Federal Home Loan Mortgage Corporation

Enterprise Regulatory Capital Framework (ERCF) 

Public Disclosures for the Standardized 

Approach

For the quarterly period ended December 31, 2023

1
Table of Contents Page #

Disclosure Map 3

Introduction 5

Risk Management 7

1. Capital Structure 10

2. Capital Adequacy 12

3. Capital Buffers 16

4. Credit Risk: General Disclosures 17

5. Counterparty Credit Risk 21

6. Credit Risk Mitigation 24

7. CRT and Securitization 26

8. Equities 31

9. Interest Rate Risk for Non-Trading Activities 32

10. Operational Risk 32

11. Tier 1 Leverage Ratio 33

12. Market Risk Disclosures 35

Glossary 38

2
DISCLOSURE MAP 

ERCF Public 

Disclosure 

Requirement

Description

Public 

Disclosure 

Page #

2023 Form 10-K

Page #

1. Capital Structure Terms and Conditions of Capital Instruments 10 143, 187, Exhibit 4.30

Reconciliation of Regulatory Capital Elements 10 98, 137

2. Capital Adequacy

Approach to Assessing the Adequacy of Capital 

to Support Current and Future Activities 12 96, 101, 105

Risk-Weighted Assets (RWA) and Adjusted Total 

Assets (ATA) 13

Regulatory Capital Amounts and Ratios 14 99

Credit Exposure and RWA Under Different 

Categories 15

3. Capital Buffers

Prescribed Capital Conservation Buffer Amount 

(PCCBA), Prescribed Leverage Buffer Amount 

(PLBA), and Available Capital Buffers

16 96

Required Capital Buffers and Related Metrics 16 99

4. Credit Risk: 

General Disclosures

Single-Family Mortgage Credit Risk and 

Multifamily Mortgage Credit Risk 17 52

Other Key Credit Risk Management Items 17 156, 171

Credit Risk Exposures and Types 18 17, 22, 155, 168, 170, 

174, 183, 185

Mortgage Portfolio Geographic Distribution 19 196

Past Due Mortgage Loans 19 160, 169

Allowance for Credit Losses and Charge-Offs 20 171

Contractual Principal Payments Due by 

Specified Timeframe for Mortgage Loans 20

5. Counterparty 

Credit Risk

Counterparty Risks on Derivatives and RepoStyle Transactions 21 76

Methodology Used to Assign Credit Risks 21

Policies for Securing, Valuing, and Managing 

Collateral 21 76, 77, 180, 185

Collateral and Creditworthiness 21 76, 180, 181, 185

Gross Positive Fair Value of Contracts, 

Collateral Held, and Net Unsecured Credit 

Exposure

22 183, 185

Purchased and Sold Derivatives 22 181

6. Credit Risk 

Mitigation

Credit Risk Mitigation Coverage 24

Risk Concentrations, and Credit Enhancement 

Providers 24 76, 196

Exposures Covered by Eligible Financial 

Collateral and/or Guarantees 25

3
DISCLOSURE MAP (Continued) 

ERCF Public 

Disclosure 

Requirement

Description

Public 

Disclosure 

Page #

2023 Form 10-K

Page #

7. Credit Risk 

Transfer (CRT) and 

Securitization

Objectives for Securitizing Assets 26 30, 43

Scope of CRT and Securitization Exposures 26

Role and Involvement 26

Nature of Inherent Risks 26 116, 121, 199

Risk Management, Monitoring, and Mitigation 26 32, 43, 71, 76

Collateral Types 27 76

Risk-Based Capital Approaches 27

Securitization Special Purpose Entities (SPEs) 27 68, 149

Accounting Policies 27 58, 69, 150, 152, 177, 

272

Valuation Method 28 200, 201

Significant Changes 28 38, 47

On- & Off-Balance Sheet Exposures of 

Securitization and Reinsurance CRT, Past Due 

Amount and Loss Recognized

29

Securitization and Reinsurance CRT Exposures 

and Risk-based Capital Treatment 29

Securitization and Reinsurance CRT Exposures 

and Risk Weight Bands 30

Assets Intended for Securitization and 

Reinsurance CRT and Related Activities 30

8. Equities Multifamily LIHTC Investment 31 43, 46

9. Interest Rate Risk 

for Non-Trading 

Activities

Nature of Interest Rate Risk for Non-trading 

Activities and Key Assumptions 32 79, 121

Earning or Economic Value for Upward and 

Downward Rate Shocks 32 81, 83

10. Operational Risk Overview of Operational Risk 32 84

11. Tier 1 Leverage 

Ratio

Overview of Tier 1 Leverage Ratio 33

Accounting Assets and Adjusted Assets 33

Tier 1 Capital Leverage Ratio 34

12. Market Risk

Overview of Market Risk 35

Characteristics of the Internal Models Used in 

Market Risk Capital Calculations 35

Benchmarking of Internal Estimates 35

Market Portfolios 35

Valuation Policies, Procedures, and 

Methodologies 35 200

Internal Modeling 36 87

Stress Test 36 79

Market Risk Change Monitoring 36 79

Exposure Amounts and Risk Weighted Assets 37

4
INTRODUCTION

Business Overview

Freddie Mac is a Government-Sponsored Enterprise (GSE) chartered by Congress in 1970, with a mission to provide liquidity, 

stability, and affordability to the U.S. housing market. We do this primarily by purchasing single-family and multifamily residential 

mortgage loans originated by lenders. In most instances, we package these loans into guaranteed mortgage-related securities, 

which are sold in the global capital markets, and transfer interest-rate and liquidity risks to third-party investors. In addition, we 

transfer a portion of our mortgage credit risk exposure to third-party investors through our credit risk transfer (CRT) programs, which 

include securities- and insurance-based offerings. We also invest in mortgage loans and mortgage-related securities. We do not 

originate mortgage loans or lend money directly to mortgage borrowers.

Since September 2008, we have been operating in conservatorship, with the Federal Housing Finance Agency (FHFA) as our 

Conservator. The conservatorship and related matters significantly affect our management, business activities, financial condition, 

and results of operations. 

• For additional information on the conservatorship and related matters, as well as our Purchase Agreement with the U.S. 

Department of the Treasury (Treasury), refer to the 2023 Annual Report on Form 10-K (2023 Form 10-K) at 4 (Conservatorship 

and Government Support for Our Business), 104 (Regulation and Supervision), and 143 (Note 2 Conservatorship and Related 

Matters).

FHFA as Freddie Mac’s Regulatory Agency

FHFA is an independent agency of the federal government responsible for oversight of the operations of Freddie Mac, Fannie Mae, 

and the Federal Home Loan Banks (FHLBs).

Under the GSE Act, FHFA has safety and soundness authority that is comparable to, and in some respects broader than, that of the 

federal banking agencies. 

Since 2020, FHFA has adopted the following requirements related to regulatory capital that Freddie Mac and Fannie Mae (together, 

the Enterprises or the GSEs) are required to meet.

Enterprise Regulatory Capital Framework (ERCF) and Capital Requirement Overview

FHFA established the ERCF as a new enterprise regulatory capital framework for Freddie Mac and Fannie Mae in December 2020. 

Our current capital levels are significantly below the levels that would be required under the ERCF. The ERCF has a transition period 

for compliance, and we are not required to comply with the regulatory capital requirements or the buffer requirements while in 

conservatorship. 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 transition order, and the compliance date for buffer requirements in 

the ERCF will be the date of termination of our conservatorship. With respect to the ERCF’s advanced approaches requirements, 

the compliance date is January 1, 2028, or any later compliance date specified by FHFA. 

The ERCF establishes risk-based and leverage capital requirements, and includes the following:

◦ Capital requirements relating to the amount and form of the capital we hold, based largely on definitions of capital 

used in U.S. banking regulators' regulatory capital framework. The final rule includes leverage-based and risk-based 

requirements, which together determine the requirements for each tier of capital;

◦ A requirement that we hold prescribed capital buffers that can be drawn down in periods of financial stress and then 

rebuilt over time as economic conditions improve. If we fall below the prescribed buffer amounts, we must restrict 

capital distributions such as stock repurchases and dividends, as well as discretionary bonus payments to 

executives, until the buffer amounts are restored;

◦ A requirement to publish quarterly public capital reports, regardless of our status in conservatorship;

◦ A requirement to maintain capital for operational and market risk, in addition to our credit risk;

◦ Specific minimum percentages, or "floors," on the risk-weights applicable to single-family and multifamily exposures, 

which have the effect of increasing the capital required to be held for loans otherwise subject to lower risk-weights; 

◦ Specific floors on the risk-weights applicable to retained portions of credit risk transfer transactions, which have the 

effect of decreasing the capital relief obtained from these transactions; and

◦ Additional elements based on U.S. banking regulators' regulatory capital framework, including the phased 

implementation of advanced approaches as an alternative to the standardized approach for measuring risk-weighted 

assets. 

5
Risk-Based Capital Requirements

Under the ERCF risk-based capital requirements, we must maintain our CET1 capital, Tier 1 capital, and adjusted total capital ratios 

equal to at least 4.5%, 6.0%, and 8.0%, respectively, of risk-weighted assets (RWA). We must also maintain statutory total capital 

equivalent to at least 8.0% of the total RWA. To avoid limitations on capital distributions and discretionary bonus payments tied to 

executive compensation, we also must maintain CET1 capital that exceeds the risk-based capital requirements by at least the 

amount of the prescribed capital conservation buffer amount (PCCBA). The PCCBA consists of three separate component buffers - 

a stress capital buffer, a stability capital buffer (equivalent to the G-SIB surcharge which is applicable to systemically large banking 

organizations), and a countercyclical capital buffer (currently set at 0%). 

Leverage Capital Requirements

Under the ERCF leverage capital requirements, we must maintain our Tier 1 capital ratio equal to at least 2.5% of Adjusted Total 

Assets (ATA). We must also maintain our statutory core capital ratio equal to at least 2.5% of ATA. To avoid limitations on capital 

distributions and discretionary bonus payments tied to executive compensation, we also must maintain Tier 1 capital that exceeds 

the leverage capital requirements by at least the amount of the prescribed leverage buffer amount (PLBA). The PLBA is equal to 

50% of our stability capital buffer. 

Oversight, Governance, and Reporting

Our capital management is governed by policies, standards, and procedures overseen by key governing bodies.

The Capital Management Council (CMC) is responsible for the oversight of compliance with the ERCF capital framework, including 

reporting, model changes, and stress testing activities, as well as any other related policy initiatives. The CMC helps to ensure that 

we maintain an integrated and coherent capital monitoring and adequacy assessment process and meet both internal and regulatory 

capital reporting, monitoring, forecasting, and stress testing requirements. The CMC is overseen by the Head of Capital and 

Resolution Planning and the Chief Financial Officer (CFO), and reports directly to the Capital Committee, which is overseen by the 

Chief Executive Officer (CEO) and our President.

The Capital Committee, composed primarily of executive officers across the various divisions (including the CFO, Chief Risk Officer 

(CRO), and heads of business) oversees the CMC and provides governance across overall capital management. In addition, 

Enterprise Risk Management (ERM) and Internal Audit conduct independent assessments of capital management and 

implementation. These assessments are intended to help ensure that our capital execution, assessment, and monitoring are 

consistent and in compliance with the ERCF. 

Capital Reporting and Public Disclosures for the Standardized Approach

Under the ERCF, we are required to submit quarterly ERCF capital reports to FHFA. These requirements include quarterly 

quantitative information to support the ERCF capital amount and ratio calculations and the underlying enterprise risk weighting 

calculations.

The ERCF public disclosure requirements include quarterly quantitative and annual qualitative disclosures related to risk 

management, corporate governance, capital structure, and capital requirements and buffers under the standardized approach. The 

required public disclosures cover 11 categories plus Market Risk, with each category containing certain quantitative and qualitative 

disclosures, if applicable. 

• For additional information on the establishment of the ERCF and its corresponding risk-based capital requirements and 

leverage capital requirements, refer to the 2023 Form 10-K at 215 (Note 18 Regulatory Capital). For additional information on 

specific ERCF provisions, including requirements on public disclosure, refer to the 2023 Form 10-K at 105 (Capital Standards 

and Public Disclosures).

We are required to provide timely public disclosures each calendar quarter of the information specified in subparts D and F of the 

ERCF. This ERCF Public Disclosures for the Standardized Approach (Report) fulfills this requirement for 4Q 2023. The Report 

should be read in conjunction with the 2023 Form 10-K, which has been filed with the U.S. Securities and Exchange Commission 

(SEC). This Report is not required to be, nor has it been audited by our independent registered public accounting firm, as some 

measures of exposures contained in this Report may not be consistent with GAAP and may not be comparable with measures 

reported in our 2023 Form 10-K.

