. For example, a borrower's credit 

score is a useful measure for assessing the credit quality of the borrower. Statistically, borrowers with higher credit scores are 

more likely to repay or have the ability to refinance than those with lower scores.

Presented below is a summary of the serious delinquency rates of certain higher-risk categories (based on characteristics of the 

loan at origination) of loans in our single-family mortgage portfolio. The table presents each higher-risk category in isolation. A 

single loan may fall within more than one category (e.g., a loan with an original LTV ratio greater than 90% may also have a 

credit score at origination less than 620). Loans with a combination of these attributes will have an even higher risk of 

delinquency than those with an individual attribute.

Table 16.2 - Certain Higher Risk Categories in Our Single-Family Mortgage Portfolio

% of Portfolio(1) SDQ Rate(1)

(% of portfolio based on UPB) September 30, 2021 December 31, 2020 September 30, 2021 December 31, 2020

Alt-A 1 % 1 % 7.93 % 10.66 %

Original LTV ratio greater than 90%(2) 13 15 2.67 4.25 

Lower credit scores at origination (less than 620) 1 1 8.37 11.00 

(1) Excludes $458 million and $505 million in UPB of loans underlying certain securitization products for which data was not available as of September 30, 2021 and 

December 31, 2020, respectively. 

(2) Includes HARP loans, which we purchased as part of our participation in the MHA Program. 

Sellers and Servicers

We acquire a significant portion of our single-family and multifamily loan purchase and guarantee volume from several large 

sellers. Single-family top 10 sellers provided 50% and 44% of our purchase and guarantee volume during YTD 2021 and YTD 

2020, respectively. None of our single-family sellers provided 10% or more of our purchase and guarantee volume during these 

periods. The table below summarizes the concentration of multifamily sellers who provided 10% or more of our purchase and 

guarantee volume. 

Table 16.3 - Multifamily Seller Concentration 

Multifamily Sellers YTD 2021 YTD 2020

CBRE Capital Markets, Inc. 15 % 15 %

Berkadia Commercial Mortgage LLC 14 14 

Other top 10 sellers 49 48 

Top 10 multifamily sellers 78 % 77 %

We purchase single-family loans from both depository and non-depository sellers. Non-depository institutions may not have the 

same financial strength or operational capacity, or be subject to the same level of regulatory oversight, as large depository 

institutions. Our top five non-depository sellers provided approximately 30% and 24% of our single-family purchase volume 

during YTD 2021 and YTD 2020, respectively.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 16

Freddie Mac 3Q 2021 Form 10-Q 117
Significant portions of our single-family and multifamily loans are serviced by several large servicers. The table below 

summarizes the concentration of single-family and multifamily servicers who serviced 10% or more of our single-family 

mortgage portfolio and multifamily mortgage portfolio as of September 30, 2021 or December 31, 2020. 

Table 16.4 - Servicer Concentration

Single-family Servicers September 30, 2021(1) December 31, 2020(1)

Wells Fargo Bank, N.A. 9 % 11 %

Other top 10 servicers 38 38 

Top 10 single-family servicers 47 % 49 %

Multifamily Servicers(2) September 30, 2021 December 31, 2020

CBRE Capital Markets, Inc. 17 % 17 %

Berkadia Commercial Mortgage LLC 14 13 

JLL Real Estate Capital LLC 11 11 

Other top 10 servicers 38 39 

Top 10 multifamily servicers 80 % 80 %

(1) Percentage of servicing volume is based on the total single-family mortgage portfolio, which includes loans where we do not exercise servicing control. However, 

loans where we do not control servicing are not included for purposes of determining the concentration of servicers who serviced more than 10% of our single-family 

mortgage portfolio.

(2) Represents multifamily primary servicers.

Single-family loans utilize both depository and non-depository servicers. Some of these non-depository servicers have grown in 

recent years and now service a large share of our loans. As of September 30, 2021 and December 31, 2020, approximately 

19% and 18%, respectively, of our single-family mortgage portfolio, excluding loans for which we do not exercise control over 

the associated servicing, was serviced by our five largest non-depository servicers, on a combined basis. We routinely monitor 

the performance of our largest non-depository servicers.

Multifamily loans utilize both primary and master servicers. Primary servicers service unsecuritized mortgage loans and are also 

typically engaged by master servicers to service on their behalf the mortgage loans underlying securitizations. For a majority of 

our K Certificate securitizations, we utilize one of three large financial depository institutions as master servicer. For SB 

Certificate securitizations and a smaller number of K Certificate securitizations, we serve as master servicer. Multifamily primary 

servicers included in the table above present potential operational risk and impact to the borrowers if the servicing needs to be 

transferred to another servicer. We also rely on master servicers of our multifamily securitization transactions to advance funds 

in the event of payment shortfalls, including principal and interest payments related to loans in forbearance. In instances where 

payment shortfalls occur, the master servicer is required to make advances as long as such advances have not been deemed 

unrecoverable. For multifamily loans purchased and held in our mortgage-related investments portfolio, the primary servicers 

are not required to advance funds in the event of payment shortfalls and therefore do not present significant counterparty credit 

risk.

Credit Enhancement Providers

We have counterparty credit risk relating to the potential insolvency of, or non-performance by, mortgage insurers that insure 

single-family loans we purchase or guarantee. We also have similar exposure to insurers and reinsurers through our ACIS and 

other insurance transactions where we purchase insurance policies as part of our CRT activities. See Note 8 for additional 

information on our credit enhancements.

We evaluate the recovery and collectability from mortgage insurers as part of the estimate of our allowance for credit losses. 

See Note 7 for additional information. As of September 30, 2021, mortgage insurers provided coverage with maximum credit 

loss of $130.2 billion, for $528.2 billion of UPB, in connection with our single-family mortgage portfolio. These amounts are 

based on gross coverage without regard to netting of coverage that may exist to the extent an affected loan is covered under 

other types of insurance. Changes in our expectations related to recovery and collectability from our credit enhancement 

providers may affect our estimates of expected credit losses, perhaps significantly.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 16

Freddie Mac 3Q 2021 Form 10-Q 118
The table below summarizes the concentration of mortgage insurer counterparties who provided 10% or more of our overall 

mortgage insurance coverage. 

Table 16.5 - Mortgage Insurer Concentration

Mortgage Insurance Coverage(2)

Mortgage Insurer Credit Rating(1) September 30, 2021 December 31, 2020

Arch Mortgage Insurance Company A 20 % 20 %

Mortgage Guaranty Insurance Corporation BBB+ 19 18 

Radian Guaranty Inc. BBB+ 18 19 

Essent Guaranty, Inc. BBB+ 15 16 

Enact(3) BBB 15 15 

National Mortgage Insurance Corporation BBB 12 10 

Total 99 % 98 %

(1) Ratings are for the corporate entity to which we have the greatest exposure. Latest rating available as of September 30, 2021. Represents the lower of S&P and 

Moody's credit ratings stated in terms of the S&P equivalent.

(2) Coverage amounts exclude coverage related to IMAGIN and certain loans for which we do not control servicing, and may include coverage provided by affiliates and 

subsidiaries of the counterparty. 

(3) Enact was previously known as Genworth Mortgage Insurance Corporation.

PMI Mortgage Insurance Co. and Triad Guaranty Insurance Corp. are both under the control of their state regulators and are in 

run-off. A substantial portion of their claims is recorded by us as deferred payment obligations. As of both September 30, 2021

and December 31, 2020, we had cumulative unpaid deferred payment obligations of $0.4 billion from these insurers. We have 

reserved for substantially all of these unpaid amounts as collectability is uncertain. It is not clear how the regulators of these 

companies will administer their respective deferred payment plans in the future, nor when or if those obligations will be paid.

As part of our insurance/reinsurance CRT transactions, we regularly obtain insurance coverage from insurers and reinsurers. 

These transactions incorporate several features designed to increase the likelihood that we will recover on the claims we file 

with the insurers and reinsurers, including the following:

n	In each transaction, we require the individual insurers and reinsurers to post collateral to cover portions of their exposure, 

which helps to promote certainty and timeliness of claim payment and 

n	While private mortgage insurance companies are required to be monoline (i.e., to participate solely in the mortgage 

insurance business, although the holding company may be a diversified insurer), many of our insurers and reinsurers in 

these transactions participate in multiple types of insurance business, which helps diversify their risk exposure.

Other Investments Counterparties

We are exposed to the non-performance of counterparties relating to other investments (including non-mortgage-related 

securities and cash equivalents) transactions, including those entered into on behalf of our securitization trusts. Our policies 

require that the counterparty be evaluated using our internal counterparty rating model prior to our entering into such 

transactions. We monitor the financial strength of our counterparties to these transactions and may use collateral maintenance 

requirements to manage our exposure to individual counterparties. The permitted term and dollar limits for each of these 

transactions are also based on the counterparty's financial strength.

