UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended September 30, 2023

or

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

For the transition period from                                to

Commission File Number: 001-34139

Federal Home Loan Mortgage Corporation 

(Exact name of registrant as specified in its charter)

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

(State or other jurisdiction of 

incorporation or organization)

(I.R.S. Employer

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

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

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

None N/A N/A

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

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

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

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

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

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

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

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

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

Large accelerated filer ☐ Accelerated filer ☒

Non-accelerated filer ☐ Smaller reporting company ☐

Emerging growth company ☐

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

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

Exchange Act. ☐

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

Act).    Yes ☐  No ☒		 			

As of October 10, 2023, there were 650,059,553 shares of the registrant's common stock outstanding.
Table of Contents

Page

MANAGEMENT'S DISCUSSION AND ANALYSIS OF 

FINANCIAL CONDITION AND RESULTS OF OPERATIONS

1

n Introduction 1

n Housing and Mortgage Market Conditions 4

n Consolidated Results of Operations 6

n Consolidated Balance Sheets Analysis 10

n Our Portfolios 11

n Our Business Segments 13

n Risk Management 23

l	Credit Risk 23

l	Market Risk 31

n Liquidity and Capital Resources 34

n Critical Accounting Estimates 42

n Regulation and Supervision 43

n Forward-Looking Statements 44

FINANCIAL STATEMENTS 46

OTHER INFORMATION 97

CONTROLS AND PROCEDURES 99

EXHIBIT INDEX 100

SIGNATURES 101

FORM 10-Q INDEX 102

Table of Contents

Freddie Mac 3Q 2023 Form 10-Q i
MD&A TABLE INDEX

1 Summary of Consolidated Statements of Income and Comprehensive Income 6

2 Components of Net Interest Income 6

3 Analysis of Net Interest Yield 7

4 Components of Non-Interest Income 8

5 (Provision) Benefit for Credit Losses 8

6 Components of Non-Interest Expense 9

7 Summarized Condensed Consolidated Balance Sheets 10

8 Mortgage Portfolio 11

9 Mortgage-Related Investments Portfolio 12

10 Other Investments Portfolio 12

11 Single-Family Segment Financial Results 18

12 Multifamily Segment Financial Results 22

13 Allowance for Credit Losses Activity 23

14 Allowance for Credit Losses Ratios 24

15 Single-Family New Business Activity 25

16 Single-Family Mortgage Portfolio CRT Issuance 25

17 Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding 26

18 Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio 27

19 Credit Quality Characteristics of Our Single-Family Mortgage Portfolio 27

20 Single-Family Mortgage Portfolio Attribute Combinations 28

21 Multifamily Mortgage Portfolio CRT Issuance 30

22 Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio 31

23 Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement 31

24 PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve 32

25 Duration Gap and PVS Results 32

26 PVS-L Results Before Derivatives and After Derivatives 32

27 Earnings Sensitivity to Changes in Interest Rates 33

28 Liquidity Sources 34

29 Funding Sources 35

30 Debt of Freddie Mac Activity 35

31 Maturity and Redemption Dates 36

32 Debt of Consolidated Trusts Activity 37

33 Net Worth Activity 38

34 Regulatory Capital Components 39

35 Statutory Capital Components 39

36 Capital Metrics Under ERCF 40

37 Forecasted House Price Growth Rates 42

Table Description Page

Table of Contents

Freddie Mac 3Q 2023 Form 10-Q ii
Management's Discussion and Analysis of 

Financial Condition and Results of Operations

This Quarterly Report on Form 10-Q includes forward-looking statements that are based on current expectations and that are 

subject to significant risks and uncertainties. These forward-looking statements are made as of the date of this Form 10-Q. We 

undertake no obligation to update any forward-looking statement to reflect events or circumstances after the date of this Form 

10-Q. Actual results might differ significantly from those described in or implied by such statements due to various factors and 

uncertainties, including those described in the MD&A - Forward-Looking Statements section of this Form 10-Q and the 

Introduction and Risk Factors sections of our Annual Report on Form 10-K for the year ended December 31, 2022, or 2022 

Annual Report.

Throughout this Form 10-Q, we use certain acronyms and terms that are defined in the Glossary of our 2022 Annual Report. 

You should read the following MD&A in conjunction with our 2022 Annual Report and our condensed consolidated financial 

statements and accompanying notes for the three and nine months ended September 30, 2023 included in Financial 

Statements.

INTRODUCTION

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

housing market. We do this primarily by purchasing single-family and multifamily residential mortgage loans originated by 

lenders. In most instances, we package these loans into guaranteed mortgage-related securities, which are sold in the global 

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

exposure to third-party investors through our credit risk transfer programs, which include securities- and insurance-based 

offerings. We also invest in mortgage loans and mortgage-related securities. We do not originate mortgage loans or lend money 

directly to mortgage borrowers.

We support the U.S. housing market and the overall economy by enabling America's families to access mortgage loan funding 

with better terms and by providing consistent liquidity to the single-family and multifamily mortgage markets. We have helped 

many distressed borrowers keep their homes or avoid foreclosure and have helped many distressed renters avoid eviction.

Since September 2008, we have been operating in conservatorship, with FHFA as our Conservator. The conservatorship and 

related matters significantly affect our management, business activities, financial condition, and results of operations. Our future 

is uncertain, and the conservatorship has no specified termination date. We do not know what changes may occur to our 

business model during or following conservatorship, including whether we will continue to exist. In connection with our entry 

into conservatorship, we entered into the Purchase Agreement with Treasury, under which we issued Treasury both senior 

preferred stock and a warrant to purchase common stock. Our Purchase Agreement with Treasury is critical to keeping us 

solvent and avoiding the appointment of a receiver by FHFA under statutory mandatory receivership provisions. We believe the 

support provided by Treasury pursuant to the Purchase Agreement currently enables us to have adequate liquidity to conduct 

normal business activities. For additional information on the conservatorship and related matters and the Purchase Agreement, 

see our 2022 Annual Report.

Management's Discussion and Analysis Introduction 

Freddie Mac 3Q 2023 Form 10-Q 1
Business Results

Consolidated Financial Results

Net Revenues and Net Income

(In billions)

$5.2 $4.8 $4.8

$5.3 $5.7

$1.3 $1.8 $2.0

$2.9 $2.7

Net Revenues Net Income

3Q22 4Q22 1Q23 2Q23 3Q23

Net Worth

(In billions)

$35.2 $37.0 $39.1 $42.0 $44.7

09/30/22 12/31/22 03/31/23 06/30/23 09/30/23

Key Drivers: 

n	 Net income was $2.7 billion, an increase of 104% year-over-year, with the increase primarily driven by a credit reserve 

release in Single-Family in the current period compared to a credit reserve build in Single-Family in the prior period.

n Net revenues were $5.7 billion, an increase of 10% year-over-year, driven by higher net interest income and non-interest 

income.

n	 Net worth was $44.7 billion as of September 30, 2023, up from $35.2 billion as of September 30, 2022. The quarterly 

increases in net worth have been, or will be, added to the aggregate liquidation preference of the senior preferred stock. 

The liquidation preference of the senior preferred stock was $114.6 billion on September 30, 2023, and will increase to 

$117.3 billion on December 31, 2023 based on the increase in net worth in 3Q 2023. 

Market Liquidity

 Market Liquidity

(In thousands)

542 504

250

372 389

297

200 157 217 233

95

52

33

41 38

150

252

60

114 118

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

3Q22 4Q22 1Q23 2Q23 3Q23

We support the U.S. housing market by executing our mission to provide liquidity and help maintain credit availability for new 

and refinanced single-family mortgages as well as for rental housing. We provided $98 billion in liquidity to the mortgage market 

in 3Q 2023, which enabled the financing of 389,000 home purchases, refinancings, and rental units.

Management's Discussion and Analysis Introduction 

Freddie Mac 3Q 2023 Form 10-Q 2
Mortgage Portfolio Balances

Mortgage Portfolio

(UPB in billions)

$3,387 $3,415 $3,415 $3,431 $3,456

$2,971 $2,986 $2,989 $3,004 $3,024

$416 $429 $426 $427 $432

Single-Family mortgage portfolio Multifamily mortgage portfolio

09/30/22 12/31/22 03/31/23 06/30/23 09/30/23

Key Drivers: 

n	 Our mortgage portfolio increased 2% year-over-year to $3.5 trillion at September 30, 2023.

l Our Single-Family mortgage portfolio was $3.0 trillion at September 30, 2023, up 2% year-over-year, as portfolio 

growth has moderated in recent periods due to the slowdown in new business activity as both home purchase and 

refinance activity slowed as a result of higher mortgage interest rates.

l Our Multifamily mortgage portfolio was $432 billion at September 30, 2023, up 4% year-over-year, as portfolio growth 

has moderated in recent periods due to a slowdown in new business activity as a result of higher mortgage interest 

rates.

Credit Risk Transfer

Single-Family Mortgage Portfolio with Credit Enhancement 

(UPB in billions)

$1,803 $1,832 $1,840 $1,864 $1,865

61% 61% 62% 62% 62%

UPB Percentage

09/30/22 12/31/22 03/31/23 06/30/23 09/30/23

Multifamily Mortgage Portfolio with Credit Enhancement 

(UPB in billions)

$394 $398 $396 $402 $410

95% 93% 93% 94% 95%

UPB Percentage

09/30/22 12/31/22 03/31/23 06/30/23 09/30/23

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

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

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

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

additional information on our credit enhancements and CRT programs.

Management's Discussion and Analysis Introduction 

Freddie Mac 3Q 2023 Form 10-Q 3
HOUSING AND MORTGAGE MARKET CONDITIONS

The following charts present certain housing and mortgage market indicators that can significantly affect our business and 

financial results. Certain market and macroeconomic prior period data have been updated to reflect revised historical data. For 

additional information on the effect of these indicators on our business and financial results, see MD&A – Consolidated 

Results of Operations and MD&A – Our Business Segments.

Single-Family 

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

 

5,360 4,795 4,965 4,941 4,747

4,777 4,197 4,327 4,250 4,023

583 598 638 691 724

(1.1)% (0.5)% 1.2% 2.0% 2.5%

Sales of existing homes (units in thousands)

Sales of new homes (units in thousands)

Single-family house price growth rate

3Q22 4Q22 1Q23 2Q23 3Q23

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

House Price Index.

 U.S. Single-Family Mortgage Originations 

_

(UPB in billions)

$685

$530

$350 $295 $400

5.70% 6.70% 6.42% 6.32% 6.71%

U.S. single-family originations

30-year PMMS

2Q22 3Q22 4Q22 1Q23 2Q23

Source: Freddie Mac and Inside Mortgage Finance. 3Q 2023 U.S. single-family 

mortgage originations data is not yet available.

Single-Family Serious Delinquency Rates

1.90% 1.89% 1.73% 1.61%

0.67% 0.66% 0.62% 0.56% 0.55%

Total mortgage market

Freddie Mac

3Q22 4Q22 1Q23 2Q23 3Q23

Source: Freddie Mac and National Delinquency Survey from the Mortgage 

Bankers Association. 3Q 2023 total mortgage market rate is not yet available.

Single-Family Mortgage Debt Outstanding

(UPB in billions)

$2,928 $2,971 $2,986 $2,989 $3,004

$13,220 $13,446 $13,610 $13,671 $13,767

Freddie Mac Single-Family mortgage portfolio

U.S. single-family mortgage debt outstanding

2Q22 3Q22 4Q22 1Q23 2Q23

Source: Freddie Mac and Federal Reserve Financial Accounts of the United 

States of America. 3Q 2023 U.S. single-family mortgage debt outstanding data 

is not yet available.

Management's Discussion and Analysis Housing and Mortgage Market Conditions

Freddie Mac 3Q 2023 Form 10-Q 4
Multifamily 

Apartment Vacancy Rates and Change in Effective Rents

4.8% 4.8% 5.1% 5.1% 5.1%

1.9% 2.1%

(0.9)%

0.8% 0.1%

0.8%

Apartment vacancy rates

Quarterly change in effective rents

Long-term quarterly effective rent growth rate 

(2000 - 3Q23)

3Q22 4Q22 1Q23 2Q23 3Q23

Source: Reis.

Multifamily Property Price Growth Rate 

(0.8)%

(6.0)%

(4.6)%

(1.7)%

(1.0)%

3Q22 4Q22 1Q23 2Q23 3Q23

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

Multifamily Delinquency Rates

0.13% 0.12% 0.13%

0.21%

0.24%

0.99%

0.84%

0.66% 0.65%

0.55%

0.15% 0.17% 0.20% 0.21%

Freddie Mac (60+ day)

Multifamily CMBS market (60+ day)

FDIC insured institutions (90+ day)

3Q22 4Q22 1Q23 2Q23 3Q23

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

Wells Fargo Securities (Multifamily CMBS market, excluding REOs). The 3Q 2023 

delinquency rate for FDIC insured institutions is not yet available.

Multifamily Mortgage Debt Outstanding

(UPB in billions)

$415 $416 $429 $426 $427

$1,998 $2,036 $2,078 $2,110 $2,139

Freddie Mac Multifamily mortgage portfolio

U.S. multifamily mortgage debt outstanding

2Q22 3Q22 4Q22 1Q23 2Q23

Source: Freddie Mac and Federal Reserve Financial Accounts of the United 

States of America. 3Q 2023 U.S. multifamily mortgage debt outstanding data is 

not yet available.

Management's Discussion and Analysis Housing and Mortgage Market Conditions

Freddie Mac 3Q 2023 Form 10-Q 5
CONSOLIDATED RESULTS OF OPERATIONS

The discussion of our consolidated results of operations should be read in conjunction with our condensed consolidated 

financial statements and accompanying notes. Our financial results and business volumes could be negatively affected by 

adverse changes in the housing market or economic conditions, including volatility and stress within the banking sector and the 

measures governments and financial services companies take in response. Stress in U.S. regional banks could drive elevated 

counterparty credit risk and indirect risk due to financing or banking relationships that our counterparties have with the affected 

banking organizations. We could also experience declines in the liquidity in the markets for our securities as a result of any such 

adverse changes or regulatory responses to adverse changes. See Risk Factors in our 2022 Annual Report for additional 

information.

The table below compares our summarized consolidated results of operations. 

Table 1 - Summary of Consolidated Statements of Income and Comprehensive Income

Change Change

(Dollars in millions) 3Q 2023 3Q 2022 $ % YTD 2023 YTD 2022 $ %

Net interest income $4,749 $4,554 $195 4 % $13,773 $13,417 $356 3 %

Non-interest income 941 627 314 50 2,083 3,014 (931) (31) 

Net revenues 5,690 5,181 509 10 15,856 16,431 (575) (3) 

(Provision) benefit for credit losses 263 (1,796) 2,059 115 405 (1,266) 1,671 132 

Non-interest expense (2,576) (1,825) (751) (41) (6,712) (5,777) (935) (16) 

Income before income tax expense 3,377 1,560 1,817 116 9,549 9,388 161 2 

Income tax expense (692) (247) (445) (180) (1,925) (1,824) (101) (6) 

Net income 2,685 1,313 1,372 104 7,624 7,564 60 1 

Other comprehensive income (loss), 

net of taxes and reclassification 

adjustments

 19 (181) 200 110 19 (367) 386 105 

Comprehensive income $2,704 $1,132 $1,572 139 % $7,643 $7,197 $446 6 %

Net Revenues

Net Interest Income

The table below presents the components of net interest income.

Table 2 - Components of Net Interest Income 

Change Change

(Dollars in millions) 3Q 2023 3Q 2022 $ % YTD 2023 YTD 2022 $ %

Guarantee net interest income:

Contractual net interest income $3,695 $3,577 $118 3 % $11,019 $10,379 $640 6 %

Deferred fee income 316 550 (234) (43) 755 2,536 (1,781) (70) 

Total guarantee net interest income 4,011 4,127 (116) (3) 11,774 12,915 (1,141) (9) 

Investments net interest income 1,675 914 761 83 4,718 2,186 2,532 116 

Impact on net interest income from 

hedge accounting (937) (487) (450) (92) (2,719) (1,684) (1,035) (61) 

Net interest income $4,749 $4,554 $195 4 % $13,773 $13,417 $356 3 %

Key Drivers:

n Guarantee net interest income

l	 3Q 2023 vs. 3Q 2022 and YTD 2023 vs. YTD 2022 - Decreased primarily due to a decline in deferred fee income due 

to slower prepayments driven by higher mortgage interest rates, partially offset by continued mortgage portfolio 

growth.

n Investments net interest income

l	 3Q 2023 vs. 3Q 2022 and YTD 2023 vs. YTD 2022 - Increased primarily due to higher returns on securities purchased 

under agreements to resell as a result of higher short-term interest rates.

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 3Q 2023 Form 10-Q 6
n Impact on net interest income from hedge accounting

l	 3Q 2023 vs. 3Q 2022 - Expense increased primarily due to higher interest expense on derivatives in hedge 

relationships as a result of higher interest rates.

l	 YTD 2023 vs. YTD 2022 - Expense increased primarily due to higher interest expense on derivatives in hedge 

relationships as a result of higher interest rates, partially offset by a favorable change in the earnings mismatch on 

qualifying fair value hedge relationships in 1Q 2023.

Net Interest Yield Analysis

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

Table 3 - Analysis of Net Interest Yield 

3Q 2023 3Q 2022

(Dollars in millions)

Average

Balance

Interest

Income

(Expense)

Average

Rate

Average

Balance

Interest

Income

(Expense)

Average

Rate

Interest-earning assets:

Cash and cash equivalents $13,523 $145 4.19 % $13,418 $52 1.54 %

Securities purchased under agreements to resell 122,140 1,660 5.43 100,393 554 2.21 

Investment securities 41,169 427 4.15 46,561 416 3.57 

Mortgage loans(1) 3,069,177 24,525 3.20 2,992,378 20,843 2.79 

Other assets 2,839 42 5.79 3,882 29 2.93 

Total interest-earning assets 3,248,848 26,799 3.30 3,156,632 21,894 2.77 

Interest-bearing liabilities:

Debt of consolidated trusts 3,005,595 (19,383) (2.58) 2,939,663 (16,166) (2.20) 

Debt of Freddie Mac 193,925 (2,667) (5.49) 177,205 (1,174) (2.64) 

Total interest-bearing liabilities 3,199,520 (22,050) (2.76) 3,116,868 (17,340) (2.22) 

Impact of net non-interest-bearing funding 49,328 — 0.04 39,764 — 0.03 

Total funding of interest-earning assets 3,248,848 (22,050) (2.72) 3,156,632 (17,340) (2.19) 

Net interest income/yield $4,749 0.58 % $4,554 0.58 %

(1) Loan fees included in net interest income were $0.2 billion and $0.3 billion during 3Q 2023 and 3Q 2022, respectively.

YTD 2023 YTD 2022

(Dollars in millions)

Average

Balance

Interest

Income

(Expense)

Average

Rate

Average

Balance

Interest

Income

(Expense)

Average

Rate

Interest-earning assets:

Cash and cash equivalents $13,618 $401 3.88 % $14,626 $71 0.64 %

Securities purchased under agreements to resell 118,891 4,502 5.05 95,406 763 1.07 

Investment securities 39,637 1,106 3.72 49,196 1,264 3.43 

Mortgage loans(1) 3,052,953 71,427 3.12 2,949,123 57,477 2.60 

Other assets 2,506 105 5.53 4,555 67 1.93 

Total interest-earning assets 3,227,605 77,541 3.20 3,112,906 59,642 2.55 

Interest-bearing liabilities:

Debt of consolidated trusts 2,988,356 (56,252) (2.51) 2,893,353 (44,010) (2.03) 

Debt of Freddie Mac 194,319 (7,516) (5.15) 177,934 (2,215) (1.66) 

Total interest-bearing liabilities 3,182,675 (63,768) (2.67) 3,071,287 (46,225) (2.01) 

Impact of net non-interest-bearing funding 44,930 — 0.04 41,619 — 0.03 

Total funding of interest-earning assets 3,227,605 (63,768) (2.63) 3,112,906 (46,225) (1.98) 

Net interest income/yield $13,773 0.57 % $13,417 0.57 %

(1) Loan fees included in net interest income were $0.8 billion and $1.2 billion during YTD 2023 and YTD 2022, respectively.

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 3Q 2023 Form 10-Q 7
Non-Interest Income

The table below presents the components of non-interest income.

Table 4 - Components of Non-Interest Income 

Change Change

(Dollars in millions) 3Q 2023 3Q 2022 $ % YTD 2023 YTD 2022 $ %

Guarantee income:

Contractual guarantee fees $325 $323 $2 1 % $972 $963 $9 1 %

Guarantee obligation amortization 283 292 (9) (3) 848 897 (49) (5) 

Guarantee asset fair value changes (307) (490) 183 37 (744) (1,460) 716 49 

Total guarantee income 301 125 176 141 1,076 400 676 169 

Investment gains, net:

Single-Family 314 (13) 327 2,515 131 1,471 (1,340) (91) 

Multifamily 241 428 (187) (44) 610 778 (168) (22) 

Total investment gains, net 555 415 140 34 741 2,249 (1,508) (67) 

Other income 85 87 (2) (2) 266 365 (99) (27) 

Non-interest income $941 $627 $314 50 % $2,083 $3,014 ($931) (31) %

Key Drivers:

n Guarantee income

l	 3Q 2023 vs. 3Q 2022 and YTD 2023 vs. YTD 2022 - Increased primarily due to lower fair value losses on guarantee 

assets as a result of smaller interest rate increases.

n	 Investment gains, net

l	 3Q 2023 vs. 3Q 2022 - Net investment gains in Single-Family increased primarily due to interest rate-related impacts. 

These gains were offset by a decline in net investment gains in Multifamily primarily due to lower fair value gains from 

interest-rate risk management activities and realized losses on sales of available-for-sale securities, partially offset by 

favorable fair value changes from spreads. 

l	 YTD 2023 vs. YTD 2022 - Net investment gains declined from elevated levels in YTD 2022, which were driven by 

spread-related gains on commitments to hedge the Single-Family securitization pipeline during that period.

(Provision) Benefit for Credit Losses

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

Table 5 - (Provision) Benefit for Credit Losses

Change Change

(Dollars in millions) 3Q 2023 3Q 2022 $ % YTD 2023 YTD 2022 $ %

Single-Family $304 ($1,784) $2,088 117 % $624 ($1,251) $1,875 150 %

Multifamily (41) (12) (29) (242) (219) (15) (204) (1,360) 

 (Provision) benefit for credit losses $263 ($1,796) $2,059 115 % $405 ($1,266) $1,671 132 %

Key Drivers: 

n 3Q 2023 vs. 3Q 2022 - The benefit for credit losses for 3Q 2023 was primarily driven by a credit reserve release in SingleFamily due to increases in observed and forecasted house price appreciation, partially offset by a credit reserve build in 

Multifamily due to deterioration in overall loan performance. The provision for credit losses for 3Q 2022 was primarily driven 

by a credit reserve build in Single-Family due to deterioration in housing market conditions, including lower observed and 

forecasted house price appreciation.

n	 YTD 2023 vs. YTD 2022 - The benefit for credit losses for YTD 2023 was primarily driven by a credit reserve release in 

Single-Family due to increases in observed and forecasted house price appreciation, partially offset by a credit reserve 

build in Multifamily due to increased uncertainty in forecasted economic conditions and multifamily market conditions as 

well as deterioration in overall loan performance. The provision for credit losses for YTD 2022 was primarily driven by a 

credit reserve build in Single-Family due to deterioration in housing market conditions, including lower observed and 

forecasted house price appreciation.

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 3Q 2023 Form 10-Q 8
Non-Interest Expense 

The table below presents the components of non-interest expense.

Table 6 - Components of Non-Interest Expense

Change Change

(Dollars in millions) 3Q 2023 3Q 2022 $ % YTD 2023 YTD 2022 $ %

Salaries and employee benefits ($418) ($387) ($31) (8) % ($1,197) ($1,119) ($78) (7) %

Credit enhancement expense (634) (542) (92) (17) (1,754) (1,559) (195) (13) 

Benefit for (decrease in) credit 

enhancement recoveries (103) 210 (313) (149) (162) 192 (354) (184) 

Legislative assessments expense:

Legislated guarantee fees expense (716) (696) (20) (3) (2,134) (2,046) (88) (4) 

Affordable housing funds allocation (41) (57) 16 28 (109) (214) 105 49 

Total legislative assessments 

expense (757) (753) (4) (1) (2,243) (2,260) 17 1 

Other expense (664) (353) (311) (88) (1,356) (1,031) (325) (32) 

Non-interest expense ($2,576) ($1,825) ($751) (41) % ($6,712) ($5,777) ($935) (16) %

Key Drivers:

n	 Credit enhancement expense 

l	 3Q 2023 vs. 3Q 2022 - Increased primarily due to losses on STACR Trust note repurchases.

l	 YTD 2023 vs. YTD 2022 - Increased primarily due to a higher volume of outstanding cumulative CRT transactions and 

higher losses on STACR Trust note repurchases.

n	 Benefit for (decrease in) credit enhancement recoveries

l	 3Q 2023 vs. 3Q 2022 and YTD 2023 vs. YTD 2022 - Decreased primarily due to a decrease in expected credit losses 

on covered loans.

n	 Legislative assessments expense

l	 3Q 2023 vs. 3Q 2022 - Increased primarily due to higher legislated guarantee fees expense due to growth in our 

Single-Family mortgage portfolio, partially offset by lower affordable housing funds allocation as a result of lower 

Single-Family new business activity.

l	 YTD 2023 vs. YTD 2022 - Decreased primarily due to lower affordable housing funds allocation as a result of lower 

Single-Family new business activity, partially offset by higher legislated guarantee fees expense due to growth in our 

Single-Family mortgage portfolio.

n	 Other expense

l	 3Q 2023 vs. 3Q 2022 and YTD 2023 vs. YTD 2022 - Increased primarily due to recording an accrual of $0.3 billion for 

an adverse judgment at trial. See Note 14 for additional information regarding our legal proceedings.

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 3Q 2023 Form 10-Q 9
CONSOLIDATED BALANCE SHEETS ANALYSIS

The table below compares our summarized condensed consolidated balance sheets.

Table 7 - Summarized Condensed Consolidated Balance Sheets

Change

(Dollars in millions) September 30, 2023 December 31, 2022 $ %

Assets:

Cash and cash equivalents $5,354 $6,360 ($1,006) (16) %

Securities purchased under agreements to resell 115,161 87,295 27,866 32 

Investment securities, at fair value 39,443 38,701 742 2 

Mortgage loans held-for-sale 13,905 12,197 1,708 14 

Mortgage loans held-for-investment 3,060,822 3,022,318 38,504 1 

Accrued interest receivable, net 9,526 8,529 997 12 

Deferred tax assets, net 4,875 5,777 (902) (16) 

Other assets 22,555 27,156 (4,601) (17) 

Total assets $3,271,641 $3,208,333 $63,308 2 %

Liabilities and Equity:

Liabilities:

Accrued interest payable $8,451 $7,309 $1,142 16 %

Debt 3,202,097 3,145,832 56,265 2 

Other liabilities 16,432 18,174 (1,742) (10) 

Total liabilities 3,226,980 3,171,315 55,665 2 

Total equity 44,661 37,018 7,643 21 

Total liabilities and equity $3,271,641 $3,208,333 $63,308 2 %

Key Drivers:

As of September 30, 2023 compared to December 31, 2022: 

n	 Securities purchased under agreements to resell increased due to an increase in cash provided by operating activities 

and to provide additional liquidity due to uncertain economic conditions.

n	 Mortgage loans held-for-investment increased primarily due to growth in our Single-Family mortgage portfolio.

n	 Other assets decreased primarily due to a decline in receivables related to U.S. Treasury securities sold but not yet 

settled.

n	 Debt increased due to new debt issuances to provide additional liquidity due to uncertain economic conditions, as well as 

an increase in debt of consolidated trusts driven by growth in our Single-Family mortgage portfolio.

n	 Other liabilities decreased primarily due to a decline in payables related to U.S. Treasury securities purchased but not yet 

settled.

