UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended June 30, 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 July 13, 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 24

n Risk Management 37

l	Credit Risk 37

l	Market Risk 56

n Liquidity and Capital Resources 59

n Critical Accounting Policies and Estimates 65

n Regulation and Supervision 66

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 2Q 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 22

14 Mortgage-Related Investments Portfolio 22

15 Single-Family Segment Financial Results 30

16 Multifamily Segment Financial Results 36

17 Single-Family New Business Activity 38

18 Single-Family Mortgage Portfolio CRT Issuance 39

19 Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding 39

20 Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio 40

21 Credit Enhancement Coverage by Year of Origination 40

22 Single-Family Mortgage Portfolio Without Credit Enhancement 41

23 Details of Single-Family Credit Enhancement Costs, Investment Gains (Losses), and Recoveries 41

24 Single-Family Credit Enhancement Receivables 41

25 Credit Quality Characteristics of Our Single-Family Mortgage Portfolio 42

26 Single-Family Mortgage Portfolio Attribute Combinations 42

27 Alt-A Loans in Our Single-Family Mortgage Portfolio 43

28 Concentration of Credit Risk of Our Single-Family Mortgage Portfolio 44

29 Credit Quality Characteristics of Our Single-Family Loans in Forbearance 44

30 Single-Family Loans in Forbearance Plans by Payment Status 45

31 Accrued Interest Receivable Related to Single-Family Loans in Forbearance 45

32 Single-Family Loans that Received Forbearance 46

33 Single-Family Allowance for Credit Losses Activity 46

34 Single-Family Mortgage Portfolio Credit Performance Metrics 47

35 Single-Family TDR and Non-Accrual Loans 47

36 Foregone Interest Income on Single-Family TDRs and Non-Accrual Loans 48

37 Single-Family TDR Loan Activity 48

38 Single-Family Sales and Securitization of Seasoned Loans 50

39 Single-Family REO Activity 50

40 Multifamily Loans that Received Forbearance 52

41 Multifamily Allowance for Credit Losses Activity 52

42 Multifamily Mortgage Portfolio CRT Issuance 52

43 Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio 53

44 Level of Subordination Outstanding 53

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

Table Description Page

Table of Contents

Freddie Mac 2Q 2021 Form 10-Q ii
46 Single-Family Mortgage Portfolio Non-Depository Servicers 54

47 Single-Family Mortgage Insurers 54

48 Single-Family ACIS Counterparties 55

49 PVS-YC and PVS-L Results Assuming Shifts of the LIBOR Yield Curve 56

50 Duration Gap and PVS Results 57

51 PVS-L Results Before Derivatives and After Derivatives 57

52 Earnings Sensitivity to Changes in Interest Rates 58

53 Liquidity Sources 59

54 Other Investments Portfolio 59

55 Funding Sources 60

56 Debt of Freddie Mac Activity 61

57 Activity for Debt Securities of Consolidated Trusts Held by Third Parties 63

58 Net Worth Activity 64

59 Forecasted House Price Growth Rates 65

Table Description Page

 

Table of Contents

Freddie Mac 2Q 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 six months ended June 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 June 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 2Q 2021 Form 10-Q 1
Business Results

Consolidated Financial Results

Net Revenues, Net Income, and Comprehensive Income

(In billions)

$4.1

$5.1 $5.0 $5.3

$5.9

$1.8

$2.5 $2.9 $2.8

$3.7

$1.9 $2.4 $2.5 $2.4

$3.6

Net Revenues Net Income Comprehensive Income

2Q20 3Q20 4Q20 1Q21 2Q21

n	 Net income was $3.7 billion for 2Q 2021, an increase of 107% year-over-year. Comprehensive income was $3.6 billion for 

2Q 2021, an increase of 86% year-over-year. The increases in both net income and comprehensive income were driven by 

higher net revenues and a credit reserve release, primarily in our Single-family segment. 

n Net revenues increased 41% year-over-year to $5.9 billion, primarily driven by higher net interest income due to continued 

growth in our single-family mortgage portfolio, higher average guarantee fee rates on our single-family mortgage portfolio, 

and higher deferred fee income recognition. 

Net Worth

(In billions)

$11.4

$13.9

$16.4

$18.8

$22.4

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

n	 Net worth was $22.4 billion as of June 30, 2021, up from $16.4 billion as of December 31, 2020. The increases in net worth 

reflected above through March 31, 2021 have been added to the aggregate liquidation preference of the senior preferred 

stock, and the increase in net worth during 2Q 2021 will be added to the aggregate liquidation preference of the senior 

preferred stock on September 30, 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 2Q 2021 Form 10-Q 2
Market Liquidity

 Market Liquidity

(In thousands)

1,028

1,338

1,598

1,365

1,160

218

340 356 291 315

609

813

936 940

708

201

185

306

134

137

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

2Q20 3Q20 4Q20 1Q21 2Q21

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 $306 billion in liquidity to the 

mortgage market in 2Q 2021, which enabled the financing of nearly 1.2 million home purchases, refinancings, and rental units.

Management's Discussion and Analysis Introduction

Freddie Mac 2Q 2021 Form 10-Q 3
Portfolio Balances

Mortgage Portfolio

(UPB in billions)

$2,415

$2,545

$2,714

$2,852

$2,962

$2,061 $2,179 $2,326 $2,458 $2,564

$354

$366

$388

$394 $398

Single-family mortgage portfolio

Multifamily mortgage portfolio

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

Investments Portfolio

(UPB in billions)

$349 $345 $345 $339

$284

$194 $198 $182 $174

$113

$155 $147 $163 $165

$171

Mortgage-related investments portfolio

Other investments portfolio

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

n	 Our mortgage portfolio increased 23% year-over-year to $2,962 billion, driven by a 24% increase in our single-family 

mortgage portfolio and a 12% 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 19% year-over-year to $284 billion, primarily due to a decrease in our mortgagerelated investments portfolio. This was partially offset by an increase in our other investments portfolio. 

l The decrease in our mortgage-related investments portfolio was driven by asset sales to comply with the August 2020 

FHFA instructions with respect to agency MBS and CMO portfolios. For more information on limits on our mortgagerelated investments portfolio, see MD&A - Our Portfolios - Investments Portfolio - Mortgage-Related 

Investments Portfolio.

l	 The increase in our other investments portfolio was driven by our compliance with the minimum liquidity requirements 

established by FHFA that have been in effect since December 2020.

Management's Discussion and Analysis Introduction

Freddie Mac 2Q 2021 Form 10-Q 4
Credit Risk Transfer

Single-Family Mortgage Portfolio with Credit Enhancement 

(UPB in billions)

$1,069 $1,108 $1,152 $1,230 $1,255

52% 51% 50% 50% 49%

UPB Percentage

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

Multifamily Mortgage Portfolio with Credit Enhancement

(UPB in billions)

$314 $332 $346 $362 $373

89% 91% 89%

92%

94%

UPB Percentage

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

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 through 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. 

Our Purchase Agreement with Treasury significantly affects our business activities, including by limiting: our secondary market 

activities; the amount and type of single-family and multifamily loans we can acquire; 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. 

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. 

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 

Management's Discussion and Analysis Introduction

Freddie Mac 2Q 2021 Form 10-Q 5
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)

$22.4

$91.4

$140.2

Net worth

Senior preferred stock liquidation

preference

Remaining Treasury funding commitment

As of June 30, 2021

Draws and Dividend Payments

(In billions)

$71.6

$119.7

Cumulative draws from Treasury

Cumulative dividend payments to Treasury

As of June 30, 2021

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

n	 Our Net Worth Amount was $22.4 billion as of June 30, 2021, up from $18.8 billion as of March 31, 2021. As our Net Worth 

Amount as of March 31, 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 2Q 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 $89.1 billion on March 31, 2021 to $91.4 billion on 

June 30, 2021 based on the $2.4 billion increase in our Net Worth Amount during 1Q 2021, and will increase to $95.0 billion

on September 30, 2021 based on the $3.6 billion increase in our Net Worth Amount during 2Q 2021. 

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

the Purchase Agreement. As of June 30, 2021, our aggregate funding received from Treasury under the Purchase Agreement 

was $71.6 billion. The remaining Treasury commitment under the Purchase Agreement was $140.2 billion at June 30, 2021, and 

will be reduced by any future draws.

For more information on the conservatorship and government support for our business, including our dividend requirements on 

and increases in the liquidation preference of the senior preferred stock, see Note 2.

Management's Discussion and Analysis Introduction

Freddie Mac 2Q 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

3.50%

3.13%

2.90%

2.67%

3.17% 3.02%

0.65%

0.08% 0.09% 0.07% 0.01% 0.03%

1.45%

0.30% 0.23% 0.24% 0.19% 0.15%

0.72% 0.64% 0.71%

0.93%

1.82%

1.44%

30-year PMMS SOFR

3-month LIBOR 10-year LIBOR

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

(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 Changes in the 3-month LIBOR rate affect the interest 

expense on our short-term funding.

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	 The yield curve flattened as long-term rates declined 

during 2Q 2021, reversing some of the increases that 

occurred in 1Q 2021, while short-term rates remained 

near zero.

Unemployment Rate and Monthly Net New Jobs 

(4,333,000)

1,342,000

213,000 518,000 567,000

11.1% 7.8% 6.7% 6.0% 5.9%

Average monthly net new jobs

(non-farm)

National unemployment rate

(as of the last month in each quarter)

2Q20 3Q20 4Q20 1Q21 2Q21

Source: U.S. Bureau of Labor Statistics.

n	 Changes in the national unemployment rate can affect 

several market factors, including the demand for both 

single-family and multifamily housing and loan 

delinquency rates.

n In response to the COVID-19 pandemic, many state 

and local governments enacted measures designed to 

curb the spread of COVID-19 that severely curtailed 

economic activity and significantly increased 

unemployment levels. While the labor market has 

improved, it has yet to return to pre-pandemic levels, 

with non-farm payroll jobs still down nearly 7 million 

from February 2020. The improved availability of a 

COVID-19 vaccine and its widespread distribution are 

contributing to the easing of government restrictions 

and driving economic growth, which continues to help 

reduce unemployment levels. 

Management's Discussion and Analysis Market Conditions and Economic Indicators 

Freddie Mac 2Q 2021 Form 10-Q 7
Single-Family Housing and Mortgage Market Conditions

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

5,091

7,076

7,583

7,199

6,558

4,383

6,103 6,657 6,303 5,830

708

973

926

896

728

2.2%

3.8%

2.5%

4.7%

6.9%

Sales of existing homes (units in thousands)

Sales of new homes (units in thousands)

Single-family house price growth rate

2Q20 3Q20 4Q20 1Q21 2Q21

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

House Price Index.

U.S. Single-Family Mortgage Originations

(UPB in billions)

$690

$990

$1,155

$1,265 $1,305

1Q20 2Q20 3Q20 4Q20 1Q21

Source: Inside Mortgage Finance. 2Q 2021 U.S. single-family mortgage 

originations data is not yet available.

n Low interest rates and increased time at home as a 

result of the COVID-19 pandemic (such as for health 

and safety reasons, remote work, or virtual learning) 

drove significant increases in home sales in 2020. 

Mortgage rates remained low in the first half of 2021, 

but we expect them to increase in the second half of 

2021. A shortage of homes for sale has contributed to 

high house price growth, which in turn has slowed the 

pace of home sales. These factors could lead to lower 

home purchase volumes. 

n	 Single-family house prices increased 6.9% during 2Q 

2021, compared to an increase of 2.2% during 2Q 

2020. We expect house price growth to remain robust 

in 2021.

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

to $1,305 billion in 1Q 2021 from $690 billion in 1Q 

2020 as a result of low average mortgage interest 

rates, higher home sales, and increasing house prices.

Management's Discussion and Analysis Market Conditions and Economic Indicators

Freddie Mac 2Q 2021 Form 10-Q 8
Multifamily Housing and Mortgage Market Conditions 

Apartment Vacancy Rates and Change in Effective Rents

4.9% 5.1% 5.2% 5.3% 5.3%

(0.3)%

(1.6)%

(1.1)%

(0.2)%

0.6%

Apartment vacancy rates

Change in effective rents

2Q20 3Q20 4Q20 1Q21 2Q21

Source: Reis. 

Apartment Completions and Net Absorption

(Units in thousands)

50

56 58

38

21

34 32 32

25

Completions Net absorption

2Q20 3Q20 4Q20 1Q21 2Q21

Source: Reis. 2Q 2021 net absorption data is not yet available.

n	 Vacancy rates remained flat during 2Q 2021 and 

slightly below the long-term average (between 2000 

and 2Q 2021) of 5.4% due to COVID-19 relief 

programs and eviction moratoriums, along with 

improving economic conditions leading to increased 

demand. Vacancy rates for the remainder of the year 

are expected to be flat or slightly down as demand is 

expected to keep pace with supply. However, vacancy 

rates may be impacted in the future as the COVID-19 

relief programs and eviction moratoriums are set to 

expire in the second half of 2021.

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 

substantially all of the geographic markets in 2Q 2021. 

However, the actual effective rents paid in 2Q 2021 

were modestly lower on a year-over-year basis. The 

positive rent growth observed at the national level 

during 2Q 2021 is expected to continue through the 

remainder of 2021.

n	 Multifamily property prices grew 4.2% in 2Q 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 given low 

interest rates and a less optimistic outlook for most 

other commercial property types (e.g., office, retail, 

hotel).

n	 Improving markets typically result in strong demand, 

with net absorptions expected to match or exceed 

completions for full-year 2021. Increases in absorption 

rates are expected if employment rates continue to 

increase, which typically drives household income and 

formation.

Management's Discussion and Analysis Market Conditions and Economic Indicators

Freddie Mac 2Q 2021 Form 10-Q 9
Mortgage Debt Outstanding 

Single-Family Mortgage Debt Outstanding

(UPB in billions) 

$11,254 $11,341 $11,508 $11,658 $11,785

18% 18%

19%

20%

21%

U.S. single-family mortgage debt outstanding

Freddie Mac share

1Q20 2Q20 3Q20 4Q20 1Q21

Source: Federal Reserve Financial Accounts of the United States of America. 2Q 

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

 Multifamily Mortgage Debt Outstanding 

 (UPB in billions)

$1,644 $1,678 $1,709 $1,756 $1,785

18% 18% 18%

19% 19%

U.S. multifamily mortgage debt outstanding

Freddie Mac share

1Q20 2Q20 3Q20 4Q20 1Q21

Source: Federal Reserve Financial Accounts of the United States of America. 2Q 

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 remained flat 

in 1Q 2021 due to increased competition and a 

reduced loan purchase cap.

Management's Discussion and Analysis Market Conditions and Economic Indicators

Freddie Mac 2Q 2021 Form 10-Q 10
Delinquency Rates

Single-Family Serious Delinquency Rates

4.26%

5.16% 5.03% 4.70%

2.48%

3.04%

2.64% 2.34%

1.86%

Total mortgage market

Freddie Mac

2Q20 3Q20 4Q20 1Q21 2Q21

Source: National Delinquency Survey from the Mortgage Bankers Association. 

2Q 2021 total mortgage market rate is not yet available.

Multifamily Delinquency Rates 

0.10%

0.13%

0.16% 0.17% 0.15%

1.56%

1.76%

1.95%

1.48%

1.28%

0.19%

0.22%

0.26% 0.25%

0.10% 0.10% 0.10% 0.08%

Freddie Mac

Multifamily CMBS market

FDIC insured institutions

ACLI investment bulletin

2Q20 3Q20 4Q20 1Q21 2Q21

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 2Q 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 June 30, 2021 were 

covered by credit enhancements that may 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 as a result of the COVID-19 pandemic and 

the forbearance programs we are offering in response.

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	 Our multifamily delinquency rate increased year-overyear, due to the effects of the COVID-19 pandemic, 

but decreased quarter-over-quarter and remains low 

compared to many other market participants. See 

MD&A - Risk Management - Credit Risk - 

Multifamily Mortgage Credit Risk for additional 

information on our delinquency and forbearance rates.

n	 Multifamily delinquency rates could increase further 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. See MD&A - Risk 

Management - Credit Risk - Multifamily 

Mortgage Credit Risk for additional information.

Management's Discussion and Analysis Market Conditions and Economic Indicators

Freddie Mac 2Q 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) 2Q 2021 2Q 2020 $ % YTD 2021 YTD 2020 $ %

Net interest income $4,767 $2,876 $1,891 66 % $8,406 $5,661 $2,745 48 %

Guarantee income 356 469 (113) (24) 604 846 (242) (29) 

Investment gains (losses), net 636 670 (34) (5) 1,844 (165) 2,009 1,218 

Other income (loss) 107 134 (27) (20) 285 229 56 24 

Net revenues 5,866 4,149 1,717 41 11,139 6,571 4,568 70 

Benefit (provision) for credit losses 740 (705) 1,445 205 936 (1,938) 2,874 148 

Credit enhancement expense (369) (233) (136) (58) (704) (464) (240) (52) 

Benefit for (decrease in) credit 

enhancement recoveries (193) 221 (414) (187) (450) 688 (1,138) (165) 

REO operations expense (7) (14) 7 50 (15) (99) 84 85 

Credit-related income (expense) 171 (731) 902 123 (233) (1,813) 1,580 87 

Administrative expense (651) (601) (50) (8) (1,290) (1,188) (102) (9) 

Temporary Payroll Tax Cut Continuation 

Act of 2011 expense (570) (442) (128) (29) (1,104) (874) (230) (26) 

Other expense (179) (140) (39) (28) (394) (243) (151) (62) 

Operating expense (1,400) (1,183) (217) (18) (2,788) (2,305) (483) (21) 

Income (loss) before income tax 

(expense) benefit 4,637 2,235 2,402 107 8,118 2,453 5,665 231 

Income tax (expense) benefit (958) (458) (500) (109) (1,672) (503) (1,169) (232) 

Net income (loss) 3,679 1,777 1,902 107 6,446 1,950 4,496 231 

Total other comprehensive income (loss), 

net of taxes and reclassification 

adjustments

 (68) 161 (229) (142) (457) 610 (1,067) (175) 

Comprehensive income (loss) $3,611 $1,938 $1,673 86 % $5,989 $2,560 $3,429 134 %

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 2Q 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) 2Q 2021 2Q 2020 $ % YTD 2021 YTD 2020 $ %

Guarantee net interest income:

Contractual net interest income $2,108 $1,111 $997 90 % $3,933 $2,295 $1,638 71 %

Net interest income related to the Temporary 

Payroll Tax Cut Continuation Act of 2011 585 454 131 29 1,140 883 257 29 

Deferred fee income 1,699 748 951 127 2,718 1,300 1,418 109 

Total guarantee net interest income 4,392 2,313 2,079 90 7,791 4,478 3,313 74 

Investments net interest income:

Contractual net interest income and 

amortization 969 1,225 (256) (21) 2,065 2,435 (370) (15) 

Interest expense related to CRT debt (142) (187) 45 24 (289) (427) 138 32 

Total investments net interest income 827 1,038 (211) (20) 1,776 2,008 (232) (12) 

Income (expense) from hedge accounting (452) (475) 23 5 (1,161) (825) (336) (41) 

Net interest income $4,767 $2,876 $1,891 66 % $8,406 $5,661 $2,745 48 %

Key Drivers:

n Guarantee net interest income 

l	 2Q 2021 vs. 2Q 2020 and YTD 2021 vs. YTD 2020 - Increased primarily due to the continued growth in the singlefamily mortgage portfolio, higher average guarantee fee rates on the single-family mortgage portfolio, and higher 

deferred fee income recognition.

n Investments net interest income

l	 2Q 2021 vs. 2Q 2020 and YTD 2021 vs. YTD 2020 - Decreased primarily due to a change in our investment mix as the 

lower-yielding other investments portfolio represented a larger percentage of our total 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 issue STACR debt notes on a regular basis.

n Income (expense) from hedge accounting

l	 YTD 2021 vs. YTD 2020 - Expense increased primarily due to amortization of hedge accounting-related basis 

adjustments driven by faster prepayments.

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 2Q 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

2Q 2021 2Q 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 $120,325 $1 — % $18,656 $3 0.06 %

Securities purchased under agreements to resell 29,276 4 0.05 95,243 30 0.13 

Advances to lenders 3,770 10 1.06 2,507 9 1.47 

Secured lending 1,618 8 1.83 2,067 11 2.26 

 Mortgage-related securities, net 27,313 580 8.50 43,068 553 5.14 

Non-mortgage-related securities 30,755 37 0.49 31,632 84 1.05 

Loans held by consolidated trusts(1) 2,486,743 13,983 2.25 1,992,498 14,260 2.86 

Loans held by Freddie Mac(1) 82,135 607 2.96 88,112 766 3.48 

Total interest-earning assets 2,781,935 15,230 2.19 2,273,783 15,716 2.76 

Interest-bearing liabilities:

Debt securities of consolidated trusts held by third parties 2,479,641 (10,033) (1.62) 1,951,651 (11,975) (2.45) 

Debt of Freddie Mac:

Short-term debt 11,698 — 0.01 101,989 (130) (0.51) 

Long-term debt 244,207 (430) (0.70) 195,573 (735) (1.50) 

Total debt of Freddie Mac 255,905 (430) (0.67) 297,562 (865) (1.16) 

Total interest-bearing liabilities 2,735,546 (10,463) (1.53) 2,249,213 (12,840) (2.28) 

Impact of net non-interest-bearing funding 46,389 — 0.03 24,570 — 0.02 

Total funding of interest-earning assets 2,781,935 (10,463) (1.50) 2,273,783 (12,840) (2.26) 

Net interest income/yield $4,767 0.69 % $2,876 0.50 %

(1) Loan fees, primarily consisting of amortization of upfront fees, included in interest income were $806 million and $1.2 billion for loans held by consolidated trusts 

and $29 million and $20 million for loans held by Freddie Mac during 2Q 2021 and 2Q 2020, respectively.

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 2Q 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 $92,734 $4 0.01 % $15,444 $24 0.31 %

Securities purchased under agreements to resell 54,778 21 0.07 83,767 291 0.69 

Advances to lenders 3,864 20 1.06 2,030 18 1.81 

Secured lending 1,631 15 1.81 2,097 28 2.63 

Mortgage-related securities, net 28,201 1,154 8.18 44,034 1,082 4.92 

Non-mortgage-related securities 29,173 73 0.51 30,124 207 1.37 

Loans held by consolidated trusts(1) 2,418,033 26,509 2.19 1,978,555 30,117 3.04 

Loans held by Freddie Mac(1) 93,069 1,336 2.87 83,259 1,541 3.70 

Total interest-earning assets 2,721,483 29,132 2.14 2,239,310 33,308 2.97 

Interest-bearing liabilities:

Debt securities of consolidated trusts held by third parties 2,410,850 (19,789) (1.64) 1,926,559 (25,422) (2.64) 

Debt of Freddie Mac:

Short-term debt 12,595 (2) (0.02) 110,605 (560) (1.00) 

Long-term debt 252,795 (935) (0.74) 183,022 (1,665) (1.81) 

Total debt of Freddie Mac 265,390 (937) (0.71) 293,627 (2,225) (1.51) 

Total interest-bearing liabilities 2,676,240 (20,726) (1.55) 2,220,186 (27,647) (2.49) 

Impact of net non-interest-bearing funding 45,243 — 0.03 19,124 — 0.02 

Total funding of interest-earning assets 2,721,483 (20,726) (1.52) 2,239,310 (27,647) (2.47) 

Net interest income/yield $8,406 0.62 % $5,661 0.50 %

(1) Loan fees, primarily consisting of amortization of upfront fees, included in interest income were $1.8 billion and $2.0 billion for loans held by consolidated trusts and 

$52 million and $41 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) 2Q 2021 2Q 2020 $ % YTD 2021 YTD 2020 $ %

Contractual guarantee fees $304 $245 $59 24 % $589 $485 $104 21 %

Guarantee obligation amortization 288 254 34 13 560 474 86 18 

Guarantee asset fair value changes (236) (30) (206) (687) (545) (113) (432) (382) 

Guarantee income $356 $469 ($113) (24) % $604 $846 ($242) (29) %

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 2Q 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) 2Q 2021 2Q 2020 $ % YTD 2021 YTD 2020 $ %

Mortgage loans gains (losses) $1,511 $1,046 $465 44 % $1,717 $2,218 ($501) (23) %

Investment securities gains (losses) (330) 65 (395) (608) (837) 1,120 (1,957) (175) 

Debt gains (losses) 18 60 (42) (70) 156 760 (604) (79) 

Derivative gains (losses) (563) (501) (62) (12) 808 (4,263) 5,071 119 

Investment gains (losses), net $636 $670 ($34) (5) % $1,844 ($165) $2,009 1,218 %

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 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) 2Q 2021 2Q 2020 $ % YTD 2021 YTD 2020 $ %

Single-family:

 Gains (losses) on mortgage loans $510 $103 $407 395 % $554 $81 $473 584 %

Multifamily:

Gains (losses) on certain loan purchase 

commitments 342 650 (308) (47) 537 1,182 ($645) (55) 

 Gains (losses) on mortgage loans 659 293 366 125 626 955 (329) (34) 

Total Multifamily 1,001 943 58 6 1,163 2,137 (974) (46) 

Mortgage loans gains (losses) $1,511 $1,046 $465 44 % $1,717 $2,218 ($501) (23) %

Key Drivers:

n	 2Q 2021 vs. 2Q 2020 - Single-family mortgage loans gains increased primarily due to a higher volume of sales of singlefamily held-for-sale loans. For multifamily, mortgage loans gains increased primarily due to higher floating-rate loan 

securitization volume, partially offset by less K Certificate spread tightening and a smaller volume of fixed-rate held-for-sale 

loan commitments. 

n	 YTD 2021 vs. YTD 2020 - Single-family mortgage loans gains increased primarily due to a higher volume of sales of singlefamily held-for-sale loans. For multifamily, mortgage loans gains decreased as tighter K Certificate spreads and higher 

floating-rate loan securitization volume were more than offset by the impacts of interest-rate changes on the fair values of 

our loans and fixed-rate loan commitments. During YTD 2021, we recorded fair value losses due to increases in long-term 

interest rates compared to significant fair value gains during YTD 2020 due to large interest rate decreases as a result of 

the market volatility caused by the COVID-19 pandemic.

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 2Q 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 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) 2Q 2021 2Q 2020 $ % YTD 2021 YTD 2020 $ %

Realized gains (losses) on sales of availablefor-sale securities $99 $7 $92 1,314 % $467 $17 $450 2,647 %

Realized and unrealized gains (losses) on 

trading securities (410) 84 (494) (588) (1,264) 1,153 (2,417) (210) 

Other (19) (26) 7 27 (40) (50) 10 20 

Investment securities gains (losses) ($330) $65 ($395) (608) % ($837) $1,120 ($1,957) (175) %

Key Drivers:

n	 2Q 2021 vs. 2Q 2020 - Decreased primarily due to higher losses on trading securities as a result of a larger decrease in 

long-term interest rates and a change in investment mix in 2Q 2021 compared to 2Q 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).