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RISK MANAGEMENT

To achieve our mission of providing liquidity, stability, and affordability to the U.S. housing market, we take risks as an integral part of 

our business activities. Risk is the possibility that events will occur that adversely impact our financial strength, safe and sound 

operations, and ability to achieve our mission, strategic, and business objectives. Risk can manifest itself in many ways and the 

responsibility for risk management resides at all levels of the company. We seek to take risks in a safe and sound, well-controlled 

manner to earn acceptable risk-adjusted returns on a corporate-wide, divisional, and, where applicable, transaction basis. Our goal 

is to maintain an effective risk culture where employees are risk aware, collaborative, transparent, and individually accountable for 

their decisions, and to conduct business in an effective, legal, and ethical manner.

We utilize a risk taxonomy to define, classify, and report risks that we face in operating our business. These risks have the potential 

to adversely affect our current or projected financial and operational resilience. Risks are classified into the following categories:

◦ Credit Risk; 

◦ Market Risk; 

◦ Liquidity Risk; 

◦ Operational Risk;

◦ Compliance Risk; 

◦ Legal Risk; 

◦ Strategic Risk; and 

◦ Reputation Risk. 

These risks are factored into our business decisions, as appropriate.

Risk Framework 

The Risk Framework defines how we manage risk to achieve our mission, strategic, and business objectives. By serving as the 

basis for managing risk in a consistent, effective, and efficient manner, the Risk Framework supports our financial strength and safe 

and sound operations through a range of stressful conditions. The Risk Framework is implemented through the ERM Program, 

which consists of our enterprise-wide risk management practices and processes.

The Risk Framework includes the following components:

◦ Risk Culture - Risk culture is the set of corporate values, competencies, and behaviors related to risk taking and risk 

management at Freddie Mac. Management supports an effective risk culture by establishing clear risk objectives, 

assigning accountability, and setting a tone at the top so that employees feel empowered to challenge business 

decisions without fear of negative consequences. An effective risk culture promotes an environment where 

employees who take, accept, and manage risks for the company are risk aware, collaborative, and transparent.

◦ Risk Governance - Risk governance is the set of corporate requirements and processes that must be followed to 

make and implement risk decisions across the company. Effective risk governance establishes a reporting and 

escalation path for risks and issues across the company. Freddie Mac’s risk governance structure provides forums 

for transparent communication of risks and issues, as well as risk management and control activities. Risk 

governance is established through:

▪ Risk Authority - Authority to take or accept risk is vested in an individual employee. Individual business or 

functional risk officers may be assigned risk authority for specific risk areas and functions, as appropriate.

▪ Corporate Risk Policies and Standards - Corporate risk policies and standards define roles and 

responsibilities with respect to risk management, establish limits to risk taking authority, and set forth 

escalation and reporting requirements.

▪ Risk Governance Structure - The risk governance structure consists of management- and Board-level 

committees with roles and responsibilities formalized in their charters.

◦ Risk Appetite - Risk appetite is the level of risk, both in aggregate and by risk type, within the company’s risk 

capacity (the maximum amount of risk the enterprise can absorb before breaching capital, liquidity, and other 

constraints) that the Board of Directors and management are willing to assume to achieve the company's strategic 

goals. The risk appetite is integrated and aligned with the company’s strategic plan, consolidated business plan, and 

divisional business plans. The risk appetite consists of qualitative risk appetite statements and quantitative metrics 

with limits, and it is approved by the Board of Directors. FHFA as Conservator then approves the quantitative metrics 

with limits.

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◦ Risk Identification, Assessment, Control, and Monitoring Processes - Our ERM Program supports risk 

management through enterprise-wide practices and processes designed to identify, assess, control, monitor, and 

report on all risks, including material and emerging risks.

◦ Risk Profile - Risk profile is a point-in-time assessment of risks aggregated within and across each risk category 

using methodologies consistent with the company’s risk appetite. The Risk Framework requires accurate and timely 

reporting needed to manage risks. Regular reporting is provided to senior management and to the Board of 

Directors, or appropriate Board committees, at an aggregate level to provide a comprehensive view of the company’s 

risk position. Risk profile reporting includes adherence to management thresholds and established Board limits and 

potential or actual breaches; material and emerging risks; significant issues and their remediation status; and stress 

testing and scenario analysis.

FHFA continues to increase supervisory expectations related to how risk is managed and overseen by management and the Board 

of Directors, and specifically the role of ERM to provide independent risk oversight and effective challenge. As a result, we must 

continue to invest in our risk management practices to meet these expectations.

Enterprise Risk Governance Structure

We manage risk using a three lines model and our risk governance structure includes enterprise-wide oversight by the Board of 

Directors and its committees, the CRO, and senior management. Only legal risk is managed outside of the three lines model.

The information and diagram below present the responsibilities associated with the three lines model and risk governance structure. 

The risk governance structure also includes divisional risk committees to actively discuss and monitor division-specific risk profiles, 

risk decisions, and risk appetite metrics, limits and thresholds, and risk type committees to oversee certain enterprise-wide risks.

8
For more detailed discussions of specific components of our risk management processes, refer to the following sections in this 

Report: 4 (Credit Risk), 5 (Counterparty Credit Risk), 6 (Credit Risk Mitigation), 7 (CRT and Securitization), 9 (Interest Rate Risk), 10 

(Operational Risk), and 12 (Market Risk). In addition, ERM has dedicated Enterprise Credit Risk and Market Risk functions to 

examine these risks.

9
1. CAPITAL STRUCTURE

The ERCF establishes risk-based and leverage capital requirements and includes capital requirements relating to the amount and 

form of the capital we hold, based largely on the definitions of capital used in U.S. banking regulators' regulatory capital framework. 

The ERCF capital requirements contain both statutory capital elements (total capital and core capital) and regulatory capital 

elements (CET1 capital, Tier 1 capital, and adjusted total capital).

Terms and Conditions of Capital Instruments

Common Stock and Preferred Stock

As of December 31, 2023, Freddie Mac has 21 classes of securities registered under Section 12 of the Securities Exchange Act of 

1934, as amended: (1) our voting common stock, no par value per share (Common Stock), and (2) twenty series of perpetual, noncumulative preferred stock, par value of $1.00 per share (Preferred Stock). We also have four classes of perpetual, non-cumulative 

preferred stock outstanding that were issued through private placement and are not registered under Section 12.

Dividends on shares of our Common Stock are not mandatory. Dividends on shares of our Preferred Stock are not mandatory and 

are non-cumulative.

During conservatorship, the holders of our Common Stock have no voting rights. Upon its appointment as Conservator, FHFA 

immediately succeeded to the voting rights of holders of our Common Stock, including the right to elect members of our Board of 

Directors.

• For additional information on Common Stock and Preferred Stock, refer to the 2023 Form 10-K at Exhibit 4.30 (Description of 

Registrant’s Securities Registered Pursuant to Section 12 of The Securities Exchange Act of 1934).

Senior Preferred Stock

On September 7, 2008, we, through FHFA, in its capacity as Conservator, entered into the Purchase Agreement with Treasury. The 

Purchase Agreement requires Treasury, upon the request of the Conservator, to provide funds to us after any quarter in which we 

have a negative net worth (that is, our total liabilities exceed our total assets, as reflected on our consolidated balance sheets). In 

addition, the Purchase Agreement requires Treasury, upon the request of the Conservator, to provide funds to us if the Conservator 

determines, at any time, that it will be mandated by law to appoint a receiver for us unless we receive these funds from Treasury. 

• For additional information, refer to the 2023 Form 10-K at 143 (Note 2 Conservatorship and Related Matters). 

Pursuant to the Purchase Agreement, we issued one million shares of senior preferred stock (SPS) to Treasury on September 8, 

2008, in partial consideration of Treasury’s commitment to provide funds to us. Treasury, as the holder of the SPS, is entitled to 

receive quarterly cash dividends, when, as, and if declared by our Board of Directors. The SPS is senior to our common stock and 

all other outstanding series of our preferred stock, as well as any capital stock we issue in the future, as to both dividends and rights 

upon liquidation. SPS is not part of the regulatory capital.

• For additional information on Senior Preferred Stock, refer to the 2023 Form 10-K at 143 (Note 2 Conservatorship and Related 

Matters) and 187 (Note 11 Stockholders' Equity and Earnings Per Share). 

Reconciliation of Regulatory Capital Elements

The table below presents a reconciliation from stockholder’s equity on the GAAP consolidated balance sheets to regulatory capital 

components, as well as composition of core capital and total capital.

Components of our total stockholder’s equity include Senior Preferred Stock, Preferred Stock, Common Stock, retained earnings, 

accumulated other comprehensive income (AOCI) net of taxes, and treasury stock. 

• For additional information, refer to the 2023 Form 10-K at 98 (Capital Metrics) and 137 (Consolidated Balance Sheets).

10
Table 1.1 - Reconciliation of GAAP Stockholder's Equity to Regulatory Capital and Statutory Capital Components

December 31, 2023

(Dollars in millions) Amount GAAP

Common stock $— 

Treasury stock (3,885) 

Retained earnings (35,128) 

Accumulated other comprehensive income (AOCI) (22) 

Preferred stock 14,109 

Senior Preferred Stock1 72,648 

Stockholders' Equity under GAAP 47,722 

Regulatory Capital

Less: Senior Preferred Stock & Preferred stock 86,757 

Common stockholder's equity (39,035) 

Less:

Goodwill2 — 

Other intangible assets2 — 

Deferred tax assets (DTAs)2, 3 4,076 

AOCI-related adjustments4 (131) 

Other deductions2, 5 163 

Common Equity Tier 1 (CET1) Capital (43,143) 

Qualifying preferred stock 14,109 

Other adjustments and deductions — 

Tier 1 Capital ($29,034) 

Qualifying subordinated debt and other instruments — 

Qualifying allowance for credit losses — 

Other adjustments and deductions — 

Tier 2 Capital — 

Adjusted Total Capital ($29,034) 

Statutory Capital

Par value or stated value of outstanding common stock $— 

Par value or stated value of outstanding perpetual, noncumulative preferred stock 464 

Paid-in capital 13,645 

Retained earnings (35,128) 

Treasury stock (3,885) 

Total Core Capital (24,904) 

General allowance for foreclosure losses6 6,849 

Other7 — 

Total Capital ($18,055) 

11

1

 Pursuant to the Purchase Agreement, we issued one million shares of SPS to Treasury on September 8, 2008. Shares of the SPS have a par value of 

$1.00.

2

 Net of associated deferred tax liabilities (DTLs), where applicable.

3

 DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net

of DTLs, that exceed the 10% CET1 deduction threshold.

4

 Accumulated net loss on cash flow hedges included in AOCI, net of applicable income taxes, that relate to the hedging of items that are not 

recognized at fair value on the balance sheet.

5

 Mortgage Servicing Assets, net of associated DTLs, that exceed the 10% CET1 capital deduction threshold.

6

 Represents our allowance for credit losses.

7

 From sources of funds available to absorb losses that the Director by regulation determines are appropriate.
2. CAPITAL ADEQUACY

In 2020 FHFA established the ERCF, which requires us to hold substantially more capital than prior capital-related requirements. The 

ERCF became effective on February 16, 2021. As of December 31, 2023, our capital levels (both risk-based capital and Tier 1 

leverage capital) were below the required levels as we are still in the process of building our regulatory capital base.

We are not required to comply with the regulatory capital requirements or the buffer requirements while in conservatorship. With 

respect to the ERCF’s advanced approaches requirements, the compliance date is January 1, 2028, or any later compliance date 

specified by FHFA. For additional information on ERCF capital requirements, refer to the Introduction.

The charts below present the ERCF capital adequacy requirements under the risk-based capital requirement (CET1 capital ratio 

relative to RWA) and leverage capital requirement (Tier 1 capital ratio relative to ATA) as of December 31, 2023.

Risk-Based Capital Requirement: 

CET1 Capital Ratio

4.5%

2.7%

2.3%

9.5%

Minimum requirement

Stress capital buffer

Stability capital buffer

2023

Leverage Capital Requirement: 

Tier 1 Capital Ratio

2.5%

0.3%

2.8%

Minimum requirement

PLBA

2023

In October 2008, FHFA suspended capital classification of us during conservatorship, in light of the Purchase Agreement.