Management's Discussion and Analysis Consolidated Balance Sheets Analysis 

Freddie Mac 3Q 2023 Form 10-Q 10
OUR PORTFOLIOS

Mortgage Portfolio

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

Table 8 - Mortgage Portfolio

September 30, 2023 December 31, 2022

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

Mortgage loans held-for-investment:

By consolidated trusts $2,947,023 $44,158 $2,991,181 $2,907,999 $30,574 $2,938,573

By Freddie Mac 34,024 9,165 43,189 33,506 17,805 51,311

Total mortgage loans held-for-investment 2,981,047 53,323 3,034,370 2,941,505 48,379 2,989,884 

Mortgage loans held-for-sale 3,743 11,311 15,054 3,564 9,544 13,108 

Total mortgage loans 2,984,790 64,634 3,049,424 2,945,069 57,923 3,002,992 

Mortgage-related guarantees:

Mortgage loans held by nonconsolidated trusts 30,382 356,552 386,934 31,500 360,869 392,369 

Other mortgage-related guarantees 8,869 10,768 19,637 9,476 10,510 19,986 

Total mortgage-related guarantees 39,251 367,320 406,571 40,976 371,379 412,355 

Total mortgage portfolio $3,024,041 $431,954 $3,455,995 $2,986,045 $429,302 $3,415,347 

Guaranteed mortgage-related securities:

Issued by consolidated trusts $2,956,213 $44,169 $3,000,382 $2,916,038 $30,813 $2,946,851

Issued by nonconsolidated trusts 24,768 316,874 341,642 25,772 319,117 344,889

Total guaranteed mortgage-related securities $2,980,981 $361,043 $3,342,024 $2,941,810 $349,930 $3,291,740 

Investments Portfolio

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

Mortgage-Related Investments Portfolio

The Purchase Agreement limits the size of our mortgage-related investments portfolio to a maximum amount of $225 billion. 

The calculation of mortgage assets subject to the Purchase Agreement cap includes the UPB of mortgage assets and 10% of 

the notional value of interest-only securities. We are also subject to additional limitations on the size and composition of our 

mortgage-related investments portfolio pursuant to FHFA guidance. For additional information on the restrictions on our 

mortgage-related investments portfolio, see the MD&A - Conservatorship and Related Matters section in our 2022 

Annual Report.

Management's Discussion and Analysis Our Portfolios

Freddie Mac 3Q 2023 Form 10-Q 11
The table below presents the details of our mortgage-related investments portfolio.

Table 9 - Mortgage-Related Investments Portfolio

September 30, 2023 December 31, 2022

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

Unsecuritized mortgage loans:

Securitization pipeline and other loans $9,346 $20,476 $29,822 $10,093 $27,349 $37,442 

Seasoned loans 28,420 — 28,420 26,977 — 26,977 

Total unsecuritized mortgage loans 37,766 20,476 58,242 37,070 27,349 64,419

Mortgage-related securities:

Investment securities 3,370 5,284 8,654 3,440 6,396 9,836 

Debt of consolidated trusts 17,509 677 18,186 17,939 536 18,475 

Total mortgage-related securities 20,879 5,961 26,840 21,379 6,932 28,311 

Mortgage-related investments portfolio $58,645 $26,437 $85,082 $58,449 $34,281 $92,730 

10% of notional amount of interest-only 

securities $22,523 $21,758

Mortgage-related investments portfolio for 

purposes of Purchase Agreement cap 107,605 114,488

Other Investments Portfolio

The table below presents the details of our other investments portfolio.

Table 10 - Other Investments Portfolio

September 30, 2023 December 31, 2022

(In millions)

Liquidity and 

Contingency 

Operating 

Portfolio

Custodial 

Account Other

Total Other 

Investments 

Portfolio (1)

Liquidity and 

Contingency 

Operating 

Portfolio

Custodial 

Account Other

Total Other 

Investments 

Portfolio (1)

Cash and cash equivalents $4,699 $566 $89 $5,354 $5,652 $611 $97 $6,360 

Securities purchased under 

agreements to resell 107,351 10,786 796 118,933 88,499 9,703 1,084 99,286 

Non-mortgage-related securities 19,399 — 6,069 25,468 20,188 — 3,645 23,833 

Other assets — — 6,612 6,612 — — 4,565 4,565 

Other investments portfolio $131,449 $11,352 $13,566 $156,367 $114,339 $10,314 $9,391 $134,044 

(1) Represents carrying value.

Management's Discussion and Analysis Our Portfolios

Freddie Mac 3Q 2023 Form 10-Q 12
OUR BUSINESS SEGMENTS

As shown in the table below, we have two reportable segments, which are based on the way we manage our business.

Segment Description

Single-Family 

Reflects results from our purchase, securitization, and guarantee of single-family loans, our investments in single-family 

loans and mortgage-related securities, the management of Single-Family mortgage credit risk and market risk, and any 

results of our treasury function that are not allocated to each segment.

Multifamily Reflects results from our purchase, securitization, and guarantee of multifamily loans, our investments in multifamily loans 

and mortgage-related securities, and the management of Multifamily mortgage credit risk and market risk.

Segment Net Revenues and Net Income 

The charts below show our net revenues and net income by segment. 

Segment Net Revenues

(In billions)

$5.2 $4.8 $4.8 $5.3 $5.7

$16.4 $15.9

$4.4 $4.2 $4.2 $4.4 $4.9

$14.5 $13.5

$0.8 $0.6 $0.6 $1.0 $0.8

$1.9

$2.4

Single-Family Multifamily

3Q22 4Q22 1Q23 2Q23 3Q23 YTD22 YTD23

Segment Net Income

(In billions)

$1.3

$1.8 $2.0

$2.9 $2.7

$7.6 $7.6

$0.8 $1.5 $1.7 $2.4 $2.3

$6.4 $6.4

$0.5

$0.3 $0.3

$0.6 $0.4

$1.2 $1.2

Single-Family Multifamily

3Q22 4Q22 1Q23 2Q23 3Q23 YTD22 YTD23

Management's Discussion and Analysis Our Business Segments

Freddie Mac 3Q 2023 Form 10-Q 13
Single-Family 

Business Results

The charts, tables, and related discussion below present the business results of our Single-Family segment.

New Business Activity

UPB of Single-Family Loan Purchases and Guarantees by Loan 

Purpose and Average Estimated Guarantee Fee Rate(1) on New 

Acquisitions

(UPB in billions)

$121

$75

$59

$83 $85

$466

$227

$98

$63 $51 $73 $76

$277

$200 $23

$12 $8

$10 $9

$189

$27

54

51

55

57

55

51

56

Home purchase

Refinance

Average estimated guarantee fee rate

on new acquisitions (bps)

3Q22 4Q22 1Q23 2Q23 3Q23 YTD22 YTD23

(1) Estimated guarantee fee rate calculation excludes the legislated guarantee 

fees and includes deferred fees recognized over the estimated life of the 

related loans. 

Number of Families Helped to Own a Home and Average Loan UPB 

of New Acquisitions

(Loan count in thousands)

392

252

190

258 271

1,551

719

297

200 157 217 233

839

607 95

52

33

41 38

712

112

$309,000

$297,000

$310,000

$322,000 $314,000

$300,000

$316,000

Home purchase borrowers

Refinance borrowers

Average loan UPB of new acquisitions

3Q22 4Q22 1Q23 2Q23 3Q23 YTD22 YTD23

n	 3Q 2023 vs. 3Q 2022 and YTD 2023 vs YTD 2022 

l Our loan purchase and guarantee activity slowed due to higher mortgage interest rates.

l The average loan size of new acquisitions increased due to a higher conforming loan limit and house price 

appreciation in recent quarters.

l The average estimated guarantee fee rate on new acquisitions increased primarily due to higher contractual guarantee 

fees and faster expected credit fee recognition driven by higher estimated prepayments on new acquisitions. This 

increase was partially offset by a shift in the business mix of new acquisitions.

For additional information on credit fee changes, see the MD&A – Regulation and Supervision section in our Form 10-Q for 

the quarter ended June 30, 2023 and our 2022 Annual Report.

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

Freddie Mac 3Q 2023 Form 10-Q 14
Single-Family Mortgage Portfolio

Single-Family Mortgage Portfolio and Average Estimated 

Guarantee Fee Rate(1) on Mortgage Portfolio

(UPB in billions)

$2,971 $2,986 $2,989 $3,004 $3,024

48 48 48 48 48

Single-Family mortgage portfolio

Average estimated guarantee fee rate on

mortgage portfolio (bps)

09/30/22 12/31/22 03/31/23 06/30/23 09/30/23

(1) Estimated guarantee fee rate is calculated as of acquisition and includes 

deferred fees recognized over the estimated life of the related loans. 

Estimated guarantee fee rate calculation excludes the legislated guarantee 

fees and certain loans, the majority of which are held by VIEs that we do 

not consolidate. The UPB of these excluded loans was $41 billion as of 

September 30, 2023.

Single-Family Mortgage Loans

(Loan count in millions) 

13.6 13.6 13.6 13.6 13.7

$219,000 $219,000 $219,000 $220,000 $221,000

Single-Family mortgage portfolio 

Average loan UPB

09/30/22 12/31/22 03/31/23 06/30/23 09/30/23

n	 Our Single-Family mortgage portfolio was $3.0 trillion at September 30, 2023, up 2% year-over-year, as portfolio growth 

has moderated in recent periods due to the slowdown in new business activity as both home purchase and refinance 

activity slowed as a result of higher mortgage interest rates.

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

Freddie Mac 3Q 2023 Form 10-Q 15
CRT Activities

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

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

in our Single-Family mortgage portfolio.

UPB Covered by New CRT Issuance

(In billions)

$136

$58

$15

$56

$8

$495

$79

3Q22 4Q22 1Q23 2Q23 3Q23 YTD22 YTD23

New CRT Issuance Maximum Coverage

(In billions)

$5

$1 $1 $2

$0

$20

$3

3Q22 4Q22 1Q23 2Q23 3Q23 YTD22 YTD23

n	 3Q 2023 vs. 3Q 2022 and YTD 2023 vs. YTD 2022

l The UPB of mortgage loans covered by CRT transactions and related maximum coverage issued during 3Q 2023 and 

YTD 2023 decreased compared to 3Q 2022 and YTD 2022 due to a decrease in loan acquisition activity in recent 

quarters and changes in business strategy and market conditions.

l The percentage of our Single-Family acquisitions that were loans in the targeted population for our CRT transactions 

(primarily 30-year fixed rate loans with LTV ratios between 60% and 97%) increased to 81% during both 3Q 2023 and 

YTD 2023, from 79% and 72% during 3Q 2022 and YTD 2022, respectively, primarily driven by an increase in the 

percentage of recently acquired loans with original LTV ratios above 60% and an increase in the percentage of 30-year 

loan acquisitions. We expect to include a subset of this targeted population in our future CRT transactions.

See MD&A - Risk Management - Single-Family Mortgage Credit Risk - Transferring Credit Risk to Third-Party 

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

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

Freddie Mac 3Q 2023 Form 10-Q 16
Loss Mitigation Activities 

The following chart provides details about the single-family loan workout activities that were completed during the periods 

presented. 

Completed Loan Workout Activity

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

28

22 24 20 18

114

62

6 6 7 6 5

24 18 12 10 11 9 7

51

27

10 6

6

5 6

39

17

$6 $5 $5 $5 $5

$26

$15

Forbearance and other(1) Payment deferral plans Loan modifications Total UPB 

3Q22 4Q22 1Q23 2Q23 3Q23 YTD22 YTD23

(1) The forbearance data is limited to loans in forbearance that are past due based on the loans' original contractual terms and excludes both loans for 

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

us by the servicers or is otherwise not readily available to us. Other includes repayment plans and foreclosure alternatives. 

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

during or at the end of the forbearance period, payment deferral plans, loan modifications, successfully completed 

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

mitigation activity that was ongoing and had not been completed as of the end of the period, such as forbearance plans 

that had been initiated but not completed and trial period modifications. There were approximately 20,000 loans in active 

forbearance plans and approximately 12,000 loans in other active loss mitigation activity as of September 30, 2023.

n 3Q 2023 vs. 3Q 2022 and YTD 2023 vs. YTD 2022 - Our loan workout activity decreased as the seriously delinquent loan 

population continued to decline.

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

Freddie Mac 3Q 2023 Form 10-Q 17
Financial Results 

The table below presents the results of operations for our Single-Family segment. See Note 11 for additional information about 

segment financial results.

Table 11 - Single-Family Segment Financial Results 

Change Change

(Dollars in millions) 3Q 2023 3Q 2022 $ % YTD 2023 YTD 2022 $ %

Net interest income $4,534 $4,363 $171 4 % $13,125 $12,704 $421 3 %

Non-interest income 393 58 335 578 365 1,802 (1,437) (80) 

Net revenues 4,927 4,421 506 11 13,490 14,506 (1,016) (7) 

(Provision) benefit for credit losses 304 (1,784) 2,088 117 624 (1,251) 1,875 150 

Non-interest expense (2,310) (1,653) (657) (40) (6,121) (5,285) (836) (16) 

Income before Income tax expense 2,921 984 1,937 197 7,993 7,970 23 — 

Income tax expense (598) (141) (457) (324) (1,612) (1,548) (64) (4) 

Net income 2,323 843 1,480 176 6,381 6,422 (41) (1) 

Other comprehensive income (loss), net of taxes and 

reclassification adjustments (6) (39) 33 85 (5) (46) 41 89 

Comprehensive income $2,317 $804 $1,513 188 % $6,376 $6,376 $— — %

Key Business Drivers:

n	3Q 2023 vs. 3Q 2022

l Net income of $2.3 billion, up 176% year-over-year.

– Net revenues were $4.9 billion, up 11% year-over-year. Net interest income was $4.5 billion, up 4% year-overyear, primarily driven by higher investments net interest income as a result of higher short-term interest rates, 

partially offset by lower deferred fee income due to slower mortgage prepayment activity.

– Benefit for credit losses was $0.3 billion for 3Q 2023, primarily driven by a credit reserve release due to increases 

in observed and forecasted house price appreciation. The provision for credit losses of $1.8 billion for 3Q 2022

was primarily driven by deterioration in housing market conditions, including lower observed and forecasted 

house price appreciation.

– Non-interest expense was $2.3 billion for 3Q 2023, up 40% year-over-year, primarily driven by an allocation of 

$250 million for the accrual for an adverse judgment at trial and a decrease in credit enhancement recoveries due 

to a decline in expected credit losses on covered loans.

n	YTD 2023 vs. YTD 2022

l Net income of $6.4 billion, down 1% year-over-year.

– Net revenues were $13.5 billion, down 7% year-over-year.

◦ Net interest income was $13.1 billion for YTD 2023, up 3% year-over-year, primarily driven by higher 

investments net interest income as a result of higher interest rates, partially offset by lower deferred fee 

income due to slower mortgage prepayment activity.

◦ Non-interest income of $1.8 billion for YTD 2022 was primarily driven by spread-related gains on 

commitments to hedge the securitization pipeline during that period.

– Benefit for credit losses was $0.6 billion for YTD 2023, primarily driven by a credit reserve release due to increases 

in observed and forecasted house price appreciation. The provision for credit losses was $1.3 billion for YTD 

2022, primarily driven by deterioration in housing market conditions, including lower observed and forecasted 

house price appreciation.

– Non-interest expense was $6.1 billion for YTD 2023, up 16% year-over-year, primarily driven by an allocation of 

$250 million for the accrual for an adverse judgment at trial and a decrease in credit enhancement recoveries due 

to a decline in expected credit losses on covered loans.

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

Freddie Mac 3Q 2023 Form 10-Q 18
Multifamily 

Business Results

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

New Business Activity

New Business Activity 

 (In billions) 

$14

$29

$6

$13 $13

$44

$32

3Q22 4Q22 1Q23 2Q23 3Q23 YTD22 YTD23

 Total Number of Rental Units Financed(1)

 (In thousands)

150

252

60

114 118

441

292

3Q22 4Q22 1Q23 2Q23 3Q23 YTD22 YTD23

 (1) Includes rental units financed by supplemental loans.

n	 As of September 30, 2023, our Multifamily new business activity was $32.4 billion, down 27% year-over-year, as higher 

mortgage interest rates have reduced demand for multifamily financing. Approximately 64% of this activity, based on UPB, 

was mission-driven, affordable housing.

n	 Our index lock agreements and outstanding commitments to purchase or guarantee multifamily assets were $17.1 billion

and $21.4 billion as of September 30, 2023 and September 30, 2022, respectively.

Management's Discussion and Analysis Our Business Segments | Multifamily

Freddie Mac 3Q 2023 Form 10-Q 19
Multifamily Mortgage Portfolio and Guarantee Portfolio

 Mortgage Portfolio

 (In billions) 

$416

$429 $426 $427 $432

09/30/22 12/31/22 3/31/23 6/30/23 9/30/23

 

 Guarantee Portfolio

 (In billions) 

$357 $360 $362 $366 $372

43 43

44

45

46

UPB of guarantee portfolio

Average guarantee fee rate charged (bps)

09/30/22 12/31/22 3/31/23 6/30/23 9/30/23

n	 Our Multifamily mortgage portfolio was $432.0 billion at September 30, 2023, up 4% year-over-year, as portfolio growth 

has moderated in recent periods due to the slowdown in new business activity. Our guarantee portfolio was $371.8 billion

at September 30, 2023, up 4% year-over-year, as our new securitization activities outpaced payoffs.

n	 In addition to our Multifamily mortgage portfolio, we have investments in LIHTC fund partnerships with carrying values 

totaling $3.3 billion and $2.8 billion as of September 30, 2023 and December 31, 2022, respectively. 

Management's Discussion and Analysis Our Business Segments | Multifamily

Freddie Mac 3Q 2023 Form 10-Q 20
CRT Activities

 UPB Covered by New CRT Issuance New CRT Issuance Maximum Coverage 

 (In billions) (In billions)

$11

$16

$8

$16 $17

$46

$41

3Q22 4Q22 1Q23 2Q23 3Q23 YTD22 YTD23

 

$0.8

$1.0

$0.6

$0.9 $0.9

$3.1

$2.4

3Q22 4Q22 1Q23 2Q23 3Q23 YTD22 YTD23

n	 3Q 2023 vs. 3Q 2022 

l The UPB of mortgage loans covered by new CRT transactions and the maximum coverage increased primarily due to 

the issuance of MCIP and SCR Trust note transactions. There were no MCIP or SCR Trust note transactions in 3Q 

2022. 

n	 YTD 2023 vs. YTD 2022

l The UPB of mortgage loans covered by new CRT transactions and the maximum coverage decreased primarily due to 

lower new business activity.

See MD&A - Risk Management - Multifamily Mortgage Credit Risk - Transferring Credit Risk to Third-Party 

Investors for more information on risk transfer transactions and credit enhancements on our Multifamily mortgage portfolio.

Management's Discussion and Analysis Our Business Segments | Multifamily

Freddie Mac 3Q 2023 Form 10-Q 21
Financial Results

The table below presents the results of operations for our Multifamily segment. See Note 11 for additional information about 

segment financial results.

Table 12 - Multifamily Segment Financial Results 

Change Change

(Dollars in millions) 3Q 2023 3Q 2022 $ % YTD 2023 YTD 2022 $ %

Net interest income $215 $191 $24 13 % $648 $713 ($65) (9) %

Non-interest income 548 569 (21) (4) 1,718 1,212 506 42 

Net revenues 763 760 3 — 2,366 1,925 441 23 

(Provision) benefit for credit losses (41) (12) (29) (242) (219) (15) (204) (1,360) 

Non-interest expense (266) (172) (94) (55) (591) (492) (99) (20) 

Income before income tax expense 456 576 (120) (21) 1,556 1,418 138 10 

Income tax expense (94) (106) 12 11 (313) (276) (37) (13) 

Net income 362 470 (108) (23) 1,243 1,142 101 9 

Other comprehensive income (loss), net of 

taxes and reclassification adjustments 25 (142) 167 118 24 (321) 345 107 

Comprehensive income $387 $328 $59 18 % $1,267 $821 $446 54 %

Key Business Drivers:

n	 3Q 2023 vs. 3Q 2022

l Net income of $0.4 billion, down 23% year-over-year.

– Net revenues remained $0.8 billion, essentially unchanged year-over-year. 

– Provision for credit losses was $41 million for 3Q 2023, driven by a credit reserve build due to deterioration in 

overall loan performance.

– Non-interest expense was $0.3 billion, up 55% year-over-year, primarily driven by an allocation of $63 million for 

the accrual for an adverse judgment at trial.

n	 YTD 2023 vs. YTD 2022

l Net income of $1.2 billion, up 9% year-over-year.

– Net revenues were $2.4 billion, up 23% year-over-year. 

– Net interest income was $0.6 billion, down 9% year-over-year, primarily due to lower prepayment income 

driven by higher mortgage interest rates, partially offset by higher net interest income from mortgage 

loans.

– Non-interest income was $1.7 billion, up 42% year-over-year, primarily driven by lower fair value losses 

on our guarantee assets, net of the related interest-rate risk management activities. During 2Q 2022, we 

updated our funds transfer pricing methodologies to allocate gains and losses on derivative instruments 

to Multifamily to offset interest rate-related changes in fair value on our guarantee assets.

– Provision for credit losses was $0.2 billion for YTD 2023, driven by a credit reserve build due to increased 

uncertainty in forecasted economic conditions and multifamily market conditions as well as deterioration in overall 

loan performance.

– Non-interest expense was $0.6 billion, up 20% year-over-year, primarily driven by an allocation of $63 million for 

the accrual for an adverse judgment at trial.

Management's Discussion and Analysis Our Business Segments | Multifamily

Freddie Mac 3Q 2023 Form 10-Q 22
RISK MANAGEMENT

To achieve our mission, we take risks as an integral part of our business activities. We are exposed to the following key types of 

risk: credit risk, market risk, liquidity risk, operational risk, compliance risk, legal risk, strategic risk, and reputation risk.

Credit Risk

Allowance for Credit Losses

The tables below present a summary of the changes in our allowance for credit losses and key allowance for credit losses 

ratios.

Table 13 - Allowance for Credit Losses Activity

3Q 2023 3Q 2022 YTD 2023 YTD 2022

(Dollars in 

millions) 

SingleFamilyMultifamily TotalSingleFamilyMultifamily TotalSingleFamilyMultifamily TotalSingleFamilyMultifamily Total

Allowance for credit losses:

Beginning 

balance $7,457 $325 $7,782 $5,342 $81 $5,423 $7,746 $147 $7,893 $5,440 $78 $5,518 

Provision (benefit) 

for credit losses (304) 41 (263) 1,784 12 1,796 (624) 219 (405) 1,251 15 1,266 

 Charge-offs (221) — (221) (108) — (108) (422) — (422) (388) — (388) 

 Recoveries 

collected 54 — 54 29 — 29 115 — 115 124 — 124 

Net charge-offs (167) — (167) (79) — (79) (307) — (307) (264) — (264) 

Other(1) 80 — 80 168 — 168 251 — 251 788 — 788 

Ending balance $7,066 $366 $7,432 $7,215 $93 $7,308 $7,066 $366 $7,432 $7,215 $93 $7,308 

Average loans 

outstanding 

during the 

period(2) $3,008,592 $51,500 $3,060,092 $2,957,019 $33,614 $2,990,633 $2,995,238 $49,186 $3,044,424 $2,914,163 $30,500 $2,944,663

Net charge-offs to 

average loans 

outstanding 0.01 % — % 0.01 % — % — % — % 0.01 % — % 0.01 % 0.01 % — % 0.01 %

Components of ending balance of allowance for credit losses:

Mortgage loans 

held-forinvestment $6,668 $280 $6,948 $6,802 $49 $6,851 

Other(3) 398 86 484 413 44 457 

Total ending 

balance $7,066 $366 $7,432 $7,215 $93 $7,308 

(1) Primarily includes capitalization of past due interest related to non-accrual loans that received payment deferral plans and loan modifications.

(2) Based on amortized cost basis of held-for-investment loans for which we have not elected the fair value option.

(3) Includes allowance for credit losses related to advances of pre-foreclosure costs, accrued interest receivable on mortgage loans, and off-balance sheet credit 

exposures. 

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2023 Form 10-Q 23
Table 14 - Allowance for Credit Losses Ratios

September 30, 2023 December 31, 2022

(Dollars in millions) Single-Family Multifamily Total Single-Family Multifamily Total

Allowance for credit losses ratios:

Allowance for credit losses(1) to total loans outstanding 0.22 % 0.54 % 0.23 % 0.25 % 0.16 % 0.24 %

Non-accrual loans to total loans outstanding 0.42 0.12 0.41 0.34 0.09 0.33 

Allowance for credit losses to non-accrual loans 52.82 437.50 54.76 72.45 183.33 72.91 

Balances:

Allowance for credit losses on mortgage loans held-forinvestment $6,668 $280 $6,948 $7,314 $77 $7,391 

Total loans outstanding(2) 3,014,629 51,832 3,066,461 2,981,401 47,094 3,028,495 

Non-accrual loans(2) 12,625 64 12,689 10,095 42 10,137 

(1) Represents allowance for credit losses on held-for-investment loans for which we have not elected the fair value option.

(2) Based on amortized cost basis of held-for-investment loans for which we have not elected the fair value option.

The ratio of allowance for credit losses to non-accrual loans decreased as of September 30, 2023 compared to December 31, 

2022, primarily driven by a credit reserve release in Single-Family due to increases in observed and forecasted house price 

appreciation.

Single-Family Mortgage Credit Risk

Maintaining Prudent Underwriting Standards and Quality Control Practices and 

Managing Seller/Servicer Performance 

Loan Purchase Credit Characteristics

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

when managing our new acquisitions, we consider our risk limits and guidance from FHFA and capital requirements under the 

ERCF. This may affect the volume and characteristics of our loan acquisitions.

The charts below show the credit profile of the single-family loans we purchased or guaranteed. The average original LTV ratio 

increased year-over-year during YTD 2023 due to the increase in the percentage of loan acquisitions related to home 

purchases as home purchase loans typically have higher LTV ratios than refinance loans. The percentage of loans with a DTI 

ratio greater than 45% also increased year-over-year during 3Q 2023 and YTD 2023 due to changes in market conditions, such 

as increasing house prices and higher mortgage interest rates in recent quarters, and continued modifications to our 

underwriting standards.

Weighted Average Original LTV Ratio 

78% 78% 79% 79% 78%

74%

79%

3Q22 4Q22 1Q23 2Q23 3Q23 YTD22 YTD23

Weighted Average Original Credit Score(1)

747 747 749 751 753

746 751

3Q22 4Q22 1Q23 2Q23 3Q23 YTD22 YTD23

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

bureaus (Equifax, Experian, and TransUnion).

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2023 Form 10-Q 24
The table below contains additional information about the single-family loans we purchased or guaranteed.

Table 15 - Single-Family New Business Activity 

3Q 2023 3Q 2022 YTD 2023 YTD 2022

(Dollars in millions) Amount

% of 

Total Amount

% of 

Total Amount

% of 

Total Amount

% of 

Total

20- and 30-year or more, amortizing fixed-rate $81,696 95 % $112,585 93 % $215,895 95 % $419,472 90 %

15-year or less, amortizing fixed-rate 3,269 4 6,702 5 8,521 4 41,270 9 

Adjustable-rate 466 1 1,928 2 2,830 1 5,226 1 

Total $85,431 100 % $121,215 100 % $227,246 100 % $465,968 100 %

Percentage of purchases

DTI ratio > 45% 29 % 19 % 26 % 16 %

Original LTV ratio > 90% 26 24 27 18 

Transaction type:

Cash window 30 24 29 26 

Guarantor swap 70 76 71 74 

Property type:

Detached single-family houses and townhouses 91 92 91 92 

Condominium or co-op 9 8 9 8 

Occupancy type:

Primary residence 93 91 93 90 

Second home 2 2 2 3 

Investment property 5 7 5 7 

Loan purpose:

Purchase 89 80 88 59 

Cash-out refinance 8 16 8 27 

 Other refinance 3 4 4 14 

Transferring Credit Risk to Third-Party Investors 

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

and other credit enhancements.

Single-Family Mortgage Portfolio CRT Issuance

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

well as the maximum coverage provided by those transactions.

Table 16 - Single-Family Mortgage Portfolio CRT Issuance

3Q 2023 3Q 2022

(In millions) UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2)

STACR $— $— $90,747 $2,849 

ACIS 7,123 255 44,770 1,767 

Other 546 103 625 132 

Total CRT issuance $7,669 $358 $136,142 $4,748 

Referenced footnotes are included after the year-to-date table.

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2023 Form 10-Q 25
YTD 2023 YTD 2022

(In millions) UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2)

STACR $63,331 $2,202 $325,721 $12,720 

ACIS 14,716 548 166,461 6,482 

Other 666 223 2,322 526 

Total CRT issuance $78,713 $2,973 $494,504 $19,728 

(1) Represents the UPB of the assets included in the associated reference pool or securitization trust, as applicable.

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

third parties at issuance.

Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding

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

Table 17 - Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding 

September 30, 2023

(Dollars in millions) UPB(1) % of Portfolio Maximum Coverage(2)

Primary mortgage insurance(3) $633,492 21% $163,960 

STACR 1,180,667 39 32,126 

ACIS 840,958 28 18,179 

Other 40,202 1 11,079 

Less: UPB with multiple credit enhancements and other reconciling items(4) (830,093) (27) — 

Single-Family mortgage portfolio - credit-enhanced 1,865,226 62 225,344 

Single-Family mortgage portfolio - non-credit-enhanced 1,158,815 38 N/A

Total $3,024,041 100% $225,344 

December 31, 2022

(Dollars in millions) UPB(1) % of Portfolio Maximum Coverage(2)

Primary mortgage insurance(3) $609,123 21% $155,022 

STACR 1,188,017 40 35,111 

ACIS 938,409 31 19,774 

Other 41,572 1 11,105 

Less: UPB with multiple credit enhancements and other reconciling items(4) (945,062) (32) — 

Single-Family mortgage portfolio - credit-enhanced 1,832,059 61 221,012 

Single-Family mortgage portfolio - non-credit-enhanced 1,153,986 39 N/A

Total $2,986,045 100% $221,012 

(1) Represents the current UPB of the assets included in the associated reference pool or securitization trust, as applicable. 

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

purchased from third parties. 

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

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

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2023 Form 10-Q 26
Credit Enhancement Coverage Characteristics

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

primary mortgage insurance and other credit enhancements.

Table 18 - Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family 

Mortgage Portfolio

September 30, 2023 December 31, 2022

(% of portfolio based on UPB)(1) % of Portfolio(2) SDQ Rate % of Portfolio(2) SDQ Rate

Credit-enhanced:

 Primary mortgage insurance 21 % 0.90 % 21 % 1.05 %

 CRT and other 55 0.58 56 0.68 

Non-credit-enhanced 38 0.45 39 0.57 

Total N/A 0.55 N/A 0.66 

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

(2) Percentages do not total to 100% as a single loan may be included in multiple line items.

Credit Enhancement Recoveries 

Our expected recovery receivable from freestanding credit enhancements, net of allowance, was $0.2 billion and $0.4 billion as 

of September 30, 2023 and December 31, 2022, respectively.

Monitoring Loan Performance and Characteristics 

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

market and economic conditions, to assess credit risk when estimating our allowance for credit losses. We also use this 

information to determine if our pricing and eligibility standards reflect the risk associated with the loans we purchase and 

guarantee.

Loan Characteristics 

The table below contains details of the characteristics of the loans in our Single-Family mortgage portfolio. 

Table 19 - Credit Quality Characteristics of Our Single-Family Mortgage Portfolio 

September 30, 2023

(Dollars in millions) UPB

Original Credit

Score(1)

Current Credit

Score(1)(2)

Original

LTV Ratio

Current

LTV

Ratio

Single-Family mortgage portfolio year of origination:

 2023 $196,853 751 746 79 % 77 %

 2022 439,880 745 747 76 70 

 2021 1,000,152 752 756 71 56 

 2020 732,387 761 768 71 47 

 2019 122,134 746 753 76 47 

 2018 and prior 532,635 736 751 75 33 

Total $3,024,041 750 756 73 53 

Referenced footnotes are included after the prior period table.

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2023 Form 10-Q 27
December 31, 2022

(Dollars in millions) UPB

Original Credit

Score (1)

Current Credit

Score(1)(2)

Original

LTV Ratio

Current

LTV

Ratio

Single-Family mortgage portfolio year of origination:

 2022 $438,339 745 742 76 % 74 %

 2021 1,054,844 752 758 71 59 

 2020 776,425 761 766 71 51 

 2019 131,637 746 752 76 50 

 2018 52,921 736 736 76 47 

 2017 and prior 531,879 737 752 75 34 

Total $2,986,045 750 756 73 54 

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

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

also represent the current credit scores.

The following table presents the combination of credit score and CLTV ratio attributes of loans in our Single-Family mortgage 

portfolio.

Table 20 - Single-Family Mortgage Portfolio Attribute Combinations(1)

September 30, 2023

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

Original credit 

score

% of 

Portfolio SDQ Rate

% of 

Portfolio SDQ Rate(2)

% of 

Portfolio SDQ Rate(2)

% of 

Portfolio SDQ Rate(2)

% of 

Portfolio SDQ Rate(2)

% of 

Portfolio SDQ Rate

740 and above 43 % 0.17 % 16 % 0.23 % 4 % 0.28 % 2 % 0.25 % — % NM 65 % 0.18 %

700 to 739 12 0.54 6 0.74 2 0.80 1 0.60 — NM 21 0.60

680 to 699 4 0.91 2 1.40 — NM — NM — NM 6 1.03

660 to 679 3 1.30 1 1.95 — NM — NM — NM 4 1.44

620 to 659 2 2.03 1 3.06 — NM — NM — NM 3 2.21

Less than 620 1 4.53 — NM — NM — NM — NM 1 4.92

Total 65 % 0.51 26 % 0.65 6 % 0.66 3 % 0.50 — % NM 100 % 0.55

December 31, 2022

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

Original credit 

score

% of 

Portfolio SDQ Rate

% of 

Portfolio SDQ Rate(2)

% of 

Portfolio SDQ Rate(2)

% of 

Portfolio SDQ Rate(2)

% of 

Portfolio SDQ Rate(2)

% of 

Portfolio SDQ Rate

740 and above 40 % 0.22 % 18 % 0.25 % 4 % 0.23 % 2 % 0.16 % — % NM 64 % 0.23 %

700 to 739 12 0.70 6 0.75 2 0.72 1 0.38 — NM 21 0.71 

680 to 699 5 1.16 2 1.28 — NM — NM — NM 7 1.18 

660 to 679 3 1.65 1 1.77 — NM — NM — NM 4 1.68 

620 to 659 2 2.46 1 2.78 — NM — NM — NM 3 2.54 

Less than 620 1 5.97 — NM — NM — NM — NM 1 6.52 

Total 63 % 0.66 28 % 0.67 6 % 0.60 3 % 0.37 — % NM 100 % 0.66

(1) Excludes loans underlying certain securitization products for which original credit score is not available.

(2) NM - not meaningful due to the percentage of the portfolio rounding to zero.

Geographic Concentrations

We purchase mortgage loans from across the U.S. However, local economic conditions can affect the borrower's ability to 

repay and the value of the underlying collateral, leading to concentrations of credit risk in certain geographic areas. In addition, 

certain states and municipalities have passed or may pass laws that limit our ability to foreclose or evict and make it more 

difficult and costly to manage our risk.

See Note 12 for more information about the geographic distribution of our Single-Family mortgage portfolio.

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2023 Form 10-Q 28
Delinquency Rates 

We report Single-Family delinquency rates based on the number of loans in our Single-Family mortgage portfolio that are past 

due as reported to us by our servicers as a percentage of the total number of loans in our Single-Family mortgage portfolio. 

The chart below shows the delinquency rates of mortgage loans in our Single-Family mortgage portfolio.

Single-Family Delinquency Rates 

0.79%

0.94%

0.76%

0.88%

0.99%

0.20%

0.24%

0.20% 0.21% 0.24%

0.67% 0.66%

0.62%

0.56%

0.55%

One month past due Two months past due Seriously delinquent

3Q22 4Q22 1Q23 2Q23 3Q23

Our Single-Family serious delinquency rate has declined to 0.55% as of September 30, 2023, compared to 0.67% as of 

September 30, 2022. See Note 3 for additional information on the payment status of our single-family mortgage loans.

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2023 Form 10-Q 29
Multifamily Mortgage Credit Risk

Maintaining Policies and Procedures for New Business Activity, Including Prudent 

Underwriting Standards

Our underwriting standards focus on the LTV ratio and DSCR, which estimates a borrower's ability to repay the loan using the 

secured property's cash flows, after expenses. The charts below provide the weighted average original LTV and DSCR for our 

new business activity for the periods presented. 

Weighted Average Original LTV Ratio 

59% 58% 57% 58% 60% 63% 59%

3Q22 4Q22 1Q23 2Q23 3Q23 YTD22 YTD23

 Weighted Average Original DSCR

1.31 1.25 1.27 1.27 1.26 1.33 1.27

3Q22 4Q22 1Q23 2Q23 3Q23 YTD22 YTD23

Transferring Credit Risk to Third-Party Investors

To reduce our credit risk exposure, we engage in a variety of CRT activities; however, securitizations remain our principal credit 

risk transfer mechanism. Through securitizations (i.e., subordination), we have transferred a substantial amount of the expected 

and stressed credit risk on the Multifamily mortgage portfolio, thereby reducing our overall credit risk exposure and required 

capital.

Multifamily Mortgage Portfolio CRT Issuance

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

well as the maximum coverage provided by those transactions.

Table 21 - Multifamily Mortgage Portfolio CRT Issuance

3Q 2023 3Q 2022 YTD 2023 YTD 2022

(In millions) UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2)

Subordination $8,722 $586 $11,298 $791 $23,498 $1,621 $40,184 $2,705 

SCR 8,224 200 — — 17,026 407 5,982 141 

MCIP 8,224 152 — — 15,860 340 5,982 200 

Lender risk-sharing — — 50 10 560 80 264 36 

Less: UPB with more 

than one type of CRT (8,224) — — — (15,860) — (5,982) — 

Total CRT issuance $16,946 $938 $11,348 $801 $41,084 $2,448 $46,430 $3,082 

(1) Represents the UPB of the assets included in the associated reference pool or securitization trust, as applicable.

(2) For subordination, represents the UPB of the securities that are held by third parties at issuance and are subordinate to the securities we guarantee. For SCR 

transactions, represents the UPB of securities held by third parties at issuance. For MCIP transactions, represents the aggregate limit of insurance purchased from 

third parties at issuance. For lender risk-sharing, represents the amount of loss recovery that is available subject to the terms of counterparty agreements at 

issuance.

We have increased the volume of MCIP and SCR Trust note transactions to facilitate the transfer of mortgage credit risk 

associated with our growing Multifamily mortgage loans held-for-investment portfolio.

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2023 Form 10-Q 30
Multifamily Mortgage Portfolio Credit Enhancement Coverage Outstanding

While we obtain various forms of credit protection in connection with the acquisition, guarantee, and/or securitization of a loan 

or group of loans, our principal credit enhancement type is subordination, which is created through our senior subordinate 

securitization transactions. As of September 30, 2023 and December 31, 2022, our maximum coverage provided by 

subordination in nonconsolidated VIEs was $39.6 billion and $41.7 billion, respectively. 

The table below presents the UPB and delinquency rates for both credit-enhanced and non-credit-enhanced loans underlying 

our Multifamily mortgage portfolio.

Table 22 - Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio

September 30, 2023 December 31, 2022

(Dollars in millions) UPB Delinquency Rate UPB Delinquency Rate

Credit-enhanced:

Subordination $354,664 0.24 % $358,813 0.12 %

Other 55,413 0.22 38,870 0.12 

Total credit-enhanced 410,077 0.24 397,683 0.12 

Non-credit-enhanced 21,877 0.27 31,619 0.08 

Total $431,954 0.24 $429,302 0.12 

The Multifamily delinquency rate increased to 0.24% at September 30, 2023, primarily driven by an increase in delinquent loans 

in our senior housing and small balance loan portfolios. 94% of the delinquent loans in the Multifamily mortgage portfolio have 

credit enhancement coverage while 95% of all loans in the Multifamily mortgage portfolio have credit enhancement coverage.

The table below contains details on the loans underlying our Multifamily mortgage portfolio that are not credit-enhanced.

Table 23 - Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement

September 30, 2023 December 31, 2022

(Dollars in millions) UPB Delinquency Rate UPB Delinquency Rate

Mortgage loans held-for-sale $10,210 — % $9,138 0.29 %

Mortgage loans held-for-investment:

 Held by Freddie Mac 6,698 0.68 15,468 — 

 Held by consolidated trusts 2,688 0.48 4,665 — 

Other mortgage-related guarantees 2,281 — 2,348 — 

Total $21,877 0.27 $31,619 0.08 

Market Risk

Overview

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 our investments in mortgage-related assets, the debt we 

issue to fund these assets, and our Single-Family guarantees. 

Interest-Rate Risk

Our primary interest-rate risk measures are duration gap and Portfolio Value Sensitivity (PVS). Duration gap measures the 

difference in price sensitivity to interest rate changes between our financial assets and liabilities and is expressed in months 

relative to the value of assets. PVS is an estimate of the change in the present value of the cash flows of our financial assets 

and liabilities from an instantaneous shock to interest rates, assuming spreads are held constant and no rebalancing actions 

are undertaken. PVS is measured in two ways, one measuring the estimated sensitivity of our portfolio value to a 50 basis point 

parallel movement in interest rates (PVS-L) and the other to a non-parallel movement resulting from a 25 basis point change in 

the slope of the yield curve (PVS-YC). While we believe that duration gap and PVS are useful risk management tools, they 

should be understood as estimates rather than as precise measurements.

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2023 Form 10-Q 31
The following tables provide our duration gap, estimated point-in-time and minimum and maximum PVS-L and PVS-YC results, 

and an average of the daily values and standard deviation. The table below also provides PVS-L estimates assuming an 

immediate 100 basis point shift in the yield curve. The interest-rate sensitivity of a mortgage portfolio varies across a wide 

range of interest rates.

Table 24 - PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve

September 30, 2023 December 31, 2022

PVS-YC PVS-L PVS-YC PVS-L

(In millions) 25 bps 50 bps 100 bps 25 bps 50 bps 100 bps

Assuming shifts of the yield curve, (gains) 

losses on:(1)

Assets:

Investments ($327) $2,926 $5,728 $362 ($3,131) ($6,340) 

Guarantees(2) 40 (327) (616) (93) 512 1,090 

Total assets (287) 2,599 5,112 269 (2,619) (5,250) 

Liabilities (86) (1,714) (3,476) 68 1,958 3,912 

Derivatives 374 (901) (1,705) (336) 648 1,278 

Total $1 ($16) ($69) $1 ($13) ($60) 

PVS $1 $— $— $1 $— $— 

(1) The categorization of the PVS impact between assets, liabilities, and derivatives on this table is based upon the economic characteristics of those assets and 

liabilities, not their accounting classification. For example, purchase and sale commitments of mortgage-related securities and debt of consolidated trusts held by 

the mortgage-related investments portfolio are both categorized as assets on this table.

(2) Represents the interest-rate risk from our guarantees, which include buy-ups, float, and upfront fees (including buy-downs). 

Table 25 - Duration Gap and PVS Results

3Q 2023 3Q 2022

(Duration gap in months, dollars in millions)

Duration

Gap

PVS-YC

25 bps

PVS-L

50 bps

Duration

Gap

PVS-YC

25 bps

PVS-L

50 bps

Average — $3 $— — $4 $3 

Minimum (0.1) — — (0.3) — — 

Maximum 0.1 9 — 0.3 11 28 

Standard deviation 0.1 2 — 0.1 3 5 

YTD 2023 YTD 2022

(Duration gap in months, dollars in millions)

Duration

Gap

PVS-YC

25 bps

PVS-L

50 bps

Duration

Gap

PVS-YC

25 bps

PVS-L

50 bps

Average — $3 $3 — $6 $6 

Minimum (0.2) — — (0.4) — — 

Maximum 0.3 9 31 0.4 18 77 

Standard deviation 0.1 2 7 0.1 4 13 

Derivatives enable us to reduce our economic interest-rate risk exposure as we continue to align our derivative portfolio with 

the changing duration of our economically hedged assets and liabilities. The table below shows that the PVS-L risk levels, 

assuming a 50 basis point shift in the yield curve for the periods presented, would have been higher if we had not used 

derivatives.

Table 26 - PVS-L Results Before Derivatives and After Derivatives

PVS-L (50 bps)

(In millions)

Before

Derivatives

After

Derivatives

Effect of

Derivatives

September 30, 2023 885 — (885) 

December 31, 2022(1) 645 — (645) 

(1) Before derivatives, our adverse PVS-L rate movement was -50 whereas after derivatives our adverse PVS-L rate movement was +50 bps.

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2023 Form 10-Q 32
Earnings Sensitivity to Market Risk

The accounting treatment for our financial assets and liabilities (i.e., some are measured at amortized cost, while others are 

measured at fair value) creates variability in our GAAP earnings when interest rates and spreads change. We manage this 

variability of GAAP earnings, which may not reflect the economics of our business, using fair value hedge accounting. See 

MD&A - Consolidated Results of Operations and MD&A - Our Business Segments for additional information on the 

effect of changes in interest rates and market spreads on our financial results.

Interest Rate-Related Earnings Sensitivity

While we manage our interest-rate risk exposure on an economic basis to a low level as measured by our models, changes in 

interest rates may still result in significant earnings variability from period to period.

By electing fair value hedge accounting for certain single-family mortgage loans and certain debt instruments, we are able to 

reduce the potential variability in our earnings attributable to changes in interest rates. See Note 8 for additional information on 

hedge accounting.

Earnings Sensitivity to Changes in Interest Rates

We evaluate a range of interest rate scenarios to determine the sensitivity of our earnings due to changes in interest rates and 

to determine our fair value hedge accounting strategies. The interest rate scenarios evaluated include parallel shifts in the yield 

curve in which interest rates increase or decrease by 100 basis points, non-parallel shifts in the yield curve in which long-term 

interest rates increase or decrease by 100 basis points, and non-parallel shifts in the yield curve in which short-term and 

medium-term interest rates increase or decrease by 100 basis points. This evaluation identifies the net effect on comprehensive 

income from changes in fair value attributable to changes in interest rates for financial instruments measured at fair value 

recognized on our condensed consolidated balance sheets at period end, including the effects of fair value hedge accounting, 

for each of the identified scenarios. This evaluation does not include the net effect on comprehensive income from interest-rate 

sensitive items that are not measured at fair value (e.g., amortization of mortgage loan premiums and discounts, changes in fair 

value of held-for-sale mortgage loans for which we have not elected the fair value option), from changes in our future 

contractual net interest income due to repricing of our interest-bearing assets and liabilities, or from future new business 

activities. The before-tax results of this evaluation are shown in the table below.

Table 27 - Earnings Sensitivity to Changes in Interest Rates

(In millions) September 30, 2023 September 30, 2022

Interest Rate Scenarios(1)

Parallel yield curve shifts: 

 +100 basis points ($66) $62 

 -100 basis points 66 (62) 

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

 +100 basis points 121 202 

 -100 basis points (121) (202) 

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

 +100 basis points (187) (140) 

 -100 basis points 187 140 

(1) The earnings sensitivity presented is calculated using the change in interest rates and net effective duration exposure.

The actual effect of changes in interest rates on our comprehensive income in any given period may vary based on a number of 

factors, including, but not limited to, the composition of our assets and liabilities, the actual changes in interest rates that are 

realized at different terms along the yield curve, and the effectiveness of our hedge accounting strategies. Even if implemented 

properly, our hedge accounting programs may not be effective in reducing earnings volatility, and our hedges may fail in any 

given future period, which could expose us to significant earnings variability in that period.

Management's Discussion and Analysis Risk Management

Freddie Mac 3Q 2023 Form 10-Q 33
LIQUIDITY AND CAPITAL RESOURCES

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

meet the needs of customers in a timely and cost-efficient manner. We also must maintain adequate capital resources to avoid 

being placed into receivership by FHFA.

Liquidity

Primary Sources of Liquidity 

The following table lists the sources of our liquidity, the balances as of the dates shown, and a brief description of their 

importance to Freddie Mac.

Table 28 - Liquidity Sources

(In millions) September 30, 2023(1) December 31, 2022(1) Description

Other Investments Portfolio - 

Liquidity and Contingency 

Operating Portfolio

 $131,449 $114,339 The liquidity and contingency operating portfolio, included within 

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

liquidity management.

Mortgage Loans and MortgageRelated Securities  24,666 25,853 The liquid portion of our mortgage-related investments portfolio 

can be pledged or sold for liquidity purposes. The amount of 

cash we may be able to successfully raise may be substantially 

less than the balance.

(1) Represents carrying value for the liquidity and contingency operating portfolio, included within our other investments portfolio, and UPB for the liquid portion of the 

mortgage-related investments portfolio.

Other Investments Portfolio

Our other investments portfolio is important to our cash flow, collateral management, asset and liability management, and 

ability to provide liquidity and stability to the mortgage market. 

Our liquidity and contingency operating portfolio primarily includes securities purchased under agreements to resell and nonmortgage-related securities. Our non-mortgage-related securities consist of U.S. Treasury securities and other investments that 

we could sell to provide us with an additional source of liquidity to fund our business operations. We also maintain non-interestbearing deposits at the Federal Reserve Bank of New York and interest-bearing deposits at commercial banks. Our interestbearing deposits at commercial banks totaled $4.5 billion and $5.0 billion as of September 30, 2023 and December 31, 2022, 

respectively. See MD&A - Our Portfolios - Investments Portfolio - Other Investments Portfolio for more information 

about our other investments portfolio.

Mortgage Loans and Mortgage-Related Securities 

We invest principally in mortgage loans and mortgage-related securities, certain categories of which are largely unencumbered 

and liquid. Our primary source of liquidity among these mortgage assets is our holdings of agency securities. See MD&A - Our 

Portfolios - Investments Portfolio - Mortgage-Related Investments Portfolio for more information about our 

mortgage loans and mortgage-related securities.

Management's Discussion and Analysis Liquidity and Capital Resources 

Freddie Mac 3Q 2023 Form 10-Q 34
Primary Sources of Funding 

The following table lists the sources of our funding, the balances as of the dates shown, and a brief description of their 

importance to Freddie Mac.

Table 29 - Funding Sources

(In millions) September 30, 2023(1) December 31, 2022(1) Description

Debt of Freddie Mac $174,922 $166,762 Debt of Freddie Mac is used to fund our business activities.

Debt of Consolidated Trusts 3,027,175 2,979,070 Debt of consolidated trusts is used primarily to fund our SingleFamily guarantee activities. This type of debt is principally repaid by 

the cash flows of the associated mortgage loans. As a result, our 

repayment obligation is limited to amounts paid pursuant to our 

guarantee of principal and interest and to purchase modified or 

seriously delinquent loans from the trusts.

(1) Represents the carrying value of debt balances after consideration of offsetting arrangements.

Debt of Freddie Mac

We issue debt of Freddie Mac to fund our operations. Competition for funding can vary with economic, financial market, and 

regulatory environments. The amount, type, and term of debt issued is based on a variety of factors and is designed to meet 

our ongoing cash needs and to comply with our Liquidity Management Framework.

The table below summarizes the par value and the average rate of debt of Freddie Mac we issued or paid off, including 

regularly scheduled principal payments, payments resulting from calls, and payments for repurchases. We call, exchange, or 

repurchase our outstanding debt from time to time for a variety of reasons, including managing our funding composition and 

supporting the liquidity of our debt securities.

Table 30 - Debt of Freddie Mac Activity

3Q 2023 3Q 2022

(Dollars in millions) Par Value Average Rate(1) Par Value Average Rate(1)

Short-term:

Beginning balance $11,386 5.08 % $3,115 1.14 %

Issuances 6,591 5.27 33,182 2.19 

Repayments — — — — 

Maturities (13,037) 5.00 (24,387) 1.87 

Ending balance 4,940 5.32 11,910 2.46 

Securities sold under agreements to repurchase 4,795 5.20 7,512 2.06 

Offsetting arrangements (3,772) — (7,512) — 

Securities sold under agreements to repurchase, net 1,023 5.35 — — 

Total short-term debt 5,963 5.33 11,910 2.46 

Long-term:

Beginning balance 180,574 3.21 165,433 1.52 

Issuances 10,826 5.79 12,876 4.12 

Repayments (2,217) 5.58 (1,392) 5.68 

Maturities (10,281) 5.05 (13,603) 0.63 

Total long-term debt 178,902 3.23 163,314 1.83 

Total debt of Freddie Mac, net $184,865 3.30 % $175,224 1.87 %

Referenced footnote is included after the year-to-date table.

Management's Discussion and Analysis Liquidity and Capital Resources

Freddie Mac 3Q 2023 Form 10-Q 35
YTD 2023 YTD 2022

(Dollars in millions) Par Value Average Rate(1) Par Value Average Rate(1)

Short-term:

Beginning balance $7,716 3.49 % $— — %

Issuances 85,360 4.42 40,900 1.87 

Repayments — — — — 

Maturities (88,136) 4.26 (28,990) 1.59 

Ending balance 4,940 5.32 11,910 2.46 

Securities sold under agreements to repurchase 4,795 5.20 7,512 2.06 

Offsetting arrangements (3,772) — (7,512) — 

Securities sold under agreements to repurchase, net 1,023 5.35 — — 

Total short-term debt 5,963 5.33 11,910 2.46 

Long-term:

Beginning balance 170,363 2.22 181,613 1.11 

Issuances 45,359 5.49 29,948 3.58 

Repayments (8,728) 5.47 (3,297) 4.15 

Maturities (28,092) 2.39 (44,950) 0.37 

Total long-term debt 178,902 3.23 163,314 1.83 

Total debt of Freddie Mac, net $184,865 3.30 % $175,224 1.87 %

(1) Average rate is weighted based on par value.

As of September 30, 2023, our aggregate indebtedness pursuant to the Purchase Agreement was $184.9 billion, which was 

below the current $270.0 billion debt cap limit. Our aggregate indebtedness calculation primarily includes the par value of 

short- and long-term debt.

Maturity and Redemption Dates

The following table presents the par value of debt of Freddie Mac by contractual maturity date and earliest redemption date. 

The earliest redemption date refers to the earliest call date for callable debt and the contractual maturity date for all other debt 

of Freddie Mac.

Table 31 - Maturity and Redemption Dates

As of September 30, 2023 As of December 31, 2022

(In millions) Contractual Maturity Date Earliest Redemption Date Contractual Maturity Date Earliest Redemption Date

Debt of Freddie Mac(1):

1 year or less $56,276 $158,499 $60,534 $156,515 

1 year through 2 years 53,602 13,777 32,261 3,820 

2 years through 3 years 28,753 1,916 51,658 13,071 

3 years through 4 years 11,708 305 5,739 212 

4 years through 5 years 10,665 160 7,603 170 

Thereafter 25,123 11,470 27,623 11,630 

STACR and SCR debt(2) 2,510 2,510 4,652 4,652 

Total debt of Freddie Mac $188,637 $188,637 $190,070 $190,070 

(1) Includes payables related to securities sold under agreements to repurchase that we offset against receivables related to securities purchased under agreements to 

resell on our condensed consolidated balance sheets, when such amounts meet the conditions for offsetting in the accounting guidance.

(2) STACR debt notes and SCR debt notes are subject to prepayment risk as their payments are based upon the performance of a reference pool of mortgage assets that 

may be prepaid by the related mortgage borrower at any time generally without penalty and are, therefore, included as a separate category in the table.

Debt of Consolidated Trusts

The largest component of debt on our condensed consolidated balance sheets is debt of consolidated trusts, which relates to 

securitization transactions that we consolidate for accounting purposes. We primarily issue this type of debt by securitizing 

mortgage loans to fund our Single-Family guarantee activities. 

Management's Discussion and Analysis Liquidity and Capital Resources

Freddie Mac 3Q 2023 Form 10-Q 36
The table below shows activity for the debt of consolidated trusts.

Table 32 - Debt of Consolidated Trusts Activity

(In millions) 3Q 2023 3Q 2022 YTD 2023 YTD 2022

Beginning balance $2,960,996 $2,877,722 $2,929,567 $2,732,056 

Issuances 119,668 172,989 321,235 672,155 

Repayments and extinguishments (97,157) (129,666) (267,295) (483,166) 

Ending balance 2,983,507 2,921,045 2,983,507 2,921,045 

Unamortized premiums and discounts 43,668 52,928 43,668 52,928 

Debt of consolidated trusts $3,027,175 $2,973,973 $3,027,175 $2,973,973 

Credit Ratings

Our credit ratings and outlooks are primarily based on the support we receive from Treasury and therefore are affected by 

changes in the credit ratings and outlooks of the U.S. government. On August 2, 2023, Fitch lowered our Long-Term Issuer 

Default Rating (IDR) and senior unsecured debt rating to AA+ from AAA and revised the credit rating Outlook to Stable from 

Negative Watch. This action followed Fitch’s downgrade of U.S. government debt ratings on August 1, 2023. For additional 

information on our credit ratings, see MD&A - Liquidity and Capital Resources in our 2022 Annual Report.

Off-Balance Sheet Arrangements

We enter into certain business arrangements that are not recorded on our condensed consolidated balance sheets or that may 

be recorded in amounts that differ from the full contractual or notional amount of the transaction that affect our short- and longterm liquidity needs. Our off-balance sheet arrangements primarily consist of guarantees and commitments. See Note 2 and

Note 4 for additional information on these transactions. See MD&A - Risk Management - Credit Risk for additional 

information on our credit risk exposure on off-balance sheet arrangements.

Cash Flows

Cash and cash equivalents (including restricted cash and cash equivalents) decreased slightly from $5.7 billion as of 

September 30, 2022 to $5.4 billion as of September 30, 2023.

Management's Discussion and Analysis Liquidity and Capital Resources 

Freddie Mac 3Q 2023 Form 10-Q 37
Capital Resources

The table below presents activity related to our net worth. 