Table 8 - Components of Debt Gains (Losses)

Change Change

(Dollars in millions) 2Q 2021 2Q 2020 $ % YTD 2021 YTD 2020 $ %

Fair value changes:

Debt securities of consolidated trusts $13 ($1) $14 1,400 % $12 $3 $9 300 %

Debt of Freddie Mac 22 (69) 91 132 30 479 (449) (94) 

Total fair value changes 35 (70) 105 150 42 482 (440) (91) 

Gains (losses) on extinguishment of debt:

Debt securities of consolidated trusts (8) 35 (43) (123) 133 39 94 241 

Debt of Freddie Mac (9) 95 (104) (109) (19) 239 (258) (108) 

Total gains (losses) on extinguishment of 

debt (17) 130 (147) (113) 114 278 (164) (59) 

Debt gains (losses) $18 $60 ($42) (70) % $156 $760 ($604) (79) %

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 2Q 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) 2Q 2021 2Q 2020 $ % YTD 2021 YTD 2020 $ %

Fair value gains (losses):

Interest-rate risk management derivatives $631 $175 $456 261 % $1,023 ($2,794) $3,817 137 %

Mortgage commitment derivatives (860) (396) (464) (117) 616 (1,122) 1,738 155 

CRT-related derivatives 15 43 (28) (65) (27) 121 (148) (122) 

Other 11 6 5 83 8 37 (29) (78) 

Total fair value gains (losses) (203) (172) (31) (18) 1,620 (3,758) 5,378 143 

Accrual of periodic cash settlements (360) (329) (31) (9) (812) (505) (307) (61) 

Derivative gains (losses) ($563) ($501) ($62) (12) % $808 ($4,263) $5,071 119 %

Key Drivers:

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) 2Q 2021 2Q 2020 $ % YTD 2021 YTD 2020 $ %

Benefit (provision) for credit losses:

 Single-family $686 ($624) $1,310 210 % $832 ($1,790) $2,622 146 %

 Multifamily 54 (81) 135 167 104 (148) 252 170 

Benefit (provision) for credit losses $740 ($705) $1,445 205 % $936 ($1,938) $2,874 148 %

Key Drivers:

Single-family

n 2Q 2021 vs. 2Q 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 

than in the 2020 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.

Multifamily

n 2Q 2021 vs. 2Q 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 driven by improved actual and forecasted economic factors.

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 2Q 2021 Form 10-Q 18
Credit Enhancement Expense

Key Drivers:

n 2Q 2021 vs. 2Q 2020 and YTD 2021 vs. YTD 2020 - Increased $136 million and $240 million, respectively, primarily due to 

higher outstanding cumulative volumes of CRT transactions.

Benefit for (Decrease in) Credit Enhancement Recoveries

Key Drivers: 

n 2Q 2021 vs. 2Q 2020 and YTD 2021 vs. YTD 2020 - Decreased $414 million and $1.1 billion, respectively, as a result of 

the corresponding decrease in expected credit losses.

Other Comprehensive Income (Loss)

Key Drivers:

n	 2Q 2021 vs. 2Q 2020 and YTD 2021 vs. YTD 2020 - Decreased $229 million and $1.1 billion, respectively, primarily due to 

recognition of realized gains due to sales of available-for-sale securities. The 2020 periods included fair value gains as 

long-term interest rates declined as a result of the market volatility caused by the COVID-19 pandemic. We economically 

hedge our interest rate exposure on investment securities 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 2Q 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) June 30, 2021 December 31, 2020 $ %

Assets:

Cash and cash equivalents $11,171 $23,889 ($12,718) (53) %

Securities purchased under agreements to resell 113,697 105,003 8,694 8 

Subtotal 124,868 128,892 (4,024) (3) 

Investment securities, at fair value 59,558 59,825 (267) — 

Mortgage loans, net 2,608,223 2,383,888 224,335 9 

Accrued interest receivable, net 7,637 7,754 (117) (2) 

Derivative assets, net 756 1,205 (449) (37) 

Deferred tax assets, net 6,494 6,557 (63) (1) 

Other assets 34,606 39,294 (4,688) (12) 

Total assets $2,842,142 $2,627,415 $214,727 8 %

Liabilities and Equity:

Liabilities:

Accrued interest payable $6,122 $6,210 ($88) (1) %

Debt 2,802,755 2,592,546 210,209 8 

Derivative liabilities, net 507 954 (447) (47) 

Other liabilities 10,356 11,292 (936) (8) 

Total liabilities 2,819,740 2,611,002 208,738 8 

Total equity 22,402 16,413 5,989 36 

Total liabilities and equity $2,842,142 $2,627,415 $214,727 8 %

Key Drivers:

As of June 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, partially offset by an increase in the size of our 

other investments portfolio to comply with the minimum liquidity requirements established by FHFA that have been in 

effect since December 2020.

n	 Other assets decreased primarily due to lower servicer receivables driven by the decrease in loan prepayments.

n	 Total equity increased primarily due to our net income for 2Q 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 

pursuant to the Letter Agreements.

Management's Discussion and Analysis Consolidated Balance Sheets Analysis 

Freddie Mac 2Q 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 loans - Single-family and multifamily loans that we have purchased for cash and aggregate 

prior to securitization.

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.

l Other loans - Unsecuritized mortgage loans that do not fit in either of the prior two categories, primarily multifamily 

loans we acquire as part of a buy-and-hold investment strategy.

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

June 30, 2021 December 31, 2020

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

Securitized mortgage loans:

Held by consolidated trusts $2,469,623 $15,197 $2,484,820 $2,204,936 $12,305 $2,217,241

Held by nonconsolidated trusts 35,181 355,718 390,899 34,932 331,860 366,792

Total securitized mortgage loans 2,504,804 370,915 2,875,719 2,239,868 344,165 2,584,033 

Unsecuritized mortgage loans:

Securitization pipeline loans 25,745 12,878 38,623 51,040 29,183 80,223 

Loss mitigation loans 22,892 — 22,892 26,303 — 26,303 

Other loans — 4,608 4,608 — 4,224 4,224 

Total unsecuritized mortgage loans 48,637 17,486 66,123 77,343 33,407 110,750 

Other 10,148 10,026 20,174 9,215 10,775 19,990 

Total mortgage portfolio $2,563,589 $398,427 $2,962,016 $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.

Management's Discussion and Analysis Our Portfolios

Freddie Mac 2Q 2021 Form 10-Q 21
Table 13 - Guarantee Portfolio 

June 30, 2021 December 31, 2020

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

Guaranteed mortgage-related securities:

Issued by consolidated trusts $2,518,884 $15,191 $2,534,075 $2,273,736 $12,305 $2,286,041 

Issued by nonconsolidated trusts 29,409 311,443 340,852 29,300 289,056 318,356 

Total guaranteed mortgage-related securities 2,548,293 326,634 2,874,927 2,303,036 301,361 2,604,397 

Other 10,148 10,026 20,174 9,215 10,775 19,990 

Total guarantee portfolio $2,558,441 $336,660 $2,895,101 $2,312,251 $312,136 $2,624,387 

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 Freddie Mac mortgage-related securities, both single-family and 

multifamily, 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 $124.1 billion as 

of June 30, 2021, including $10.8 billion representing 10% of the notional amount of the interest-only securities we held as of 

June 30, 2021. 

With respect to the composition of our mortgage-related investments portfolio, in August 2020, FHFA instructed us to: (1) 

reduce the amount of agency MBS to no more than $50 billion by June 30, 2021 and no more than $20 billion by June 30, 

2022, with all dollar caps to be based on UPB; and (2) reduce the UPB of our existing portfolio of collateralized mortgage 

obligations (CMOs), which are also sometimes referred to as REMICs, to zero by June 30, 2021. We will have a holding period 

limit to sell any new CMO tranches created but not sold at issuance. CMOs do not include tranches initially retained from 

reperforming loans senior subordinate securitization structures.

Table 14 - Mortgage-Related Investments Portfolio

June 30, 2021 December 31, 2020

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

Unsecuritized mortgage loans:

Securitization pipeline loans $25,745 $12,878 $38,623 $51,040 $29,183 $80,223 

Loss mitigation loans 22,892 — 22,892 26,303 — 26,303 

Other loans — 4,608 4,608 — 4,224 4,224 

Total unsecuritized mortgage loans 48,637 17,486 66,123 77,343 33,407 110,750 

Mortgage-related securities:

Agency mortgage-related securities 42,320 3,466 45,786 65,954 4,066 70,020 

Non-agency mortgage-related securities 1,225 101 1,326 1,300 114 1,414 

Total mortgage-related securities 43,545 3,567 47,112 67,254 4,180 71,434 

Mortgage-related investments portfolio $92,182 $21,053 $113,235 $144,597 $37,587 $182,184 

Management's Discussion and Analysis Our Portfolios

Freddie Mac 2Q 2021 Form 10-Q 22
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 2Q 2021 Form 10-Q 23
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)

$1,777

$2,463

$2,913 $2,767

$3,679

$1,950

$6,446

$772 $1,282 $1,747 $1,738

$2,855

$1,183

$4,593

$1,005

$1,181

$1,166 $1,029

$824

$767

$1,853

Single-family Multifamily

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

Segment Comprehensive Income (Loss)

(In millions)

$1,938

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

$3,611

$2,560

$5,989

$875 $1,272 $1,373 $1,410

$2,781

$1,671

$4,191

$1,063

$1,177 $1,149 $968

$830

$889

$1,798

Single-family Multifamily

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

Management's Discussion and Analysis Our Business Segments

Freddie Mac 2Q 2021 Form 10-Q 24
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) 

$60

$101 $109 $89 $98 $115 $187

$172

$236 $274 $273 $190

$255

$463

48 46 47 50 49 48 50

$232

$337

$383 $362

$288

$370

$650

Home purchase

Refinance

Average guarantee fee rate charged

on new acquisitions

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

(1) Guarantee fee 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)

827

1,153

1,292 1,231

1,023

1,353

2,254

218

340 356 291 315

435

606

609

813

936

940

708

918

1,648

$280,000 $292,000 $297,000 $294,000 $282,000 $274,000

$288,000

Home purchase borrowers

Refinance borrowers

Average loan UPB of new acquisitions

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

n	 2Q 2021 vs. 2Q 2020 and YTD 2021 vs. YTD 2020 

l Our loan purchase and guarantee activity increased due to higher refinance and home purchase volumes driven by the 

low mortgage interest rate environment. We expect mortgage interest rates to increase in the second half of 2021 and, 

as a result, refinance volume to decrease.

l The average guarantee fee rate charged on new acquisitions increased 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.

l We continue to monitor our compliance with the Purchase Agreement covenants added pursuant to the January 2021 

Letter Agreement that place additional restrictions on our secondary market activities, including our single-family loan 

acquisitions and cash window activities, and we have changed, and may further change, our loan acquisition and cash 

window programs to maintain compliance. In 1Q 2021, FHFA instructed us to apply the $1.5 billion limit on the volume 

of loans purchased through the cash window program per lender during any period comprising four calendar quarters 

to certain lenders beginning on July 1, 2021. In June 2021, FHFA revised this guidance on early implementation of the 

new cash window restrictions, reverting to the requirement in the Purchase Agreement to implement this $1.5 billion 

limit beginning on January 1, 2022.

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

Freddie Mac 2Q 2021 Form 10-Q 25
 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) 

$2,061 $2,179 $2,326 $2,458 $2,564

42

43

44 45

46

Single-family mortgage portfolio

Average guarantee fee rate charged

on mortgage portfolio

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

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

increase. As of June 30, 2021, excludes $49 billion in UPB of loans for 

which the average guarantee fee charged information is not available.

 

 Single-Family Loans

(Loan count in millions)

11.4 11.6 12.0 12.3 12.5

$181,000

$187,000

$194,000

$200,000 $204,000

Single-family mortgage portfolio

Average loan UPB

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

n	 The single-family mortgage portfolio grew $503 billion, or 24%, 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	 2Q 2021 vs. 2Q 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 2Q 2021 Form 10-Q 26
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. We evaluate and update our CRT strategy as needed depending on our overall business 

strategy, regulatory requirements, and market conditions. 

 UPB Covered by New CRT Issuance New CRT Issuance Maximum Coverage

 (In billions) (In billions)

$1

$168 $167

$245

$174

$142

$419

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

 

$1

$6

$5 $6

$3

$6

$10

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

n	 2Q 2021 vs. 2Q 2020 and YTD 2021 vs. YTD 2020

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

LTV ratios between 60% and 97%) decreased to 61% during the 2021 periods from 63% and 66% during 2Q 2020 

and YTD 2020, respectively, primarily driven by an increase in the proportion of recently acquired loans with lower LTV 

ratios.

l The UPB of mortgage loans covered by CRT transactions issued during the 2021 periods increased significantly due 

to the recovery of the CRT markets from the impact of the COVID-19 pandemic, the increase in loan acquisition 

activity in recent quarters, and the shortened timeline between loan acquisition and ACIS issuance.

l Our CRT issuance maximum coverage increased but was proportionally lower than the increase in UPB of mortgage 

loans covered by CRT transactions issued during the 2021 periods due to the improved credit quality of the covered 

loans, which reduced the amount of credit coverage we required on those loans.

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 2Q 2021 Form 10-Q 27
Loss Mitigation Activities 

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

89

193

133

94 88 100

182

$18

$42

$28

$20 $19 $20

$39

Total single-family loan workouts

Number of loan workouts

2Q20 3Q20 4Q20 1Q21 2Q21 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 177,000 loans in active forbearance plans and 

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

n Pursuant to FHFA guidance and the CARES Act, we offer mortgage relief options for borrowers affected by the COVID-19 

pandemic. Among other things, we are offering 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 are also offering 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 YTD 2021 vs. YTD 2020 - Our loan workout activity increased significantly, primarily driven by the increase in completed 

forbearance plans and 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 2Q 2021 Form 10-Q 28
Net Interest Yield and Average Investments Portfolio Balances

Net Interest Yield & Average Investments Portfolio Balances

(Weighted average balance in billions)

 

$59 $69 $77 $73 $61 $54

$67

$107 $93 $83

$67

$58

$115 $63

$148 $162 $182 $177 $185 $132 $181

0.99% 1.03%

0.88% 0.84%

0.76%

0.98%

0.80%

$314 $324 $342 $317 $304 $301 $311

Unsecuritized mortgage loans Mortgage-related securities

Other investments portfolio Net interest yield

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

n	 2Q 2021 vs. 2Q 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 in 2Q 2021 compared to 2Q 2020 due to a decline in 

the mortgage-related investments portfolio driven by asset sales to comply with the August 2020 FHFA instructions 

with respect to agency MBS and CMO portfolios. The weighted average investments portfolio balance increased in 

YTD 2021 compared to YTD 2020 as the increase in the other investments portfolio to comply with the minimum 

liquidity requirements established by FHFA that have been in effect since December 2020 more than offset the decline 

in the mortgage-related investments portfolio.

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

Freddie Mac 2Q 2021 Form 10-Q 29
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) 2Q 2021 2Q 2020 $ % YTD 2021 YTD 2020 $ %

 Guarantee net interest income $4,334 $2,283 $2,051 90 % $7,680 $4,423 $3,257 74 %

 Investments net interest income 578 782 (204) (26) 1,249 1,477 (228) (15) 

 Income (expense) from hedge accounting (452) (475) 23 5 (1,161) (825) (336) (41) 

 Net interest income 4,460 2,590 1,870 72 7,768 5,075 2,693 53 

Guarantee income 10 55 (45) (82) 99 42 57 136 

Investment gains (losses), net 137 (61) 198 325 437 (37) 474 1,281 

Other income (loss) 108 83 25 30 260 141 119 84 

Net revenues 4,715 2,667 2,048 77 8,564 5,221 3,343 64 

Benefit (provision) for credit losses 686 (624) 1,310 210 832 (1,790) 2,622 146 

Credit enhancement expense (361) (228) (133) (58) (686) (455) (231) (51) 

Benefit for (decrease in) credit enhancement 

recoveries (190) 219 (409) (187) (435) 658 (1,093) (166) 

REO operations expense (7) (14) 7 50 (15) (99) 84 85 

Credit-related income (expense) 128 (647) 775 120 (304) (1,686) 1,382 82 

Administrative expense (503) (477) (26) (5) (991) (944) (47) (5) 

Temporary Payroll Tax Cut Continuation Act of 

2011 expense (570) (442) (128) (29) (1,104) (874) (230) (26) 

Other expense (172) (131) (41) (31) (381) (229) (152) (66) 

Operating expense (1,245) (1,050) (195) (19) (2,476) (2,047) (429) (21) 

Income (loss) before income tax (expense) 

benefit 3,598 970 2,628 271 5,784 1,488 4,296 289 

Income tax (expense) benefit (743) (198) (545) (275) (1,191) (305) (886) (290) 

Net income (loss) 2,855 772 2,083 270 4,593 1,183 3,410 288 

Total other comprehensive income (loss), net of 

taxes and reclassification adjustments (74) 103 (177) (172) (402) 488 (890) (182) 

Comprehensive income (loss) $2,781 $875 $1,906 218 % $4,191 $1,671 $2,520 151 %

Key Business Drivers: 

n	2Q 2021 vs. 2Q 2020 and YTD 2021 vs. YTD 2020

l Higher net interest income in the 2021 periods compared to the 2020 periods primarily due to the continued growth in 

the single-family mortgage portfolio, higher average guarantee fee rates on the single-family mortgage portfolio, and 

higher deferred fee income recognition.

l	 Credit-related income in 2Q 2021 compared to credit-related expense in 2Q 2020 and lower credit-related expense in 

YTD 2021 compared to YTD 2020, primarily driven by a benefit for credit losses as a result of a credit reserve release 

due to realized house price appreciation and improving economic conditions. This was partially offset by a decrease in 

credit enhancement recoveries. 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 2Q 2021 Form 10-Q 30
Multifamily 

Business Results

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

New Business Activity and Guarantee Activities

New Business Activity(1)

 (In billions) 

$20

$18

$35

$14

$13

$30

$27

201 185

306

134 137

312

271

New business activity

Total number of units financed

(in thousands)

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

 (1) Includes LIHTC new business activity

 Guarantee Activities

 (In billions)

$12

$21

$26

$21

$18

$24

$39

58

51 51

49

54 52 51

Guaranteed securities and other mortgagerelated guarantees

Average guarantee fee rate charged (in bps)

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

n	 In November 2020, FHFA announced that the 2021 loan purchase cap for the multifamily business will be $70 billion, and 

at least 50% of the multifamily new business activity must be mission-driven, affordable housing, generally defined as 

affordable to renters at 80% of AMI or below, with at least 20% being affordable to renters at 60% of AMI or below.

l As of June 30, 2021, the total multifamily new business activity counting toward this cap was $27.0 billion. 

Approximately 67% of this activity, based on UPB, was mission-driven, affordable housing, with approximately 33%

being affordable to renters at 60% of AMI or below.

n	 New business activity decreased YTD 2021 compared to YTD 2020 due to increased competition and a reduced loan 

purchase cap. We expect full year 2021 new business activity to reach the $70 billion purchase cap as broader economic 

activity is expected to drive demand for mortgage financing.

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

assets, were $18.7 billion and $18.0 billion as of June 30, 2021 and June 30, 2020, respectively, indicating a strong pipeline 

for the remainder of the year. 

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 2Q 2021 Form 10-Q 31
Multifamily Mortgage Portfolio and Guarantee Portfolio

 Mortgage Portfolio

 (In billions) 

 

 

$354 $366

$388 $394 $398

4,371

4,450

4,598 4,613 4,627

UPB of mortgage portfolio

Total units financed (In thousands)

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

 

 Guarantee Portfolio

 (In billions) 

 

 

$280

$296

$312

$326

$337

37

38

39

41 41

UPB of guarantee portfolio

Average guarantee fee rate charged (bps)

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

n	 Our multifamily mortgage and guarantee portfolios increased as of June 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 $1.6 billion and $1.4 billion as of June 30, 2021 and December 31, 2020, respectively.

Management's Discussion and Analysis Our Business Segments | Multifamily

Freddie Mac 2Q 2021 Form 10-Q 32
CRT Activities

 UPB Covered by New CRT Issuance New CRT Issuance Maximum Coverage 

 (In billions) (In billions)

$11

$24

$26 $26

$17

$21

$43

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

 

$1

$2 $2 $2

$1

$2

$3

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

n	 As of June 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 the 2021 periods and the related maximum 

coverage increased as we securitized the significant loan purchase activity from the previous two quarters.

We evaluate our risk transfer strategy and make changes depending on market conditions, our business strategy, 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 2Q 2021 Form 10-Q 33
 Net Interest Yield and Average Investments Portfolio Balances

Net Interest Yield & Average Investments Portfolio Balances

(Weighted average balance in billions)

$29 $31 $27

$31

$21

$29 $26

$7 $6 $6 $6

$6

$7

$6

$1 $1 $1 $1

$1

$2

$1

2.70% 2.61%

2.96% 2.94%

3.58%

$37 $38

$34

$38

$28

$38

$33

2.81%

3.21%

$38

$33

Unsecuritized mortgage loans

Mortgage-related securities

Other investments portfolio (excludes LIHTC)

Net interest yield

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

n	 2Q 2021 vs. 2Q 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 

decreased due to an increase in securitization activity. 

Management's Discussion and Analysis Our Business Segments | Multifamily

Freddie Mac 2Q 2021 Form 10-Q 34
Mortgage Loans Gains (Losses), Net and Initial Pricing Margin on Commitments

 Multifamily Segment Mortgage Loans Gains (Losses), Net

 (In millions)

$807

$1,042

$1,196

$990

$430

$631 $666

$309 $314

$220

$220 $172

$236

$58

$157

$191

$358

$445

$299

45

39

28

18 15

45

29 26

23 22

$671

Initial pricing margin on commitments

Spread-related fair value changes

Other

10-year fixed-rate spread (in bps)

7-year ARM spread (in bps)

2Q20 3Q20 4Q20 1Q21 2Q21

Source of spread data in basis points: Independent dealers

 Initial Pricing Margin on Commitments 

 (In millions)

$430

$631 $666

$309 $314

3.97%

5.84%

5.07%

6.38%

5.43%

Initial pricing margin on commitments

Initial pricing margin on commitments (in %)

2Q20 3Q20 4Q20 1Q21 2Q21

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

New loan commitments for $10,821 $10,804 $13,127 $4,850 $5,778

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 2Q 2021 compared to 2Q 2020 due to less K Certificate spread tightening, 

lower net impacts from index lock activity, and a smaller volume of fixed-rate loan commitments, partially offset by higher 

floating-rate loan securitization volume. 

Management's Discussion and Analysis Our Business Segments | Multifamily

Freddie Mac 2Q 2021 Form 10-Q 35
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) 2Q 2021 2Q 2020 $ % YTD 2021 YTD 2020 $ %

Guarantee net interest income $59 $36 $23 64 % $112 $62 $50 81 %

Investments net interest income 248 250 (2) (1) 526 524 2 — 

Net interest income 307 286 21 7 638 586 52 9 

Guarantee income 346 414 (68) (16) 505 804 (299) (37) 

Mortgage loans gains (losses), net 671 807 (136) (17) 1,661 171 1,490 871 

Other investment gains (losses), net (172) (76) (96) (126) (254) (299) 45 15 

Investment gains (losses), net 499 731 (232) (32) 1,407 (128) 1,535 1,199 

Other income (loss) (1) 51 (52) (102) 25 88 (63) (72) 

Net revenues 1,151 1,482 (331) (22) 2,575 1,350 1,225 91 

Credit-related income (expense) 43 (84) 127 151 71 (127) 198 156 

Operating expense (155) (133) (22) (17) (312) (258) (54) (21) 

Income (loss) before income tax (expense) 

benefit 1,039 1,265 (226) (18) 2,334 965 1,369 142 

Income tax (expense) benefit (215) (260) 45 17 (481) (198) (283) (143) 

Net income (loss) 824 1,005 (181) (18) 1,853 767 1,086 142 

Total other comprehensive income (loss), net 

of taxes and reclassification adjustments 6 58 (52) (90) (55) 122 (177) (145) 

Comprehensive income (loss) $830 $1,063 ($233) (22) % $1,798 $889 $909 102 %

Key Business Drivers: 

n	 2Q 2021 vs. 2Q 2020

l Lower net investment gains primarily due to less K Certificate spread tightening, lower net impacts from index lock 

activity, and a smaller volume of fixed-rate held-for-sale loan commitments, partially offset by higher floating-rate loan 

securitization volume.

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

factors.

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 Net investment gains compared to net investment losses primarily due to higher floating-rate loan securitization 

volume, coupled with fair value gains due to K Certificate spread tightening. YTD 2020 included significant spreadrelated losses as a result of the market volatility caused by the COVID-19 pandemic.

Management's Discussion and Analysis Our Business Segments | Multifamily

Freddie Mac 2Q 2021 Form 10-Q 36
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 have 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. As discussed 

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

In March and May 2020, we introduced a number of temporary measures to help provide sellers with the clarity and flexibility to 

continue to lend in a prudent and responsible manner during the COVID-19 pandemic. The flexibility we allowed in 

demonstrating a borrower's current employment status has expired and is not applicable to loan applications dated on or after 

May 1, 2021. The option to verify the borrower’s employment via email was included permanently in our Guide on April 7, 2021.

In March and April 2020, we announced loan processing flexibilities to expedite loan closings and help keep homebuyers, 

sellers, and appraisers safe during the COVID-19 pandemic. These flexibilities have expired and are not applicable to loan 

applications dated on or after June 1, 2021. They included:

n Allowing desktop appraisals or exterior-only inspection appraisals for certain purchase transactions;

n Allowing exterior-only appraisals for certain no cash-out refinances;

n Allowing desktop appraisals on new construction properties (purchase transactions);

n Allowing flexibility on demonstrating that construction has been completed; and

n Allowing flexibility for borrowers to provide documentation (rather than requiring an inspection) to allow renovation 

disbursements (draws).

The following temporary flexibilities have expired and are not applicable to loan applications dated on or after May 1, 2021:

n Offering flexibility in condominium project reviews and

n Expanding the use of powers of attorney and remote online notarizations. Permanent updates to our requirements for the 

use of powers of attorney were included in our Guide and are effective for applications dated on or after June 30, 2021.

On July 16, 2021, FHFA announced that we and Fannie Mae will be eliminating the 50-basis point adverse market refinance fee 

for loan deliveries effective August 1, 2021.

Appraisal Waivers

In March 2020, we introduced expanded eligibility of Automated Collateral Evaluation (ACE) waivers to include no cash-out 

refinances with LTVs up to 90% and cash-out refinances for primary residences with LTVs up to 70% and second homes with 

LTVs up to 60%. As a result of this expansion, combined with a historically high refinance market (ACE waivers are granted 

more often for refinanced loans), ACE waiver usage increased from approximately 36% and 29% of loan purchases during 2Q 

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2021 Form 10-Q 37
2020 and YTD 2020, respectively, to approximately 39% and 43% of loan purchases during 2Q 2021 and YTD 2021, 

respectively. 

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 

72% 71% 70% 69% 71% 73% 70%

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

 Weighted Average Original Credit Score(1)

758 761 761 759 754 756 757

2Q20 3Q20 4Q20 1Q21 2Q21 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 

2Q 2021 2Q 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 $224 78 % $182 78 % $517 80 % $296 80 %

20-year amortizing fixed-rate 17 6 11 5 35 5 17 5 

15-year amortizing fixed-rate 46 16 37 16 97 15 54 14 

Adjustable-rate 1 — 2 1 1 — 3 1 

Total $288 100 % $232 100 % $650 100 % $370 100 %

Percentage of purchases

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

Original LTV ratio > 90% 11 11 9 13 

Original credit score < 680 6 4 5 5 

Transaction type:

Cash window 46 62 55 57 

Guarantor swap 53 37 45 42 

Other 1 1 — 1 

Property type:

Detached single-family houses and townhouses 92 93 93 93 

Condominium or co-op 8 7 7 7 

Occupancy type:

Primary residence 94 94 94 93 

Second home 3 3 3 3 

Investment property 3 3 3 4 

Loan purpose:

Purchase 34 26 29 31 

Cash-out refinance 23 18 21 19 

 Other refinance 43 56 50 50 

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2021 Form 10-Q 38
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 

2Q 2021 2Q 2020

(In millions) UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2)

STACR $101,136 $1,500 $17,682 $578 

Insurance/reinsurance 69,203 1,567 35,439 376 

Subordination 3,037 214 — — 

Lender risk-sharing 195 195 246 188 

Less: UPB with more than one type of CRT — — (52,748) (578) 

Total CRT Issuance $173,571 $3,476 $619 $564 

YTD 2021 YTD 2020

(In millions) UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2)

STACR $277,843 $5,044 $150,253 $4,285 

Insurance/reinsurance 297,510 4,281 133,197 1,230 

Subordination 3,037 214 1,865 177 

Lender risk-sharing 366 366 6,453 579 

Less: UPB with more than one type of CRT (159,835) — (150,253) (578) 

Total CRT Issuance $418,921 $9,905 $141,515 $5,693 

(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.

