First Quarter 2017 

Financial Results Supplement

May 2, 2017
© Freddie Mac 2

Table of contents

Financial Results

3 – Quarterly Financial Results

4 – Market-Related Items

5 – Segment Financial Results

6 – Portfolio Balances

7 – Treasury Draw Requests and Dividend Payments

Housing Market

8 – National Home Prices

9 – Home Price Performance by State: March 2016 to March 2017

10 – Housing Market Support

Segment Business Information

11 – Single-Family New Funding Volume and Credit Guarantee 

Portfolio

12 – Single-Family Guarantee Fees Charged on New 

Acquisitions

13 – Single-Family Credit Risk Transfer Transactions

14 – Single-Family Transferred Credit Risk

15 – Single-Family Credit Quality – Credit Guarantee Portfolio

16 – Single-Family Mortgage Market and Freddie Mac Delinquency 

Rates

17 – Multifamily Business Volume and Portfolio Composition

18 – Multifamily Percentage of Affordable Units Financed

19 – Multifamily Securitization Volume

20 – Multifamily Market and Freddie Mac Delinquency Rates

21 – Investments – Purchase Agreement Portfolio Limits

22 – Investments – Mortgage-Related Investments Portfolio

Composition

23 – Investments – Mortgage-Related Investments Portfolio

Composition, Continued

24 – Interest-Rate Risk Measures

25 – Safe Harbor Statements
© Freddie Mac 3

Quarterly financial results

$ Millions 1Q17 1Q17

vs. vs.

1Q17 4Q16 1Q16 4Q16 1Q16

1 Net interest income $ 3,795 $ 3,885 $ 3,405 $ (90) $ 390

2 Benefit (provision) for credit losses 116 (326) 467 442 (351)

3 Derivative gains (losses) (302) 6,381 (4,561) (6,683) 4,259

4 Other non-interest income (loss) 1 676 (1,411) 1,138 2,087 (462)

5 Non-interest income (loss) 374 4,970 (3,423) (4,596) 3,797

6 Administrative expense (511) (584) (448) 7 3 (63)

7 Other non-interest expense (453) (582) (509) 129 5 6

8 Non-interest expense (964) (1,166) (957) 202 (7)

9 Pre-tax income (loss) $ 3,321 $ 7,363 $ (508) $ (4,042) $ 3,829

1 0 Income tax (expense) benefit (1,110) (2,516) 154 1,406 (1,264)

1 1 Net income (loss) $ 2,211 $ 4,847 $ (354) $ (2,636) $ 2,565

1 2 Total other comprehensive income (loss), 

net of taxes 2 3 (972) 154 995 (131)

1 3 Comprehensive income (loss) $ 2,234 $ 3,875 $ (200) $ (1,641) $ 2,434

Memo Items

1 4 Guarantee fee income1 $ 149 $ 146 $ 110 $ 3 $ 3 9

1 5 Total Equity / GAAP net worth (ending balance) $ 2,834 $ 5,075 $ 1,000 $ (2,241) $ 1,834

1 Guarantee fee income on a GAAP basis is primarily from the company’s multifamily business and is included in Other income (loss) on Freddie Mac’s condensed consolidated statements 

of comprehensive income.
© Freddie Mac 4

Market-related items

Estimated Net Interest Rate Effect1

$ Billions, after-tax

Estimated Spread Change Effect1

$ Billions, after-tax

1 Represents estimated effect on comprehensive income.
© Freddie Mac 5

Segment financial results1

1 The financial performance of the company’s Single-Family Guarantee segment is measured based on its contribution to GAAP net income (loss). The financial performance of the 

company’s Multifamily segment and Investments segment are measured based on each segment’s contribution to GAAP comprehensive income (loss).

Note: Totals may not add due to rounding.

Investments

Comprehensive Income (Loss)

Segment Earnings (Loss) Segment Other Comprehensive Income (Loss)

Single-Family Guarantee Multifamily

$3.2

$0.4

$ Billions

$0.3

$0.7

$0.4

$1.1

OCI = $0.03
© Freddie Mac 6

-3.0%

Portfolio balances1

1 Based on unpaid principal balances of loans and securities.

2 See Freddie Mac's Form 10-Q for the quarter ended March 31, 2017 for information about the company's Other Investments and Cash Portfolio.

