UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended June 30, 2022

or

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

For the transition period from                                to

Commission File Number: 001-34139

Federal Home Loan Mortgage Corporation 

(Exact name of registrant as specified in its charter)

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

(State or other jurisdiction of 

incorporation or organization)

(I.R.S. Employer

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

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

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

None N/A N/A

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

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

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

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

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

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

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

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

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

Large accelerated filer ☒ Accelerated filer ☐

Non-accelerated filer ☐ Smaller reporting company ☐

Emerging growth company ☐

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

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

Exchange Act. ☐

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

Act).    Yes ☐  No ☒		 			

As of July 12, 2022, there were 650,059,553 shares of the registrant's common stock outstanding.
Table of Contents

Page

MANAGEMENT'S DISCUSSION AND ANALYSIS OF 

FINANCIAL CONDITION AND RESULTS OF OPERATIONS

1

n Introduction 1

n Market Conditions and Economic Indicators 4

n Consolidated Results of Operations 9

n Consolidated Balance Sheets Analysis 14

n Our Portfolios 15

n Our Business Segments 17

n Risk Management 27

l	Credit Risk 27

l	Market Risk 35

n Liquidity and Capital Resources 38

n Critical Accounting Estimates 44

n Regulation and Supervision 45

n Forward-Looking Statements 46

FINANCIAL STATEMENTS 49

OTHER INFORMATION 98

CONTROLS AND PROCEDURES 99

EXHIBIT INDEX 100

SIGNATURES 101

FORM 10-Q INDEX 102

Table of Contents

Freddie Mac 2Q 2022 Form 10-Q i
MD&A TABLE INDEX

1 Summary of Consolidated Results of Operations 9

2 Components of Net Interest Income 10

3 Analysis of Net Interest Yield 11

4 Components of Guarantee Income 12

5 Investment Gains (Losses), Net 12

6 Benefit (Provision) for Credit Losses 12

7 Components of Legislative Assessments Expense 13

8 Summarized Condensed Consolidated Balance Sheets 14

9 Mortgage Portfolio 15

10 Guarantee Portfolio 15

11 Mortgage-Related Investments Portfolio 16

12 Other Investments Portfolio 16

13 Single-Family Segment Financial Results 22

14 Multifamily Segment Financial Results 26

15 Allowance for Credit Losses Activity 27

16 Allowance for Credit Losses Ratios 27

17 Single-Family New Business Activity 29

18 Single-Family Mortgage Portfolio CRT Issuance 29

19 Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding 30

20 Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio 30

21 Single-Family Credit Enhancement Receivables 31

22 Credit Quality Characteristics of Our Single-Family Mortgage Portfolio 31

23 Single-Family Mortgage Portfolio Attribute Combinations 32

24 Multifamily Mortgage Portfolio CRT Issuance 34

25 Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio 34

26 PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve 35

27 Duration Gap and PVS Results 36

28 PVS-L Results Before Derivatives and After Derivatives 36

29 Earnings Sensitivity to Changes in Interest Rates 37

30 Liquidity Sources 38

31 Funding Sources 39

32 Debt of Freddie Mac Activity 39

33 Maturity and Redemption Dates 40

34 Debt of Consolidated Trusts Activity 41

35 Net Worth Activity 42

36 Capital Metrics Under ERCF 43

37 Forecasted House Price Growth Rates 44

Table Description Page

 

Table of Contents

Freddie Mac 2Q 2022 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, 2021, or 2021 

Annual Report.

Throughout this Form 10-Q, we use certain acronyms and terms that are defined in the Glossary of our 2021 Annual Report. 

You should read the following MD&A in conjunction with our 2021 Annual Report and our condensed consolidated financial 

statements and accompanying notes for the three and six months ended June 30, 2022 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 2021 Annual Report.

Management's Discussion and Analysis Introduction

Freddie Mac 2Q 2022 Form 10-Q 1
Business Results

Consolidated Financial Results

Net Revenues and Net Income

(In billions)

$5.9

$5.2 $5.6 $5.8 $5.4

$3.7

$2.9 $2.7

$3.8

$2.5

Net Revenues Net Income

2Q21 3Q21 4Q21 1Q22 2Q22

Net Worth

(In billions)

$22.4

$25.3

$28.0

$31.7

$34.1

06/30/21 09/30/21 12/31/21 03/31/22 06/30/22

n	 Net income was $2.5 billion for 2Q 2022, a decrease of 33% year-over-year. The decrease in net income was primarily 

driven by a $0.3 billion provision for credit losses in 2Q 2022, compared to a $0.7 billion benefit for credit losses in 2Q 

2021.

n Net revenues decreased 8% year-over-year to $5.4 billion, primarily driven by a decline in non-interest income in 

Multifamily.

n	 Net worth was $34.1 billion as of June 30, 2022, up from $31.7 billion as of March 31, 2022 and $22.4 billion as of June 30, 

2021. 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 $104.4 billion on June 30, 2022, and 

will increase to $106.7 billion on September 30, 2022 based on the increase in net worth in 2Q 2022. 

Market Liquidity

 Market Liquidity 

(In thousands)

1,160 1,188 1,178

835

617

315 415 357 279 263

708 612 598

412

205

137 161 223

144

149

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

2Q21 3Q21 4Q21 1Q22 2Q22

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 $153 billion in liquidity to the mortgage 

market in 2Q 2022, which enabled the financing of 617,000 home purchases, refinancings, and rental units.

Management's Discussion and Analysis Introduction

Freddie Mac 2Q 2022 Form 10-Q 2
Mortgage Portfolio Balances

Mortgage Portfolio

(UPB in billions)

$2,962 $3,086 $3,207 $3,299 $3,343

$2,564 $2,682 $2,792 $2,884 $2,928

$398 $404 $415 $415 $415

Single-Family mortgage portfolio Multifamily mortgage portfolio

06/30/21 09/30/21 12/31/21 03/31/22 06/30/22

n	 Our mortgage portfolio increased 13% year-over-year to $3.3 trillion, driven by a 14% increase in our Single-Family 

mortgage portfolio and a 4% increase in our Multifamily mortgage portfolio.

l	 The growth in our Single-Family mortgage portfolio was primarily driven by an increase in average portfolio loan size 

and a higher share of the overall market. The increase in the average portfolio loan size was driven by house price 

appreciation contributing to new business acquisitions having a larger loan size compared to older vintages that 

continued to run off.

l	 The growth in our Multifamily mortgage portfolio was primarily driven by ongoing loan purchase and securitization 

activity.

Credit Risk Transfer

Single-Family Mortgage Portfolio with Credit Enhancement 

(UPB in billions)

$1,255 $1,345

$1,491 $1,594

$1,726

49% 50% 53% 55%

59%

UPB Percentage

06/30/21 09/30/21 12/31/21 03/31/22 06/30/22

 

Multifamily Mortgage Portfolio with Credit Enhancement 

(UPB in billions)

$373 $380 $389 $389 $397

94% 94% 94% 94% 96%

UPB Percentage

06/30/21 09/30/21 12/31/21 03/31/22 06/30/22

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 2Q 2022 Form 10-Q 3
MARKET CONDITIONS AND ECONOMIC INDICATORS

The following graphs and related discussions present certain market and macroeconomic indicators that can significantly affect 

our business and financial results. 

Interest Rates(1)

 Quarterly Ending Rates

3.17% 3.02% 3.01% 3.11%

4.67%

5.70%

0.01% 0.03% 0.05% 0.05% 0.16%

1.09% 0.19% 0.15% 0.13% 0.21%

0.96%

2.29%

1.82%

1.44% 1.57% 1.57%

2.37%

3.05%

30-year PMMS SOFR

3-month LIBOR 10-year LIBOR

03/31/21 06/30/21 09/30/21 12/31/21 03/31/22 06/30/22

(1) 30-year PMMS interest rates are as of the last week in each quarter. SOFR 

interest rates are 30-day average rates. 

n The 30-year Primary Mortgage Market Survey (PMMS) 

interest rate is indicative of what a consumer could 

expect to be offered on a first-lien prime conventional 

conforming home purchase mortgage with an LTV of 

80%. Increases (decreases) in the PMMS rate typically 

result in decreases (increases) in refinancing activity 

and total originations. 

n Changes in benchmark interest rates can significantly 

affect our financial position and results of operations, 

including our net interest income and the fair value of 

our financial instruments. We have elected hedge 

accounting for certain assets and liabilities in an effort 

to reduce GAAP earnings variability attributable to 

changes in benchmark interest rates.

Unemployment Rate and Monthly Net New Jobs

422,000

543,000

637,000

539,000

375,000

5.9%

4.7%

3.9% 3.6% 3.6%

Average monthly net new jobs

(non-farm)

National unemployment rate

(as of the last month in each quarter)

2Q21 3Q21 4Q21 1Q22 2Q22

Source: U.S. Bureau of Labor Statistics.

n	 Changes in the national unemployment rate can affect 

several market factors, including the demand for 

single-family and multifamily housing and loan 

delinquency rates.

n The unemployment rate fell to 3.6% as of June 2022, 

down from 5.9% as of June 2021. Employment growth 

remains strong, with the U.S. economy adding 2.7 

million non-farm payroll jobs from December 2021 

through June 2022.

Management's Discussion and Analysis Market Conditions and Economic Indicators 

Freddie Mac 2Q 2022 Form 10-Q 4
Single-Family Housing and Mortgage Market Conditions

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

6,704 6,782 6,958 6,833

5,989

5,950 6,067 6,203 6,057 5,377

754 715 755 776

612

5.5%

3.3% 3.8%

5.1%

3.9%

Sales of existing homes (units in thousands)

Sales of new homes (units in thousands)

Single-family house price growth rate

2Q21 3Q21 4Q21 1Q22 2Q22

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

House Price Index.

U.S. Single-Family Mortgage Originations

(UPB in billions)

$1,230

$1,125 $1,090

$995

$725

1Q21 2Q21 3Q21 4Q21 1Q22

Source: Inside Mortgage Finance. 2Q 2022 U.S. single-family mortgage 

originations data is not yet available.

n	 Home sales decreased in 2Q 2022 compared to 2Q 

2021 driven by higher mortgage interest rates and 

continued house price appreciation. 

n	 Single-family house prices increased 3.9% during 2Q 

2022, compared to an increase of 5.5% during 2Q 

2021. While house price growth remains above its 

historical average, the rate of growth has started to 

moderate, as higher mortgage interest rates impact 

homebuyer demand.

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

to $0.7 trillion in 1Q 2022 from $1.2 trillion in 1Q 2021 

as a result of higher mortgage interest rates and 

increasing house prices.

Management's Discussion and Analysis Market Conditions and Economic Indicators

Freddie Mac 2Q 2022 Form 10-Q 5
Multifamily Housing and Mortgage Market Conditions 

Apartment Vacancy Rates and Change in Effective Rents

5.4%

4.8% 4.8% 4.7% 4.5%

1.2%

8.2%

3.0% 2.5% 2.8%

0.8%

Apartment vacancy rates

Quarterly change in effective rents

Long-term quarterly effective rent growth rate

(2000 - 2Q22)

2Q21 3Q21 4Q21 1Q22 2Q22

Source: Reis. 

Apartment Completions and Net Absorption

(Units in thousands)

51 50

46

43

18

37

47

112

42

33

Completions Net absorption

1Q21 2Q21 3Q21 4Q21 1Q22

Source: Reis. 2Q 2022 apartment completions and net absorption data are not 

yet available.

n	 Vacancy rates continued to decrease during 2Q 2022. 