Our entry into conservatorship resulted in significant changes to the assessment of our capital adequacy and our management of 

capital. We entered into the Purchase Agreement with Treasury, pursuant to which we issued to Treasury both SPS and a warrant to 

purchase 79.9% of our common stock outstanding on a fully diluted basis on the date of exercise. Under the Purchase Agreement, 

Treasury made a commitment to provide us with equity funding in certain conditions to eliminate deficits in our net worth. Our ability 

to obtain equity funding from Treasury pursuant to its commitment under the Purchase Agreement has enabled us to avoid being 

placed into receivership by FHFA and maintain the confidence of the debt markets as having very high-quality credit, upon which our 

business model is dependent. The amount of available funding remaining under the Purchase Agreement was $140.2 billion as of 

December 31, 2023, which will be reduced by any future draws.

Pursuant to the Purchase Agreement, we will not have a dividend requirement to Treasury on the SPS 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 $47.7 billion as of December 31, 2023, no dividend is payable to Treasury for the quarter ended December 31, 

2023. Under the Purchase Agreement, the payment of dividends does not reduce the outstanding liquidation preference on the SPS. 

Our cumulative SPS dividend payments totaled $119.7 billion as of December 31, 2023.

• For additional information on the Purchase Agreement, refer to the 2023 Form 10-K at 96 (Capital Resources). For additional 

information on the Net Worth Activity, refer to the 2023 Form 10-K at 96 (Table 53).

Our current business objectives reflect direction we have received from the Conservator, including in the Conservatorship 

Scorecards. Certain actions that we have taken pursuant to such direction are intended to help homeowners, renters, and the 

mortgage market and could have a negative impact on our business, operating results, or financial condition.

12
• For additional information on FHFA as Conservator, refer to the 2023 Form 10-K at 101 (Conservator Powers Over Our 

Company and Purchase Agreement, Warrant, and Senior Preferred Stock).

The ERCF requires us to submit annual capital plans to FHFA. Our capital plan is required to include, among other requirements, 

the following:

◦ An assessment of the expected sources and uses of capital over the planning horizon;

◦ Estimates of projected revenues, expenses, losses, reserves, and pro forma capital levels under a range of internal 

scenarios, as well as under scenarios that FHFA may provide to us;

◦ A description of all planned capital actions over the planning horizon;

◦ A discussion of how we will, under expected and stressful conditions, maintain capital commensurate with our 

business risks and continue to serve the housing market; and

◦ A discussion of any expected changes to our business plan that are likely to have a material impact on our capital 

adequacy or liquidity.

The ERCF also incorporates the determination of the stress capital buffer into the capital planning process.

• For a summary discussion of our approach to assessing the adequacy of our capital to support current and future activities, 

refer to the 2023 Form 10-K at 96 (Capital Resources), 101 (Conservator Powers Over Our Company and Purchase 

Agreement, Warrant, and Senior Preferred Stock), and 105 (Capital Standards and Public Disclosures).

Risk-Weighted Assets and Adjusted Total Assets

The ERCF establishes two approaches for calculating RWA (the “standardized approach” and the “advanced approach”). The riskbased capital requirements are determined using the higher of the RWA calculated under each approach. Under both approaches, 

our RWA equals the sum of our credit RWA, market RWA, and operational RWA. However, as noted above, the compliance date for 

the advanced approaches requirements is January 1, 2028, or any later compliance date specified by FHFA. For information related 

to ATA and its components, refer to Section 11 Tier 1 Leverage Ratio.

The table below presents our ATA and standardized RWA and its components.

Table 2.1 - Adjusted Total Assets and Standardized Risk-Weighted Assets Requirements8

December 31, 2023

(Dollars in millions) Amount

Adjusted Total Assets $3,775,463 

Risk-weighted Assets (Standardized Approach) 1,008,893 

Credit Risk 884,404 

Market Risk 53,699 

Operational Risk 70,790 

13

8

 ATA and RWA include regulatory adjustments and deductions.
Regulatory Capital Amounts and Ratios

The table below presents our regulatory capital amounts and ratios under the ERCF and required capital versus available capital. As 

of December 31, 2023, the maximum payout ratio under the ERCF was 0.0%, which limits our capital distributions and discretionary 

bonus payments discussed under the risk-based and leverage capital requirements.

Table 2.2 - ERCF Available Capital and Capital Requirements

December 31, 2023

(Dollars in billions)

Minimum Capital 

Requirement

Applicable 

Buffers9

Capital 

Requirement 

(including Buffer)

Available 

Capital Capital Shortfall

Risk-based capital amounts:

Total capital (statutory)10 $81 N/A $81 ($18) ($99) 

CET1 capital11 45 $51 96 (43) (139) 

Tier 1 Capital11 60 51 111 (29) (140) 

Adjusted Total Capital11 81 51 132 (29) (161) 

Risk-based capital ratios:12

Total capital (statutory) 8.0 % N/A 8.0 % (1.8) % (9.8) %

CET1 capital 4.5 5.0 % 9.5 (4.3) (13.8) 

Tier 1 Capital 6.0 5.0 11.0 (2.9) (13.9) 

Adjusted Total Capital 8.0 5.0 13.0 (2.9) (15.9) 

Leverage capital amounts:

Core capital (statutory)13 $95 N/A $95 ($25) ($120) 

Tier 1 Capital11 95 $11 106 (29) (135) 

Leverage capital ratios:14

Core capital (statutory) 2.5 % N/A 2.5 % (0.7) % (3.2) %

Tier 1 Capital 2.5 0.3 % 2.8 (0.8) (3.6) 

• For additional information on ERCF adjusted total assets, risk-weighted assets, required capital and available capital, refer to 

the 2023 Form 10-K at 99 (Table 56 - Capital Metrics under ERCF).

14

9

 PCCBA for risk-based capital and PLBA for leverage capital.

10 Total capital is equal to core capital plus certain allowances for credit losses.

11 Regulatory capital amounts exclude SPS, DTA arising from temporary differences that exceed 10% of CET1 capital, and certain other items.

12 As a percentage of RWA.

13 Core capital excludes certain components of GAAP total equity (i.e., AOCI and SPS) as these items do not meet the statutory definition of core 

capital.

14 As a percentage of ATA.
Credit Exposure and RWA Under Different Categories

The table below presents our credit exposure and RWA under different categories. Details on our market RWA are covered in the 

Market Risk section.

Table 2.3 - Credit Risk Exposure and RWA

December 31, 2023

(Dollars in millions) Exposure Credit RWA

Exposures to the U.S. Government/Sovereign entities $30,710 $11 

Exposures to certain supranational entities and MDBs 181 — 

Exposures to GSEs 328,885 22,165 

Exposure to depository institutions and credit unions 5,129 1,026 

Exposures to PSEs 11 6 

Corporate exposures 25 1 

Aggregate Single-Family mortgage exposures categorized by:15 1,450,070 522,406 

(i) Performing loans; 1,385,955 483,434 

(ii) Non-modified re-performing loans; 13,272 6,202 

(iii) Modified re-performing loans; 40,042 18,795 

(iv) Non-performing loans 10,801 13,975 

Aggregate Multifamily mortgage exposures categorized by: 40,651 19,512 

(i) Multifamily fixed-rate exposures; 30,754 13,073 

(ii) Multifamily adjustable-rate exposures 9,897 6,439 

Non-mortgage related past-due items — — 

Insurance Assets 253 161 

Off-balance sheet exposures 1,783 2,220 

Cleared Transactions 637 13 

Default fund contributions 2,419 647 

Unsettled Transactions — — 

CRT and other securitization exposures16 1,942,137 290,153 

Equity Exposures 3,543 3,543 

Other Assets17 39,348 22,540 

Total $3,845,782 $884,404 

15

15 Excludes mortgages that are part of CRT transactions and we have elected CRT treatment for those transactions.

16 Includes mortgages that are part of CRT transactions and we have elected CRT treatment; Credit RWA is net of the benefit from these transactions.

17 Other assets primarily consist of guarantee fee assets, commitments, cash in process of collection and other miscellaneous assets.
3. CAPITAL BUFFERS

The ERCF includes a requirement that we hold prescribed capital buffers that can be drawn down in periods of financial stress and 

then rebuilt over time as economic conditions improve. If we fall below the prescribed buffer amounts, we must restrict capital 

distributions such as stock repurchases and dividends, as well as discretionary bonus payments to executives, until the buffer 

amounts are restored. The ERCF prescribes two types of capital buffers as described below. 

• For additional information related to the ERCF’s risk-based and leverage capital requirements, refer to the Introduction.

Prescribed Capital Conservation Buffer Amount (PCCBA)

To avoid limitations on capital distributions and discretionary bonus payments tied to executive compensation, we also must maintain 

CET1 capital that exceeds the risk-based capital requirements by at least the amount of the PCCBA. The PCCBA consists of three 

separate component buffers: a stress capital buffer, a stability capital buffer, and a countercyclical capital buffer.

The stress capital buffer must be at least 0.75% of our ATA as of the last day of the previous calendar quarter. FHFA will periodically 

re-size the stress capital buffer to the extent that FHFA’s eventual program for supervisory stress tests determines that our peak 

capital exhaustion under a severely adverse stress scenario would exceed 0.75% of ATA.

The stability capital buffer is tailored to the risk that our default or other financial distress could pose to the liquidity, efficiency, 

competitiveness, or resiliency of national housing finance markets. The stability capital buffer is based on our share of residential 

mortgage debt outstanding. As of December 31, 2023, our stability capital buffer was 0.60% of ATA.

The countercyclical capital buffer is currently set at 0.0% of our ATA. FHFA has indicated that it will adjust the countercyclical capital 

buffer taking into account the macro-financial environment in which we operate, such that the buffer would be deployed only when 

excess aggregate credit growth is judged to be associated with a build-up of system-wide risk.

Prescribed Leverage Buffer Amount (PLBA)

To avoid limitations on capital distributions and discretionary bonus payments tied to executive compensation, we also must maintain 

Tier 1 capital that exceeds the leverage capital requirements by at least the amount of the PLBA. The PLBA is equal to 50% of our 

stability capital buffer.

Available Capital Buffers

Our current capital levels are significantly below the levels that would be required under the ERCF. The ERCF has a transition period 

for compliance, and we are not required to comply with the buffer requirements specified below while in conservatorship. In general, 

the compliance date for the buffer requirements in the ERCF will be the date of termination of our conservatorship.

• For additional information on ERCF capital buffers, refer to the 2023 Form 10-K at 96 (ERCF).

Required Capital Buffers and Related Metrics

The table below presents our required regulatory capital buffers and payout metrics as of December 31, 2023.

Table 3.1 - Required Capital Buffers and Payout Metrics

December 31, 2023

(Dollars in millions) Amount

Prescribed Capital Conservation Buffer (PCCBA) $50,784 

Stress Capital Buffer 28,189 

Stability Capital Buffer 22,595 

Countercyclical Capital Buffer Amount — 

Prescribed Leverage Buffer Amount (PLBA) 11,297 

Eligible Retained Income18 9,388 

Risk-based Capital Maximum Payout Ratio — %

Leverage Maximum Payout Ratio — %

Maximum Payout Amount — 

• For additional information on ERCF required capital buffers and maximum payout ratio, refer to the 2023 Form 10-K at 99 

(Table 56 - Capital Metrics under ERCF).

16

18 The eligible retained income is the greater of: (i) net income, as defined under GAAP, for the four calendar quarters preceding the current calendar 

quarter, net of any distributions and associated tax effects not already reflected in net income; and (ii) the average net income for the four calendar 

quarters preceding the current calendar quarter.
4. CREDIT RISK: GENERAL DISCLOSURES

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 counterparty credit risk (see Section 5. Counterparty Credit Risk), and two types of 

mortgage credit risks listed below: 

◦ Single-Family mortgage credit risk, through our ownership or guarantee of loans in our Single-Family mortgage 

portfolio and

◦ Multifamily mortgage credit risk, through our ownership or guarantee of loans in our Multifamily mortgage portfolio.

Single-Family Mortgage Credit Risk

We manage our exposure to single-family mortgage credit risk, which is a type of consumer credit risk, using the following principal 

strategies:

◦ Maintaining prudent eligibility standards and quality control practices and managing seller/servicer performance;

◦ Transferring credit risk to third-party investors;

◦ Monitoring loan performance and characteristics;

◦ Engaging in loss mitigation activities; and

◦ Managing foreclosure and REO activities. 