Our other investments (including non-mortgage-related securities and cash equivalents) counterparties are primarily major 

financial institutions, including other GSEs, Treasury, the Federal Reserve Bank of New York, GSD/FICC, highly-rated 

supranational institutions, depository and non-depository institutions, brokers and dealers, and government money market 

funds. As of September 30, 2021 and December 31, 2020, including amounts related to our consolidated VIEs, the balance in 

our other investments portfolio was $140.5 billion and $163.1 billion, respectively. The balances consist primarily of cash, 

securities purchased under agreements to resell invested with counterparties, U.S. Treasury securities, cash deposited with the 

Federal Reserve Bank of New York, and secured lending activities. As of September 30, 2021, all of our securities purchased 

under agreements to resell were fully collateralized. As of both September 30, 2021 and December 31, 2020, $0.8 billion of our 

securities purchased under agreements to resell were used to provide financing to investors in Freddie Mac securities to 

increase liquidity and expand the investor base for those securities. These transactions differ from the securities purchased 

under agreements to resell that we use for liquidity purposes as the counterparties we face may not be major financial 

institutions and we are exposed to the counterparty risk of these institutions.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 16

Freddie Mac 3Q 2021 Form 10-Q 119
NOTE 17

Fair Value Disclosures

The accounting guidance for fair value measurements and disclosures defines fair value, establishes a framework for measuring 

fair value, and sets forth disclosure requirements regarding fair value measurements. This guidance applies whenever other 

accounting guidance requires or permits assets or liabilities to be measured at fair value. Fair value represents the price that 

would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the 

measurement date. Fair value measurement assumes that the transaction to sell the asset or transfer the liability takes place 

either in the principal market for the asset or liability, or, in the absence of a principal market, in the most advantageous market 

for the asset or liability.

We use fair value measurements for the initial recording of certain assets and liabilities and periodic remeasurement of certain 

assets and liabilities on a recurring or non-recurring basis.

Fair Value Measurements

The accounting guidance for fair value measurements and disclosures establishes a three-level fair value hierarchy that 

prioritizes the inputs into the valuation techniques used to measure fair value. The levels of the fair value hierarchy are defined 

as follows in priority order:

n	 Level 1 - inputs to the valuation techniques are based on quoted prices in active markets for identical assets or liabilities. 

n	 Level 2 - inputs to the valuation techniques are based on observable inputs other than quoted prices in active markets for 

identical assets or liabilities. 

n	 Level 3 - one or more inputs to the valuation technique are unobservable and significant to the fair value measurement.

We use quoted market prices and valuation techniques that seek to maximize the use of observable inputs, where available, 

and minimize the use of unobservable inputs. Our inputs are based on the assumptions a market participant would use in 

valuing the asset or liability. Assets and liabilities are classified in their entirety within the fair value hierarchy based on the 

lowest level input that is significant to the fair value measurement.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 3Q 2021 Form 10-Q 120
Assets and Liabilities Measured at Fair Value on a Recurring Basis

The table below presents our assets and liabilities measured on our condensed consolidated balance sheets at fair value on a 

recurring basis subsequent to initial recognition, including instruments where we have elected the fair value option.

Table 17.1 - Assets and Liabilities Measured at Fair Value on a Recurring Basis 

September 30, 2021

(In millions) Level 1 Level 2 Level 3

Netting 

Adjustment(1) Total

Assets:

Investment securities:

Available-for-sale, at fair value:

Mortgage-related securities:

Agency $— $2,817 $429 $— $3,246 

Non-agency and other — 1 960 — 961 

Total available-for-sale securities, at fair value — 2,818 1,389 — 4,207 

Trading, at fair value:

Mortgage-related securities:

Agency — 18,747 3,463 — 22,210 

Non-mortgage-related securities 29,742 771 — — 30,513 

Total trading securities, at fair value 29,742 19,518 3,463 — 52,723 

Total investments in securities 29,742 22,336 4,852 — 56,930 

Mortgage loans:

Held-for-sale, at fair value — 8,436 — — 8,436 

 Derivative assets, net 15 6,454 23 — 6,492 

 Netting adjustments(1) — — — (5,539) (5,539) 

Total derivative assets, net 15 6,454 23 (5,539) 953 

Other assets:

 Guarantee assets, at fair value — — 5,843 — 5,843 

 Non-derivative purchase commitments, at fair value — 158 — — 158 

 All other, at fair value — — 77 — 77 

Total other assets — 158 5,920 — 6,078 

Total assets carried at fair value on a recurring basis $29,757 $37,384 $10,795 ($5,539) $72,397 

Liabilities:

Debt securities of consolidated trusts held by third parties, at fair 

value $— $169 $279 $— $448 

Debt of Freddie Mac, at fair value — 1,424 112 — 1,536 

 Derivative liabilities, net — 7,957 24 — 7,981 

 Netting adjustments(1) — — — (7,592) (7,592) 

Total derivative liabilities, net — 7,957 24 (7,592) 389 

Other liabilities:

 Non-derivative purchase commitments, at fair value — 11 — — 11 

 All other, at fair value — — 1 — 1 

Total other liabilities — 11 1 — 12 

Total liabilities carried at fair value on a recurring basis $— $9,561 $416 ($7,592) $2,385 

Referenced footnote is included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 3Q 2021 Form 10-Q 121
December 31, 2020

(In millions) Level 1 Level 2 Level 3

Netting 

Adjustment(1) Total

Assets:

Investment securities:

Available-for-sale, at fair value:

Mortgage-related securities:

Agency $— $13,778 $526 $— $14,304 

Non-agency and other — 1 1,062 — 1,063 

Total available-for-sale securities, at fair value — 13,779 1,588 — 15,367 

Trading, at fair value:

Mortgage-related securities:

Agency — 14,246 3,258 — 17,504 

Non-agency — — 1 — 1 

Total mortgage-related securities — 14,246 3,259 — 17,505 

Non-mortgage-related securities 26,255 698 — — 26,953 

Total trading securities, at fair value 26,255 14,944 3,259 — 44,458 

Total investments in securities 26,255 28,723 4,847 — 59,825 

Mortgage loans:

Held-for-sale, at fair value — 14,199 — — 14,199 

 Derivative assets, net — 8,516 63 — 8,579 

 Netting adjustments(1) — — — (7,374) (7,374) 

Total derivative assets, net — 8,516 63 (7,374) 1,205 

Other assets:

Guarantee assets, at fair value — — 5,509 — 5,509 

Non-derivative purchase commitments, at fair value — 158 — — 158 

All other, at fair value — — 108 — 108 

Total other assets — 158 5,617 — 5,775 

Total assets carried at fair value on a recurring basis $26,255 $51,596 $10,527 ($7,374) $81,004 

Liabilities:

Debt securities of consolidated trusts held by third parties, at fair 

value $— $2 $203 $— $205 

 Debt of Freddie Mac, at fair value — 2,267 120 — 2,387 

 Derivative liabilities, net — 9,132 16 — 9,148 

Netting adjustments(1) — — — (8,194) (8,194) 

Total derivative liabilities, net — 9,132 16 (8,194) 954 

Other liabilities:

 Non-derivative purchase commitments, at fair value — 1 — — 1 

 All other, at fair value — — 3 — 3 

 Total other liabilities — 1 3 — 4 

 Total liabilities carried at fair value on a recurring basis $— $11,402 $342 ($8,194) $3,550 

(1) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 3Q 2021 Form 10-Q 122
Level 3 Fair Value Measurements

The table below presents a reconciliation of all assets and liabilities measured on our condensed consolidated balance sheets 

at fair value on a recurring basis using significant unobservable inputs (Level 3), including transfers into and out of Level 3. The 

table also presents gains and losses due to changes in fair value, including both realized and unrealized gains and losses, 

recognized on our condensed consolidated statements of comprehensive income (loss) for Level 3 assets and liabilities. 

Table 17.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs 

3Q 2021

Balance,

July 1,

2021

Total Realized/Unrealized 

Gains (Losses)

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3(1)

Transfers

out of

Level 3(1)

Balance,

September 

30,

2021

Change in 

Unrealized 

Gains (Losses) 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2021(2)

Change in 

Unrealized 

Gains (Losses), 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

(In millions) 2021

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Assets

Investment securities:

Available-for-sale, at 

fair value:

Mortgage-related 

securities:

Agency $476 $— ($7) $— $— $— ($40) $— $— $429 $— ($5) 

Non-agency and 

other 998 6 19 — — — (63) — — 960 6 15 

Total available-for-sale 

mortgage-related 

securities 1,474 6 12 — — — (103) — — 1,389 6 10 

Trading, at fair value:

Mortgage-related 

securities:

Agency 3,523 (210) — 344 — (96) (23) — (75) 3,463 (207) — 

Non-agency — — — — — — — — — — — — 

Total trading 

mortgage-related 

securities 3,523 (210) — 344 — (96) (23) — (75) 3,463 (207) — 

Derivative assets 25 (2) — — — — — — — 23 (2) — 

Other assets:

Guarantee assets 5,869 (113) — — 333 — (246) — — 5,843 (113) — 

All other, at fair value 70 11 — (4) 4 — (4) — — 77 11 — 

Total other 

assets 5,939 (102) — (4) 337 — (250) — — 5,920 (102) — 

Balance,

July 1,

2021

Total Realized/Unrealized 

(Gains) Losses

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3(1)