Table 33 - Net Worth Activity

(In millions) 3Q 2023 3Q 2022 YTD 2023 YTD 2022

Beginning balance $41,957 $34,098 $37,018 $28,033 

Comprehensive income 2,704 1,132 7,643 7,197 

Capital draw from Treasury — — — — 

Senior preferred stock dividends declared — — — — 

Total equity / net worth $44,661 $35,230 $44,661 $35,230 

Remaining Treasury funding commitment $140,162 $140,162 $140,162 $140,162 

Aggregate draws under Purchase Agreement 71,648 71,648 71,648 71,648 

Aggregate cash dividends paid to Treasury 119,680 119,680 119,680 119,680 

Liquidation preference of the senior preferred stock 114,605 106,746 114,605 106,746 

ERCF

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). Our required CET1 capital ratio declined 

to 9.7% as of September 30, 2023 from 10.1% as of December 31, 2022, as risk-weighted assets increased primarily due to 

Single-Family mortgage portfolio growth, while the stress and stability capital buffers remained relatively flat. The stress and 

stability capital buffers do not change in proportion to the change in RWA as they are calculated from ATA, which increased this 

quarter at a smaller rate than RWA. 

Risk-Based Capital Requirement: CET1 Capital Ratio 

10.1% 9.7%

4.5% 4.5%

3.0% 2.8%

2.6% 2.4%

Minimum requirement

Stress capital buffer

Stability capital buffer

12/31/22 09/30/23

Leverage Capital Requirement: Tier 1 Capital Ratio 

2.8% 2.8%

2.5% 2.5%

0.3% 0.3%

Minimum requirement

PLBA

12/31/22 09/30/23

Management's Discussion and Analysis Liquidity and Capital Resources

Freddie Mac 3Q 2023 Form 10-Q 38
Capital Metrics

The table below presents the components of our regulatory capital.

Table 34 - Regulatory Capital Components 

(In billions) September 30, 2023 December 31, 2022

Total equity $45 $37 

Less:

Senior preferred stock 73 73 

Preferred stock 14 14 

Common equity (42) (50) 

Less: deferred tax assets arising from temporary differences that exceed 10% of 

CET1 capital and other regulatory adjustments 5 5 

Common equity Tier 1 capital (47) (55) 

Add: Preferred stock 14 14 

Tier 1 capital (33) (41) 

Tier 2 capital adjustments — — 

Adjusted total capital ($33) ($41) 

The table below presents the components of our statutory capital.

Table 35 - Statutory Capital Components 

(In billions) September 30, 2023 December 31, 2022

Total equity $45 $37 

Less:

Senior preferred stock 73 73 

AOCI, net of taxes — (1) 

Core capital (28) (35) 

General allowance for foreclosure losses(1) 7 8 

Total capital ($21) ($27) 

(1) Represents our allowance for credit losses.

Management's Discussion and Analysis Liquidity and Capital Resources

Freddie Mac 3Q 2023 Form 10-Q 39
Table 36 - Capital Metrics Under ERCF 

(In billions) September 30, 2023 December 31, 2022

Adjusted total assets $3,758 $3,710 

Risk-weighted assets (standardized approach):

 Credit risk 851 778 

 Market risk 52 51 

 Operational risk 70 70 

Total risk-weighted assets $973 $899 

(In billions) September 30, 2023 December 31, 2022

Stress capital buffer $28 $27 

Stability capital buffer 23 23 

Countercyclical capital buffer amount — — 

PCCBA $51 $50 

PLBA $11 $11 

September 30, 2023

(Dollars in billions)

Minimum 

Capital 

Requirement

Applicable 

Buffer(1)

Capital 

Requirement 

(Including Buffer)

Available 

Capital (Deficit)

Capital 

Shortfall

Risk-based capital amounts:

Total capital $78 N/A $78 ($21) ($99) 

CET1 capital 44 $51 95 (47) (142) 

Tier 1 capital 58 51 109 (33) (142) 

Adjusted total capital 78 51 129 (33) (162) 

Risk-based capital ratios(2):

Total capital 8.0 % N/A 8.0 % (2.1) % (10.1) %

CET1 capital 4.5 5.2 % 9.7 (4.8) (14.5) 

Tier 1 capital 6.0 5.2 11.2 (3.4) (14.6) 

Adjusted total capital 8.0 5.2 13.2 (3.4) (16.6) 

Leverage capital amounts:

Core capital $94 N/A $94 ($28) ($122) 

Tier 1 capital 94 $11 105 (33) (138) 

Leverage capital ratios(3):

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

Tier 1 capital 2.5 0.3 % 2.8 (0.9) (3.7) 

 Referenced footnotes are included after the prior period table.

Management's Discussion and Analysis Liquidity and Capital Resources

Freddie Mac 3Q 2023 Form 10-Q 40
December 31, 2022

(Dollars in billions)

Minimum 

Capital 

Requirement

Applicable 

Buffer(1)

Capital 

Requirement 

(Including Buffer)

Available 

Capital (Deficit)

Capital 

Shortfall

Risk-based capital amounts:

Total capital $72 N/A $72 ($27) ($99) 

CET1 capital 40 $50 90 (55) (145) 

Tier 1 capital 54 50 104 (41) (145) 

Adjusted total capital 72 50 122 (41) (163) 

Risk-based capital ratios(2):

Total capital 8.0 % N/A 8.0 % (3.1) % (11.1) %

CET1 capital 4.5 5.6 % 10.1 (6.2) (16.3) 

Tier 1 capital 6.0 5.6 11.6 (4.6) (16.2) 

Adjusted total capital 8.0 5.6 13.6 (4.6) (18.2) 

Leverage capital amounts:

Core capital $93 N/A $93 ($35) ($128) 

Tier 1 capital 93 $11 104 (41) (145) 

Leverage capital ratios(3):

Core capital 2.5 % N/A 2.5 % (1.0) % (3.5) %

Tier 1 capital 2.5 0.3 % 2.8 (1.1) (3.9) 

(1) PCCBA for risk-based capital and PLBA for leverage capital.

(2) As a percentage of RWA.

(3) As a percentage of ATA.

At September 30, 2023, our maximum payout ratio under the ERCF was 0.0%.

See Note 15 for additional information on our capital amounts and ratios under the ERCF. 

Management's Discussion and Analysis Liquidity and Capital Resources

Freddie Mac 3Q 2023 Form 10-Q 41
CRITICAL ACCOUNTING ESTIMATES

Our critical accounting estimates and policies relate to the Single-Family allowance for credit losses. For additional information 

about our critical accounting estimates and other significant accounting policies, see Note 1 and Critical Accounting Estimates 

in our 2022 Annual Report. 

Single-Family Allowance for Credit Losses

The Single-Family allowance for credit losses represents our estimate of expected credit losses over the contractual term of the 

mortgage loans. The Single-Family allowance for credit losses pertains to all single-family loans classified as held-forinvestment on our condensed consolidated balance sheets.

Determining the appropriateness of the Single-Family allowance for credit losses is a complex process that is subject to 

numerous estimates and assumptions requiring significant management judgment about matters that involve a high degree of 

subjectivity. This process involves the use of models that require us to make judgments about matters that are difficult to 

predict. 

Changes in forecasted house price growth rates can have a significant effect on our allowance for credit losses estimates. The 

table below shows our nationwide forecasted house price growth rates that were used in determining our allowance for credit 

losses. See Note 5 for additional information regarding our current period provision for credit losses.

Table 37 - Forecasted House Price Growth Rates

12-Month Forward

13- to 24-Month 

Forward

September 30, 2023 2.9 % 1.7 %

June 30, 2023 0.8 0.9 

March 31, 2023 (2.9) (1.3) 

December 31, 2022 (3.0) (1.8) 

Management's Discussion and Analysis Critical Accounting Estimates

Freddie Mac 3Q 2023 Form 10-Q 42
REGULATION AND SUPERVISION

In addition to oversight by FHFA as our Conservator, we are subject to regulation and oversight by FHFA under our Charter and 

the GSE Act and to certain regulation by other government agencies. FHFA has the power to require us from time to time to 

change our processes, take action and/or stop taking action that could impact our business. Furthermore, regulatory activities 

by other government agencies can affect us indirectly, even if we are not directly subject to such agencies' regulation or 

oversight. For example, regulations that modify requirements applicable to the purchase or servicing of mortgages can affect 

us.

Management's Discussion and Analysis Regulation and Supervision

Freddie Mac 3Q 2023 Form 10-Q 43
FORWARD-LOOKING STATEMENTS

We regularly communicate information concerning our business activities to investors, the news media, securities analysts, and 

others as part of our normal operations. Some of these communications, including this Form 10-Q, contain "forward-looking 

statements." Examples of forward-looking statements include, but are not limited to, statements pertaining to the 

conservatorship, our current expectations and objectives for the Single-Family and Multifamily segments of our business, our 

efforts to assist the housing market, our liquidity and capital management, economic and market conditions and trends 

including, but not limited to, changes in observed and forecasted house price appreciation, our market share, the effect of 

legislative and regulatory developments and new accounting guidance, the credit quality of loans we own or guarantee, the 

costs and benefits of our CRT transactions, banking crises or failures, the effects of natural disasters, other catastrophic 

events, and significant climate change effects and actions taken in response thereto on our business, and our results of 

operations and financial condition. Forward-looking statements involve known and unknown risks and uncertainties, some of 

which are beyond our control. Forward-looking statements are often accompanied by, and identified with, terms such as 

"could," "may," "will," "believe," "expect," "anticipate," "forecast," and similar phrases. These statements are not historical 

facts, but rather represent our expectations based on current information, plans, judgments, assumptions, estimates, and 

projections. Actual results may differ significantly from those described in or implied by such forward-looking statements due to 

various factors and uncertainties, including those described in the Risk Factors section in our 2022 Annual Report, and 

including, without limitation, the following:

n The actions the federal government (including FHFA, Treasury, and Congress) and state governments may take, require us 

to take, or restrict us from taking, including actions to promote equitable access to affordable and sustainable housing, 

such as programs to implement the expectations in FHFA's Conservatorship Scorecards, recent requirements and 

guidance related to equitable housing, and other objectives for us;

n Changes in the fiscal and monetary policies of the Federal Reserve, including changes in target interest rates and in the 

amount of agency MBS and agency CMBS held by the Federal Reserve;

n The effect of the restrictions on our business due to the conservatorship and the Purchase Agreement;

n The impact of any downgrade in our credit ratings or those of the U.S. government;

n	 Changes in our Charter, applicable legislative or regulatory requirements (including any legislation affecting the future 

status of our company), or the Purchase Agreement;

n Changes to our capital requirements and potential effects of such changes on our business strategies;

n Changes in tax laws;

n Changes in privacy and cybersecurity laws and regulations;

n Changes in accounting policies, practices, standards, or guidance;

n Changes in economic and market conditions, including volatility in the financial services industry, changes in employment 

rates, inflation, interest rates, spreads, and house prices;

n Changes in the U.S. residential mortgage market, including changes in the supply and type of loan products (e.g., 

refinance vs. purchase and fixed-rate vs. ARM);

n The success of our efforts to mitigate our losses on our Single-Family mortgage portfolio;

n The success of our strategy to transfer mortgage credit risk through STACR, ACIS, K Certificate, SCR, MCIP, and other 

CRT transactions;

n Our ability to maintain adequate liquidity to fund our operations;

n Our ability to maintain the security and resiliency of our operational systems and infrastructure, including against 

cyberattacks or other security incidents, whether due to insider error or malfeasance or system errors or vulnerabilities in 

our or our third parties' systems;

n Our ability to effectively execute our business strategies, implement significant changes, and improve efficiency;

n The adequacy of our risk management framework, including the adequacy of our regulatory capital framework prescribed 

by FHFA and internal models for measuring risk;

n Our ability to manage mortgage credit risk, including the effect of changes in underwriting and servicing practices;

n Our ability to limit or manage our economic exposure and GAAP earnings exposure to interest-rate volatility and spread 

volatility, including the availability of derivative financial instruments needed for interest-rate risk management purposes 

and our ability to apply hedge accounting;

n Our operational ability to issue new securities, make timely and correct payments on securities, and provide initial and 

ongoing disclosures;

n Our reliance on CSS and the CSP for the operation of the majority of our Single-Family securitization activities, limits on 

our influence over CSS Board decisions, and any additional changes FHFA may require in our relationship with, or support 

of, CSS;

n	 Changes in the methodologies, models, assumptions, and estimates we use to prepare our financial statements, make 

Management's Discussion and Analysis Forward-Looking Statements

Freddie Mac 3Q 2023 Form 10-Q 44
business decisions, and manage risks;

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

n Our ability to maintain market acceptance of the UMBS, including our ability to maintain alignment of the prepayment 

speeds of our and Fannie Mae's respective UMBS;

n Changes in the practices of loan originators, servicers, investors, and other participants in the secondary mortgage market; 

n Competition from other market participants, which could affect the pricing we offer for our products, the credit 

characteristics of the loans we purchase, and our ability to meet our affordable housing goals and other mandated 

activities; 

n The adverse consequences on our business and operations that may occur from the discontinuance of LIBOR and the 

transition to SOFR as the replacement;

n The availability of critical third parties, or their vendors and other business partners, to deliver products or services, or to 

manage risks, including cybersecurity risk, effectively;

n The occurrence of a major natural disaster, other catastrophic event, or significant climate change effects in areas in which 

our offices, significant portions of our total mortgage portfolio, or the offices of critical third parties are located, and for 

which we may be uninsured or significantly underinsured; and 

n	 Other factors and assumptions described in this Form 10-Q and our 2022 Annual Report, including in the MD&A section.

Forward-looking statements are made only as of the date of this Form 10-Q, and we undertake no obligation to update any 

forward-looking statements we make to reflect events or circumstances occurring after the date of this Form 10-Q.

Management's Discussion and Analysis Forward-Looking Statements

Freddie Mac 3Q 2023 Form 10-Q 45
Financial Statements

Financial Statements

Freddie Mac 3Q 2023 Form 10-Q 46
FREDDIE MAC 

Condensed Consolidated Statements of Income and 

Comprehensive Income (Unaudited) 

(In millions, except share-related amounts) 3Q 2023 3Q 2022 YTD 2023 YTD 2022

Net interest income

Interest income $26,799 $21,894 $77,541 $59,642 

Interest expense (22,050) (17,340) (63,768) (46,225) 

Net interest income 4,749 4,554 13,773 13,417 

Non-interest income

Guarantee income 301 125 1,076 400 

Investment gains, net 555 415 741 2,249 

Other income 85 87 266 365 

Non-interest income 941 627 2,083 3,014 

Net revenues 5,690 5,181 15,856 16,431 

(Provision) benefit for credit losses 263 (1,796) 405 (1,266) 

Non-interest expense

Salaries and employee benefits (418) (387) (1,197) (1,119) 

Credit enhancement expense (634) (542) (1,754) (1,559) 

Benefit for (decrease in) credit enhancement recoveries (103) 210 (162) 192 

Legislative assessments expense (757) (753) (2,243) (2,260) 

Other expense (664) (353) (1,356) (1,031) 

Non-interest expense (2,576) (1,825) (6,712) (5,777) 

Income before income tax expense 3,377 1,560 9,549 9,388 

Income tax expense (692) (247) (1,925) (1,824) 

Net income 2,685 1,313 7,624 7,564 

Other comprehensive income (loss), net of taxes and reclassification 

adjustments 19 (181) 19 (367) 

Comprehensive income $2,704 $1,132 $7,643 $7,197 

Net income $2,685 $1,313 $7,624 $7,564 

Amounts attributable to senior preferred stock (2,704) (1,132) (7,643) (7,197) 

Net income attributable to common stockholders ($19) $181 ($19) $367 

Net income per common share ($0.01) $0.06 ($0.01) $0.11 

Weighted average common shares (in millions) 3,234 3,234 3,234 3,234 

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

Financial Statements Condensed Consolidated Statements of Income and Comprehensive Income

Freddie Mac 3Q 2023 Form 10-Q 47
FREDDIE MAC

Condensed Consolidated Balance Sheets (Unaudited) 

September 30, December 31,

(In millions, except share-related amounts) 2023 2022

Assets

Cash and cash equivalents (includes $655 and $707 of restricted cash and cash equivalents) $5,354 $6,360 

Securities purchased under agreements to resell 115,161 87,295 

Investment securities, at fair value 39,443 38,701 

Mortgage loans held-for-sale (includes $8,071 and $3,218 at fair value) 13,905 12,197 

Mortgage loans held-for-investment (net of allowance for credit losses of $6,948 and $7,391 and includes 

$1,309 and $1,214 at fair value) 

 3,060,822 3,022,318 

Accrued interest receivable, net 9,526 8,529 

Deferred tax assets, net 4,875 5,777 

Other assets (includes $5,798 and $5,890 at fair value) 22,555 27,156 

Total assets $3,271,641 $3,208,333 

Liabilities and equity

Liabilities

Accrued interest payable $8,451 $7,309 

Debt (includes $2,597 and $3,047 at fair value) 3,202,097 3,145,832 

Other liabilities (includes $1,128 and $759 at fair value) 16,432 18,174 

Total liabilities 3,226,980 3,171,315 

Commitments and contingencies (Notes 4, 8, 14)

Equity

Senior preferred stock (liquidation preference of $114,605 and $107,878) 72,648 72,648 

Preferred stock, at redemption value 14,109 14,109 

Common stock, $0.00 par value, 4,000,000,000 shares authorized, 725,863,886 shares issued and 

650,059,553 shares outstanding

 — — 

Retained earnings (38,042) (45,666) 

AOCI, net of taxes, related to:

Available-for-sale securities (71) (84) 

Other (98) (104) 

AOCI, net of taxes (169) (188) 

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

Total equity 44,661 37,018 

Total liabilities and equity $3,271,641 $3,208,333 

The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on our condensed consolidated balance 

sheets.

 

September 30, December 31, 

(In millions) 2023 2022

Assets:

Cash and cash equivalents (includes $566 and $610 of restricted cash and cash equivalents) $567 $611 

Securities purchased under agreements to resell 10,786 9,703 

Investment securities, at fair value 82 126 

Mortgage loans held-for-investment, net 3,019,212 2,971,601 

Accrued interest receivable, net 8,594 7,944 

Other assets 5,536 5,019 

Total assets of consolidated VIEs $3,044,777 $2,995,004

Liabilities:

Accrued interest payable $7,280 $6,619 

Debt 3,027,175 2,979,070 

Total liabilities of consolidated VIEs $3,034,455 $2,985,689 

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

Financial Statements Condensed Consolidated Balance Sheets

Freddie Mac 3Q 2023 Form 10-Q 48
FREDDIE MAC

Condensed Consolidated Statements of Equity (Unaudited)

Shares Outstanding

Senior

Preferred

Stock

Preferred

Stock, at

Redemption

Value

Common

Stock, at

Par Value

Retained

Earnings

AOCI,

Net of

Tax

Treasury

Stock, at

Cost

Total

(In millions) Equity 

Senior

Preferred

Stock

Preferred

Stock

Common

Stock

Balance at June 30, 2023 1 464 650 $72,648 $14,109 $— ($40,727) ($188) ($3,885) $41,957 

Comprehensive income:

Net income — — — — — — 2,685 — — 2,685 

Other comprehensive income (loss):

Changes in net unrealized gains (losses) on 

available-for-sale securities (net of taxes of 

$20 million) — — — — — — — (76) — (76) 

Reclassification adjustment for (gains) losses 

on available-for-sale securities included in 

net income (net of taxes of $25 million) — — — — — — — 93 — 93 

Other (net of taxes of $0 million) — — — — — — — 2 — 2 

Comprehensive income — — — — — — 2,685 19 — 2,704 

Ending balance at September 30, 2023 1 464 650 $72,648 $14,109 $— ($38,042) ($169) ($3,885) $44,661 

Balance at June 30, 2022 1 464 650 $72,648 $14,109 $— ($48,742) ($32) ($3,885) $34,098 

Comprehensive income:

Net income — — — — — — 1,313 — — 1,313 

Other comprehensive income (loss):

Changes in net unrealized gains (losses) on 

available-for-sale securities (net of taxes of 

$42 million) — — — — — — — (159) — (159) 

Reclassification adjustment for (gains) losses 

on available-for-sale securities included in 

net income (net of taxes of $7 million) — — — — — — — (25) — (25) 

Other (net of taxes of $1 million) — — — — — — — 3 — 3 

Comprehensive income — — — — — — 1,313 (181) — 1,132 

Ending balance at September 30, 2022 1 464 650 $72,648 $14,109 $— ($47,429) ($213) ($3,885) $35,230 

Shares Outstanding

Senior

Preferred

Stock

Preferred

Stock, at

Redemption

Value

Common

Stock, at

Par Value

Retained

Earnings

AOCI,

Net of

Tax

Treasury

Stock, at

Cost

Total

(In millions) Equity 

Senior

Preferred

Stock

Preferred

Stock

Common

Stock

Balance at December 31, 2022 1 464 650 $72,648 $14,109 $— ($45,666) ($188) ($3,885) $37,018 

Comprehensive income:

Net income — — — — — — 7,624 — — 7,624 

Other comprehensive income (loss):

Changes in net unrealized gains (losses) on 

available-for-sale securities (net of taxes of 

$21 million) — — — — — — — (80) — (80) 

Reclassification adjustment for (gains) losses 

on available-for-sale securities included in 

net income (net of taxes of $24 million) — — — — — — — 93 — 93 

Other (net of taxes of $1 million) — — — — — — — 6 — 6 

Comprehensive income — — — — — — 7,624 19 — 7,643 

Ending balance at September 30, 2023 1 464 650 $72,648 $14,109 $— ($38,042) ($169) ($3,885) $44,661 

Balance at December 31, 2021 1 464 650 $72,648 $14,109 $— ($54,993) $154 ($3,885) $28,033 

Comprehensive income:

Net income — — — — — — 7,564 — — 7,564 

Other comprehensive income (loss):

Changes in net unrealized gains (losses) on 

available-for-sale securities (net of taxes of 

$94 million) — — — — — — — (353) — (353) 

Reclassification adjustment for (gains) losses 

on available-for-sale securities included in 

net income (net of taxes of $6 million) — — — — — — — (21) — (21) 

Other (net of taxes of $2 million) — — — — — — — 7 — 7 

Comprehensive income — — — — — — 7,564 (367) — 7,197 

Ending balance at September 30, 2022 1 464 650 $72,648 $14,109 $— ($47,429) ($213) ($3,885) $35,230 

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

Financial Statements Condensed Consolidated Statements of Equity

Freddie Mac 3Q 2023 Form 10-Q 49
FREDDIE MAC

Condensed Consolidated Statements of Cash Flows (Unaudited) 

(In millions) YTD 2023 YTD 2022

Net cash provided by (used in) operating activities $5,732 $12,193 

Cash flows from investing activities

Investment securities:

Purchases (80,201) (107,222) 

Proceeds from sales 68,829 99,179 

Proceeds from maturities and repayments 11,889 11,226 

Mortgage loans acquired held-for-investment:

Purchases (77,032) (130,568) 

Proceeds from sales 6,369 2,843 

Proceeds from repayments 187,581 289,624 

Secured lending arrangements:

Advances (74,579) (144,215) 

Proceeds from repayments 13 369 

Net (increase) decrease in securities purchased under agreements to resell (19,647) (26,619) 

Cash flows related to derivatives 4,799 4,276 

Other, net (362) (364) 

Net cash provided by (used in) investing activities 27,659 (1,471) 

Cash flows from financing activities

Debt of consolidated trusts:

Proceeds from issuance 158,006 310,836 

Repayments and redemptions (190,833) (319,703) 

Debt of Freddie Mac:

Proceeds from issuance 130,442 70,831 

Repayments (124,673) (77,319) 

Net increase (decrease) in securities sold under agreements to repurchase (7,196) 179 

Other, net (143) (5) 

Net cash provided by (used in) financing activities (34,397) (15,181) 

Net increase (decrease) in cash and cash equivalents (includes restricted cash and cash equivalents) (1,006) (4,459) 

Cash and cash equivalents (includes restricted cash and cash equivalents) at the beginning of year 6,360 10,150 

Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period $5,354 $5,691 

Supplemental cash flow information

Cash paid for:

Debt interest $64,399 $55,491 

Income taxes 700 2,500 

Non-cash investing and financing activities (Notes 3 and 6)

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

Financial Statements Condensed Consolidated Statements of Cash Flows

Freddie Mac 3Q 2023 Form 10-Q 50
Notes to Condensed Consolidated Financial 

Statements

NOTE 1

Summary of Significant Accounting Policies

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

housing market. We are regulated by FHFA, the SEC, HUD, and Treasury, and are currently operating under the 

conservatorship of FHFA. The conservatorship and related matters significantly affect our management, business activities, 

financial condition, and results of operations. In connection with our entry into conservatorship, we entered into the Purchase 

Agreement with Treasury, under which we issued Treasury both senior preferred stock and a warrant to purchase common 

stock. Our Purchase Agreement with Treasury is critical to keeping us solvent and avoiding the appointment of a receiver by 

FHFA under statutory mandatory receivership provisions. We believe the support provided by Treasury pursuant to the 

Purchase Agreement currently enables us to have adequate liquidity to conduct normal business activities. For more 

information on the conservatorship, the roles of FHFA and Treasury, and the Purchase Agreement, see our 2022 Annual Report. 

Throughout our unaudited condensed consolidated financial statements and related notes, we use certain acronyms and terms 

which are defined in the Glossary of our 2022 Annual Report. 

The accompanying unaudited condensed consolidated financial statements should be read in conjunction with the audited 

consolidated financial statements and related notes in our 2022 Annual Report.

Basis of Presentation

The accompanying unaudited condensed consolidated financial statements have been prepared in accordance with GAAP and 

include our accounts as well as the accounts of other entities in which we have a controlling financial interest. All intercompany 

balances and transactions have been eliminated.

We are operating under the basis that we will realize assets and satisfy liabilities in the normal course of business as a going 

concern and in accordance with the authority provided by FHFA to our Board of Directors to oversee management's conduct of 

our business operations. In the opinion of management, our unaudited condensed consolidated financial statements contain all 

adjustments, which include only normal recurring adjustments, necessary for a fair statement of our results. 

Use of Estimates

The preparation of our condensed consolidated financial statements requires management to make estimates and assumptions 

that affect the reported amounts of assets and liabilities, revenues and expenses, and disclosure of contingent assets and 

liabilities at the date of the financial statements. Management has made significant estimates to report the allowance for credit 

losses on single-family mortgage loans. Actual results could be different from these estimates.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 1

Freddie Mac 3Q 2023 Form 10-Q 51
Recently Issued Accounting Guidance

Recently Adopted Accounting Guidance

Standard Description Date of 

 Adoption

Effect on Consolidated Financial 

Statements

ASU 2022-01, Derivatives and 

Hedging (Topic 815): Fair Value 

Hedging - Portfolio Layer Method

The amendments in this Update provide 

clarifications of the guidance in ASC Topic 815 

on fair value hedge accounting of interest rate 

risk for portfolios of financial assets. The 

Update amends the guidance in ASU 2017-12 

that, among other things, establishes the "lastof-layer" method for making the fair value 

hedge accounting for these portfolios more 

accessible by allowing the entities to apply the 

portfolio layer method to portfolios of all 

financial assets, including both prepayable and 

nonprepayable financial assets. The Update 

provides additional guidance on the accounting 

for and disclosure of hedge basis adjustments 

that are applicable to the portfolio layer 

method. 

January 1, 2023 The adoption of these amendments 

did not have a material effect on our 

consolidated financial statements. 

We adopted the guidance in this 

Update related to disclosures on a 

prospective basis.

ASU 2022-02, Financial 

Instruments—Credit Losses 

(Topic 326): Troubled Debt 

Restructurings and Vintage 

Disclosures

The amendments in this Update require 

disclosure of current period gross write-offs by 

year of origination for financing receivables 

within the scope of ASC Subtopic 326-20.

January 1, 2023 for the 

amendments related to 

disclosure of gross writeoffs by year of origination.

The adoption of these amendments 

did not have a material effect on our 

consolidated financial statements. 

See Note 3 for additional disclosure 

of gross write-offs by year of 

origination. 

Recently Issued Accounting Guidance, Not Yet Adopted Within Our Consolidated Financial Statements

Standard Description Date of 

 Adoption

Effect on Consolidated Financial 

Statements

ASU 2023-02, Investments - 

Equity Method and Joint 

Ventures (Topic 323): Accounting 

for Investments in Tax Credit 

Structures Using the Proportional 

Amortization Method 

The amendments in this Update expand the 

use of the proportional amortization method of 

accounting to equity investments in other tax 

credit structures that meet certain conditions. 