3 The mortgage-related investments portfolio is determined without giving effect to the January 1, 2010 change in accounting standards related to the transfer of financial assets and 

consolidation of variable interest entities (VIEs).

Note: Totals may not add due to rounding. 

Guarantee Portfolios

$ Billions

Investments Portfolios

$ Billions

2

3

$1,943 $1,913 $1,822

+5.0% +1.6%

$449 $395 $383

-12.0%
© Freddie Mac 7

Draw Requests from Treasury Dividend Payments to Treasury

Treasury draw requests and dividend payments

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

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

2 Amount includes the scheduled June 2017 dividend obligation of $2.2 billion.

Note: Totals may not add due to rounding. 

Draw Requests From Treasury

$ Billions

Dividend Payments to Treasury

$ Billions
© Freddie Mac 8

1 National home prices use the Freddie Mac House Price Index for the U.S., which is a value-weighted average of the state indices where the value weights are based on Freddie Mac’s 

single-family credit guarantee portfolio. Other indices of home prices may have different results, as they are determined using home prices relating to different pools of mortgage loans 

and calculated under different conventions than Freddie Mac’s. Quarterly growth rates are calculated as a 3-month change based on the final month of each quarter. Seasonal factors 

typically result in stronger house-price appreciation during the second and third quarters. Historical growth rates change as new data becomes available. Values for the most recent 

periods typically see the largest changes. Cumulative increase, based on the NSA series, calculated as the percent change from June 2006 to March 2017. 

Source: Freddie Mac.

National home prices1

Home Prices Have Surpassed Levels Reached in June 2006 (NSA Series)

Freddie Mac House Price Index (December 2000=100)
© Freddie Mac 9

Home price performance by state

March 2016 to March 20171

United States 6%

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

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

Freddie Mac House Price Index for the U.S. is a non-seasonally adjusted monthly series. Percent changes were rounded to nearest whole percentage point.

Source: Freddie Mac

4%

AL

-1%

AK

≥ 7%

4 to 6%

˂ 0%

0 to 3%

4%

AR

7%

AZ

7%

CA

10%

CO

CT 0%

DC 9%

DE -2%

11%

FL

7%

GA

4%

HI

3%

IA

9%

ID

4%

IL

4%

IN

2%

KS KY 6%

2%

LA

2%

5%

ME

8%

MI

7%

MN

5%

MO

1%

MS

6%

MT

NC 5%

2%

ND

5%

NE

NJ 2%

4%

NM

8%

NV

6%

NY

4%

OH

2%

OK

10%

OR

4%

PA

5%

SC

3%

SD

TN 8%

8%

TX

9%

UT

3%

VA

12%

WA

6%

WI

2%

WV

1%

WY

8%

7%

MD

MA

NH

2%

VT

RI 5%
© Freddie Mac 10

Housing market support

Number of Families Freddie Mac Helped 

to Own or Rent a Home1

In Thousands

Number of Single-Family Loan

Workouts2

In Thousands

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

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

2 Consists of both home retention actions and foreclosure alternatives.

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

helped through a home retention action in one period may subsequently lose his or her home through a foreclosure alternative in a later period.

Note: Totals may not add due to rounding.

Repayment plans3

Loan modifications3

Forbearance agreements3

Short sales and deed-in-lieu of 

foreclosure transactions3

Home Retention Actions

Foreclosure Alternatives

Refinance borrowers Purchase borrowers Multifamily rental units
© Freddie Mac 11

Single-family new funding volume and 

credit guarantee portfolio

Purchase Refinance Total

2015 $153 $198 $351

2016 $175 $218 $393

1 Loans acquired after 2008, excluding HARP and other relief refinance loans which are presented separately.

Note: Totals may not add due to rounding.