Transfers

out of

Level 3(1)

Balance,

September 

30,

2021

Change in 

Unrealized 

(Gains) Losses 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2021(2)

Change in 

Unrealized 

(Gains) Losses, 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2021

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Liabilities

Debt securities of 

consolidated trusts held 

by third parties, at fair 

value $251 ($8) $— ($8) $61 $— ($17) $— $— $279 ($4) $— 

Debt of Freddie Mac, at 

fair value 117 (3) — — — — (2) — — 112 (3) — 

Derivative liabilities 23 3 — — — — (2) — — 24 — — 

All other, at fair value — (1) — 2 — — — — — 1 (1) — 

Referenced footnotes are included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 3Q 2021 Form 10-Q 123
YTD 2021

Balance,

January 1,

2021

Total Realized/Unrealized 

Gains (Losses)

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3(1)

Transfers

out of

Level 3(1)

Balance,

September 

30,

2021

Change in 

Unrealized 

Gains (Losses) 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2021(2)

Change in 

Unrealized 

Gains (Losses), 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

(In millions) 2021

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Assets

Investment securities:

Available-for-sale, at 

fair value:

Mortgage-related 

securities:

Agency $526 $— ($12) $— $— $— ($85) $— $— $429 $— ($10) 

Non-agency and 

other 1,062 18 28 — — — (148) — — 960 18 22 

Total available-for-sale 

mortgage-related 

securities 1,588 18 16 — — — (233) — — 1,389 18 12 

Trading, at fair value:

Mortgage-related 

securities:

Agency 3,258 (562) — 1,284 — (276) (61) — (180) 3,463 (565) — 

Non-agency 1 (1) — — — — — — — — — — 

Total trading 

mortgage-related 

securities 3,259 (563) — 1,284 — (276) (61) — (180) 3,463 (565) — 

Derivative assets 63 (40) — — — — — — — 23 (40) — 

Other assets:

Guarantee asset 5,509 (196) — — 1,238 — (708) — — 5,843 (196) — 

All other, at fair value 108 (19) — (3) 14 (9) (14) — — 77 (19) — 

Total other assets 5,617 (215) — (3) 1,252 (9) (722) — — 5,920 (215) — 

Balance,

January 1,

2021

Total Realized/Unrealized 

(Gains) Losses

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3(1)

Transfers

out of

Level 3(1)

Balance,

September 

30,

2021

Change in 

Unrealized 

(Gains) Losses 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2021(2)

Change in 

Unrealized 

(Gains) Losses, 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2021

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Liabilities

Debt securities of 

consolidated trusts held 

by third parties, at fair 

value $203 ($18) $— ($8) $150 $— ($48) $— $— $279 ($12) $— 

Debt of Freddie Mac, at 

fair value 120 (3) — — 1 — (6) — — 112 (3) — 

Derivative liabilities 16 15 — — 2 — (9) — — 24 7 — 

All other, at fair value 3 (6) — 3 — 1 — — — 1 (6) — 

Referenced footnotes are included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 3Q 2021 Form 10-Q 124
3Q 2020

Balance,

July 1,

2020

Total Realized/Unrealized 

Gains (Losses)

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3(1)

Transfers

out of

Level 3(1)

Balance,

September 

30,

2020

Change in 

Unrealized 

Gains (Losses) 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2020(2)

Change in 

Unrealized 

Gains (Losses), 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

(In millions) 2020

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Assets

Investment securities:

Available-for-sale, at 

fair value:

Mortgage-related 

securities:

Agency $814 $— $— $54 $— ($72) ($34) $— ($127) $635 $— ($1) 

Non-agency and 

other 1,106 5 34 — — — (40) — — 1,105 5 28 

Total available-for-sale 

mortgage-related 

securities 1,920 5 34 54 — (72) (74) — (127) 1,740 5 27 

Trading, at fair value:

Mortgage-related 

securities:

Agency 3,052 (78) — 919 — (212) (16) — (417) 3,248 (50) — 

Non-agency 1 — — — — — — — — 1 — — 

Total trading 

mortgage-related 

securities 3,053 (78) — 919 — (212) (16) — (417) 3,249 (50) — 

Derivative assets 61 1 — — 13 — — — — 75 1 — 

Other assets:

Guarantee assets 4,824 25 — — 538 — (208) — — 5,179 25 — 

All other, at fair value 114 4 — (6) 8 (7) (3) — — 110 4 — 

Total other assets 4,938 29 — (6) 546 (7) (211) — — 5,289 29 — 

Balance,

July 1,

2020

Total Realized/Unrealized 

(Gains) Losses

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3(1)

Transfers

out of

Level 3(1)

Balance,

September 

30,

2020

Change in 

Unrealized 

(Gains) Losses 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2020(2)

Change in 

Unrealized 

(Gains) Losses, 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2020

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Liabilities

Debt securities of 

consolidated trusts held 

by third parties, at fair 

value $202 $1 $— $— $— $— $— $— $— $203 $1 $— 

Debt of Freddie Mac, at 

fair value 123 (2) — — 17 — (3) — — 135 (2) — 

Derivative liabilities 16 2 — — — — (3) — — 15 (1) — 

All other, at fair value 1 — — — — — — — — 1 — — 

Referenced footnotes are included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 3Q 2021 Form 10-Q 125
YTD 2020

Balance,

January 1,

2020

Total Realized/Unrealized 

Gains (Losses)

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3(1)

Transfers

out of

Level 3(1)

Balance,

September 

30,

2020

Change in 

Unrealized 

Gains (Losses) 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2020(2)

Change in 

Unrealized 

Gains (Losses), 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

(In millions) 2020

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Assets

Investment securities:

Available-for-sale, at 

fair value:

Mortgage-related 

securities:

Agency $1,960 $12 $44 $54 $— ($218) ($122) $— ($1,095) $635 $— $3 

Non-agency and 

other 1,267 12 (52) — — — (122) — — 1,105 12 (41) 

Total available-for-sale 

mortgage-related 

securities 3,227 24 (8) 54 — (218) (244) — (1,095) 1,740 12 (38) 

Trading, at fair value:

Mortgage-related 

securities:

Agency 2,709 (86) — 1,187 — (110) (55) — (397) 3,248 (93) — 

Non-agency 1 — — — — — — — — 1 — — 

Total trading 

mortgage-related 

securities 2,710 (86) — 1,187 — (110) (55) — (397) 3,249 (93) — 

Derivative assets 16 45 — — 14 — — — — 75 44 — 

Other assets:

Guarantee asset 4,426 289 — — 1,048 — (584) — — 5,179 289 — 

All other, at fair value 120 (7) — (12) 20 (15) 4 — — 110 (7) — 

Total other assets 4,546 282 — (12) 1,068 (15) (580) — — 5,289 282 — 

Balance,

January 1,

2020

Total Realized/Unrealized 

(Gains) Losses

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3(1)

Transfers

out of

Level 3(1)

Balance,

September 

30,

2020

Change in 

Unrealized 

(Gains) Losses 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2020(2)

Change in 

Unrealized 

(Gains) Losses, 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2020

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Liabilities

Debt securities of 

consolidated trusts held 

by third parties, at fair 

value $203 $— $— $— $— $— $— $— $— $203 $— $— 

Debt of Freddie Mac, at 

fair value 129 (2) — — 18 — (10) — — 135 (2) — 

Derivative liabilities 37 (12) — — 2 — (12) — — 15 (23) — 

All other, at fair value 1 — — — — — — — — 1 — — 

(1) Transfers out of Level 3 consisted primarily of certain mortgage-related securities due to an increased volume and level of activity in the market and availability of 

price quotes from dealers and third-party pricing services. Certain Freddie Mac securities are classified as Level 3 at issuance and generally are classified as Level 2 

when they begin trading. 

(2) Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains and losses related to assets and 

liabilities classified as Level 3 that were still held at September 30, 2021 and September 30, 2020, respectively. This amount includes any allowance for credit 

losses recorded on available-for-sale securities and amortization of basis adjustments.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 3Q 2021 Form 10-Q 126
The table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 

3 assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis.