The decrease in vacancy rates was driven by ongoing 

demand for rental housing as a result of a strong labor 

market, new household formations, and rising cost of 

single-family home ownership.

n	 Effective rent growth (i.e., the average rent paid by the 

renter over the term of the lease, adjusted for 

concessions by the property owner and costs borne 

by the renter) was positive at the national level and in 

most major geographic markets in 2Q 2022, increasing 

a record 17.5% over the past year. However, rent 

growth rates are expected to moderate during the 

remainder of 2022 due to an anticipated slowdown in 

economic growth.

n	 While final unit counts for 2Q 2022 are not yet 

available, we expect net absorptions to have 

increased and outpaced completions driven by pentup demand, a strong labor market, new household 

formations, and rising cost of single-family home 

ownership.

Management's Discussion and Analysis Market Conditions and Economic Indicators

Freddie Mac 2Q 2022 Form 10-Q 6
Mortgage Debt Outstanding 

Single-Family Mortgage Debt Outstanding

(UPB in billions) 

$11,782 $12,022 $12,274 $12,537 $12,777

20.9% 21.3% 21.9% 22.3% 22.6%

U.S. single-family mortgage debt outstanding

Freddie Mac share

1Q21 2Q21 3Q21 4Q21 1Q22

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

2022 U.S. single-family mortgage debt outstanding data is not yet available.

Multifamily Mortgage Debt Outstanding

 (UPB in billions)

$1,783 $1,808 $1,835 $1,883 $1,922

19.1% 19.0% 19.1% 19.1% 18.8%

U.S. multifamily mortgage debt outstanding

Freddie Mac share

1Q21 2Q21 3Q21 4Q21 1Q22 Source: Federal Reserve Financial Accounts of the United States of America. 2Q 

2022 U.S. multifamily mortgage debt outstanding data is not yet available.

n	 U.S. single-family mortgage debt outstanding 

increased year-over-year, primarily driven by house 

price appreciation and first-time homebuyers. An 

increase in U.S. single-family mortgage debt 

outstanding typically results in the growth of our 

Single-Family mortgage portfolio.

n	 Our share of multifamily mortgage debt outstanding 

decreased in 1Q 2022 as we accounted for a smaller 

share of total multifamily mortgage debt origination 

volume. This reduction in our share of mortgage debt 

origination volume was driven by significant 

competition during 1Q 2022.

Management's Discussion and Analysis Market Conditions and Economic Indicators

Freddie Mac 2Q 2022 Form 10-Q 7
Delinquency Rates

Single-Family Serious Delinquency Rates

1.86%

1.46%

1.12% 0.92% 0.76%

4.03%

3.40%

2.83%

2.39%

Freddie Mac

Total mortgage market

2Q21 3Q21 4Q21 1Q22 2Q22

Source: National Delinquency Survey from the Mortgage Bankers Association. 

2Q 2022 total mortgage market rate is not yet available.

Multifamily Delinquency Rates

0.15%

0.12%

0.08% 0.08% 0.07%

1.28% 1.30%

1.41%

1.26%

1.12%

0.28% 0.30%

0.25%

0.22%

0.08%

0.00% 0.00% 0.00%

Freddie Mac

Multifamily CMBS market

FDIC insured institutions

ACLI investment bulletin

2Q21 3Q21 4Q21 1Q22 2Q22 Source: Freddie Mac, FDIC Quarterly Banking Profile, Intex Solutions, Inc., and 

Wells Fargo Securities (Multifamily CMBS market, excluding REOs), American 

Council of Life Insurers (ACLI). The 2Q 2022 delinquency rates for FDIC insured 

institutions and ACLI investment bulletin are not yet available.

n	 Our Single-Family serious delinquency rate is based 

on the number of loans in our Single-Family mortgage 

portfolio that are three monthly payments or more past 

due or in the process of foreclosure.

n	 Our Single-Family serious delinquency rate declined 

quarter-over-quarter and year-over-year, due primarily 

to borrowers exiting forbearance and completing loan 

workout activities that return their mortgages to 

current status.

n	 Our Multifamily delinquency rate is based on the UPB 

of loans in our Multifamily mortgage portfolio that are 

two monthly payments or more past due or in the 

process of foreclosure.

n	 Our Multifamily delinquency rate remains low 

compared to many other market participants.

Management's Discussion and Analysis Market Conditions and Economic Indicators

Freddie Mac 2Q 2022 Form 10-Q 8
CONSOLIDATED RESULTS OF OPERATIONS

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

financial statements and accompanying notes. 

The table below compares our summarized consolidated results of operations. Certain amounts in the prior period have been 

reclassified to conform to the current presentation. See Note 1 for additional information about the prior period 

reclassifications.

Table 1 - Summary of Consolidated Results of Operations

Change Change

(Dollars in millions) 2Q 2022 2Q 2021 $ % YTD 2022 YTD 2021 $ %

Net interest income $4,759 $4,767 ($8) — % $8,863 $8,406 $457 5 %

Guarantee income 205 356 (151) (42) 275 604 (329) (54) 

Investment gains (losses), net 321 636 (315) (50) 1,834 1,844 (10) (1) 

Other income (loss) 119 107 12 11 278 285 (7) (2) 

Net revenues 5,404 5,866 (462) (8) 11,250 11,139 111 1 

Benefit (provision) for credit 

losses (307) 740 (1,047) (141) 530 936 (406) (43) 

Salaries and employee benefits (376) (346) (30) (9) (732) (690) (42) (6) 

Credit enhancement expense (558) (369) (189) (51) (1,017) (704) (313) (44) 

Benefit for (decrease in) credit 

enhancement recoveries (1) (193) 192 99 (18) (450) 432 96 

Legislative assessments expense (748) (696) (52) (7) (1,507) (1,387) (120) (9) 

Other expense (337) (365) 28 8 (678) (726) 48 7 

Non-interest expense (2,020) (1,969) (51) (3) (3,952) (3,957) 5 — 

Income (loss) before income tax 

(expense) benefit 3,077 4,637 (1,560) (34) 7,828 8,118 (290) (4) 

Income tax (expense) benefit (624) (958) 334 35 (1,577) (1,672) 95 6 

Net income (loss) 2,453 3,679 (1,226) (33) 6,251 6,446 (195) (3) 

Other comprehensive income 

(loss), net of taxes and 

reclassification adjustments

 (66) (68) 2 3 (186) (457) 271 59 

Comprehensive income (loss) $2,387 $3,611 ($1,224) (34) % $6,065 $5,989 $76 1 %

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 2Q 2022 Form 10-Q 9
Net Revenues

Net Interest Income

The table below presents the components of net interest income.

Table 2 - Components of Net Interest Income 

Change Change

(Dollars in millions) 2Q 2022 2Q 2021 $ % YTD 2022 YTD 2021 $ %

Guarantee net interest income:

Contractual net interest income(1) $3,468 $2,669 $799 30 % $6,802 $5,017 $1,785 36 %

Deferred fee income 944 1,723 (779) (45) 1,986 2,774 (788) (28) 

Total guarantee net interest income 4,412 4,392 20 — 8,788 7,791 997 13 

Investments net interest income 693 827 (134) (16) 1,272 1,776 (504) (28) 

Income (expense) from hedge accounting (346) (452) 106 23 (1,197) (1,161) (36) (3) 

Net interest income $4,759 $4,767 ($8) — % $8,863 $8,406 $457 5 %

(1) Includes majority of amounts previously presented as net interest income related to the legislated guarantee fees. Prior period amounts have been reclassified to 

conform to the current period presentation.

Key Drivers:

n Guarantee net interest income 

l	 2Q 2022 vs. 2Q 2021 and YTD 2022 vs. YTD 2021 - Increased primarily driven by continued mortgage portfolio 

growth and higher average portfolio guarantee fee rates, partially offset by lower deferred fee income, which was 

driven by slower prepayments as a result of higher mortgage interest rates.

n Investments net interest income 

l	 2Q 2022 vs. 2Q 2021 and YTD 2022 vs. YTD 2021 - Decreased primarily due to a decline in the size of the mortgagerelated investments portfolio.

n Income (expense) from hedge accounting

l	 2Q 2022 vs. 2Q 2021 - Expense decreased primarily due to lower amortization of hedge accounting-related basis 

adjustments driven by a lower unamortized balance, partially offset by accruals of periodic cash settlements on 

derivatives in hedging relationships.

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 2Q 2022 Form 10-Q 10
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 

2Q 2022 2Q 2021

(Dollars in millions)

Average

Balance

Interest

Income

(Expense)

Average

Rate

Average

Balance

Interest

Income

(Expense)

Average

Rate

Interest-earning assets:

Cash and cash equivalents $14,628 $16 0.42 % $120,325 $1 — %

Securities purchased under agreements to resell 97,150 186 0.77 29,276 4 0.05 

Investment securities 50,655 464 3.66 58,068 617 4.26 

Mortgage loans(1) 2,953,930 19,324 2.62 2,568,878 14,590 2.27 

Other assets 4,250 18 1.71 5,388 18 1.29 

Total interest-earning assets 3,120,613 20,008 2.56 2,781,935 15,230 2.19 

Interest-bearing liabilities:

Debt of consolidated trusts 2,903,912 (14,595) (2.01) 2,479,641 (10,032) (1.62) 

Debt of Freddie Mac 174,018 (654) (1.50) 255,905 (431) (0.67) 

Total interest-bearing liabilities 3,077,930 (15,249) (1.98) 2,735,546 (10,463) (1.53) 

Impact of net non-interest-bearing funding 42,683 — 0.03 46,389 — 0.03 

Total funding of interest-earning assets 3,120,613 (15,249) (1.95) 2,781,935 (10,463) (1.50) 

Net interest income/yield $4,759 0.61 % $4,767 0.69 %

(1) Loan fees included in net interest income were $0.4 billion and $0.8 billion during 2Q 2022 and 2Q 2021, respectively.

YTD 2022 YTD 2021

(Dollars in millions)

Average

Balance

Interest

Income

(Expense)

Average

Rate

Average

Balance

Interest

Income

(Expense)

Average

Rate

Interest-earning assets:

Cash and cash equivalents $15,230 $19 0.24 % $92,734 $4 0.01 %

Securities purchased under agreements to resell 92,913 209 0.45 54,778 21 0.07 

Investment securities 50,514 848 3.36 57,374 1,227 4.28 

Mortgage loans(1) 2,927,495 36,634 2.50 2,511,102 27,845 2.22 

Other assets 4,892 38 1.53 5,495 35 1.28 

Total interest-earning assets 3,091,044 37,748 2.44 2,721,483 29,132 2.14 

Interest-bearing liabilities:

Debt of consolidated trusts 2,870,198 (27,844) (1.94) 2,410,850 (19,788) (1.64) 

Debt of Freddie Mac 178,299 (1,041) (1.17) 265,390 (938) (0.71) 

Total interest-bearing liabilities 3,048,497 (28,885) (1.89) 2,676,240 (20,726) (1.55) 

Impact of net non-interest-bearing funding 42,547 — 0.03 45,243 — 0.03 

Total funding of interest-earning assets 3,091,044 (28,885) (1.86) 2,721,483 (20,726) (1.52) 

Net interest income/yield $8,863 0.58 % $8,406 0.62 %

(1) Loan fees included in net interest income were $0.9 billion and $1.8 billion during YTD 2022 and YTD 2021, respectively.

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 2Q 2022 Form 10-Q 11
Guarantee Income

The table below presents the components of guarantee income. 

Table 4 - Components of Guarantee Income

Change Change

(Dollars in millions) 2Q 2022 2Q 2021 $ % YTD 2022 YTD 2021 $ %

Contractual guarantee fees $322 $304 $18 6 % $640 $589 $51 9 %

Guarantee obligation amortization 306 288 18 6 605 560 45 8 

Guarantee asset fair value changes (423) (236) (187) (79) (970) (545) (425) (78) 

Guarantee income $205 $356 ($151) (42) % $275 $604 ($329) (54) %

Key Drivers:

n	 2Q 2022 vs. 2Q 2021 and YTD 2022 vs. YTD 2021 - Decreased as continued growth in our Multifamily guarantee portfolio 

was offset by the impact of higher interest rates on the fair values of our guarantee assets.