Multifamily Mortgage Credit Risk

We manage our exposure to multifamily mortgage credit risk, which is a type of commercial real estate credit risk, using the following 

principal strategies:

◦ Completing our own underwriting, credit and legal review for new business activity;

◦ Transferring credit risk to third-party investors; and

◦ Managing our portfolio, including loss mitigation activities.

• For additional information on how we execute Single-Family and Multifamily mortgage credit risk management strategies and a 

detailed discussion on our credit risk management, refer to the 2023 Form 10-K at 52 (Credit Risk).

Other Key Credit Risk Management Items

Past Due Loans

A loan is considered past due if a full payment of principal and interest is not received within one month of its due date. 

Placing Loans on Non-accrual

We recognize interest income on an accrual basis except when we believe the collection of principal and interest in full is not 

reasonably assured, which generally occurs when a loan is three monthly payments or more past due, at which point we place the 

loan on non-accrual status unless the loan is well secured and in the process of collection based upon an individual loan 

assessment. We charge-off outstanding accrued interest receivable through interest income when loans are placed on non-accrual 

status and recognize interest income on a cash basis while a loan is on non-accrual status.

Returning Loans to Accrual Status

A non-accrual loan is returned to accrual status when the collectability of principal and interest in full is reasonably assured. For 

single-family loans, we generally determine that collectability is reasonably assured when the loan returns to current payment status. 

For multifamily loans, the collectability of principal and interest is considered reasonably assured based on an analysis of the factors 

specific to the loan being assessed. Upon a loan's return to accrual status, all previously reversed interest income is recognized and 

amortization of any basis adjustments into interest income is resumed.

• For additional information on accounting treatments of past due loans, placing loans on non-accrual and returning loans to 

accrual status, refer to the 2023 Form 10-K at 156 (Interest Income).

Allowance for Credit Losses Methodology

Our allowance for credit losses primarily pertains to single-family and multifamily loans classified as held-for-investment for which we 

have not elected the fair value option. We measure the allowance for credit losses on a pooled basis when our loans share similar 

risk characteristics. We recognize changes in the allowance for credit losses through provision or benefit for credit losses on our 

consolidated statements of income.

17
Charging-off Uncollectible Amounts

We record charge-offs in the period in which a loan is deemed uncollectible. Proceeds received in excess of amounts previously 

written off are recorded as a decrease to non-interest expense on our consolidated statements of income.

• For additional information on the terms defined above, refer to the 2023 Form 10-K at 171 (Allowance for Credit Losses 

Methodology).

Credit Risk Exposures and Types

We have an Enterprise Credit Risk Policy that defines credit risk management, roles and responsibilities, and governance 

requirements among different stakeholders.

• For mortgage loans by Single-Family and Multifamily, refer to the 2023 Form 10-K at 155 (Table 4.1 - Mortgage Loans). The 

table presents details of the loans on our consolidated balance sheets.

• For information on mortgage portfolio’s Unpaid Principal Balance (UPB), mortgage-related investments portfolio, and other 

investments portfolio, refer to the 2023 Form 10-K at 22 (Our Portfolios).

• For financial guarantees by Single-Family and Multifamily, refer to the 2023 Form 10-K at 168 (Table 5.1 - Financial 

Guarantees). The table presents our financial guarantees’ maximum exposure, recognized liability (excludes allowance for 

credit losses on off-balance sheet credit exposures), and maximum remaining term.

• For mortgage loan purchase commitments and other commitments, refer to the 2023 Form 10-K at 170 (Table 5.3 - Other OffBalance Sheet Credit Exposures).

• For details on investment securities exposures, refer to the 2023 Form 10-K at 174 (Note 7 Investment Securities).

• For accounting offsets to credit risk exposures as well as collateral information of financial assets and liabilities, refer to the 

2023 Form 10-K at 183 (Table 9.2 - Offsetting of Derivatives) and 185 (Table 10.1 - Offsetting and Collateral Information of 

Certain Financial Assets and Liabilities). The tables present 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.

• For average credit risk exposures, refer to the 2023 Form 10-K at 17 (Table 3 - Analysis of Net Interest Yield). The table 

presents an analysis of interest-earning assets and interest-bearing liabilities and also average asset balance (excluding the 

average balances of off-balance sheet exposures).

18
Mortgage Portfolio Geographic Distribution

The tables below summarize the concentration by geographic area of our Single-Family mortgage portfolio and Multifamily mortgage 

portfolio.

Table 4.1 – Concentration of Credit Risk of Single-Family Mortgage Portfolio

December 31, 2023

(Dollars in millions) Portfolio UPB % of Portfolio Seriously Delinquent Rate

Region:

West $910,597 30 % 0.43 %

Northeast 703,581 23 0.64 

Southeast 530,617 17 0.58 

Southwest 451,271 15 0.54 

North Central 442,593 15 0.54 

Total $3,038,659 100 % 0.55 

State:

California $515,267 17 % 0.42 

Texas 212,800 7 0.57 

Florida 200,169 7 0.65 

New York 132,432 4 0.93 

Illinois 113,806 4 0.69 

All other 1,864,185 61 0.52 

Total $3,038,659 100 % 0.55 

Table 4.2 – Concentration of Credit Risk of Multifamily Mortgage Portfolio

December 31, 2023

(Dollars in millions) Portfolio UPB % of Portfolio Delinquency Rate19

Region:

West $109,815 25 % 0.16 %

Northeast 107,326 24 0.52 

Southwest 91,406 21 0.26 

Southeast 88,762 20 0.10 

North Central 43,488 10 0.40 

Total $440,797 100 % 0.28 

State:

California $58,186 13 % 0.07 

Texas 56,231 13 0.28 

Florida 38,440 9 0.03 

New York 33,815 8 1.13 

Georgia 18,178 4 0.01 

All other 235,947 53 0.27 

Total $440,797 100 % 0.28 

• For additional information on geographic concentration of Single-Family and Multifamily mortgage portfolios, refer to the 2023 

Form 10-K at 196 (Note 15 Concentration of Credit and Other Risks).

Past Due Mortgage Loans

• For information on the amount of loans and off-balance sheet credit exposures not past due or past due less than 30 days, past 

due 30 days but less than 90 days, past due 90 days or in foreclosure, and past due 90 days and still accruing, refer to the 

2023 Form 10-K at 160 (Table 4.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status) and 169 (Table 5.2 

- UPB of Loans Underlying Our Mortgage-Related Guarantees by Payment Status). The tables present the amortized cost 

basis of our single-family and multifamily held-for-investment loans, for which we have not elected the fair value option, by 

payment status and the UPB of mortgage loans underlying our mortgage-related guarantees by payment status.

19

19 Multifamily loans that are two monthly payments or more past due or in the process of foreclosure as reported to us.
Allowance for Credit Losses and Charge-offs

• For information on the balance of allowance for credit losses at the end of the period, charge-offs during the period, and 

reconciliation of changes in allowance for credit losses refer to the 2023 Form 10-K at 171 (Table 6.1 - Details of the Allowance 

for Credit Losses). The table summarizes changes in our allowance for credit losses.

The table below presents Single-Family’s loans by past due status, along with the corresponding ratio of the Single-Family 

allowance for credit losses. Multifamily mortgage loans allowance for credit losses was immaterial as of December 31, 2023.

Table 4.3 - Single-Family Allowance for Credit Losses to Amortized Cost Basis

December 31, 2023

Past Due Status (Dollars in millions) Amortized Cost Basis

Allowance for Credit 

Losses to Amortized Cost 

Basis

Loans Not Past Due or Past Due Less Than 30 Days $2,984,681 0.20 %

Loans Past Due 30 Days but Less Than 90 Days 33,611 18.02 

Loans on Nonaccrual20 13,458 45.01 

Loans Past Due 90 Days and Still Accruing — N/A

Contractual Principal Payments Due by Specified Timeframe for Mortgage Loans

The table below presents the contractual principal payments due on loans underlying our mortgage portfolio by specified timeframe.

Table 4.4 - Principal Amounts Due by Specified Timeframe for Mortgage Loans21

December 31, 2023

(Dollars in millions)

Due in One Year 

or Less

Due after One 

Year through 

Five Years

Due after Five 

Years through 15 

Years

Due after

15 Years Total

Single-Family Fixed Rate $92,716 $396,459 $1,073,882 $1,409,478 $2,972,535 

Single-Family Adjustable Rate 694 3,099 9,131 11,050 23,974 

Single-Family Sub-Total 93,410 399,558 1,083,013 1,420,528 2,996,509 

Multifamily Fixed Rate 20,328 135,536 184,251 16,133 356,248 

Multifamily Adjustable Rate 3,686 21,951 57,742 951 84,330 

Multifamily Sub-Total 24,014 157,487 241,993 17,084 440,578 

Total $117,424 $557,045 $1,325,006 $1,437,612 $3,437,087 

20

20 The vast majority of non-accrual loans are past due over 90 days. There is a small overlap between loans past due 30 days but less than 90 days 

and loans on non-accrual.

21 For Single-Family, includes only UPB of mortgage loans held-for-investment. For Multifamily, excludes UPB of mortgage loans underlying off-balance 

sheet securitization trusts where we no longer have credit risk exposure.
5. COUNTERPARTY CREDIT RISK

Counterparty credit risk is the risk associated with the inability or failure of a counterparty to meet its contractual obligations.

We primarily manage our exposure to counterparty credit risk by:

◦ Maintaining eligibility standards;

◦ Evaluating creditworthiness and monitoring performance; and

◦ Working with underperforming counterparties and limiting our losses from their nonperformance of obligations, when 

possible.

• For additional information on counterparty risks on derivatives and repo-style transactions, refer to the 2023 Form 10-K at 76 

(Financial Intermediaries, Clearinghouses, and Other Counterparties).

In addition to the risk management strategies above, we have defined guidelines to enable prudent risk management which are 

briefly described below.

Methodology Used to Assign Credit Limits

As part of the overall credit risk assessment, our counterparty credit exposures are assigned risk ratings and are subject to approval 

based on defined credit approval standards. In making credit decisions, we consider risk rating, collateral, country, industry, and 

single-name concentration limits while also balancing these considerations with the total borrower or counterparty relationship. We 

use a variety of tools to continuously monitor the ability of a borrower or counterparty to perform under its obligations. We use risk 

rating aggregations to measure and evaluate concentrations within portfolios.

Policies for Securing, Valuing and Managing Collateral

Our policies and procedures cover the management and governance of financial assets (including securing and valuing collateral) 

utilized to mitigate the credit risk of over-the-counter (OTC) derivatives and repo-style transactions. Businesses are required to 

establish standard eligibility criteria for collateral usage and review processes for approving non-standard collateral. Industrystandard legal agreements combined with internal reviews for legal enforceability are used to achieve a perfected security interest in 

the collateral.

Additionally, risk management establishes guidelines on appropriate collateral haircuts related to repo-style transactions. Potential 

correlations between the exposure and the underlying collateral are reflected through appropriate haircuts. A haircut is the 

percentage of reduction in current market value applicable to each type of collateral and is largely based on market liquidity and 

price volatility of the underlying security. Given the above, we consider the liquidity and marketability of our collateral when 

determining its eligibility as a risk mitigant and in applying appropriate haircuts under the ERCF rules.

The current market value of collateral is monitored regularly. Margin procedures are established for margin calls for which daily 

margining is considered the best practice to maintain an appropriate level of collateral coverage reflecting market value fluctuations. 

Trades are reconciled regularly, consistent with regulatory or industry best practice guidelines. Similarly, margin dispute processes in 

line with general industry practices are also in place. Procedures are established surrounding collateral substitution and collateral 

reuse/rehypothecation.

Our derivatives are reported at their fair value on our consolidated balance sheets. 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 agreement. When a counterparty in OTC derivatives that is 

subject to a master netting agreement has a net obligation to us, generally, the counterparty is obligated to deliver collateral in the 

form of cash, securities, or a combination of both, to satisfy its obligation to us under the master netting agreement.

• For additional information on policies for securing, valuing and managing collateral, refer to the 2023 Form 10-K at 76 

(Derivative Counterparties), 180 (Note 9 Derivatives), and 185 (Note 10 Collateralized Agreements).

We monitor the financial strength of our counterparties to other investments, including securities purchased under agreements to 

resell, and may use collateral maintenance requirements to manage our exposure to individual counterparties. As of December 31, 

2023, all of our securities purchased under agreements to resell were fully collateralized. 

• For additional information on our Other investments counterparties, refer to the 2023 Form 10-K at 77 (Other Investments 

Counterparties).