Single-Family New Funding Volume

UPB $ Billions

Single-Family Credit Guarantee Portfolio

UPB $ Billions

$1,706 $1,713 $1,733 $1,755 $1,779
© Freddie Mac 12

Single-family guarantee fees charged on new 

acquisitions1

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

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

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

Quarterly

In Basis Points (bps)

Annual

In Basis Points (bps)
© Freddie Mac 13

Single-family credit risk transfer transactions1

Structured Agency Credit Risk 

(STACR®) Debt Note Issuances

$ Billions

Agency Credit Insurance Structure

(ACIS®) Transactions2

$ Billions

1 Consists of STACR issuances and ACIS transactions. Excludes all other forms of credit enhancement, including mortgage insurance, whole loan securities, senior subordinate 

securitization structures, seller indemnification, and Deep Mortgage Insurance CRT transactions.

2 Excludes impact of changing the coverage from losses calculated using a predefined formula to coverage based on actual losses for certain existing ACIS policies.

3 Data for the three months ended March 31, 2017.

Cumulative

($ Billions)

STACR Issuances $19.8

ACIS Transactions $6.8

Reference Pool UPB $658.4
© Freddie Mac 14

Cumulative Single-Family Transferred Credit Risk

Based on Remaining Balance as of Period End

$ Billions

Single-family transferred credit risk1

1 Consists of STACR issuances and ACIS transactions. Excludes all other forms of credit enhancement, including mortgage insurance, whole loan securities, senior subordinate 

securitization structures, seller indemnification, and Deep Mortgage Insurance CRT transactions. 

2 Freddie Mac holds the senior risk position. Excludes first and mezzanine loss positions retained by Freddie Mac.

Freddie Mac Senior 

Loss Positions2 $352.1 $415.5 $429.3 $429.5 $474.7

Total Reference Pools $372.1 $438.8 $453.7 $453.7 $500.6

First loss 

positions: 

Retained by 

Freddie Mac

Mezzanine 

loss positions: 

Retained by 

Freddie Mac

Mezzanine 

loss positions: 

Transferred to 

third parties

First loss 

positions: 

Transferred to 

third parties
© Freddie Mac 15

Single-family credit quality – credit guarantee 

portfolio

1 Loans acquired after 2008, excluding HARP and other relief refinance loans which are presented separately.

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

Concentration of Credit Risk 

Percent (%)

Serious Delinquency Rates 

Percent (%)
© Freddie Mac 16

1 Source: National Delinquency Survey from the Mortgage Bankers Association. Categories represent first lien single-family loans. Data is not yet available for the first quarter of 2017. 

2 See Freddie Mac’s Form 10-K for the year ended December 31, 2016 for information about the company’s reported delinquency rates. The single-family serious delinquency rate at 

March 31, 2017 was 0.92%. 

12.47%

3.13%

Single-Family Serious Delinquency Rates 

Single-family mortgage market and Freddie Mac 

delinquency rates

Percent

1.99%

1.00%
© Freddie Mac 17

Total Multifamily Portfolio

UPB $ Billions

Multifamily business volume and portfolio 

composition

Multifamily New Business Volume

UPB $ Billions

1 Data for the three months ended March 31, 2017.

2 Primarily Freddie Mac’s K Certificate and SB Certificate transactions.

Note: Totals may not add due to rounding.

$188 $180

$167 $169

$28.8 $25.9 $28.3

$47.3

2

$213

$56.8

$12.7

$218
© Freddie Mac 18

Multifamily percentage of affordable units financed

Multifamily Acquisitions of Units by Area Median Income (AMI)

% of Eligible Units Acquired

Approximately 83% of 

units acquired during 

the three months 

ended March 31, 2017 

are affordable to 

households earning at 

or below 100% AMI

1 Data for the three months ended March 31, 2017.

Note: Totals may not add due to rounding.
© Freddie Mac 19

Multifamily Securitization Volume1

UPB $ Billions

Multifamily securitization volume

Number of 

Transactions 2009 2010 2011 2012 2013 2014 2015 2016 YTD

20173

Total

K Certificate 

Transactions 2 6 12 17 19 17 30 48 9 160

SB Certificate 

Transactions 10 15 3 28

K Certificate UPB2 SB Certificate UPB

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

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

3 Data for the three months ended March 31, 2017.

Note: Totals may not add due to rounding.
© Freddie Mac 20

0.03%

0.00%

Multifamily market and Freddie Mac delinquency rates

Percent

1 See Freddie Mac’s Form 10-K for the year ended December 31, 2016 for information about the company’s reported delinquency rates. The multifamily delinquency rate at March 

31, 2017 was 0.03%. 