This Update also amends those conditions 

primarily to assess projected benefits on a 

discounted basis and expands the disclosure 

requirements of those investments. 

January 1, 2024 We do not expect the adoption of 

these amendments to have a 

material effect on our consolidated 

financial statements.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 1

Freddie Mac 3Q 2023 Form 10-Q 52
NOTE 2

Securitizations and Variable Interest Entities

Nonconsolidated VIEs

The following table presents the carrying amounts and classification of the assets and liabilities recorded on our condensed 

consolidated balance sheets that relate to our variable interests in VIEs for which we are not the primary beneficiary and with 

which we were involved in the design and creation and have a significant continuing involvement, our maximum exposure to 

loss as a result of our involvement with such VIEs, and the total assets of the VIEs. Our involvement with such VIEs primarily 

consists of guarantees that we have issued to the VIE, some of which are accounted for as derivative instruments, and 

investments in debt securities issued by the VIE. See Note 4 for additional information on our guarantees to nonconsolidated 

VIEs. 

Total assets shown in the table below represents the remaining UPB of the mortgage loans or other noncash financial assets 

held by the VIE and excludes cash and nonfinancial assets held by the VIE. Maximum exposure to loss shown in the table 

below is primarily based on the remaining UPB of the guaranteed securities issued by the VIE and represents the contractual 

amounts that could be lost if the assets of the VIE (including the assets in the related reference pool for CRT products) became 

worthless at the balance sheet date, without consideration of proceeds from related collateral liquidation and possible 

recoveries under credit enhancements. We do not believe the maximum exposure to loss from our involvement with 

nonconsolidated VIEs is representative of the actual loss we are likely to incur based on our historical loss experience and after 

consideration of proceeds from related collateral liquidation and available credit enhancements.

Table 2.1 - Nonconsolidated VIEs

September 30, 2023

Carrying Amounts of the Assets and Liabilities On the 

Condensed Consolidated Balance Sheets

Total Assets

Maximum Exposure 

(In millions) to Loss

Investment 

securities

Accrued Interest 

Receivable and 

Other Assets(1) Liabilities(1)

Single-Family:

 Securitization products $1,058 $165 $427 $30,499 $24,768 

Resecuritization products(2) 5,506 70 771 112,052 112,052 

CRT products(3) — 121 197 29,700 27 

Total Single-Family 6,564 356 1,395 172,251 136,847 

Multifamily:

Securitization products(4) 6,532 4,871 4,688 356,552 316,875 

CRT products(3) — 8 7 1,362 6 

Total Multifamily 6,532 4,879 4,695 357,914 316,881 

Other — 8 5 144 483 

Total $13,096 $5,243 $6,095 $530,309 $454,211 

Referenced footnotes are included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 2

Freddie Mac 3Q 2023 Form 10-Q 53
December 31, 2022

Carrying Amounts of the Assets and Liabilities On the 

Condensed Consolidated Balance Sheets

Total Assets

Maximum Exposure 

(In millions) to Loss

Investment 

securities

Accrued Interest 

Receivable and 

Other Assets(1) Liabilities(1)

Single-Family:

Securitization products $965 $175 $436 $31,614 $25,772 

Resecuritization products(2) 5,092 61 659 119,267 119,267 

CRT products(3) — 197 52 30,549 105 

Total Single-Family 6,057 433 1,147 181,430 145,144 

Multifamily:

Securitization products(4) 7,808 4,931 4,920 360,869 319,117 

CRT products(3) — 2 2 972 — 

Total Multifamily 7,808 4,933 4,922 361,841 319,117 

Other — 8 5 185 435 

Total $13,865 $5,374 $6,074 $543,456 $464,696 

(1) Other assets primarily include our guarantee assets. Liabilities primarily include our guarantee obligations.

(2) Total assets and maximum exposure to loss are based on the UPB of Fannie Mae securities underlying commingled Freddie Mac resecuritization trusts. We exclude 

noncommingled resecuritization trusts from these amounts as we have already guaranteed the underlying collateral and therefore noncommingled resecuritizations 

do not involve any incremental assets or create any incremental exposure to credit risk. Total assets exclude $0.1 billion as of both September 30, 2023 and 

December 31, 2022, of Fannie Mae securities that we have guaranteed that are included in resecuritization trusts that we have consolidated as we own all of the 

outstanding securities issued by the VIE.

(3) Maximum exposure to loss is based on our expected recovery receivables. We also have exposure to loss from our obligations to make certain payments to the VIE 

to support payment of the interest due on the notes issued by the VIE, which we account for as derivative instruments. The notional value of these derivative 

instruments is equal to the total assets of the VIE.

(4) Includes total assets of $0.4 billion as of both September 30, 2023 and December 31, 2022, related to VIEs in which our interest would no longer absorb significant 

variability as the guaranteed securities have completely paid off. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 2

Freddie Mac 3Q 2023 Form 10-Q 54
NOTE 3

Mortgage Loans

The table below provides details of the loans on our condensed consolidated balance sheets.

Table 3.1 - Mortgage Loans 

September 30, 2023 December 31, 2022

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

Held-for-sale UPB $3,743 $11,311 $15,054 $3,564 $9,544 $13,108 

Cost basis and fair value adjustments, net (791) (358) (1,149) (696) (215) (911) 

Total held-for-sale loans, net 2,952 10,953 13,905 2,868 9,329 12,197 

Held-for-investment UPB 2,981,047 53,323 3,034,370 2,941,505 48,379 2,989,884 

Cost basis and fair value adjustments, net(1) 33,582 (182) 33,400 39,896 (71) 39,825 

Allowance for credit losses (6,668) (280) (6,948) (7,314) (77) (7,391) 

 Total held-for-investment loans, net(2) 3,007,961 52,861 3,060,822 2,974,087 48,231 3,022,318 

Total mortgage loans, net $3,010,913 $63,814 $3,074,727 $2,976,955 $57,560 $3,034,515 

(1) Includes ($1.0) billion of basis adjustments maintained on a closed portfolio basis related to existing portfolio layer method hedge relationships as of September 30, 

2023. 

(2) Includes $1.3 billion and $1.2 billion of multifamily held-for-investment loans for which we have elected the fair value option as of September 30, 2023 and 

December 31, 2022, respectively.

For the purposes of certain single-family mortgage loan disclosures below, we present loans by class of financing receivable 

type. Financing receivable classes used for disclosure consist of: "20- and 30-year or more, amortizing fixed-rate," "15-year or 

less, amortizing fixed-rate," and "adjustable-rate and other." The "other" class consists of Alt-A, interest-only, and option ARM 

loans.

The table below provides details of the UPB of loans we purchased and sold during the periods presented.

Table 3.2 - Loans Purchased and Sold

(In millions) 3Q 2023 3Q 2022 YTD 2023 YTD 2022

Single-Family:

Purchases:

 Held-for-investment loans $85,431 $121,215 $227,246 $465,815 

Sales of held-for-sale loans(1) 471 537 471 1,981 

Multifamily:

Purchases:

 Held-for-investment loans 3,076 5,617 11,086 11,139 

 Held-for-sale loans 9,984 8,835 20,077 32,474 

Sales of held-for-sale loans(2) 8,722 11,475 23,498 40,666 

(1) Our sales of single-family loans reflect the sale of single-family seasoned loans.

(2) Our sales of multifamily loans occur primarily through the issuance of Multifamily K Certificates. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 3Q 2023 Form 10-Q 55
Reclassifications 

The table below presents the allowance for credit losses or valuation allowance that was reversed or established due to loan 

reclassifications between held-for-investment and held-for-sale during the periods presented. 

Table 3.3 - Loan Reclassifications(1) 

3Q 2023 3Q 2022

(In millions) UPB

Allowance for 

Credit Losses 

Reversed or 

(Established)

Valuation 

Allowance 

(Established) 

or Reversed UPB

Allowance for 

Credit Losses 

Reversed or 

(Established)

Valuation 

Allowance 

(Established) 

or Reversed

Single-Family reclassifications from:

Held-for-investment to held-for-sale $1,199 $23 $— $361 $10 $— 

Held-for-sale to held-for-investment(2) 75 4 10 30 (3) 2 

Multifamily reclassifications from:

Held-for-investment to held-for-sale 785 2 (8) 188 — — 

 Held-for-sale to held-for-investment(2) 40 (1) 2 — — — 

YTD 2023 YTD 2022

(In millions) UPB

Allowance for 

Credit Losses 

Reversed or 

(Established)

Valuation 

Allowance 

(Established) 

or Reversed UPB

Allowance for 

Credit Losses 

Reversed or 

(Established)

Valuation 

Allowance 

(Established) 

or Reversed

Single-Family reclassifications from:

Held-for-investment to held-for-sale $1,199 $23 $— $934 $20 $— 

Held-for-sale to held-for-investment(2) 123 8 14 167 (10) 5 

Multifamily reclassifications from:

Held-for-investment to held-for-sale 6,251 4 (41) 889 1 — 

 Held-for-sale to held-for-investment(2) 762 (1) 18 285 — — 

(1) Amounts exclude reclassifications related to loans for which we have elected the fair value option.

(2) Allowance for credit losses established upon loan reclassifications from held-for-sale to held-for-investment to reflect the net amount we expect to collect on the 

loan. Loans with prior charge-offs may have a negative allowance for credit losses established upon reclassification.

Interest Income

The table below presents the amortized cost basis of non-accrual loans as of the beginning and the end of the periods 

presented, including the interest income recognized for the period that is related to the loans on non-accrual status as of the 

period end.

Table 3.4 - Amortized Cost Basis of Held-for-Investment Loans on Non-Accrual(1)

Non-Accrual Amortized Cost Basis Interest Income Recognized(2)

(In millions) September 30, 2023 June 30, 2023 3Q 2023 YTD 2023

Single-Family:

20- and 30-year or more, amortizing fixed-rate $11,825 $11,989 $27 $151 

15-year or less, amortizing fixed-rate 526 540 1 4 

Adjustable-rate and other 274 323 1 4 

Total Single-Family 12,625 12,852 29 159 

Total Multifamily 64 56 1 2 

Total Single-Family and Multifamily $12,689 $12,908 $30 $161 

Referenced footnotes are included after the prior period table. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 3Q 2023 Form 10-Q 56
Non-Accrual Amortized Cost Basis Interest Income Recognized(2)

(In millions) September 30, 2022 June 30, 2022 3Q 2022 YTD 2022

Single-Family:

20- and 30-year or more, amortizing fixed-rate $9,462 $11,021 $37 $121 

15-year or less, amortizing fixed-rate 457 562 1 4 

Adjustable-rate and other 396 435 1 4 

Total Single-Family 10,315 12,018 39 129 

Total Multifamily 42 42 — — 

Total Single-Family and Multifamily $10,357 $12,060 $39 $129 

(1) Excludes amounts related to loans for which we have elected the fair value option.

(2) Represents the amount of payments received during the period, including those received while the loans were on accrual status, for the held-for-investment loans on 

non-accrual status as of period end.

The table below provides the amount of accrued interest receivable, net presented on our condensed consolidated balance 

sheets and the amount of accrued interest receivable related to loans on non-accrual status at the end of the periods that was 

charged off.

Table 3.5 - Accrued Interest Receivable, Net and Related Charge-Offs

Accrued Interest Receivable, Net Accrued Interest Receivable Related Charge-Offs

(In millions) September 30, 2023 December 31, 2022 3Q 2023 3Q 2022 YTD 2023 YTD 2022

Single-Family loans $8,567 $7,967 ($44) ($47) ($180) ($192) 

Multifamily loans 254 220 (1) — (1) — 

Credit Quality

Single-Family

The current LTV ratio is one key factor we consider when estimating our allowance for credit losses for single-family loans. As 

current LTV ratios increase, the borrower's equity in the home decreases, which may negatively affect the borrower's ability to 

refinance (outside of our relief refinance programs) or to sell the property for an amount at or above the balance of the 

outstanding loan.

The table below presents the amortized cost basis of single-family held-for-investment loans by current LTV ratio. Our current 

LTV ratios are estimates based on available data through the end of each period presented. For reporting purposes:

n	 Alt-A loans continue to be presented in the "adjustable-rate and other" category following modification, even though the 

borrower may have provided full documentation of assets and income to complete the modification and

n Option ARM loans continue to be presented in the "adjustable-rate and other" category following modification, even 

though the modified loan no longer provides for optional payment provisions.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 3Q 2023 Form 10-Q 57
Table 3.6 - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratio and Vintage

September 30, 2023

Year of Origination 

Total

(In millions) 2023 2022 2021 2020 2019 Prior

Current LTV ratio:

 20- and 30-year or more, amortizing fixed-rate

≤ 60 $26,948 $84,186 $476,243 $529,887 $92,581 $419,998 $1,629,843 

> 60 to 80 76,304 181,021 354,918 116,417 16,219 9,406 754,285 

> 80 to 90 35,832 92,907 40,203 1,758 281 319 171,300 

> 90 to 100 47,787 38,193 2,228 93 21 92 88,414 

> 100 27 907 12 5 3 101 1,055 

 Total 20- and 30-year or more, amortizing fixed-rate 186,898 397,214 873,604 648,160 109,105 429,916 2,644,897 

 Current year-to-date gross charge-offs(1) — 8 25 32 31 142 238 

 15-year or less, amortizing fixed-rate

≤ 60 3,145 19,271 122,380 101,234 12,974 60,417 319,421 

> 60 to 80 3,235 9,809 7,464 515 29 9 21,061 

> 80 to 90 506 810 38 2 — 1 1,357 

> 90 to 100 264 60 1 — — — 325 

> 100 1 2 — — — 1 4 

 Total 15-year or less, amortizing fixed-rate 7,151 29,952 129,883 101,751 13,003 60,428 342,168 

 Current year-to-date gross charge-offs(1) — — 1 1 — 3 5 

 Adjustable-rate and other

≤ 60 268 1,520 3,162 1,485 598 13,535 20,568 

> 60 to 80 931 2,660 1,341 109 31 283 5,355 

> 80 to 90 554 1,105 70 3 — 21 1,753 

> 90 to 100 373 434 3 — — 11 821 

> 100 — 17 — — — 4 21 

 Total adjustable-rate and other 2,126 5,736 4,576 1,597 629 13,854 28,518 

 Current year-to-date gross charge-offs(1) — — — — — — — 

Total for all loan product types by current LTV ratio:

≤ 60 30,361 104,977 601,785 632,606 106,153 493,950 1,969,832 

> 60 to 80 80,470 193,490 363,723 117,041 16,279 9,698 780,701 

> 80 to 90 36,892 94,822 40,311 1,763 281 341 174,410 

> 90 to 100 48,424 38,687 2,232 93 21 103 89,560 

> 100 28 926 12 5 3 106 1,080 

Total Single-Family loans $196,175 $432,902 $1,008,063 $751,508 $122,737 $504,198 $3,015,583 

Total current year-to-date gross charge-offs(1) $— $8 $26 $33 $31 $145 $243 

Referenced footnotes are included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 3Q 2023 Form 10-Q 58
December 31, 2022

Year of Origination 

Total

(In millions) 2022 2021 2020 2019 2018 Prior

Current LTV ratio:

 20- and 30-year or more, amortizing fixed-rate

≤ 60 $66,153 $394,498 $489,315 $87,188 $38,955 $407,819 $1,483,928 

> 60 to 80 158,421 424,141 190,167 28,991 7,870 10,426 820,016 

> 80 to 90 79,901 90,006 4,405 569 164 419 175,464 

> 90 to 100 86,109 8,911 397 56 24 143 95,640 

> 100 2,568 49 6 6 5 156 2,790 

 Total 20- and 30-year or more, amortizing fixed-rate 393,152 917,605 684,290 116,810 47,018 418,963 2,577,838 

 15-year or less, amortizing fixed-rate

≤ 60 16,752 119,379 109,685 14,606 5,578 68,240 334,240 

> 60 to 80 13,042 22,007 2,503 132 16 16 37,716 

> 80 to 90 1,601 368 7 — — 1 1,977 

> 90 to 100 570 5 — — — 1 576 

> 100 3 — — — — 1 4 

 Total 15-year or less, amortizing fixed-rate 31,968 141,759 112,195 14,738 5,594 68,259 374,513 

 Adjustable-rate and other

≤ 60 1,255 2,779 1,524 634 428 15,139 21,759 

> 60 to 80 2,322 1,956 214 76 28 445 5,041 

> 80 to 90 1,127 186 5 1 1 34 1,354 

> 90 to 100 836 11 — — — 14 861 

> 100 26 — — — — 9 35 

 Total adjustable-rate and other 5,566 4,932 1,743 711 457 15,641 29,050 

Total for all loan product types by current LTV ratio:

≤ 60 84,160 516,656 600,524 102,428 44,961 491,198 1,839,927 

> 60 to 80 173,785 448,104 192,884 29,199 7,914 10,887 862,773 

> 80 to 90 82,629 90,560 4,417 570 165 454 178,795 

> 90 to 100 87,515 8,927 397 56 24 158 97,077 

> 100 2,597 49 6 6 5 166 2,829 

Total Single-Family loans $430,686 $1,064,296 $798,228 $132,259 $53,069 $502,863 $2,981,401 

(1) Excludes charge-offs related to accrued interest receivable and advances of pre-foreclosure costs.

Multifamily

The table below presents the amortized cost basis of our multifamily held-for-investment loans, for which we have not elected 

the fair value option, by credit quality indicator, based on available data through the end of each period presented. These 

indicators involve significant management judgment and are defined as follows: 

n	 "Pass" is current and adequately protected by the borrower's current financial strength and debt service capacity; 

n	 "Special mention" has administrative issues that may affect future repayment prospects but does not have current credit 

weaknesses. In addition, this category generally includes loans in forbearance; 

n	 "Substandard" has a weakness that jeopardizes the timely full repayment; and 

n	 "Doubtful" has a weakness that makes collection or liquidation in full highly questionable and improbable based on existing 

conditions. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 3Q 2023 Form 10-Q 59
Table 3.7 - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator and Vintage

September 30, 2023

Year of Origination

(In millions) 2023 2022 2021 2020 2019 Prior Total

Revolving 

Loans

Category:

Pass $8,610 $17,996 $7,625 $6,416 $4,482 $3,181 $2,111 $50,421 

Special mention 20 37 28 109 294 98 — 586 

Substandard — 11 70 75 212 457 — 825 

Doubtful — — — — — — — — 

Total $8,630 $18,044 $7,723 $6,600 $4,988 $3,736 $2,111 $51,832 

December 31, 2022

Year of Origination

(In millions) 2022 2021 2020 2019 2018 Prior Total

Revolving 

Loans

Category:

Pass $21,854 $7,638 $6,546 $4,784 $1,077 $2,646 $1,924 $46,469 

Special mention — 39 65 232 7 113 — 456 

Substandard — 1 3 27 7 131 — 169 

Doubtful — — — — — — — — 

Total $21,854 $7,678 $6,614 $5,043 $1,091 $2,890 $1,924 $47,094 

Past Due Status

The table below presents 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.

Table 3.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status

September 30, 2023

(In millions) Current

One

Month

Past Due

Two

Months

Past Due

Three Months or

More Past Due,

or in Foreclosure(1) Total

Three Months or 

More Past Due, 

and Accruing 

Interest

Non-Accrual 

With No 

Allowance(2)

Single-Family:

20- and 30-year or more, amortizing 

fixed-rate $2,606,211 $22,292 $4,949 $11,445 $2,644,897 $— $423 

 15-year or less, amortizing fixed-rate 340,005 1,419 231 513 342,168 — 5 

Adjustable-rate and other 27,846 331 79 262 28,518 — 53 

Total Single-Family 2,974,062 24,042 5,259 12,220 3,015,583 — 481 

Total Multifamily 51,764 4 — 64 51,832 — 22 

Total Single-Family and Multifamily $3,025,826 $24,046 $5,259 $12,284 $3,067,415 $— $503 

Referenced footnotes are included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 3Q 2023 Form 10-Q 60
December 31, 2022

(In millions) Current

One

Month

Past Due

Two

Months

Past Due

Three Months or

More Past Due,

or in Foreclosure(1) Total

Three Months or 

More Past Due, 

and Accruing 

Interest

Non-Accrual 

with No 

Allowance(2)

Single-Family:

20- and 30-year or more, amortizing 

fixed-rate $2,541,057 $19,820 $4,603 $12,358 $2,577,838 $3,432 $522 

15-year or less, amortizing fixed-rate 372,065 1,590 250 608 374,513 191 9 

Adjustable-rate and other 28,262 325 88 375 29,050 30 67 

Total Single-Family 2,941,384 21,735 4,941 13,341 2,981,401 3,653 598 

Total Multifamily 47,039 13 — 42 47,094 — 42 

Total Single-Family and Multifamily $2,988,423 $21,748 $4,941 $13,383 $3,028,495 $3,653 $640 

(1) Includes $1.9 billion and $1.6 billion of single-family loans that were in the process of foreclosure as of September 30, 2023 and December 31, 2022, respectively.

(2) Loans with no allowance for loan losses primarily represent loans that were previously charged off and for which the amount we expect to collect is sufficiently in 

excess of the amortized cost to result in recovery of the entire amortized cost basis if the property were foreclosed upon or otherwise subject to disposition. We 

exclude the amounts of allowance for credit losses on accrued interest receivable and advances of pre-foreclosure costs when determining whether a loan has an 

allowance for credit losses.

Loan Restructurings

Single-Family Loan Restructurings

We offer several types of restructurings to single-family borrowers that may result in a payment delay, interest rate reduction, 

term extension, or combination thereof. We do not offer principal forgiveness. 

For purposes of the disclosure related to single-family loan restructurings involving borrowers experiencing financial difficulty, 

we exclude loans that were held-for-sale either at the time of restructuring or at the period end. The table below presents the 

amortized cost basis of single-family held-for-investment loan restructurings involving borrowers experiencing financial difficulty 

that we entered into during the periods presented. The amortized cost basis of loans in trial period modification plans was $1.6 

billion as of both September 30, 2023 and September 30, 2022. Most of these loans are 20- and 30-year or more, amortizing 

fixed-rate loans.

Table 3.9 - Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty(1)

3Q 2023

(Dollars in millions)

Payment 

Delay(2)

Payment Delay 

and Term 

Extension

Payment Delay, 

Term Extension, 

and Interest Rate 

Reduction Total

Total as % of 

Class of 

Financing 

Receivable(3)

Single-Family:

20- and 30-year or more, amortizing fixed-rate $5,232 $1,140 $13 $6,385 0.2 %

15-year or less, amortizing fixed-rate 230 — — 230 0.1 

Adjustable-rate and other 49 6 1 56 0.2 

Total Single-Family loan restructurings $5,511 $1,146 $14 $6,671 0.2 

3Q 2022

(Dollars in millions)

Payment 

Delay(2)

Payment Delay 

and Term 

Extension

Payment Delay, 

Term Extension, 

and Interest Rate 

Reduction Total

Total as % of 

Class of 

Financing 

Receivable(3)

Single-Family:

20- and 30-year or more, amortizing fixed-rate $6,435 $750 $1,254 $8,439 0.3 %

15-year or less, amortizing fixed-rate 381 24 6 411 0.1 

Adjustable-rate and other 98 12 22 132 0.5 

Total Single-Family loan restructurings $6,914 $786 $1,282 $8,982 0.3 

Referenced footnotes are included after the year-to-date table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 3Q 2023 Form 10-Q 61
YTD 2023

(Dollars in millions)

Payment 

Delay(2)

Payment Delay 

and Term 

Extension

Payment Delay, 

Term Extension, 

and Interest Rate 

Reduction Total

Total as % of 

Class of 

Financing 

Receivable(3)

Single-Family:

20- and 30-year or more, amortizing fixed-rate $13,945 $3,122 $123 $17,190 0.6 %

15-year or less, amortizing fixed-rate 683 — — 683 0.2 

Adjustable-rate and other 154 19 6 179 0.6 

Total Single-Family loan restructurings $14,782 $3,141 $129 $18,052 0.6 

YTD 2022

(Dollars in millions)

Payment 

Delay(2)

Payment Delay 

and Term 

Extension

Payment Delay, 

Term Extension, 

and Interest Rate 

Reduction Total

Total as % of 

Class of 

Financing 

Receivable(3)

Single-Family:

20- and 30-year or more, amortizing fixed-rate $18,207 $1,868 $6,554 $26,629 1.0 %

15-year or less, amortizing fixed-rate 1,130 24 6 1,160 0.3 

Adjustable-rate and other 357 32 105 494 1.7 

Total Single-Family loan restructurings $19,694 $1,924 $6,665 $28,283 1.0 

(1) Type of loan restructurings reflects the cumulative effects of the loan restructurings received during the period. Includes loan modifications in the period in which 

the borrower completes the trial period and the loan is permanently modified.

(2) Includes $1.9 billion and $6.5 billion related to payment deferral plans for 3Q 2023 and YTD 2023, respectively, compared to $2.8 billion and $10.8 billion for 3Q 

2022 and YTD 2022, respectively. Also includes forbearance plans, repayment plans, and loan modifications that only involve payment delays.

(3) Based on the amortized cost basis as of period end, divided by the total period-end amortized cost basis of the corresponding financing receivable class of singlefamily held-for-investment loans.

The table below shows the financial effect of single-family held-for-investment loan restructurings involving borrowers 

experiencing financial difficulty that we entered into during the periods presented.

Table 3.10 – Financial Effects of Single-Family Loan Restructurings Involving Borrowers Experiencing Financial 

Difficulty(1)

3Q 2023

(Dollars in thousands)

Weighted-Average 

Interest Rate 

Reduction

Weighted-Average 

Months of Term 

Extension

Weighted-Average 

Payment Deferral or 

Principal 

Forbearance(2)

Single-Family:

20- and 30-year or more, amortizing fixed-rate 1.2 % 175 $18 

15-year or less, amortizing fixed-rate — 0 15 

Adjustable-rate and other 1.0 222 18 

3Q 2022

(Dollars in thousands)

Weighted-Average 

Interest Rate 

Reduction

Weighted-Average 

Months of Term 

Extension

Weighted-Average 

Payment Deferral or 

Principal 

Forbearance(2)

Single-Family:

20- and 30-year or more, amortizing fixed-rate 1.1 % 183 $19 

15-year or less, amortizing fixed-rate 0.6 366 21 

Adjustable-rate and other 1.9 221 20 

Referenced footnotes are included after the year-to-date table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 3Q 2023 Form 10-Q 62
YTD 2023

(Dollars in thousands)

Weighted-Average 

Interest Rate 

Reduction

Weighted-Average 

Months of Term 

Extension

Weighted-Average 

Payment Deferral or 

Principal 

Forbearance(2)

Single-Family:

20- and 30-year or more, amortizing fixed-rate 1.0 % 177 $17 

15-year or less, amortizing fixed-rate — 0 16 

Adjustable-rate and other 1.8 202 17 

YTD 2022

(Dollars in thousands)

Weighted-Average 

Interest Rate 

Reduction

Weighted-Average 

Months of Term 

Extension

Weighted-Average 

Payment Deferral or 

Principal 

Forbearance(2)

Single-Family:

20- and 30-year or more, amortizing fixed-rate 1.4 % 187 $22 

15-year or less, amortizing fixed-rate 0.6 366 24 

Adjustable-rate and other 2.3 225 26 

(1) Averages are based on payment deferral plans and loan modifications completed during the periods presented. The financial effects of forbearance plans and 

repayment plans consist of a payment delay of between one and twelve months. In addition, the financial effect of a forbearance plan is included at the time the 

forbearance plan is completed if the borrower exits forbearance by entering into a payment deferral plan or loan modification.

(2) Primarily related to payment deferral plans. Amounts are based on non-interest-bearing principal balances on the restructured loans.

The following table provides the amortized cost basis of single-family held-for-investment loans that had a payment default (i.e., 

loans that became two months delinquent) during the periods presented and had been restructured within the previous 12 

months preceding the payment default, when the borrower was experiencing financial difficulty at the time of the restructuring. 

Since we adopted ASU 2022-02 prospectively, single-family held-for-investment loans that were restructured prior to January 

1, 2022, the date we adopted such guidance, have been excluded from the disclosures related to loan restructurings.