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 as of June 30, 2021 and December 31, 2020, respectively. 

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

June 30, 2021

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

Maximum 

Coverage(2)

Primary mortgage insurance(3) $501,768 20% $122,942 

STACR 897,667 35 31,495 

Insurance/reinsurance 922,969 36 14,331 

Subordination 40,957 2 6,199 

Lender risk-sharing 4,975 — 4,477 

Other 237 — 234 

Less: UPB with multiple credit enhancements and other reconciling items(4) (1,113,809) (44) — 

Single-family mortgage portfolio - credit-enhanced 1,254,764 49 179,678 

Single-family mortgage portfolio - non-credit-enhanced 1,308,825 51 — 

Total $2,563,589 100% $179,678 

Referenced footnotes are included after the prior period table.

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2021 Form 10-Q 39
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.

(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. 

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

June 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 % 2.74 % 21 % 3.77 %

 CRT and other 44 2.14 41 3.22 

Non-credit-enhanced 51 1.52 50 2.13 

Total N/A 1.86 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

June 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 $530,861 20 % N/A N/A

 2020 976,491 56 $971,092 36 %

 2019 202,114 72 276,302 73 

 2018 85,483 79 118,668 80 

 2017 110,927 73 147,856 75 

 2016 and prior 657,713 47 812,508 49 

Total $2,563,589 49 $2,326,426 50 

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2021 Form 10-Q 40
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) 

June 30, 2021 December 31, 2020

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

Low current LTV ratio(1)(2) $917,902 36 % $784,150 34 %

Short-term(1)(3) 64,032 2 81,681 3 

Pre-CRT program inception(1)(4) 6,288 — 11,327 — 

CRT pipeline(1)(5) 303,006 12 276,611 12 

Other(1)(6) 17,597 1 20,414 1 

Single-family mortgage portfolio - non-credit-enhanced $1,308,825 51 % $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) 2Q 2021 2Q 2020 YTD 2021 YTD 2020

Credit enhancement costs:

Credit enhancement expense ($361) ($228) ($686) ($455) 

Interest expense related to CRT debt (136) (182) (275) (414) 

 Less: estimated reinvestment income from proceeds of CRT debt issuance 14 13 25 59 

Single-family credit enhancement costs ($483) ($397) ($936) ($810) 

Credit enhancement investment gains (losses):

 CRT derivatives gains (losses) $6 $8 12 $100 

 CRT debt gains (losses) (1) (66) 36 483 

Single-family credit enhancement investment gains (losses)(1) $5 ($58) $48 $583 

Single-family benefit for (decrease in) credit enhancement recoveries(1) ($190) $219 ($435) $658 

(1) Recoveries collected under freestanding credit enhancements and write-offs of CRT debt were $2 million and $5 million during 2Q 2021 and YTD 2021, respectively, 

compared to $5 million and $8 million during 2Q 2020 and YTD 2020, respectively. 

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) June 30, 2021 December 31, 2020

Freestanding credit enhancement expected recovery receivables, net of allowance $209 $653 

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

Total credit enhancement receivables $280 $727 

(1) Excludes $433 million and $444 million of deferred payment obligations associated with unpaid claim amounts as of June 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 2Q 2021 Form 10-Q 41
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 

June 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 $531 756 755 70 % 68 % — % — %

 2020 977 760 763 71 62 — — 

 2019 202 746 753 77 60 — — 

 2018 85 737 737 77 56 — — 

 2017 111 741 747 75 51 — — 

 2016 and prior 658 738 752 75 39 — 3 

Total $2,564 751 756 73 56 — 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 

June 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 % 8.19 % 0.2 % 13.81 % — % NM — % NM — % NM 1.0 % 9.45 % 9.4 %

620 to 679 4.2 4.87 2.3 5.54 0.3 4.88% 0.1 5.63% — NM 6.9 5.06 6.2 

≥ 680 49.0 1.38 34.9 1.44 6.4 1.05 1.7 0.51 — NM 92.0 1.37 0.5 

Not 

available 0.1 6.31 — NM — NM — NM — NM 0.1 6.70 14.3 

Total 54.1 % 1.90 37.4 % 1.87 6.7 % 1.42 1.8 % 1.05 — % NM 100.0 % 1.86 1.2

Referenced footnotes are included after the prior period table.

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2021 Form 10-Q 42
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.

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 June 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 June 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 

June 30, 2021 December 31, 2020

(Dollars in billions) UPB CLTV % Modified(1) SDQ Rate UPB CLTV % Modified(1) SDQ Rate

Alt-A $16.8 51 % 14.0 % 9.07 % $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.

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2021 Form 10-Q 43
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.

The table below summarizes the concentration by geographic area of our single-family mortgage portfolio as of June 30, 2021

and December 31, 2020. 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 

June 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 $800 31 % 1.65 % $720 31 % 2.41 % $— NM $— 6 %

Northeast 608 24 2.30 549 24 3.16 — NM 0.1 38 

North Central 385 15 1.52 357 15 2.06 — NM 0.1 27 

Southeast 412 16 2.02 375 16 2.95 — NM 0.1 20 

Southwest 358 14 1.82 325 14 2.59 — NM — 9 

Total $2,563 100 % 1.86 $2,326 100 % 2.64 $— NM $0.3 100 %

State:

California $472 19 % 1.80 $424 18 % 2.64 $— NM $— 4 %

Texas 158 6 2.13 145 6 3.11 — NM — 3 

Florida 149 6 2.42 135 6 3.70 — NM — 11 

New York 111 4 3.43 103 4 4.56 — NM — 10 

Illinois 102 4 2.34 96 4 2.96 — NM 0.1 14 

All other 1,571 61 1.66 1,423 62 2.34 — NM 0.2 58 

Total $2,563 100 % 1.86 $2,326 100 % 2.64 $— NM $0.3 100 %

(1) Excludes credit losses related to charge-offs of accrued interest receivables.

(2) Excludes $476 million and $505 million in UPB of loans underlying certain securitization products for which data was not available as of June 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(1) 

June 30, 2021 December 31, 2020

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

Current LTV ratio(2):

≤ 60 $22.0 57 % $29.4 49 %

> 60 to 80 14.2 37 23.7 39 

> 80 to 100 2.1 6 6.9 11 

> 100 0.1 — 0.3 1 

Total $38.4 100 % $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 1.9% and 2.0% of the single-family 

mortgage portfolio as of June 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 56% and 

59% as of June 30, 2021 and December 31, 2020, respectively.

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2021 Form 10-Q 44
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) 

June 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 $6,466 $2,224 $2,061 $6,902 $27,212 $44,865 

Number of loans (in thousands) 32 11 10 33 123 209

As a percentage of our single-family 

mortgage portfolio(3) 0.26 % 0.09 % 0.08 % 0.26 % 0.98 % 1.67 %

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 1.9% and 2.0% of the single-family 

mortgage portfolio as of June 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 $19.5 billion and $42.2 billion as of June 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) June 30, 2021 December 31, 2020

Accrued interest receivable:

Less than three months past due $29 $74 

Three months to six months past due 93 235 

Greater than six months past due(2) 806 911 

Accrued interest receivable, gross 928 1,220 

Allowance for credit losses (167) (138) 

Accrued interest receivable, net $761 $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 1.9% and 2.0% of the single-family 

mortgage portfolio as of June 30, 2021 and December 31, 2020, respectively. 

(2) 97% 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 

June 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 2Q 2021 Form 10-Q 45
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 2Q 2021 and YTD 2021, we 

deferred $359 million and $609 million, 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) June 30, 2021 December 31, 2020

Active forbearance at end of period 177 280

Forbearance plan exits(2) (from January 1, 2020 to end of period)

 Reinstatement(3) 237 189

Pay-off 56 39

 Payment deferral 273 166

 Other(4) 59 43

Total forbearance plan exits(5) 625 437

Total single-family loans that received forbearance(6) (from January 1, 2020 to end of period) 802 717

(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 1.9% and 2.0% of the single-family mortgage 

portfolio as of June 30, 2021 and December 31, 2020, respectively. 

(2) Represents the exit path the borrower took upon exit from the forbearance plan, which could be at the end of or during 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) 86% and 83% of loans that received and subsequently exited forbearance were current or paid off as of June 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) 2Q 2021 2Q 2020 YTD 2021 YTD 2020

Beginning balance $6,130 $6,347 $6,353 $5,233 

Provision (benefit) for credit losses (686) 624 (832) 1,790 

Charge-offs (203) (121) (441) (285) 

Recoveries collected 61 36 107 124 

Other 211 30 326 54 

Ending balance $5,513 $6,916 $5,513 $6,916 

Components of ending balance of allowance for credit losses:

Mortgage loans held-for-investment $4,601 $6,482 

Advances of pre-foreclosure costs 691 323 

Accrued interest receivable on mortgage loans 168 57 

Off-balance-sheet credit exposures 53 54 

Total $5,513 $6,916 

As a percentage of our single-family mortgage portfolio 0.22 % 0.34 %

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2021 Form 10-Q 46
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 declined as a result of the 

foreclosure moratorium that will remain in effect through July 31, 2021. After July 31, 2021, servicers will implement new 

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) 2Q 2021 2Q 2020 YTD 2021 YTD 2020

Charge-offs $203 $121 $441 $285 

Recoveries collected(1) (61) (36) (107) (124) 

Charge-offs, net 142 85 334 161 

REO operations expense 7 14 15 99 

Total credit losses $149 $99 $349 $260 

Total credit losses (in bps) 2.3 1.9 2.8 3.2 

(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 

June 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 $25,810 $3,007 $28,817 $28,547 $4,293 $32,840 

 Non-accrual loans 21,044 4,459 25,503 13,679 5,020 18,699 

Total TDRs and non-accrual loans $46,854 $7,466 $54,320 $42,226 $9,313 $51,539 

Non-accrual loans as a percentage of total 

loans outstanding(1) 0.99 % 0.80 %

Allowance for credit losses as a percentage 

of non-accrual loans(2) 21.62 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

2Q 2021(1) 2Q 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 $570 $111 $681 $365 $230 $595 

 Recognized (302) (44) (346) (179) (128) (307) 

Foregone interest income on TDRs and 

non-accrual loans(2) $268 $67 $335 $186 $102 $288 

Referenced footnotes are included after the prior period table.

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2021 Form 10-Q 47
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 $1,168 $215 $1,383 $863 $446 $1,309 

Recognized (652) (84) (736) (559) (258) (817) 

Foregone interest income on TDRs and 

non-accrual loans(2) $516 $131 $647 $304 $188 $492 

(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

June 30, 2021 June 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) 8,815 1,449 13,546 2,230 

Repayments and reclassifications to held-for-sale (22,782) (3,799) (28,055) (4,657) 

Foreclosure sales and foreclosure alternatives (1,181) (218) (1,120) (170) 

Ending balance, as of June 30 214,129 $30,108 233,553 $33,026 

(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 TDR 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

1.47%

1.08% 1.01%

0.73% 0.73%

1.66%

0.50% 0.38% 0.27% 0.21%

2.48%

3.04%

2.64%

2.34%

1.86%

One month past due Two months past due Seriously delinquent

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

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 2Q 2021 Form 10-Q 48
Our single-family serious delinquency rate decreased to 1.86% as of June 30, 2021, compared to 2.48% as of June 30, 2020, 

driven by an increase in the number of borrowers exiting forbearance and completing loan workout solutions that return their 

mortgages to current status. In addition, 54% of the seriously delinquent loans at June 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 are offering 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 will remain in effect through July 31, 2021. After July 

31, 2021, servicers will implement new 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)

81

94

52

38

27

82

65

2 2 3 2 1 — 4 3

94

74

50 55

1

105

5 4 4 4 5

11 9

88

194

133

94 88 98

182

Forbearance plans

Repayment plans

Payment deferrals

Loan modifications

Total

2Q20 3Q20 4Q20 1Q21 2Q21 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 0.3 0.2 0.2

0.7

0.5 0.4

0.6 0.7 0.6 0.7

2.9

1.3

Foreclosure alternatives

Foreclosure sales

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

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2021 Form 10-Q 49
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 $7.9 billion in UPB of single-family loans 

classified as held-for-sale at June 30, 2021, $4.3 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) 2Q 2021 2Q 2020 YTD 2021 YTD 2020

Seriously delinquent loans $— $— $— $296 

Reperforming loans 3,424 — 3,424 1,865 

Total $3,424 $— $3,424 $2,161 

Managing Foreclosure and REO Activities 

Pursuant to FHFA guidance and the CARES Act, we are required to suspend foreclosures, other than for vacant or abandoned 

properties, and evictions due to the COVID-19 pandemic until July 31, 2021. As a result of this suspension, our REO ending 

inventory declined year-over-year. After July 31, 2021, servicers will implement new 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 

2Q 2021 2Q 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 1,604 $175 4,168 $474 1,766 $199 4,989 $565 

Additions 375 31 190 15 729 61 1,631 151 

Dispositions (502) (47) (1,546) (159) (1,018) (101) (3,808) (386) 

Ending balance — REO 1,477 159 2,812 330 1,477 159 2,812 330 

Beginning balance, valuation allowance (1) (17) (1) (10) 

Change in valuation allowance — 9 — 2 

Ending balance, valuation allowance (1) (8) (1) (8) 

Ending balance — REO, net $158 $322 $158 $322 

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2021 Form 10-Q 50
Multifamily Mortgage Credit Risk

Maintaining Prudent Underwriting Standards 

We use a prior approval underwriting approach for multifamily loans in which we maintain credit discipline by completing our 

own underwriting and credit review for each new loan prior to purchase. 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 

69% 66%

70% 69% 68% 69% 69%

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

 Weighted Average Original DSCR

1.36 1.42 1.38 1.38 1.38 1.38 1.38

2Q20 3Q20 4Q20 1Q21 2Q21 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. In December 2020, we extended the 

deadline for borrowers whose loans have not been more than 30 days past due to request a new COVID-19 forbearance 

agreement or supplemental relief to March 31, 2021, and have since further extended this deadline to September 30, 2021.

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.

The following table summarizes the current credit quality of loans under our COVID-19 forbearance program, which includes 

both the forbearance period and the repayment period.

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2021 Form 10-Q 51
Table 40 - Multifamily Loans that Received Forbearance(1)

2Q 2021

(UPB in millions) UPB Loan Count

Total multifamily loans in a forbearance program, beginning of period $7,416 1,100 

New loans entering forbearance program 175 33 

Active forbearance paydowns (17) — 

Total loans exiting forbearance program(2) (2,475) (386) 

Total multifamily loans in a forbearance program $5,099 747

(1) Excludes loans granted forbearance outside of our COVID-19 forbearance program. These loans represented 0.1% of the multifamily mortgage portfolio as of June 

30, 2021.

(2) Approximately 86% of loans exited our COVID-19 forbearance program through full repayment of the forborne amounts or loan payoff.

Of the loans in forbearance, 81.5%, 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 14.4% as of June 30, 2021. 12.1% of loans in forbearance are scheduled to mature prior to 2023. Since the inception of 

our COVID-19 forbearance program, approximately 39.3% of loans (by UPB) that received relief have exited through full 

repayment of the forborne amounts. A majority of the remaining loans in our COVID-19 forbearance program will reach the end 

of their repayment period in the second half of 2021.

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) 2Q 2021 2Q 2020 YTD 2021 YTD 2020

Beginning balance $150 $136 $200 $69 

Provision (benefit) for credit losses (54) 81 (104) 148 

Ending balance $96 $217 $96 $217 

Components of ending balance of allowance for credit losses:

Mortgage loans held-for-investment $47 $124 

Off-balance sheet credit exposures 49 93 

Total $96 $217 

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.

Multifamily Mortgage Portfolio CRT Issuance Activity

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

2Q 2021 2Q 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 $16,929 $1,351 $10,738 $877 $38,043 $2,969 $21,284 $2,189 

SCR — — — — 4,852 277 — — 

Total CRT Activities $16,929 $1,351 $10,738 $877 $42,895 $3,246 $21,284 $2,189 

(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.

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2021 Form 10-Q 52
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 June 30, 2021 and December 31, 2020, our maximum coverage provided by subordination in nonconsolidated VIEs was 

$44.3 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

June 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 $353,191 0.15 % 1.18 % $328,897 0.18 % 1.99 %

Other 19,885 0.25 1.78 17,352 0.17 2.73 

Total credit-enhanced 373,076 0.15 1.21 346,249 0.18 2.03 

Non-credit-enhanced 25,351 0.04 2.33 42,098 0.02 1.83 

Total $398,427 0.15 1.28 $388,347 0.16 2.01 

(1) Excludes loans granted forbearance outside of our COVID-19 forbearance program. These loans represented 0.1% and less than 0.1% of the multifamily mortgage 

portfolio as of June 30, 2021 and December 31, 2020, respectively. 

(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 

June 30, 2021 December 31, 2020

(Dollars in millions) UPB

Delinquency 

Rate

Forbearance 

Rate UPB

Delinquency 

Rate

Forbearance 

Rate

Less than 10% $86,920 — % 0.04 % $53,220 0.04 % 0.15 %

10% or greater 266,271 0.20 1.55 275,677 0.20 2.35 

Total $353,191 0.15 1.18 $328,897 0.18 1.99 

Weighted average subordination level 13% 13% 

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

June 30, 2021 December 31, 2020

(Dollars in millions) UPB

Delinquency 

Rate

Forbearance 

Rate UPB

Delinquency 

Rate

Forbearance 

Rate

Unsecuritized loans:

Held-for-sale $7,661 0.12 % 1.91 % $21,794 0.04 % 0.85 %

Held-for-investment 6,256 — 0.10 8,655 — 1.40 

Securitization products 6,519 — 6.68 6,711 — 6.84 

Other mortgage-related guarantees 4,915 — 0.07 4,938 — 0.07 

Total $25,351 0.04 2.33 $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 (mortgage insurers, investors, etc.), financial intermediaries, clearinghouses, and 

other counterparties, as well as through our guarantees of Fannie Mae securities underlying commingled resecuritization 

transactions. 

Sellers and Servicers 

Single-Family

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2021 Form 10-Q 53
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.

Our top five non-depository sellers provided approximately 29% and 24% of our single-family purchase volume during YTD 

2021 and YTD 2020, respectively. The table below summarizes the concentration of non-depository servicers of our singlefamily mortgage portfolio.

Table 46 - Single-Family Mortgage Portfolio Non-Depository Servicers 

June 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 % 16 % 18 % 17 %

Other non-depository servicers 34 34 30 28 

Total 53 % 50 % 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 investment 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 June 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 47 - Single-Family Mortgage Insurers

June 30, 2021

(In millions) Credit Rating(1)

Credit Rating

Outlook(1) UPB Coverage(2)

Arch Mortgage Insurance Company A Negative $98,121 $24,367 

Mortgage Guaranty Insurance Corporation (MGIC) BBB+ Stable 94,375 23,094 

Radian Guaranty Inc. (Radian) BBB+ Stable 92,041 21,913 

Essent Guaranty, Inc. BBB+ Negative 77,888 19,043 

Genworth Mortgage Insurance Corporation BB+ Watch Positive 77,195 19,077 

National Mortgage Insurance (NMI) BBB Stable 58,119 14,474 

PMI Mortgage Insurance Co. (PMI) Not Rated N/A 1,581 396 

Republic Mortgage Insurance Company (RMIC) Not Rated N/A 1,169 289 

Triad Guaranty Insurance Corporation (Triad) Not Rated N/A 736 184 

Others N/A N/A 543 105 

Total $501,768 $122,942 

(1) Ratings and outlooks are for the corporate entity to which we have the greatest exposure. Latest rating available as of June 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.

The table below displays the concentration of our single-family credit risk exposure to our ACIS counterparties.

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2021 Form 10-Q 54
Table 48 - Single-Family ACIS Counterparties 

June 30, 2021 December 31, 2020

(Dollars in billions) Maximum Coverage(1) % of Total Maximum Coverage(1) % of Total

Top five ACIS counterparties $6.2 45 % $5.3 48 %

All other ACIS counterparties 7.5 55 5.8 52 

Total $13.7 100 % $11.1 100 %

(1) Represents maximum coverage exclusive of the collateral posted to secure the counterparties' obligations.

As of June 30, 2021 and December 31, 2020, our ACIS counterparties posted collateral of $3.4 billion and $2.4 billion, 

respectively. 

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2021 Form 10-Q 55
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.

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

June 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 ($145) $2,804 $5,943 ($286) $3,700 $7,670 

Guarantees(2) 88 (734) (899) 165 (1,691) (3,250) 

Total Assets (57) 2,070 5,044 (121) 2,009 4,420 

Liabilities (16) (2,873) (6,166) (54) (3,237) (7,503) 

Derivatives 77 791 1,041 185 1,180 2,839 

Total 4 (12) (81) $10 ($48) ($244) 

PVS 4 — — $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 portfolio, which includes buy-ups, float, and upfront fees (including buy-downs). 

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2021 Form 10-Q 56
Table 50 - Duration Gap and PVS Results 

2Q 2021 2Q 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 $7 $17 0.4 $12 $60 

Minimum (0.8) — — (0.6) — — 

Maximum 1.0 24 93 0.9 30 200 

Standard deviation 0.3 6 23 0.3 8 49 

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 $7 $39 0.4 $11 $61 

Minimum (0.8) — — (0.6) — — 

Maximum 1.0 24 200 1.5 30 236 

Standard deviation 0.3 6 49 0.4 7 62 

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 51 - PVS-L Results Before Derivatives and After Derivatives 

PVS-L (50 bps)

(In millions)

Before

Derivatives

After

Derivatives

Effect of

Derivatives

June 30, 2021 $1,287 $— ($1,287) 

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.

As we continue our efforts to replace LIBOR with SOFR, we expect to transition the company-wide discounting from LIBOR to 

SOFR in measuring the company’s interest-rate risk in the future. We do not expect the change to have a significant impact on 

measurement of our interest-rate risk.

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 June 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 

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2021 Form 10-Q 57
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 

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 52 - Earnings Sensitivity to Changes in Interest Rates 

(In millions) June 30, 2021 June 30, 2020

Interest Rate Scenarios(1)

Parallel yield curve shifts: 

 +100 basis points $19 ($10) 

 -100 basis points (19) 10 

Non-parallel yield curve shifts - long-term interest rates:

 +100 basis points (179) 272 

 -100 basis points 179 (272) 

Non-parallel yield curve shifts - short-term and medium-term interest rates:

 +100 basis points 197 (281) 

 -100 basis points (197) 281 

(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 2Q 2021 Form 10-Q 58
LIQUIDITY AND CAPITAL RESOURCES

Our business activities require that we maintain adequate liquidity to meet our financial obligations as they come due and meet 

the needs of customers in a timely and cost-efficient manner. We are also required to comply with the 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 53 - Liquidity Sources 

(In millions)

Balance(1) at 

June 30, 2021

Balance(1) at 

December 31, 2020 Description

• Other Investments Portfolio - 

Liquidity and Contingency 

Operating Portfolio

 $118,080 $95,894 • The liquidity and contingency operating portfolio, included within 

our other investments portfolio, is primarily used for short-term 

liquidity management.

• Liquid Portion of the MortgageRelated Investments Portfolio 43,573 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 54 - Other Investments Portfolio 

June 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 $7,217 $3,954 $— $11,171 $6,509 $17,380 $— $23,889 

Securities purchased under 

agreements to resell 81,334 36,266 717 118,317 65,753 38,487 763 105,003 

Non-mortgage related securities 29,529 — 3,754 33,283 23,632 — 3,321 26,953 

Advances to lenders — — 5,045 5,045 — — 4,162 4,162 

LIHTC equity investment — — 1,572 1,572 — — 1,410 1,410 

Secured lending — — 1,593 1,593 — — 1,680 1,680 

Total $118,080 $40,220 $12,681 $170,981 $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 $3.1 billion as of both June 30, 2021 and 

December 31, 2020.

The liquidity and contingency operating portfolio also included cash collateral posted to us primarily by derivatives 

counterparties of $1.8 billion and $2.8 billion as of June 30, 2021 and December 31, 2020, respectively. We have 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 2Q 2021 Form 10-Q 59
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 55 - Funding Sources 

(In millions)

Balance(1) at 

 June 30, 2021

Balance(1) at 

December 31, 2020 Description

• Debt of Freddie Mac $227,102 $284,370 • Debt of Freddie Mac is used to fund our business activities.

• Debt Securities of

Consolidated Trusts

 2,575,653 2,308,176 • Debt securities of consolidated trusts are used primarily to fund our 

single-family 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 purchasing 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 2Q 2021 Form 10-Q 60
Table 56 - Debt of Freddie Mac Activity 

2Q 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 7,930 (0.05) — — — — — — 

Additions 153,190 (0.06) — — 287,018 (0.05) — — 

Repayments (156,500) (0.06) — — (282,398) (0.06) — — 

Ending Balance 4,620 (0.03) — — 4,620 (0.03) — — 

Callable debt

Beginning balance 10,910 0.03 101,514 0.71 685 0.10 123,338 0.71 

Issuances — — — — 22,050 0.04 1,090 0.60 

Repurchases — — — — — — — — 

Calls (10,910) 0.03 (11,795) 0.55 (22,735) 0.04 (34,184) 0.65 

Maturities — — (668) 1.70 — — (1,193) 1.79 

Ending Balance — — 89,051 0.72 — — 89,051 0.72 

Non-callable debt

Beginning balance — — 137,973 1.17 4,259 1.51 145,560 1.21 

Issuances — — — — — — — — 

Repurchases — — (11) 0.38 (1,835) 1.53 (2,832) 1.93 

Maturities — — (8,197) 0.63 (2,424) 1.49 (12,963) 1.18 

Ending Balance — — 129,765 1.21 — — 129,765 1.21 

STACR and SCR Debt(2)

Beginning balance — — 12,061 4.13 — — 12,488 4.09 

Issuances — — — — — — — — 

Repurchases — — — — — — — — 

Maturities — — (401) 4.38 — — (828) 4.32 

Ending Balance — — 11,660 4.10 — — 11,660 4.10 

 Total debt of Freddie Mac 4,620 (0.03) % 230,476 1.17 % 4,620 (0.03%) 230,476 1.17% 

Offsetting arrangements (4,620) (4,620) 

Total debt of Freddie Mac, net $— $230,476 $— $230,476 

(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 June 30, 2021, our aggregate indebtedness, calculated as the par value of debt of Freddie Mac, was $230.6 billion, which 

was below the current $300.0 billion debt cap limit imposed by the Purchase Agreement. 

The decrease in total outstanding debt of Freddie Mac from December 31, 2020 to June 30, 2021 was driven by the decline in 

the mortgage-related investments portfolio, coupled with lower expected cash window volume due to lower expected refinance 

activities and pursuant to the January 2021 Letter Agreement.

Management's Discussion and Analysis Liquidity and Capital Resources 

Freddie Mac 2Q 2021 Form 10-Q 61
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 June 30, 2021 (1)

(Par value in billions)

$62

$45

$38

$13

$31

$34

$12

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 June 30, 2021 (1)

(Par value in billions)

$136

$42

$21

$3 $9 $12 $12

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 $2,543.5 billion and 

$2,273.3 billion of mortgage loans, which represented 89.5% and 86.5% of our total assets, as of June 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 $2,575.7 billion and $2,308.2 billion of debt securities of consolidated trusts, 

which represented 91.9% and 89.0% of our total debt, as of June 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 Liquidity and Capital Resources 

Freddie Mac 2Q 2021 Form 10-Q 62
The table below shows the issuance and extinguishment activity for the debt securities of our consolidated trusts.