Investment Gains (Losses), Net

The table below presents the components of investment gains (losses), net.

Table 5 - Investment Gains (Losses), Net 

Change Change

(Dollars in millions) 2Q 2022 2Q 2021 $ % YTD 2022 YTD 2021 $ %

Single-Family $232 $137 $95 69 % $1,484 $437 $1,047 240 %

Multifamily 89 499 (410) (82) 350 1,407 (1,057) (75) 

Investment gains (losses), net $321 $636 ($315) (50) % $1,834 $1,844 ($10) (1) %

Key Drivers:

n	 2Q 2022 vs. 2Q 2021 - Decreased primarily driven by lower gains in Multifamily due to lower margins on new loan 

purchases and securitizations.

n	 YTD 2022 vs. YTD 2021 - Decreased primarily driven by lower gains in Multifamily due to spread widening and lower 

margins on new loan purchases and securitizations. This was offset by higher gains in Single-Family due to mark-to-market 

gains on commitments to sell guaranteed mortgage-related securities used to economically hedge the securitization 

pipeline, as spreads on agency mortgage-related securities widened during YTD 2022.

Benefit (Provision) for Credit Losses

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

Table 6 - Benefit (Provision) for Credit Losses 

Change Change

(Dollars in millions) 2Q 2022 2Q 2021 $ % YTD 2022 YTD 2021 $ %

 Single-Family ($298) $686 ($984) (143) % $533 $832 ($299) (36) %

 Multifamily (9) 54 (63) (117) (3) 104 (107) (103) 

Benefit (provision) for credit losses ($307) $740 ($1,047) (141) % $530 $936 ($406) (43) %

Key Drivers:

n 2Q 2022 vs. 2Q 2021 - A provision for credit losses in 2Q 2022, primarily driven by portfolio growth and deterioration in 

forecasted economic conditions, compared to a benefit for credit losses in 2Q 2021, which was primarily driven by a 

reserve release due to observed house price appreciation and improving economic conditions.

n YTD 2022 vs. YTD 2021 - Benefit for credit losses decreased primarily due to portfolio growth and deterioration in 

forecasted economic conditions.

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 2Q 2022 Form 10-Q 12
Non-Interest Expense

Credit Enhancement Expense

Key Drivers:

n	 2Q 2022 vs. 2Q 2021 and YTD 2022 vs. YTD 2021 - Increased $0.2 billion and $0.3 billion, respectively, due to higher 

outstanding cumulative volumes of CRT transactions and higher spreads. 

Legislative Assessments Expense

Legislative assessments expense relates to two fees: (1) the legislated guarantee fees on single-family loans that we are 

required to remit to Treasury and (2) the fee imposed on Freddie Mac's total new business purchases that is allocated to the 

affordable housing funds and remitted to Treasury and HUD. The legislated guarantee fees relate to the 10 basis point increase 

in guarantee fees implemented at the direction of FHFA pursuant to the Temporary Payroll Tax Cut Continuation Act of 2011 as 

extended by the Infrastructure Investment and Jobs Act. The affordable housing funds allocation relates to the GSE Act 

requirement to set aside in each fiscal year an amount equal to 4.2 basis points of each dollar of total new business purchases, 

and pay such amount to certain housing funds. We are prohibited from passing through the costs of the affordable housing 

funds allocation to the originators of the loans that we purchase.

The table below presents the components of legislative assessments expense.

Table 7 - Components of Legislative Assessments Expense

Change Change

(Dollars in millions) 2Q 2022 2Q 2021 $ % YTD 2022 YTD 2021 $ %

Legislated guarantee fees expense ($684) ($570) ($114) (20) % ($1,350) ($1,104) ($246) (22) %

Affordable housing funds allocation (64) (126) 62 49 (157) (283) 126 45 

Legislative assessments expense ($748) ($696) ($52) (7) % ($1,507) ($1,387) ($120) (9) %

Key Drivers:

n	 2Q 2022 vs. 2Q 2021 and YTD 2022 vs. YTD 2021 - 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 primarily 

due to lower Single-Family new business activity.

Management's Discussion and Analysis Consolidated Results of Operations

Freddie Mac 2Q 2022 Form 10-Q 13
CONSOLIDATED BALANCE SHEETS ANALYSIS

The table below compares our summarized condensed consolidated balance sheets.

Table 8 - Summarized Condensed Consolidated Balance Sheets

Change

(Dollars in millions) June 30, 2022 December 31, 2021 $ %

Assets:

Cash and cash equivalents $5,257 $10,150 ($4,893) (48) %

Securities purchased under agreements to resell 86,496 71,203 15,293 21 

Subtotal 91,753 81,353 10,400 13 

Investment securities, at fair value 48,937 53,015 (4,078) (8) 

Mortgage loans, net 2,966,864 2,848,109 118,755 4 

Accrued interest receivable, net 7,871 7,474 397 5 

Deferred tax assets, net 5,552 6,214 (662) (11) 

Other assets 24,604 29,421 (4,817) (16) 

Total assets $3,145,581 $3,025,586 $119,995 4 %

Liabilities and Equity:

Liabilities:

Accrued interest payable $6,594 $6,268 $326 5 %

Debt 3,093,178 2,980,185 112,993 4 

Other liabilities 11,711 11,100 611 6 

Total liabilities 3,111,483 2,997,553 113,930 4 

Total equity 34,098 28,033 6,065 22 

Total liabilities and equity $3,145,581 $3,025,586 $119,995 4 %

Key Drivers:

As of June 30, 2022 compared to December 31, 2021:

n	 Cash and cash equivalents and securities purchased under agreements to resell increased on a combined basis 

primarily due to sales of mortgage-related and Treasury securities and cash window funding volume that was lower than 

forecasted, partially offset by a decrease in trust cash driven by lower loan prepayments.

n	 Mortgage loans, net and debt increased primarily due to the increase in the size of the Single-Family mortgage portfolio.

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

Management's Discussion and Analysis Consolidated Balance Sheets Analysis 

Freddie Mac 2Q 2022 Form 10-Q 14
OUR PORTFOLIOS

Mortgage Portfolio

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

Table 9 - Mortgage Portfolio 

June 30, 2022 December 31, 2021

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

Securitized mortgage loans:

Held by consolidated trusts $2,846,616 $23,617 $2,870,233 $2,706,514 $18,757 $2,725,271

Held by nonconsolidated trusts 32,335 364,977 397,312 33,340 362,627 395,967

Total securitized mortgage loans 2,878,951 388,594 3,267,545 2,739,854 381,384 3,121,238 

Unsecuritized mortgage loans:

Securitization pipeline and other loans 13,658 16,270 29,928 21,189 22,771 43,960 

Seasoned loans 25,359 — 25,359 20,594 — 20,594 

Total unsecuritized mortgage loans 39,017 16,270 55,287 41,783 22,771 64,554 

Other 9,961 10,191 20,152 10,587 10,508 21,095 

Total mortgage portfolio $2,927,929 $415,055 $3,342,984 $2,792,224 $414,663 $3,206,887 

Guarantee Portfolio

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

Table 10 - Guarantee Portfolio 

June 30, 2022 December 31, 2021

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

Guaranteed mortgage-related securities:

Issued by consolidated trusts $2,865,017 $23,798 $2,888,815 $2,744,899 $18,883 $2,763,782 

Issued by nonconsolidated trusts 26,508 321,811 348,319 27,538 318,756 346,294 

Total guaranteed mortgage-related securities 2,891,525 345,609 3,237,134 2,772,437 337,639 3,110,076 

Other 9,961 10,191 20,152 10,587 10,508 21,095 

Total guarantee portfolio $2,901,486 $355,800 $3,257,286 $2,783,024 $348,147 $3,131,171 

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 $250 billion, 

which will be reduced to $225 billion on December 31, 2022. 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 

Conservatorship and Related Matters section in our 2021 Annual Report.

Management's Discussion and Analysis Our Portfolios

Freddie Mac 2Q 2022 Form 10-Q 15
The table below presents the details of our mortgage-related investments portfolio.

Table 11 - Mortgage-Related Investments Portfolio

June 30, 2022 December 31, 2021

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

Unsecuritized mortgage loans $39,017 $16,270 $55,287 $41,783 $22,771 $64,554 

Mortgage-related securities 21,161 4,398 25,559 43,357 3,100 46,457 

Mortgage-related investments portfolio $60,178 $20,668 $80,846 $85,140 $25,871 $111,011 

10% of notional amount of interest-only

securities $22,668 $12,517 

Mortgage-related investments portfolio for

purposes of Purchase Agreement cap 103,514 123,528 

Other Investments Portfolio

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

Table 12 - Other Investments Portfolio 

June 30, 2022 December 31, 2021

(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 $4,401 $756 $100 $5,257 $8,455 $1,596 $99 $10,150 

Securities purchased under 

agreements to resell 76,963 18,400 1,110 96,473 43,729 34,000 807 78,536 

Non-mortgage-related securities 28,350 — 3,010 31,360 28,078 — 4,695 32,773 

Other assets — — 6,780 6,780 — — 8,194 8,194 

Other investments portfolio $109,714 $19,156 $11,000 $139,870 $80,262 $35,596 $13,795 $129,653 

(1) Represents carrying value.

Management's Discussion and Analysis Our Portfolios

Freddie Mac 2Q 2022 Form 10-Q 16
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 (Loss) 

The graphs below show our net revenues and net income (loss) by segment. 

Segment Net Revenues

(In billions)

$5.9

$5.2 $5.6 $5.8 $5.4

$11.1 $11.3

$4.7 $3.9 $4.7 $5.2 $4.9

$8.5

$10.1 $1.2

$1.3

$0.9 $0.6 $0.5

$2.6

$1.2

Single-Family Multifamily

2Q21 3Q21 4Q21 1Q22 2Q22 YTD21 YTD22

Segment Net Income (Loss)

(In billions)

$3.7

$2.9 $2.7

$3.8

$2.5

$6.4 $6.3

$2.9

$2.0 $2.2

$3.4

$2.2

$4.6

$5.6

$0.8

$0.9 $0.5

$0.4

$0.3

$1.8

$0.7

Single-Family Multifamily

2Q21 3Q21 4Q21 1Q22 2Q22 YTD21 YTD22

Management's Discussion and Analysis Our Business Segments

Freddie Mac 2Q 2022 Form 10-Q 17
Single-Family 

Business Results

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

New Business Activity

UPB of Single-Family Loan Purchases and Guarantees by Loan 

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

Acquisitions

(UPB in billions, guarantee fee rate in bps) 

$288 $299 $271

$207

$138

$650

$345

$98 $132 $111 $93 $86

$187 $179

$190 $167 $160

$114

$52

$463

$166

49 48 4749

52

50 50

Home purchase

Refinance

Average guarantee fee rate charged

on new acquisitions

2Q21 3Q21 4Q21 1Q22 2Q22 YTD21 YTD22

(1) 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)

1,023 1,027 955

691

468

2,254

1,159

315 415 357 279 263

606 542

708 612 598

412 205

1,648

617

$282,000 $291,000 $284,000

$300,000 $294,000 $288,000 $297,000

Home purchase borrowers

Refinance borrowers

Average loan UPB of new acquisitions

2Q21 3Q21 4Q21 1Q22 2Q22 YTD21 YTD22

n	 2Q 2022 vs. 2Q 2021 and YTD 2022 vs. YTD 2021

l Our loan purchase and guarantee activity decreased as refinance activity slowed significantly due to higher mortgage 

interest rates. We expect volume for the remainder of the year to be lower than 2021 due in part 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.

l The average guarantee fee rate charged on new acquisitions increased in 2Q 2022 compared to 2Q 2021 primarily due 

to higher credit fees for certain high balance loans and second home loans we began to charge in April 2022.

l We manage our new acquisitions in accordance with our risk limits and guidance from FHFA, including certain 

thresholds established by FHFA based on the ERCF framework. This may affect the volume and characteristics of our 

loan acquisitions.