Table 17.3 - Quantitative Information about Recurring Level 3 Fair Value Measurements 

September 30, 2021

Level 3

Fair

Value

Predominant

Valuation

Technique(s)

Unobservable Inputs

(Dollars in millions, except for certain unobservable 

inputs as shown) Type Range

Weighted

Average(2)

Assets

Available-for-sale, at fair value

Mortgage-related securities

Agency $341 Discounted cash flows OAS 88 - 179 bps 88 bps

 76 

Median of external 

sources

External pricing 

sources $102.0 - $106.8 $104.8 

 12 Other

Non-agency and other 800 

Median of external 

sources

External pricing 

sources $68.3 - $79.2 $73.1 

 118 Single external source

External pricing 

sources $100.9 - $100.9 $100.9 

 42 Other

Trading, at fair value

Mortgage-related securities

Agency 2,891 Single external source

External pricing 

sources $0.0 - $7,737.9 $513.8 

 291 

Median of external 

sources

External pricing 

sources $3.9 - $4.5 $4.2 

 280 Discounted cash flows OAS (835) - 1,789 bps 604 bps

Guarantee assets, at fair value 5,468 Discounted cash flows OAS 17 - 186 bps 45 bps

 376 Other

Insignificant Level 3 assets(1) 100 

Total level 3 assets $10,795 

Liabilities

Debt securities of consolidated trusts held by third 

parties, at fair value $146 Single external source

External pricing 

sources $99.7 - $107.0 $102.0 

 133 Other

Insignificant Level 3 liabilities(1) 137 

Total level 3 liabilities $416 

Referenced footnotes are included after the next table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 3Q 2021 Form 10-Q 127
December 31, 2020

Level 3

Fair

Value

Predominant

Valuation

Technique(s)

Unobservable Inputs

(Dollars in millions, except for certain unobservable 

inputs as shown) Type Range

Weighted

Average(2)

Assets

Available-for-sale, at fair value

Mortgage-related securities

Agency $410 Discounted cash flows OAS 90 - 90 bps 90 bps

 116 Other

Non-agency and other 875 

Median of external 

sources

External pricing 

sources $67.1 - $79.1 $72.8 

 187 Other

Trading, at fair value

Mortgage-related securities

Agency 2,204 Single external source

External pricing 

sources $0.0 - $8,894.6 $947.8 

 472 Discounted cash flows OAS (951) - 2,910 bps 834 bps

 583 Other

 Guarantee assets, at fair value 5,195 Discounted cash flows OAS 15 - 186 bps 38 bps

 314 Other

 Insignificant Level 3 assets(1) 171 

Total level 3 assets $10,527 

Liabilities

Debt securities of consolidated trusts held by third 

parties, at fair value $203 Single external source

External pricing 

sources $97.3 - $107.0 $101.7 

Insignificant Level 3 liabilities(1) 139 

Total level 3 liabilities $342 

(1) Represents the aggregate amount of Level 3 assets or liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant.

(2) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 3Q 2021 Form 10-Q 128
Assets Measured at Fair Value on a Non-Recurring Basis

We may be required, from time to time, to measure certain assets at fair value on a non-recurring basis. These adjustments 

usually result from the application of lower-of-cost-or-fair-value accounting or measurement of impairment based on the fair 

value of the underlying collateral. Certain of the fair values in the tables below were not obtained as of the period end, but were 

obtained during the period.

The table below presents assets measured on our condensed consolidated balance sheets at fair value on a non-recurring 

basis. 

Table 17.4 - Assets Measured at Fair Value on a Non-Recurring Basis 

September 30, 2021 December 31, 2020

(In millions) Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total

Assets measured at fair value on a 

non-recurring basis:

Mortgage loans(1) $— $12 $1,136 $1,148 $— $6 $2,241 $2,247 

(1) Includes loans that are classified as held-for-investment and have been measured for impairment based on the fair value of the underlying collateral and held-forsale loans where the fair value is below cost.

The table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 

3 assets measured on our condensed consolidated balance sheets at fair value on a non-recurring basis.

Table 17.5 - Quantitative Information About Non-Recurring Level 3 Fair Value Measurements 

September 30, 2021

Level 3

Fair

Value

Predominant

Valuation

Technique(s)

Unobservable Inputs

(Dollars in millions, except for 

unobservable inputs as shown) Type Range

Weighted

Average(1)

Non-recurring fair value 

measurements

Mortgage loans $1,136 

Internal model Historical sales proceeds $3,150 - $675,000 $215,995

Internal model Housing sales index 70 - 420 bps 133 bps

Median of external sources External pricing sources $62.0 - $106.3 $96.5

December 31, 2020

Level 3

Fair

Value

Predominant

Valuation

Technique(s)

Unobservable Inputs

(Dollars in millions, except for 

unobservable inputs as shown) Type Range

Weighted

Average(1)

Non-recurring fair value 

measurements

Mortgage loans $2,241 

Internal model Historical sales proceeds $3,001 - $696,004 $202,539

Internal model Housing sales index 66 - 345 bps 119 bps

Median of external sources External pricing sources $59.5 - $104.0 $92.1

(1) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 3Q 2021 Form 10-Q 129
Fair Value of Financial Instruments

The table below presents the carrying value and estimated fair value of our financial instruments. For certain types of financial 

instruments, such as cash and cash equivalents, securities purchased under agreements to resell, secured lending, and certain 

debt, the carrying value on our GAAP balance sheets approximates fair value, as these assets and liabilities are short-term in 

nature and have limited fair value volatility. 

Table 17.6 - Fair Value of Financial Instruments

September 30, 2021

GAAP 

Measurement 

Category(1)

GAAP 

Carrying  

Amount

Fair Value

(In millions) Level 1 Level 2 Level 3(2)

Netting 

Adjustments(3) Total

Financial Assets

Cash and cash equivalents Amortized cost $9,478 $9,478 $— $— $— $9,478 

Securities purchased under agreements 

to resell Amortized cost 85,315 — 88,770 — (3,455) 85,315 

Investment securities:

Available-for-sale, at fair value FV - OCI 4,207 — 2,818 1,389 — 4,207 

Trading, at fair value FV - NI 52,723 29,742 19,518 3,463 — 52,723 

Total investment securities 56,930 29,742 22,336 4,852 — 56,930 

Mortgage loans:

Loans held by consolidated trusts 2,671,954 — 2,478,011 228,952 — 2,706,963 

Loans held by Freddie Mac 61,160 — 32,961 30,266 — 63,227 

Total mortgage loans Various(4) 2,733,114 — 2,510,972 259,218 — 2,770,190 

Derivative assets, net FV - NI 953 15 6,454 23 (5,539) 953 

Guarantee assets FV - NI 5,843 — — 5,847 — 5,847 

Non-derivative purchase and other 

commitments FV - NI 158 — 240 — — 240 

Advances to lenders Amortized cost 8,954 — — 8,954 — 8,954 

Secured lending Amortized cost 1,284 — 1,205 80 — 1,285 

Total financial assets $2,902,029 $39,235 $2,629,977 $278,974 ($8,994) $2,939,192 

Financial Liabilities

Debt:

Debt securities of consolidated trusts 

held by third parties $2,701,530 $— $2,722,542 $786 $— $2,723,328 

Debt of Freddie Mac 193,896 — 198,880 3,960 (3,455) 199,385 

Total debt Various(5) 2,895,426 — 2,921,422 4,746 (3,455) 2,922,713 

Derivative liabilities, net FV - NI 389 — 7,957 24 (7,592) 389 

Guarantee obligations Amortized cost 5,503 — — 6,184 — 6,184 

Non-derivative purchase and other 

commitments FV - NI 21 — 11 215 — 226 

Total financial liabilities $2,901,339 $— $2,929,390 $11,169 ($11,047) $2,929,512 

(1) FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income.

(2) Certain amounts were reclassified from secured lending to non-derivative purchase and other commitments. Prior periods have been revised to conform to the 

current period presentation.

(3) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable.

(4) As of September 30, 2021, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $2.7 trillion, $9.1 billion, and $8.4 

billion, respectively. 

(5) As of September 30, 2021, the GAAP carrying amounts measured at amortized cost and FV - NI were $2.9 trillion and $2.0 billion, respectively. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 3Q 2021 Form 10-Q 130
December 31, 2020

GAAP 

Measurement 

Category(1)

GAAP 

Carrying  

Amount

Fair Value

(In millions) Level 1 Level 2 Level 3(2)

Netting 

Adjustments(3) Total

Financial Assets

Cash and cash equivalents Amortized cost $23,889 $23,889 $— $— $— $23,889 

Securities purchased under agreements 

to resell Amortized cost 105,003 — 105,003 — — 105,003 

Investment securities:

Available-for-sale, at fair value FV - OCI 15,367 — 13,779 1,588 — 15,367 

Trading, at fair value FV - NI 44,458 26,255 14,944 3,259 — 44,458 

Total investment securities 59,825 26,255 28,723 4,847 — 59,825 

Mortgage loans:

Loans held by consolidated trusts 2,273,347 — 2,080,687 262,309 — 2,342,996 

Loans held by Freddie Mac 110,541 — 76,917 36,578 — 113,495 

Total mortgage loans Various(4) 2,383,888 — 2,157,604 298,887 — 2,456,491 

Derivative assets, net FV - NI 1,205 — 8,516 63 (7,374) 1,205 

Guarantee assets FV - NI 5,509 — — 5,515 — 5,515 

Non-derivative purchase and other 

commitments FV - NI 158 — 246 — — 246 

Advances to lenders Amortized cost 4,162 — — 4,162 — 4,162 

Secured lending Amortized cost 1,680 — 1,427 253 — 1,680 

Total financial assets $2,585,319 $50,144 $2,301,519 $313,727 ($7,374) $2,658,016 

Financial Liabilities

Debt:

Debt securities of consolidated trusts 

held by third parties $2,308,176 $— $2,382,157 $852 $— $2,383,009 

Debt of Freddie Mac 284,370 — 286,634 4,088 — 290,722 

Total debt Various(5) 2,592,546 — 2,668,791 4,940 — 2,673,731 

Derivative liabilities, net FV - NI 954 — 9,132 16 (8,194) 954 

Guarantee obligations Amortized cost 5,050 — — 5,378 — 5,378 

Non-derivative purchase and other 

commitments FV - NI 20 — 1 307 — 308 

Total financial liabilities $2,598,570 $— $2,677,924 $10,641 ($8,194) $2,680,371 

(1) FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income.