Table 57 - Activity for Debt Securities of Consolidated Trusts Held by Third Parties 

(In millions) 2Q 2021 YTD 2021

Beginning balance $2,376,691 $2,240,602 

Issuances:

New issuances to third parties 225,555 455,755 

Additional issuances of securities 168,463 348,386 

Total issuances 394,018 804,141 

Extinguishments:

Purchases of debt securities from third parties (2,506) (5,071) 

Debt securities received in settlement of secured lending (58,472) (109,164) 

Repayments of debt securities (203,397) (424,174) 

Total extinguishments (264,375) (538,409) 

Ending balance 2,506,334 2,506,334 

Unamortized premiums and discounts 69,319 69,319 

Debt securities of consolidated trusts held by third parties $2,575,653 $2,575,653 

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 June 30, 2021 and December 31, 2020, the outstanding 

UPB of the guaranteed securities was $359.5 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 June 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 $99.0 billion and $85.8 billion, respectively.

Cash Flows

Cash and cash equivalents (including restricted cash and cash equivalents) increased by $3.6 billion from $7.6 billion as of June 

30, 2020 to $11.2 billion as of June 30, 2021, primarily due to an increase in the size of our other investments portfolio to 

comply with the minimum liquidity requirements established by FHFA that have been in effect since December 2020.

Management's Discussion and Analysis Liquidity and Capital Resources 

Freddie Mac 2Q 2021 Form 10-Q 63
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 $22.4 billion as of June 30, 

2021, no dividend is payable to Treasury for the quarter ended June 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. Pursuant to the final rule, 

we will be required to report our regulatory capital under the ERCF beginning on January 1, 2022.

We invest our Net Worth Amount primarily in short-term investments. The table below presents activity related to our net worth 

during 2Q 2021 and YTD 2021. 

Table 58 - Net Worth Activity 

(In millions) 2Q 2021 YTD 2021 

Beginning balance $18,791 $16,413 

Comprehensive income (loss) 3,611 5,989 

Capital draw from Treasury — — 

Senior preferred stock dividends declared — — 

Total equity / net worth $22,402 $22,402 

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 91,439 91,439 

Management's Discussion and Analysis Liquidity and Capital Resources

Freddie Mac 2Q 2021 Form 10-Q 64
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 June 30, 2021 and as 

of December 31, 2020. These growth rates are used as inputs to our models to develop the detailed forecasted life-of-loan 

house price growth rates for each MSA.

Table 59 - Forecasted House Price Growth Rates

2021 2022

June 30, 2021 12.1 % 5.3 %

December 31, 2020 5.4 % 3.0 %

Management's Discussion and Analysis Critical Accounting Policies and Estimates

Freddie Mac 2Q 2021 Form 10-Q 65
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

Supreme Court Decision on HERA and Change in FHFA Director

On June 23, 2021, the U.S. Supreme Court decided in Collins v. Yellen that the “for cause” removal provision for the director of 

FHFA in the Housing and Economic Recovery Act was unconstitutional. As a result, the President has the power to remove the 

FHFA Director at will. In this decision, the U.S. Supreme Court also noted that “the Recovery Act authorizes the agency to act in 

what it determines is ‘in the best interests of the regulated entity or the Agency,’" further providing that “when the FHFA acts as 

a conservator, it may aim to rehabilitate the regulated entity in a way that, while not in the best interests of the regulated entity, 

is beneficial to the Agency and, by extension, the public it serves.” For more information on this case, see the Legal 

Proceedings section in this Form 10-Q and our 2020 Annual Report.

On June 23, 2021, President Biden appointed Sandra Thompson as Acting Director of FHFA to replace Mark Calabria. Changes 

in FHFA leadership could result in significant changes to our business activities or strategic direction. For more information on 

our conservatorship and related risks, see the MD&A – Conservatorship and Related Matters and Risk Factors

sections in our 2020 Annual Report.

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 2Q 2021 and YTD 2021, we completed $300.2 billion

and $674.7 billion, respectively, of new business purchases subject to this requirement and accrued $126 million and $283 

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

FHFA Final Rule on Resolution Planning

In May 2021, FHFA published a final rule that requires Freddie Mac and Fannie Mae to develop credible resolution plans, also 

known as living wills. The purpose of the rule is to require each Enterprise to develop a resolution plan to facilitate its rapid and 

orderly resolution under FHFA’s receivership authority in a manner that: (1) minimizes disruption in the national housing finance 

markets by providing for the continued operation of the core business lines of the Enterprise in receivership by a newly 

constituted limited life regulated entity (“LLRE”); (2) preserves the value of the Enterprise’s franchise and assets; (3) facilitates 

the division of assets and liabilities between the LLRE and the receivership estate; (4) ensures that investors in mortgagebacked securities guaranteed by the Enterprises and in Enterprise unsecured debt bear losses in accordance with the priority of 

payments established in the GSE Act; and (5) fosters market discipline by making clear that no extraordinary government 

support will be available to indemnify investors against losses or fund the resolution of an Enterprise. The rule addresses 

procedural requirements related to the frequency and timing for submission of initial and subsequent resolution plans to FHFA. 

The rule provides a set of required and prohibited assumptions when developing the resolution plans, including assuming that 

receivership may occur under the severely adverse economic conditions provided by FHFA in conjunction with any stress 

testing required or another scenario provided by FHFA, not assuming the provision or continuation of extraordinary government 

support (including support under the Purchase Agreement), and reflecting statutory provisions that obligations and securities of 

the Enterprises are not guaranteed by the United States and do not constitute a debt or obligation of the United States. This 

rule became effective on July 6, 2021, and our first resolution plan must be submitted to FHFA in April 2023.

Management's Discussion and Analysis Regulation and Supervision

Freddie Mac 2Q 2021 Form 10-Q 66
Borrower Protection as Foreclosure and REO Eviction Moratoriums End

On June 28, 2021, the CFPB amended Regulation X to help protect mortgage borrowers as federal foreclosure moratoriums are 

phased out and borrowers exit forbearance. These rules establish temporary safeguards to help ensure that borrowers suffering 

hardship related to COVID-19 have time before foreclosure to explore their options, including loan modification and selling their 

homes. The rules cover loans on principal residences, generally exclude small servicers, and will take effect on August 31, 

2021. The new foreclosure and eviction moratoriums will expire on December 31, 2021 and rules relating to borrower contact 

will expire on October 1, 2022. 

On June 29, 2021, FHFA announced that Freddie Mac and Fannie Mae servicers will not be permitted to make a first notice or 

filing for foreclosure that would be prohibited by these CFPB rules before the CFPB rules take effect. The Enterprises' 

moratoriums on single-family foreclosures and REO evictions will expire on July 31, 2021. Requiring Enterprise servicers to 

follow the CFPB's new protections a month before the CFPB rule takes effect will help protect borrowers from foreclosure and 

provides certainty for servicers about Enterprise expectations.

Management's Discussion and Analysis Regulation and Supervision

Freddie Mac 2Q 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 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 purchasing agency MBS and agency CMBS 

in amounts needed 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, our limited 

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;

n Changes in investor demand for our debt or mortgage-related securities;

Management's Discussion and Analysis Forward-Looking Statements

Freddie Mac 2Q 2021 Form 10-Q 68
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 or other catastrophic event 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 2Q 2021 Form 10-Q 69
Financial Statements

Financial Statements

Freddie Mac 2Q 2021 Form 10-Q 70
FREDDIE MAC 

Condensed Consolidated Statements of Comprehensive Income 

(Loss) (Unaudited)

(In millions, except share-related amounts) 2Q 2021 2Q 2020 YTD 2021 YTD 2020

Net interest income

Interest income $15,230 $15,716 $29,132 $33,308 

Interest expense (10,463) (12,840) (20,726) (27,647) 

Net interest income 4,767 2,876 8,406 5,661 

Non-interest income (loss)

Guarantee income 356 469 604 846 

Investment gains (losses), net 636 670 1,844 (165) 

Other income (loss) 107 134 285 229 

Non-interest income (loss) 1,099 1,273 2,733 910 

Net revenues 5,866 4,149 11,139 6,571 

Benefit (provision) for credit losses 740 (705) 936 (1,938) 

Non-interest expense

Salaries and employee benefits (346) (327) (690) (668) 

Professional services (97) (88) (184) (164) 

Other administrative expense (208) (186) (416) (356) 

Total administrative expense (651) (601) (1,290) (1,188) 

Credit enhancement expense (369) (233) (704) (464) 

Benefit for (decrease in) credit enhancement recoveries (193) 221 (450) 688 

REO operations expense (7) (14) (15) (99) 

Temporary Payroll Tax Cut Continuation Act of 2011 expense (570) (442) (1,104) (874) 

Other expense (179) (140) (394) (243) 

Non-interest expense (1,969) (1,209) (3,957) (2,180) 

Income (loss) before income tax (expense) benefit 4,637 2,235 8,118 2,453 

Income tax (expense) benefit (958) (458) (1,672) (503) 

Net income (loss) 3,679 1,777 6,446 1,950 

Other comprehensive income (loss), net of taxes and 

reclassification adjustments

Changes in unrealized gains (losses) related to available-for-sale 

securities (73) 154 (468) 592 

Changes in unrealized gains (losses) related to cash flow hedge 

relationships 8 11 18 24 

Changes in defined benefit plans (3) (4) (7) (6) 

Total other comprehensive income (loss), net of taxes and 

reclassification adjustments (68) 161 (457) 610 

Comprehensive income (loss) $3,611 $1,938 $5,989 $2,560 

Net income (loss) $3,679 $1,777 $6,446 $1,950 

Future increase in senior preferred stock liquidation preference (3,611) (1,938) (5,989) (2,320) 

Net income (loss) attributable to common stockholders $68 ($161) $457 ($370) 

Net income (loss) per common share — basic and diluted $0.02 ($0.05) $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 2Q 2021 Form 10-Q 71
FREDDIE MAC

Condensed Consolidated Balance Sheets (Unaudited)

June 30, December 31,

(In millions, except share-related amounts) 2021 2020

Assets

Cash and cash equivalents (Notes 3, 16) (includes $3,954 and $17,379 of restricted cash and cash 

equivalents) $11,171 $23,889 

Securities purchased under agreements to resell (Notes 3, 11, 16) 113,697 105,003 

Investment securities, at fair value (Note 3, 6) 59,558 59,825 

Mortgage loans held-for-sale (Notes 3, 4) (includes $6,811 and $14,199 at fair value) 17,508 33,652 

Mortgage loans held-for-investment (Notes 3, 4) (net of allowance for credit losses of $4,648 and $5,732) 2,590,715 2,350,236 

Accrued interest receivable (Notes 3, 4, 6, 11) (net of allowance of $168 and $140) 7,637 7,754 

Derivative assets, net (Notes 10, 11) 756 1,205 

Deferred tax assets, net 6,494 6,557 

Other assets (Notes 3) (includes $6,080 and $5,775, at fair value) 34,606 39,294 

Total assets $2,842,142 $2,627,415 

Liabilities and equity

Liabilities

Accrued interest payable (Note 3) $6,122 $6,210 

Debt (Notes 3, 9) (includes $2,073 and $2,592 at fair value) 2,802,755 2,592,546 

Derivative liabilities, net (Notes 10, 11) 507 954 

Other liabilities (Notes 3) 10,356 11,292 

Total liabilities 2,819,740 2,611,002 

Commitments and contingencies (Notes 5, 10, 18)

Equity (Note 12)

Senior preferred stock (liquidation preference of $91,439 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) (60,656) (67,102) 

AOCI, net of taxes, related to:

Available-for-sale securities 342 810 

Cash flow hedge relationships (188) (206) 

Defined benefit plans 32 39 

Total AOCI, net of taxes 186 643 

Treasury stock, at cost, 75,804,333 shares and 75,804,594 shares (3,885) (3,885) 

Total equity 22,402 16,413 

Total liabilities and equity $2,842,142 $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.

June 30, December 31, 

(In millions) 2021 2020

Condensed Consolidated Balance Sheet Line Item (Note 3)

Assets:

Mortgage loans held-for-investment $2,543,467 $2,273,347 

All other assets 67,620 83,982 

Total assets of consolidated VIEs $2,611,087 $2,357,329 

Liabilities:

Debt $2,575,653 $2,308,176 

All other liabilities 5,631 5,610 

Total liabilities of consolidated VIEs $2,581,284 $2,313,786 

The accompanying notes are an integral part of these condensed consolidated financial statements.

Financial Statements Condensed Consolidated Balance Sheets

Freddie Mac 2Q 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 March 31, 2021 1 464 650 $72,648 $14,109 $— $— ($64,335) $254 ($3,885) $18,791 

Comprehensive income (loss):

Net income (loss) — — — — — — — 3,679 — — 3,679 

Other comprehensive income (loss), net of 

taxes — — — — — — — — (68) — (68) 

Comprehensive income (loss) — — — — — — — 3,679 (68) — 3,611 

Ending balance at June 30, 2021 1 464 650 $72,648 $14,109 $— $— ($60,656) $186 ($3,885) $22,402 

Balance at March 31, 2020 1 464 650 $72,648 $14,109 $— $— ($74,255) $887 ($3,885) $9,504 

Comprehensive income (loss):

Net income (loss) — — — — — — — 1,777 — — 1,777 

Other comprehensive income (loss), net of 

taxes — — — — — — — — 161 — 161 

Comprehensive income (loss) — — — — — — — 1,777 161 — 1,938 

Ending balance at June 30, 2020 1 464 650 $72,648 $14,109 $— $— ($72,478) $1,048 ($3,885) $11,442 

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) — — — — — — — 6,446 — — 6,446 

Other comprehensive income (loss), net of 

taxes — — — — — — — — (457) — (457) 

Comprehensive income (loss) — — — — — — — 6,446 (457) — 5,989 

Ending balance at June 30, 2021 1 464 650 $72,648 $14,109 $— $— ($60,656) $186 ($3,885) $22,402 

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) — — — — — — — 1,950 — — 1,950 

Other comprehensive income (loss), net of 

taxes — — — — — — — — 610 — 610 

Comprehensive income (loss) — — — — — — — 1,950 610 — 2,560 

Cumulative effect from adoption of CECL — — — — — — — (240) — — (240) 

Ending balance at June 30, 2020 1 464 650 $72,648 $14,109 $— $— ($72,478) $1,048 ($3,885) $11,442 

The accompanying notes are an integral part of these condensed consolidated financial statements.

Financial Statements Condensed Consolidated Statements of Equity

Freddie Mac 2Q 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 $16,070 $428 

Cash flows from investing activities

Purchases of trading securities (62,814) (78,316) 

Proceeds from sales of trading securities 67,944 58,808 

Proceeds from maturities and repayments of trading securities 3,126 11,172 

Purchases of available-for-sale securities (7,288) (5,668) 

Proceeds from sales of available-for-sale securities 20,941 24,810 

Proceeds from maturities and repayments of available-for-sale securities 753 1,737 

Purchases of mortgage loans acquired as held-for-investment (367,336) (221,933) 

Proceeds from sales of mortgage loans acquired as held-for-investment 5,199 2,706 

Proceeds from repayments of mortgage loans acquired as held-for-investment 414,680 294,343 

Advances under secured lending arrangements (112,980) (47,276) 

Repayments of secured lending arrangements 92 964 

Net proceeds from dispositions of real estate owned and other recoveries 144 446 

Net (increase) decrease in securities purchased under agreements to resell (13,314) (43,234) 

Derivative premiums and terminations, swap collateral, and exchange settlement payments, net 1,113 (9,273) 

Other, net (303) (292) 

Net cash provided by (used in) investing activities (50,043) (11,006) 

Cash flows from financing activities

Proceeds from issuance of debt securities of consolidated trusts held by third parties 501,890 267,231 

Repayments and redemptions of debt securities of consolidated trusts held by third parties (429,404) (268,704) 

Proceeds from issuance of debt of Freddie Mac 23,153 295,145 

Repayments of debt of Freddie Mac (79,001) (279,459) 

Net increase (decrease) in securities sold under agreements to repurchase 4,620 (1,179) 

Other, net (3) (40) 

Net cash provided by (used in) financing activities 21,255 12,994 

Net increase (decrease) in cash and cash equivalents (includes restricted cash and cash equivalents) (12,718) 2,416 

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 $11,171 $7,605 

Supplemental cash flow information

Cash paid for:

Debt interest $34,301 $35,486 

Income taxes 2,590 340 

Non-cash investing and financing activities (Note 4 and 6)

 The accompanying notes are an integral part of these condensed consolidated financial statements. 

Financial Statements Condensed Consolidated Statements of Cash Flows

Freddie Mac 2Q 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 under the 

conservatorship of FHFA. 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 2Q 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 2Q 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 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 June 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, and will continue 

to be, added to the liquidation preference of the senior preferred stock. As a result, the liquidation preference of the senior 

preferred stock increased from $89.1 billion as of March 31, 2021 to $91.4 billion on June 30, 2021 based on the $2.4 billion

increase in our Net Worth Amount during 1Q 2021, and will increase to $95.0 billion on September 30, 2021 based on the $3.6 

billion increase in our Net Worth Amount during 2Q 2021. 

The Purchase Agreement, as amended by the January 2021 Letter Agreement, includes significant restrictions on our ability to 

manage our business, including limits on our secondary market activities; the amount and type of single-family and multifamily 

loans we can acquire; 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. We have accounted for the January 2021 Letter Agreement as a modification of the senior 

preferred stock recognized on our condensed consolidated balance sheet.

The Purchase Agreement has an indefinite term and can terminate only in limited circumstances, which do not include the end 

of the conservatorship. The Purchase Agreement therefore could continue after the conservatorship ends. However, Treasury's 

consent is required for a termination of conservatorship other than in connection with receivership or under the limited 

circumstances specified in the Purchase Agreement as amended by the January 2021 Letter Agreement involving maintenance 

of certain capital and resolution of currently pending material litigation related to our conservatorship and the Purchase 

Agreement. Treasury has the right to exercise the warrant, in whole or in part, at any time on or before September 7, 2028.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 2

Freddie Mac 2Q 2021 Form 10-Q 77
Impact of Conservatorship and Related Developments on the MortgageRelated Investments Portfolio

In February 2019, FHFA 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 interest-only securities. The balance of the mortgage-related investments portfolio for the purposes of the FHFA and 

Purchase Agreement limits was $124.1 billion as of June 30, 2021, including $10.8 billion representing 10% of the notional 

amount of the interest-only securities we held as of June 30, 2021. Our ability to acquire and sell mortgage assets continues to 

be significantly constrained by limitations imposed by the Purchase Agreement and FHFA. 

With respect to the composition of our mortgage-related investments portfolio, in August 2020, FHFA instructed us to: (1) 

reduce the amount of agency MBS to no more than $50 billion by June 30, 2021 and no more than $20 billion by June 30, 

2022, with all dollar caps to be based on UPB; and (2) reduce the UPB of our existing portfolio of CMOs, which are also 

sometimes referred to as REMICs, to zero as of June 30, 2021. We will have a holding period limit to sell any new CMO 

tranches created but not sold at issuance. CMOs do not include tranches initially retained from reperforming loans senior 

subordinate securitization structures.

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 March 31, 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 2Q 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. 

During YTD 2021, we contributed $45 million of capital to CSS, and we have contributed $702 million since we began making 

contributions in the fourth quarter of 2014. The carrying value of our investment in CSS was $17 million and $16 million as of 

June 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 2Q 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. The fair value of these investments in our resecuritization trusts for which 

we are not the primary beneficiary was $23.6 billion and $28.5 billion as of June 30, 2021 and December 31, 2020, respectively. 

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 

$94.9 billion and $85.3 billion as of June 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 $28.3 billion and $28.1 billion at June 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 $34.1 billion and $33.7 billion at June 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 $1.4 billion and $1.7 billion at June 30, 2021 and December 31, 2020, respectively. The total assets of these 

nonconsolidated VIEs totaled $1.5 billion and $1.8 billion at June 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 $274.8 billion and $253.0 billion at June 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 

$314.3 billion and $291.3 billion at June 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 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 2Q 2021 Form 10-Q 79
trusts, as we do not have the ability to direct 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 SB Certificate securitizations for 

which we are not the primary beneficiary totaled $22.1 billion and $21.5 billion at June 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 $24.6 billion and $23.9 billion at June 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 

$14.8 billion and $14.9 billion at June 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 at both 

June 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 $174 million and $420 million at June 30, 2021 and 

December 31, 2020, respectively. The total assets of these nonconsolidated VIEs totaled $19.9 billion and $17.3 billion at 

June 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) June 30, 2021 December 31, 2020

Condensed Consolidated Balance Sheet Line Item

Assets:

Cash and cash equivalents (includes $3,859 and $17,289 of restricted cash and cash 

equivalents) $3,860 $17,290 

Securities purchased under agreements to resell 36,266 38,487 

Investment securities, at fair value 4,159 591 

Mortgage loans held-for-investment, net 2,543,467 2,273,347 

Accrued interest receivable, net 7,141 7,134 

Other assets 16,194 20,480 

Total assets of consolidated VIEs $2,611,087 $2,357,329 

Liabilities:

Accrued interest payable $5,631 $5,610 

Debt 2,575,653 2,308,176 

Total liabilities of consolidated VIEs $2,581,284 $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 2Q 2021 Form 10-Q 80
Table 3.2 - Nonconsolidated VIEs

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

Assets and Liabilities Recorded on our Condensed Consolidated Balance Sheets(1)

Assets:

Investment securities, at fair value $23,598 $28,459 

Accrued interest receivable, net 236 239 

Derivative assets, net 24 61 

Other assets 5,615 5,553 

 Liabilities:

Debt 67 — 

Derivative liabilities, net 46 47 

Other liabilities 4,857 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 2Q 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 

June 30, 2021 December 31, 2020

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

Held-for-sale UPB $7,920 $10,475 $18,395 $10,702 $23,789 $34,491 

Cost basis and fair value adjustments, net (1,272) 385 (887) (1,637) 798 (839) 

Total held-for-sale loans, net 6,648 10,860 17,508 9,065 24,587 33,652 

Held-for-investment UPB 2,510,339 22,209 2,532,548 2,271,576 21,923 2,293,499 

Cost basis adjustments 62,756 59 62,815 62,415 54 62,469 

Allowance for credit losses (4,601) (47) (4,648) (5,628) (104) (5,732) 

Total held-for-investment loans, net 2,568,494 22,221 2,590,715 2,328,363 21,873 2,350,236 

Total mortgage loans, net $2,575,142 $33,081 $2,608,223 $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) 2Q 2021 2Q 2020 YTD 2021 YTD 2020

Single-family:

Purchases:

 Held-for-investment loans $287.1 $230.7 $647.7 $368.4 

Sale of held-for-sale loans(1) 3.0 — 3.0 2.2 

Multifamily:

Purchases:

 Held-for-investment loans 1.3 3.1 2.9 4.3 

 Held-for-sale loans 11.5 16.4 23.8 24.6 

Sale of held-for-sale loans(2) 17.7 11.0 38.8 21.7 

(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 2Q 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 

 

2Q 2021 2Q 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) $469 $28 $— $759 $34 $— 

Held-for-sale to held-for-investment(2) 67 6 — 244 20 4 

Multifamily reclassifications from:

Held-for-investment to held-for-sale 1,202 5 — 615 — — 

 Held-for-sale to held-for-investment 12 — — 89 — — 

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) $970 $35 $— $3,396 $248 $— 

Held-for-sale to held-for-investment(2) 102 9 — 245 20 4 

Multifamily reclassifications from:

Held-for-investment to held-for-sale 1,730 6 — 647 — — 

 Held-for-sale to held-for-investment 21 — — 571 (1) — 

(1) Prior to reclassification from held-for-investment to held-for-sale, we charged-off $15 million and $42 million against the allowance for credit losses during 2Q 2021 

and YTD 2021, respectively, compared to $94 million and $173 million during 2Q 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) March 31, 2021 June 30, 2021 2Q 2021 YTD 2021

Single-family:

20- and 30-year or more, amortizing fixed-rate $21,137 $19,431 $35 $70 

15-year amortizing fixed-rate 1,031 914 1 3 

Adjustable-rate 296 268 — 1 

Alt-A, interest-only, and option ARM 700 611 1 2 

Total single-family 23,164 21,224 37 76 

Total multifamily — — — — 

Total single-family and multifamily $23,164 $21,224 $37 $76 

 Referenced footnotes are included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 4

Freddie Mac 2Q 2021 Form 10-Q 83
Non-Accrual Amortized Cost Basis Interest Income Recognized(1)

(In millions) March 31, 2020 June 30, 2020 2Q 2020 YTD 2020

Single-family:

20- and 30-year or more, amortizing fixed-rate $5,494 $10,226 ($35) $30 

15-year amortizing fixed-rate 241 528 (2) 1 

Adjustable-rate 83 150 — — 

Alt-A, interest-only, and option ARM 389 540 (1) 2 

Total single-family 6,207 11,444 (38) 33 

Total multifamily 13 — — — 

Total single-family and multifamily $6,220 $11,444 ($38) $33 

(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) June 30, 2021 December 31, 2020 2Q 2021 2Q 2020 YTD 2021 YTD 2020

Single-family loans $7,222 $7,292 ($119) ($92) ($285) ($121) 

Multifamily loans 104 139 — — — — 

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 the Enhanced Relief Refinance program) 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 2Q 2021 Form 10-Q 84
Table 4.6 - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratio and Vintage

June 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 $115,459 $306,280 $65,299 $38,381 $65,585 $467,656 $1,058,660 

> 60 to 80 235,850 446,701 107,331 36,116 27,259 36,693 889,950 

> 80 to 90 63,487 98,729 7,580 1,426 489 1,565 173,276 

> 90 to 100 39,697 3,968 167 53 41 561 44,487 

> 100(1) 67 7 2 14 33 554 677 

 Total 20- and 30-year or more, amortizing fixed-rate 454,560 855,685 180,379 75,990 93,407 507,029 2,167,050 

 15-year amortizing fixed-rate

≤ 60 43,775 102,912 18,842 8,654 16,342 94,098 284,623 

> 60 to 80 33,861 46,353 4,268 539 204 100 85,325 

> 80 to 90 3,311 1,540 33 4 4 9 4,901 

> 90 to 100 595 41 — 1 2 3 642 

> 100(1) 9 — — 1 2 6 18 

 Total 15-year amortizing fixed-rate 81,551 150,846 23,143 9,199 16,554 94,216 375,509 

 Adjustable-rate 

≤ 60 545 1,539 803 636 2,056 12,158 17,737 

> 60 to 80 746 947 472 214 404 313 3,096 

> 80 to 90 130 55 15 5 7 4 216 

> 90 to 100 55 — 1 — — 1 57 

> 100(1) — — — — — 1 1 

 Total adjustable-rate 1,476 2,541 1,291 855 2,467 12,477 21,107 

 Alt-A, Interest-only, and option ARM

≤ 60 — — — — — 8,149 8,149 

> 60 to 80 — — — — — 1,083 1,083 

> 80 to 90 — — — — — 120 120 

> 90 to 100 — — — — — 45 45 

> 100(1) — — — — — 32 32 

 Total Alt-A, interest-only, and option ARM — — — — — 9,429 9,429 

Total single-family loans $537,587 $1,009,072 $204,813 $86,044 $112,428 $623,151 $2,573,095 

Total for all loan product types by current LTV ratio:

≤ 60 $159,779 $410,731 $84,944 $47,671 $83,983 $582,061 $1,369,169 

> 60 to 80 270,457 494,001 112,071 36,869 27,867 38,189 979,454 

> 80 to 90 66,928 100,324 7,628 1,435 500 1,698 178,513 

> 90 to 100 40,347 4,009 168 54 43 610 45,231 

> 100(1) 76 7 2 15 35 593 728 

Total single-family loans $537,587 $1,009,072 $204,813 $86,044 $112,428 $623,151 $2,573,095 

Referenced footnotes are included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 4

Freddie Mac 2Q 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 10.22% and 11.17% as of 

June 30, 2021 and December 31, 2020, respectively.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 4

Freddie Mac 2Q 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 current financial strength and debt service capacity of the borrower; 

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 by Vintage

June 30, 2021

Year of Origination

(In millions) 2021 2020 2019 2018 2017 Prior Total

Revolving 

Loans

Category:

Pass $1,293 $7,698 $5,560 $1,135 $654 $3,039 $2,168 $21,547 

Special mention — — 476 — — 106 — 582 

Substandard — — 23 1 13 102 — 139 

Doubtful — — — — — — — — 

Total $1,293 $7,698 $6,059 $1,136 $667 $3,247 $2,168 $22,268 

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 loans, held-for-investment, by payment 

status. 