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

Freddie Mac 2Q 2022 Form 10-Q 18
Single-Family Mortgage Portfolio

Single-Family Mortgage Portfolio and Average Guarantee Fee 

Rate(1) Charged on Mortgage Portfolio

(UPB in billions, guarantee fee rate in bps)

$2,564 $2,682 $2,792 $2,884 $2,928

46 46 46

47 47

Single-Family mortgage portfolio

Average guarantee fee rate charged

on mortgage portfolio

06/30/21 09/30/21 12/31/21 03/31/22 06/30/22

(1) Guarantee fee rate calculation excludes the legislated guarantee fees. 

Guarantee fee rate calculation also excludes certain loans, the majority of 

which are held by VIEs that we do not consolidate. The UPB of these 

excluded loans was $45 billion as of June 30, 2022.

Single-Family Mortgage Loans

(Loan count in millions)

12.5 12.8 13.1 13.4 13.5

$204,000 $209,000 $213,000 $216,000 $217,000

Single-Family mortgage portfolio

Average loan UPB

06/30/21 09/30/21 12/31/21 03/31/22 06/30/22

n	 Our Single-Family mortgage portfolio grew $364 billion, or 14%, year-over-year, primarily driven by an increase in average 

portfolio loan size and a higher share of the overall market. The increase in the average portfolio loan size was driven by 

house price appreciation contributing to new business acquisitions having a larger loan size compared to older vintages 

that continued to run off.

n	 The average guarantee fee rate charged on our Single-Family mortgage portfolio increased year-over-year as older 

vintages with lower charged guarantee fee rates were replaced by acquisitions of new loans with higher charged guarantee 

fee rates.

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

Freddie Mac 2Q 2022 Form 10-Q 19
CRT Activities

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

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

in our Single-Family mortgage portfolio. 

 UPB Covered by New CRT Issuance New CRT Issuance Maximum Coverage

 (In billions) (In billions)

$174 $167

$242

$208

$151

$419

$358

2Q21 3Q21 4Q21 1Q22 2Q22 YTD21 YTD22

$3

$5

$6

$8

$7

$10

$15

2Q21 3Q21 4Q21 1Q22 2Q22 YTD21 YTD22

n	 2Q 2022 vs. 2Q 2021 and YTD 2022 vs. YTD 2021

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

LTV ratios between 60% and 97%) increased to 73% and 70% during 2Q 2022 and YTD 2022, respectively, from 61% 

during the 2021 periods, primarily driven by higher LTV ratios of recently acquired loans and an increase in the 

percentage of 30-year loan acquisitions.

l The UPB of mortgage loans covered by CRT transactions issued during the 2022 periods decreased compared to the 

2021 periods due to a decrease in loan acquisition activity in recent quarters. The related maximum coverage 

increased as we obtained a higher amount of credit coverage on the recently acquired loans in response to higher 

capital requirements under the ERCF.

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. See MD&A - Liquidity and 

Capital Resources - Capital Resources for additional information on the ERCF.

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

Freddie Mac 2Q 2022 Form 10-Q 20
Loss Mitigation Activities 

The following graph provides details about the single-family loan workout activities that were completed during the period. The 

forbearance data included below is limited to loans in forbearance that are past due based on the loans' original contractual 

terms and excludes both loans for which we do not control servicing and loans included in certain legacy transactions, as the 

forbearance data for such loans is either not reported to us by the servicers or is otherwise not readily available to us.

Completed Loan Workout Activity

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

88

73

62

49

37

182

86

27

21 16

9 7

65

16

55

45

39

23

16

105

39

5

6

6

16

13

9

29

1

1

1

1

1

3

2

$19

$16

$14

$11

$9

$39

$20

Forbearance plans Payment deferral plans Loan modifications Other(1) Total UPB

2Q21 3Q21 4Q21 1Q22 2Q22 YTD21 YTD22

(1) 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 quarter, such as forbearance plans 

that had been initiated but not completed and trial period modifications. There were approximately 36,000 loans in active 

forbearance plans and 15,000 loans in other active loss mitigation activity as of June 30, 2022. 

n 2Q 2022 vs. 2Q 2021 and YTD 2022 vs. YTD 2021 - Our loan workout activity decreased as the overall forbearance 

population continued to decline.

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

Freddie Mac 2Q 2022 Form 10-Q 21
Financial Results 

The table below presents the components of net income and comprehensive income for our Single-Family segment. 

Table 13 - Single-Family Segment Financial Results 

Change Change

(Dollars in millions) 2Q 2022 2Q 2021 $ %

YTD 

2022

YTD 

2021 $ %

Net interest income $4,535 $4,460 $75 2 % $8,341 $7,768 $573 7 %

Non-interest income 336 255 81 32 1,744 796 948 119 

Net revenues 4,871 4,715 156 3 10,085 8,564 1,521 18 

Benefit (provision) for credit losses (298) 686 (984) (143) 533 832 (299) (36) 

Non-interest expense (1,854) (1,803) (51) (3) (3,632) (3,612) (20) (1) 

Income (loss) before income tax (expense) benefit 2,719 3,598 (879) (24) 6,986 5,784 1,202 21 

Income tax (expense) benefit (551) (743) 192 26 (1,407) (1,191) (216) (18) 

Net income (loss) 2,168 2,855 (687) (24) 5,579 4,593 986 21 

Other comprehensive income (loss), net of taxes and 

reclassification adjustments 5 (74) 79 107 (7) (402) 395 98 

Comprehensive income (loss) $2,173 $2,781 ($608) (22) % $5,572 $4,191 $1,381 33 %

Key Business Drivers:

n	2Q 2022 vs. 2Q 2021 and YTD 2022 vs. YTD 2021

l A provision for credit losses in 2Q 2022, primarily driven by portfolio growth and deterioration in forecasted economic 

conditions, compared to a benefit for credit losses in 2Q 2021, which was primarily driven by a reserve release due to 

observed house price appreciation and improving economic conditions. The lower benefit for credit losses for YTD 

2022 compared to YTD 2021 was driven by the same factors.

l Higher net interest income primarily due to continued mortgage portfolio growth and higher average portfolio 

guarantee fee rates, partially offset by lower deferred fee income, which was driven by slower prepayments as a result 

of higher mortgage interest rates.

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

Freddie Mac 2Q 2022 Form 10-Q 22
Multifamily 

Business Results

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

New Business Activity

New Business Activity 

 (In billions) 

$13

$18

$25

$15 $15

$27

$30

2Q21 3Q21 4Q21 1Q22 2Q22 YTD21 YTD22

 Total Number of Units Financed

 (In thousands)

137

161

223

144 149

271

293

2Q21 3Q21 4Q21 1Q22 2Q22 YTD21 YTD22

n	 As of June 30, 2022, the total multifamily new business activity subject to the FHFA 2022 loan purchase cap of $78 billion 

was $29.6 billion. Approximately 75% of this activity, based on UPB, was mission-driven, affordable housing, with 

approximately 42% being affordable to renters at or below 60% of AMI, both currently exceeding FHFA's minimum 

requirements (50% and 25%, respectively).

n	 While our new business activity was higher year-over-year, ongoing competition from other market participants and rising 

interest rates are expected to negatively impact our new business activities for the remainder of 2022.

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

assets, were $19.4 billion and $18.7 billion as of June 30, 2022 and June 30, 2021, respectively.

Management's Discussion and Analysis Our Business Segments | Multifamily

Freddie Mac 2Q 2022 Form 10-Q 23
Multifamily Mortgage Portfolio and Guarantee Portfolio

 Mortgage Portfolio

 (In billions) 

$398

$404

$415 $415 $415

4,627 4,624 4,652

4,616

4,562

UPB of mortgage portfolio

Total units financed (in thousands)

06/30/21 09/30/21 12/31/21 3/31/22 06/30/22

 

 Guarantee Portfolio

 (In billions) 

$337 $341 $348 $352 $356

41

42 42

43 43

UPB of guarantee portfolio

Average guarantee fee rate charged (bps)

06/30/21 09/30/21 12/31/21 3/31/22 06/30/22

n	 Our Multifamily mortgage and guarantee portfolios increased year-over-year primarily due to ongoing loan purchase and 

securitization activities. 

n	 While the mortgage portfolio increased year-over-year, total portfolio unit count decreased, primarily driven by the impact 

of portfolio payoffs and higher average per unit costs of newly financed multifamily properties as a result of property price 

appreciation.

n	 In addition to our Multifamily mortgage portfolio, we own equity interests in LIHTC fund partnerships with carrying values 

totaling $2.2 billion and $1.6 billion as of June 30, 2022 and June 30, 2021, respectively. 

Management's Discussion and Analysis Our Business Segments | Multifamily

Freddie Mac 2Q 2022 Form 10-Q 24
CRT Activities

 UPB Covered by New CRT Issuance New CRT Issuance Maximum Coverage 

 (In billions) (In billions)

$17 $18

$23

$14

$21

$43

$35

2Q21 3Q21 4Q21 1Q22 2Q22 YTD21 YTD22

 

$1.3 $1.3

$1.5

$1.0

$1.3

$3.2

$2.3

2Q21 3Q21 4Q21 1Q22 2Q22 YTD21 YTD22

n	 2Q 2022 vs. 2Q 2021

l The UPB of mortgage loans covered by CRT transactions increased primarily due to the issuance of a SCR Trust note 

and a MCIP transaction in 2Q 2022. Despite the increase in CRT UPB, the maximum coverage provided by these 

activities remained flat due to lower average subordination levels on our K Certificate transactions issued during 2Q 

2022. The lower subordination levels are still expected to absorb a substantial amount of expected and stressed credit 

losses.

n	 YTD 2022 vs. YTD 2021

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

securitizations during YTD 2022 as a result of a smaller average securitization pipeline.

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

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

Management's Discussion and Analysis Our Business Segments | Multifamily

Freddie Mac 2Q 2022 Form 10-Q 25
Financial Results

The table below presents the components of net income and comprehensive income for our Multifamily segment. 

Table 14 - Multifamily Segment Financial Results 

Change Change

(Dollars in millions) 2Q 2022 2Q 2021 $ % YTD 2022 YTD 2021 $ %

Net interest income $224 $307 ($83) (27) % $522 $638 ($116) (18) %

Guarantee income 170 346 (176) (51) 210 505 (295) (58) 

Investment gains (losses), net 89 499 (410) (82) 350 1,407 (1,057) (75) 

Other income (loss) 50 (1) 51 5,100 83 25 58 232 

Net revenues 533 1,151 (618) (54) 1,165 2,575 (1,410) (55) 

Benefit (provision) for credit losses (9) 54 (63) (117) (3) 104 (107) (103) 

Non-interest expense (166) (166) — — (320) (345) 25 7 

Income (loss) before income tax (expense) 

benefit 358 1,039 (681) (66) 842 2,334 (1,492) (64) 

Income tax (expense) benefit (73) (215) 142 66 (170) (481) 311 65 

Net income (loss) 285 824 (539) (65) 672 1,853 (1,181) (64) 

Other comprehensive income (loss), net of taxes and 

reclassification adjustments (71) 6 (77) (1,283) (179) (55) (124) (225) 

Comprehensive income (loss) $214 $830 ($616) (74) % $493 $1,798 ($1,305) (73) %

Key Business Drivers: 

n	 2Q 2022 vs. 2Q 2021

l Lower guarantee income as continued growth in our guarantee portfolio was offset by the impact of higher interest 

rates on the fair values of our guarantee assets. 

l Lower net investment gains due to lower margins on new loan purchases and securitizations. 

n	 YTD 2022 vs. YTD 2021

l Lower guarantee income as continued growth in our guarantee portfolio was offset by the impact of higher interest 

rates on the fair values of our guarantee assets.

l Lower net investment gains due to spread widening and lower margins on new loan purchases and securitizations. 