Source: Freddie Mac, FDIC Quarterly Banking Profile, TREPP (CMBS multifamily 60+ delinquency rate, excluding REOs), American Council of Life Insurers (ACLI). Non-Freddie 

Mac data is not yet available for the first quarter of 2017.

1.14 %

0.18%
© Freddie Mac 21

Investments – Purchase Agreement portfolio limits

Indebtedness 1, 3

$ Billions

Mortgage Assets 1, 2

$ Billions

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

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

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

2 Represents the unpaid principal balance (UPB) of the company’s mortgage-related investments portfolio. The company discloses its mortgage assets on this basis monthly in its 

Monthly Volume Summary reports, which are available on its Web site.

3 Represents the par value of the company’s short-term and long-term debt used to fund its business activities. The company discloses its indebtedness on this basis in its Monthly 

Volume Summary reports, which are available on its Web site.
© Freddie Mac 22

1 Based on unpaid principal balances and excludes mortgage-related securities traded, but not yet settled. The mortgage-related investments portfolio is determined without giving

effect to the January 1, 2010 change in accounting standards related to the transfer of financial assets and consolidation of variable interest entities (VIEs).

Note: Totals may not add due to rounding.

Investments – mortgage-related investments portfolio 

composition

Mortgage-Related Investments Portfolio1

$ Billions

$558

$461

$408

$347

$298 $291
© Freddie Mac 23

Investments – mortgage-related investments portfolio 

composition, continued

Liquidity Categories

$ Billions

1 Less liquid activity excludes liquidations and reflects reductions in Freddie Mac’s holdings of less liquid assets.

2 Less liquid assets (e.g., reperforming loans, performing modified loans, single-family seriously delinquent loans, and mortgage-related securities not guaranteed by a GSE or the U.S. 

government) are less liquid than agency securities and loans in the securitization pipeline.

3

Includes performing multifamily and single-family loans purchased for cash and primarily held for a short period until securitized, with the resulting Freddie Mac issued securities being sold 

or retained.

4 Data for the three months ended March 31, 2017.

Note: Totals may not add due to rounding.

Less Liquid Activity1

$ Billions

$19.8

$23.6

$28.8

$408

$347

$461

2

$19.6

$298

4

$2.5

$291
© Freddie Mac 24

1 We evaluate the estimated adverse net effect on before-tax earnings of certain immediate shifts in interest rates both before and after the application of hedge accounting under various scenarios. The 

scenario that results in the largest adverse net effect on before-tax earnings is considered the GAAP adverse scenario. At March 31, 2017, the GAAP adverse scenario both before and after hedge 

accounting was a non-parallel shift in which long-term rates decrease by 100 basis points.

2 Portfolio Market Value Sensitivity, or PMVS, is an estimate of the change in the market value of Freddie Mac’s financial assets and liabilities from an instantaneous 50 basis point shock to interest rates, 

assuming no rebalancing actions are undertaken and assuming the mortgage-to-LIBOR basis does not change. PMVS-Level or PMVS-L measures the estimated sensitivity of the company’s portfolio 

market value to parallel movements in interest rates.

3 Duration gap measures the difference in price sensitivity to interest rate changes between Freddie Mac’s financial assets and liabilities, and is expressed in months relative to the market value of assets.

Interest-rate risk measures

GAAP Adverse Scenario1(Before-Tax)

$ Billions

PMVS-Level2 and Average Duration Gap3

$ Billions

$(3.2)

$(2.7) $(2.6)

$(3.5) $(3.5)

$(1.8)
© Freddie Mac 25

Safe Harbor Statements

Freddie Mac obligations

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

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

Mac.

No offer or solicitation of securities 

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

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

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

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

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

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

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

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

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

Forward-looking statements 

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

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

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

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

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

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

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

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

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

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

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

Quarterly Report on Form 10-Q for the quarter ended March 31, 2017 and Current Reports on Form 8-K, which are available on the 

Investor Relations page of the company’s Web site at www.FreddieMac.com/investors and the SEC’s Web site at www.sec.gov. The 

company undertakes no obligation to update forward-looking statements it makes to reflect events or circumstances occurring after the 

date of this presentation.