Table 4.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status 

June 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 $2,114,708 $11,746 $3,429 $37,167 $2,167,050 $18,089 $845 

15-year amortizing fixed-rate 371,888 1,103 235 2,283 375,509 1,363 10 

Adjustable-rate 20,323 143 42 599 21,107 334 7 

Alt-A, interest-only, and option ARM 8,266 222 78 863 9,429 254 128 

Total single-family 2,515,185 13,214 3,784 40,912 2,573,095 20,040 990 

Total multifamily(3) 22,268 — — — 22,268 — — 

Total single-family and multifamily $2,537,453 $13,214 $3,784 $40,912 $2,595,363 $20,040 $990 

Referenced footnotes are included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 4

Freddie Mac 2Q 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 $0.8 billion and $1.0 billion of single-family loans that were in the process of foreclosure as of June 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 June 30, 2021 and December 31, 2020, includes $0.6 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

2Q 2021 2Q 2020 YTD 2021 YTD 2020

Percentage of single-family loan modifications that were classified as TDRs with:

 Interest rate reductions and related term extensions 13% 15% 14% 15% 

 Principal forbearance and related interest rate reductions and term extensions 37 18 35 19 

Average coupon interest rate reduction 0.4 % 0.3 % 0.4 % 0.3 %

Average months of term extension 145 187 149 187

Substantially all of our completed single-family loan modifications classified as a TDR during 2Q 2021, 2Q 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 

2Q 2021 2Q 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 3,729 $656 5,309 $943 7,511 $1,327 11,741 $2,070 

15-year amortizing fixed-rate 425 47 590 61 897 94 1,319 133 

Adjustable-rate 52 10 88 15 100 19 185 32 

Alt-A, interest-only, and option ARM 156 20 135 19 307 39 301 43 

Total single-family 4,362 733 6,122 1,038 8,815 1,479 13,546 2,278 

Multifamily — — — — — — — — 

(1) The pre-TDR amortized cost basis for single-family loans initially classified as TDR during 2Q 2021 and YTD 2021 was $0.8 billion and $1.5 billion, respectively, 

compared to $1.0 billion and $2.3 billion during 2Q 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 TDR 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 2Q 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

2Q 2021 2Q 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 682 $124 4,116 $791 1,813 $322 6,620 $1,218 

15-year amortizing fixed-rate 24 2 197 26 86 9 316 40 

Adjustable-rate 6 1 59 10 21 4 88 14 

Alt-A, interest-only, and option ARM 89 13 349 72 216 34 513 104 

Total single-family 801 140 4,721 899 2,136 369 7,537 1,376 

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, 1,689 and 1,936, respectively, of 

such loans (with a post-TDR amortized cost basis of $0.3 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 $295.5 billion and $162.4 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 

$112.1 billion and $45.1 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 2Q 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

June 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 $29,696 $410 39 $29,739 $401 39

Other mortgage-related guarantees 10,148 241 30 9,215 193 30

Total single-family $39,844 $651 $38,954 $594 

Multifamily:

Securitization activity guarantees $309,718 $4,382 39 $287,334 $4,031 39

Other mortgage-related guarantees 9,973 389 33 10,721 425 33

Total multifamily $319,691 $4,771 $298,055 $4,456 

Other guarantees $63,926 $1,387 30 $47,703 $794 30

Fannie Mae securities backing Freddie Mac 

resecuritization products 99,039 — 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 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 2Q 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 

June 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 $40,023 $1,784 $594 $3,058 $45,459 

Multifamily(2) 362,877 55 25 548 363,505 

Total $402,900 $1,839 $619 $3,606 $408,964 

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 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 $0.5 billion and $0.7 billion as of June 30, 2021 and December 31, 2020, respectively, and 

therefore is not included in the table above.

(2) As of June 30, 2021, includes $4.4 billion 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 $15.0 billion and $15.4 billion at June 30, 2021 and December 31, 2020, respectively. 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 $4.5 billion and $5.5 billion at June 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 2Q 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) June 30, 2021 December 31, 2020

Trading securities $54,991 $44,458 

Available-for-sale securities 4,567 15,367 

Total fair value of investment securities $59,558 $59,825 

As of June 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) June 30, 2021 December 31, 2020

Mortgage-related securities:

Agency $21,708 $17,504 

Non-agency — 1 

Total mortgage-related securities 21,708 17,505 

Non-mortgage-related securities 33,283 26,953 

Total fair value of trading securities $54,991 $44,458 

For trading securities held at June 30, 2021, we recorded net unrealized gains (losses) of ($398) million and ($797) million during 

2Q 2021 and YTD 2021, respectively. For trading securities held at June 30, 2020, we recorded net unrealized gains (losses) of

$120 million and $638 million during 2Q 2020 and YTD 2020, respectively. 

Available-for-Sale Securities 

At June 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 June 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 

June 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 $3,380 $189 ($1) $3,568 $8 

Non-agency and other 757 242 — 999 4 

Total available-for-sale securities $4,137 $431 ($1) $4,567 $12 

 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 6

Freddie Mac 2Q 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 June 30, 2021 scheduled to contractually mature after ten years was 

$1.7 billion, with an additional $1.8 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 

June 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 $20 $— $105 ($1) 

Non-agency and other — — — — 

Total available-for-sale securities in a gross unrealized loss position $20 $— $105 ($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 June 30, 2021, the gross unrealized losses relate to 31 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) 2Q 2021 2Q 2020 YTD 2021 YTD 2020

Gross realized gains $121 $44 $520 $77 

Gross realized losses (22) (37) (53) (60) 

Net realized gains (losses) $99 $7 $467 $17 

Non-Cash Investing and Financing Activities

During YTD 2021 and YTD 2020, we recognized $23.9 billion and $12.7 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 2Q 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 

2Q 2021 2Q 2020 YTD 2021 YTD 2020

 (In millions) 

Singlefamily Multifamily TotalSinglefamily Multifamily TotalSinglefamily Multifamily TotalSinglefamily Multifamily Total

Beginning balance $6,130 $150 $6,280 $6,347 $136 $6,483 $6,353 $200 $6,553 $5,233 $69 $5,302 

Provision (benefit) 

for credit losses (686) (54) (740) 624 81 705 (832) (104) (936) 1,790 148 1,938 

Charge-offs (203) — (203) (121) — (121) (441) — (441) (285) — (285) 

Recoveries 

collected 61 — 61 36 — 36 107 — 107 124 — 124 

Other 211 — 211 30 — 30 326 — 326 54 — 54 

Ending balance $5,513 $96 $5,609 $6,916 $217 $7,133 $5,513 $96 $5,609 $6,916 $217 $7,133 

Components of ending balance of allowance for credit losses:

Mortgage loans 

held-forinvestment $4,601 $47 $4,648 $6,482 $124 $6,606 

Advances of preforeclosure costs 691 — 691 323 — 323 

Accrued interest 

receivable on 

mortgage loans 168 — 168 57 — 57 

Off-balance sheet 

credit exposures 53 49 102 54 93 147 

 Total $5,513 $96 $5,609 $6,916 $217 $7,133 

2Q 2021 vs. 2Q 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 than in 

the 2020 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 2Q 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) June 30, 2021 December 31, 2020

Freestanding credit enhancement expected recovery receivables, net of allowance $217 $677 

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

Total credit enhancement receivables $288 $751 

(1) Excludes $433 million and $444 million of deferred payment obligations associated with unpaid claim amounts as of June 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 

June 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 $501,768 $122,942 $472,881 $116,973 

STACR:

 Trust notes Freestanding 623,920 19,942 488,251 17,288 

 Debt notes Debt 273,747 11,553 365,482 12,377 

Insurance/reinsurance(4) Freestanding 922,969 14,331 876,815 11,586 

Subordination:

 Nonconsolidated VIEs Guarantee 34,871 5,853 34,671 5,718 

 Consolidated VIEs Debt 6,086 346 9,499 464 

Lender risk-sharing Freestanding 4,975 4,477 5,731 4,831 

Other Primarily attached 237 234 374 371 

Total single-family credit enhancements $179,678 $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. 

(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 June 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 2Q 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

June 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 $353,191 $44,306 $328,897 $42,799 

Lender risk-sharing Freestanding 2,892 599 3,317 598 

Insurance/reinsurance(3) Freestanding 5,344 189 5,383 190 

SCR:

Trust notes Freestanding 4,788 272 — — 

Debt notes Debt 2,139 107 2,217 111 

Other Primarily debt 1,202 404 2,211 453 

Total multifamily credit enhancements $45,877 $44,151 

(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. 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 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 June 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 2Q 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) June 30, 2021 December 31, 2020

Debt securities of consolidated trusts held by third parties $2,575,653 $2,308,176 

Debt of Freddie Mac:

Short-term debt — 4,955 

Long-term debt 227,102 279,415 

Total Debt of Freddie Mac 227,102 284,370 

Total debt $2,802,755 $2,592,546 

As of June 30, 2021, our aggregate indebtedness was $230.6 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 short- and 

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 

June 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 - 2060 $1,990,165 $2,046,438 2.77 % 2021 - 2060 $1,799,065 $1,855,438 3.07 %

20-year fixed-rate 2021 - 2041 119,298 122,569 2.53 2021 - 2041 97,520 100,498 2.84 

15-year fixed-rate 2021 - 2036 357,016 365,964 2.25 2021 - 2036 303,142 310,612 2.46 

Adjustable-rate 2021 - 2051 20,531 20,996 2.48 2021 - 2051 23,964 24,484 2.76 

Interest-only 2026 - 2051 3,144 3,277 2.57 2026 - 2041 3,671 3,736 3.15 

FHA/VA 2021 - 2051 828 845 3.79 2021 - 2050 752 769 4.04 

Total single-family 2,490,982 2,560,089 2,228,114 2,295,537 

Multifamily 2021-2051 15,352 15,564 2.26 2021-2050 12,488 12,639 2.43 

Total debt of consolidated trusts 

held by third parties $2,506,334 $2,575,653 $2,240,602 $2,308,176 

(1) Includes $252 million and $205 million at June 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 1.73% and 1.76% as of June 30, 2021 and December 31, 2020, 

respectively.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 9

Freddie Mac 2Q 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 

June 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) 4,620 4,620 (0.03) — — — 

Total short-term debt 4,620 4,620 (0.03) 4,955 4,955 1.31 

Long-term debt:

Original maturities on or before December 31,

2021 26,621 26,620 0.72 43,422 43,417 0.95 

2022 55,228 55,247 0.72 61,071 61,092 0.68 

2023 48,199 48,139 0.44 61,998 61,920 0.45 

2024 16,389 16,367 0.49 21,679 21,651 0.61 

2025 35,777 35,414 0.83 44,342 43,944 0.84 

Thereafter 36,602 34,867 2.62 36,386 34,583 2.64 

STACR and SCR debt(4) 11,660 11,496 4.19 12,488 12,342 4.18 

Hedging-related basis adjustments N/A (1,048) N/A 466 

Total long-term debt 230,476 227,102 1.13 281,386 279,415 1.09 

Total debt of Freddie Mac(5) $235,096 $231,722 $286,341 $284,370 

(1) Represents par value, net of associated discounts or premiums and issuance cost. Includes $1.8 billion and $2.4 billion at June 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 $89.0 billion and $124.0 billion at June 30, 2021 and December 31, 2020, respectively.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 9

Freddie Mac 2Q 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 2Q 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 

June 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 $647,387 $2,082 ($5,132) $559,596 $2,639 ($7,091) 

Written options 31,654 — (1,331) 18,259 — (735) 

Purchased options(1) 236,105 4,395 — 169,995 5,265 — 

Futures 174,513 — — 181,702 — — 

Total interest-rate management derivatives 1,089,659 6,477 (6,463) 929,552 7,904 (7,826) 

Mortgage commitment derivatives:

Forward contracts to purchase mortgage loans 11,857 23 (3) 37,122 183 — 

Forward contracts to purchase mortgage-related securities 32,396 79 (6) 45,185 203 — 

Forward contracts to sell mortgage-related securities 77,182 11 (201) 136,802 2 (759) 

Total mortgage commitment derivatives 121,435 113 (210) 219,109 388 (759) 

CRT-related derivatives 30,553 24 (38) 28,949 61 (47) 

Other 7,685 1 (24) 4,029 2 (16) 

Total derivatives not designated as hedges 1,249,332 6,615 (6,735) 1,181,639 8,355 (8,648) 

Designated as fair value hedges

Interest-rate risk management derivatives:

Swaps 153,002 109 (1,336) 180,686 224 (500) 

Total derivatives designated as fair value hedges 153,002 109 (1,336) 180,686 224 (500) 

Derivative interest receivable (payable)(2) 485 (463) 455 (523) 

Netting adjustments(3) (6,453) 8,027 (7,829) 8,717 

Total derivative portfolio, net $1,402,334 $756 ($507) $1,362,325 $1,205 ($954) 

(1) Includes swaptions on credit indices with a notional or contractual amount of $11.5 billion and $16.8 billion at June 30, 2021 and December 31, 2020, respectively, 

and a fair value of $3.0 million and $9.0 million at June 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 2Q 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) 2Q 2021 2Q 2020 YTD 2021 YTD 2020

Not designated as hedges

Interest-rate risk management derivatives:

Swaps $1,039 $1,000 $1,654 ($3,863) 

Written options 305 55 (156) (265) 

Purchased options (586) (760) (634) 3,782 

Futures (127) (120) 159 (2,448) 

Total interest-rate risk management derivatives fair value gains (losses) 631 175 1,023 (2,794) 

Mortgage commitment derivatives (860) (396) 616 (1,122) 

CRT-related derivatives 15 43 (27) 121 

Other 11 6 8 37 

Total derivatives not designated as hedges fair value gains (losses) (203) (172) 1,620 (3,758) 

 Accrual of periodic cash settlements(1) (360) (329) (812) (505) 

Total ($563) ($501) $808 ($4,263) 

(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 

2Q 2021 2Q 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: $15,230 ($10,463) $15,716 ($12,840) 

Interest contracts on mortgage loans held-for-investment:

Gain (loss) on fair value hedging relationships:

Hedged items 1,086 — 670 — 

Derivatives designated as hedging instruments (1,097) — (474) — 

Interest accruals on hedging instruments (139) — (122) — 

Discontinued hedge-related basis adjustments amortization (511) — (695) — 

Interest contracts on debt:

Gain (loss) on fair value hedging relationships:

Hedged items — (600) — 37 

Derivatives designated as hedging instruments — 568 — (81) 

Interest accruals on hedging instruments — 248 — 187 

Discontinued hedge-related basis adjustments amortization — 3 — 17 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 10 

Freddie Mac 2Q 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: $29,132 ($20,726) $33,308 ($27,647) 

Interest contracts on mortgage loans held-for-investment:

Gain (loss) on fair value hedging relationships:

Hedged items (437) — 5,563 — 

Derivatives designated as hedging instruments 437 — (5,554) — 

Interest accruals on hedging instruments (253) — (185) — 

Discontinued hedge-related basis adjustments amortization (1,292) — (948) — 

Interest contracts on debt:

Gain (loss) on fair value hedging relationships:

Hedged items — 1,514 — (468) 

Derivatives designated as hedging instruments — (1,620) — 473 

Interest accruals on hedging instruments — 503 — 287 

Discontinued hedge-related basis adjustments amortization — 8 — 37 

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 

June 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 $693,011 $3,388 ($224) $3,612 $72,555 $3,019 

Debt (146,969) 1,048 — (30) — — 

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 2Q 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. 

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

June 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 $6,955 ($5,088) ($1,405) $462 ($419) $43 

Cleared and exchange-traded derivatives 116 (5) 45 156 — 156 

Mortgage commitment derivatives 113 — — 113 — 113 

Other 25 — — 25 — 25 

Total derivatives 7,209 (5,093) (1,360) 756 (419) 337 

Securities purchased under agreements to resell 118,317 (4,620) — 113,697 (113,697) — 

Total $125,526 ($9,713) ($1,360) $114,453 ($114,116) $337 

Liabilities:

Derivatives:

OTC derivatives ($8,197) $5,088 $2,902 ($207) $— ($207) 

Cleared and exchange-traded derivatives (65) 5 32 (28) 28 — 

Mortgage commitment derivatives (210) — — (210) — (210) 

Other (62) — — (62) — (62) 

Total derivatives (8,534) 5,093 2,934 (507) 28 (479) 

Securities sold under agreements to repurchase (4,620) 4,620 — — — — 

Total ($13,154) $9,713 $2,934 ($507) $28 ($479) 

 Referenced footnotes are included after the next table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 11

Freddie Mac 2Q 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 $1.8 billion and $2.8 billion

pledged to us as collateral that was invested as part of our liquidity and contingency operating portfolio as of June 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 June 30, 2021, and December 31, 2020, we had $59.6 billion and $85.8 billion, respectively, of securities 

pledged to us in these transactions. In addition, at June 30, 2021 and December 31, 2020, we had $0.7 billion and $0.8 billion, 

respectively, 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 June 30, 2021 and $1.3 billion as of 

December 31, 2020. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 11

Freddie Mac 2Q 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 

June 30, 2021

(In millions) Derivatives

Securities Sold 

Under 

Agreements to 

Repurchase Other(3) Total

Cash equivalents(1) $— $569 $— $569 

Debt securities of consolidated trusts(2) — — 335 335 

Trading securities 1,888 4,054 1,536 7,478 

Total securities pledged $1,888 $4,623 $1,871 $8,382 

December 31, 2020

(In millions) Derivatives

Securities Sold 

Under 

Agreements to 

Repurchase Other(3) 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) Represents U.S. Treasury securities accounted for as cash equivalents.

(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.

(3) Includes other collateralized borrowings and collateral related to transactions with certain clearinghouses.

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 

June 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 $2,875 $1,748 $— $— $4,623 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 11

Freddie Mac 2Q 2021 Form 10-Q 105
NOTE 12

Stockholders' Equity and Earnings Per Share

Accumulated Other Comprehensive Income

The table below presents changes in AOCI after the effects of our federal statutory tax rate of 21% for the periods presented, 

related to available-for-sale securities, cash flow hedges, and our defined benefit plans.

Table 12.1 - Changes in AOCI by Component, Net of Taxes 

2Q 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 $415 ($196) $35 $254 

Other comprehensive income before reclassifications 6 — — 6 

Amounts reclassified from accumulated other comprehensive income (79) 8 (3) (74) 

Changes in AOCI by component (73) 8 (3) (68) 

Ending balance $342 ($188) $32 $186 

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 (99) — (1) (100) 

Amounts reclassified from accumulated other comprehensive income (369) 18 (6) (357) 

Changes in AOCI by component (468) 18 (7) (457) 

Ending balance $342 ($188) $32 $186 

2Q 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 $1,056 ($231) $62 $887 

Other comprehensive income before reclassifications 160 — — 160 

Amounts reclassified from accumulated other comprehensive income (6) 11 (4) 1 

Changes in AOCI by component 154 11 (4) 161 

Ending balance $1,210 ($220) $58 $1,048 

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 606 — 2 608 

Amounts reclassified from accumulated other comprehensive income (14) 24 (8) 2 

Changes in AOCI by component 592 24 (6) 610 

Ending balance $1,210 ($220) $58 $1,048 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 12

Freddie Mac 2Q 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) 2Q 2021 2Q 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 $99 $7 $467 $17 

Income tax (expense) benefit (20) (1) (98) (3) 

Net of tax 79 6 369 14 

AOCI related to cash flow hedge relationships

Affected line items on the condensed consolidated statements of comprehensive 

income (loss):

Interest expense (10) (14) (21) (30) 

Income tax (expense) benefit 2 3 3 6 

Net of tax (8) (11) (18) (24) 

AOCI related to defined benefit plans

Affected line items on the condensed consolidated statements of comprehensive 

income (loss):

Salaries and employee benefits 4 5 8 10 

Income tax (expense) benefit (1) (1) (2) (2) 

Net of tax 3 4 6 8 

Total reclassifications in the period, net of tax $74 ($1) $357 ($2) 

Senior Preferred Stock

As a result of changes to the terms of the 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 June 2021. As the company builds capital during this period, the quarterly increases in our Net Worth Amount have 

been, and will continue to 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 $89.1 billion as of March 31, 2021 to $91.4 billion on 

June 30, 2021 based on the $2.4 billion increase in the Net Worth Amount during 1Q 2021. The liquidation preference will 

increase to $95.0 billion on September 30, 2021 based on the $3.6 billion increase in our Net Worth Amount during 2Q 2021. 

See Note 2 for additional information.

As of June 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 2Q 2021 Form 10-Q 107
The table below provides a summary of our senior preferred stock outstanding at June 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 

Total non-draw adjustments 1.00 1.00 1.00 19,791 

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 $91,439 

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 did not declare or pay a dividend on the senior preferred stock during YTD 

2021. We also did not declare or pay 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 2Q 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) 2Q 2021 2Q 2020 YTD 2021 YTD 2020

Interest income

Mortgage loans $14,590 $15,026 $27,845 $31,658 

Investment securities 617 637 1,227 1,289 

Other 23 53 60 361 

Total interest income 15,230 15,716 29,132 33,308 

Interest expense

Debt securities of consolidated trusts 

held by third parties (10,032) (11,975) (19,788) (25,422) 

Debt of Freddie Mac:

Short-term debt — (130) (2) (560) 

Long-term debt (431) (735) (936) (1,665) 

Total interest expense (10,463) (12,840) (20,726) (27,647) 

Net interest income 4,767 2,876 8,406 5,661 

Benefit (provision) for credit losses 740 (705) 936 (1,938) 

Net interest income after benefit 

(provision) for credit losses $5,507 $2,171 $9,342 $3,723 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 2Q 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) 2Q 2021 2Q 2020 YTD 2021 YTD 2020

Investment gains (losses), net:

Mortgage loans gains (losses) $1,511 $1,046 $1,717 $2,218 

Investment securities gains (losses) (330) 65 (837) 1,120 

Debt gains (losses) 18 60 156 760 

Derivative gains (losses) (563) (501) 808 (4,263) 

Investment gains (losses), net $636 $670 $1,844 ($165) 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 14

Freddie Mac 2Q 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 2Q 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

2Q 2021

(In millions) Single-family Multifamily Total

Net interest income $4,460 $307 $4,767 

Non-interest income (loss)

Guarantee income 10 346 356 

Investment gains (losses), net 137 499 636 

Other income (loss) 108 (1) 107 

Non-interest income (loss) 255 844 1,099 

Net revenues 4,715 1,151 5,866 

Benefit (provision) for credit losses 686 54 740 

Non-interest expense

Administrative expense (503) (148) (651) 

Credit enhancement expense (361) (8) (369) 

Benefit for (decrease in) credit enhancement recoveries (190) (3) (193) 

REO operations expense (7) — (7) 

Temporary Payroll Tax Cut Continuation Act of 2011 expense (570) — (570) 

Other expense (172) (7) (179) 

Non-interest expense (1,803) (166) (1,969) 

Income (loss) before income tax (expense) benefit 3,598 1,039 4,637 

Income tax (expense) benefit (743) (215) (958) 

Net income (loss) 2,855 824 3,679 

Other comprehensive income (loss), net of taxes and reclassification 

adjustments

Changes in unrealized gains (losses) related to available-for-sale 

securities (79) 6 (73) 

Changes in unrealized gains (losses) related to cash flow hedge 

relationships 8 — 8 

Changes in defined benefit plans (3) — (3) 

Total other comprehensive income (loss), net of taxes and 

reclassification adjustments (74) 6 (68) 

Comprehensive income (loss) $2,781 $830 $3,611 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 15

Freddie Mac 2Q 2021 Form 10-Q 112
YTD 2021

(In millions) Single-family Multifamily Total

Net interest income $7,768 $638 $8,406 

Non-interest income (loss)

Guarantee income 99 505 604 

Investment gains (losses), net 437 1,407 1,844 

Other income (loss) 260 25 285 

Non-interest income (loss) 796 1,937 2,733 

Net revenues 8,564 2,575 11,139 

Benefit (provision) for credit losses 832 104 936 

Non-interest expense

Administrative expense (991) (299) (1,290) 

Credit enhancement expense (686) (18) (704) 

Benefit for (decrease in) credit enhancement recoveries (435) (15) (450) 

REO operations expense (15) — (15) 

Temporary Payroll Tax Cut Continuation Act of 2011 expense (1,104) — (1,104) 

Other expense (381) (13) (394) 

Non-interest expense (3,612) (345) (3,957) 

Income (loss) before income tax (expense) benefit 5,784 2,334 8,118 

Income tax (expense) benefit (1,191) (481) (1,672) 

Net income (loss) 4,593 1,853 6,446 

Other comprehensive income (loss), net of taxes and reclassification 

adjustments

Changes in unrealized gains (losses) related to available-for-sale 

securities (414) (54) (468) 

Changes in unrealized gains (losses) related to cash flow hedge 

relationships 18 — 18 

Changes in defined benefit plans (6) (1) (7) 

Total other comprehensive income (loss), net of taxes and 

reclassification adjustments (402) (55) (457) 

Comprehensive income (loss) $4,191 $1,798 $5,989 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 15

Freddie Mac 2Q 2021 Form 10-Q 113
2Q 2020

(In millions) Single-family Multifamily Total

Net interest income $2,590 $286 $2,876 

Non-interest income (loss)

Guarantee income 55 414 469 

Investment gains (losses), net (61) 731 670 

Other income (loss) 83 51 134 

Non-interest income (loss) 77 1,196 1,273 

Net revenues 2,667 1,482 4,149 

Benefit (provision) for credit losses (624) (81) (705) 

Non-interest expense

Administrative expense (477) (124) (601) 

Credit enhancement expense (228) (5) (233) 

Benefit for (decrease in) credit enhancement recoveries 219 2 221 

REO operations expense (14) — (14) 

Temporary Payroll Tax Cut Continuation Act of 2011 expense (442) — (442) 

Other expense (131) (9) (140) 

Non-interest expense (1,073) (136) (1,209) 

Income (loss) before income tax (expense) benefit 970 1,265 2,235 

Income tax (expense) benefit (198) (260) (458) 

Net income (loss) 772 1,005 1,777 

Other comprehensive income (loss), net of taxes and reclassification 

adjustments

Changes in unrealized gains (losses) related to available-for-sale 

securities 95 59 154 

Changes in unrealized gains (losses) related to cash flow hedge 

relationships 11 — 11 

Changes in defined benefit plans (3) (1) (4) 

Total other comprehensive income (loss), net of taxes and 

reclassification adjustments 103 58 161 

Comprehensive income (loss) $875 $1,063 $1,938 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 15

Freddie Mac 2Q 2021 Form 10-Q 114
YTD 2020

(In millions) Single-family Multifamily Total

Net interest income $5,075 $586 $5,661 

Non-interest income (loss)

Guarantee income 42 804 846 

Investment gains (losses), net (37) (128) (165) 

Other income (loss) 141 88 229 

Non-interest income (loss) 146 764 910 

Net revenues 5,221 1,350 6,571 

Benefit (provision) for credit losses (1,790) (148) (1,938) 

Non-interest expense

Administrative expense (944) (244) (1,188) 

Credit enhancement expense (455) (9) (464) 

Benefit for (decrease in) credit enhancement recoveries 658 30 688 

REO operations expense (99) — (99) 

Temporary Payroll Tax Cut Continuation Act of 2011 expense (874) — (874) 

Other expense (229) (14) (243) 

Non-interest expense (1,943) (237) (2,180) 

Income (loss) before income tax (expense) benefit 1,488 965 2,453 

Income tax (expense) benefit (305) (198) (503) 

Net income (loss) 1,183 767 1,950 

Other comprehensive income (loss), net of taxes and reclassification 

adjustments

Changes in unrealized gains (losses) related to available-for-sale 

securities 469 123 592 

Changes in unrealized gains (losses) related to cash flow hedge 

relationships 24 — 24 

Changes in defined benefit plans (5) (1) (6) 

Total other comprehensive income (loss), net of taxes and 

reclassification adjustments 488 122 610 

Comprehensive income (loss) $1,671 $889 $2,560 

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) June 30, 2021 December 31, 2020

Single-family $2,563,589 $2,326,426 

Multifamily 398,427 388,347 

Total segment assets 2,962,016 2,714,773 

Reconciling items(1) (119,874) (87,358) 

Total assets per condensed consolidated balance sheets $2,842,142 $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 2Q 2021 Form 10-Q 115
NOTE 16

Concentration of Credit and Other Risks

Single-Family Mortgage Portfolio

The table below summarizes the concentration by loan portfolio and geographic area of the approximately $2.6 trillion and $2.3 

trillion UPB of our single-family mortgage portfolio as of June 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 

June 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 $800 31 % 1.65 % $720 31 % 2.41 % $— NM $— 6 %

Northeast 608 24 2.30 549 24 3.16 — NM 0.1 38 

North Central 385 15 1.52 357 15 2.06 — NM 0.1 27 

Southeast 412 16 2.02 375 16 2.95 — NM 0.1 20 

Southwest 358 14 1.82 325 14 2.59 — NM — 9 

Total $2,563 100 % 1.86 $2,326 100 % 2.64 $— NM $0.3 100 %

State:

California $472 19 % 1.80 $424 18 % 2.64 $— NM $— 4 %

Texas 158 6 2.13 145 6 3.11 — NM — 3 

Florida 149 6 2.42 135 6 3.70 — NM — 11 

New York 111 4 3.43 103 4 4.56 — NM — 10 

Illinois 102 4 2.34 96 4 2.96 — NM 0.1 14 

All other 1,571 61 1.66 1,423 62 2.34 — NM 0.2 58 

Total $2,563 100 % 1.86 $2,326 100 % 2.64 $— NM $0.3 100 %

(1) Excludes credit losses related to charge-offs of accrued interest receivables.