Management's Discussion and Analysis Our Business Segments | Multifamily

Freddie Mac 2Q 2022 Form 10-Q 26
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, strategic risk, reputation risk, and legal risk.

Credit Risk

Allowance for Credit Losses

In 1Q 2022, we adopted accounting guidance that eliminates the recognition and measurement of TDRs. Upon adoption of this 

guidance, we no longer measure an allowance for credit losses for TDRs we reasonably expect will occur, and we no longer 

recognize an incremental allowance for credit losses for the economic concession granted to a borrower experiencing financial 

difficulty for changes in the timing and amount of contractual cash flows when a loan is restructured. See Note 3 for additional 

information on the adoption of this new accounting guidance.

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

ratios. 

Table 15 - Allowance for Credit Losses Activity 

2Q 2022 2Q 2021 YTD 2022 YTD 2021

 (Dollars in 

millions) 

SingleFamilyMultifamily TotalSingleFamilyMultifamily TotalSingleFamilyMultifamily TotalSingleFamilyMultifamily Total

Allowance for credit losses:

Beginning 

balance $4,849 $72 $4,921 $6,130 $150 $6,280 $5,440 $78 $5,518 $6,353 $200 $6,553 

Provision (benefit) 

for credit losses 298 9 307 (686) (54) (740) (533) 3 (530) (832) (104) (936) 

 Charge-offs (107) — (107) (203) — (203) (280) — (280) (441) — (441) 

 Recoveries 

collected 43 — 43 61 — 61 95 — 95 107 — 107 

Net charge-offs (64) — (64) (142) — (142) (185) — (185) (334) — (334) 

Other(1) 259 — 259 211 — 211 620 — 620 326 — 326 

Ending 

balance $5,342 $81 $5,423 $5,513 $96 $5,609 $5,342 $81 $5,423 $5,513 $96 $5,609 

Average loans 

outstanding 

during the 

period(2) $2,917,015 $29,805 $2,946,820 $2,544,845 $22,644 $2,567,489 $2,892,734 $28,942 $2,921,676 $2,483,190 $22,632 $2,505,822

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 $4,904 $35 $4,939 $4,601 $47 $4,648 

Advances of preforeclosure costs 380 — 380 691 — 691 

Accrued interest 

receivable on 

mortgage loans 6 — 6 168 — 168 

Off-balance sheet 

credit exposures 52 46 98 53 49 102 

Total ending 

balance $5,342 $81 $5,423 $5,513 $96 $5,609 

(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. 

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2022 Form 10-Q 27
Table 16 - Allowance for Credit Losses Ratios

June 30, 2022 December 31, 2021

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

Allowance for credit losses on mortgage loans held-forinvestment $4,904 $35 $4,939 $4,913 $34 $4,947 

Total loans outstanding(1) 2,928,818 30,645 2,959,463 2,806,535 26,743 2,833,278 

Non-accrual loans(1) 12,018 42 12,060 18,650 — 18,650 

Allowance for credit losses(2) to total loans outstanding 0.17 % 0.11 % 0.17 % 0.18 % 0.13 % 0.17 %

Non-accrual loans to total loans outstanding 0.41 0.14 0.41 0.66 — 0.66 

Allowance for credit losses(3) to non-accrual loans 40.81 83.33 40.95 26.34 NM 26.53 

(1) Based on amortized cost basis of held-for-investment loans. 

(2) Represents allowance for credit losses on total held-for-investment loans. 

(3) NM - not meaningful due to the non-accrual loans balance rounding to zero.

The ratio of non-accrual loans to total loans outstanding decreased and the ratio of allowance for credit losses to non-accrual 

loans increased as of June 30, 2022 compared to December 31, 2021 as borrowers continued to exit forbearance and 

completed loan workout activities that returned their mortgages to current status.

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. The charts 

below show the credit profile of the single-family loans we purchased or guaranteed.

Weighted Average Original LTV Ratio 

71% 72% 71% 72%

75%

70%

73%

2Q21 3Q21 4Q21 1Q22 2Q22 YTD21 YTD22

 Weighted Average Original Credit Score(1)

754 750 748 746 744

757

745

2Q21 3Q21 4Q21 1Q22 2Q22 YTD21 YTD22

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

(Equifax, Experian, and TransUnion). 

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2022 Form 10-Q 28
The table below contains additional information about the single-family loans we purchased or guaranteed.

Table 17 - Single-Family New Business Activity 

2Q 2022 2Q 2021 YTD 2022 YTD 2021

(Dollars in millions) Amount

% of 

Total Amount

% of 

Total Amount

% of 

Total Amount

% of 

Total

20- and 30-year or more, amortizing fixed-rate $124,910 91 % $241,604 84 % $306,887 89 % $552,014 85 %

15-year or less, amortizing fixed-rate 11,084 8 45,472 16 34,568 10 96,770 15 

Adjustable-rate 1,671 1 1,391 — 3,298 1 1,499 — 

Total $137,665 100 % $288,467 100 % $344,753 100 % $650,283 100 %

Percentage of purchases

DTI ratio > 45% 17 % 11 % 16 % 10 %

Original LTV ratio > 90% 19 11 16 9 

Transaction type:

Cash window 30 46 27 55 

Guarantor swap 70 53 73 45 

Other — 1 — — 

Property type:

Detached single-family houses and townhouses 92 92 93 93 

Condominium or co-op 8 8 7 7 

Occupancy type:

Primary residence 90 94 89 94 

Second home 2 3 4 3 

Investment property 8 3 7 3 

Loan purpose:

Purchase 62 34 52 29 

Cash-out refinance 28 23 31 21 

 Other refinance 10 43 17 50 

Transferring Credit Risk to Third-Party Investors 

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

and other credit enhancements.

Single-Family Mortgage Portfolio CRT Issuance

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

well as the maximum coverage provided by those transactions.

Table 18 - Single-Family Mortgage Portfolio CRT Issuance 

2Q 2022 2Q 2021

(In millions) UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2)

STACR $111,412 $4,783 $101,136 $1,500 

Insurance/reinsurance 37,700 1,489 69,203 1,567 

Other 1,551 248 3,232 409 

Total CRT issuance $150,663 $6,520 $173,571 $3,476 

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

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2022 Form 10-Q 29
YTD 2022 YTD 2021

(In millions) UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2)

STACR $234,974 $9,871 $277,843 $5,044 

Insurance/reinsurance 121,691 4,715 297,510 4,281 

Other 1,697 394 3,403 580 

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

Total CRT issuance $358,362 $14,980 $418,921 $9,905 

(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 insurance/reinsurance 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 19 - Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding 

June 30, 2022

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

Primary mortgage insurance(3) $577,678 20% $145,351 

STACR 1,156,106 40 35,817 

Insurance/reinsurance 937,143 32 19,146 

Other 40,500 1 10,624 

Less: UPB with multiple credit enhancements and other reconciling items(4) (985,403) (34) — 

Single-Family mortgage portfolio - credit-enhanced 1,726,024 59 210,938 

Single-Family mortgage portfolio - non-credit-enhanced 1,201,905 41 N/A

Total $2,927,929 100% $210,938 

December 31, 2021

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

Primary mortgage insurance(3) $545,293 20% $135,330 

STACR 1,024,013 37 32,641 

Insurance/reinsurance 914,003 33 16,209 

Other 42,273 1 10,598 

Less: UPB with multiple credit enhancements and other reconciling items(4) (1,034,546) (38) — 

Single-Family mortgage portfolio - credit-enhanced 1,491,036 53 194,778 

Single-Family mortgage portfolio - non-credit-enhanced 1,301,188 47 N/A

Total $2,792,224 100% $194,778 

(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 insurance/reinsurance 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. 

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.

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2022 Form 10-Q 30
Table 20 - Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family 

Mortgage Portfolio

June 30, 2022 December 31, 2021

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

Credit-enhanced:

 Primary mortgage insurance 20 % 1.22 % 20 % 1.79 %

 CRT and other 53 0.77 47 1.24 

Non-credit-enhanced 41 0.66 47 0.93 

Total N/A 0.76 N/A 1.12 

(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 Expenses and Recoveries 

The table below presents the details of the credit enhancement recovery receivables we have recognized within other assets on 

our condensed consolidated balance sheets.

Table 21 - Single-Family Credit Enhancement Receivables

(In millions) June 30, 2022 December 31, 2021

Freestanding credit enhancement expected recovery receivables, net of allowance $110 $114 

Primary mortgage insurance receivables(1), net of allowance 61 76 

Total credit enhancement receivables $171 $190 

(1) Excludes $0.4 billion of deferred payment obligations associated with unpaid claim amounts as of both June 30, 2022 and December 31, 2021. We have reserved 

for substantially all of these unpaid amounts as collectability is uncertain.

See MD&A - Consolidated Results of Operations for additional information on credit enhancement expense.

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 assess 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 22 - Credit Quality Characteristics of Our Single-Family Mortgage Portfolio 

June 30, 2022

(Dollars in millions) UPB

Original 

Credit

Score (1)

Current 

Credit

Score(1)(2)

Original

LTV Ratio

Current

LTV

Ratio

Current

LTV Ratio

>100%

Single-Family mortgage portfolio year of origination:

 2022 $254,434 744 743 74 % 70 % — %

 2021 1,094,052 752 756 71 59 — 

 2020 811,154 760 768 71 50 — 

 2019 139,712 746 751 76 49 — 

 2018 56,792 736 736 76 46 — 

 2017 and prior 571,785 737 751 75 34 — 

Total $2,927,929 750 756 72 52 — 

Referenced footnotes are included after the prior period table.

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2022 Form 10-Q 31
December 31, 2021

(Dollars in millions) UPB

Original 

Credit

Score (1)

Current 

Credit

Score(1)(2)

Original

LTV Ratio

Current

LTV

Ratio

Current

LTV Ratio

>100%

Single-Family mortgage portfolio year of origination:

 2021 $1,059,299 752 751 71 % 66 % — %

 2020 867,122 760 769 71 56 — 

 2019 157,971 746 751 76 55 — 

 2018 66,149 736 736 76 52 — 

 2017 88,800 741 746 75 46 — 

 2016 and prior 552,883 737 752 75 36 — 

Total $ 2,792,224 751 756 72 55 — 

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

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

also 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 23 - Single-Family Mortgage Portfolio Attribute Combinations 

June 30, 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(1)

% of 

Portfolio

SDQ 

Rate(1)

% of 

Portfolio

SDQ 

Rate(1)

% of 

Portfolio

SDQ 

Rate(1)

% of 

Portfolio SDQ Rate

% 

Modified(2)

< 620 0.8 % 6.18 % 0.1 % 11.06 % — % NM — % NM — % NM 0.9 % 6.69 % 8.5 %

620 to 679 5.1 2.31 1.9 2.09 0.2 2.01 % — NM — NM 7.2 2.26 3.6 

≥ 680 60.8 0.50 25.7 0.48 4.2 0.35 1.1 0.19 % — NM 91.8 0.49 0.6 

Not 

available 0.1 5.59 — NM — NM — NM — NM 0.1 5.64 19.6 

Total 66.8 % 0.79 27.7 % 0.67 4.4 % 0.51 1.1 % 0.42 — % NM 100.0 % 0.76 1.1 

December 31, 2021

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

Original credit 

score

% of 

Portfolio SDQ Rate

% of 

Portfolio

SDQ 

Rate(1)

% of 

Portfolio

SDQ 

Rate(1)

% of 

Portfolio

SDQ 

Rate(1)

% of 

Portfolio

SDQ 

Rate(1)

% of 

Portfolio SDQ Rate

% 

Modified(2)

< 620 0.8 % 6.69 % 0.2 % 11.68 % — % NM — % NM — % NM 1.0 % 7.50 % 8.5 %

620 to 679 4.4 3.29 2.3 3.05 0.3 2.56 % 0.1 2.57 % — NM 7.1 3.22 3.7 

≥ 680 51.9 0.80 32.3 0.78 5.3 0.54 2.3 0.25 — NM 91.8 0.78 0.6 

Not 

available 0.1 6.58 — NM — NM — NM — NM 0.1 6.85 18.7 

Total 57.2 % 1.19 34.8 % 1.04 5.6 % 0.77 2.4 % 0.47 — % NM 100.0 % 1.12 1.0

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

(2) Primarily includes loans modified through the Freddie Mac Flex Modification program.