Table 3.11 - Subsequent Defaults of Single-Family Restructured Loans Involving Borrowers Experiencing Financial 

Difficulty(1)

3Q 2023

(In millions) Payment Delay

Payment Delay 

and Term 

Extension

Payment Delay, Term 

Extension, and Interest 

Rate Reduction Total

Single-Family:

20- and 30-year or more, amortizing fixed-rate $810 $319 $57 $1,186 

15-year or less, amortizing fixed-rate 33 — — 33 

Adjustable-rate and other 11 2 1 14 

Total Single-Family $854 $321 $58 $1,233 

3Q 2022

(In millions) Payment Delay

Payment Delay 

and Term 

Extension

Payment Delay, Term 

Extension, and Interest 

Rate Reduction Total

Single-Family:

20- and 30-year or more, amortizing fixed-rate $483 $53 $140 $676 

15-year or less, amortizing fixed-rate 28 — — 28 

Adjustable-rate and other 9 1 1 11 

Total Single-Family $520 $54 $141 $715 

Referenced footnotes are included after the year-to-date table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 3Q 2023 Form 10-Q 63
YTD 2023

(In millions) Payment Delay

Payment Delay 

and Term 

Extension

Payment Delay, Term 

Extension, and Interest 

Rate Reduction Total

Single-Family:

20- and 30-year or more, amortizing fixed-rate $1,877 $614 $315 $2,806 

15-year or less, amortizing fixed-rate 78 — — 78 

Adjustable-rate and other 25 5 6 36 

Total Single-Family $1,980 $619 $321 $2,920 

YTD 2022

(In millions) Payment Delay

Payment Delay 

and Term 

Extension

Payment Delay, Term 

Extension, and Interest 

Rate Reduction Total

Single-Family:

20- and 30-year or more, amortizing fixed-rate $1,194 $94 $216 $1,504 

15-year or less, amortizing fixed-rate 67 — — 67 

Adjustable-rate and other 31 3 3 37 

Total Single-Family $1,292 $97 $219 $1,608 

(1) Excludes forbearance plans and repayment plans as borrowers are typically past due based on the loan's original contractual terms at the time the borrowers enter 

into these plans.

The following table provides the single-family held-for-investment loan performance in the 12 months after a restructuring 

involving borrowers experiencing financial difficulty. While a single-family loan is in a forbearance plan or repayment plan, 

payments continue to be due based on the loan’s original contractual terms because the loan has not been permanently 

modified. As a result, we report single-family loans in forbearance plans and repayment plans as delinquent to the extent that 

payments are past due based on the loan’s original contractual terms. Loans that have been restructured by entering into a 

payment deferral plan or loan modification are reported as delinquent to the extent that payments are past due based on the 

loan's restructured terms.

Table 3.12 - Amortized Cost Basis of Single-Family Restructured Loans Involving Borrowers Experiencing Financial 

Difficulty by Payment Status

September 30, 2023

(In millions) Current

One Month Past 

Due

Two Months 

Past Due

Three Months 

or More Past 

Due Total

Single-Family:

20- and 30-year or more, amortizing fixed-rate $11,858 $2,636 $1,484 $5,805 $21,783 

15-year or less, amortizing fixed-rate 483 96 56 248 883 

Adjustable-rate and other 123 26 15 71 235 

Total Single-Family $12,464 $2,758 $1,555 $6,124 $22,901 

September 30, 2022

(In millions) Current

One Month Past 

Due

Two Months 

Past Due

Three Months 

or More Past 

Due Total

Single-Family:

20- and 30-year or more, amortizing fixed-rate $17,282 $2,289 $1,535 $5,523 $26,629 

15-year or less, amortizing fixed-rate 696 107 81 276 1,160 

Adjustable-rate and other 303 30 23 138 494 

Total Single-Family $18,281 $2,426 $1,639 $5,937 $28,283 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 3Q 2023 Form 10-Q 64
Non-Cash Investing and Financing Activities

During YTD 2023 and YTD 2022, we acquired $160.8 billion and $339.6 billion, respectively, of loans held-for-investment in 

exchange for the issuance of debt of consolidated trusts in guarantor swap transactions. We received approximately $72.9 

billion and $146.6 billion of loans held-for-investment from sellers during YTD 2023 and YTD 2022, respectively, to satisfy 

advances to lenders that were recorded in other assets on our condensed consolidated balance sheets.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 3Q 2023 Form 10-Q 65
NOTE 4 

Guarantees and Other Off-Balance Sheet Credit Exposures

Guarantee Activities 

The table below shows information about our mortgage-related guarantees and guarantees of Fannie Mae securities, including 

the UPB of the loans or securities underlying the guarantee, the maximum potential amount of future payments that we could 

be required to make under the guarantee, the liability we have recognized on our condensed consolidated balance sheets for 

the guarantee, and the maximum remaining term of the guarantee. This table does not include our unrecognized guarantees, 

such as guarantees to consolidated VIEs or to resecuritization trusts that do not expose us to incremental credit risk. We do not 

believe the potential amount of future payments we could be required to make is representative of the actual payments we will 

be required to make or the actual loss we are likely to incur, based on our historical loss experience and after consideration of 

proceeds from related collateral liquidation, including possible recoveries under credit enhancements.

Table 4.1 - Financial Guarantees

September 30, 2023

(Dollars in millions, terms in years) UPB Maximum Exposure

Recognized 

Liability(1)

Maximum Remaining 

Term

Single-Family mortgage-related guarantees:

Nonconsolidated securitization products(2) $30,490 $24,768 $382 39

Other mortgage-related guarantees 8,869 8,869 171 29

Total Single-Family mortgage-related guarantees 39,359 33,637 553 

Multifamily mortgage-related guarantees:

Nonconsolidated securitization products(2)(3) 356,552 316,875 4,636 37

Other mortgage-related guarantees 10,768 10,768 380 35

Total Multifamily mortgage-related guarantees 367,320 327,643 5,016 

Guarantees of Fannie Mae securities(4) 112,052 112,052 — 38

Other 144 483 — 30

December 31, 2022

(Dollars in millions, terms in years) UPB Maximum Exposure

Recognized 

Liability(1)

Maximum Remaining 

Term

Single-Family mortgage-related guarantees:

Nonconsolidated securitization products(2) $31,604 $25,772 $391 40

Other mortgage-related guarantees 9,476 9,476 203 29

Total Single-Family mortgage-related guarantees 41,080 35,248 594 

Multifamily mortgage-related guarantees:

Nonconsolidated securitization products(2)(3) 360,869 319,117 4,889 37

Other mortgage-related guarantees 10,510 10,510 379 36

Total Multifamily mortgage-related guarantees 371,379 329,627 5,268 

Guarantees of Fannie Mae securities(4) 119,267 119,267 — 39

Other 185 435 — 29

(1) Excludes allowance for credit losses on off-balance sheet credit exposures. See Note 5 for additional information on our allowance for credit losses on off-balance 

sheet credit exposures.

(2) Maximum exposure is based on remaining UPB of the guaranteed securities issued by the VIE. 

(3) Includes UPB of $0.4 billion as of both September 30, 2023 and December 31, 2022, related to VIEs in which our interest would no longer absorb significant 

variability as the guaranteed securities have completely paid off. In addition, includes guarantees that are accounted for as derivatives with UPB of $2.1 billion as of 

both September 30, 2023 and December 31, 2022.

(4) Excludes $0.1 billion as of both September 30, 2023 and December 31, 2022, of Fannie Mae securities that we have guaranteed that are included in 

resecuritization trusts that we have consolidated as we own all of the outstanding securities issued by the VIE.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 4

Freddie Mac 3Q 2023 Form 10-Q 66
The table below shows the payment status of the mortgage loans underlying our mortgage-related guarantees.

Table 4.2 – UPB of Loans Underlying Our Mortgage-Related Guarantees by Payment Status 

September 30, 2023

(In millions) Current

One

Month

Past Due

Two

Months

Past Due

Three Months or

More Past Due,

or in Foreclosure Total

Single-Family $35,098 $2,063 $737 $1,461 $39,359 

Multifamily 366,275 104 59 882 367,320 

Total $401,373 $2,167 $796 $2,343 $406,679 

December 31, 2022

(In millions) Current

One

Month

Past Due

Two

Months

Past Due

Three Months or

More Past Due,

or in Foreclosure Total

Single-Family $36,241 $2,072 $748 $2,019 $41,080 

Multifamily 370,911 23 12 433 371,379 

Total $407,152 $2,095 $760 $2,452 $412,459 

Other Off-Balance Sheet Credit Exposures

In addition to our guarantees, we enter into other agreements that expose us to off-balance sheet credit risk. These agreements 

may require us to transfer cash before or upon settlement of our contractual obligation. We recognize an allowance for credit 

losses for those agreements not measured at fair value or otherwise recognized in the financial statements. Most of these 

commitments expire in less than one year. See Note 5 for additional discussion of our allowance for credit losses on our offbalance sheet credit exposures. The table below shows our other off-balance sheet credit exposures.

Table 4.3 – Other Off-Balance Sheet Credit Exposures

(In millions) September 30, 2023 December 31, 2022

Mortgage loan purchase commitments(1) $11,537 $9,609 

Other commitments(2) 50,691 22,293 

Total $62,228 $31,902 

(1) Includes $2.6 billion and $0.5 billion of commitments for which we have elected the fair value option as of September 30, 2023 and December 31, 2022, 

respectively. Excludes mortgage loan purchase commitments accounted for as derivative instruments. See Note 8 for additional information on commitments 

accounted for as derivative instruments.

(2) Consists of unfunded portion of revolving lines of credit, liquidity guarantees, and other commitments.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 4

Freddie Mac 3Q 2023 Form 10-Q 67
NOTE 5

Allowance for Credit Losses

The table below summarizes changes in our allowance for credit losses.

Table 5.1 - Details of the Allowance for Credit Losses 

3Q 2023 3Q 2022 YTD 2023 YTD 2022

 (In millions) 

SingleFamilyMultifamily TotalSingleFamilyMultifamily TotalSingleFamilyMultifamily TotalSingleFamilyMultifamily Total

Beginning balance $7,457 $325 $7,782 $5,342 $81 $5,423 $7,746 $147 $7,893 $5,440 $78 $5,518 

Provision (benefit) for 

credit losses (304) 41 (263) 1,784 12 1,796 (624) 219 (405) 1,251 15 1,266 

Charge-offs (221) — (221) (108) — (108) (422) — (422) (388) — (388) 

Recoveries collected 54 — 54 29 — 29 115 — 115 124 — 124 

Other(1) 80 — 80 168 — 168 251 — 251 788 — 788 

Ending balance $7,066 $366 $7,432 $7,215 $93 $7,308 $7,066 $366 $7,432 $7,215 $93 $7,308 

Components of the ending balance of the allowance for credit losses:

Mortgage loans heldfor-investment $6,668 $280 $6,948 $6,802 $49 $6,851 

Other(2) 398 86 484 413 44 457 

Total ending balance $7,066 $366 $7,432 $7,215 $93 $7,308 

(1) Primarily includes capitalization of past due interest related to non-accrual loans that receive payment deferral plans and loan modifications.

(2) Includes allowance for credit losses related to advances of pre-foreclosure costs, accrued interest receivable, and off-balance sheet credit exposures.

n 3Q 2023 vs. 3Q 2022 - The benefit for credit losses for 3Q 2023 was primarily driven by a credit reserve release in SingleFamily due to increases in observed and forecasted house price appreciation, partially offset by a credit reserve build in 

Multifamily due to deterioration in overall loan performance. The provision for credit losses for 3Q 2022 was primarily driven 

by a credit reserve build in Single-Family due to deterioration in housing market conditions, including lower observed and 

forecasted house price appreciation.

n YTD 2023 vs. YTD 2022 - The benefit for credit losses for YTD 2023 was primarily driven by a credit reserve release in 

Single-Family due to increases in observed and forecasted house price appreciation, partially offset by a credit reserve 

build in Multifamily due to increased uncertainty in forecasted economic conditions and multifamily market conditions as 

well as deterioration in overall loan performance. The provision for credit losses for YTD 2022 was primarily driven by a 

credit reserve build in Single-Family due to deterioration in housing market conditions, including lower observed and 

forecasted house price appreciation.

In addition, charge-offs increased during the 2023 periods, compared to the 2022 periods, primarily due to a higher volume of 

transfers of single-family loans from held-for-investment to held-for-sale and the lower fair value of these loans as a result of 

higher mortgage interest rates.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 5

Freddie Mac 3Q 2023 Form 10-Q 68
NOTE 6

Investment Securities

The table below summarizes the fair values of our investments in debt securities by classification.

Table 6.1 - Investment Securities

(In millions) September 30, 2023 December 31, 2022

Trading securities $34,048 $32,167 

Available-for-sale securities 5,395 6,534 

Total fair value of investment securities $39,443 $38,701 

Trading Securities 

The table below presents the fair values of our trading securities by major security type. Our non-mortgage-related securities 

primarily consist of investments in U.S. Treasury securities. 

Table 6.2 - Trading Securities 

(In millions) September 30, 2023 December 31, 2022

Mortgage-related securities $8,580 $8,334 

Non-mortgage-related securities 25,468 23,833 

Total fair value of trading securities $34,048 $32,167 

For trading securities held at September 30, 2023, we recorded net unrealized losses of $0.1 billion and $0.3 billion during 3Q 

2023 and YTD 2023, respectively. For trading securities held at September 30, 2022, we recorded net unrealized losses of 

$0.9 billion and $2.0 billion during 3Q 2022 and YTD 2022, respectively. 

Available-for-Sale Securities 

The table below provides details of the securities classified as available-for-sale on our condensed consolidated balance 

sheets. At September 30, 2023 and December 31, 2022, all available-for-sale securities were mortgage-related securities.

Table 6.3 - Available-for-Sale Securities 

September 30, 2023

Amortized

Cost

Basis

Gross Unrealized 

Gains in Other 

Comprehensive 

Income

Gross Unrealized

Losses in Other 

Comprehensive 

Income Fair Value

Accrued Interest 

(In millions) Receivable

Agency mortgage-related securities $5,131 $— ($262) $4,870 $12 

Other mortgage-related securities 360 175 (10) 525 3 

Total available-for-sale securities $5,491 $175 ($272) $5,395 $15 

December 31, 2022

Amortized

Cost

Basis

Gross Unrealized 

Gains in Other 

Comprehensive 

Income

Gross Unrealized

Losses in Other 

Comprehensive 

Income Fair Value

Accrued Interest 

(In millions) Receivable

Agency mortgage-related securities $6,215 $6 ($301) $5,920 $12 

Other mortgage-related securities 429 188 (3) 614 3 

Total available-for-sale securities $6,644 $194 ($304) $6,534 $15 

The fair value of our available-for-sale securities held at September 30, 2023 scheduled to contractually mature after ten years 

was $1.3 billion, with an additional $2.9 billion scheduled to contractually mature after five years through ten years.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 6

Freddie Mac 3Q 2023 Form 10-Q 69
The table below presents available-for-sale securities in a gross unrealized loss position and whether such securities have been 

in an unrealized loss position for less than 12 months, or 12 months or greater.

Table 6.4 - Available-for-Sale Securities in a Gross Unrealized Loss Position 

September 30, 2023

Less than 12 Months 12 Months or Greater

(In millions) Fair Value

Gross 

Unrealized 

Losses Fair Value

Gross 

Unrealized 

Losses

Agency mortgage-related securities $1,206 ($35) $3,372 ($227) 

Other mortgage-related securities 52 (5) 25 (5) 

Total available-for-sale securities in a gross unrealized loss position $1,258 ($40) $3,397 ($232) 

December 31, 2022

Less than 12 Months 12 Months or Greater

(In millions) Fair Value

Gross 

Unrealized 

Losses Fair Value

Gross 

Unrealized 

Losses

Agency mortgage-related securities $5,086 ($253) $325 ($48) 

Other mortgage-related securities 46 (3) 5 — 

Total available-for-sale securities in a gross unrealized loss position $5,132 ($256) $330 ($48) 

At September 30, 2023, the gross unrealized losses relate to 205 securities. 

The table below summarizes the gross realized gains and gross realized losses from sales of available-for-sale securities. 

Table 6.5 - Gross Realized Gains and Gross Realized Losses from Sales of Available-for-Sale Securities

(In millions) 3Q 2023 3Q 2022 YTD 2023 YTD 2022

Gross realized gains $— $33 $5 $34 

Gross realized losses (118) (3) (122) (7) 

Net realized gains (losses) ($118) $30 ($117) $27 

Non-Cash Investing and Financing Activities

During YTD 2023 and YTD 2022, we recognized $1.7 billion and $9.0 billion, respectively, of investment securities in exchange 

for the issuance of debt of consolidated trusts through partial sales of commingled single-class resecuritization products that 

were previously consolidated.

During YTD 2023 and YTD 2022, we derecognized $3.5 billion and $10.5 billion, respectively, of mortgage-related securities 

and debt of consolidated trusts where we were no longer deemed the primary beneficiary.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 6

Freddie Mac 3Q 2023 Form 10-Q 70
NOTE 7

Debt

The table below summarizes the balances of total debt on our condensed consolidated balance sheets.

Table 7.1 - Total Debt

(In millions) September 30, 2023 December 31, 2022

Debt of consolidated trusts $3,027,175 $2,979,070 

Debt of Freddie Mac:

Short-term debt 5,929 7,712 

Long-term debt 168,993 159,050 

Total debt of Freddie Mac 174,922 166,762 

Total debt $3,202,097 $3,145,832 

As of September 30, 2023, our aggregate indebtedness pursuant to the Purchase Agreement was $184.9 billion, which was 

below the current $270.0 billion debt cap limit. Our aggregate indebtedness calculation primarily includes the par value of 

short- and long-term debt.

Debt of Consolidated Trusts 

The table below summarizes the debt of consolidated trusts based on underlying loan product type.

Table 7.2 - Debt of Consolidated Trusts

September 30, 2023 December 31, 2022

(Dollars in millions)

Contractual

Maturity UPB

Carrying 

Amount(1)

Weighted

Average

Coupon(2)

Contractual

Maturity UPB

Carrying 

Amount(1)

Weighted

Average

Coupon(2)

Single-Family:

20-and 30-year or more, fixed-rate 2023 - 2061 $2,579,108 $2,617,780 2.98 % 2023 - 2061 $2,507,235 $2,550,137 2.76 %

15-year or less, fixed-rate 2023 - 2038 336,312 341,684 2.19 2023 - 2038 367,844 374,339 2.14 

Adjustable-rate and other 2023 - 2053 23,896 24,404 3.75 2023 - 2053 23,561 24,153 3.04 

Total Single-Family 2,939,316 2,983,868 2,898,640 2,948,629 

Multifamily 2024 - 2053 44,191 43,307 3.16 2023 - 2052 30,927 30,441 2.66 

Total debt of consolidated trusts $2,983,507 $3,027,175 $2,929,567 $2,979,070 

(1) Includes $2.0 billion and $1.9 billion as of September 30, 2023 and December 31, 2022, respectively, of debt of consolidated trusts that represents the fair value of 

debt for which the fair value option was elected.

(2) The effective interest rate for debt of consolidated trusts was 2.60% and 2.39% as of September 30, 2023 and December 31, 2022, respectively.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 7

Freddie Mac 3Q 2023 Form 10-Q 71
Short-Term Debt

The table below summarizes the balances and effective interest rates for short-term debt.

Table 7.3 - Short-Term Debt

September 30, 2023 December 31, 2022

(Dollars in millions) Par Value

Carrying 

Amount

Weighted

Average

Effective Rate Par Value

Carrying 

Amount

Weighted

Average

Effective Rate

Short-term debt:

Discount notes and Reference Bills® $4,940 $4,906 5.32 % $6,826 $6,822 3.71 %

Medium-term notes — — — 890 890 1.81 

Securities sold under agreements to repurchase 4,795 4,795 5.20 11,991 11,991 3.86 

Offsetting arrangements(1) (3,772) (3,772) (11,991) (11,991) 

Total short-term debt $5,963 $5,929 5.33 % $7,716 $7,712 3.49 %

(1) We offset payables related to securities sold under agreements to repurchase against receivables related to securities purchased under agreements to resell on our 

condensed consolidated balance sheets, when such amounts meet the conditions for offsetting in the accounting guidance. 

Long-Term Debt

The table below summarizes our long-term debt.

Table 7.4 - Long-Term Debt

September 30, 2023 December 31, 2022

(Dollars in millions)

Contractual 

Maturity Par Value

Carrying 

Amount(1)

Weighted

Average

Effective 

Rate(2)

Contractual 

Maturity Par Value

Carrying 

Amount(1)

Weighted

Average

Effective 

Rate(2)

Long-term debt:

Fixed-rate:

Medium-term notes — callable 2023 - 2050 $140,640 $140,558 3.01 % 2023 - 2050 $103,584 $103,528 1.96 %

Medium-term notes — non-callable 2023 - 2028 1,673 1,674 1.04 2023 - 2028 2,747 2,747 0.73 

Reference Notes securities — noncallable 2023 - 2032 27,051 27,097 3.27 2023 - 2032 49,801 49,832 1.76 

SCR debt notes 2031 - 2032 84 84 13.00 2031 - 2032 90 93 13.00 

Variable-rate:

Medium-term notes — callable 2023 - 2028 2,145 2,142 4.84 2023 - 2027 4,691 4,689 3.95 

Medium-term notes — non-callable 2026 47 47 8.10 2026 47 47 8.10 

STACR 2023 - 2042 2,426 2,334 10.98 2023 - 2042 4,562 4,448 8.79 

Zero-coupon:

Medium-term notes — non-callable 2024 - 2039 4,836 3,050 6.16 2023 - 2039 4,841 2,913 6.11 

Other 2047 - 2053 — 136 0.80 2047 - 2052 — 137 0.82 

Hedging-related basis adjustments N/A (8,129) N/A (9,384) 

Total long-term debt $178,902 $168,993 3.22 % $170,363 $159,050 2.20 %

(1) Represents par value, net of associated discounts or premiums and issuance cost. Includes $0.6 billion and $1.1 billion at September 30, 2023 and December 31, 

2022, respectively, of long-term debt that represents the fair value of debt for which the fair value option was elected.

(2) Based on carrying amount.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 7

Freddie Mac 3Q 2023 Form 10-Q 72
The table below summarizes the contractual maturities of long-term debt.

Table 7.5 - Contractual Maturities of Long-Term Debt

September 30, 2023

(In millions) Amounts

Annual Maturities

Long-term debt (excluding STACR and SCR debt notes):

2023 $13,376 

2024 41,582 

2025 63,210 

2026 13,450 

2027 12,247 

Thereafter 32,527 

Debt of consolidated trusts, STACR, and SCR debt notes(1) 2,986,017 

Total 3,162,409 

Net discounts, premiums, debt issuance costs, hedge-related, and other basis adjustments(2) 33,759 

Total debt of consolidated trusts, STACR, SCR, and long-term debt $3,196,168 

(1) Contractual maturities of these debt securities are not presented because they are subject to prepayment risk, as their payments are based upon the performance of 

a pool of mortgage assets that may be prepaid by the related mortgage borrower at any time generally without penalty.

(2) Other basis adjustments primarily represent changes in fair value on debt where we have elected the fair value option.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 7

Freddie Mac 3Q 2023 Form 10-Q 73
NOTE 8

Derivatives

We analyze the interest-rate sensitivity of financial assets and liabilities across a variety of interest-rate scenarios based on 

market prices, models, and economics. We use derivatives primarily to hedge interest-rate sensitivity mismatches between our 

financial assets and liabilities. We designate certain derivatives as hedging instruments in qualifying hedge accounting 

relationships. Interest-rate risk management derivatives that are not designated in qualifying hedge accounting relationships are 

economic hedges of financial instruments measured at fair value on a recurring basis or of other transactions or instruments 

that expose us to interest-rate risk. 

We apply fair value hedge accounting to certain single-family mortgage loans and certain issuances of debt where we hedge 

the changes in fair value of these items attributable to the designated benchmark interest rate, using interest-rate swaps.

Derivative Assets and Liabilities at Fair Value

The table below presents the notional value and fair value of derivatives reported on our condensed consolidated balance 

sheets. 

Table 8.1 - Derivative Assets and Liabilities at Fair Value

September 30, 2023 December 31, 2022

Notional or

Contractual

Amount

Derivatives at Fair Value Notional or

Contractual

Amount

Derivatives at Fair Value

(In millions) Assets Liabilities Assets Liabilities

Not designated as hedges

Interest-rate risk management derivatives:

Swaps $380,771 $2,450 ($414) $480,824 $1,762 ($526) 

Written options 47,632 — (2,099) 46,101 — (1,857) 

Purchased options(1) 77,235 4,773 — 92,010 4,302 — 

Futures 242,335 — — 182,330 — — 

Total interest-rate risk management derivatives 747,973 7,223 (2,513) 801,265 6,064 (2,383) 

Mortgage commitment derivatives 52,690 11 (44) 29,354 12 (11) 

CRT-related derivatives(2) 31,163 — (205) 31,647 — (55) 

Other 13,973 2 (744) 14,426 2 (624) 

Total derivatives not designated as hedges 845,799 7,236 (3,506) 876,692 6,078 (3,073) 

Designated as fair value hedges

Interest-rate risk management derivatives:

Swaps 188,107 306 (7,674) 181,298 321 (7,847) 

Total derivatives designated as fair value hedges 188,107 306 (7,674) 181,298 321 (7,847) 

Receivables (payables) 1 (153) 35 (25) 

Netting adjustments(3) (7,100) 10,234 (6,127) 10,187 

Total derivative portfolio, net $1,033,906 $443 ($1,099) $1,057,990 $307 ($758) 

(1) Includes swaptions on credit indices with a notional or contractual amount of $5.4 billion and $10.1 billion at September 30, 2023 and December 31, 2022, 

respectively, and a fair value of $2.0 million at both September 30, 2023 and December 31, 2022. 

(2) Includes derivative instruments related to CRT transactions that are considered freestanding credit enhancements.

(3) Represents counterparty netting and cash collateral netting.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 8 

Freddie Mac 3Q 2023 Form 10-Q 74
Gains and Losses on Derivatives

The table below presents the gains and losses on derivatives not designated in qualifying hedge relationships. These amounts 

are reported on our condensed consolidated statements of income as investment gains, net.

Table 8.2 - Gains and Losses on Derivatives(1)

(In millions) 3Q 2023 3Q 2022 YTD 2023 YTD 2022

Not designated as hedges

Interest-rate risk management derivatives:

Swaps ($48) $680 $360 $929 

Written options (424) (278) (147) (962) 

Purchased options 1,012 620 463 1,845 

Futures 668 788 880 2,213 

Total interest-rate risk management derivatives fair value gains (losses) 1,208 1,810 1,556 4,025 

Mortgage commitment derivatives 248 203 293 2,922 

CRT-related derivatives(2) (10) (182) (154) (104) 

Other (194) (155) (197) (236) 

Total derivatives not designated as hedges fair value gains (losses) $1,252 $1,676 $1,498 $6,607 

(1) Accrual of periodic cash settlements on swaps is included in the respective gain (loss) of the derivative and is no longer presented separately. Certain prior period 

amounts have been reclassified to conform to the current period presentation.

(2) Includes derivative instruments related to CRT transactions that are considered freestanding credit enhancements. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 8 

Freddie Mac 3Q 2023 Form 10-Q 75
Fair Value Hedges 

The table below presents the effects of fair value hedge accounting by condensed consolidated statements of income line item, 

including the gains and losses on derivatives and hedged items designated in qualifying hedge relationships and other 

components due to the application of hedge accounting.

Table 8.3 - Gains and Losses on Fair Value Hedges

3Q 2023 3Q 2022

(In millions) Interest Income Interest Expense Interest Income Interest Expense 

Total amounts of income and expense line items presented in 

our condensed consolidated statements of income in which the 

effects of fair value hedges are recorded: $26,799 ($22,050) $21,894 ($17,340) 

Interest contracts on mortgage loans held-for-investment:

Gain (loss) on fair value hedging relationships:

Hedged items (1,722) — (1,839) — 

Derivatives designated as hedging instruments 1,658 — 1,731 — 

Interest accruals on hedging instruments 225 — (5) — 

Discontinued hedge related basis adjustments amortization 60 — 12 — 

Interest contracts on debt:

Gain (loss) on fair value hedging relationships:

Hedged items — 16 — 2,558 

Derivatives designated as hedging instruments — (9) — (2,586) 

Interest accruals on hedging instruments — (1,014) — (353) 

Discontinued hedge related basis adjustment amortization — (145) — 1 

YTD 2023 YTD 2022

(In millions) Interest Income Interest Expense Interest Income Interest Expense

Total amounts of income and expense line items presented in 

our condensed consolidated statements of income in which the 

effects of fair value hedges are recorded: $77,541 ($63,768) $59,642 ($46,225) 

Interest contracts on mortgage loans held-for-investment:

Gain (loss) on fair value hedging relationships:

Hedged items (1,563) — (5,989) — 

Derivatives designated as hedging instruments 1,485 — 5,194 — 

Interest accruals on hedging instruments 687 — (421) — 

Discontinued hedge related basis adjustments amortization 130 — (116) — 

Interest contracts on debt:

Gain (loss) on fair value hedging relationships:

Hedged items — (794) — 7,719 

Derivatives designated as hedging instruments — 776 — (7,810) 

Interest accruals on hedging instruments — (3,065) — (253) 

Discontinued hedge related basis adjustment amortization — (355) — 13 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 8 

Freddie Mac 3Q 2023 Form 10-Q 76
The table below presents the cumulative basis adjustments and the carrying amounts of the hedged item by its respective 

balance sheet line item.