(2) Excludes $476 million and $505 million in UPB of loans underlying certain securitization products for which data was not available as of June 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 2Q 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 (for example, 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) June 30, 2021 December 31, 2020 June 30, 2021 December 31, 2020

Alt-A 1 % 1 % 9.07 % 10.66 %

Original LTV ratio greater than 90%(2) 13 15 3.31 4.25 

Lower credit scores at origination (less than 620) 1 1 9.45 11.00 

(1) Excludes $476 million and $505 million in UPB of loans underlying certain securitization products for which data was not available as of June 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 49% and 46% 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

Berkadia Commercial Mortgage LLC 15 % 15 %

CBRE Capital Markets, Inc. 15 14 

Other top 10 sellers 50 48 

Top 10 multifamily sellers 80 % 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 29% 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 2Q 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 June 30, 2021 or December 31, 2020. 

Table 16.4 - Servicer Concentration

Single-family Servicers June 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) June 30, 2021 December 31, 2020

CBRE Capital Markets, Inc. 16 % 17 %

Berkadia Commercial Mortgage LLC 13 13 

JLL Real Estate Capital LLC 11 11 

Other top 10 servicers 41 39 

Top 10 multifamily servicers 81 % 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 June 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 June 30, 2021, mortgage insurers provided coverage with maximum credit loss of 

$123.0 billion, for $501.8 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 2Q 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. On October 23, 2016, Genworth Financial, Inc. ("Genworth") announced that it had entered into 

an agreement to be acquired by China Oceanwide Holdings Group Co., Ltd. ("Oceanwide"). Because Genworth Mortgage 

Insurance Corporation, a subsidiary of Genworth, is an approved mortgage insurer, Freddie Mac evaluated the planned 

acquisition and approved Oceanwide's control of Genworth Mortgage Insurance Corporation. On April 6, 2021, Genworth 

announced that it had terminated its merger agreement with Oceanwide.

Table 16.5 - Mortgage Insurer Concentration

Mortgage Insurance Coverage(2)

Mortgage Insurer Credit Rating(1) June 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 

Genworth Mortgage Insurance Corporation BB+ 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 June 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. 

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 June 30, 2021 and 

December 31, 2020, we had cumulative unpaid deferred payment obligations of $0.4 billion from these insurers. We have 

reserved 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 June 30, 2021 and December 31, 2020, including amounts related to our consolidated VIEs, the balance in our 

other investments portfolio was $171.0 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 June 30, 2021, all of our securities purchased under 

agreements to resell were fully collateralized. As of June 30, 2021 and December 31, 2020, $0.7 billion and $0.8 billion, 

respectively, 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 2Q 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 2Q 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 

June 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 $— $3,092 $476 $— $3,568 

Non-agency and other — 1 998 — 999 

Total available-for-sale securities, at fair value — 3,093 1,474 — 4,567 

Trading, at fair value:

Mortgage-related securities:

Agency — 18,185 3,523 — 21,708 

Non-mortgage-related securities 32,269 1,014 — — 33,283 

Total trading securities, at fair value 32,269 19,199 3,523 — 54,991 

Total investments in securities 32,269 22,292 4,997 — 59,558 

Mortgage loans:

Held-for-sale, at fair value — 6,811 — — 6,811 

 Derivative assets, net 17 6,682 25 — 6,724 

 Netting adjustments(1) — — — (5,968) (5,968) 

Total derivative assets, net 17 6,682 25 (5,968) 756 

Other assets:

 Guarantee assets, at fair value — — 5,869 — 5,869 

 Non-derivative held-for-sale purchase commitments, at fair value — 141 — — 141 

 All other, at fair value — — 70 — 70 

Total other assets — 141 5,939 — 6,080 

Total assets carried at fair value on a recurring basis $32,286 $35,926 $10,961 ($5,968) $73,205 

Liabilities:

Debt securities of consolidated trusts held by third parties, at fair 

value $— $1 $251 $— $252 

Debt of Freddie Mac, at fair value — 1,704 117 — 1,821 

 Derivative liabilities, net — 8,048 23 — 8,071 

 Netting adjustments(1) — — — (7,564) (7,564) 

Total derivative liabilities, net — 8,048 23 (7,564) 507 

Total liabilities carried at fair value on a recurring basis $— $9,753 $391 ($7,564) $2,580 

Referenced footnote is included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 2Q 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 held-for-sale 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 held-for-sale 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 2Q 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 

2Q 2021

Balance,

April 1,

2021

Total Realized/Unrealized 

Gains (Losses)

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3(1)

Transfers

out of

Level 3(1)

Balance,

June 30,

2021

Change in 

Unrealized 

Gains (Losses) 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2021(2)

Change in 

Unrealized 

Gains (Losses), 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of June 

(In millions) 30, 2021

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Assets

Investment securities:

Available-for-sale, at 

fair value:

Mortgage-related 

securities:

Agency $801 $— $1 $— $— ($296) ($30) $— $— $476 $— $— 

Non-agency and 

other 1,035 5 8 — — — (50) — — 998 6 7 

Total available-for-sale 

mortgage-related 

securities 1,836 5 9 — — (296) (80) — — 1,474 6 7 

Trading, at fair value:

Mortgage-related 

securities:

Agency 3,061 (170) — 737 — — (23) — (82) 3,523 (177) — 

Non-agency 1 (1) — — — — — — — — — — 

Total trading 

mortgage-related 

securities 3,062 (171) — 737 — — (23) — (82) 3,523 (177) — 

Derivative assets 30 (5) — — — — — — — 25 (5) — 

Other assets:

Guarantee assets 5,688 5 — — 416 — (240) — — 5,869 48 — 

All other, at fair value 115 (39) — 5 4 (9) (6) — — 70 (39) — 

Total other 

assets 5,803 (34) — 5 420 (9) (246) — — 5,939 9 — 

Balance,

April 1,

2021

Total Realized/Unrealized 

(Gains) Losses

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3(1)

Transfers

out of

Level 3(1)

Balance,

June 30,

2021

Change in 

Unrealized 

(Gains) Losses 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2021(2)

Change in 

Unrealized 

(Gains) Losses, 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2021

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Liabilities

Debt securities of 

consolidated trusts held 

by third parties, at fair 

value $260 ($13) $— $— $35 $— ($31) $— $— $251 ($12) $— 

Debt of Freddie Mac, at 

fair value 120 (3) — — — — — — — 117 (2) — 

Derivative liabilities 34 (8) — — — — (3) — — 23 (11) — 

All other, at fair value — (1) — 1 — — — — — — (1) — 

Referenced footnotes are included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 2Q 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,

June 30,

2021

Change in 

Unrealized 

Gains (Losses) 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2021(2)

Change in 

Unrealized 

Gains 

(Losses), Net 

of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of 

(In millions) June 30, 2021

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Assets

Investment securities:

Available-for-sale, at 

fair value:

Mortgage-related 

securities:

Agency $526 $— ($5) $— $— $— ($45) $— $— $476 $— ($4) 

Non-agency and 

other 1,062 12 9 — — — (85) — — 998 12 7 

Total available-for-sale 

mortgage-related 

securities 1,588 12 4 — — — (130) — — 1,474 12 3 

Trading, at fair value:

Mortgage-related 

securities:

Agency 3,258 (355) — 1,112 — (269) (43) — (180) 3,523 (364) — 

Non-agency 1 (1) — — — — — — — — — — 

Total trading 

mortgage-related 

securities 3,259 (356) — 1,112 — (269) (43) — (180) 3,523 (364) — 

Derivative assets 63 (38) — — — — — — — 25 (38) — 

Other assets:

Guarantee asset 5,509 (83) — — 905 — (462) — — 5,869 (79) — 

All other, at fair value 108 (29) — 1 10 (9) (11) — — 70 (29) — 

Total other assets 5,617 (112) — 1 915 (9) (473) — — 5,939 (108) — 

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,

June 30,

2021

Change in 

Unrealized 

(Gains) Losses 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2021(2)

Change in 

Unrealized 

(Gains) 

Losses, Net of 

Tax, Included 

in OCI Related 

to Assets and 

Liabilities Still 

Held as of 

June 30, 2021

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Liabilities

Debt securities of 

consolidated trusts held 

by third parties, at fair 

value $203 ($10) $— $— $88 $— ($30) $— $— $251 ($8) $— 

Other debt, at fair value 120 — — — 1 — (4) — — 117 — — 

Derivative liabilities 16 11 — — 2 — (6) — — 23 5 — 

All other, at fair value 3 (5) — 2 — — — — — — (5) — 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 2Q 2021 Form 10-Q 124
2Q 2020

Balance,

April 1,

2020

Total Realized/Unrealized 

Gains (Losses)

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3(1)

Transfers

out of

Level 3(1)

Balance,

June 30,

2020

Change in 

Unrealized 

Gains (Losses) 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2020(2)

Change in 

Unrealized 

Gains 

(Losses), Net 

of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of 

(In millions) June 30, 2020

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Assets

Investment securities:

Available-for-sale, at 

fair value:

Mortgage-related 

securities:

Agency $650 $— $8 $197 $— ($10) ($31) $— $— $814 $— $6 

Non-agency and 

other 1,101 4 41 — — — (40) — — 1,106 4 32 

Total available-for-sale 

mortgage-related 

securities 1,751 4 49 197 — (10) (71) — — 1,920 4 38 

Trading, at fair value:

Mortgage-related 

securities:

Agency 2,544 (53) — 742 — (170) (11) — — 3,052 (49) — 

Non-agency 1 — — — — — — — — 1 — — 

Total trading mortgagerelated securities 2,545 (53) — 742 — (170) (11) — — 3,053 (49) — 

Derivative assets 63 (1) — — — — — — — 62 51 — 

Other assets:

Guarantee assets 4,565 163 — — 289 — (193) — — 4,824 163 — 

All other, at fair value 106 (3) — (6) 6 — 11 — — 114 (3) — 

Total other assets 4,671 160 — (6) 295 — (182) — — 4,938 160 — 

Balance,

April 1,

2020

Total Realized/Unrealized 

(Gains) Losses

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3(1)

Transfers

out of

Level 3(1)

Balance,

June 30,

2020

Change in 

Unrealized 

(Gains) Losses 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2020(2)

Change in 

Unrealized 

(Gains) 

Losses, Net of 

Tax, Included 

in OCI Related 

to Assets and 

Liabilities Still 

Held as of 

June 30, 2020

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Liabilities

Debt securities of 

consolidated trusts held 

by third parties, at fair 

value $199 $3 $— $— $— $— $— $— $— $202 $3 $— 

Debt of Freddie Mac, at 

fair value 151 1 — — 1 — (7) — (23) 123 1 — 

Derivative liabilities 24 (5) — — — — (2) — — 17 (28) — 

All other, at fair value 1 — — — — — — — — 1 — — 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 2Q 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,

June 30,

2020

Change in 

Unrealized 

Gains (Losses) 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2020(2)

Change in 

Unrealized 

Gains 

(Losses), Net 

of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of 

(In millions) June 30, 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 $46 $197 $— ($218) ($88) $— ($1,095) $814 $— $4 

Non-agency and 

other 1,267 7 (86) — — — (82) — — 1,106 7 (68) 

Total available-for-sale 

mortgage-related 

securities 3,227 19 (40) 197 — (218) (170) — (1,095) 1,920 7 (64) 

Trading, at fair value:

Mortgage-related 

securities:

Agency 2,709 (37) — 923 — (104) (42) — (397) 3,052 (44) — 

Non-agency 1 — — — — — — — — 1 — — 

Total trading 

mortgage-related 

securities 2,710 (37) — 923 — (104) (42) — (397) 3,053 (44) — 

Derivative assets 16 45 — — 1 — — — — 62 45 — 

Other assets:

Guarantee asset 4,426 262 — — 512 — (376) — — 4,824 262 — 

All other, at fair value 120 (11) — (6) 12 (8) 7 — — 114 (11) — 

Total other assets 4,546 251 — (6) 524 (8) (369) — — 4,938 251 — 

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,

June 30,

2020

Change in 

Unrealized 

(Gains) Losses 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2020(2)

Change in 

Unrealized 

(Gains) 

Losses, Net of 

Tax, Included 

in OCI Related 

to Assets and 

Liabilities Still 

Held as of 

June 30, 2020

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Liabilities

Debt securities of 

consolidated trusts held 

by third parties, at fair 

value $203 ($1) $— $— $— $— $— $— $— $202 ($1) $— 

Other debt, at fair value 129 — — — 2 — (8) — — 123 — — 

Derivative liabilities 37 (14) — — 2 — (8) — — 17 (22) — 

All other, at fair value 1 — — — — — — — — 1 — — 

(1) Transfers out of Level 3 during 2Q 2021, YTD 2021, 2Q 2020, and YTD 2020 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 June 30, 2021 and June 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 2Q 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 

June 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 $379 Discounted cash flows OAS 89 - 89 bps 89 bps

 97 Other

Non-agency and other 855 

Median of external 

sources

External pricing 

sources $66.4 - $79.5 $72.4 

 143 Other

Trading, at fair value

Mortgage-related securities

Agency 2,879 Single external source

External pricing 

sources $0.0 - $7,971.4 $596.0 

 644 Other

Guarantee assets, at fair value 5,455 Discounted cash flows OAS 17 - 186 bps 45 bps

 414 Other

Insignificant Level 3 assets(1) 95 

Total level 3 assets $10,961 

Liabilities

Debt securities of consolidated trusts held by third 

parties, at fair value $172 Single external source

External pricing 

sources $99.9 - $106.9 $102.1 

 79 Other

Insignificant Level 3 liabilities(1) 140 

Total level 3 liabilities $391 

Referenced footnotes are included after the next table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 2Q 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 2Q 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 

June 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) $— $32 $1,443 $1,475 $— $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 

June 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 $1,443 

Internal model Historical sales proceeds $3,150 - $622,325 $209,088

Internal model Housing sales index 72 - 637 bps 127 bps

Median of external sources External pricing sources $60.0 - $106.3 $95.2

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 2Q 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 other, 

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

June 30, 2021

GAAP 

Measurement 

Category(1)

GAAP 

Carrying  

Amount

Fair Value

(In millions) Level 1 Level 2 Level 3

Netting 

Adjustments(2) Total

Financial Assets

Cash and cash equivalents Amortized cost $11,171 $11,171 $— $— $— $11,171 

Securities purchased under agreements 

to resell Amortized cost 113,697 — 118,317 — (4,620) 113,697 

Investment securities:

Available-for-sale, at fair value FV - OCI 4,567 — 3,093 1,474 — 4,567 

Trading, at fair value FV - NI 54,991 32,269 19,199 3,523 — 54,991 

Total investment securities 59,558 32,269 22,292 4,997 — 59,558 

Mortgage loans:

Loans held by consolidated trusts 2,543,467 — 2,351,354 234,749 — 2,586,103 

Loans held by Freddie Mac 64,756 — 36,783 30,364 — 67,147 

Total mortgage loans Various(3) 2,608,223 — 2,388,137 265,113 — 2,653,250 

Derivative assets, net FV - NI 756 17 6,682 25 (5,968) 756 

Guarantee assets FV - NI 5,869 — — 5,873 — 5,873 

Non-derivative purchase commitments, 

at fair value FV - NI 141 — 226 — — 226 

Advances to lenders Amortized cost 5,045 — — 5,045 — 5,045 

Secured lending Amortized cost 1,593 — 1,391 56 — 1,447 

Total financial assets $2,806,053 $43,457 $2,537,045 $281,109 ($10,588) $2,851,023 

Financial Liabilities

Debt:

Debt securities of consolidated trusts 

held by third parties $2,575,653 $— $2,607,642 $796 $— $2,608,438 

Debt of Freddie Mac 227,102 — 233,566 3,965 (4,620) 232,911 

Total debt Various(4) 2,802,755 — 2,841,208 4,761 (4,620) 2,841,349 

Derivative liabilities, net FV - NI 507 — 8,048 23 (7,564) 507 

Guarantee obligations Amortized cost 5,422 — — 6,232 — 6,232 

Non-derivative purchase commitments, 

at fair value FV - NI 12 — — 53 — 53 

Total financial liabilities $2,808,696 $— $2,849,256 $11,069 ($12,184) $2,848,141 

(1) FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income.

(2) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable.

(3) As of June 30, 2021, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $2.6 trillion, $10.7 billion, and $6.8 

billion, respectively. 

(4) As of June 30, 2021, the GAAP carrying amounts measured at amortized cost and FV - NI were $2.8 trillion and $2.1 billion, respectively. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 2Q 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

Netting 

Adjustments(2) 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(3) 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 commitments, 

at fair value FV - NI 158 — 246 — — 246 

Advances to lenders Amortized cost 4,162 — — 4,162 — 4,162 

Secured lending Amortized cost 1,680 — 1,427 89 — 1,516 

Total financial assets $2,585,319 $50,144 $2,301,519 $313,563 ($7,374) $2,657,852 

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(4) 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 commitments, 

at fair value FV - NI 20 — 1 143 — 144 

Total financial liabilities $2,598,570 $— $2,677,924 $10,477 ($8,194) $2,680,207 

(1) FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income.

(2) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable.

(3) 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. 

(4) 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 long-term 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 $233 million and $173 million and multifamily held-for-sale loan purchase 

commitments with a net fair value of $141 million and $157 million, as of June 30, 2021 and December 31, 2020, respectively.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 17

Freddie Mac 2Q 2021 Form 10-Q 131
Table 17.7 - Difference between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected 

June 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 $6,811 $1,668 $172 $14,199 $2,216 $203 

UPB 6,424 1,637 169 13,400 2,189 200 

Difference $387 $31 $3 $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

2Q 2021 2Q 2020 YTD 2021 YTD 2020

(In millions) Gains (Losses) Gains (Losses) 

Multifamily held-for-sale loans $221 $313 ($230) $951 

Multifamily held-for-sale loan purchase commitments 342 650 537 1,182 

Debt of Freddie Mac - long term 22 (70) 30 478 

Debt securities of consolidated trusts held by third parties 13 — 9 4 

Changes in fair value attributable to instrument-specific credit risk were not material for 2Q 2021, YTD 2021, 2Q 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 2Q 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 2Q 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 2Q 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 HERA's prohibition 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 2Q 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 2Q 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) June 30, 2021 December 31, 2020

GAAP net worth (deficit) $22,402 $16,413 

Core capital (deficit)(1)(2) (50,432) (56,878) 

Less: Minimum capital(1) 23,549 22,694 

Minimum capital surplus (deficit)(1) ($73,981) ($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. Pursuant to the final 

rule, we will be required to report our regulatory capital under the ERCF beginning on January 1, 2022.

END OF CONDENSED CONSOLIDATED FINANCIAL STATEMENTS AND ACCOMPANYING NOTES

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 19

Freddie Mac 2Q 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 this Form 10-Q and Note 

20 in our 2020 Annual Report.

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 the Housing and Economic Recovery Act 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. 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 

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 www.freddiemac.com/capital-markets.

Other Information

Freddie Mac 2Q 2021 Form 10-Q 138
EXHIBITS

The exhibits are listed in the Exhibit Index of this Form 10-Q.

Other Information

Freddie Mac 2Q 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 June 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 

June 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 2Q 2021

We evaluated the changes in our internal control over financial reporting that occurred during 2Q 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 June 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 (or if that office is 

vacant, with our President), 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 2Q 2021 have been prepared in conformity with GAAP.

Controls and Procedures

Freddie Mac 2Q 2021 Form 10-Q 140
Exhibit Index

Exhibit Description*

10.1 Memorandum Agreement, dated May 4, 2021, between Freddie Mac and Michael J. DeVito†

10.2 Restrictive Covenant and Confidentiality Agreement, dated June 4, 2021, between Freddie Mac and Michael DeVito†

10.3 Form of Restrictive Covenant and Confidentiality Agreement between the Federal Home Loan Mortgage Corporation and Executive Officers†

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.

† This exhibit is a management contract or compensatory plan, contract, or arrangement.

Exhibit Index

Freddie Mac 2Q 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: July 29, 2021

By: /s/ Christian M. Lown

Christian M. Lown

Executive Vice President and Chief Financial Officer

(Principal Financial Officer)

Date: July 29, 2021

Signatures

Freddie Mac 2Q 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 56 - 58

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 2Q 2021 Form 10-Q 143
Date: To: 

May 4, 2021 Michael J. DeVito

From

Sara Mathew

Chair, Freddie Mac Board of Directors

Subject

Terms and Conditions for Employment as Chief Executive Officer of the Federal Home Loan Mortgage 

Corporation (“Freddie Mac” or “Company”)

On behalf of the Board of Directors of Freddie Mac (the “Board”), we are delighted to have you join 

Freddie Mac as its Chief Executive Officer. This communication sets forth the terms of Freddie Mac's 

agreement (the "Agreement") to employ you as its Chief Executive Officer, effective June 1, 2021. The 

terms and conditions set forth herein have been developed in conjunction with and are subject to 

approval by the Federal Housing Finance Agency ("FHFA"), in consultation with the United States 

Department of the Treasury ("Treasury"), and the Board. To the extent that any required approval is not 

obtained, this Agreement shall be null and void in all respects and you shall have no further obligations 

under this Agreement, the Restrictive Covenant and Confidentiality Agreement (the "Restrictive 

Covenant Agreement"), or any other plan, policy or program of Freddie Mac.

Please review and confirm that such terms and conditions conform to your understanding by returning 

to me a signed copy of this Agreement.

As Freddie Mac's Chief Executive Officer, you shall be the highest-ranking officer of Freddie Mac and 

shall have the same status, privileges, and responsibilities normally inherent in such capacity in 

corporations of similar size and character. You shall also perform such additional duties consistent with 

your position as the Board may from time to time reasonably assign to you. In addition, for so long as 

you remain Chief Executive Officer, the Board shall nominate you to serve on the Board as a director of 

Freddie Mac.

During your employment as Chief Executive Officer, you agree to devote substantially all your time, 

attention, and energies to our business, and to not be engaged in any other business activity unless 

permitted under our Outside Activities and Family Member Activities policy, which will be provided to 

you under separate cover. This restriction shall not prevent you from making investments of your 

assets in such form or manner as you desire, consistent with Freddie Mac's Personal Investments 

Policy and the Restrictive Covenant Agreement you are required to sign pursuant to Section II below.

Compensation

Your annualized base salary shall be $600,000 and you shall not receive more than this amount during 

any calendar year. You will not participate in the Company's executive management compensation 

programs.

Exhibit 10.1

1
If you terminate your employment with Freddie Mac at any time for any reason, your base salary will 

terminate effective as of the date your employment terminates.

Benefits

Our stage-in-life benefits and wellness offerings are some of the best in the industry and are 

customizable for you to meet the unique needs of you and your family—whether at work or at home, on 

the job or off. You will also be eligible to participate in certain benefits available only to officers, 

including a financial counseling reimbursement program and the executive retirement benefits. You are 

immediately eligible for the financial counseling reimbursement program and will become eligible for the 

executive retirement benefits after completing one year of service.

The medical, dental and vision benefits you elect will become effective on the first day of the month 

after your first day of employment. You will automatically be enrolled to contribute to the 401(k) Plan 

shortly after you begin employment and become eligible for company contributions after one year of 

service.

In connection with your relocation you will be eligible to take advantage of the applicable relocation 

program, which will also be provided to you under separate cover.

I. Termination of Board Membership

Your termination of employment for any reason (including resignation) shall be deemed to be the 

termination of your membership on the Board as of the same effective date.

II. Restrictive Covenant Agreement

The terms of compensation provided in this Agreement are contingent upon your agreement to be 

bound by the terms of the Restrictive Covenant Agreement, attached as Exhibit A, as well as an 

amendment to the Restrictive Covenant Agreement that likely will be adopted on or around June 1, 

2021, which will provide for a restriction on employment for a period of six months following departure 

from the Company with counterparties as to which you have made or significantly influenced business 

decisions during the previous six months. You must sign and return the Restrictive Covenant 

Agreement together with a signed copy of this Agreement, and you hereby agree to sign and deliver 

such additional documents as may be necessary to effectuate the further amendments to the 

Restrictive Covenant Agreement described above.

III. FHFA's Review and Approval Authority

The terms and conditions of your compensation have been approved by the Board, but require approval 

by FHFA in consultation with Treasury. Notwithstanding such approval and any provision of this 

Agreement, you acknowledge and understand that any compensation paid or to be paid during or after 

your employment remains subject to any withholding, escrow or prohibition consistent with FHFA's 

authority pursuant to the Federal Home Loan Corporation Act, as amended, or the Federal Housing 

Enterprises Financial Safety and Soundness Act of 1992, as amended.