Collateral and Creditworthiness

When a counterparty in OTC derivatives that is subject to a master netting agreement has a net obligation to us, generally, the 

counterparty is obligated to deliver collateral in the form of cash, securities, or a combination of both, to satisfy its obligation to us 

under the master netting agreement. Our OTC derivatives also require us to post collateral to counterparties when we are in a 

derivative liability position.

21
The collateral posting thresholds that our OTC counterparties assign to us are generally based on Standard & Poor's (S&P) or 

Moody's credit ratings. The lowering or withdrawal of our credit rating by S&P or Moody's may increase our obligation to post 

collateral, depending on the amount of the counterparty’s exposure to us with respect to the derivative transactions.

• For additional information on the primary types of collateral taken, refer to the 2023 Form 10-K at 76 (Financial Intermediaries, 

Clearinghouses, and Other Counterparties), 180 (Note 9 Derivatives), and 185 (Note 10 Collateralized Agreements).

• For additional information on the impact of the amount of collateral we would have to provide for a given credit rating 

downgrade, refer to the 2023 Form 10-K at 76 (Financial Intermediaries, Clearinghouses, and Other Counterparties) and 181 

(Derivative Counterparty Credit Risk).

Gross Positive Fair Value of Contracts, Collateral Held, and Net Unsecured Credit Exposure

• For information on the gross positive fair value of contracts, collateral held, and net unsecured credit exposure, refer to the 

tables below or the 2023 Form 10-K at 183 (Table 9.2 - Offsetting of Derivatives) and 185 (Table 10.1 - Offsetting and Collateral 

Information of Certain Financial Assets and Liabilities). 

Table 5.1 - Offsetting of Derivatives

December 31, 2023

Derivative 

Assets

Derivative 

Liabilities (In millions)

OTC derivatives $6,165 ($7,866) 

Cleared and exchange-traded derivatives 13 (36) 

Mortgage commitment derivatives 47 (10) 

Other 3 (795) 

Total derivatives 6,228 (8,707) 

Counterparty netting (4,210) 4,209 

Cash collateral netting (1,532) 3,625 

Net amount presented in the consolidated balance sheets 486 (873) 

Gross amount not offset in the consolidated balance sheets (366) 47 

Net amount $120 ($826) 

Table 5.2 - Offsetting and Collateral Information of Certain Financial Assets and Liabilities

December 31, 2023

(In millions)

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

Net

Amount

Assets:

Securities purchased under agreements to resell $105,393 ($10,245) $95,148 ($95,148) $— 

Liabilities:

Securities sold under agreements to repurchase (10,245) 10,245 — — — 

Purchased and Sold Derivatives

• For information on the notional amount of purchased and sold derivatives, including the distribution of the credit derivative 

products used, categorized further by protection bought and sold within each product group, refer to the table below or the 

2023 Form 10-K at 181 (Table 9.1 - Derivative Assets and Liabilities at Fair Value). We do not perform intermediation activities 

related to derivatives. 

22
Table 5.3 - Derivative Assets and Liabilities at Fair Value

December 31, 2023

Notional or 

Contractual 

Amount

Derivatives at Fair Value

(Dollars in millions) Assets Liabilities

Not designated as hedges

Interest-rate risk management derivatives:

Swaps $351,193 $1,638 ($462) 

Written options 48,227 — (1,746) 

Purchased options 89,790 4,251 — 

Futures 132,982 — — 

Total interest-rate risk management derivatives 622,192 5,889 (2,208) 

Mortgage commitment derivatives 26,911 43 (10) 

CRT-related derivatives 30,578 — (228) 

Other 14,572 3 (567) 

Total derivatives not designated as hedges 694,253 5,935 (3,013) 

Designated as fair value hedges

Interest-rate risk management derivatives:

Swaps 172,202 276 (5,658) 

Total derivatives designated as fair value hedges 172,202 276 (5,658) 

Receivables (payables) 17 (36) 

Netting adjustments (5,742) 7,834 

Total derivative portfolio, net $866,455 $486 ($873) 

23
6. CREDIT RISK MITIGATION

This section covers credit risk concentration as well as non-securitized credit enhancements (CE), examples of which include 

primary mortgage insurance (MI), lender risk-sharing, seller indemnification, Multifamily pool insurance and Multifamily bond 

insurance. Our CE via securitization, CRT and reinsurance are covered in Section 7 CRT and Securitization.

We hold an immaterial amount of collateral for non-securitized credit risk mitigation as of December 31, 2023.

Risk Concentrations and Credit Enhancement Providers

Based on our assessment of business conditions that could affect our financial results, we have determined that concentrations of 

credit risk exist among certain borrowers (including geographic concentrations), loan sellers and servicers, credit enhancement 

providers, and other investment counterparties.

• For a general discussion of our derivative counterparties as well as related master netting and collateral agreements, see 

Section 5 Counterparty Credit Risk.

The sections below discuss the concentration of credit risk for each of the groups to which we are exposed.

Single-Family Mortgage Portfolio

In the Single-Family mortgage portfolio, geographic concentrations may increase the exposure of our portfolio to credit risk, as 

regional economic conditions may affect a borrower's ability to repay and the underlying property value.

• For a summary of the concentration of Single-Family mortgage portfolio by geographic area, refer to the 2023 Form 10-K at 

196 (Note 15 Concentration of Credit and Other Risks).

Multifamily Mortgage Portfolio

In the Multifamily mortgage portfolio, concentration of credit risk depends on the legal structure of the investments we hold. Our 

exposure to credit risk in our senior subordinate securitization products is minimal, as the expected credit risk is generally absorbed 

by the subordinate tranches, which are typically sold to third-party investors. As a result, our Multifamily mortgage credit risk is 

primarily related to loans that have not been securitized and loans underlying our fully guaranteed securitizations (e.g., Multifamily 

PCs).

Numerous factors affect the credit risk related to multifamily borrowers, including effective rents paid and capitalization rates for the 

mortgaged property. Effective rents paid vary among geographic regions of the United States. Geographic concentrations may 

increase the exposure of our portfolio to credit risk, as regional economic conditions may affect a multifamily borrower's ability to 

repay and the underlying property value.

• For a summary of the concentration of Multifamily mortgage portfolio by geographic area, refer to the 2023 Form 10-K at 196 

(Note 15 Concentration of Credit and Other Risks).

Single-Family Sellers and Servicers

We acquire a significant portion of our Single-Family loan purchase volume from several large sellers. Significant portions of our 

single-family loans are serviced by several large servicers.

We are also exposed to the risk that servicers might fail to service loans in accordance with the contractual requirements, resulting 

in increased credit losses. For example, our servicers have an active role in our loss mitigation efforts, and we, therefore, have 

exposure to them to the extent a decline in their performance results in a failure to realize the anticipated benefits of the loss 

mitigation plans. Since we do not have our own servicing operation, if our servicers lack appropriate controls, experience a failure in 

their controls, or experience an operational disruption in their ability to service loans, our business and financial results could be 

adversely affected.

• For additional information on the concentration of Single-Family sellers and servicers, refer to the 2023 Form 10-K at 196 (Note 

15 Concentration of Credit and Other Risks). 

Multifamily Sellers and Servicers

We acquire a significant portion of our Multifamily loan purchase and guarantee volume from several large sellers. Significant 

portions of our multifamily loans are serviced by several large servicers.

• For additional information on the concentration of Multifamily sellers and servicers, refer to the 2023 Form 10-K at 196 (Note 15 

Concentration of Credit and Other Risks).

Credit Enhancement Providers

We have counterparty credit risk relating to the potential insolvency of, or nonperformance by, mortgage insurers that insure singlefamily loans we purchase or guarantee.

24
We evaluate the recovery and collectability from mortgage insurers as part of the estimate of our allowance for credit losses. 

Changes in our expectations related to recovery and collectability from our credit enhancement providers may affect our estimates of 

expected credit losses, perhaps significantly.

• For a summary of the concentration of mortgage insurer counterparties who provided 10% or more of our overall primary 

mortgage insurance coverage, refer to the 2023 Form 10-K at 196 (Note 15 Concentration of Credit and Other Risks).

Other Investment 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 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 

institutions, including other GSEs, Treasury, the Federal Reserve Bank of New York, the Government Securities Division (GSD)/

Fixed Income Clearing Corporation (FICC), highly rated supranational institutions, depository and non-depository institutions, 

brokers and dealers, and government money market funds.

• For additional information on derivative counterparties creditworthiness and the concentration of credit and other risks and main 

types of credit enhancement providers and their creditworthiness, refer to the 2023 Form 10-K at 76 (Derivative Counterparties) 

and 196 (Note 15 Concentration of Credit and Other Risks).

Exposures Covered by Eligible Financial Collateral and/or Guarantees

The table below presents exposure and post-CE RWA of Single-Family primary mortgage insurance and other non-CRT credit 

enhancements and Multifamily non-CRT credit enhancements. 

Table 6.1 - Exposures and Post-CE RWA of Non-CRT Credit Enhancements

December 31, 2023

(Dollars in millions) Exposure Post-CE RWA

Single-Family

Primary mortgage insurance $637,037 $340,941 

Other non-CRT credit enhancements 6,726 1,882 

Less: exposures with multiple non-CRT credit enhancements 862 349 

Total Single-Family 642,901 342,474 

Multifamily non-CRT credit enhancements 12,435 2,068 

Total $655,336 $344,542 

25
7. CRT AND SECURITIZATION

To reduce our credit risk exposure, we engage in various types of credit enhancements, including CRT transactions and other 

securitized credit enhancements. We define CRT transactions as those arrangements where we actively transfer the credit risk 

exposure on mortgages that we own or guarantee. 

Objectives for Securitizing Assets

Our CRT transactions are designed to reduce the amount of required capital related to credit risk, to transfer portions of credit losses 

on groups of previously acquired loans to third-party investors, and to reduce the risk of future losses to us when borrowers default. 

• For additional information on Single-Family and Multifamily’s objectives for securitizing assets, refer to the 2023 Form 10-K at 

30 (Single-Family Credit Enhancement Activities) and 43 (Multifamily Credit Enhancement Activities).

Scope of CRT and Securitization Exposures

CRT and Securitization exposures under this section include both on-balance sheet and off-balance sheet exposures that arise from 

traditional or synthetic securitizations, as well as eligible reinsurance risk transfer. Traditional securitization exposures are those 

where all or a portion of the credit risk of one or more underlying exposures is transferred to one or more third parties other than 

through the use of credit derivatives or guarantees, whereas synthetic securitizations utilize derivatives or guarantees to transfer the 

risk to a third-party. Eligible reinsurance risk transfer is defined as a credit transfer in which we transfer the credit risk on one or more 

mortgage exposures to one or more insurance companies or reinsurers that have been approved by us.

We had no affiliated entities in CRT securitization transactions as of December 31, 2023.

We had no retained or purchased resecuritization exposures that meet the ERCF criteria as of December 31, 2023.

Freddie Mac’s Role and Involvement

We mainly act as an originator in traditional senior subordinated securitizations (for example Multifamily K Certificates and SingleFamily reperforming loan senior subordinated securities) and synthetic CRT securitizations such as Structured Agency Credit Risk 

(STACR) debt notes and trust notes and Structured Credit Risk (SCR) debt notes and trust notes. We act as an insurance buyer in 

reinsurance CRT transactions which mainly include Agency Credit Insurance Structure (ACIS) and Multifamily Credit Insurance Pool 

(MCIP). 

Nature of Inherent Risks

Our CRT transactions may not be available to us in adverse economic conditions. Additionally, some of our CRT transactions have 

early termination clauses or maturity dates that are earlier than the maturities of the reference mortgage loans, and we may also 

seek to terminate certain CRT transactions by repurchasing the related securities. We will be exposed to increased credit risk on the 

reference mortgage loans after termination of such transactions.

Additionally, we retain a portion of the risk of future losses on loans covered by CRT transactions, including all or a portion of the first 

loss risk in Single-Family STACR and ACIS transactions and Multifamily MCIP and SCR transactions. For some CRT transactions, 

there may be a significant difference in time between when we recognize a credit loss in earnings and when we recognize the 

related recovery in earnings, and this lag could adversely affect our financial results in the earlier period. 

We have counterparty credit risk relating to the potential insolvency of, or nonperformance by, insurers and reinsurers through our 

ACIS and MCIP transactions where we purchase insurance policies as part of our CRT activities. 

The profitability of our Multifamily business could be adversely affected by market competition and/or decreased investor demand for 

our K Certificates and other securities.