(2) Certain amounts were reclassified from secured lending to non-derivative purchase and other commitments. Prior periods have been revised to conform to the 

current period presentation.

(3) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable.

(4) As of December 31, 2020, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $2.4 trillion, $19.5 billion, and 

$14.2 billion, respectively. 

(5) As of December 31, 2020, the GAAP carrying amounts measured at amortized cost and FV - NI were $2.6 trillion and $2.6 billion, respectively.

Fair Value Option

We elected the fair value option for certain multifamily held-for-sale loans, multifamily held-for-sale loan purchase 

commitments, and long-term debt.

The table below presents the fair value and UPB related to certain loans and debt for which we have elected the fair value 

option. This table does not include interest-only securities related to debt securities of consolidated trusts and debt of Freddie 

Mac held by third parties with a fair value of $267 million and $173 million and multifamily held-for-sale loan purchase 

commitments with a net fair value of $147 million and $157 million, as of September 30, 2021 and December 31, 2020, 

respectively.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 3Q 2021 Form 10-Q 131
Table 17.7 - Difference between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected 

September 30, 2021 December 31, 2020

(In millions)

Multifamily

Held-For-Sale

 Loans

Debt of Freddie 

Mac -

Long Term

Debt Securities of 

Consolidated 

Trusts Held by 

Third Parties

Multifamily

Held-For-Sale

 Loans

Debt of Freddie 

Mac -

Long Term

Debt Securities of 

Consolidated 

Trusts Held by 

Third Parties

Fair value $8,436 $1,394 $322 $14,199 $2,216 $203 

UPB 8,129 1,357 322 13,400 2,189 200 

Difference $307 $37 $— $799 $27 $3 

Changes in Fair Value Under the Fair Value Option Election

The table below presents the changes in fair value included in non-interest income (loss) in our condensed consolidated 

statements of comprehensive income (loss), related to items for which we have elected the fair value option. 

Table 17.8 - Changes in Fair Value Under the Fair Value Option Election

3Q 2021 3Q 2020 YTD 2021 YTD 2020

(In millions) Gains (Losses) Gains (Losses) 

Multifamily held-for-sale loans ($100) $209 ($330) $1,160 

Multifamily held-for-sale loan purchase commitments 423 614 960 1,796 

Debt of Freddie Mac - long term 6 (37) 36 441 

Debt securities of consolidated trusts held by third parties 7 — 16 4 

Changes in fair value attributable to instrument-specific credit risk were not material for 3Q 2021, YTD 2021, 3Q 2020, and YTD 

2020 for assets or liabilities for which we elected the fair value option.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 3Q 2021 Form 10-Q 132
NOTE 18

Legal Contingencies

We are involved as a party in a variety of legal and regulatory proceedings arising from time to time in the ordinary course of 

business including, among other things, contractual disputes, personal injury claims, employment-related litigation, and other 

legal proceedings incidental to our business. We are frequently involved, directly or indirectly, in litigation involving mortgage 

foreclosures. From time to time, we are also involved in proceedings arising from our termination of a seller's or servicer's 

eligibility to sell loans to, and/or service loans for, us. In these cases, the former seller or servicer sometimes seeks damages 

against us for wrongful termination under a variety of legal theories. In addition, we are sometimes sued in connection with the 

origination or servicing of loans. These suits typically involve claims alleging wrongful actions of sellers and servicers. Our 

contracts with our sellers and servicers generally provide for indemnification of Freddie Mac against liability arising from sellers' 

and servicers' wrongful actions with respect to loans sold to or serviced for Freddie Mac.

Litigation and claims resolution are subject to many uncertainties and are not susceptible to accurate prediction. In accordance 

with the accounting guidance for contingencies, we reserve for litigation claims and assessments asserted or threatened 

against us when a loss is probable (as defined in such guidance) and the amount of the loss can be reasonably estimated.

Putative Securities Class Action Lawsuit: Ohio Public Employees 

Retirement System vs. Freddie Mac, Syron, Et Al.

This putative securities class action lawsuit was filed against Freddie Mac and certain former officers on January 18, 2008 in the 

U.S. District Court for the Northern District of Ohio purportedly on behalf of a class of purchasers of Freddie Mac stock from 

August 1, 2006 through November 20, 2007. FHFA later intervened as Conservator, and the plaintiff amended its complaint on 

several occasions. The plaintiff alleged, among other things, that the defendants violated federal securities laws by making false 

and misleading statements concerning our business, risk management, and the procedures we put into place to protect the 

company from problems in the mortgage industry. The plaintiff seeks unspecified damages and interest, and reasonable costs 

and expenses, including attorney and expert fees.

In October 2013, defendants filed motions to dismiss the complaint. In October 2014, the District Court granted defendants' 

motions and dismissed the case in its entirety against all defendants, with prejudice. In November 2014, plaintiff filed a notice of 

appeal in the U.S. Court of Appeals for the Sixth Circuit. On July 20, 2016, the Sixth Circuit reversed the District Court's 

dismissal and remanded the case to the District Court for further proceedings. On August 14, 2018, the District Court denied 

the plaintiff's motion for class certification. On January 23, 2019, the Sixth Circuit denied plaintiff's petition for leave to appeal 

that decision. On September 17, 2020, the District Court granted a request from the plaintiff for summary judgment and entered 

final judgment in favor of Freddie Mac and the other defendants. On October 9, 2020, the plaintiff filed a notice of appeal with 

the Sixth Circuit. On January 27, 2021, Freddie Mac filed a motion to dismiss the appeal.

At present, it is not possible for us to predict the probable outcome of this lawsuit or any potential effect on our business, 

financial condition, liquidity, or results of operations. In addition, we are unable to reasonably estimate the possible loss or 

range of possible loss in the event of an adverse judgment in the foregoing matter due to the following factors, among others: 

the inherent uncertainty of the appellate process, and the inherent uncertainty of pre-trial litigation in the event the case is 

ultimately remanded to the District Court in whole or in part. In particular, while the District Court denied plaintiff's motion for 

class certification, this decision and the entry of final judgment in defendants' favor have been appealed. Absent a final 

resolution of whether a class will be certified, the identification of a class if one is certified, and the identification of the alleged 

statement or statements that survive dispositive motions, we cannot reasonably estimate any possible loss or range of possible 

loss.

LIBOR Lawsuit

On March 14, 2013, Freddie Mac filed a lawsuit in the U.S. District Court for the Eastern District of Virginia against the British 

Bankers Association and the 16 U.S. Dollar LIBOR panel banks and a number of their affiliates. The case was subsequently 

transferred to the U.S. District Court for the Southern District of New York. The complaint alleges, among other things, that the 

defendants fraudulently and collusively depressed LIBOR, a benchmark interest rate indexed to trillions of dollars of financial 

products, and asserts claims for antitrust violations, breach of contract, tortious interference with contract, and fraud. Freddie 

Mac filed an amended complaint in July 2013, and a second amended complaint in October 2014. In August 2015, the District 

Court dismissed the portion of our claim related to antitrust violations and fraud and we filed a motion for reconsideration. On 

March 31, 2016, the District Court granted a portion of our motion, finding personal jurisdiction over certain defendants, and 

denied the portion of our motion with respect to statutes of limitation for our fraud claims. Subsequently, in a related case, the 

U.S. Court of Appeals for the Second Circuit reversed the District Court's dismissal of certain plaintiffs' antitrust claims and 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 18

Freddie Mac 3Q 2021 Form 10-Q 133
remanded the case to the District Court for consideration of whether, among other things, the plaintiffs are "efficient enforcers" 

of the antitrust laws. 

On December 20, 2016, after briefing and argument on the defendants' renewed motions to dismiss on personal jurisdiction 

and efficient enforcer grounds, the District Court denied defendants' motions in part and granted them in part. The District 

Court held that Freddie Mac is an efficient enforcer of the antitrust laws, but dismissed on personal jurisdiction grounds Freddie 

Mac's antitrust claims against all defendants except HSBC USA, N.A. Then, in an order issued February 2, 2017, the District 

Court effectively dismissed Freddie Mac's remaining antitrust claim against HSBC USA, N.A. At present, Freddie Mac's breach 

of contract actions against Bank of America, N.A., Barclays Bank, Citibank, N.A., Credit Suisse, Deutsche Bank, Royal Bank of 

Scotland, and UBS AG are its only claims remaining in the District Court.