Offer Letter - Michael J. DeVito

May 4, 2021

Page 2 

2
IV. Reservation of Rights

This Agreement is not intended, nor shall it be interpreted, to constitute a contract of employment for a 

specified duration. Your employment is "at-will" and each of you and Freddie Mac retain the discretion 

to terminate the employment relationship at any time for any lawful reason with or without notice.

This offer of employment is contingent upon Freddie Mac's satisfaction, in its sole discretion, with your 

references and the results of your background checks and drug test.

During the course of your review of this Agreement, Freddie Mac expects that you have had the 

opportunity to consult with and receive assistance from appropriate advisors, including legal, tax, and 

financial advisors.

This Agreement shall be construed, and the rights and obligations herein determined, exclusively in 

accordance with the substantive law of the Commonwealth of Virginia, excluding provisions of Virginia 

law concerning choice-of-law that would result in the law of any state other than Virginia being applied.

_/s/ Sara Mathew___________________ __5/5/21___________

Sara Mathew Date

Chair, Freddie Mac Board of Directors

I agree to the terms of this Agreement.

_/s/ Michael J. DeVito_______________ __May-06-2021________

Michael J. DeVito Date

Offer Letter - Michael J. DeVito 

May 4, 2021

Page 3 

3
RESTRICTIVE COVENANT AND CONFIDENTIALITY AGREEMENT

In exchange for the mutual promises and consideration set forth below, this Restrictive Covenant and 

Confidentiality Agreement (“Agreement”) is entered into by and between the Federal Home Loan Mortgage 

Corporation (“Freddie Mac” or “Company”) and the undersigned employee (“you”), effective on the date you 

assign a personal signature at the conclusion of this Agreement. This Agreement supersedes any previous 

Restrictive Covenant and Confidentiality Agreement between the above parties.

I. Definitions

The following terms shall have the meanings indicated when used in this Agreement.

A. Competitor: The following entities, and their respective parents, successors, subsidiaries, and affiliates are 

competitors: (i) Fannie Mae (ii) all Federal Home Loan Banks (including the Office of Finance); and (iii) such 

other entities to which you and the Company may agree in writing from time-to-time.

B. Confidential Information: Information or materials in written, oral, magnetic, digital, computer, 

photographic, optical, electronic, or other form, whether now existing or developed or created during the period of 

your employment with Freddie Mac, that constitutes trade secrets and/or proprietary or confidential information. 

This information includes, but is not limited to: (i) all information marked Proprietary or Confidential; (ii) 

information concerning the components, capabilities, and attributes of Freddie Mac’s business plans, methods, 

and strategies; (iii) information relating to tactics, plans, or strategies concerning shareholders, investors, pricing, 

investment, marketing, sales, trading, funding, hedging, modeling, sales and risk management; (iv) financial or 

tax information and analyses, including but not limited to, information concerning Freddie Mac’s capital structure 

and tax or financial planning; (v) confidential information about Freddie Mac’s customers, borrowers, employees, 

or others; (vi) pricing and quoting information, policies, procedures, and practices; (vii) confidential customer 

lists; (viii) proprietary algorithms; (ix) confidential contract terms; (x) confidential information concerning 

Freddie Mac’s policies, procedures, and practices or the way in which Freddie Mac does business; (xi) proprietary 

or confidential data bases, including their structure and content; (xii) proprietary Freddie Mac business software, 

including its design, specifications and documentation; (xiii) information about Freddie Mac products, programs, 

and services which has not yet been made public; (xiv) confidential information about Freddie Mac’s dealings 

with third parties, including dealers, customers, vendors, and regulators; and/or (xv) confidential information 

belonging to third parties to which you received access in connection with your employment with Freddie Mac. 

Confidential Information does not include general skills, experience, or knowledge acquired in connection with 

your employment with Freddie Mac that otherwise are generally known to the public or within the industry or 

trade in which Freddie Mac operates.

II. Compliance with the Code of Conduct and Corporate Policies & Procedures, Including the 

Personal Investments Policy, Following Commencement of Employment With Freddie Mac

As a Freddie Mac employee, you will be subject to Freddie Mac’s Code of Conduct (“Code”) and to Corporate 

Policy 3-206, Personal Investments Policy (“Policy”) that, among other things, limit the investment activities of

Exhibit A

1
Freddie Mac employees. You agree to fully comply with the Code and the Policy, copies of which are enclosed 

for your review. 

You agree to consult with Freddie Mac’s Chief Compliance Officer as soon as practical prior to beginning 

employment with Freddie Mac about any investments that you or a “covered household member,” as that term is

defined in the Policy, may have that may be prohibited by the Policy. You also agree to disclose prior to 

beginning employment with Freddie Mac any other matter or situation that may create a conflict of interest as 

such term is defined in the Code. 

In addition, prior to beginning employment with Freddie Mac, you agree to disclose to Freddie Mac's Human 

Resources Division the terms of any employment, confidentiality or stock grant agreements to which you may 

currently be subject that may affect your future employment or recruiting activities so that Freddie Mac may 

ensure that your employment by Freddie Mac and conduct as a Freddie Mac employee are not inconsistent with 

any of their terms. 

III. Non-Competition

You recognize that as a result of your employment with Freddie Mac, you have access to and knowledge of 

Confidential Information, the improper disclosure or use of which would result in grave competitive harm to 

Freddie Mac. Therefore, you agree that neither during your employment with Freddie Mac, nor for the twelve 

(12) months immediately following termination of your employment for any reason, will you consider offers of 

employment from, seek or accept employment with, or otherwise directly or indirectly provide professional 

services to any Competitor, if you will be rendering duties, responsibilities or services for the Competitor that are 

of the type and nature rendered or performed by you during the past two years of your employment with Freddie 

Mac. You acknowledge and agree that this covenant has unique, substantial and immeasurable value to Freddie 

Mac, that you have sufficient skills to provide a livelihood for yourself while this covenant remains in force, and 

that this covenant will not interfere with your ability to work consistent with your experience, training and 

education. This non-competition covenant applies regardless of whether your employment is terminated by you, 

by Freddie Mac, or by a joint decision. 

If you are a licensed lawyer, this non-competition covenant shall be interpreted in a manner consistent with any 

rule applicable to a licensed legal professional in the jurisdiction(s) of your licensure or registration that concerns 

your employment as counsel with, or provision of legal services to, a Competitor.

IV. Non-Solicitation and Non-Recruitment

During Your employment with Freddie Mac and for a period of twelve (12) months after your termination date, 

you will not solicit or recruit, attempt to solicit or recruit or assist another in soliciting or recruiting any Freddie 

Mac managerial employee (including manager-level, Executive-level, or officer-level employee) with whom you 

worked, or any employee whom you directly or indirectly supervised at Freddie Mac, to leave the employee’s 

employment with Freddie Mac for purposes of employment or for the rendering of professional services. This 

prohibition against solicitation does not apply if Freddie Mac has notified the employee being solicited or 

recruited that his/her employment with the Company will be terminated pursuant to a corporate reorganization, 

reduction-in-force, involuntary termination or voluntary early retirement program.

If you are a licensed lawyer, this non-solicitation covenant shall be interpreted in a manner consistent with any 

rule applicable to a licensed legal professional in the jurisdiction(s) of your licensure or registration.

V. Treatment of Confidential Information During and Following Employment With Freddie Mac

A. Non-Disclosure. You recognize that Freddie Mac is engaged in an extremely competitive business and that, 

in the course of performing your job duties, you will have access to and gain knowledge about Confidential 

Information. You further recognize the importance of carefully protecting this Confidential Information in

2
order for Freddie Mac to compete successfully. Therefore, you agree that both during and following your 

employment with Freddie Mac, you will neither divulge Confidential Information to any persons, including to 

other Freddie Mac employees who do not have a Freddie Mac business-related need to know, nor make use of 

the Confidential Information for your own benefit or for the benefit of anyone else other than Freddie Mac. 

You further agree to take all reasonable precautions to prevent the disclosure of Confidential Information to 

unauthorized persons or entities, and to comply with all Company policies, procedures, and instructions 

regarding the treatment of such information.

B. Disclosure of Trade Secrets to Government. As required by federal law, and notwithstanding anything to the 

contrary in this Agreement:

i) You shall not be held criminally or civilly liable under any Federal or State trade secret law for the 

disclosure of a trade secret that is made in confidence to a Federal, State, or local government official or 

to an attorney solely for the purpose of reporting or investigating a suspected violation of law.

ii) You shall not be held criminally or civilly liable under any Federal or State trade secret law for the 

disclosure of a trade secret that is made in a complaint or other document filed in a lawsuit or other 

proceeding, if the filing is made under seal. 

iii) If you file a lawsuit for retaliation by Freddie Mac for reporting a suspected violation of law, you may (a) 

disclose trade secrets to your attorney, and (b) use the trade secret information in the court proceeding if 

you file any document containing the trade secret under seal and do not disclose the trade secret except 

pursuant to court order.

C. Ability to Enforce Agreement and Assist Government Investigations. Nothing in this Agreement prohibits or 

otherwise restricts you from: (1) making any disclosure of information required by law; (2) assisting any 

regulatory or law enforcement agency or legislative body to the extent you maintain a legal right to do so 

notwithstanding this Agreement; (3) filing, testifying, participating in or otherwise assisting in a proceeding 

relating to the alleged violation of any federal, state, or local law, regulation, or rule, to the extent you maintain a 

legal right to do so notwithstanding this Agreement; or (4) filing, testifying, participating in or otherwise assisting 

the Securities and Exchange Commission or any other proper authority in a proceeding relating to allegations of 

fraud.

VI. Additional Post-Employment Obligations

A. Return of Materials. You agree that upon termination of your employment with Freddie Mac for any reason 

whatsoever, you will deliver to your immediate supervisor all tangible materials embodying Confidential 

Information, including, but not limited to, any documentation, records, listings, notes, files, data, sketches, 

memoranda, models, accounts, reference materials, samples, machine-readable media, computer disks, tapes, and 

equipment which in any way relate to Confidential Information, whether developed by you or not. You further 

agree not to retain any copies of any materials embodying Confidential Information.

B. Disclosure of Future Employment. To enable Freddie Mac to monitor compliance with the obligations 

imposed by this Agreement, you further agree to notify Freddie Mac by email to 

Term_notification@freddiemac.com the identity of your subsequent employer(s) and your prospective job title 

and responsibilities prior to beginning employment, if you did not disclose this information to the Human 

Resources Division at the conclusion of your employment with Freddie Mac. You agree that this notice 

requirement shall remain in effect for twelve (12) months following the termination of your Freddie Mac 

employment.

C. Contact With Future Employers. You agree that, in order to assure the continued confidentiality of the 

Confidential Information, Freddie Mac may correspond with your future employers to advise them generally of 

your exposure to and knowledge of Confidential Information, and your obligations and responsibilities regarding 

the Confidential Information. You understand and agree that any such contact may include a request for

3
assurance and confirmation from such employer(s) that you will not disclose Confidential Information to such 

employer(s), nor will such employer(s) permit any use whatsoever of the Confidential Information. 

D. Participation in Business Transactions Involving Freddie Mac. In order to protect Freddie Mac’s Confidential 

Information as defined herein, after your separation of employment from Freddie Mac, you are prohibited from 

participating directly or indirectly in any Business Transaction involving Freddie Mac, on behalf of yourself or a 

third party, for a period of ninety (90) calendar days following your date of termination of employment. For 

purposes of this paragraph, “Business Transaction” shall mean business engagements between Freddie Mac and 

third parties involving the purchase or sale of securities, properties or mortgages. Questions regarding the scope 

of this prohibition should be directed to the Compliance Helpline. 

VII. Consideration Given to You

In exchange for agreeing to be bound by the terms, conditions, and restrictions stated in this Agreement, Freddie 

Mac will provide you with:

A. Employment (offer of employment or continued employment), and

B. Participation in either Freddie Mac’s Incentive Program for Vice Presidents and Non-Officers (if you are 

a Vice President), or Freddie Mac’s Executive Management Compensation Program (if you are a Senior 

Vice President or above).

which you agree is adequate consideration for your agreement to be bound by the provisions of this Agreement.

VIII. Reservation of Rights

You agree that nothing in this Agreement constitutes a contract or commitment by Freddie Mac to continue your 

employment in any job position for any period of time, nor does anything in this Agreement limit in any way 

Freddie Mac’s right to terminate your employment at any time for any reason.

IX. Absence of Any Conflict of Interest

You represent that you do not have any confidential information, trade secrets or other proprietary information 

that you obtained as the result of your employment with another employer that you will be using in your position 

at Freddie Mac. You also represent that you are not subject to any employment, confidentiality or stock grant 

agreements, or any other restrictions or limitations imposed by a prior employer, which would affect your ability 

to perform the duties and responsibilities for Freddie Mac in the job position offered, and further represent that 

you have provided Freddie Mac with copies of any non-competition, non-solicitation or similar agreements or 

limitations that have not expired, so that Freddie Mac can make an independent judgment that your employment 

with Freddie Mac is not inconsistent with any of its terms.

X. Enforcement

A. You acknowledge that during your employment with Freddie Mac, you may be subject to corrective 

action, up to and including termination of employment, for your breach or threat of breach of any provision of this 

Agreement. You further agree that, following the conclusion of your employment with Freddie Mac, Freddie 

Mac may contact your future employers or take other legal steps necessary to protect Freddie Mac Confidential 

Information from improper use or disclosure. 

B. You acknowledge that in the event that you breach any provision of this Agreement during or after your 

employment with Freddie Mac, you may be subject to a recapture or forfeiture of i) any incentive pay under the 

Incentive Program for Vice Presidents and Non-Officers or ii) any Deferred Salary pay under the Executive 

Management Compensation Program, notwithstanding the terms of any program, plan, agreement or award to the

4
contrary. Such recapture or forfeiture shall be limited to such pay earned within three years prior to or two years 

after the date of the breach, or any severance pay paid or payable to you by Freddie Mac, This recapture and 

forfeiture provision shall not apply to incentive, Deferred Salary or severance pay paid or earned prior to 2021. 

The Board of Directors, in the case of senior officers, and the CEO, in the case of vice presidents, in the good 

faith exercise of their sole discretion shall determine the appropriate dollar amount and type of compensation to 

be recaptured from and/or forfeited by you, if any. The Board of Directors, in the case of senior officers, and the 

CEO, in the case of vice presidents, will consider certain factors when determining the dollar amount for 

recapture and forfeiture including: materiality of the violation and proportionality of the violation as compared to 

the amount of compensation subject to recapture and forfeiture.

C. You agree that irreparable injury will result to Freddie Mac’s business interests in the event of breach or 

threatened breach of this Agreement, the full extent of Freddie Mac’s damages will be impossible to ascertain, 

and monetary damages will not be an adequate remedy for Freddie Mac. Therefore, you agree that in the event of 

a breach or threat of breach of any provision(s) of this Agreement, Freddie Mac, in addition to any other relief 

available, shall be entitled to temporary, preliminary, and permanent equitable relief to restrain any such breach or 

threat of breach by you and all persons acting for and/or in concert with you, without the necessity of posting 

bond or security, which you expressly waive.

D. You agree that each of your obligations specified in this Agreement is a separate and independent 

covenant, and that all of your obligations set forth herein shall survive any termination, for any reason, of your 

Freddie Mac employment. To the extent that any provision of this Agreement is determined by a court of 

competent jurisdiction to be unenforceable because it is overbroad, that provision shall be limited and enforced to 

the extent permitted by applicable law. Should any provision of this Agreement be declared or determined by any 

court of competent jurisdiction to be unenforceable or invalid under applicable law, the validity of the remaining 

obligations will not be affected thereby and only the unenforceable or invalid obligation will be deemed not to be 

a part of this Agreement.

E. This Agreement is governed by, and will be construed in accordance with, the laws of the Commonwealth 

of Virginia, without regard to its or any other jurisdiction’s conflict-of-law provisions. You agree that any action 

related to or arising out of this Agreement shall be brought exclusively in the United States District Court for the 

Eastern District of Virginia, and you hereby irrevocably consent to personal jurisdiction and venue in such court 

and to service of process by United States Mail or express courier service in any such action.

F. If any dispute(s) arise(s) between Freddie Mac and you with respect to any matter which is the subject of 

this Agreement, the prevailing party in such dispute(s) shall be entitled to recover from the other party all of its 

costs and expenses, including its reasonable attorneys’ fees.

XI. At-Will Employment Relationship

Nothing in this Agreement is intended or shall be construed to abrogate the “at will” employment relationship 

between you and Freddie Mac, and both you and Freddie Mac retain the right to terminate the employment 

relationship at any time for any lawful reason with or without notice.

5
RESTRICTIVE COVENANT AND CONFIDENTIALITY AGREEMENT

In exchange for the mutual promises and consideration set forth below, this Restrictive Covenant and Confidentiality 

Agreement (“Agreement”) is entered into by and between the Federal Home Loan Mortgage Corporation (“Freddie 

Mac” or “Company”) and the undersigned employee (“you”), effective on the date you assign a personal signature at 

the conclusion of this Agreement. This Agreement supersedes any previous Restrictive Covenant and Confidentiality 

Agreement between the above parties.

I. Definitions

The following terms shall have the meanings indicated when used in this Agreement.

A. Confidential Information: Information or materials in written, oral, magnetic, digital, computer, photographic, 

optical, electronic, or other form, whether now existing or developed or created during the period of your 

employment with Freddie Mac, that constitutes trade secrets and/or proprietary or confidential information. This 

information includes, but is not limited to: (i) all information marked Proprietary or Confidential; (ii) information 

concerning the components, capabilities, and attributes of Freddie Mac’s business plans, methods, and strategies; (iii) 

information relating to tactics, plans, or strategies concerning shareholders, investors, pricing, investment, marketing, 

sales, trading, funding, hedging, modeling, sales and risk management; (iv) financial or tax information and analyses, 

including but not limited to, information concerning Freddie Mac’s capital structure and tax or financial planning; (v) 

confidential information about Freddie Mac’s customers, borrowers, employees, or others; (vi) pricing and quoting 

information, policies, procedures, and practices; (vii) confidential customer lists; (viii) proprietary algorithms; (ix) 

confidential contract terms; (x) confidential information concerning Freddie Mac’s policies, procedures, and practices 

or the way in which Freddie Mac does business; (xi) proprietary or confidential data bases, including their structure 

and content; (xii) proprietary Freddie Mac business software, including its design, specifications and documentation; 

(xiii) information about Freddie Mac products, programs, and services which has not yet been made public; (xiv) 

confidential information about Freddie Mac’s dealings with third parties, including dealers, customers, vendors, and 

regulators; and/or (xv) confidential information belonging to third parties to which you received access in connection 

with your employment with Freddie Mac. Confidential Information does not include general skills, experience, or 

knowledge acquired in connection with your employment with Freddie Mac that otherwise are generally known to 

the public or within the industry or trade in which Freddie Mac operates.

B. Covered Employees: All Freddie Mac employees who a) have had regular contact with a Covered Entity, and b) 

have exercised Significant Influence over business decisions regarding such an entity. 

C. Covered Entities: Freddie Mac seller/servicers, counterparties, business partners or suppliers.

D. Significant Influence: Making business decisions regarding a Covered Entity, as to whether to do business; the 

frequency of the business; the volume of the business; or the primary terms of the business; or regularly 

recommending such business decisions if the recommendations are usually adopted.

E. Seek or Have Sought To Do Business: Participated in a Request for Proposals (“RFP”) process or other formal 

procurement process in which specific business proposals are made. Non-specific communications (such as 

unsolicited emails and calls) are not covered.

Exhibit 10.2
II. Compliance with the Code of Conduct and Corporate Policies & Procedures, Including the Personal 

Investments Policy, Following Commencement of Employment With Freddie Mac

As a Freddie Mac employee, you will be subject to Freddie Mac’s Code of Conduct (“Code”) and to Corporate Policy 

3-206, Personal Investments Policy (“Policy”) that, among other things, limit the investment activities of Freddie 

Mac employees. You agree to fully comply with the Code and the Policy, copies of which are enclosed for your 

review. 

You agree to consult with Freddie Mac’s Chief Compliance Officer as soon as practical prior to beginning 

employment with Freddie Mac about any investments that you or a “covered household member,” as that term is

defined in the Policy, may have that may be prohibited by the Policy. You also agree to disclose prior to beginning 

employment with Freddie Mac any other matter or situation that may create a conflict of interest as such term is 

defined in the Code. 

In addition, prior to beginning employment with Freddie Mac, you agree to disclose to Freddie Mac's Human 

Resources Division the terms of any employment, confidentiality or stock grant agreements to which you may 

currently be subject that may affect your future employment or recruiting activities so that Freddie Mac may ensure 

that your employment by Freddie Mac and conduct as a Freddie Mac employee are not inconsistent with any of their 

terms. 

III. Non-Competition

A. Non-Compete Provision. You recognize that as a result of your employment with Freddie Mac, you have access 

to and knowledge of Confidential Information, the improper disclosure or use of which would result in grave 

competitive harm to Freddie Mac. Therefore, you agree that neither during your employment with Freddie Mac, nor 

for the twelve (12) months immediately following termination of your employment for any reason, will you consider 

offers of employment from, seek or accept employment with, or otherwise directly or indirectly provide professional 

services to Fannie Mae or a Federal Home Loan Bank (including the Office of Finance), if you will be rendering 

duties, responsibilities or services for any such entity that are of the type and nature rendered or performed by you 

during the past two years of your employment with Freddie Mac. You acknowledge and agree that this covenant has 

unique, substantial and immeasurable value to Freddie Mac, that you have sufficient skills to provide a livelihood for 

yourself while this covenant remains in force, and that this covenant will not interfere with your ability to work 

consistent with your experience, training and education. This non-competition covenant applies regardless of 

whether your employment is terminated by you, by Freddie Mac, or by a joint decision. 

B. Application to Attorneys. If you are a licensed attorney, this non-competition covenant shall be interpreted in a 

manner consistent with any rule applicable to a licensed legal professional in the jurisdiction(s) of your licensure or 

registration that concerns your employment as counsel with, or provision of legal services to, any entity identified 

herein.

IV. Post-Employment Prohibitions From Working on Matters Involving Freddie Mac

A. Principal Cooling Off Period

1. Participation in Mortgage Finance Transactions Involving Freddie Mac. After your separation of employment 

from Freddie Mac, you are prohibited from participating directly (or indirectly, by explicitly directing others in their 

direct participation in transactional activities) in any Mortgage Finance Transaction involving Freddie Mac, on behalf 

of yourself or a third party, for a period of six months following your separation from employment. For purposes of 

this paragraph, “Mortgage Finance Transaction” shall mean business engagements between Freddie Mac and third 

parties involving the purchase or sale of securities, properties or mortgages. Other than the specific restriction 

described above, this Agreement shall not be construed as restricting your ability to be employed by, advise, or 

interact in a manner consistent with normal business interactions with people or entities that do transact with Freddie 

Mac. Questions regarding the scope of this prohibition should be directed to the Compliance & Ethics Helpline 

(www.FreddieMacEthicsHelpline.com or 877-301-2633).

2
B. Additional Cooling Off Period for Covered Employees

1. Cooling Off Period. If you are a Covered Employee at the time of your separation from employment with Freddie 

Mac, and accept employment or other payment for services with a Covered Entity over which you had regular contact 

and Significant Influence within six months preceding your separation of employment from Freddie Mac, you are 

prohibited from participating directly (or indirectly, by explicitly directing others to participate) in any business 

matter or transaction involving Freddie Mac, on behalf of such entity, for a period of six months following your date 

of separation from employment. 

2. Entities That Seek or Have Sought To Do Business With Freddie Mac. If you are a Covered Employee at the time 

of your separation from employment with Freddie Mac, and accept employment or other payment for services with a 

business entity over which you had regular contact and Significant Influence, and that entity then Seeks or Has 

Sought To Do Business with Freddie Mac within six months preceding your separation of employment from Freddie 

Mac, you are prohibited from participating directly (or indirectly, by explicitly directing others to participate) in any 

business matter or transaction involving Freddie Mac, on behalf of such entity, for a period of six months following 

your date of separation from employment. 

3. Entities That Are Created After Your Separation of Employment From Freddie Mac. If you are a Covered 

Employee at the time of your separation from employment with Freddie Mac, and accept employment or other 

payment for services with a business entity created after your separation from Freddie Mac that does business with 

Freddie Mac, you are prohibited from participating directly (or indirectly, by explicitly directing others to 

participate), on behalf of such entity, in any business matter or transaction involving Freddie Mac as to which you 

would have had Significant Influence, for a period of six months following your date of separation from employment. 

4. Matter-Based Conflicts. If you are a Covered Employee at the time of your separation from employment with 

Freddie Mac, you are prohibited from representing any person (including yourself) or entity with respect to any 

matter involving Freddie Mac as to which you had direct or substantial involvement while employed by Freddie Mac, 

for six months following your separation from employment with Freddie Mac.

5. Interpretive Review Process. If you are a Covered Employee, you may contact the Compliance & Ethics Helpline 

at any time to seek an interpretive review from the Ethics Office of Freddie Mac’s Compliance Department, which 

shall determine whether the Additional Cooling Off Period described above shall apply to a particular position and 

employer you are considering. In making this determination, the Ethics Office shall consider the existence of a 

conflict of interest or risk of significant competitive harm, the extent and duration of your influence, the volume of 

business done with the employer, and other relevant factors. The Ethics Office shall also, to the extent feasible, 

shield your identity as the requestor and maintain confidentiality of the request. If you are a Senior Vice President or 

above, the Ethics Office’s determination shall be subject to the approval of the Chair of the Nominating and 

Governance Committee of the Board of Directors. 

6. Determination Upon Exit or Within Six Months of Your Separation From Employment. If you are a Covered 

Employee at the time of your separation from employment with Freddie Mac, and have not obtained a determination 

from the Ethics Office under the Interpretive Review process detailed above, the Ethics Office will make such a 

determination as to whether the Additional Cooling Off Period described above shall apply to your new position and 

new employer, upon your separation from employment if you have accepted new employment by then, or later once 

you have accepted such new employment. 

V. Non-Solicitation and Non-Recruitment

During your employment with Freddie Mac and for a period of twelve (12) months after your termination date, you 

will not solicit or recruit, attempt to solicit or recruit or assist another in soliciting or recruiting any Freddie Mac 

3
managerial employee (including manager-level, Executive-level, or officer-level employee) with whom you worked, 

or any employee whom you directly or indirectly supervised at Freddie Mac, to leave the employee’s employment 

with Freddie Mac for purposes of employment or for the rendering of professional services. This prohibition against 

solicitation does not apply if Freddie Mac has notified the employee being solicited or recruited that his/her 

employment with the Company will be terminated pursuant to a corporate reorganization, reduction-in-force, 

involuntary termination or voluntary early retirement program.

If you are a licensed lawyer, this non-solicitation covenant shall be interpreted in a manner consistent with any rule 

applicable to a licensed legal professional in the jurisdiction(s) of your licensure or registration.

VI. Treatment of Confidential Information During and Following Employment With Freddie Mac

A. Non-Disclosure. You recognize that Freddie Mac is engaged in an extremely competitive business and that, in 

the course of performing your job duties, you will have access to and gain knowledge about Confidential 

Information. You further recognize the importance of carefully protecting this Confidential Information in order 

for Freddie Mac to compete successfully. Therefore, you agree that both during and following your employment 

with Freddie Mac, you will neither divulge Confidential Information to any persons, including to other Freddie 

Mac employees who do not have a Freddie Mac business-related need to know, nor make use of the Confidential 

Information for your own benefit or for the benefit of anyone else other than Freddie Mac. You further agree to 

take all reasonable precautions to prevent the disclosure of Confidential Information to unauthorized persons or 

entities, and to comply with all Company policies, procedures, and instructions regarding the treatment of such 

information.

