Third Quarter 2017 

Financial Results Supplement

October 31, 2017
© Freddie Mac 2

Corporate Highlights

Financial highlights Key highlights

$ Millions

Note: Totals may not add due to rounding.

 Comprehensive income of $4.7 billion, driven by a $2.9 

billion (after-tax) benefit from a non-agency mortgagerelated securities litigation settlement and continued 

strong underlying business fundamentals.

o Excluding the settlement, comprehensive income 

would have been $1.8 billion which included: 

• Market-related impacts of $0.9 billion (pre-tax), or $0.6 

billion (after-tax) 

• $0.9 billion (pre-tax), or $0.6 billion (after-tax), in 

provision for credit losses attributable to recent 

hurricane activity.

 Adjusted net interest income decreased slightly quarterover-quarter reflecting the mandated decline in the 

mortgage-related investments portfolio.

 Adjusted guarantee fee income increased quarter-overquarter primarily reflecting higher amortization of singlefamily upfront fees driven by an increase in prepayments. 

 Credit quality: Single-family improved year-over-year; 

Multifamily continued to be very strong.

o Slight increase in single-family serious delinquency 

rate quarter-over-quarter due in part to recent 

hurricane activity.

3Q16 2Q17 3Q17

3Q17 vs. 

3Q16

3Q17 vs. 

2Q17

Net interest income $ 3,646 $ 3,379 $ 3,489 $ (157) $ 110

Benefit (provision) for credit losses (113) 422 (716) (603) (1,138)

Derivative gains (losses) (36) (1,096) (678) (642) 418

Other non-interest income (loss) 813 802 6,152 5,339 5,350

Non-interest income 777 (294) 5,474 4,697 5,768

Administrative expense (498) (513) (524) (26) (11)

Other non-interest expense (487) (493) (533) (46) (40)

Non-interest expense (985) (1,006) (1,057) (72) (51)

Pre-tax income 3,325 2,501 7,190 3,865 4,689

Income tax expense (996) (837) (2,519) (1,523) (1,682)

Net income $ 2,329 $ 1,664 $ 4,671 $ 2,342 $ 3,007

Total other comprehensive income (loss), 

net of tax (19) 322 (21) (2) (343)

Comprehensive income $ 2,310 $ 1,986 $ 4,650 $ 2,340 $ 2,664

Non-GAAP Financial Measures1

Adjusted net interest income $ 1,188 $ 1,167 $ 1,146 $ (42) $ (21)

Adjusted guarantee fee income $ 1,775 $ 1,668 $ 1,751 $ (24) $ 83

Portfolio Balances ($ Billions)

Total guarantee portfolio $ 1,882 $ 1,958 $ 1,984 $ 102 $ 26

Total investments portfolio $ 412 $ 366 $ 349 $ (63) $ (17)

Delinquency Rates (%)

Single-family serious delinquency 1.02% 0.85% 0.86% -0.16% 0.01%

Multifamily delinquency 0.01% 0.01% 0.02% 0.01% 0.01%
© Freddie Mac 3

$62

$53

$43

$140.5

$34 $26 $21

2015 2016 2017 Remaining PSPA

Funding

with DTA valuation allowance without DTA valuation allowance

$71.3 $71.3

$91.0

$5.5 $5.0 $8.7

$110.1

2008 - 2014 2015 2016 YTD

2017

Cumulative

Total

Draw Requests from Treasury Dividend Payments to Treasury

Corporate Highlights, continued

Treasury draw requests and dividend payments

$ Billions

DFAST4- Additional draws needed under 

severely adverse scenario

$ Billions

Note: Totals may not add due to rounding.

2

3
© Freddie Mac 4

Key Economic Indicators

National home prices increased by an average of 6.8% 

over the past year5

≤ 0.0% > 0.0 – 3.0% > 3.0 – 6.0% > 6.0%

Quarterly ending interest rates

Unemployment rate and job creation

3.42%

4.32% 4.14%

3.88% 3.83%

1.45%

2.32% 2.39% 2.27% 2.28%

9/30/16 12/31/16 3/31/17 6/30/17 9/30/17

30-year PMMS 10-year LIBOR

239,000

148,000 166,000 187,000

91,000

5.0%

4.7%

4.5% 4.4%

4.2%

3.0%

3.5%

4.0%

4.5%

5.0%

3Q16 4Q16 1Q17 2Q17 3Q17

Average monthly net new jobs (non-farm)

National unemployment rate (as of the last month in each

quarter)