On February 23, 2018, the Second Circuit reversed the District Court's dismissal of certain plaintiffs' state law fraud and unjust 

enrichment claims on statutes of limitations grounds. While Freddie Mac was not a party to the appeal, this decision could have 

the effect of reinstating Freddie Mac's fraud claims against the above-named defendants. The Second Circuit also reversed 

certain aspects of the District Court's personal jurisdiction rulings and remanded with instructions to allow the named appellant 

to amend its complaint. The District Court subsequently granted in part Freddie Mac's motion for leave to amend its complaint, 

and Freddie Mac amended its complaint on April 16, 2019.

Litigation Concerning the Purchase Agreement

Since July 2013, a number of lawsuits have been filed against us concerning the August 2012 amendment to the Purchase 

Agreement, which created the net worth sweep dividend provisions of the senior preferred stock. The plaintiffs in the lawsuits 

allege that they are holders of common stock and/or junior preferred stock issued by Freddie Mac and Fannie Mae. (For 

purposes of this discussion, junior preferred stock refers to the various series of preferred stock of Freddie Mac and Fannie 

Mae other than the senior preferred stock issued to Treasury.) It is possible that similar lawsuits will be filed in the future. The 

lawsuits against us are described below.

Litigation in the U.S. District Court for the District of Columbia

In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations. This case is 

the result of the consolidation of three putative class action lawsuits: Cacciapelle and Bareiss vs. Federal National Mortgage 

Association, Federal Home Loan Mortgage Corporation and FHFA, filed on July 29, 2013; American European Insurance 

Company vs. Federal National Mortgage Association, Federal Home Loan Mortgage Corporation and FHFA, filed on July 30, 

2013; and Marneu Holdings, Co. vs. FHFA, Treasury, Federal National Mortgage Association and Federal Home Loan Mortgage 

Corporation, filed on September 18, 2013. (The Marneu case was also filed as a shareholder derivative lawsuit.) A consolidated 

amended complaint was filed in December 2013. In the consolidated amended complaint, plaintiffs alleged, among other items, 

that the August 2012 amendment to the Purchase Agreement breached Freddie Mac's and Fannie Mae's respective contracts 

with the holders of junior preferred stock and common stock and the covenant of good faith and fair dealing inherent in such 

contracts. Plaintiffs sought unspecified damages, equitable and injunctive relief, and costs and expenses, including attorney 

and expert fees. 

The Cacciapelle and American European Insurance Company lawsuits were filed purportedly on behalf of a class of purchasers 

of junior preferred stock issued by Freddie Mac or Fannie Mae who held stock prior to, and as of, August 17, 2012. The Marneu

lawsuit was filed purportedly on behalf of a class of purchasers of junior preferred stock and purchasers of common stock 

issued by Freddie Mac or Fannie Mae over a not-yet-defined period of time. 

Arrowood Indemnity Company vs. Federal National Mortgage Association, Federal Home Loan Mortgage 

Corporation, FHFA, and Treasury. This case was filed on September 20, 2013. The allegations and demands made by 

plaintiffs in this case were generally similar to those made by the plaintiffs in the In re Fannie Mae/Freddie Mac Senior Preferred 

Stock Purchase Agreement Class Action Litigations case described above. Plaintiffs in the Arrowood lawsuit also requested 

that, if injunctive relief were not granted, the Arrowood plaintiffs be awarded damages against the defendants in an amount to 

be determined including, but not limited to, the aggregate par value of their junior preferred stock, the total of which they stated 

to be approximately $42 million. 

American European Insurance Company, Cacciapelle, and Miller vs. Treasury and FHFA. This case was filed as a 

shareholder derivative lawsuit, purportedly on behalf of Freddie Mac as a nominal defendant, on July 30, 2014. The complaint 

alleged that, through the August 2012 amendment to the Purchase Agreement, Treasury and FHFA breached their respective 

fiduciary duties to Freddie Mac, causing Freddie Mac to suffer damages. The plaintiffs asked that Freddie Mac be awarded 

compensatory damages and disgorgement, as well as attorneys' fees, costs, and other expenses. 

FHFA, joined by Freddie Mac and Fannie Mae, moved to dismiss the In re Fannie Mae/Freddie Mac Senior Preferred Stock 

Purchase Agreement Class Action Litigations case and the other related cases in January 2014. Treasury filed a motion to 

dismiss the same day. In September 2014, the District Court granted the motions and dismissed the plaintiffs' claims. All 

plaintiffs appealed that decision, and on February 21, 2017, the U.S. Court of Appeals for the District of Columbia Circuit 

affirmed in part and remanded in part the decision granting the motions to dismiss. The DC Circuit affirmed dismissal of all 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 18

Freddie Mac 3Q 2021 Form 10-Q 134
claims except certain claims seeking monetary damages for breach of contract and breach of implied duty of good faith and 

fair dealing. In March 2017, certain institutional and class plaintiffs filed petitions for panel rehearing with respect to certain 

claims. On July 17, 2017, the DC Circuit granted the petitions for rehearing and issued a modified decision, which permitted the 

institutional plaintiffs to pursue the breach of contract and breach of implied duty of good faith and fair dealing claims that had 

been remanded. The DC Circuit also removed language related to the standard to be applied to the implied duty claims, leaving 

that issue for the District Court to determine on remand. On October 16, 2017, certain institutional and class plaintiffs filed 

petitions for a writ of certiorari in the U.S. Supreme Court challenging whether the prohibition in the Housing and Economic 

Recovery Act (HERA) on injunctive relief against FHFA bars judicial review of the net worth sweep dividend provisions of the 

August 2012 amendment to the Purchase Agreement, as well as whether HERA bars shareholders from pursuing derivative 

litigation where they allege the conservator faces a conflict of interest. The Supreme Court denied the petitions on February 20, 

2018. On November 1, 2017, certain institutional and class plaintiffs and plaintiffs in another case in which Freddie Mac was not 

originally a defendant, Fairholme Funds, Inc. v. FHFA, Treasury, and Federal National Mortgage Association, filed proposed 

amended complaints in the District Court. Each of the proposed amended complaints names Freddie Mac as a defendant for 

breach of contract and breach of the covenant of good faith and fair dealing claims as well as for new claims alleging breach of 

fiduciary duty and breach of Virginia corporate law. On January 10, 2018, FHFA, Freddie Mac, and Fannie Mae moved to 

dismiss the amended complaints. On September 28, 2018, the District Court dismissed all of the claims except those alleging 

breach of the implied covenant of good faith and fair dealing. Discovery is ongoing.

Litigation in the U.S. Court of Federal Claims

Reid and Fisher vs. the United States of America and Federal Home Loan Mortgage Corporation. This case was 

filed as a derivative lawsuit, purportedly on behalf of Freddie Mac as a nominal defendant, on February 26, 2014. The complaint 

alleges, among other items, that the net worth sweep dividend provisions of the senior preferred stock constitute an unlawful 

taking of private property for public use without just compensation. The plaintiffs ask that Freddie Mac be awarded just 

compensation for the U.S. government's alleged taking of its property, attorneys' fees, costs, and other expenses. On March 8, 

2018, the plaintiffs filed an amended complaint under seal, with a redacted copy filed on November 14, 2018. The United States 

filed a motion to dismiss on August 1, 2018 and an amended motion to dismiss on October 1, 2018. The Court denied the 

United States' motion to dismiss on May 8, 2020 and granted plaintiffs' motion to certify the decisions for interlocutory appeal 

on June 11, 2020. The Federal Circuit denied the petition for interlocutory appeal on August 21, 2020. These proceedings are 

stayed pending a ruling on the Fairholme Funds appeals.

Fairholme Funds, Inc., et al. vs. the United States of America, Federal National Mortgage Association, and 

Federal Home Loan Mortgage Corporation. This case was originally filed on July 9, 2013 against the United States of 

America. On March 8, 2018, plaintiffs filed an amended complaint under seal. A redacted public version was filed on May 11, 

2018 and adds Freddie Mac and Fannie Mae as nominal defendants. The amended complaint alleges, among other items, that 

the net worth sweep dividend provisions of the senior preferred stock constitute an unlawful taking or exaction of private 

property for public use without just compensation, and that by enacting the net worth sweep, the government breached the 

fiduciary duty it owed to Freddie Mac and Fannie Mae, and implied-in-fact contracts between the United States on the one 

hand and Freddie Mac and Fannie Mae on the other. The plaintiffs ask that plaintiffs, Freddie Mac, and Fannie Mae be awarded 

(1) just compensation for the government's alleged taking or exaction of their property, (2) damages for the government's 

breach of fiduciary duties, and (3) damages for the government's breach of the alleged implied-in-fact contracts. In addition, 

plaintiffs seek pre- and post-judgment interest, attorneys' fees, costs, and other expenses. The United States filed a motion to 

dismiss on August 1, 2018 and an amended motion to dismiss on October 1, 2018. On December 6, 2019, the Court dismissed 

the claims plaintiffs labeled as direct claims and denied defendant's motion to dismiss with respect to the claims plaintiffs 

labeled as derivative. Accordingly, derivative takings, exaction, breach of fiduciary duty, and breach of implied-in-fact contract 

claims remain. By order dated March 9, 2020, the Court granted unopposed motions by plaintiffs and defendant to certify the 

December 6 opinion for interlocutory review, modified its December 6 opinion to include the language necessary for an 

interlocutory appeal to the U.S. Court of Appeals for the Federal Circuit, and stayed further proceedings in the case pending the 

completion of the interlocutory appeal process. The Federal Circuit granted the petition for interlocutory appeal on June 18, 

2020.