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 2Q 2022 Form 10-Q 32
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 

0.73% 0.76% 0.81%0.73%

0.81%

0.21% 0.20% 0.20% 0.20% 0.19%

1.86%

1.46%

1.12%

0.92%

0.76%

One month past due Two months past due Seriously delinquent

2Q21 3Q21 4Q21 1Q22 2Q22

Our Single-Family serious delinquency rate decreased to 0.76% as of June 30, 2022, compared to 1.86% as of June 30, 2021, 

as borrowers continued to exit forbearance and completed loan workout activities that returned their mortgages to current 

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

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 

68% 67% 67% 67% 63%

69% 65%

2Q21 3Q21 4Q21 1Q22 2Q22 YTD21 YTD22

 Weighted Average Original DSCR

1.38 1.35 1.33 1.33 1.33 1.38 1.33

2Q21 3Q21 4Q21 1Q22 2Q22 YTD21 YTD22

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2022 Form 10-Q 33
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.

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 24 - Multifamily Mortgage Portfolio CRT Issuance

2Q 2022 2Q 2021 YTD 2022 YTD 2021

(In millions) UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2) UPB(1)

Maximum 

Coverage(2)

Subordination $14,781 $940 $16,929 $1,351 $28,886 $1,914 $38,043 $2,969 

SCR 5,982 141 — — 5,982 141 4,852 277 

Insurance/reinsurance 5,982 200 — — 5,982 200 — — 

Lender risk-sharing 214 26 — — 214 26 — — 

Less: UPB with more than 

one type of CRT (5,982) — — — (5,982) — — — 

Total CRT issuance $20,977 $1,307 $16,929 $1,351 $35,082 $2,281 $42,895 $3,246 

(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 insurance/reinsurance 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.

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 securitization 

transactions. As of June 30, 2022 and December 31, 2021, our maximum coverage provided by subordination in 

nonconsolidated VIEs was $43.2 billion and $43.9 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 25 - Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio

June 30, 2022 December 31, 2021

(Dollars in millions) UPB Delinquency Rate UPB Delinquency Rate

Credit-enhanced:

Subordination $362,668 0.06 % $360,113 0.08 %

Other 33,889 0.13 28,565 0.16 

Total credit-enhanced 396,557 0.07 388,678 0.08 

Non-credit-enhanced 18,498 0.14 25,985 0.05 

Total $415,055 0.07 $414,663 0.08 

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2022 Form 10-Q 34
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.

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

June 30, 2022 December 31, 2021

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 ($382) ($3,384) ($6,845) $368 $3,531 $7,101 

Guarantees(2) 96 616 1,333 (242) (1,181) (1,830) 

Total assets (286) (2,768) (5,512) 126 2,350 5,271 

Liabilities (33) 2,109 4,204 18 (2,385) (4,870) 

Derivatives 319 657 1,296 (144) 94 (217) 

Total $— ($2) ($12) $— $59 $184 

PVS $— $— $— $— $59 $184 

(1) The categorization of the PVS impact between assets, liabilities, and derivatives in 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 in this table.

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

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2022 Form 10-Q 35
Table 27 - Duration Gap and PVS Results 

2Q 2022 2Q 2021

(Duration gap in months, dollars in millions)

Duration

Gap

PVS-YC

25 bps

PVS-L

50 bps

Duration

Gap

PVS-YC

25 bps

PVS-L

50 bps

Average (0.1) $7 $6 0.3 $7 $17 

Minimum (0.4) — — (0.8) — — 

Maximum 0.1 18 29 1.0 24 93 

Standard deviation 0.1 5 9 0.3 6 23 

YTD 2022 YTD 2021

(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 — $8 $8 0.3 $7 $39 

Minimum (0.4) — — (0.8) — — 

Maximum 0.4 18 77 1.0 24 200 

Standard deviation 0.2 5 15 0.3 6 49 

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 28 - PVS-L Results Before Derivatives and After Derivatives

PVS-L (50 bps)

(In millions)

Before

Derivatives

After

Derivatives

Effect of

Derivatives

June 30, 2022(1) $670 $— ($670) 

December 31, 2021(2) 508 59 (449) 

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

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

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, 

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 

Management's Discussion and Analysis Risk Management

Freddie Mac 2Q 2022 Form 10-Q 36
the fair value option), or from changes in our future contractual net interest income due to repricing of our interest-bearing 

assets and liabilities. The before-tax results of this evaluation are shown in the table below.

Table 29 - Earnings Sensitivity to Changes in Interest Rates 

(In millions) June 30, 2022 June 30, 2021

Interest Rate Scenarios(1)

Parallel yield curve shifts: 

 +100 basis points $76 $19 

 -100 basis points (76) (19) 

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

 +100 basis points 114 (179) 

 -100 basis points (114) 179 

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

 +100 basis points (38) 197 

 -100 basis points 38 (197) 

(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 2Q 2022 Form 10-Q 37
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 are also required to comply with minimum liquidity 

requirements established by FHFA and to 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 30 - Liquidity Sources

(In millions) June 30, 2022(1) December 31, 2021(1) Description

Other Investments Portfolio - 

Liquidity and Contingency 

Operating Portfolio

 $109,714 $80,262 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  22,770 43,393 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 $4.0 billion and $3.5 billion as of June 30, 2022 and December 31, 2021, 

respectively.

The other investments portfolio also included cash collateral posted to us primarily by derivatives counterparties of $1.8 billion

and $1.2 billion as of June 30, 2022 and December 31, 2021, respectively. We have primarily invested this collateral in 

securities purchased under agreements to resell and non-mortgage-related securities as part of our liquidity and contingency 

operating portfolio, although the collateral may be subject to return to our counterparties based on the terms of our master 

netting and collateral agreements. 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.

Management's Discussion and Analysis Liquidity and Capital Resources 

Freddie Mac 2Q 2022 Form 10-Q 38
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 31 - Funding Sources 

(In millions) June 30, 2022(1) December 31, 2021(1) Description

Debt of Freddie Mac $159,063 $177,131 Debt of Freddie Mac is used to fund our business activities.

Debt of

Consolidated Trusts

 2,934,115 2,803,054 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 business activities. Competition for funding can vary depending on economic, 

financial market, and regulatory environments. We issue debt of Freddie Mac based on a variety of factors, including an 

assessment of market conditions, debt funding spreads, and our liquidity requirements. 

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

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

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

supporting the liquidity of our debt securities.

Table 32 - Debt of Freddie Mac Activity

2Q 2022 2Q 2021

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

Short-term:

Beginning balance $3,300 0.25 % $10,910 0.03 %

Issuances 2,165 1.45 — — 

Repayments — — (10,910) 0.03 

Maturities (2,350) 0.17 — — 

Ending balance 3,115 1.14 — — 

Securities sold under agreements to repurchase 9,977 1.06 4,620 (0.03) 

Offsetting arrangements (9,977) (4,620) 

Securities sold under agreements to repurchase, net — — — — 

Total short-term debt 3,115 1.14 — — 

Long-term:

Beginning balance 164,876 1.21 251,548 1.13 

Issuances 15,262 3.28 — — 

Repayments (71) 4.36 (11,806) 0.55 

Maturities (14,634) 0.42 (9,266) 0.87 

Total long-term debt 165,433 1.52 230,476 1.17 

Total debt of Freddie Mac, net $168,548 1.52 % $230,476 1.17 %

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

Management's Discussion and Analysis Liquidity and Capital Resources

Freddie Mac 2Q 2022 Form 10-Q 39
YTD 2022 YTD 2021

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

Short-term:

Beginning balance $— —% $4,955 1.31% 

Issuances 7,718 0.51 22,050 0.04 

Repayments — — (24,570) 0.15 

Maturities (4,603) 0.09 (2,435) 1.48 

Ending balance 3,115 1.14 — — 

Securities sold under agreements to repurchase 9,977 1.06 4,620 (0.03) 

Offsetting arrangements (9,977) (4,620) 

Securities sold under agreements to repurchase, net — — — — 

Total short-term debt 3,115 1.14 — — 

Long-term:

Beginning balance 181,613 1.11 281,386 1.12 

Issuances 17,072 3.17 1,090 0.60 

Repayments (1,905) 3.03 (37,016) 0.75 

Maturities (31,347) 0.26 (14,984) 1.40 

Total long-term debt 165,433 1.52 230,476 1.17 

Total debt of Freddie Mac, net $168,548 1.52 % $230,476 1.17 %

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

Total debt issuance and repayments decreased year-over-year primarily due to a lower mortgage-related investments portfolio 

balance and lower cash window purchase volume. As of June 30, 2022, our aggregate indebtedness pursuant to the Purchase 

Agreement was $168.6 billion, which was below the current $300.0 billion debt cap limit. Our aggregate indebtedness 

calculation primarily includes the par value of short- and long-term debt. Our outstanding total debt of Freddie Mac balance 

decreased from December 31, 2021 to June 30, 2022 primarily due to lower funding needs as discussed above.

Maturity and Redemption Dates

The following table presents the 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 33 - Maturity and Redemption Dates 

As of June 30, 2022 As of December 31, 2021

(Par value in millions) Contractual Maturity Date Earliest Redemption Date Contractual Maturity Date Earliest Redemption Date

Debt of Freddie Mac(1):

1 year or less $48,910 $123,997 $55,958 $118,436 

1 year through 2 years 34,191 23,256 38,688 35,724 

2 years through 3 years 20,921 3,972 13,274 1,745 

3 years through 4 years 31,937 9,198 35,436 12,076 

4 years through 5 years 5,145 46 4,717 87 

Thereafter 31,089 11,724 31,736 11,741 

STACR and SCR debt(2) 6,332 6,332 9,139 9,139 

Total debt of Freddie Mac $178,525 $178,525 $188,948 $188,948 

(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.

Management's Discussion and Analysis Liquidity and Capital Resources

Freddie Mac 2Q 2022 Form 10-Q 40
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 activities. 

The table below shows activity for the debt of consolidated trusts.

Table 34 - Debt of Consolidated Trusts Activity

(In millions) 2Q 2022 2Q 2021 YTD 2022 YTD 2021

Beginning balance $2,835,071 $2,376,691 $2,732,056 $2,240,602 

Issuances 203,919 394,018 499,166 804,141 

Repayments and extinguishments (161,268) (264,375) (353,500) (538,409) 

Ending balance 2,877,722 2,506,334 2,877,722 2,506,334 

Unamortized premiums and discounts 56,393 69,319 56,393 69,319 

Debt of consolidated trusts $2,934,115 $2,575,653 $2,934,115 $2,575,653 

Off-Balance Sheet Arrangements

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

be recorded in amounts that differ from the full contractual or notional amount of the transaction that affect our short- and longterm liquidity needs. Certain of these arrangements present credit risk exposure. See MD&A - Risk Management - Credit 

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

Guarantees

We have certain off-balance sheet arrangements related to our securitization and other mortgage-related guarantee activities. 