Table 8.4 - Cumulative Basis Adjustments Due to Fair Value Hedging

September 30, 2023

Carrying 

Amount 

Assets / 

(Liabilities)

Cumulative Amount of Fair Value Hedging Basis 

Adjustment Included in the Carrying Amount

Closed Portfolio Under the 

Portfolio Layer Method

(In millions) Total

Under the 

Portfolio Layer 

Method

Discontinued - 

Hedge Related

Total Amount 

by Amortized 

Cost Basis

Designated 

Amount by 

UPB

Mortgage loans held-for-investment $1,121,167 ($4,555) ($954) ($3,601) $60,742 $11,670 

Mortgage loans held-for-sale 113 1 — 1 — — 

Debt (152,962) 8,129 — 49 — — 

December 31, 2022

Carrying 

Amount 

Assets / 

(Liabilities)

Cumulative Amount of Fair Value Hedging Basis 

Adjustment Included in the Carrying Amount

Closed Portfolio Under the 

Portfolio Layer Method

(In millions) Total

Under the 

Portfolio Layer 

Method

Discontinued - 

Hedge Related

Total Amount 

by Amortized 

Cost Basis

Designated 

Amount by 

UPB

Mortgage loans held-for-investment $1,108,098 ($3,122) ($959) ($2,163) $79,070 $11,516 

Mortgage loans held-for-sale 67 1 — 1 — — 

Debt (142,511) 9,384 — 123 — — 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 8 

Freddie Mac 3Q 2023 Form 10-Q 77
NOTE 9

Collateralized Agreements and Offsetting Arrangements

Offsetting of Financial Assets and Liabilities

The table below presents offsetting and collateral information related to derivatives, securities purchased under agreements to 

resell, and securities sold under agreements to repurchase which are subject to enforceable master netting agreements or 

similar arrangements.

Table 9.1 - Offsetting and Collateral Information of Financial Assets and Liabilities

September 30, 2023

Gross

Amount

Recognized

Amount 

Offset in the Condensed

Consolidated

Balance Sheets

Net Amount

Presented in the 

Condensed 

Consolidated

Balance Sheets

Gross Amount

Not Offset in the 

Condensed  

Consolidated

Balance 

Sheets(2)

Net

(In millions) Amount

Counterparty 

Netting

Cash 

Collateral 

Netting(1)

Assets:

Derivatives:

OTC derivatives $7,521 ($5,215) ($1,890) $416 ($367) $49 

Cleared and exchange-traded derivatives 9 (9) 14 14 — 14 

Mortgage commitment derivatives 11 — — 11 — 11 

Other 2 — — 2 — 2 

Total derivatives 7,543 (5,224) (1,876) 443 (367) 76 

Securities purchased under agreements to resell 118,933 (3,772) — 115,161 (115,161) — 

Total $126,476 ($8,996) ($1,876) $115,604 ($115,528) $76 

Liabilities:

Derivatives:

OTC derivatives ($10,235) $5,215 $4,963 ($57) $34 ($23) 

Cleared and exchange-traded derivatives (78) 9 47 (22) 22 — 

Mortgage commitment derivatives (71) — — (71) 4 (67) 

Other (949) — — (949) — (949) 

Total derivatives (11,333) 5,224 5,010 (1,099) 60 (1,039) 

Securities sold under agreements to repurchase (4,795) 3,772 — (1,023) 1,023 — 

Total ($16,128) $8,996 $5,010 ($2,122) $1,083 ($1,039) 

 Referenced footnotes are included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 9

Freddie Mac 3Q 2023 Form 10-Q 78
December 31, 2022

Gross

Amount

Recognized

Amount 

Offset in the Condensed

Consolidated

Balance Sheets Net Amount

Presented in the 

Condensed 

Consolidated

Balance Sheets

Gross Amount

Not Offset in the 

Condensed  

Consolidated

Balance 

Sheets(2)

Net

(In millions) Amount

Counterparty 

Netting

Cash 

Collateral 

Netting(1)

Assets:

Derivatives:

OTC derivatives $6,385 ($4,468) ($1,681) $236 ($214) $22 

Cleared and exchange-traded derivatives 28 — 22 50 — 50 

Mortgage commitment derivatives 19 — — 19 (4) 15 

Other 2 — — 2 — 2 

Total derivatives 6,434 (4,468) (1,659) 307 (218) 89 

Securities purchased under agreements to resell 99,286 (11,991) — 87,295 (87,295) — 

Total $105,720 ($16,459) ($1,659) $87,602 ($87,513) $89 

Liabilities:

Derivatives:

OTC derivatives ($10,230) $4,468 $5,702 ($60) $23 ($37) 

Cleared and exchange-traded derivatives (25) — 17 (8) 8 — 

Mortgage commitment derivatives (11) — — (11) — (11) 

Other (679) — — (679) — (679) 

Total derivatives (10,945) 4,468 5,719 (758) 31 (727) 

Securities sold under agreements to repurchase (11,991) 11,991 — — — — 

Total ($22,936) $16,459 $5,719 ($758) $31 ($727) 

(1) Excess cash collateral held is presented as a derivative liability, while excess cash collateral posted is presented as a derivative asset.

(2) Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability, netted by counterparty, presented on 

the condensed consolidated balance sheets. For securities purchased under agreements to resell, includes $117.4 billion and $54.7 billion of collateral that we had 

the right to repledge as of September 30, 2023 and December 31, 2022, respectively. We repledged $0.1 billion and less than $0.1 billion of collateral as of 

September 30, 2023 and December 31, 2022, respectively.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 9

Freddie Mac 3Q 2023 Form 10-Q 79
Collateral Pledged

The table below summarizes the carrying value of the collateral pledged by us and recorded on our condensed consolidated 

balance sheets for derivatives and collateralized borrowing transactions, including securities that the secured party may 

repledge.

Table 9.2 - Collateral in the Form of Securities Pledged 

September 30, 2023

(In millions) Derivatives

Securities Sold 

Under 

Agreements to 

Repurchase Other(1) Total

Trading securities $1,849 $2,471 $2,860 $7,180 

Other assets — 936 — 936 

Total securities pledged $1,849 $3,407 $2,860 $8,116 

December 31, 2022

(In millions) Derivatives

Securities Sold 

Under 

Agreements to 

Repurchase Other(1) Total

Trading securities $1,533 $2,910 $1,347 $5,790 

Other assets — 6,543 — 6,543 

Total securities pledged $1,533 $9,453 $1,347 $12,333 

(1) Includes other collateralized borrowings and collateral related to transactions with certain clearinghouses.

The table below presents the remaining contractual maturity of our gross obligations for securities sold under agreements to 

repurchase. The collateral for such obligations consisted primarily of U.S. Treasury securities.

Table 9.3 - Remaining Contractual Maturity

September 30, 2023

(In millions)

Overnight and 

Continuous 30 Days or Less

After 30 Days 

Through 90 Days

Greater Than 90 

Days Total

Securities sold under agreements to repurchase $— $4,795 $— $— $4,795 

December 31, 2022

(In millions)

Overnight and 

Continuous 30 Days or Less

After 30 Days 

Through 90 Days

Greater Than 90 

Days Total

Securities sold under agreements to repurchase $— $11,991 $— $— $11,991 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 9

Freddie Mac 3Q 2023 Form 10-Q 80
NOTE 10

Net Interest Income

The table below presents the components of net interest income per our condensed consolidated statements of income and 

comprehensive income.

Table 10.1 - Components of Net Interest Income

(In millions) 3Q 2023 3Q 2022 YTD 2023 YTD 2022

Interest income:

Mortgage loans $24,525 $20,843 $71,427 $57,477 

Investment securities 427 416 1,106 1,264 

Other 1,847 635 5,008 901 

Total interest income 26,799 21,894 77,541 59,642 

Interest expense:

Debt of consolidated trusts (19,383) (16,166) (56,252) (44,010) 

Debt of Freddie Mac:

Short-term debt (191) (82) (593) (102) 

Long-term debt (2,476) (1,092) (6,923) (2,113) 

Total interest expense (22,050) (17,340) (63,768) (46,225) 

Net interest income 4,749 4,554 13,773 13,417 

(Provision) benefit for credit losses 263 (1,796) 405 (1,266) 

Net interest income after (provision) benefit for credit losses $5,012 $2,758 $14,178 $12,151 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 10

Freddie Mac 3Q 2023 Form 10-Q 81
NOTE 11

Segment Reporting

As shown in the table below, we have two reportable segments, Single-Family and Multifamily. 

Segment Description

Single-Family 

Reflects results from our purchase, securitization, and guarantee of single-family loans, our investments in single-family 

loans and mortgage-related securities, the management of Single-Family mortgage credit risk and market risk, and any 

results of our treasury function that are not allocated to each segment.

Multifamily Reflects results from our purchase, securitization, and guarantee of multifamily loans, our investments in multifamily loans 

and mortgage-related securities, and the management of Multifamily mortgage credit risk and market risk.

Segment Results

The table below presents the financial results for our Single-Family and Multifamily segments. 

Table 11.1 - Segment Financial Results

3Q 2023 3Q 2022

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

Net interest income $4,534 $215 $4,749 $4,363 $191 $4,554 

Non-interest income 

Guarantee income 25 276 301 16 109 125 

Investment gains, net 314 241 555 (13) 428 415 

Other income 54 31 85 55 32 87 

Non-interest income 393 548 941 58 569 627 

Net revenues 4,927 763 5,690 4,421 760 5,181 

(Provision) benefit for credit losses 304 (41) 263 (1,784) (12) (1,796) 

Non-interest expense (2,310) (266) (2,576) (1,653) (172) (1,825) 

Income before income tax expense 2,921 456 3,377 984 576 1,560 

Income tax expense (598) (94) (692) (141) (106) (247) 

Net income 2,323 362 2,685 843 470 1,313 

Other comprehensive income (loss), net 

of taxes and reclassification adjustments (6) 25 19 (39) (142) (181) 

Comprehensive income $2,317 $387 $2,704 $804 $328 $1,132 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 11

Freddie Mac 3Q 2023 Form 10-Q 82
YTD 2023 YTD 2022

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

Net interest income $13,125 $648 $13,773 $12,704 $713 $13,417 

Non-interest income 

Guarantee income 73 1,003 1,076 81 319 400 

Investment gains, net 131 610 741 1,471 778 2,249 

Other income 161 105 266 250 115 365 

Non-interest income 365 1,718 2,083 1,802 1,212 3,014 

Net revenues 13,490 2,366 15,856 14,506 1,925 16,431 

(Provision) benefit for credit losses 624 (219) 405 (1,251) (15) (1,266) 

Non-interest expense (6,121) (591) (6,712) (5,285) (492) (5,777) 

Income before income tax expense 7,993 1,556 9,549 7,970 1,418 9,388 

Income tax expense (1,612) (313) (1,925) (1,548) (276) (1,824) 

Net income 6,381 1,243 7,624 6,422 1,142 7,564 

Other comprehensive income (loss), net of 

taxes and reclassification adjustments (5) 24 19 (46) (321) (367) 

Comprehensive income $6,376 $1,267 $7,643 $6,376 $821 $7,197 

The table below presents total assets for our Single-Family and Multifamily segments.

Table 11.2 - Segment Assets

(In millions) September 30, 2023 December 31, 2022

Single-Family $3,024,041 $2,986,045 

Multifamily 431,954 429,302 

Total segment assets 3,455,995 3,415,347 

Reconciling items(1) (184,354) (207,014) 

Total assets per condensed consolidated balance sheets $3,271,641 $3,208,333 

(1) Reconciling items include assets in our mortgage portfolio that are not recognized on our condensed consolidated balance sheets and assets recognized on our 

condensed consolidated balance sheets that are not allocated to the reportable segments. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 11

Freddie Mac 3Q 2023 Form 10-Q 83
NOTE 12

Concentration of Credit and Other Risks

Single-Family Mortgage Portfolio

The table below summarizes the concentration by geographic area of our Single-Family mortgage portfolio. See Note 2, Note 

3, and Note 5 for more information about credit risk associated with single-family loans that we hold or guarantee.

Table 12.1 - Concentration of Credit Risk of Our Single-Family Mortgage Portfolio

September 30, 2023 December 31, 2022

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

Region:(2)

West $909,446 30 % 0.42 % $906,123 30 % 0.49 %

Northeast 700,588 23 0.67 695,944 23 0.82 

North Central 440,267 15 0.55 436,294 15 0.65 

Southeast 525,738 17 0.57 512,495 17 0.73 

Southwest 447,743 15 0.53 434,907 15 0.63 

Total $3,023,782 100 % 0.55 $2,985,763 100 % 0.66 

State:

California $515,379 17 % 0.42 $516,891 17 % 0.51 

Texas 210,211 7 0.55 200,807 7 0.64 

Florida 197,812 7 0.65 191,009 6 0.84 

New York 131,289 4 1.00 129,935 4 1.16 

Illinois 113,365 4 0.71 112,784 4 0.90 

All other 1,855,726 61 0.52 1,834,337 62 0.63 

Total $3,023,782 100 % 0.55 $2,985,763 100 % 0.66 

(1) Excludes UPB of loans underlying certain securitization products for which data was not available.

(2) Region designation: West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA); Northeast (CT, DE, DC, MA, ME, MD, NH, NJ, NY, PA, RI, VT, VA, WV); North Central (IL, IN, IA, 

MI, MN, ND, OH, SD, WI); Southeast (AL, FL, GA, KY, MS, NC, PR, SC, TN, VI); Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY).

Multifamily Mortgage Portfolio

The table below summarizes the concentration by geographic area of our Multifamily mortgage portfolio. See Note 2, Note 3, 

Note 4, and Note 5 for more information about credit risk associated with multifamily loans that we hold or guarantee.

Table 12.2 - Concentration of Credit Risk of Our Multifamily Mortgage Portfolio 

September 30, 2023 December 31, 2022

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

Region(2)(3):

 West $108,123 25 % 0.15 % $107,260 25 % 0.04 %

 Northeast 105,213 24 0.52 106,478 25 0.28 

 North Central 41,638 10 0.39 40,524 9 0.16 

 Southeast 86,713 20 0.05 85,438 20 0.04 

 Southwest 90,267 21 0.15 89,602 21 0.08 

Total $431,954 100 % 0.24 $429,302 100 % 0.12 

(1) Based on loans two monthly payments or more delinquent or in foreclosure.

(2) Region designation: West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA); Northeast (CT, DE, DC, MA, ME, MD, NH, NJ, NY, PA, RI, VT, VA, WV); North Central (IL, IN, IA, 

MI, MN, ND, OH, SD, WI); Southeast (AL, FL, GA, KY, MS, NC, PR, SC, TN, VI); Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY). 

(3) The UPB of loans collateralized by properties located in multiple regions are reported entirely in the region with the largest underlying collateral UPB as of origination.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 12

Freddie Mac 3Q 2023 Form 10-Q 84
NOTE 13

Fair Value Disclosures

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.

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The table below presents our assets and liabilities measured on our condensed consolidated balance sheets at fair value on a 

recurring basis subsequent to initial recognition, including instruments where we have elected the fair value option.

Table 13.1 - Assets and Liabilities Measured at Fair Value on a Recurring Basis 

September 30, 2023

(In millions) Level 1 Level 2 Level 3

Netting 

Adjustments(1) Total

Assets:

Investment securities:

Available-for-sale $— $4,704 $691 $— $5,395 

Trading:

Mortgage-related securities — 5,828 2,752 — 8,580 

Non-mortgage-related securities 25,008 460 — — 25,468 

Total trading securities 25,008 6,288 2,752 — 34,048 

Total investment securities 25,008 10,992 3,443 — 39,443 

Mortgage loans held-for-sale — 7,113 958 — 8,071 

Mortgage loans held-for-investment — 1,152 157 — 1,309 

Other assets:

 Guarantee assets — — 5,195 — 5,195 

 Derivative assets, net 9 7,531 2 (7,099) 443 

 Other assets — 12 148 — 160 

 Total other assets 9 7,543 5,345 (7,099) 5,798 

Total assets carried at fair value on a recurring basis $25,017 $26,800 $9,903 ($7,099) $54,621 

Liabilities:

Debt:

Debt of consolidated trusts $— $1,685 $338 $— $2,023 

Debt of Freddie Mac — 482 92 — 574 

Total debt — 2,167 430 — 2,597 

Other liabilities:

Derivative liabilities, net 1 11,071 108 (10,081) 1,099 

Other liabilities — 22 7 — 29 

 Total other liabilities 1 11,093 115 (10,081) 1,128 

Total liabilities carried at fair value on a recurring basis $1 $13,260 $545 ($10,081) $3,725 

Referenced footnote is included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 3Q 2023 Form 10-Q 85
December 31, 2022

(In millions) Level 1 Level 2 Level 3

Netting 

Adjustments(1) Total

Assets:

Investment securities:

Available-for-sale $— $5,640 $894 $— $6,534 

Trading:

Mortgage-related securities — 5,603 2,731 — 8,334 

Non-mortgage-related securities 23,453 380 — — 23,833 

Total trading securities 23,453 5,983 2,731 — 32,167 

Total investment securities 23,453 11,623 3,625 — 38,701 

Mortgage loans held-for-sale — 2,908 310 — 3,218 

Mortgage loans held-for-investment — 1,104 110 — 1,214 

Other assets:

 Guarantee assets — — 5,442 — 5,442 

 Derivative assets, net — 6,397 2 (6,092) 307 

 Other assets — 12 129 — 141 

 Total other assets — 6,409 5,573 (6,092) 5,890 

Total assets carried at fair value on a recurring basis $23,453 $22,044 $9,618 ($6,092) $49,023 

Liabilities:

Debt:

Debt of consolidated trusts $— $1,656 $288 $— $1,944 

Debt of Freddie Mac — 1,003 100 — 1,103 

Total debt — 2,659 388 — 3,047 

Other liabilities:

 Derivative liabilities, net — 10,823 97 (10,162) 758 

 Other liabilities — 1 — — 1 

 Total other liabilities — 10,824 97 (10,162) 759 

 Total liabilities carried at fair value on a recurring basis $— $13,483 $485 ($10,162) $3,806 

(1) Represents counterparty netting and cash collateral netting.

Level 3 Fair Value Measurements

The table below presents a reconciliation of all assets and liabilities measured on our condensed consolidated balance sheets 

at fair value on a recurring basis using significant unobservable inputs (Level 3), including transfers into and out of Level 3. The 

table also presents gains and losses due to changes in fair value, including both realized and unrealized gains and losses, 

recognized on our condensed consolidated statements of income for Level 3 assets and liabilities.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 3Q 2023 Form 10-Q 86
Table 13.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs 

3Q 2023

Balance,

July 1,

2023

Total Realized/Unrealized 

Gains/Losses(1)

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3

Transfers

out of

Level 3

Balance,

September 

30,

2023

Change in 

Unrealized 

Gains/Losses(1)

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2023(2)

Change in 

Unrealized 

Gains/Losses(1), 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

(In millions) 2023

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Assets

Investment securities:

Available-for-sale $790 $— ($15) $— $— $— ($43) $— ($41) $691 $— ($12) 

Trading 2,561 (141) — 348 — — (16) — — 2,752 20 — 

Total investment 

securities 3,351 (141) (15) 348 — — (59) — (41) 3,443 20 (12) 

Mortgage loans held-forsale 881 (1) — 814 — (723) (13) — — 958 (4) — 

Mortgage loans held-forinvestment 170 (2) — — — — (5) — (6) 157 (12) — 

Other assets:

Guarantee assets 5,323 (89) — — 179 — (218) — — 5,195 (89) — 

Other assets 159 — — (5) 4 (4) (4) — — 150 — — 

Total other assets 5,482 (89) — (5) 183 (4) (222) — — 5,345 (89) — 

Total assets $9,884 ($233) ($15) $1,157 $183 ($727) ($299) $— ($47) $9,903 ($85) ($12) 

Liabilities

Debt $374 $1 $— $— $55 $— $— $— $— $430 $8 $— 

Other liabilities 99 47 — — — — (31) — — 115 24 — 

Total liabilities $473 $48 $— $— $55 $— ($31) $— $— $545 $32 $— 

YTD 2023

Balance,

January 1,

2023

Total Realized/Unrealized 

Gains/Losses(1)

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3

Transfers

out of

Level 3

Balance,

September 

30,

2023

Change in 

Unrealized 

Gains/Losses(1)

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2023(2)

Change in 

Unrealized 

Gains/Losses(1), 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

(In millions) 2023

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Assets

Investment securities:

Available-for-sale $894 $1 ($23) $— $— $— ($139) $— ($42) $691 $— ($18) 

Trading 2,731 (470) — 531 — — (40) — — 2,752 30 — 

Total investment 

securities 3,625 (469) (23) 531 — — (179) — (42) 3,443 30 (18) 

Mortgage loans held-forsale 310 (30) — 1,567 — (723) (24) 12 (154) 958 (4) — 

Mortgage loans held-forinvestment 110 (13) — — — — (11) 142 (71) 157 (12) — 

Other assets:

Guarantee assets 5,442 (82) — — 498 — (663) — — 5,195 (82) — 

Other assets 131 55 — (23) 7 (4) (16) — — 150 54 — 

Total other assets 5,573 (27) — (23) 505 (4) (679) — — 5,345 (28) — 

Total assets $9,618 ($539) ($23) $2,075 $505 ($727) ($893) $154 ($267) $9,903 ($14) ($18) 

Liabilities

Debt $388 ($18) $— $66 $— $— ($6) $— $— $430 ($1) $— 

Other liabilities 97 51 — — — — (33) — — 115 18 — 

Total liabilities $485 $33 $— $66 $— $— ($39) $— $— $545 $17 $— 

Referenced footnote is included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 3Q 2023 Form 10-Q 87
3Q 2022

Balance,

July 1,

2022

Total Realized/Unrealized 

Gains/Losses(1)

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3

Transfers

out of

Level 3

Balance,

September 

30,

2022

Change in 

Unrealized 

Gains/Losses(1)

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2022(2)

Change in 

Unrealized 

Gains/Losses(1), 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

(In millions) 2022

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Assets

Investment securities:

Available-for-sale $1,124 $30 ($55) $169 $— ($120) ($46) $— $— $1,102 $— ($11) 

Trading 3,319 (334) — 260 — — (122) — (265) 2,858 (154) — 

Total investment 

securities 4,443 (304) (55) 429 — (120) (168) — (265) 3,960 (154) (11) 

Mortgage loans held-forsale 339 (42) — — — (36) (1) 52 — 312 (42) — 

Other assets:

Guarantee assets 5,649 (264) — — 272 — (225) — — 5,432 (264) — 

Other assets 132 9 — (6) 3 (3) (8) — — 127 9 — 

Total other assets 5,781 (255) — (6) 275 (3) (233) — — 5,559 (255) — 

Total assets $10,563 ($601) ($55) $423 $275 ($159) ($402) $52 ($265) $9,831 ($451) ($11) 

Liabilities

Debt $457 ($18) $— ($14) $6 $— ($50) $— $— $381 ($7) $— 

Other liabilities 58 47 — — — — (1) — — 104 46 — 

Total liabilities $515 $29 $— ($14) $6 $— ($51) $— $— $485 $39 $— 

YTD 2022

Balance,

January 1,

2022

Total Realized/Unrealized 

Gains/Losses(1)

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3

Transfers

out of

Level 3

Balance,

September 

30,

2022

Change in 

Unrealized 

Gains/Losses(1)

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

2022(2)

Change in 

Unrealized 

Gains/Losses(1), 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of 

September 30, 

(In millions) 2022

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Assets

Investment securities:

Available-for-sale $1,286 $30 ($98) $168 $— ($78) ($236) $30 $— $1,102 ($1) ($38) 

Trading 3,386 (993) — 641 — — (156) — (20) 2,858 (468) — 

Total investment 

securities 4,672 (963) (98) 809 — (78) (392) 30 (20) 3,960 (469) (38) 

Mortgage loans heldfor-sale — (56) — — — (41) (25) 434 — 312 (56) — 

Other assets: — 

Guarantee assets 5,919 (774) — — 980 — (693) — — 5,432 (774) — 

Other assets 101 58 — (15) 11 (8) (20) — — 127 58 — 

Total other assets 6,020 (716) — (15) 991 (8) (713) — — 5,559 (716) — 

Total assets $10,692 ($1,735) ($98) $794 $991 ($127) ($1,130) $464 ($20) $9,831 ($1,241) ($38) 

Liabilities

Debt $294 $18 $— ($21) $148 $— ($58) $— $— $381 $48 $— 

Other liabilities 24 85 — 1 — — (6) — — 104 81 — 

Total liabilities $318 $103 $— ($20) $148 $— ($64) $— $— $485 $129 $— 

(1) For assets, increase and decrease in earnings and other comprehensive income is shown as gains and (losses), respectively. For liabilities, increase and decrease in 

earnings and comprehensive income is shown as (gains) and losses, respectively.

(2) Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains and losses related to assets and 

liabilities classified as Level 3 that were still held at September 30, 2023 and September 30, 2022. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 3Q 2023 Form 10-Q 88
The table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 

3 assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis.

Table 13.3 - Quantitative Information about Recurring Level 3 Fair Value Measurements 

September 30, 2023

Level 3

Fair

Value

Predominant

Valuation

Technique(s)

Unobservable Inputs

(Dollars in millions, except for certain unobservable 

inputs as shown) Type Range

Weighted

Average(1)

Assets

Investment securities:

 Available-for-sale $493 Median of external sources External pricing sources $59.8 - $71.1 $65.6 

 198 Other

 Trading 1,972 Single external source External pricing source $0.0 - $4,677.2 $165.5 

 780 Other

Mortgage loans held-for-sale 958 Single external source External pricing source $46.5 - $100.3 $92.5 

Mortgage loans held-for-investment 157 Single external source External pricing source $26.7 - $98.4 $74.1 

Guarantee assets 4,858 Discounted cash flows OAS 17 - 233 bps 46 bps

 337 Other

Insignificant Level 3 assets(2) 150 

Total level 3 assets $9,903 

Liabilities

Insignificant Level 3 liabilities(2) 545 

Total level 3 liabilities $545 

December 31, 2022

Level 3

Fair

Value

Predominant

Valuation

Technique(s)

Unobservable Inputs

(Dollars in millions, except for certain unobservable 

inputs as shown)

Type Range

Weighted

Average(1)

Assets

Investment securities:

 Available-for-sale $557 Median of external sources External pricing sources $66.3 - $74.6 $70.5 

 337 Other

 Trading 2,080 Single external source External pricing source $0.0 - $5,702.4 $224.8 

 651 Other

Mortgage loans held-for-sale 310 Single external source External pricing source $39.6 - $98.1 $76.6 

Mortgage loans held-for-investment 110 Single external source External pricing source $76.9 - $87.5 $80.6 

 Guarantee assets 5,084 Discounted cash flows OAS 17 - 186 bps 45 bps

 358 Other

 Insignificant Level 3 assets(2) 131 

Total level 3 assets $9,618 

Liabilities

Insignificant Level 3 liabilities(2) 485 

Total level 3 liabilities $485 

(1) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments.

(2) Represents the aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 3Q 2023 Form 10-Q 89
Assets Measured at Fair Value on a Non-Recurring Basis

We may be required, from time to time, to measure certain assets at fair value on a non-recurring basis. These adjustments 

usually result from the application of lower-of-cost-or-fair-value accounting or measurement of impairment based on the fair 

value of the underlying collateral. Certain fair values in the tables below were not obtained as of period end, but were obtained 

during the period.

The table below presents assets measured on our condensed consolidated balance sheets at fair value on a non-recurring 

basis. 

Table 13.4 - Assets Measured at Fair Value on a Non-Recurring Basis 

September 30, 2023 December 31, 2022

(In millions) Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total

Mortgage loans(1) $— $463 $2,260 $2,723 $— $386 $1,758 $2,144 

(1) Includes loans that are classified as held-for-investment and have an allowance for credit losses based on the fair value of the underlying collateral and held-for-sale 

loans where the fair value is below cost.

The table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 

3 assets measured on our condensed consolidated balance sheets at fair value on a non-recurring basis.