• For additional details on risks in our CRT and securitization, refer to the 2023 Form 10-K at 116 (Credit Risks), 121 (Market 

Risks) and 199 (Credit Enhancement Providers).

Risk Management, Monitoring, and Mitigation

We require our ACIS and MCIP counterparties to partially collateralize their exposure to reduce the risk that we will not be 

reimbursed for our claims under the policies. 

• For additional information on ACIS and MCIP collateral, refer to the 2023 Form 10-K at 76 (ACIS Counterparties) and 43 

(Multifamily Credit Enhancement Activities).

We monitor the costs and benefits provided by the CRT coverage we have obtained on a regular basis, including the impact of CRT 

on our capital requirements under the ERCF. We may periodically terminate certain CRT transactions, through the exercise of 

contractual call options, repurchases of outstanding securities, or other means, if we determine prior to contractual maturity that they 

are no longer economically sensible. 

26
Our Single-Family loss mitigation strategy emphasizes early intervention by servicers in delinquent loans and offers alternatives to 

foreclosure by providing servicers with default management programs designed to manage delinquent loans and to assist borrowers 

in maintaining homeownership or facilitate foreclosure alternatives. We offer (or previously offered) a variety of borrower assistance 

programs, including refinance programs for certain eligible loans and loan workout activities for struggling borrowers. Our loan 

workouts include both home retention options and foreclosure alternatives. 

To help mitigate our potential Multifamily losses, we generally require sellers to act as the primary servicer for loans they have sold 

to us, including property monitoring tasks beyond those typically performed by single-family servicers. 

• For additional details on managing the credit risk retained through securitization via loss mitigation activities, refer to the 2023 

Form 10-K at 32 (Loss Mitigation Activities) and 71 (Managing Our Portfolio, Including Loss Mitigation Activities).

Collateral Types

• For the main types of collateral posted by ACIS counterparties, refer to the 2023 Form 10-K at 76 (ACIS Counterparties), which 

may include cash, U.S. Treasury securities, and agency securities. Collateral posted by MCIP providers was immaterial as of 

December 31, 2023. 

Risk-Based Capital Approaches

All of our CRT deals follow the Credit Risk Transfer Approach (CRTA) for measuring risk-based capital. We may elect to not 

recognize a CRT transaction that does not provide ERCF capital relief. We apply the Simplified Supervisory Formula Approach 

(SSFA) for certain legacy private label security (PLS) securitization exposures that have not been originated by us.

Securitization Special Purpose Entities (SPEs)

Our Multifamily segment occasionally securitizes loans or bonds contributed by third parties that are underwritten by us after 

origination. Prior to securitization, we are not exposed to the credit risk of these underlying loans or bonds. However, as we may 

guarantee some or all of the securities issued by the trusts used in these transactions, credit risk is effectively assumed to be equal 

to the guaranteed UPB. These securitizations generally provide for structural credit enhancements (e.g., subordination or other loss 

sharing arrangements) that allocate first loss exposure to third parties.

• For additional information on our securitization of third-party exposures and the off-balance sheet accounting treatment of our 

interests in such VIEs, refer to the 2023 Form 10-K at 68 (Completing our own Underwriting, Credit and Legal Review for New 

Business Activity) and 149 (Note 3 Securitizations and Variable Interest Entities).

Accounting Policies

In Single-Family’s CRT via traditional securitization with senior subordinate structures, we sell loans into non-Freddie Mac controlled 

trusts, derecognize the transferred loans, and account for our guarantee to the nonconsolidated Variable Interest Entity (VIE). We 

account for our investments in the beneficial interests issued by the nonconsolidated VIE, if any, as investments in debt securities. 

In a typical Multifamily K Certificate transaction, we sell multifamily loans to a non-Freddie Mac trust that issues senior and 

subordinate securities, and simultaneously purchase and place the senior securities into a Freddie Mac trust that issues guaranteed 

K Certificates. In these transactions, we guarantee the senior securities issued by the non-Freddie Mac trust but do not issue or 

guarantee the subordinate securities. 

• For additional information on traditional securitization and other securitization products, refer to the 2023 Form 10-K at 150 

(Note 3 Securitizations and Variable Interest Entities, Nonconsolidated VIEs).

In STACR Trust notes transactions, a trust issues credit-linked notes whose repayments are based on the credit performance of a 

reference pool of mortgage loans. The trust uses the proceeds from the issuance of the notes to purchase short-term eligible 

investments and makes periodic payments of principal and interest on the notes to investors. We make payments to the trust to 

support payment of the interest due on the notes, and we receive payments from the trust that otherwise would have been made to 

the noteholders to the extent there are credit events on the mortgages in the reference pool. The note balances are reduced by the 

amount of the payments to us. The trust was designed to create and pass along to its interest holders the variability related to the 

credit risk of the mortgages in the reference pool. We do not have a variable interest in the risk that the trust was designed to create 

and pass along to its interest holders or the power to direct the activities that most significantly affect the economic performance of 

the VIE. As a result, we do not consolidate the trusts used in the STACR Trust note transactions.

In Multifamily, we may transfer credit risk on certain mortgage loans that we own or guarantee by entering into SCR Trust note 

transactions, which are similar to STACR Trust note transactions in Single-Family. We do not consolidate the trusts used in SCR 

Trust note transactions and account for SCR Trust note transactions in the same manner as we account for STACR Trust note 

transactions.

• For additional information on trust note transactions, refer to the 2023 Form 10-K at 152 (Note 3 Securitizations and Variable 

Interest Entities, CRT Products).

27
STACR debt note is a Freddie Mac issued debt security where the principal balance is linked to the credit performance of a 

reference pool of single-family loans owned or guaranteed by Freddie Mac. 

SCR debt note is a debt security where the principal balance is subject to the performance of a reference pool of multifamily loans 

guaranteed by Freddie Mac.

• For additional information on definition and accounting treatment of STACR debt note and SCR debt note, refer to the 2023 

Form 10-K at 58 and 69 (Transferring Credit Risk to Third-Party Investors), 177 (Note 8 Debt) and 272 (Glossary).

We apply freestanding accounting treatment to ACIS and MCIP transactions.

• For additional information on summary of accounting treatment of our CRT securitizations, refer to the 2023 Form 10-K at 58 

and 69 (Transferring Credit Risk to Third-Party Investors).

Valuation Method

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. 

We elected the fair value option on debt that contains embedded derivatives, including certain STACR and SCR debt notes.

• For additional information on our election of the fair value option, refer to the 2023 form 10-K at 200 (Note 16 Fair Value 

Disclosures).

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:

◦ Level 1 - Inputs to the valuation techniques are based on quoted prices in active markets for identical assets or 

liabilities;

◦ Level 2 - Inputs to the valuation techniques are based on observable inputs other than quoted prices in active 

markets for identical assets or liabilities;

◦ 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. Many of our valuation techniques use, either directly or indirectly, data provided by thirdparty pricing services or dealers. The techniques used by these pricing services and dealers to develop the prices generally are 

either: (1) A comparison to recent transactions involving the instrument or transactions involving instruments with similar collateral 

and risk profiles, adjusted as necessary based on specific characteristics of the asset or liability being valued, or (2) Industrystandard modeling, such as a discounted cash flow model. 

• For additional details of methods and key assumptions applied in valuing assets and liabilities at fair value, refer to the 2023 

Form 10-K at 200 (Note 16 Fair Value Disclosures).

For Single-Family loans intended to go into the GSE securitization markets, the general valuation technique is to benchmark security 

pricing for actively traded mortgage-related securities with similar characteristics, adjusting for the value of our guarantee fee and 

our credit obligation related to performing our guarantee. The credit obligation is based on compensation we charge under current 

market pricing for loans that qualify under our current underwriting standards (Level 2) and internal credit models for loans that do 

not qualify under our current underwriting standards (Level 3).

Multifamily loans are primarily valued using discounted cash flows based on observable K Certificate market spreads.

• For additional information on how exposures intended to be securitized are valued, refer to the 2023 Form 10-K at 201 (Note 

16 Fair Value Disclosures, Valuation Techniques).

Significant Changes

• For an explanation of significant changes in quantitative information related to new CRT issuance since last annual reporting 

period, refer to the 2023 Form 10-K at 38 (Single-Family Credit Enhancements) and 47 (Multifamily Credit Enhancement 

Activities). 

28
On- & Off-Balance Sheet Exposures of Securitization and Reinsurance CRT, Past Due Amount and Loss Recognized

The table below presents on- and off-balance sheet exposures by type of underlying collateral. These exposures are related to both 

traditional and synthetic securitization transactions as well as reinsurance CRT. Note that the table excludes CRT transactions that 

no longer provide capital relief and may include transactions that were not executed as of the period end.

Table 7.1 - On- & Off-Balance Sheet Securitization and Reinsurance CRT Exposures, Past Due Amount and Loss 

Recognized

December 31, 2023

 (Dollars in millions)

Total 

Exposure

On-Balance 

Sheet 

Exposure

Off Balance 

Sheet 

Exposure Retained Acquired

Past-due 

Amount22

Loss 

Recognized 

During the 

Quarter

Traditional

Single-Family securitization $23,758 $— $23,758 $23,758 $— $2,168 $— 

Multifamily securitization 310,730 — 310,730 310,730 — 732 — 

Private label securities 454 454 — — 454 7 — 

Synthetic/Reinsurance CRT

Single-Family CRT 1,558,684 1,558,684 — 1,558,684 — 9,559 17 

Multifamily CRT 48,511 43,541 4,970 48,511 — 107 — 

Total securitization and 

CRT exposure $1,942,137 $1,602,679 $339,458 $1,941,683 $454 $12,573 $17 

Securitization and Reinsurance CRT Exposures and Risk-based Capital Treatment

The table below presents our securitization and reinsurance CRT exposures and the associated risk-based capital treatment as of 

December 31, 2023.

Table 7.2 - Securitization and Reinsurance CRT Exposures and Risk-based Capital Treatment

December 31, 2023

Total Exposure RWA

RWA by Calculation Methodology

(Dollars in millions) SSFA CRTA 1250% Risk 

Weighted

Traditional

Single-Family securitization $23,758 $1,188 $— $1,188 $— 

Multifamily securitization 310,730 35,923 — 35,923 — 

Private label securities 454 917 917 — — 

Synthetic/Reinsurance CRT

Single-Family CRT 1,558,684 243,206 — 243,206 — 

Multifamily CRT 48,511 8,919 — 8,919 — 

Total securitization and CRT 

exposure $1,942,137 $290,153 $917 $289,236 $— 

29

22 Sixty days or more past due.
Securitization and Reinsurance CRT Exposures and Risk Weight Bands

The table below presents our securitization and reinsurance CRT exposures and the associated risk weight bands and capital 

impact of RWA as of December 31, 2023.

Table 7.3 - Securitization and Reinsurance CRT Exposures and Risk Weight Bands

December 31, 2023

(Dollars in millions) Total Exposure

SSFA Risk-Weighted 

Assets

CRTA Risk-Weighted 

Assets

Capital Impact 

of RWA23

Securitization/Reinsurance CRT

Zero to 20% $1,592,340 $9 $147,177 $6,623 

21% to 50% 270,474 1 83,169 3,743 

51% to 100% 68,855 — 45,669 2,055 

Over 100% 10,468 907 13,221 636 

Resecuritization

Zero to 20% — — — — 

21% to 50% — — — — 

51% to 100% — — — — 

Over 100% — — — — 

Total CRT and securitization/

resecuritization exposure $1,942,137 $917 $289,236 $13,057 

Assets Intended for Securitization and Reinsurance CRT and Related Activities 

The table below presents assets pending securitization (i.e., assets held with the intent to securitize) and Reinsurance CRT and our 

year-to-date securitization and reinsurance CRT activities. We did not have gain-on-sale on a securitization that has been deducted 

from CET1 capital as of December 31, 2023.

Table 7.4 - Assets Intended for Securitization and CRT and Related Activities

December 31, 2023

(Dollars in millions) 

Assets Pending 

Securitization or CRT

Securitized or Packaged 

into CRT YTD

Recognized Gain/Loss 

on Sale YTD

Traditional24

Single-Family securitization $3,527 $780 $— 

Multifamily securitization 11,960 34,034 — 

Private label securities — — — 

Synthetic/Reinsurance CRT25

Single-Family CRT 18,466 113,773 — 

Multifamily CRT 7,208 17,026 — 

Total securitization and CRT exposure $41,161 $165,613 $— 

30

23 Required CET1 capital amount associated with the exposure.

24 Single-Family assets pending securitization into traditional securities represent held-for-sale population as of quarter-end. Multifamily assets pending 

securitization into traditional securities represent retained loans intended for K-Deal senior subordinate securitizations.