National home prices5,6 have surpassed the 2006 peak

146

168 180

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

United States (Not Seasonally Adjusted)

Freddie Mac House Price Index (December 2000 = 100)

(2006 Peak)
© Freddie Mac 5

$239 $230 $225 $222 $207 

$55 $55 $53 $49 $48 

$14 $14 $13 $12 $12 

$104 $96 $92 $82 $82 

$412 $394 $383 $366 $349 

9/30/16 12/31/16 3/31/17 6/30/17 9/30/17

$291

Single-family

Capital

Markets

Other Investments 

and Cash9

$284

Mortgagerelated 

investments

portfolio7,10,11

$298

$1,733 $1,755 $1,779 $1,784 $1,800 

$149 $158 $164 $174 $184 

$1,882 $1,913 $1,943 $1,958 $1,984 

9/30/16 12/31/16 3/31/17 6/30/17 9/30/17

Single-family credit guarantee portfolio Multifamily guarantee portfolio8

Total Portfolio Balances

$373 $353 $351 $334 $312

$9 $3 $8 $6 $9

$382 $357 $359 $340 $321 

$479 

$407 

9/30/16 12/31/16 3/31/17 6/30/17 9/30/17

Unsecured debt Secured debt Indebtedness limit

Total debt outstanding11,12

$ Billions

Total guarantee portfolio Portfolio balance highlights 7

$ Billions

$308

Multifamily

 Total guarantee portfolio: 

• Single-family - grew $67 billion, or 4% year-overyear, to $1,800 billion.

• Multifamily - grew $35 billion, or 23% year-overyear, to $184 billion.

 Total investments portfolio:

• Mortgage-related investments portfolio 

decreased $41 billion, or 13% year-over-year, to 

$267 billion.

Note: Totals may not add due to rounding.

-15%

Total investments portfolio

$ Billions

PSPA 

2017 Limit 

$288B

$267
© Freddie Mac 6

Single-family Financial Highlights and Key Metrics

$55 $46 $39 $45 $57

$61 $71

$47 $28 $30

$116 $117

$86 $73 $87

47 43 44 44 42

3Q16 4Q16 1Q17 2Q17 3Q17

Purchase UPB Refinance UPB

$1,229 $1,275 $1,317 $1,343 $1,377

$504 $480 $462 $441 $423

$1,733 $1,755 $1,779 $1,784 $1,800

3Q16 4Q16 1Q17 2Q17 3Q17

Core single-family portfolio14 Legacy and relief refinance single-family portfolio

Note: Totals may not add due to rounding.

Single-family financial highlights

$ Millions

Credit guarantee portfolio

$ Billions

New funding volume

$ Billions

Guarantee fees charged on new acquisitions (bps)13

Serious delinquency rates 

+4%

(73%) (74%) (75%)

(71%) 0.19% 0.20% 0.19% 0.18% 0.19%

2.26% 2.28% 2.17% 2.07% 2.14%

1.02% 1.00% 0.92% 0.85% 0.86%

3Q16 4Q16 1Q17 2Q17 3Q17

Core single-family portfolio14

Legacy and relief refinance single-family portfolio

Total15

(77%)

3Q16 2Q17 3Q17

3Q17 vs. 

3Q16

3Q17 vs. 

2Q17

Guarantee fee income $ 1,641 $ 1,506 $1,581 $ (60) $ 75 

Benefit (provision) for credit losses (297) 12 (826) (529) (838)

Administrative expense (330) (332) (353) (23) (21)

Other (364) (17) 17 381 34 

Income tax (expense) benefit (153) (391) (164) (11) 227 

Segment earnings, net of taxes $ 497 $ 778 $ 255 $ (242) $ (523)