Table 13.5 - Quantitative Information About Non-Recurring Level 3 Fair Value Measurements 

September 30, 2023

Level 3

Fair

Value

Predominant

Valuation

Technique(s)

Unobservable Inputs

(Dollars in millions, except for 

unobservable inputs as shown) Type Range

Weighted

Average(1)

Mortgage loans $1,827 Median of external sources External pricing sources $71.8 - $99.0 $80.9

433 Other

Total $2,260 

December 31, 2022

Level 3

Fair

Value

Predominant

Valuation

Technique(s)

Unobservable Inputs

(Dollars in millions, except for 

unobservable inputs as shown) Type Range

Weighted

Average(1)

Mortgage loans $1,657 Median of external sources External pricing sources $74.8 - $98.6 $86.3

101 Other

Total $1,758 

(1) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 3Q 2023 Form 10-Q 90
Fair Value of Financial Instruments

The table below presents the carrying value and estimated fair value of our financial instruments. For certain types of financial 

instruments, such as cash and cash equivalents, securities purchased under agreements to resell, and certain debt, the 

carrying value on our condensed consolidated balance sheets approximates fair value, as these assets and liabilities are shortterm in nature and have limited fair value volatility. 

Table 13.6 - Fair Value of Financial Instruments

September 30, 2023

GAAP 

Measurement 

Category(1)

Carrying  

Amount

Fair Value

(In millions) Level 1 Level 2 Level 3

Netting 

Adjustments(2) Total

Financial Assets

Cash and cash equivalents Amortized cost $5,354 $5,354 $— $— $— $5,354 

Securities purchased under agreements 

to resell Amortized cost 115,161 — 118,933 — (3,772) 115,161 

Investment securities:

Available-for-sale FV - OCI 5,395 — 4,704 691 — 5,395 

Trading FV - NI 34,048 25,008 6,288 2,752 — 34,048 

Total investment securities 39,443 25,008 10,992 3,443 — 39,443 

Mortgage loans:

Loans held by consolidated trusts 3,019,212 — 2,288,567 212,407 — 2,500,974 

Loans held by Freddie Mac 56,469 — 22,064 28,862 — 50,926 

Total mortgage loans(3) Various(4) 3,075,681 — 2,310,631 241,269 — 2,551,900 

Other assets:

Guarantee assets FV - NI 5,195 — — 5,198 — 5,198 

Derivative assets, net FV - NI 443 9 7,531 2 (7,099) 443 

Other assets(5) Various 3,363 — 896 2,472 — 3,368 

 Total other assets 9,001 9 8,427 7,672 (7,099) 9,009 

Total financial assets $3,244,640 $30,371 $2,448,983 $252,384 ($10,871) $2,720,867 

Financial Liabilities

Debt:

Debt of consolidated trusts $3,027,175 $— $2,494,510 $724 $— $2,495,234 

Debt of Freddie Mac 174,922 — 175,363 3,132 (3,772) 174,723 

Total debt Various(6) 3,202,097 — 2,669,873 3,856 (3,772) 2,669,957 

Other liabilities:

Guarantee obligations Amortized cost 5,473 — 105 5,824 — 5,929 

Derivative liabilities, net FV - NI 1,099 1 11,071 108 (10,081) 1,099 

Other liabilities(5) FV - NI 44 — 1,185 282 — 1,467 

 Total other liabilities 6,616 1 12,361 6,214 (10,081) 8,495 

Total financial liabilities $3,208,713 $1 $2,682,234 $10,070 ($13,853) $2,678,452 

Referenced footnotes are included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 3Q 2023 Form 10-Q 91
December 31, 2022

GAAP 

Measurement 

Category(1)

Carrying  

Amount

Fair Value

(In millions) Level 1 Level 2 Level 3

Netting 

Adjustments(2) Total

Financial Assets

Cash and cash equivalents Amortized cost $6,360 $6,360 $— $— $— $6,360 

Securities purchased under agreements 

to resell Amortized cost 87,295 — 99,286 — (11,991) 87,295 

Investment securities:

Available-for-sale FV - OCI 6,534 — 5,640 894 — 6,534 

Trading FV - NI 32,167 23,453 5,983 2,731 — 32,167 

Total investment securities 38,701 23,453 11,623 3,625 — 38,701 

Mortgage loans:

Loans held by consolidated trusts 2,971,601 — 2,331,969 244,045 — 2,576,014 

Loans held by Freddie Mac 62,914 — 25,921 32,460 — 58,381 

Total mortgage loans Various(4) 3,034,515 — 2,357,890 276,505 — 2,634,395 

Other assets:

Guarantee assets FV - NI 5,442 — — 5,445 — 5,445 

Derivative assets, net FV - NI 307 — 6,397 2 (6,092) 307 

Other assets(5) Various 1,739 — 907 835 — 1,742 

 Total other assets 7,488 — 7,304 6,282 (6,092) 7,494 

Total financial assets $3,174,359 $29,813 $2,476,103 $286,412 ($18,083) $2,774,245 

Financial Liabilities

Debt:

Debt of consolidated trusts $2,979,070 $— $2,564,323 $701 $— $2,565,024 

Debt of Freddie Mac 166,762 — 175,673 3,162 (11,991) 166,844 

Total debt Various(6) 3,145,832 — 2,739,996 3,863 (11,991) 2,731,868 

Other liabilities:

Guarantee obligations Amortized cost 5,779 — — 6,016 — 6,016 

Derivative liabilities, net FV - NI 758 — 10,823 97 (10,162) 758 

Other liabilities(5) FV - NI 20 — 1,025 211 — 1,236 

 Total other liabilities 6,557 — 11,848 6,324 (10,162) 8,010 

Total financial liabilities $3,152,389 $— $2,751,844 $10,187 ($22,153) $2,739,878 

(1) FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income.

(2) Represents counterparty netting and cash collateral netting.

(3) Excludes basis adjustments maintained on a closed portfolio basis related to existing portfolio layer method hedge relationships as of September 30, 2023. See Note 

3 for additional information on basis adjustments associated with closed portfolios during existing portfolio layer method hedges.

(4) The GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $3.1 trillion, $5.8 billion, and $9.4 billion as of 

September 30, 2023, respectively, and $3.0 trillion, $9.0 billion and $4.4 billion as of December 31, 2022, respectively.

(5) For other assets, includes advances to lenders, secured lending, and loan commitments. For other liabilities, includes loan commitments.

(6) The GAAP carrying amounts measured at amortized cost and FV - NI were $3.2 trillion and $2.6 billion as of September 30, 2023, respectively, and $3.1 trillion and 

$3.0 billion as of December 31, 2022, respectively.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 3Q 2023 Form 10-Q 92
Fair Value Option

We elected the fair value option for certain mortgage loans and loan commitments and certain debt issuances.

The table below presents the fair value and UPB related to items for which we have elected the fair value option.

Table 13.7 - Difference between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected(1)

September 30, 2023 December 31, 2022

(In millions) Fair value UPB Difference Fair value UPB Difference

Mortgage loans held-for-sale $8,071 $8,403 ($332) $3,218 $3,421 ($203) 

Mortgage loans held-for-investment 1,309 1,537 (228) 1,214 1,368 (154) 

Debt of Freddie Mac 371 364 7 892 881 11 

Debt of consolidated trusts 1,684 1,889 (205) 1,656 1,833 (177) 

Other assets (other liabilities) (18) N/A N/A 11 N/A N/A

(1) Excludes interest-only securities related to debt of consolidated trusts and debt of Freddie Mac with a fair value of $0.5 billion as of both September 30, 2023 and 

December 31, 2022.

Changes in Fair Value Under the Fair Value Option Election

The table below presents the changes in fair value related to items for which we have elected the fair value option. These 

amounts are included in investment gains, net, on our condensed consolidated statements of income.

Table 13.8 - Changes in Fair Value Under the Fair Value Option Election

3Q 2023 3Q 2022 YTD 2023 YTD 2022

(In millions) Gains (Losses) Gains (Losses) 

Mortgage loans held-for-sale ($256) ($333) ($379) ($1,282) 

Mortgage loans held-for-investment (20) — (24) — 

Debt of Freddie Mac (6) (18) 13 (44) 

Debt of consolidated trusts 35 182 35 425 

Other assets/other liabilities (7) (86) 47 (292) 

Changes in fair value attributable to instrument-specific credit risk were not material for the periods presented for assets or 

liabilities for which we elected the fair value option.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 3Q 2023 Form 10-Q 93
NOTE 14

Legal Contingencies

We are involved, directly or indirectly, in a variety of legal and regulatory proceedings arising from time to time in the ordinary 

course of business (including, among other things, contractual disputes, personal injury claims, employment-related litigation, 

and other legal proceedings incidental to our business) and in connection with the conservatorship and Purchase Agreement. 

We are frequently involved, directly or indirectly, in litigation involving mortgage foreclosures. From time to time, we are also 

involved in proceedings arising from our termination of a seller's or servicer's eligibility to sell loans to, and/or service loans for, 

us. In these cases, the former seller or servicer sometimes seeks damages against us for wrongful termination under a variety 

of legal theories. In addition, we are sometimes sued in connection with the origination or servicing of loans. These suits 

typically involve claims alleging wrongful actions of sellers and servicers. Our contracts with our sellers and servicers generally 

provide for indemnification of Freddie Mac against liability arising from sellers' and servicers' wrongful actions with respect to 

loans sold to or serviced for Freddie Mac.

Litigation claims and proceedings of all types are subject to many uncertainties (including appeals and procedural filings), and 

there can be no assurance as to the ultimate outcome of those actions (including the matters described below). In accordance 

with the accounting guidance for contingencies, we reserve for litigation claims and assessments asserted or threatened 

against us when a loss is probable (as defined in such guidance) and the amount of the loss can be reasonably estimated. The 

actual costs of resolving legal actions may be substantially higher or lower than the amounts accrued for those actions.

It is not possible for us to predict the actions the U.S. government (including Treasury and FHFA) might take in response to any 

ruling or finding in any of these lawsuits or any future lawsuits. However, it is possible that we could be adversely affected by 

these events, including, for example, by changes to the Purchase Agreement, or any resulting actual or perceived changes in 

the level of U.S. government support for our business. 

Putative Securities Class Action Lawsuit: Ohio Public Employees 

Retirement System vs. Freddie Mac, Syron, Et Al.

This putative securities class action lawsuit was filed against Freddie Mac and certain former officers on January 18, 2008 in the 

U.S. District Court for the Northern District of Ohio purportedly on behalf of a class of purchasers of Freddie Mac stock from 

August 1, 2006 through November 20, 2007. FHFA later intervened as Conservator, and the plaintiff amended its complaint on 

several occasions. The plaintiff alleged, among other things, that the defendants violated federal securities laws by making false 

and misleading statements concerning our business, risk management, and the procedures we put into place to protect the 

company from problems in the mortgage industry. The plaintiff seeks unspecified damages and interest, and reasonable costs 

and expenses, including attorney and expert fees.

In August 2018, the District Court denied the plaintiff's motion for class certification. On April 6, 2023, the Sixth Circuit reversed 

the District Court's September 17, 2020 decision to grant the plaintiff's request for summary judgment and enter final judgment 

in favor of Freddie Mac and other defendants. The Sixth Circuit remanded the case to the District Court for further proceedings. 

The District Court scheduled the trial to begin on October 21, 2024.

Litigation Concerning the Purchase Agreement in the U.S. District Court 

for the District of Columbia

In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations. This is a 

consolidated class action lawsuit filed by private individual and institutional investors (collectively, "Class Plaintiffs") against 

FHFA, Fannie Mae, and Freddie Mac. 

Fairholme Funds, Inc., et al. v. FHFA, et al. This is an individual plaintiffs’ lawsuit by certain institutional investors (“Individual 

Plaintiffs”) against FHFA, Fannie Mae, and Freddie Mac. 

Plaintiffs in each of the District of Columbia lawsuits filed an amended complaint on November 1, 2017 alleging claims for 

breach of contract, breach of the implied covenant of good faith and fair dealing, breach of fiduciary duties, and violation of 

Delaware and Virginia corporate law. Additionally, the Class Plaintiffs brought derivative claims against FHFA for breach of 

fiduciary duties and the Individual Plaintiffs brought claims under the Administrative Procedure Act. Both sets of claims are 

generally based on allegations that the net worth sweep dividend provisions of the senior preferred stock that were 

implemented pursuant to the August 2012 amendments nullified certain of the shareholders’ rights, including the rights to 

receive dividends and a liquidation preference. On September 28, 2018, the District Court dismissed all of the claims except 

those for breach of the implied covenant of good faith and fair dealing. The cases were consolidated for trial. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 14

Freddie Mac 3Q 2023 Form 10-Q 94
Court rulings have limited the Plaintiffs’ damages theories to those based on the decline in Freddie Mac’s and Fannie Mae’s 

share value immediately after the Third Amendment. The Plaintiffs have asserted losses based on the decline in value of 

Freddie Mac’s common and junior preferred stock from August 16 to August 17, 2012. During the trial in October and early 

November 2022, the Plaintiffs requested that the jury award $832 million plus pre-judgment interest as damages against 

Freddie Mac. The jury in that trial was not able to reach a unanimous verdict and on November 7, 2022 the judge declared a 

mistrial. The retrial started on July 24, 2023. On August 14, 2023, the jury returned a verdict against FHFA, Fannie Mae, and 

Freddie Mac awarding compensatory damages of $282 million to Freddie Mac junior preferred shareholders and $31 million to 

Freddie Mac common shareholders. The jury declined to award the Freddie Mac shareholders prejudgment interest. In 3Q 

2023, we recorded a $313 million accrual in other expense on our condensed consolidated statements of income for the 

adverse judgment.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 14

Freddie Mac 3Q 2023 Form 10-Q 95
NOTE 15

Regulatory Capital

ERCF 

The table below presents our capital metrics under the ERCF. 

Table 15.1 - ERCF Available Capital and Capital Requirements 

(In billions) September 30, 2023 December 31, 2022

Adjusted total assets $3,758 $3,710 

Risk-weighted assets (standardized approach) 973 899 

September 30, 2023

Amounts Ratios

(Dollars in billions)

Available 

Capital (Deficit)

Minimum 

Capital 

Requirement

Capital 

Requirement 

(Including Buffer(1))

Available 

Capital 

(Deficit) 

Ratio(2)

Minimum 

Capital 

Requirement 

Ratio(2)

Capital 

Requirement 

Ratio(2)

(Including 

Buffer(1))

Risk-based capital:

Total capital ($21) $78 $78 (2.1) % 8.0 % 8.0 %

CET1 capital (47) 44 95 (4.8) 4.5 9.7 

Tier 1 capital (33) 58 109 (3.4) 6.0 11.2 

Adjusted total capital (33) 78 129 (3.4) 8.0 13.2 

Leverage capital:

Core capital ($28) $94 $94 (0.7) % 2.5 % 2.5 %

Tier 1 capital (33) 94 105 (0.9) 2.5 2.8 

December 31, 2022

Amounts Ratios

(Dollars in billions)

Available 

Capital (Deficit)

Minimum 

Capital 

Requirement

Capital 

Requirement 

(Including Buffer(1))

Available 

Capital 

(Deficit) 

Ratio(2)

Minimum 

Capital 

Requirement 

Ratio(2)

Capital 

Requirement 

Ratio(2)

(Including 

Buffer(1))

Risk-based capital:

Total capital ($27) $72 $72 (3.1) % 8.0 % 8.0 %

CET1 capital (55) 40 90 (6.2) 4.5 10.1 

Tier 1 capital (41) 54 104 (4.6) 6.0 11.6 

Adjusted total capital (41) 72 122 (4.6) 8.0 13.6 

Leverage capital:

Core capital ($35) $93 $93 (1.0) % 2.5 % 2.5 %

Tier 1 capital (41) 93 104 (1.1) 2.5 2.8 

(1) PCCBA for risk-based capital and PLBA for leverage capital.

(2) As a percentage of RWA for risk-based capital and ATA for leverage capital.

END OF CONDENSED CONSOLIDATED FINANCIAL STATEMENTS AND ACCOMPANYING NOTES

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 15

Freddie Mac 3Q 2023 Form 10-Q 96
Other Information

LEGAL PROCEEDINGS 

We are involved, directly or indirectly, in a variety of legal proceedings arising from time to time in the ordinary course of 

business and in connection with the conservatorship and Purchase Agreement. See Note 14 for more information regarding 

our involvement as a party to various legal proceedings, including those in connection with the conservatorship and Purchase 

Agreement. 

Over the last several years, numerous lawsuits have been filed against the U.S. government and, in some cases, the Secretary 

of the Treasury and the Director of FHFA, challenging certain government actions related to the conservatorship (including 

actions taken in connection with the imposition of conservatorship) and the Purchase Agreement. Freddie Mac is not a party to 

all of these lawsuits. Several of the lawsuits seek to invalidate the net worth sweep dividend provisions of the senior preferred 

stock, which were implemented pursuant to the August 2012 amendment to the Purchase Agreement. Some of these cases 

also have challenged the constitutionality of the structure of FHFA. A number of cases have been dismissed (some of which 

have been appealed), and others remain pending. 

These cases include one that was filed in the U.S. Court of Federal Claims as a derivative lawsuit, purportedly on behalf of 

Freddie Mac as a “nominal” defendant: Reid and Fisher vs. the United States of America and Federal Home Loan Mortgage 

Corporation. This case was filed on February 26, 2014. The complaint alleges, among other items, that the net worth sweep 

dividend provisions of the senior preferred stock constitute an unlawful taking of private property for public use without just 

compensation. The plaintiffs ask that Freddie Mac be awarded just compensation for the U.S. government's alleged taking of 

its property, attorneys' fees, costs, and other expenses. The Court dismissed the case with prejudice on September 1, 2023 

and entered judgment for the defendants.

Pursuant to the Purchase Agreement, in addition to satisfying other conditions, all currently pending material litigation related to 

our conservatorship and/or the Purchase Agreement must be resolved or settled and we must indemnify Treasury and the 

United States from and against any loss, cost, or damage of any kind arising out of our placement into conservatorship or the 

August 2012 amendment to the Purchase Agreement in order to exit from conservatorship. 

RISK FACTORS 

This Form 10-Q should be read together with the Risk Factors section in our 2022 Annual Report, which describe various 

risks and uncertainties to which we are or may become subject. These risks and uncertainties could, directly or indirectly, 

adversely affect our business, financial condition, results of operations, cash flows, strategies, and/or prospects.

UNREGISTERED SALES OF EQUITY SECURITIES AND 

USE OF PROCEEDS

Recent Sales of Unregistered Securities

The securities we issue are "exempted securities" under the Securities Act of 1933, as amended. As a result, we do not file 

registration statements with the SEC with respect to offerings of our securities.

Following our entry into conservatorship, we suspended the operation of, and ceased making grants under, equity 

compensation plans. Previously, we had provided equity compensation under those plans to employees and members of the 

Board of Directors. Under the Purchase Agreement, we cannot issue any new options, rights to purchase, participations, or 

other equity interests without Treasury's prior approval.

Information About Certain Securities Issuances by Freddie Mac

We make available, free of charge through our website at www.freddiemac.com, our annual reports on Form 10-K, quarterly 

reports on Form 10-Q, current reports on Form 8-K, and all other SEC reports and amendments to those reports as soon as 

reasonably practicable after we electronically file the material with the SEC. The SEC also maintains an internet site 

(www.sec.gov) that contains reports, proxy and information statements, and other information regarding companies that file 

electronically with the SEC. 

We provide disclosure about our debt securities on our website at www.freddiemac.com/debt. From this address, investors 

can access the offering circular and related supplements for debt securities offerings under Freddie Mac's global debt facility, 

Other Information

Freddie Mac 3Q 2023 Form 10-Q 97
including pricing supplements for individual issuances of debt securities. Similar information about our STACR transactions and 

SCR transactions is available at crt.freddiemac.com and mf.freddiemac.com/investors, respectively.

We provide disclosure about our mortgage-related securities, some of which are off-balance sheet obligations (e.g., K 

Certificates and SB Certificates), on our website at www.freddiemac.com/mbs and mf.freddiemac.com/investors. From 

these addresses, investors can access information and documents, including offering circulars and offering circular 

supplements, for mortgage-related securities offerings.

We provide additional information, including product descriptions, investor presentations, securities issuance calendars, 

transactions volumes and details, redemption notices, Freddie Mac research, and material developments or other events that 

may be important to investors, in each case as applicable, on the websites for our business activities, which can be found at 

sf.freddiemac.com, mf.freddiemac.com, and capitalmarkets.freddiemac.com/capital-markets.

We provide information on our sustainability efforts on our website at freddiemac.com/about/sustainability.

OTHER INFORMATION

Insider Trading Arrangements and Policies

No executive officer or director adopted or terminated any contract, instruction, or written plan for the purchase or sale of, or 

any other such trading arrangement for, our securities. For more information on executive officer and director compensation 

and security ownership by our executive officers and directors, see Directors, Corporate Governance, and Executive 

Officers, Executive Compensation, and Security Ownership of Certain Beneficial Owners and Management 

and Related Stockholder Matters in our 2022 Annual Report.

EXHIBITS

The exhibits are listed in the Exhibit Index of this Form 10-Q.

Other Information

Freddie Mac 3Q 2023 Form 10-Q 98
Controls and Procedures

EVALUATION OF DISCLOSURE CONTROLS AND 

PROCEDURES

Disclosure controls and procedures include, without limitation, controls and procedures designed to ensure that the information 

we are required to disclose in reports that we file or submit under the Exchange Act is recorded, processed, summarized, and 

reported within the time periods specified by the SEC's rules and forms and that such information is accumulated and 

communicated to management of the company, including the company's Chief Executive Officer and Chief Financial Officer, as 

appropriate, to allow timely decisions regarding required disclosure. In designing our disclosure controls and procedures, we 

recognize that any controls and procedures, no matter how well designed and operated, can provide only reasonable 

assurance of achieving the desired control objectives, and we must apply judgment in implementing possible controls and 

procedures.

Management, including the company's Chief Executive Officer and Chief Financial Officer, conducted an evaluation of the 

effectiveness of our disclosure controls and procedures as of September 30, 2023. As a result of management's evaluation, our 

Chief Executive Officer and Chief Financial Officer concluded that our disclosure controls and procedures were not effective as 

of September 30, 2023, at a reasonable level of assurance, because we have not been able to update our disclosure controls 

and procedures to provide reasonable assurance that information known by FHFA on an ongoing basis is communicated from 

FHFA to Freddie Mac's management in a manner that allows for timely decisions regarding our required disclosure under the 

federal securities laws. We consider this situation to be a material weakness in our internal control over financial reporting. 

CHANGES IN INTERNAL CONTROL OVER FINANCIAL 

REPORTING DURING 3Q 2023

We evaluated the changes in our internal control over financial reporting that occurred during 3Q 2023 and concluded that 

there were no changes that materially affected, or are reasonably likely to materially affect, our internal control over financial 

reporting.

MITIGATING ACTIONS RELATED TO THE MATERIAL 

WEAKNESS IN INTERNAL CONTROL OVER FINANCIAL 

REPORTING

As described above under Evaluation of Disclosure Controls and Procedures, we have one material weakness in 

internal control over financial reporting as of September 30, 2023 that we have not remediated.

Given the structural nature of this material weakness, we believe it is likely that we will not remediate it while we are under 

conservatorship. However, both we and FHFA have continued to engage in activities and employ procedures and practices 

intended to permit accumulation and communication to management of information needed to meet our disclosure obligations 

under the federal securities laws. These include the following:

n	 FHFA has established the Division of Conservatorship Oversight and Readiness, which is intended to facilitate operation of 

the company with the oversight of the Conservator.

n	 We provide drafts of our SEC filings to FHFA personnel for their review and comment prior to filing. We also provide drafts 

of certain external press releases and statements to FHFA personnel for their review and comment prior to release.

n	 FHFA personnel, including senior officials, review our SEC filings prior to filing, including this Form 10-Q, and engage in 

discussions with us regarding issues associated with the information contained in those filings. Prior to filing this Form 10-

Q, FHFA provided us with a written acknowledgment that it had reviewed the Form 10-Q, was not aware of any material 

misstatements or omissions in the Form 10-Q, and had no objection to our filing the Form 10-Q.

n	 Our senior management meets regularly with senior leadership at FHFA, including, but not limited to, the Director.

n	 FHFA representatives attend meetings frequently with various groups within the company to enhance the flow of 

information and to provide oversight on a variety of matters, including accounting, credit and capital markets management, 

external communications, and legal matters.

n	 Senior officials within FHFA's accounting group meet frequently with our senior financial executives regarding our 

accounting policies, practices, and procedures.

In view of our mitigating actions related to this material weakness, we believe that our condensed consolidated financial 

statements for 3Q 2023 have been prepared in conformity with GAAP.

Controls and Procedures

Freddie Mac 3Q 2023 Form 10-Q 99
Exhibit Index

Exhibit Description*

31.1 Certification of Chief Executive Officer pursuant to Securities Exchange Act Rule 13a-14(a)

31.2 Certification of Executive Vice President and Chief Financial Officer pursuant to Securities Exchange Act Rule 13a-14(a)

32.1 Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350

32.2 Certification of Executive Vice President and Chief Financial Officer pursuant to 18 U.S.C. Section 1350

101.INS XBRL Instance Document - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within 

the Inline XBRL document

101.SCH XBRL Taxonomy Extension Schema

101. CAL XBRL Taxonomy Extension Calculation

101.DEF XBRL Taxonomy Extension Definition

101.LAB XBRL Taxonomy Label

101. PRE XBRL Taxonomy Extension Presentation

104 Cover Page Interactive Data File - the cover page interactive data file does not appear in the Interactive Data File because its XBRL tags are 

embedded within the Inline XBRL document

*

The SEC file numbers for the Registrant's Registration Statement on Form 10, Annual Reports on Form 10-K, Quarterly Reports on Form 

10-Q, and Current Reports on Form 8-K are 000-53330 and 001-34139.

Exhibit Index

Freddie Mac 3Q 2023 Form 10-Q 100
Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on 

its behalf by the undersigned thereunto duly authorized.

Federal Home Loan Mortgage Corporation

By: /s/ Michael J. DeVito

Michael J. DeVito

Chief Executive Officer

(Principal Executive Officer)

Date: November 1, 2023

By: /s/ Christian M. Lown

Christian M. Lown

Executive Vice President and Chief Financial Officer

(Principal Financial Officer)

Date: November 1, 2023

Signatures

Freddie Mac 3Q 2023 Form 10-Q 101
Form 10-Q Index

Item Number Page(s)

PART I FINANCIAL INFORMATION

Item 1. Financial Statements 46 - 96

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations 1 - 45

Item 3. Quantitative and Qualitative Disclosures About Market Risk 31 - 33

Item 4. Controls and Procedures 99

PART II OTHER INFORMATION

Item 1. Legal Proceedings 97

Item 1A. Risk Factors 97

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 97 - 98

Item 5. Other Information 98

Item 6. Exhibits 98

Exhibit Index 100

Signatures 101

Form 10-Q Index

Freddie Mac 3Q 2023 Form 10-Q 102
Exhibit 31.1

CERTIFICATION

PURSUANT TO SECURITIES EXCHANGE ACT RULE 13a-14(a)

I, Michael J. DeVito, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q for the quarter ended September 30, 2023 of the Federal Home Loan Mortgage Corporation;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make 

the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered 

by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the 

financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in 

Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 

15d-15(f)) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our 

supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by 

others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our 

supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for 

external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the 

effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most 

recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely 

to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to 

the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are 

reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal 

control over financial reporting.

Date: November 1, 2023

/s/ Michael J. DeVito

Michael J. DeVito

Chief Executive Officer
Exhibit 31.2

CERTIFICATION

PURSUANT TO SECURITIES EXCHANGE ACT RULE 13a-14(a)

I, Christian M. Lown, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q for the quarter ended September 30, 2023 of the Federal Home Loan Mortgage Corporation;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make 

the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered 

by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the 

financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in 

Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 

15d-15(f)) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our 

supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by 

others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our 

supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for 

external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the 

effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most 

recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely 

to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to 

the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are 

reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal 

control over financial reporting.

Date: November 1, 2023

/s/ Christian M. Lown

Christian M. Lown

Executive Vice President and Chief Financial Officer
Exhibit 32.1

CERTIFICATION

PURSUANT TO 18 U.S.C. SECTION 1350,

AS ENACTED BY SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report on Form 10-Q for the quarter ended September 30, 2023 of the Federal Home Loan Mortgage Corporation (the 

"Company"), as filed with the Securities and Exchange Commission on the date hereof (the "Report"), I, Michael J. DeVito, Chief Executive Officer of the 

Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that to my knowledge:

1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: November 1, 2023

/s/ Michael J. DeVito

Michael J. DeVito

Chief Executive Officer
Exhibit 32.2

CERTIFICATION

PURSUANT TO 18 U.S.C. SECTION 1350,

AS ENACTED BY SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report on Form 10-Q for the quarter ended September 30, 2023 of the Federal Home Loan Mortgage Corporation (the 

"Company"), as filed with the Securities and Exchange Commission on the date hereof (the "Report"), I, Christian M. Lown, Executive Vice President and 

Chief Financial Officer of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 

2002, that to my knowledge:

1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: November 1, 2023

/s/ Christian M. Lown

Christian M. Lown

Executive Vice President and Chief Financial Officer