25 Single-Family assets pending securitization into synthetic securities and reinsurance arrangements represent those STACR and ACIS transactions 

when a third-party broker/dealer is engaged, and collateral has been targeted for a CRT transaction. The assets are considered to be held with the 

intent to securitize and represented by assets pending securitization. Multifamily assets pending securitization into synthetic securities and reinsurance 

arrangements represent (a) retained held-for-investment loans intended to be securitized into Multifamily Participation Certificates (Multi PCs®) and 

other securities that are fully guaranteed by Freddie Mac, and (b) Multi PCs® and other guaranteed securities, as applicable, that have not yet been 

credit enhanced by an MCIP reinsurance and/or an SCR transaction.
8. EQUITIES

Our equity investments include Multifamily investments in certain non-publicly traded Low-Income Housing Tax Credit (LIHTC) 

partnerships. We account for these investments using the proportional amortization method. 

These LIHTC partnerships invest directly in limited partnerships that own and operate affordable multifamily rental properties that 

generate federal income tax credits and deductible operating losses. Multifamily’s ongoing investment in LIHTC partnerships helps 

to support and preserve the supply of affordable housing.

The tables below present carrying value, RWA and capital impact of RWA of LIHTC as of December 31, 2023. 

Table 8.1 - Multifamily LIHTC Carrying Value and RWA

December 31, 2023

(Dollars in millions) Public Non-Public Total

Carrying value $— $3,543 $3,543 

Unrealized gains/losses — — — 

Unrealized gains/losses not recognized on the balance sheet or 

through earnings — — — 

Fair value26 $— $3,543 $3,543 

Unrealized gains/losses included in risk-based capital — — — 

YTD Cumulative realized gains/losses from sales and liquidation — — — 

• For additional information on Multifamily LIHTC, refer to the 2023 Form 10-K at 43 (Multifamily Investing Activities) and 46 

(Multifamily Mortgage Portfolio and Guarantee Exposure).

Table 8.2 - Multifamily LIHTC Risk Weight Band

December 31, 2023

(Dollars in millions) Exposure RWA

Capital Impact 

of RWA27

0% Risk Weight $— $— $— 

20% — — — 

100% 3,543 3,543 159 

300% — — — 

400% — — — 

600% — — — 

Total $3,543 $3,543 $159 

31

26 Mathematical sum of above line items. Non-publicly traded investments do not have readily determinable fair values.

27 Required CET1 capital amount associated with the exposure.
9. INTEREST RATE RISK FOR NON-TRADING ACTIVITIES

Interest-rate risk is the economic risk related to adverse changes in the level or volatility of interest rates. Interest rates can fluctuate 

for many reasons, including changes in the fiscal and monetary policies of the federal government and its agencies as well as 

geopolitical events or changes in general economic conditions, such as increased inflation. 

A change in the level of interest rates (represented by a parallel shift of the yield curve, all else constant) exposes our assets and 

liabilities to risk, potentially affecting expected future cash flows and their present values. Similarly, changes in the shape or slope of 

the yield curve (often reflecting changes in the market's expectation of future interest rates) expose our assets and liabilities to risk, 

potentially affecting expected future cash flows and their present values. Volatility risk is the risk that changes in the market's 

expectation of the magnitude of future variations in interest rates will adversely affect our economic value. We are exposed to 

volatility risk in both mortgage-related assets and liabilities, especially in instruments with embedded options.

Changes in interest rates could adversely affect the cash flows and prepayment rates on assets that we own and related debt and 

derivatives. In addition, changes in interest rates could adversely affect the prepayment rate or default rate on the loans that we 

guarantee. For example, when interest rates decrease, borrowers are more likely to prepay their loans by refinancing them at a 

lower rate. An increased likelihood of prepayment on the loans underlying our mortgage-related securities may adversely affect the 

value of these securities.

Interest-rate risk is managed across both non-trading and any limited trading activities we undertake. We measure the impact of 

interest rate shifts on the prices and durations of our interest rate sensitive assets and liabilities daily.

• For a detailed discussion of our interest rate risk management, including the nature of interest rate risk for all applicable 

activities, key assumptions, and the use of interest rate derivatives, including swaps, swaptions, and futures as hedges to 

manage interest rate risk, refer to the 2023 Form 10-K at 79 (Risk Management, Market Risk) and 121 (Risk Factors, Market 

Risks).

• For the increase (decline) in earnings or economic value (or relevant measure used by management) for upward and 

downward rate shocks according to management's method for measuring interest rate risk for all applicable activities, refer to 

the 2023 Form 10-K at 81 and 83 (Tables 43-46).

10. OPERATIONAL RISK

Operational risk is the risk of direct or indirect loss resulting from inadequate or failed internal processes, people, or systems or from 

external events. Operational risk is inherent in all of our activities. 

Operational risk events include breakdowns related to people, process, and/or technology that could result in financial loss, legal 

actions, regulatory fines and restrictions, and reputational harm. Operational risk includes people, reporting, transactions and 

governance, information, technology, third-party resiliency, and models. As part of the ERM Framework, operational risks are 

identified, assessed, controlled, monitored, and reported.

Our current approach for measuring operational risk capital is based on a Standardized Approach of 15 basis points of our ATA. We 

are working towards implementing an Advanced Measurement Approach (AMA) which is targeted for implementation in 2028. 

Additional disclosures behind the model and considerations will be provided after AMA is implemented.

• For general information on operational risk and a description of the use of insurance to mitigate operational risk, refer to the 

2023 Form 10-K at 84 (Operational Risk). 

32
11. TIER 1 LEVERAGE RATIO

Under the ERCF, the Tier 1 leverage ratio is calculated as available Tier 1 Capital under the ERCF divided by our ATA.

Our available Tier 1 Capital consists of total equity minus SPS, DTA arising from temporary differences that exceed 10% of CET1 

capital, and certain other items with immaterial balances. 

Our ATA for the same period mainly consists of total on-balance sheet assets and Single-Family and Multifamily off-balance sheet 

financial guarantees, which mainly include Single-Family and Multifamily exposures from securitization activity guarantees, other 

mortgage-related guarantees and guarantees of Fannie Mae securities.

Tier 1 leverage requirement acts as a backstop to risk-based capital requirements as it is less sensitive to risk and less prone to 

model and assumption errors.

Accounting Assets and Adjusted Total Assets 

The table below presents a summary comparison of our accounting assets and our ATA.

Table 11.1 - Reconciliation of Accounting Total Assets to Adjusted Total Assets

December 31, 2023

(Dollars in millions) Amount

Total consolidated assets as reported in published financial statements $3,280,976 

Adjustment for fiduciary assets recognized on balance sheet but excluded from total leverage 

exposure — 

Adjustment for derivative exposures 4,030 

Adjustment for repo-style transactions 12,942 

Adjustment for off-balance sheet exposures (that is, conversion to credit equivalent amounts of offbalance sheet exposures) 474,946 

Other adjustments 2,569 

Adjusted Total Assets $3,775,463 

33
Tier 1 Capital Leverage Ratio

The table below presents the components of our Tier 1 Capital Leverage Ratio.

Table 11.2 - Composition of Adjusted Total Assets and Tier 1 Leverage Ratio

December 31, 2023

(Dollars in millions) Amount

On-balance sheet exposures

On-balance sheet assets (excluding on-balance sheet assets for repo-style transactions and 

derivative exposures, but including cash collateral received in derivative transactions and addback of allowance for credit losses) $3,192,017 

Less: Amounts deducted from Tier 1 Capital 4,107 

Total on-balance sheet exposures (excluding on-balance sheet assets for repo-style transactions and 

derivative exposures, but including cash collateral received in derivative transactions) 3,187,910 

Derivative exposures

Current exposure for derivative exposures (that is, net of cash variation margin) 206 

Add-on amounts for potential future exposure (PFE) for derivative exposures 1,892 

Gross-up for cash collateral posted if deducted from the on-balance sheet assets, except for cash 

variation margin — 

Less: Deductions of receivable assets for cash variation margin posted in derivative 

transactions, if included in on-balance sheet assets — 

Less: Exempted CCP leg of client-cleared transactions — 

Effective notional principal amount of sold credit protection — 

Less: Effective notional principal amount offsets and PFE adjustments for sold credit protection — 

Default Fund Contributions 2,419 

Total derivative exposures 4,517 

Repo-style transactions

On-balance sheet assets for repo-style transactions, except include the gross value of receivables 

for reverse repurchase transactions. Exclude from this item the value of securities received in a 

security-for-security repo-style transaction where the securities lender has not sold or rehypothecated the securities received. Include in this item the value of securities that qualified for 

sales treatment that must be reversed 105,393 

Less: Reduction of the gross value of receivables in reverse repurchase transactions by cash 

payables in repurchase transactions under netting agreements — 

Counterparty credit risk for all repo-style transactions 2,697 

Exposure for repo-style transactions where the Enterprise acts as an agent — 

Total exposures for repo-style transactions 108,090 

Other off-balance sheet exposures

Off-balance sheet exposures at gross notional amounts. 487,734 

Less: Adjustments for conversion to credit equivalent amounts and off-balance sheet exposures 

held in retained portfolio 12,788 

Off-balance sheet exposures 474,946 

Capital and Adjusted Total Assets

Tier 1 Capital (29,034) 

Adjusted total assets (sum of total on-balance sheet exposures, total derivative exposures, total 

exposures for repo-style transactions, and off-balance sheet exposures) $3,775,463 

Tier 1 leverage ratio

Tier 1 leverage ratio (in percent) (0.8) %

34
12. MARKET RISK DISCLOSURES

Our business segments have 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. The primary sources of interest-rate risk are from our investments in mortgage-related assets, the debt we issue to fund 

these assets, and our Single-Family guarantees.

Market risk under the ERCF reflects spread risk and defines covered position as any asset that has more than de minimis spread 

risk (other than any intangible asset, such as any servicing asset). Based on the ERCF, measurement of market risk approaches 

include prescribed capital percentage, spread duration approach and internal model method. For additional details, refer to Table 

12.1.

Characteristics of the Internal Models Used in Market Risk Capital Calculations

As the ERCF regulation requires that the market risk capital be limited to spread risk, the Investment and Capital Markets (ICM) 

market risk capital model is designed to be consistent with a 99.9% Value at Risk (VaR) spread return loss over a one-year holding 

period, with an adjustment to explicitly account for the impact from potential prepayment model error.

The model reflects a blended approach, using historical spread returns to establish a backward-looking basis for the 99.9% VaR. 

Then on a forward-looking basis, it measures the prepayment model uncertainty relative to our past experience. The spread return 

used in the model is based on key unhedged components, with the primary driver being profit and loss attributed to the variability of 

Option-Adjusted-Spread (OAS). 

Market value and spread duration for Multifamily loans and security investments are monitored and used as inputs to compute 

market risk capital based on a single point spread shock as prescribed by ERCF. We leverage the internal Multifamily market risk 

capital model for securities where the spread shock is not prescribed by ERCF (e.g., Interest-Only (IO) securities). 

Benchmarking of Internal Estimates

In model development, we aim to use available historical data on spread returns. In this sense, the ICM market risk capital model is 

periodically updated. In addition, we have ongoing monitoring in place to benchmark the model results against Comprehensive 

Capital Analysis and Review (CCAR). 

Material Portfolios

• For the composition of the material portfolio of covered positions, refer to Table 12.1.

Valuation Policies, Procedures, and Methodologies

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.

• For additional information related to the accounting guidance for fair value measurements, refer to 7 CRT and Securitization.

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.

The independent validation procedures performed by the ERM Division are intended to monitor that the prices we receive from third 

parties are consistent with our observations of market activity, and that fair value measurements developed using internal data 

reflect the assumptions that a market participant would use in pricing our assets and liabilities. These validation procedures include 

performing a daily price review and a monthly independent verification of fair value measurements through independent modeling, 

analytics, and comparisons to other market source data, if available. If we are unable to validate the reasonableness of a given 

price, we ultimately do not use that price for fair value measurements on our consolidated financial statements. These procedures 

are risk-based and are executed before we finalize the prices used in preparing our fair value measurements for our financial 

statements.