Total other comprehensive income (loss), 

net of tax (1) - - 1 - 

Total comprehensive income $ 496 $ 778 $ 255 $ (241) $ (523)
© Freddie Mac 7

$1.5 $1.5 $1.8 $2.2 $2.3

$18.3 $18.3 $19.4

$20.9 $20.3

$3.2 $3.3 $3.6 $4.2 $4.1

$1.4 $1.0 $1.1 $1.4 $1.1

 9/30/16 12/31/16 3/31/17 6/30/17 9/30/17

Mezzanine loss positions: Retained by Freddie Mac

First loss positions: Retained by Freddie Mac

Mezzanine loss positions: Transferred to third parties

First loss positions: Transferred to third parties

Single-family Credit Risk Transfer – STACR / ACIS16

Total Single-family credit guarantee portfolio with 

transferred credit risk

$ Billions

Cumulative Single-family transferred credit risk 

based on outstanding balance at period end

$ Billions

$58

$205

$385

$595

$761

$57

$193

$329

$454

$565

3%

12%

19%

26%

32%

2013 2014 2015 2016 YTD

20173

Reference pool UPB at issuance

Reference pool UPB outstanding

Outstanding reference pool UPB as a 

percentage of total Single-family 

portfolio
© Freddie Mac 8

Multifamily Financial Highlights and Key Metrics

$59 $53 $49 $42 $39

$33 $25 $19 $13 $9

$75 $91 $120 $158 $184

$167 $169

$188

$213

$233

12/31/13 12/31/14 12/31/15 12/31/16 9/30/17

Guarantee Portfolio Mortgage-related Securities Unsecuritized Loans

Total portfolio

$ Billions

0.02 0.15 1.37 

3Q13 3Q14 3Q15 3Q16 3Q17

Freddie Mac (60+ day)

FDIC Insured Institutions (90+ day)

MF CMBS Market (60+ day)

Multifamily market and Freddie Mac delinquency 

rates (%)17

Multifamily financial highlights

$ Millions

Multifamily acquisitions of units by area median 

income (% of eligible units acquired)

+40%

(45%) (54%) (64%) (74%) (79%)

89% 90% 88% 86% 83%

11% 10% 12% 14% 17%

2013 2014 2015 2016 YTD

20173 ≤100% AMI >100% AMI

Note: Totals may not add due to rounding.

3Q16 2Q17 3Q17

3Q17 vs. 

3Q16

3Q17 vs. 

2Q17

Net interest income $ 255 $ 292 $ 342 $ 87 $ 50 

Guarantee fee income 134 162 170 36 8 

Gains (losses) on loans and other non-interest 

income 551 412 183 (368) (229)

Derivative gains (losses) 205 (180) 22 (183) 202 

Administrative expense (89) (95) (98) (9) (3)

Other (2) (6) (33) (31) (27)

Income tax (expense) benefit (310) (196) (212) 98 (16)

Segment earnings, net of taxes $ 744 $ 389 $ 374 $ (370) $ (15)

Total other comprehensive income (loss), net 

of tax 46 73 (4) (50) (77)

Total comprehensive income $ 790 $ 462 $ 370 $ (420) $ (92)
© Freddie Mac 9

Multifamily Key Metrics, continued

Multifamily securitization volume18

$ Billions

$25.9 $30.0 $36.5

$21.1

$2.4

$17.3

$20.3

$24.7 $25.9 $28.3

$47.3

$56.8

$45.8

2013 2014 2015 2016 YTD

20173

Purchase Volume not Subject to Cap Purchase Volume Subject to Cap

Cap = $25.9

New funding volume

$ Billions

Note: Totals may not add due to rounding.

$35.6

$47.3

$34.8

$1.8

$3.9

$3.7

$71.4

$21.3

$37.4

$51.2

$38.5

2009-2013 2014 2015 2016 YTD

20173

K Certificate UPB19 SB Certificate UPB

Cap = $30.0

Cap = $36.5
© Freddie Mac 10

Capital Markets Financial Highlights and Key Metrics

$141.5 $137.5 $141.1 $137.0 $129.0 

$14.9 $13.1 $7.7 $12.1 $13.3 

$82.7 $79.2 $76.0 $73.3 $64.3 

$239.1 $229.8 $224.9 $222.4 

$206.6 

3Q16 4Q16 1Q17 2Q17 3Q17

Liquid Securitization Pipeline Less Liquid

Capital Markets mortgage investments portfolio

$ Billions

Capital Markets financial highlights

$ Millions 

Capital Markets investments portfolio 

$ Billions

Capital Markets cash window securitization

$ Billions

-14%

(59%) (60%) (63%)

$239.1 $229.8 $224.9 $222.4 $206.6 

$103.7 $96.3 $92.0 $82.0 $81.9 

$342.8 $326.1 $316.9 $304.4 $288.5 

3Q16 4Q16 1Q17 2Q17 3Q17

Mortgage Investments Portfolio Other Investments and Cash Portfolio9

-16%

(62%)

Note: Totals may not add due to rounding.

(62%)

$46.9 $48.2 

$30.8 

$25.2 

$31.9 

3Q16 4Q16 1Q17 2Q17 3Q17

3Q16 2Q17 3Q17

3Q17 vs. 