Our off-balance sheet arrangements related to securitization activities primarily consist of guaranteed K Certificates and SB 

Certificates. Our guarantee of these securitization activities and other mortgage-related guarantees may result in liquidity needs 

to cover potential cash flow shortfalls from borrower defaults. As of June 30, 2022 and December 31, 2021, the outstanding 

UPB of the guaranteed securities was $367.0 billion and $366.0 billion, respectively.

In addition to our securitization and other mortgage-related guarantees, we have certain other guarantees that are accounted 

for as derivative instruments. These other guarantees are recognized on our condensed consolidated balance sheets at fair 

value and not included in the totals above. See Note 8 for additional information on these guarantees.

We have the ability to commingle TBA-eligible Fannie Mae collateral in certain of our resecuritization products. When we 

resecuritize Fannie Mae securities in our commingled resecuritization products, our guarantee covers timely payments of 

principal and interest on such securities. Accordingly, commingling Fannie Mae collateral in our resecuritization transactions 

increases our off-balance sheet liquidity exposure as we do not have control over the Fannie Mae collateral. As of June 30, 

2022 and December 31, 2021, the total amount of our off-balance sheet exposure related to Fannie Mae securities backing 

Freddie Mac resecuritization products was approximately $126.9 billion and $111.2 billion, respectively.

Cash Flows 

Cash and cash equivalents (including restricted cash and cash equivalents) decreased by $5.9 billion from $11.2 billion as of 

June 30, 2021 to $5.3 billion as of June 30, 2022, primarily driven by an increase in securities purchased under agreements to 

resell.

Management's Discussion and Analysis Liquidity and Capital Resources 

Freddie Mac 2Q 2022 Form 10-Q 41
Capital Resources

The table below presents activity related to our net worth. 

Table 35 - Net Worth Activity 

(In millions) 2Q 2022 2Q 2021 YTD 2022 YTD 2021

Beginning balance $31,711 $18,791 $28,033 $16,413 

Comprehensive income (loss) 2,387 3,611 6,065 5,989 

Capital draw from Treasury — — — — 

Senior preferred stock dividends declared — — — — 

Total equity / net worth $34,098 $22,402 $34,098 $22,402 

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 104,359 91,439 104,359 91,439 

ERCF

FHFA has established the ERCF as a new enterprise regulatory capital framework for Freddie Mac and Fannie Mae. Our current 

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

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

conservatorship. In general, the compliance date for the regulatory capital requirements will be the later of the date of 

termination of our conservatorship and any later compliance date provided in a transition order, and the compliance date for 

buffer requirements in the ERCF will be the date of termination of our conservatorship. Pursuant to the final rule, we are 

required to comply with the regulatory capital reporting requirements under the ERCF in 2022, and we filed with FHFA our initial 

quarterly capital report on May 27, 2022.

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

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

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

regulatory capital elements (common equity tier 1 (CET1) capital, Tier 1 capital, and adjusted total capital). The ERCF also 

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

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

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

amounts are restored.

Risk-Based Capital Requirements

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

ratios equal to at least 4.5%, 6%, and 8%, respectively, of risk-weighted assets. We must also maintain statutory total capital 

equal to at least 8% of risk-weighted assets. To avoid limits on capital distributions and discretionary bonus payments, we also 

must maintain CET1 capital that exceeds the risk-based capital requirements by at least the amount of the prescribed capital 

conservation buffer amount (PCCBA).

Leverage Capital Requirements

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

assets. We must also maintain our statutory core capital ratio equal to at least 2.5% of adjusted total assets. To avoid limits on 

capital distributions and discretionary bonus payments, we also must maintain our Tier 1 capital that exceeds the leverage 

capital requirements by at least the amount of the prescribed leverage buffer amount (PLBA).

Management's Discussion and Analysis Liquidity and Capital Resources

Freddie Mac 2Q 2022 Form 10-Q 42
Capital Metrics

The table below presents our capital metrics under the ERCF. 

Table 36 - Capital Metrics Under ERCF 

(In billions) June 30, 2022

Adjusted total assets $3,655 

Risk-weighted assets (standardized approach) 845 

(In billions) June 30, 2022

Stress capital buffer $27 

Stability capital buffer 23 

Countercyclical capital buffer — 

PCCBA $50 

PLBA $11 

June 30, 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 (statutory)(2) $68 N/A $68 ($33) ($101) 

CET1 capital(3) 38 $50 88 (58) (146) 

Tier 1 capital(3) 50 50 100 (44) (144) 

Adjusted total capital(3) 67 50 117 (44) (161) 

Risk-based capital ratios(4):

Total capital (statutory) 8.0 % N/A 8.0 % (3.9) % (11.9) %

CET1 capital 4.5 5.9 % 10.4 (6.9) (17.3) 

Tier 1 capital 6.0 5.9 11.9 (5.2) (17.1) 

Adjusted total capital 8.0 5.9 13.9 (5.2) (19.1) 

Leverage capital amounts:

Core capital (statutory)(5) $92 N/A $92 ($39) ($131) 

Tier 1 capital(3) 92 $11 103 (44) (147) 

Leverage capital ratios(6):

Core capital (statutory) 2.5 % N/A 2.5 % (1.1) % (3.6) %

Tier 1 capital 2.5 0.3 % 2.8 (1.2) (4.0) 

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

(2) Total capital is equal to core capital plus certain allowances for credit losses.

(3) Regulatory capital amounts exclude senior preferred stock, deferred tax assets arising from temporary differences that exceed 10% of CET1 capital, and certain 

other items.

(4) As a percentage of risk-weighted assets.

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

capital.

(6) As a percentage of adjusted total assets.

At June 30, 2022, our maximum payout ratio under the ERCF was 0.0%.

See Note 15 for additional information on our amounts of capital and ratios under the ERCF. See MD&A - Regulation and 

Supervision - Legislative and Regulatory Developments - Final Rule on ERCF Public Disclosures and MD&A - 

Regulation and Supervision - Legislative and Regulatory Developments - Final Rule on Capital Planning for 

additional information on amendments to the ERCF published in June 2022.

Management's Discussion and Analysis Liquidity and Capital Resources

Freddie Mac 2Q 2022 Form 10-Q 43
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 2021 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 held-for-investment single-family mortgage loans 

on our condensed consolidated balance sheets.

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

numerous estimates and assumptions requiring significant management judgment about matters that involve a high degree of 

subjectivity. This process involves the use of models that require us to make judgments about matters that are difficult to 

predict, the most significant of which are the probability of default and severity of expected credit losses. 

Changes in forecasted house price growth rates can have a significant effect on our allowance for credit losses. 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 benefit (provision) for credit losses and estimation process.

Table 37 - Forecasted House Price Growth Rates

2022 2023

June 30, 2022(1) 12.8 % 4.0 %

March 31, 2022(1) 10.4 5.0 

December 31, 2021 6.2 2.5 

(1) Current year forecast includes actual rates observed in the prior months.

Management's Discussion and Analysis Critical Accounting Estimates

Freddie Mac 2Q 2022 Form 10-Q 44
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. Furthermore, regulatory activities by other government 

agencies can affect us indirectly, even if we are not directly subject to such agencies' regulation or oversight. For example, 

regulations that modify requirements applicable to the purchase or servicing of mortgages can affect us.

Federal Housing Finance Agency

Equitable Housing Finance Plan

On June 8, 2022, FHFA announced the public release of the Enterprises’ Equitable Housing Finance Plans for 2022-2024. The 

2022-2024 plan activities are intended to identify and address barriers experienced by renters, aspiring homeowners, and 

current homeowners – particularly in traditionally underserved minority communities, including using special purpose credit 

programs to originate loans. The plan activities will be updated annually.

Additionally, FHFA has created a pilot transparency framework for the Enterprises to accompany these plans. This framework 

requires Freddie Mac and Fannie Mae to publish and maintain a list of pilots and test-and-learn activities on their public 

websites, which is intended to provide accountability in determining whether such activities are working to address the 

disparities identified in the Equitable Housing Finance Plans.

Resecuritization Fee for New Issuances of Commingled Securities

On June 14, 2022, we announced that, as a result of the recently implemented ERCF, Freddie Mac will begin to charge a 50 

basis point fee for any newly-issued commingled security. The fee is effective for applicable commingled securities issued on or 

after July 1, 2022. Freddie Mac will apply the fee to collateral issued by Fannie Mae, at the time that such collateral is used for a 

new commingled security. Freddie Mac will not apply the fee to any Freddie Mac-issued collateral used for a new commingled 

security.

In June 2022, FHFA announced that it will explore alternatives to this fee to support the continued function and long-term 

viability of UMBS and the TBA market, including conducting a review of the ERCF in the near term to ensure that the risks of 

commingled securities are appropriately reflected. As directed by FHFA, the Enterprises are retaining the fee covering the 

collateral of the other Enterprise in commingled securities.

Legislative and Regulatory Developments

Final Rule on ERCF Public Disclosures

On June 2, 2022, FHFA published a final rule that amends the ERCF by introducing new public disclosure requirements for the 

Enterprises. The requirements include quarterly quantitative and annual qualitative disclosures related to risk management, 

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

public disclosures cover 11 categories, with each category containing certain qualitative and quantitative disclosures, many of 

which are identical or similar to the disclosures applicable to U.S. banking organizations subject to the standardized approach. 

The compliance date for our first public disclosures under the new requirements is no later than 10 business days after we file 

our Annual Report on Form 10-K for the year ending December 31, 2022.

Final Rule on Capital Planning

On June 3, 2022, FHFA published a final rule that supplements the ERCF by requiring the Enterprises to submit annual capital 

plans to FHFA and provide prior notice for certain capital actions. The final rule also incorporates the determination of the stress 

capital buffer, an element of the ERCF, into the capital planning process. Under the final rule, we must submit our first capital 

plan to FHFA by May 20, 2023.

Management's Discussion and Analysis Regulation and Supervision

Freddie Mac 2Q 2022 Form 10-Q 45
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, 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, the effects of natural disasters, other catastrophic events, 

including the COVID-19 pandemic, 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 2021 Annual 

Report, and including, without limitation, the following:

n The actions the U.S. government (including FHFA, Treasury, and Congress) may take, require us to take, or restrict us from 

taking, including actions to support the housing market, such as programs implemented in response to the COVID-19 

pandemic or to implement the recommendations 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 Uncertainty regarding the duration and severity of the COVID-19 pandemic and the effects of the pandemic and actions 

taken in response thereto on the U.S. economy and housing market, which could, in turn, adversely affect our business in 

numerous ways, including, for example, by increasing our credit losses, impairing the value of our mortgage-related 

securities, decreasing our liquidity and capital levels, and increasing our credit risk and operational risk;

n The effect of the restrictions on our business due to the conservatorship and the Purchase Agreement;

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, or guidance;

n Changes in economic and market conditions generally, and as a result of the COVID-19 pandemic, including 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, SB Certificate, and other 

CRT transactions;

n Our ability to maintain adequate liquidity to fund our operations;

n Our ability to maintain the security and resiliency of our operational systems and infrastructure, including against 

cyberattacks or other security incidents;

n Our ability to effectively execute our business strategies, implement new initiatives, and improve efficiency;

n The adequacy of our risk management framework, including the adequacy of our capital framework for measuring risk;

n Our ability to manage mortgage credit risk, including the effect of changes in underwriting and servicing practices;

n Our ability to limit or manage our economic exposure and GAAP earnings exposure to interest-rate volatility and spread 

volatility, including the availability of derivative financial instruments needed for interest-rate risk management purposes 

and our ability to apply hedge accounting;

n Our operational ability to issue new securities, make timely and correct payments on securities, and provide initial and 

ongoing disclosures;

n Our reliance on CSS and the CSP for the operation of the majority of our Single-Family securitization activities, 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 2Q 2022 Form 10-Q 46
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; 

n The discontinuance of, transition from, or replacement of LIBOR and the adverse consequences it could have on our 

business and operations;

n The availability of critical third parties, or their vendors and other business partners, to deliver products or services, or to 

manage risks 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 2021 Annual Report, including in the MD&A section.