In addition to performing the validation procedures noted above, the ERM Division provides independent risk governance over all 

valuation processes by establishing and maintaining a corporate-wide valuation risk policy. The ERM Division also independently 

reviews significant judgments, methodologies, and valuation techniques to monitor compliance with established policies.

Where models are employed to assist in the measurement and verification of fair values, changes made to those models during the 

period are reviewed and approved according to the corporate model change governance process, with material changes reviewed at 

the Valuation Risk Committee. Inputs used by models are regularly updated for changes in the underlying data, assumptions, 

valuation inputs, and market conditions and are subject to the valuation controls noted above.

• For information on our valuation policies, procedures, and methodologies for covered positions and securitization positions, the 

methods and key assumptions used for valuing such positions, refer to the 2023 Form 10-K at 200 (Note 16 Fair Value 

Disclosures).

35
Internal Modeling

Model development, changes to existing models, and model risks are managed in each business line according to our three lines 

framework (see Risk Management for more information). New model development and changes to existing models undergo a review 

process. Each business periodically reviews model performance, embedded assumptions, limitations, and modeling techniques, and 

updates its models as it deems appropriate. ERM independently validates the work done by the business lines (e.g., conducting 

independent assessments of ongoing monitoring results, model risk ratings, performance monitoring, and reporting against 

thresholds and alerts).

• For information on the approaches used for validating and evaluating the accuracy of models and modeling processes, refer to 

the 2023 Form 10-K at 87 (Model Risk).

Stress Test

Stress testing of our credit spread risk is included as a component of the annual regulatory Dodd-Frank Act Stress Testing (DFAST) 

requirements. The global market shock component consists of applying instantaneous spread shocks provided by FHFA to trading 

securities, available-for-sale (AFS) securities, derivatives, and other assets and debt measured at fair value under GAAP 

accounting.

We use models to analyze possible future interest-rate scenarios, along with the cash flows of our assets and liabilities over those 

scenarios.

We calculate our exposure to changes in interest rates for our interest-rate sensitive assets and liabilities using effective duration 

and effective convexity, based on our models.

• For information on stress testing of credit spread risk in the annual DFAST process, our application of models to analyze 

outcome of different interest rate scenarios and the scenarios applied to the positions subject to particular interest rate risk 

factors, refer to the 2023 Form 10-K at 79 (Market Risk). 

Market Risk Change Monitoring

We actively measure and manage our duration gap exposure. In addition to duration gap management, we also measure and 

manage the price sensitivity of our portfolio to a number of different specific interest rate changes along the yield curve. The price 

sensitivity of an instrument to specific changes in interest rates is known as the instrument's key rate duration risk. By managing our 

duration exposure both in aggregate through duration gap and to specific changes in interest rates through key rate duration, we 

expect to limit our exposure to interest rate changes for a wide range of interest rate yield curve scenarios.

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.

• For information related to market risk change monitoring, including monitoring changes in the market risk of securitization 

positions, refer to the 2023 Form 10-K at 79 (Market Risk). We have no resecuritization exposure as of December 31, 2023.

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Exposure Amounts and Risk-Weighted Assets

The table below presents the exposure amounts and RWA by each product type included in covered positions of any material 

portfolio.

Table 12.1 - Market Risk Exposures and RWA

December 31, 2023

(Dollars in millions) Exposure Standardized Market 

RWA

Single Point Approach

Mortgage exposures that are not secured by an MBS guaranteed by the Enterprise

Non-Performing loans $3,896 $2,313 

Re-Performing loans 19,494 11,575 

Reverse mortgage loans — — 

Reverse mortgage securities — — 

Spread Duration Approach

Multifamily mortgage exposures 21,445 1,790 

Private-Label Securities28 465 661 

MBS (non-IO) guaranteed by an Enterprise or by Ginnie Mae and secured by 

Multifamily mortgage exposures 4,379 1,950 

Internal Estimates

Covered Positions that are not subject to the Single Point or Spread Duration 

Approaches

Single-Family MBS guaranteed by the Enterprise 23,228 25,391 

Single-Family MBS guaranteed by Ginnie Mae — — 

Single-Family MBS guaranteed by the other Enterprise 264 405 

Multifamily IO securities guaranteed by an Enterprise or Ginnie Mae 1,616 1,956 

Commercial MBS 55 10 

CRT exposures29 880 536 

Other securitization exposures 3,211 6,372 

Performing loans, not securitized 8,206 1,579 

Other trading assets and liabilities 353 (839) 

Total $87,492 $53,699 

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28 Market risk exposure and RWA of on-balance sheet PLS.

29 Market risk exposure and RWA of off-balance sheet re-performing loan senior subordination securities.
GLOSSARY

This Glossary includes acronyms and defined terms that are used throughout this report.

• ACIS - Agency Credit Insurance Structure - Transactions in which we purchase insurance policies that provide credit protection 

for certain specified credit events on the mortgage loans in the related reference pools, or provide front-end credit risk transfer 

as loans come into the portfolio. Under each of these insurance policies, we pay monthly premiums that are determined based 

on the outstanding balance of the reference pool. When specific credit events occur, we generally receive compensation from 

the insurance policy up to an aggregate limit based on actual losses.

• CCP - Central counterparty, counterparty (for example, a clearing house) that facilitates trades between counterparties in one 

or more financial markets by either guaranteeing trades or novating contracts.

• CE - Credit Enhancement.

• CET1 - Common Equity Tier 1.

• Charge-Offs - Represent the amount of a financial asset that is removed from our consolidated balance sheets when deemed 

uncollectible, regardless of when the impact of the credit loss was recorded on our consolidated statements of comprehensive 

income. For mortgage loans, generally the amount of a charge-off is the recorded investment in excess of the fair value of the 

loan's collateral.

• Conservatorship Scorecard - FHFA's mechanism for outlining specific conservatorship priorities for Freddie Mac, Fannie 

Mae, and their joint venture, Common Securitization Solutions, LLCSM.

• Credit Enhancement - A financial arrangement that is designed to reduce credit risk by partially or fully compensating an 

investor in a mortgage or security (e.g., Freddie Mac) in the event of specified losses. Examples of credit enhancements 

include insurance, CRT transactions, overcollateralization, indemnification agreements, and government guarantees.

• CRT - Credit Risk Transfer - Arrangements where we actively transfer the credit risk exposure on mortgages that we own or 

guarantee.

• DSCR - Debt Service Coverage Ratio - An indicator of future credit performance for multifamily loans. The DSCR estimates a 

multifamily borrower's ability to service its mortgage obligation using the secured property's cash flow, after deducting nonmortgage expenses from income. The higher the DSCR, the more likely a multifamily borrower will be able to continue servicing 

its loan obligation.

• DTA - Deferred Tax Assets.

• Duration - A measure of a financial instrument's price sensitivity to changes in interest rates.

• Duration Gap - One of our primary interest-rate risk measures. Duration gap is a measure of the difference between the 

estimated durations of our interest rate sensitive assets and liabilities. We present the duration gap of our financial instruments 

in units expressed as months. A duration gap of zero implies that the change in value of our interest rate sensitive assets from 

an instantaneous change in interest rates would be expected to be accompanied by an equal and offsetting change in the value 

of our interest rate sensitive liabilities, thus leaving economic value unchanged.

• Enterprises - Freddie Mac and Fannie Mae.

• ERCF - Enterprise Regulatory Capital Framework - Final rule adopted by FHFA in 2020 that establishes a new regulatory 

capital framework for Freddie Mac and Fannie Mae.

• Fannie Mae - Federal National Mortgage Association.

• FHFA - Federal Housing Finance Agency - An independent agency of the U.S. government with responsibility for regulating 

Freddie Mac, Fannie Mae, and the FHLBs.

• GAAP - Generally Accepted Accounting Principles in the United States of America.

• GSEs - Government-sponsored enterprises - Refers to certain legal entities created by the U.S. government, including Freddie 

Mac, Fannie Mae, and the FHLBs.

• GSE Act - The Federal Housing Enterprises Financial Safety and Soundness Act of 1992, as amended by the Reform Act.

• K Certificates - Structured pass-through certificates backed primarily by recently originated multifamily loans purchased by 

Freddie Mac.

• MDB - Multilateral Development Banks.

• MBS - Mortgage-Backed Security.

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• Multifamily loan - A loan secured by a property with five or more residential rental units or by a manufactured housing 

community.

• Net Worth Amount - The term Net Worth Amount is defined as our total assets (excluding Treasury’s commitment and any 

unfunded amounts thereof), less our total liabilities (excluding any obligation in respect of capital stock), in each case as 

reflected on our consolidated balance sheets prepared in conformity with GAAP. 

• Non-accrual loan - A loan for which we are not accruing interest income. We place loans on non-accrual status when we 

believe collectability of principal and interest in full is not reasonably assured, which generally occurs when a loan is three 

monthly payments past due, unless the loan is well secured and in the process of collection based upon an individual loan 

assessment.

• OAS - Option-adjusted spread - An estimate of the incremental yield spread between a particular financial instrument (e.g., a 

security, loan, or derivative contract) and a benchmark yield curve (e.g., LIBOR, SOFR, agency, or U.S. Treasury securities). 

This includes consideration of potential variability in the instrument's cash flows resulting from any options embedded in the 

instrument, such as prepayment options. When the OAS on a given asset widens, the fair value of that asset will typically 

decline, all other market factors being equal. The opposite is true when the OAS on a given asset tightens.

• Preferred Stock - Preferred Stock as defined and described in Exhibit 4.30 of 2023 Form 10-K.

• PSE - Public Sector Entities 

• Purchase Agreement / Senior Preferred Stock Purchase Agreement - An agreement that we through the Conservator, 

acting on our behalf, entered into with Treasury on September 7, 2008, relating to Treasury's purchase of senior preferred stock 

and warrant, which was subsequently amended and restated on September 26, 2008 and further amended on May 6, 2009, 

December 24, 2009, August 17, 2012, December 21, 2017, September 27, 2019, January 14, 2021, and September 14, 2021.

• Reform Act - The Federal Housing Finance Regulatory Reform Act of 2008, which, among others things, amended the GSE 

Act by establishing a single regulator, FHFA, for Freddie Mac, Fannie Mae, and the FHLBs.

• REO - Real estate owned - Real estate which we have acquired through a foreclosure sale or through a deed in lieu of 

foreclosure.

• SCR Debt note - Structured Credit Risk debt note - A debt security where the principal balance is subject to the performance of 

a reference pool of multifamily loans guaranteed by Freddie Mac. 

• SCR Trust note - Structured Credit Risk Trust note - A debt security issued by a nonconsolidated trust where the principal 

balance is linked to the credit performance of a reference pool of multifamily loans owned or guaranteed by Freddie Mac. We 

make payments to the trust to support payment of the interest due on the notes, and we receive payments from the trust as a 

result of defined credit events on the reference pool.

• Seriously Delinquent or SDQ - Single-family loans that are three monthly payments or more past due or in the process of 

foreclosure as reported to us by our servicers. Unless stated otherwise, SDQ rates presented in this report refer to gross SDQ 

rates before consideration of credit enhancements.

• Senior Preferred Stock (SPS) - The shares of Variable Liquidation Preference Senior Preferred Stock issued to Treasury 

under the Purchase Agreement.

• STACR Debt note - Structured Agency Credit Risk debt note - A Freddie Mac issued debt security where the principal balance 

is linked to the credit performance of a reference pool of single-family loans owned or guaranteed by Freddie Mac.

• STACR Trust note - Structured Agency Credit Risk Trust note - A debt security issued by a nonconsolidated trust where the 

principal balance is linked to the credit performance of a reference pool of single-family loans owned or guaranteed by Freddie 

Mac. We make payments to the trust to support payment of the interest due on the notes, and we receive payments from the 

trust as a result of defined credit events on the reference pool.

• Swaption - An option contract to enter into an interest-rate swap. In exchange for an option premium, a buyer obtains the right 

but not the obligation to enter into a specified swap agreement with the issuer on a specified future date.

• UPB - Unpaid principal balance - Loan UPB amounts in this report have not been reduced by charge-offs recognized prior to 

the loan being subject to a foreclosure sale, deed in lieu of foreclosure, or short sale transaction.

• VIE - Variable Interest Entity - A VIE is an entity that has a total equity investment at risk that is not sufficient to finance its 

activities without additional subordinated financial support provided by another party, or where the group of equity holders does 

not have: (1) the ability to make significant decisions about the entity's activities; (2) the obligation to absorb the entity's 

expected losses; or (3) the right to receive the entity's expected residual returns.

• YTD - Year-to-Date.

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