3Q16

3Q17 vs. 

2Q17

Net interest income $ 933 $ 875 $ 804 $ (129) $ (71)

Derivative gains (losses) 212 (485) (324) (536) 161 

Other non-interest income 555 444 5,781 5,226 5,337 

Administrative expense (79) (86) (73) 6 13 

Other - (1) (3) (3) (2)

Income tax (expense) benefit (533) (250) (2,143) (1,610) (1,893)

Segment earnings, net of tax $ 1,088 $ 497 $ 4,042 $ 2,954 $ 3,545 

Total other comprehensive income (loss), net 

of tax (64) 249 (17) 47 (266)

Total comprehensive income $ 1,024 $ 746 $ 4,025 $ 3,001 $ 3,279 
© Freddie Mac 11

Housing Market Support

Number of families Freddie Mac helped 

to own or rent a home20

In Thousands

Number of single-family loan workouts21

In Thousands

388 413 

650 739 

530 

515 606 

677

745

584

1,555 

608 

910

937

477

2,458

1,627

2,237

2,421

1,591

2013 2014 2015 2016 YTD 20173

Multifamily rental units Purchase borrowers Refinance borrowers

Note: Totals may not add due to rounding.

44

19 13 9 4

12

9

6

5

3

29

25

21

12

8

83

67

54

43

34

168

120

94

69

50

2013 2014 2015 2016 YTD 20173

Loan modifications22

Repayment plans22

Forbearance agreements22

Short sales and deed-in-lieu of foreclosure

transactions22

Home Retention Actions

Foreclosure Alternatives
© Freddie Mac 12

Endnotes

1 For additional information regarding Freddie Mac’s non-GAAP financial measures and reconciliations to the comparable amounts under GAAP, see the company’s earnings release for the 

quarter ended September 30, 2017.

2 Excludes the initial $1 billion liquidation preference of senior preferred stock issued to Treasury in September 2008 as consideration for Treasury’s funding commitment. The company received 

no cash proceeds as a result of issuing this initial $1 billion liquidation preference of senior preferred stock.

3 Data for the nine months ended September 30, 2017.

4 For additional information, see Regulation and Supervision – Federal Housing Finance Agency – Capital Standards in the company’s Annual Report on Form 10-K for the year ended December 

31, 2016. (DFAST: Dodd-Frank Act Stress Test)

5 The Freddie Mac House Price Index for the U.S. is a value-weighted average of the state indices where the value weights are based on Freddie Mac’s single-family credit guarantee portfolio. 

Other indices of home prices may have different results, as they are determined using different pools of mortgage loans and are calculated under different conventions. The Freddie Mac House 

Price Index for the U.S. is a non-seasonally adjusted (NSA) monthly series. Cumulative increase, based on the NSA series, calculated as the percent change from September 2016 to 

September 2017. 

6 Historical growth rates change as new data becomes available. Values for the most recent periods typically see the largest changes. 

7 Based on unpaid principal balances (UPB) of loans and securities. Excludes mortgage-related securities traded, but not yet settled. The mortgage-related investments portfolio is determined 

without giving effect to the January 1, 2010 change in accounting standards related to the transfer of financial assets and consolidation of variable interest entities (VIEs).

8 Primarily Freddie Mac’s K Certificate and SB (Small Balance) Certificate transactions. 

9 See Freddie Mac’s Form 10-Q for the quarter ended September 30, 2017 for information about the company’s Other investments and cash portfolio.

10 Represents the unpaid principal balance of the company’s mortgage-related investments portfolio.

11 The company’s Purchase Agreement with Treasury limits the amount of mortgage assets the company can own and indebtedness it can incur. Under the Purchase Agreement, mortgage assets 

and indebtedness are calculated without giving effect to the January 1, 2010 change in the accounting guidance related to the transfer of financial assets and consolidation of variable interest 

entities (VIEs). See the company’s Annual Report on Form 10-K for the year ended December 31, 2016 for more information.

12 Represents the company’s aggregate indebtedness for purposes of the Purchase Agreement debt cap and primarily includes the par value of other short-term and long-term debt used to fund its 

business activities.

13 Represents the estimated average rate of guarantee fees for new acquisitions during the period assuming amortization of upfront delivery fees using the estimated life of the related loans rather 

than the original contractual maturity date of the related loans. Includes the effect of fee adjustments that are based on the price performance of Freddie Mac’s PCs relative to comparable 

Fannie Mae securities. Net of legislated 10 basis point guarantee fee remitted to Treasury as part of the Temporary Payroll Tax Cut Continuation Act of 2011.