Perry Capital LLC vs. the United States of America, Federal National Mortgage Association, and Federal Home 

Loan Mortgage Corporation. This case was filed as a derivative lawsuit, purportedly on behalf of Freddie Mac and Fannie 

Mae as nominal defendants, on August 15, 2018. The complaint alleges, among other items, that the net worth sweep dividend 

provisions of the senior preferred stock constitute an unlawful taking of private property for public use without just 

compensation or an illegal exaction in violation of the Fifth Amendment, and that by enacting the net worth sweep, the 

government breached the fiduciary duty it owed to Freddie Mac and Fannie Mae, and implied-in-fact contracts between the 

United States on the one hand and Freddie Mac and Fannie Mae on the other. The plaintiff asks that it, Freddie Mac, and 

Fannie Mae be awarded just compensation for the government's alleged taking of their property or damages for the illegal 

exaction; damages for the government's breach of fiduciary duties; and damages for the government's breach of the alleged 

implied-in-fact contracts. These proceedings are stayed pending a ruling on the Fairholme Funds appeals.

At present, it is not possible for us to predict the probable outcome of the lawsuits discussed above in the U.S. District Courts 

and the U.S. Court of Federal Claims (including the outcome of any appeal) or any potential effect on our business, financial 

condition, liquidity, or results of operations. In addition, we are unable to reasonably estimate the possible loss or range of 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 18

Freddie Mac 3Q 2021 Form 10-Q 135
possible loss in the event of an adverse judgment in the foregoing matters due to a number of factors, including the inherent 

uncertainty of pre-trial litigation. In addition, with respect to the In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase 

Agreement Class Action Litigations case, the plaintiffs have not demanded a stated amount of damages they believe are due, 

and the Court has not certified a class.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 18

Freddie Mac 3Q 2021 Form 10-Q 136
NOTE 19

Regulatory Capital

In October 2008, FHFA announced that it was suspending capital classification of us during conservatorship in light of the 

Purchase Agreement. FHFA continues to monitor our capital levels, but the existing statutory and FHFA regulatory capital 

requirements are not binding during conservatorship.

We continue to provide quarterly submissions to FHFA on minimum capital as required by FHFA. The table below summarizes 

our net worth and estimated core capital and minimum capital levels reported to FHFA. 

Table 19.1 - Net Worth and Minimum Capital 

(In millions) September 30, 2021 December 31, 2020

GAAP net worth (deficit) $25,311 $16,413 

Core capital (deficit)(1)(2) (47,513) (56,878) 

Less: Minimum capital(1) 23,841 22,694 

Minimum capital surplus (deficit)(1) ($71,354) ($79,572) 

(1) Core capital and minimum capital figures are estimates and represent amounts submitted to FHFA. FHFA is the authoritative source for our regulatory capital.

(2) Core capital excludes certain components of GAAP total equity (i.e., AOCI and senior preferred stock) as these items do not meet the statutory definition of core 

capital.

In May 2017, FHFA, as Conservator, issued guidance to us to evaluate and manage our financial risk and to make economic 

business decisions, while in conservatorship, utilizing a risk-based CCF, a capital system with detailed formulae provided by 

FHFA. In November 2020, FHFA released a final rule that establishes the ERCF as a new enterprise regulatory capital 

framework for Freddie Mac and Fannie Mae. The ERCF, which went into effect in February 2021, has a transition period for 

compliance. In general, the compliance date for the regulatory capital requirements will be the later of the date of termination of 

our conservatorship and any later compliance date provided in a consent order or other transition order. In accordance with 

FHFA guidance, we are transitioning to the ERCF to measure and manage risk. Pursuant to the final rule, we will be required to 

report our regulatory capital under the ERCF beginning on January 1, 2022.

On September 15, 2021, FHFA issued a notice of proposed rulemaking to amend the ERCF. The proposed amendments would 

refine the PLBA and the capital treatment of CRT transactions. FHFA is seeking comments on the proposed rule through 

November 26, 2021. On October 27, 2021, FHFA issued an additional notice of proposed rulemaking to amend the ERCF by 

introducing additional public disclosure requirements for the Enterprises. FHFA is seeking comments on this proposed rule 

within 60 days of its publication in the Federal Register.

END OF CONDENSED CONSOLIDATED FINANCIAL STATEMENTS AND ACCOMPANYING NOTES

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 19

Freddie Mac 3Q 2021 Form 10-Q 137
Other Information

LEGAL PROCEEDINGS

We are involved as a party to a variety of legal proceedings. For more information, see Note 18.

In addition, a number of lawsuits have been filed against the U.S. government related to the conservatorship and the Purchase 

Agreement. Some of these cases also have challenged the constitutionality of the structure of FHFA. For information on these 

lawsuits, see the Legal Proceedings section in our 2020 Annual Report. One such case, filed in the U.S. District Court for the 

Southern District of Texas, was appealed to the U.S. Court of Appeals for the Fifth Circuit and subsequently to the U.S. 

Supreme Court. On June 23, 2021, the Supreme Court held that the shareholders’ statutory claim is barred and found the “for 

cause” removal provision for the director of FHFA in HERA unconstitutional. The Supreme Court held that the August 2012 

amendment to the Purchase Agreement should not be voided as a result of the constitutional violation and remanded the case 

to the lower courts to determine what other remedy, if any, the shareholders are entitled to receive on their constitutional claim. 

Another such case, filed in the U.S. District Court for the District of Minnesota, was appealed to the U.S. Court of Appeals for 

the Eighth Circuit. On October 6, 2021, the Eighth Circuit affirmed the dismissal of all of the plaintiffs’ claims except their claim 

that the “for cause” removal provision in HERA was unconstitutional. The Eighth Circuit reversed dismissal of that claim and 

remanded the case to the district court for consideration of the same issue that the Supreme Court remanded, i.e., what 

remedy if any, the shareholders are entitled to receive on their claim. In addition, on October 1, 2021, a case was filed in the 

U.S. Court of Federal Claims claiming that FHFA’s placement of Freddie Mac into conservatorship violated HERA and 

represented an unlawful taking or illegal exaction and breached an implied regulatory contract with certain banks. Freddie Mac 

is not a party to any of these lawsuits.

RISK FACTORS 

This Form 10-Q should be read together with the Risk Factors section in our 2020 Annual Report, which describe various 

risks and uncertainties to which we are or may become subject. These risks and uncertainties could, directly or indirectly, 

adversely affect our business, financial condition, results of operations, cash flows, strategies, and/or prospects.

UNREGISTERED SALES OF EQUITY SECURITIES AND 

USE OF PROCEEDS

Recent Sales of Unregistered Securities

The securities we issue are "exempted securities" under the Securities Act of 1933, as amended. As a result, we do not file 

registration statements with the SEC with respect to offerings of our securities.

Following our entry into conservatorship, we suspended the operation of, and ceased making grants under, equity 

compensation plans. Previously, we had provided equity compensation under those plans to employees and members of the 

Board of Directors. Under the Purchase Agreement, we cannot issue any new options, rights to purchase, participations, or 

other equity interests without Treasury's prior approval. However, grants outstanding as of the date of the Purchase Agreement 

remain in effect in accordance with their terms.

Information About Certain Securities Issuances by Freddie Mac

We make available, free of charge through our website at www.freddiemac.com, our annual reports on Form 10-K, quarterly 

reports on Form 10-Q, current reports on Form 8-K, and all other SEC reports and amendments to those reports as soon as 

reasonably practicable after we electronically file the material with the SEC. The SEC also maintains an internet site 

(www.sec.gov) that contains reports, proxy and information statements, and other information regarding companies that file 

electronically with the SEC. 

We provide disclosure about our debt securities on our website at www.freddiemac.com/debt. From this address, investors 

can access the offering circular and related supplements for debt securities offerings under Freddie Mac's global debt facility, 

including pricing supplements for individual issuances of debt securities. Similar information about our STACR transactions and 

SCR debt notes is available at crt.freddiemac.com and mf.freddiemac.com/investors, respectively.

We provide disclosure about our mortgage-related securities, some of which are off-balance sheet obligations (e.g., K 

Certificates and SB Certificates), on our website at www.freddiemac.com/mbs and mf.freddiemac.com/investors. From 

Other Information

Freddie Mac 3Q 2021 Form 10-Q 138
these addresses, investors can access information and documents, including offering circulars and offering circular 

supplements, for mortgage-related securities offerings.