B. Disclosure of Trade Secrets to Government. As required by federal law, and notwithstanding anything to the 

contrary in this Agreement:

i) You shall not be held criminally or civilly liable under any Federal or State trade secret law for the 

disclosure of a trade secret that is made in confidence to a Federal, State, or local government official or to 

an attorney solely for the purpose of reporting or investigating a suspected violation of law.

ii) You shall not be held criminally or civilly liable under any Federal or State trade secret law for the 

disclosure of a trade secret that is made in a complaint or other document filed in a lawsuit or other 

proceeding, if the filing is made under seal.

iii) If you file a lawsuit for retaliation by Freddie Mac for reporting a suspected violation of law, you may (a) 

disclose trade secrets to your attorney, and (b) use the trade secret information in the court proceeding if 

you file any document containing the trade secret under seal and do not disclose the trade secret except 

pursuant to court order.

C. Ability to Enforce Agreement and Assist Government Investigations. Nothing in this Agreement prohibits or 

otherwise restricts you from: (1) making any disclosure of information required by law; (2) assisting any regulatory 

or law enforcement agency or legislative body to the extent you maintain a legal right to do so notwithstanding this 

Agreement; (3) filing, testifying, participating in or otherwise assisting in a proceeding relating to the alleged 

violation of any federal, state, or local law, regulation, or rule, to the extent you maintain a legal right to do so 

notwithstanding this Agreement; or (4) filing, testifying, participating in or otherwise assisting the Securities and 

Exchange Commission or any other proper authority in a proceeding relating to allegations of fraud.

VII. Additional Post-Employment Obligations

A. Return of Materials. You agree that upon termination of your employment with Freddie Mac for any reason 

whatsoever, you will deliver to your immediate supervisor all tangible materials embodying Confidential 

Information, including, but not limited to, any documentation, records, listings, notes, files, data, sketches, 

memoranda, models, accounts, reference materials, samples, machine-readable media, computer disks, tapes, and 

equipment which in any way relate to Confidential Information, whether developed by you or not. You further agree 

not to retain any copies of any materials embodying Confidential Information.

4
B. Disclosure of Future Employment. To enable Freddie Mac to monitor compliance with the obligations imposed 

by this Agreement, you further agree to notify Freddie Mac by email to Term_notification@freddiemac.com the 

identity of your subsequent employer(s) and your prospective job title and responsibilities prior to beginning 

employment, if you did not disclose this information to the Human Resources Division at the conclusion of your 

employment with Freddie Mac. You agree that this notice requirement shall remain in effect for twelve (12) months 

following the termination of your Freddie Mac employment.

C. Contact With Future Employers. You agree that, in order to assure the continued confidentiality of the 

Confidential Information, Freddie Mac may correspond with your future employers to advise them generally of your 

exposure to and knowledge of Confidential Information, and your obligations and responsibilities regarding the 

Confidential Information. You understand and agree that any such contact may include a request for assurance and 

confirmation from such employer(s) that you will not disclose Confidential Information to such employer(s), nor will 

such employer(s) permit any use whatsoever of the Confidential Information. 

VIII. Consideration Given to You

In exchange for agreeing to be bound by the terms, conditions, and restrictions stated in this Agreement, Freddie Mac 

will provide you with employment as Chief Executive Officer of Freddie Mac, which you agree is adequate 

consideration for your agreement to be bound by the provisions of this Agreement.

IX. Reservation of Rights

You agree that nothing in this Agreement constitutes a contract or commitment by Freddie Mac to continue your 

employment in any job position for any period of time, nor does anything in this Agreement limit in any way Freddie 

Mac’s right to terminate your employment at any time for any reason.

X. Absence of Any Conflict of Interest

You represent that you do not have any confidential information, trade secrets or other proprietary information that 

you obtained as the result of your employment with another employer that you will be using in your position at 

Freddie Mac. You also represent that you are not subject to any employment, confidentiality or stock grant 

agreements, or any other restrictions or limitations imposed by a prior employer, which would affect your ability to 

perform the duties and responsibilities for Freddie Mac in the job position offered, and further represent that you have 

provided Freddie Mac with copies of any non-competition, non-solicitation or similar agreements or limitations that 

have not expired, so that Freddie Mac can make an independent judgment that your employment with Freddie Mac is 

not inconsistent with any of its terms.

XI. Enforcement

A. You acknowledge that during your employment with Freddie Mac, you may be subject to corrective action, 

up to and including termination of employment, for your breach or threat of breach of any provision of this 

Agreement. You further agree that, following the conclusion of your employment with Freddie Mac, Freddie Mac 

may contact your future employers or take other legal steps necessary to protect Freddie Mac Confidential 

Information from improper use or disclosure, such as seeking injunctive relief or asserting legal claims.

B. You agree that in the event that you breach Section IV(A) or IV(B) of this Agreement, Freddie Mac may 

request that your new employer recuse you from any business transactions with Freddie Mac for six months. You 

further agree that Freddie Mac may also seek injunctive relief or assert legal claims such as breach of contract or 

tortious interference with contract, against you or your new employer. Finally, you agree that Freddie Mac may bar 

your new employer from doing business with Freddie Mac for a period of time.

5
C. You acknowledge that if you are a Senior Vice President or above, in the event that you breach any provision 

of this Agreement during or after your employment with Freddie Mac, you may be subject to a forfeiture of any 

unpaid Deferred Salary you are eligible for under the Executive Management Compensation Program, 

notwithstanding the terms of any program, plan, agreement or award to the contrary, to the extent permitted by 

applicable law. Such forfeiture shall be limited to such pay earned within six months prior to your separation from 

employment, or any unpaid severance pay you are eligible for from Freddie Mac. This forfeiture provision shall not 

apply to Deferred Salary earned prior to June 1, 2021. The Board of Directors, in the good faith exercise of their sole 

discretion, shall determine the appropriate dollar amount and type of compensation to be forfeited by you, if any. 

The Board of Directors will consider certain factors when determining the dollar amount of any forfeiture including: 

materiality of the violation and proportionality of the violation as compared to the amount of compensation subject to 

forfeiture.

D. You agree that irreparable injury will result to Freddie Mac’s business interests in the event of breach or 

threatened breach of this Agreement, the full extent of Freddie Mac’s damages will be impossible to ascertain, and 

monetary damages will not be an adequate remedy for Freddie Mac. Therefore, you agree that in the event of a 

breach or threat of breach of any provision(s) of this Agreement, Freddie Mac, in addition to any other relief 

available, shall be entitled to temporary, preliminary, and permanent equitable relief to restrain any such breach or 

threat of breach by you and all persons acting for and/or in concert with you, without the necessity of posting bond or 

security, which you expressly waive.

E. You agree that each of your obligations specified in this Agreement is a separate and independent covenant, 

and that all of your obligations set forth herein shall survive any termination, for any reason, of your Freddie Mac 

employment. To the extent that any provision of this Agreement is determined by a court of competent jurisdiction to 

be unenforceable because it is overbroad, that provision shall be limited and enforced to the extent permitted by 

applicable law. Should any provision of this Agreement be declared or determined by any court of competent 

jurisdiction to be unenforceable or invalid under applicable law, the validity of the remaining obligations will not be 

affected thereby and only the unenforceable or invalid obligation will be deemed not to be a part of this Agreement. 

F. This Agreement is governed by, and will be construed in accordance with, the laws of the Commonwealth of 

Virginia, without regard to its or any other jurisdiction’s conflict-of-law provisions. You agree that any action related 

to or arising out of this Agreement shall be brought exclusively in the United States District Court for the Eastern 

District of Virginia, and you hereby irrevocably consent to personal jurisdiction and venue in such court and to 

service of process by United States Mail or express courier service in any such action.

G. If any dispute(s) arise(s) between Freddie Mac and you with respect to any matter which is the subject of this 

Agreement, the prevailing party in such dispute(s) shall be entitled to recover from the other party all of its costs and 

expenses, including its reasonable attorneys’ fees.

XII. At-Will Employment Relationship

Nothing in this Agreement is intended or shall be construed to abrogate the “at will” employment relationship 

between you and Freddie Mac, and both you and Freddie Mac retain the right to terminate the employment 

relationship at any time for any lawful reason with or without notice.

By: _/s/ Michael DeVito________________ Date: 06/04/2021 

Michael DeVito

6
RESTRICTIVE COVENANT AND CONFIDENTIALITY AGREEMENT

In exchange for the mutual promises and consideration set forth below, this Restrictive Covenant and Confidentiality 

Agreement (“Agreement”) is entered into by and between the Federal Home Loan Mortgage Corporation (“Freddie 

Mac” or “Company”) and the undersigned employee (“you”), effective on the date you assign a personal signature at 

the conclusion of this Agreement. This Agreement supersedes any previous Restrictive Covenant and Confidentiality 

Agreement between the above parties.

I. Definitions

The following terms shall have the meanings indicated when used in this Agreement.

A. Confidential Information: Information or materials in written, oral, magnetic, digital, computer, photographic, 

optical, electronic, or other form, whether now existing or developed or created during the period of your employment 

with Freddie Mac, that constitutes trade secrets and/or proprietary or confidential information. This information 

includes, but is not limited to: (i) all information marked Proprietary or Confidential; (ii) information concerning the 

components, capabilities, and attributes of Freddie Mac’s business plans, methods, and strategies; (iii) information 

relating to tactics, plans, or strategies concerning shareholders, investors, pricing, investment, marketing, sales, 

trading, funding, hedging, modeling, sales and risk management; (iv) financial or tax information and analyses, 

including but not limited to, information concerning Freddie Mac’s capital structure and tax or financial planning; (v) 

confidential information about Freddie Mac’s customers, borrowers, employees, or others; (vi) pricing and quoting 

information, policies, procedures, and practices; (vii) confidential customer lists; (viii) proprietary algorithms; (ix) 

confidential contract terms; (x) confidential information concerning Freddie Mac’s policies, procedures, and practices 

or the way in which Freddie Mac does business; (xi) proprietary or confidential data bases, including their structure 

and content; (xii) proprietary Freddie Mac business software, including its design, specifications and documentation; 

(xiii) information about Freddie Mac products, programs, and services which has not yet been made public; (xiv) 

confidential information about Freddie Mac’s dealings with third parties, including dealers, customers, vendors, and 

regulators; and/or (xv) confidential information belonging to third parties to which you received access in connection 

with your employment with Freddie Mac. Confidential Information does not include general skills, experience, or 

knowledge acquired in connection with your employment with Freddie Mac that otherwise are generally known to the 

public or within the industry or trade in which Freddie Mac operates.

B. Covered Employees: All Freddie Mac employees who a) have had regular contact with a Covered Entity, and b) 

have exercised Significant Influence over business decisions regarding such an entity. 

C. Covered Entities: Freddie Mac seller/servicers, counterparties, business partners or suppliers.

D. Significant Influence: Making business decisions regarding a Covered Entity, as to whether to do business; the 

frequency of the business; the volume of the business; or the primary terms of the business; or regularly 

recommending such business decisions if the recommendations are usually adopted.

Exhibit 10.3
E. Seek or Have Sought To Do Business: Participated in a Request for Proposals (“RFP”) process or other formal 

procurement process in which specific business proposals are made. Non-specific communications (such as 

unsolicited emails and calls) are not covered.

II. Compliance with the Code of Conduct and Corporate Policies & Procedures, Including the Personal 

Investments Policy, Following Commencement of Employment With Freddie Mac

As a Freddie Mac employee, you will be subject to Freddie Mac’s Code of Conduct (“Code”) and to Corporate Policy 

3-206, Personal Investments Policy (“Policy”) that, among other things, limit the investment activities of Freddie Mac 

employees. You agree to fully comply with the Code and the Policy, copies of which are enclosed for your review. 

You agree to consult with Freddie Mac’s Chief Compliance Officer as soon as practical prior to beginning 

employment with Freddie Mac about any investments that you or a “covered household member,” as that term is

defined in the Policy, may have that may be prohibited by the Policy. You also agree to disclose prior to beginning 

employment with Freddie Mac any other matter or situation that may create a conflict of interest as such term is 

defined in the Code. 

In addition, prior to beginning employment with Freddie Mac, you agree to disclose to Freddie Mac's Human 

Resources Division the terms of any employment, confidentiality or stock grant agreements to which you may 

currently be subject that may affect your future employment or recruiting activities so that Freddie Mac may ensure 

that your employment by Freddie Mac and conduct as a Freddie Mac employee are not inconsistent with any of their 

terms. 

III. Non-Competition

A. Non-Compete Provision. You recognize that as a result of your employment with Freddie Mac, you have access to 

and knowledge of Confidential Information, the improper disclosure or use of which would result in grave competitive 

harm to Freddie Mac. Therefore, you agree that neither during your employment with Freddie Mac, nor for the twelve 

(12) months immediately following termination of your employment for any reason, will you consider offers of 

employment from, seek or accept employment with, or otherwise directly or indirectly provide professional services to 

Fannie Mae or a Federal Home Loan Bank (including the Office of Finance), if you will be rendering duties, 

responsibilities or services for any such entity that are of the type and nature rendered or performed by you during the 

past two years of your employment with Freddie Mac. You acknowledge and agree that this covenant has unique, 

substantial and immeasurable value to Freddie Mac, that you have sufficient skills to provide a livelihood for yourself 

while this covenant remains in force, and that this covenant will not interfere with your ability to work consistent with 

your experience, training and education. This non-competition covenant applies regardless of whether your 

employment is terminated by you, by Freddie Mac, or by a joint decision. 

B. Application to Attorneys. If you are a licensed attorney, this non-competition covenant shall be interpreted in a 

manner consistent with any rule applicable to a licensed legal professional in the jurisdiction(s) of your licensure or 

registration that concerns your employment as counsel with, or provision of legal services to, any entity identified 

herein.

IV. Post-Employment Prohibitions From Working on Matters Involving Freddie Mac

A. Principal Cooling Off Period

1. Participation in Mortgage Finance Transactions Involving Freddie Mac. After your separation of employment 

from Freddie Mac, you are prohibited from participating directly (or indirectly, by explicitly directing others in their 

direct participation in transactional activities) in any Mortgage Finance Transaction involving Freddie Mac, on behalf 

of yourself or a third party, for a period of six months following your separation from employment. For purposes of 

2
this paragraph, “Mortgage Finance Transaction” shall mean business engagements between Freddie Mac and third 

parties involving the purchase or sale of securities, properties or mortgages. Other than the specific restriction 

described above, this Agreement shall not be construed as restricting your ability to be employed by, advise, or 

interact in a manner consistent with normal business interactions with people or entities that do transact with Freddie 

Mac. Questions regarding the scope of this prohibition should be directed to the Compliance & Ethics Helpline 

(www.FreddieMacEthicsHelpline.com or 877-301-2633).

B. Additional Cooling Off Period for Covered Employees

1. Cooling Off Period. If you are a Covered Employee at the time of your separation from employment with Freddie 

Mac, and accept employment or other payment for services with a Covered Entity over which you had regular contact 

and Significant Influence within six months preceding your separation of employment from Freddie Mac, you are 

prohibited from participating directly (or indirectly, by explicitly directing others to participate) in any business matter 

or transaction involving Freddie Mac, on behalf of such entity, for a period of six months following your date of 

separation from employment. 

2. Entities That Seek or Have Sought To Do Business With Freddie Mac. If you are a Covered Employee at the time 

of your separation from employment with Freddie Mac, and accept employment or other payment for services with a 

business entity over which you had regular contact and Significant Influence, and that entity then Seeks or Has Sought 

To Do Business with Freddie Mac within six months preceding your separation of employment from Freddie Mac, 

you are prohibited from participating directly (or indirectly, by explicitly directing others to participate) in any 

business matter or transaction involving Freddie Mac, on behalf of such entity, for a period of six months following 

your date of separation from employment. 

3. Entities That Are Created After Your Separation of Employment From Freddie Mac. If you are a Covered 

Employee at the time of your separation from employment with Freddie Mac, and accept employment or other 

payment for services with a business entity created after your separation from Freddie Mac that does business with 

Freddie Mac, you are prohibited from participating directly (or indirectly, by explicitly directing others to participate), 

on behalf of such entity, in any business matter or transaction involving Freddie Mac as to which you would have had 

Significant Influence, for a period of six months following your date of separation from employment. 

4. Matter-Based Conflicts. If you are a Covered Employee at the time of your separation from employment with 

Freddie Mac, you are prohibited from representing any person (including yourself) or entity with respect to any matter 

involving Freddie Mac as to which you had direct or substantial involvement while employed by Freddie Mac, for six 

months following your separation from employment with Freddie Mac.

5. Interpretive Review Process. If you are a Covered Employee, you may contact the Compliance & Ethics Helpline 

at any time to seek an interpretive review from the Ethics Office of Freddie Mac’s Compliance Department, which 

shall determine whether the Additional Cooling Off Period described above shall apply to a particular position and 

employer you are considering. In making this determination, the Ethics Office shall consider the existence of a 

conflict of interest or risk of significant competitive harm, the extent and duration of your influence, the volume of 

business done with the employer, and other relevant factors. The Ethics Office shall also, to the extent feasible, shield 

your identity as the requestor and maintain confidentiality of the request. If you are a Senior Vice President or above, 

the Ethics Office’s determination shall be subject to the approval of the Chair of the Nominating and Governance 

Committee of the Board of Directors. 

6. Determination Upon Exit or Within Six Months of Your Separation From Employment. If you are a Covered 

Employee at the time of your separation from employment with Freddie Mac, and have not obtained a determination 

from the Ethics Office under the Interpretive Review process detailed above, the Ethics Office will make such a 

determination as to whether the Additional Cooling Off Period described above shall apply to your new position and

3
new employer, upon your separation from employment if you have accepted new employment by then, or later once 

you have accepted such new employment. 

V. Non-Solicitation and Non-Recruitment

During your employment with Freddie Mac and for a period of twelve (12) months after your termination date, you 

will not solicit or recruit, attempt to solicit or recruit or assist another in soliciting or recruiting any Freddie Mac 

managerial employee (including manager-level, Executive-level, or officer-level employee) with whom you worked, 

or any employee whom you directly or indirectly supervised at Freddie Mac, to leave the employee’s employment 

with Freddie Mac for purposes of employment or for the rendering of professional services. This prohibition against 

solicitation does not apply if Freddie Mac has notified the employee being solicited or recruited that his/her 

employment with the Company will be terminated pursuant to a corporate reorganization, reduction-in-force, 

involuntary termination or voluntary early retirement program.

If you are a licensed lawyer, this non-solicitation covenant shall be interpreted in a manner consistent with any rule 

applicable to a licensed legal professional in the jurisdiction(s) of your licensure or registration.

VI. Treatment of Confidential Information During and Following Employment With Freddie Mac

A. Non-Disclosure. You recognize that Freddie Mac is engaged in an extremely competitive business and that, in the 

course of performing your job duties, you will have access to and gain knowledge about Confidential Information. 

You further recognize the importance of carefully protecting this Confidential Information in order for Freddie 

Mac to compete successfully. Therefore, you agree that both during and following your employment with Freddie 

Mac, you will neither divulge Confidential Information to any persons, including to other Freddie Mac employees 

who do not have a Freddie Mac business-related need to know, nor make use of the Confidential Information for 

your own benefit or for the benefit of anyone else other than Freddie Mac. You further agree to take all 

reasonable precautions to prevent the disclosure of Confidential Information to unauthorized persons or entities, 

and to comply with all Company policies, procedures, and instructions regarding the treatment of such 

information.

B. Disclosure of Trade Secrets to Government. As required by federal law, and notwithstanding anything to the 

contrary in this Agreement:

i) You shall not be held criminally or civilly liable under any Federal or State trade secret law for the 

disclosure of a trade secret that is made in confidence to a Federal, State, or local government official or to 

an attorney solely for the purpose of reporting or investigating a suspected violation of law.

ii) You shall not be held criminally or civilly liable under any Federal or State trade secret law for the 

disclosure of a trade secret that is made in a complaint or other document filed in a lawsuit or other 

proceeding, if the filing is made under seal.

iii) If you file a lawsuit for retaliation by Freddie Mac for reporting a suspected violation of law, you may (a) 

disclose trade secrets to your attorney, and (b) use the trade secret information in the court proceeding if you 

file any document containing the trade secret under seal and do not disclose the trade secret except pursuant 

to court order.

C. Ability to Enforce Agreement and Assist Government Investigations. Nothing in this Agreement prohibits or 

otherwise restricts you from: (1) making any disclosure of information required by law; (2) assisting any regulatory or 

law enforcement agency or legislative body to the extent you maintain a legal right to do so notwithstanding this 

Agreement; (3) filing, testifying, participating in or otherwise assisting in a proceeding relating to the alleged violation 

of any federal, state, or local law, regulation, or rule, to the extent you maintain a legal right to do so notwithstanding 

this Agreement; or (4) filing, testifying, participating in or otherwise assisting the Securities and Exchange 

Commission or any other proper authority in a proceeding relating to allegations of fraud.

4
VII. Additional Post-Employment Obligations

A. Return of Materials. You agree that upon termination of your employment with Freddie Mac for any reason 

whatsoever, you will deliver to your immediate supervisor all tangible materials embodying Confidential Information, 

including, but not limited to, any documentation, records, listings, notes, files, data, sketches, memoranda, models, 

accounts, reference materials, samples, machine-readable media, computer disks, tapes, and equipment which in any 

way relate to Confidential Information, whether developed by you or not. You further agree not to retain any copies 

of any materials embodying Confidential Information.

B. Disclosure of Future Employment. To enable Freddie Mac to monitor compliance with the obligations imposed 

by this Agreement, you further agree to notify Freddie Mac by email to Term_notification@freddiemac.com the 

identity of your subsequent employer(s) and your prospective job title and responsibilities prior to beginning 

employment, if you did not disclose this information to the Human Resources Division at the conclusion of your 

employment with Freddie Mac. You agree that this notice requirement shall remain in effect for twelve (12) months 

following the termination of your Freddie Mac employment.

C. Contact With Future Employers. You agree that, in order to assure the continued confidentiality of the 

Confidential Information, Freddie Mac may correspond with your future employers to advise them generally of your 

exposure to and knowledge of Confidential Information, and your obligations and responsibilities regarding the 

Confidential Information. You understand and agree that any such contact may include a request for assurance and 

confirmation from such employer(s) that you will not disclose Confidential Information to such employer(s), nor will 

such employer(s) permit any use whatsoever of the Confidential Information. 

VIII. Consideration Given to You

In exchange for agreeing to be bound by the terms, conditions, and restrictions stated in this Agreement, Freddie Mac 

will provide you with:

A. Employment (offer of employment or continued employment), and

B. Participation in either Freddie Mac’s 2022 Incentive Program for Vice Presidents and Non-Officers (if you are 

a Vice President), or Freddie Mac’s 2022 Executive Management Compensation Program (if you are a Senior 

Vice President or above, other than the Chief Executive Officer).

which you agree is adequate consideration for your agreement to be bound by the provisions of this Agreement.

IX. Reservation of Rights

You agree that nothing in this Agreement constitutes a contract or commitment by Freddie Mac to continue your 

employment in any job position for any period of time, nor does anything in this Agreement limit in any way Freddie 

Mac’s right to terminate your employment at any time for any reason.

X. Absence of Any Conflict of Interest

You represent that you do not have any confidential information, trade secrets or other proprietary information that 

you obtained as the result of your employment with another employer that you will be using in your position at 

Freddie Mac. You also represent that you are not subject to any employment, confidentiality or stock grant 

agreements, or any other restrictions or limitations imposed by a prior employer, which would affect your ability to 

perform the duties and responsibilities for Freddie Mac in the job position offered, and further represent that you have 

provided Freddie Mac with copies of any non-competition, non-solicitation or similar agreements or limitations that 

have not expired, so that Freddie Mac can make an independent judgment that your employment with Freddie Mac is 

not inconsistent with any of its terms.

5
XI. Enforcement

A. You acknowledge that during your employment with Freddie Mac, you may be subject to corrective action, up 

to and including termination of employment, for your breach or threat of breach of any provision of this Agreement. 

You further agree that, following the conclusion of your employment with Freddie Mac, Freddie Mac may contact 

your future employers or take other legal steps necessary to protect Freddie Mac Confidential Information from 

improper use or disclosure, such as seeking injunctive relief or asserting legal claims.

B. You agree that in the event that you breach Section IV(A) or IV(B) of this Agreement, Freddie Mac may 

request that your new employer recuse you from any business transactions with Freddie Mac for six months. You 

further agree that Freddie Mac may also seek injunctive relief or assert legal claims such as breach of contract or 

tortious interference with contract, against you or your new employer. Finally, you agree that Freddie Mac may bar 

your new employer from doing business with Freddie Mac for a period of time.

C. You acknowledge that if you are a Senior Vice President or above, in the event that you breach any provision 

of this Agreement during or after your employment with Freddie Mac, you may be subject to a forfeiture of any 

unpaid Deferred Salary you are eligible for under the Executive Management Compensation Program, notwithstanding 

the terms of any program, plan, agreement or award to the contrary, to the extent permitted by applicable law. Such 

forfeiture shall be limited to such pay earned within six months prior to your separation from employment, or any 

unpaid severance pay you are eligible for from Freddie Mac. This forfeiture provision shall not apply to Deferred 

Salary earned prior to June 1, 2021. The Board of Directors, in the good faith exercise of their sole discretion, shall 

determine the appropriate dollar amount and type of compensation to be forfeited by you, if any. The Board of 

Directors will consider certain factors when determining the dollar amount of any forfeiture including: materiality of 

the violation and proportionality of the violation as compared to the amount of compensation subject to forfeiture.

D. You agree that irreparable injury will result to Freddie Mac’s business interests in the event of breach or 

threatened breach of this Agreement, the full extent of Freddie Mac’s damages will be impossible to ascertain, and 

monetary damages will not be an adequate remedy for Freddie Mac. Therefore, you agree that in the event of a breach 

or threat of breach of any provision(s) of this Agreement, Freddie Mac, in addition to any other relief available, shall 

be entitled to temporary, preliminary, and permanent equitable relief to restrain any such breach or threat of breach by 

you and all persons acting for and/or in concert with you, without the necessity of posting bond or security, which you 

expressly waive.

E. You agree that each of your obligations specified in this Agreement is a separate and independent covenant, 

and that all of your obligations set forth herein shall survive any termination, for any reason, of your Freddie Mac 

employment. To the extent that any provision of this Agreement is determined by a court of competent jurisdiction to 

be unenforceable because it is overbroad, that provision shall be limited and enforced to the extent permitted by 

applicable law. Should any provision of this Agreement be declared or determined by any court of competent 

jurisdiction to be unenforceable or invalid under applicable law, the validity of the remaining obligations will not be 

affected thereby and only the unenforceable or invalid obligation will be deemed not to be a part of this Agreement. 

F. This Agreement is governed by, and will be construed in accordance with, the laws of the Commonwealth of 

Virginia, without regard to its or any other jurisdiction’s conflict-of-law provisions. You agree that any action related 

to or arising out of this Agreement shall be brought exclusively in the United States District Court for the Eastern 

District of Virginia, and you hereby irrevocably consent to personal jurisdiction and venue in such court and to service 

of process by United States Mail or express courier service in any such action.

G. If any dispute(s) arise(s) between Freddie Mac and you with respect to any matter which is the subject of this 

Agreement, the prevailing party in such dispute(s) shall be entitled to recover from the other party all of its costs and 

expenses, including its reasonable attorneys’ fees.

6
XII. At-Will Employment Relationship

Nothing in this Agreement is intended or shall be construed to abrogate the “at will” employment relationship between 

you and Freddie Mac, and both you and Freddie Mac retain the right to terminate the employment relationship at any 

time for any lawful reason with or without notice.

7
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 June 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: July 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 June 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: July 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 June 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: July 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 June 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: July 29, 2021

/s/ Christian M. Lown

Christian M. Lown

Executive Vice President and Chief Financial Officer