14 Represents loans acquired after 2008, excluding HARP and other relief refinance loans.

15 Certain securitization transactions for which data is not available are only included in the total single-family serious delinquency rate.

16 Consists of Structured Agency Credit Risk (STACR) issuances and Agency Credit Insurance Structure (ACIS) transactions. Excludes all other forms of credit enhancement, including mortgage 

insurance, whole loan securities, senior subordinate securitization structures, seller indemnification, and Deep Mortgage Insurance CRT transactions.

17 See Freddie Mac’s Form 10-K for the year ended December 31, 2016 for information about the company’s reported delinquency rates. Source: Freddie Mac, FDIC Quarterly Banking Profile, 

TREPP (CMBS multifamily 60+ delinquency rate, excluding REOs). Data for FDIC Insured Institutions is not yet available for the third quarter of 2017. 

18 Represents the UPB of multifamily loans sold via Freddie Mac’s K Certificates and SB Certificates.

19 Includes K Certificates without subordination, which are fully guaranteed and issued without subordinate or mezzanine securities

20 Based on the company’s purchases of loans and issuances of mortgage-related securities. For the periods presented, a borrower may be counted more than once if the company purchased 

more than one loan (purchase or refinance mortgage) relating to the same borrower.

21 Consists of both home retention actions and foreclosure alternatives.

22 These categories are not mutually exclusive and a borrower in one category may also be included in another category in the same or another period. For example, a borrower helped through a 

home retention action in one period may subsequently lose his or her home through a foreclosure alternative in a later period.
© Freddie Mac 13

Safe Harbor Statements

Freddie Mac obligations

Freddie Mac’s securities are obligations of Freddie Mac only. The securities, including any interest or return of discount on the securities, 

are not guaranteed by and are not debts or obligations of the United States or any federal agency or instrumentality other than Freddie 

Mac.

No offer or solicitation of securities 

This presentation includes information related to, or referenced in the offering documentation for, certain Freddie Mac securities, 

including offering circulars and related supplements and agreements. Freddie Mac securities may not be eligible for offer or sale in 

certain jurisdictions or to certain persons. This information is provided for your general information only, is current only as of its specified 

date and does not constitute an offer to sell or a solicitation of an offer to buy securities. The information does not constitute a sufficient 

basis for making a decision with respect to the purchase or sale of any security. All information regarding or relating to Freddie Mac 

securities is qualified in its entirety by the relevant offering circular and any related supplements. Investors should review the relevant 

offering circular and any related supplements before making a decision with respect to the purchase or sale of any security. In addition, 

before purchasing any security, please consult your legal and financial advisors for information about and analysis of the security, its 

risks and its suitability as an investment in your particular circumstances.

Forward-looking statements 

Freddie Mac's presentations may contain forward-looking statements, which may include statements pertaining to the conservatorship, 

the company’s current expectations and objectives for its Single-family Guarantee, Multifamily and Capital Markets segments, its efforts 

to assist the housing market, liquidity and capital management, economic and market conditions and trends, market share, the effect of 

legislative and regulatory developments and new accounting guidance, credit quality of loans the company guarantees, the costs and 

benefits of the company’s credit risk transfer transactions, and results of operations and financial condition on a GAAP, Segment 

Earnings, non-GAAP and fair value basis. Forward-looking statements involve known and unknown risks and uncertainties, some of 

which are beyond the company’s control. Management’s expectations for the company’s future necessarily involve a number of 

assumptions, judgments and estimates, and various factors, including changes in market conditions, liquidity, mortgage spreads, credit 

outlook, actions by the U.S. government (including FHFA, Treasury and Congress), and the impacts of legislation or regulations and new 

or amended accounting guidance, could cause actual results to differ materially from these expectations. These assumptions, 

judgments, estimates and factors are discussed in the company’s Annual Report on Form 10-K for the year ended December 31, 2016,

Quarterly Reports on Form 10-Q for the quarters ended March 31, 2017, June 30, 2017 and September 30, 2017 and Current Reports 

on Form 8-K, which are available on the Investor Relations page of the company’s Web site at www.FreddieMac.com/investors and the 

SEC’s Web site at www.sec.gov. The company undertakes no obligation to update forward-looking statements it makes to reflect events 

or circumstances occurring after the date of this presentation.