We provide additional information, including product descriptions, investor presentations, securities issuance calendars, 

transactions volumes and details, redemption notices, Freddie Mac research, and material developments or other events that 

may be important to investors, in each case as applicable, on the websites for our business activities, which can be found at 

sf.freddiemac.com, mf.freddiemac.com, and capitalmarkets.freddiemac.com/capital-markets.

EXHIBITS

The exhibits are listed in the Exhibit Index of this Form 10-Q.

Other Information

Freddie Mac 3Q 2021 Form 10-Q 139
Controls and Procedures

EVALUATION OF DISCLOSURE CONTROLS AND 

PROCEDURES

Disclosure controls and procedures include, without limitation, controls and procedures designed to ensure that the information 

we are required to disclose in reports that we file or submit under the Exchange Act is recorded, processed, summarized, and 

reported within the time periods specified by the SEC's rules and forms and that such information is accumulated and 

communicated to management of the company, including the company's Chief Executive Officer and Chief Financial Officer, as 

appropriate, to allow timely decisions regarding required disclosure. In designing our disclosure controls and procedures, we 

recognize that any controls and procedures, no matter how well designed and operated, can provide only reasonable 

assurance of achieving the desired control objectives, and we must apply judgment in implementing possible controls and 

procedures.

Management, including the company's Chief Executive Officer and Chief Financial Officer, conducted an evaluation of the 

effectiveness of our disclosure controls and procedures as of September 30, 2021. As a result of management's evaluation, our 

Chief Executive Officer and Chief Financial Officer concluded that our disclosure controls and procedures were not effective as 

of September 30, 2021, at a reasonable level of assurance, because we have not been able to update our disclosure controls 

and procedures to provide reasonable assurance that information known by FHFA on an ongoing basis is communicated from 

FHFA to Freddie Mac's management in a manner that allows for timely decisions regarding our required disclosure under the 

federal securities laws. We consider this situation to be a material weakness in our internal control over financial reporting. 

CHANGES IN INTERNAL CONTROL OVER FINANCIAL 

REPORTING DURING 3Q 2021

We evaluated the changes in our internal control over financial reporting that occurred during 3Q 2021 and concluded that 

there were no changes that materially affected, or are reasonably likely to materially affect, our internal control over financial 

reporting.

MITIGATING ACTIONS RELATED TO THE MATERIAL 

WEAKNESS IN INTERNAL CONTROL OVER FINANCIAL 

REPORTING

As described above under Evaluation of Disclosure Controls and Procedures, we have one material weakness in 

internal control over financial reporting as of September 30, 2021 that we have not remediated.

Given the structural nature of this material weakness, we believe it is likely that we will not remediate it while we are under 

conservatorship. However, both we and FHFA have continued to engage in activities and employ procedures and practices 

intended to permit accumulation and communication to management of information needed to meet our disclosure obligations 

under the federal securities laws. These include the following:

n	 FHFA has established the Division of Resolutions, which is intended to facilitate operation of the company with the 

oversight of the Conservator.

n	 We provide drafts of our SEC filings to FHFA personnel for their review and comment prior to filing. We also provide drafts 

of certain external press releases and statements to FHFA personnel for their review and comment prior to release.

n	 FHFA personnel, including senior officials, review our SEC filings prior to filing, including this Form 10-Q, and engage in 

discussions with us regarding issues associated with the information contained in those filings. Prior to filing this Form 10-

Q, FHFA provided us with a written acknowledgment that it had reviewed the Form 10-Q, was not aware of any material 

misstatements or omissions in the Form 10-Q, and had no objection to our filing the Form 10-Q.

n	 The Director or Acting Director of FHFA is in frequent communication with our Chief Executive Officer, typically meeting (in 

person or by phone) on at least a bi-weekly basis.

n	 FHFA representatives attend meetings frequently with various groups within the company to enhance the flow of 

information and to provide oversight on a variety of matters, including accounting, credit and capital markets management, 

external communications, and legal matters.

n	 Senior officials within FHFA's accounting group meet frequently with our senior financial executives regarding our 

accounting policies, practices, and procedures.

In view of our mitigating actions related to this material weakness, we believe that our condensed consolidated financial 

statements for 3Q 2021 have been prepared in conformity with GAAP.

Controls and Procedures

Freddie Mac 3Q 2021 Form 10-Q 140
Exhibit Index

Exhibit Description*

10.1

Letter Agreement dated September 14, 2021 between the United States Department of the Treasury and the Federal Home Loan Mortgage 

Corporation, acting through the Federal Housing Finance Agency as its Conservator (incorporated by reference to Exhibit 10.1 to the 

Registrant's Current Report on Form 8-K filed on January 20, 2021)

31.1 Certification of Chief Executive Officer pursuant to Securities Exchange Act Rule 13a-14(a)

31.2 Certification of Executive Vice President and Chief Financial Officer pursuant to Securities Exchange Act Rule 13a-14(a)

32.1 Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350

32.2 Certification of Executive Vice President and Chief Financial Officer pursuant to 18 U.S.C. Section 1350

101.INS XBRL Instance Document - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within 

the Inline XBRL document

101.SCH XBRL Taxonomy Extension Schema

101. CAL XBRL Taxonomy Extension Calculation

101.DEF XBRL Taxonomy Extension Definition

101.LAB XBRL Taxonomy Label

101. PRE XBRL Taxonomy Extension Presentation

104 Cover Page Interactive Data File - the cover page interactive data file does not appear in the Interactive Data File because its XBRL tags are 

embedded within the Inline XBRL document

*

The SEC file numbers for the Registrant's Registration Statement on Form 10, Annual Reports on Form 10-K, Quarterly Reports on Form 

10-Q, and Current Reports on Form 8-K are 000-53330 and 001-34139.

Exhibit Index

Freddie Mac 3Q 2021 Form 10-Q 141
Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on 

its behalf by the undersigned thereunto duly authorized.

Federal Home Loan Mortgage Corporation

By: /s/ Michael J. DeVito

Michael J. DeVito

Chief Executive Officer

(Principal Executive Officer)

Date: October 29, 2021

By: /s/ Christian M. Lown

Christian M. Lown

Executive Vice President and Chief Financial Officer

(Principal Financial Officer)

Date: October 29, 2021

Signatures

Freddie Mac 3Q 2021 Form 10-Q 142
Form 10-Q Index

Item Number Page(s)

PART I FINANCIAL INFORMATION

Item 1. Financial Statements 70 - 137

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations 1 - 69

Item 3. Quantitative and Qualitative Disclosures About Market Risk 55 - 57

Item 4. Controls and Procedures 140

PART II OTHER INFORMATION

Item 1. Legal Proceedings 138

Item 1A. Risk Factors 138

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 138

Item 6. Exhibits 139

Exhibit Index 141

Signatures 142

Form 10-Q Index

Freddie Mac 3Q 2021 Form 10-Q 143
Exhibit 31.1

CERTIFICATION

PURSUANT TO SECURITIES EXCHANGE ACT RULE 13a-14(a)

I, Michael J. DeVito, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q for the quarter ended September 30, 2021 of the Federal Home Loan Mortgage Corporation;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make 

the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered 

by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the 

financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in 

Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 

15d-15(f)) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our 

supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by 

others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our 

supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for 

external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the 

effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most 

recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely 

to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to 

the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are 

reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal 

control over financial reporting.

Date: October 29, 2021

/s/ Michael J. DeVito

Michael J. DeVito

Chief Executive Officer
Exhibit 31.2

CERTIFICATION

PURSUANT TO SECURITIES EXCHANGE ACT RULE 13a-14(a)

I, Christian M. Lown, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q for the quarter ended September 30, 2021 of the Federal Home Loan Mortgage Corporation;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make 

the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered 

by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the 

financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in 

Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 

15d-15(f)) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our 

supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by 

others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our 

supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for 

external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the 

effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most 

recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely 

to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to 

the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are 

reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal 

control over financial reporting.

Date: October 29, 2021

/s/ Christian M. Lown

Christian M. Lown

Executive Vice President and Chief Financial Officer
Exhibit 32.1

CERTIFICATION

PURSUANT TO 18 U.S.C. SECTION 1350,

AS ENACTED BY SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report on Form 10-Q for the quarter ended September 30, 2021 of the Federal Home Loan Mortgage Corporation (the 

"Company"), as filed with the Securities and Exchange Commission on the date hereof (the "Report"), I, Michael J. DeVito, Chief Executive Officer of the 

Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that to my knowledge:

1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: October 29, 2021

/s/ Michael J. DeVito

Michael J. DeVito

Chief Executive Officer
Exhibit 32.2

CERTIFICATION

PURSUANT TO 18 U.S.C. SECTION 1350,

AS ENACTED BY SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report on Form 10-Q for the quarter ended September 30, 2021 of the Federal Home Loan Mortgage Corporation (the 

"Company"), as filed with the Securities and Exchange Commission on the date hereof (the "Report"), I, Christian M. Lown, Executive Vice President and 

Chief Financial Officer of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 

2002, that to my knowledge:

1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: October 29, 2021

/s/ Christian M. Lown

Christian M. Lown

Executive Vice President and Chief Financial Officer