Forward-looking statements are made only as of the date of this Form 10-Q, and we undertake no obligation to update any 

forward-looking statements we make to reflect events or circumstances occurring after the date of this Form 10-Q.

Management's Discussion and Analysis Forward-Looking Statements

Freddie Mac 2Q 2022 Form 10-Q 47
Financial Statements

Financial Statements

Freddie Mac 2Q 2022 Form 10-Q 48
FREDDIE MAC 

Condensed Consolidated Statements of Operations and 

Comprehensive Income (Loss) (Unaudited)

(In millions, except share-related amounts) 2Q 2022 2Q 2021 YTD 2022 YTD 2021

Net interest income

Interest income $20,008 $15,230 $37,748 $29,132 

Interest expense (15,249) (10,463) (28,885) (20,726) 

Net interest income 4,759 4,767 8,863 8,406 

Non-interest income (loss)

Guarantee income 205 356 275 604 

Investment gains (losses), net 321 636 1,834 1,844 

Other income (loss) 119 107 278 285 

Non-interest income (loss) 645 1,099 2,387 2,733 

Net revenues 5,404 5,866 11,250 11,139 

Benefit (provision) for credit losses (307) 740 530 936 

Non-interest expense

Salaries and employee benefits (376) (346) (732) (690) 

Credit enhancement expense (558) (369) (1,017) (704) 

Benefit for (decrease in) credit enhancement recoveries (1) (193) (18) (450) 

Legislative assessments expense (748) (696) (1,507) (1,387) 

Other expense (337) (365) (678) (726) 

Non-interest expense (2,020) (1,969) (3,952) (3,957) 

Income (loss) before income tax (expense) benefit 3,077 4,637 7,828 8,118 

Income tax (expense) benefit (624) (958) (1,577) (1,672) 

Net income (loss) 2,453 3,679 6,251 6,446 

Other comprehensive income (loss), net of taxes and reclassification 

adjustments (66) (68) (186) (457) 

Comprehensive income (loss) $2,387 $3,611 $6,065 $5,989 

Net income (loss) $2,453 $3,679 $6,251 $6,446 

Future increase in senior preferred stock liquidation preference (2,387) (3,611) (6,065) (5,989) 

Net income (loss) attributable to common stockholders $66 $68 $186 $457 

Net income (loss) per common share $0.02 $0.02 $0.06 $0.14 

Weighted average common shares outstanding (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 Operations and Comprehensive Income

Freddie Mac 2Q 2022 Form 10-Q 49
FREDDIE MAC

Condensed Consolidated Balance Sheets (Unaudited) 

June 30, December 31,

(In millions, except share-related amounts) 2022 2021

Assets

Cash and cash equivalents (includes $855 and $1,695 of restricted cash and cash equivalents) $5,257 $10,150 

Securities purchased under agreements to resell 86,496 71,203 

Investment securities, at fair value 48,937 53,015 

Mortgage loans held-for-sale (includes $5,670 and $10,498 at fair value) 12,340 19,778 

Mortgage loans held-for-investment (net of allowance for credit losses of $4,939 and $4,947) 2,954,524 2,828,331 

Accrued interest receivable, net 7,871 7,474 

Deferred tax assets, net 5,552 6,214 

Other assets (includes $6,419 and $6,594 at fair value) 24,604 29,421 

Total assets $3,145,581 $3,025,586 

Liabilities and equity

Liabilities

Accrued interest payable $6,594 $6,268 

Debt (includes $3,605 and $2,478 at fair value) 3,093,178 2,980,185 

Other liabilities (includes $1,079 and $287 at fair value) 11,711 11,100 

Total liabilities 3,111,483 2,997,553 

Commitments and contingencies (Notes 4, 8, 14)

Equity

Senior preferred stock (liquidation preference of $104,359 and $97,959) 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 (accumulated deficit) (48,742) (54,993) 

AOCI, net of taxes, related to:

Available-for-sale securities 107 297 

Other (139) (143) 

AOCI, net of taxes (32) 154 

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

Total equity 34,098 28,033 

Total liabilities and equity $3,145,581 $3,025,586 

The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on our condensed consolidated balance 

sheets.

 

June 30, December 31, 

(In millions) 2022 2021

Assets:

Cash and cash equivalents (includes $755 and $1,595 of restricted cash and cash equivalents) $756 $1,596 

Securities purchased under agreements to resell 18,400 34,000 

Investment securities, at fair value 148 420 

Mortgage loans held-for-investment, net 2,913,414 2,784,626 

Accrued interest receivable, net 7,410 7,019 

Other assets 7,469 11,265 

Total assets of consolidated VIEs $2,947,597 $2,838,926

Liabilities:

Accrued interest payable $6,175 $5,823 

Debt 2,934,115 2,803,054 

Total liabilities of consolidated VIEs $2,940,290 $2,808,877 

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

Financial Statements Condensed Consolidated Balance Sheets

Freddie Mac 2Q 2022 Form 10-Q 50
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

(Accumulated

Deficit)

AOCI,

Net of

Tax

Treasury

Stock, at

Cost

Total

(In millions) Equity 

Senior

Preferred

Stock

Preferred

Stock

Common

Stock

Balance at March 31, 2022 1 464 650 $72,648 $14,109 $— ($51,195) $34 ($3,885) $31,711 

Comprehensive income (loss):

Net income (loss) — — — — — — 2,453 — — 2,453 

Other comprehensive income (loss):

Changes in net unrealized gains (losses) 

on available-for-sale securities (net of 

taxes of $19 million) — — — — — — — (71) — (71) 

Reclassification adjustment for gains on 

available-for-sale securities included in 

net income (net of taxes of $1 million) — — — — — — — 3 — 3 

Other (net of taxes of $1 million) — — — — — — — 2 — 2 

Comprehensive income (loss) — — — — — — 2,453 (66) — 2,387 

Ending balance at June 30, 2022 1 464 650 $72,648 $14,109 $— ($48,742) ($32) ($3,885) $34,098 

Balance at March 31, 2021 1 464 650 $72,648 $14,109 $— ($64,335) $254 ($3,885) $18,791 

Comprehensive income (loss):

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

Other comprehensive income (loss):

Changes in net unrealized gains (losses) 

on available-for-sale securities (net of 

taxes of $2 million) — — — — — — — 6 — 6 

Reclassification adjustment for gains on 

available-for-sale securities included in 

net income (net of taxes of $20 million) — — — — — — — (79) — (79) 

Other (net of taxes of $1 million) — — — — — — — 5 — 5 

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

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

Shares Outstanding

Senior

Preferred

Stock

Preferred

Stock, at

Redemption

Value

Common

Stock, at

Par Value

Retained

Earnings

(Accumulated

Deficit)

AOCI,

Net of

Tax

Treasury

Stock, at

Cost

Total

(In millions) Equity 

Senior

Preferred

Stock

Preferred

Stock

Common

Stock

Balance at December 31, 2021 1 464 650 $72,648 $14,109 $— ($54,993) $154 ($3,885) $28,033 

Comprehensive income (loss):

Net income (loss) — — — — — — 6,251 — — 6,251 

Other comprehensive income (loss):

Changes in net unrealized gains (losses) 

on available-for-sale securities (net of 

taxes of $52 million) — — — — — — — (194) — (194) 

Reclassification adjustment for gains on 

available-for-sale securities included in 

net income (net of taxes of $1 million) — — — — — — — 4 — 4 

Other (net of taxes of $1 million) — — — — — — — 4 — 4 

Comprehensive income (loss) — — — — — — 6,251 (186) — 6,065 

Ending balance at June 30, 2022 1 464 650 $72,648 $14,109 $— ($48,742) ($32) ($3,885) $34,098 

Balance at December 31, 2020 1 464 650 $72,648 $14,109 $— ($67,102) $643 ($3,885) $16,413 

Comprehensive income (loss):

Net income (loss) — — — — — — 6,446 — — 6,446 

Other comprehensive income (loss):

Changes in net unrealized gains (losses) 

on available-for-sale securities (net of 

taxes of $26 million) — — — — — — — (99) — (99) 

Reclassification adjustment for gains on 

available-for-sale securities included in 

net income (net of taxes of $98 million) — — — — — — — (369) — (369) 

Other (net of taxes of $1 million) — — — — — — — 11 — 11 

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

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

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

Financial Statements Condensed Consolidated Statements of Equity

Freddie Mac 2Q 2022 Form 10-Q 51
FREDDIE MAC

Condensed Consolidated Statements of Cash Flows (Unaudited) 

(In millions) YTD 2022 YTD 2021

Net cash provided by (used in) operating activities $7,783 $16,070 

Cash flows from investing activities

Purchases of investment securities (80,629) (70,102) 

Proceeds from sales of investment securities 74,416 88,885 

Proceeds from maturities and repayments of investment securities 7,993 3,879 

Purchases of mortgage loans acquired as held-for-investment (96,257) (367,336) 

Proceeds from sales of mortgage loans acquired as held-for-investment 2,159 5,199 

Proceeds from repayments of mortgage loans acquired as held-for-investment 211,698 414,680 

Advances under secured lending arrangements (104,516) (112,980) 

Repayments of secured lending arrangements 363 92 

Net proceeds from dispositions of real estate owned and other recoveries 130 144 

Net (increase) decrease in securities purchased under agreements to resell (17,889) (13,314) 

Derivative premiums and terminations, swap collateral, and exchange settlement payments, net 3,424 1,113 

Other, net (367) (303) 

Net cash provided by (used in) investing activities 525 (50,043) 

Cash flows from financing activities

Proceeds from issuance of debt of consolidated trusts 231,938 501,890 

Repayments and redemptions of debt of consolidated trusts (234,680) (429,404) 

Proceeds from issuance of debt of Freddie Mac 24,803 23,153 

Repayments of debt of Freddie Mac (37,903) (79,001) 

Net increase (decrease) in securities sold under agreements to repurchase 2,644 4,620 

Other, net (3) (3) 

Net cash provided by (used in) financing activities (13,201) 21,255 

Net increase (decrease) in cash and cash equivalents (includes restricted cash and cash equivalents) (4,893) (12,718) 

Cash and cash equivalents (includes restricted cash and cash equivalents) at beginning of year 10,150 23,889 

Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period $5,257 $11,171 

Supplemental cash flow information

Cash paid for:

Debt interest $36,287 $34,301 

Income taxes 1,500 2,590 

Non-cash investing and financing activities (Note 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 2Q 2022 Form 10-Q 52
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 2021 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 2021 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 2021 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 consolidated financial statements contain all 

adjustments, which include only normal recurring adjustments, necessary for a fair statement of our results. 

We have reclassified certain amounts within non-interest expense in our condensed consolidated statement of operations to 

better present the significant drivers of our non-interest expense activity. Prior period amounts have been reclassified to 

conform to the current period presentation. These reclassifications did not change the total amounts of non-interest expense, 

net income, or comprehensive income in any period presented.

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 2Q 2022 Form 10-Q 53
Recently Issued Accounting Guidance

Recently Adopted Accounting Guidance

Standard Description Date of 

 Adoption

Effect on Consolidated Financial 

Statements

ASU 2021-04, Earnings Per 

Share (Topic 260), DebtModifications and 

Extinguishments (Subtopic 

470-50), Compensation-Stock 

Compensation (Topic 718), and 

Derivatives and HedgingContracts in Entity's Own Equity 

(Subtopic 815-40): Issuer's 

Accounting for Certain 

Modifications or Exchanges of 

Freestanding Equity-Classified 

Written Call Options

The amendments in this Update require issuers 

to account for modifications or exchanges of 

freestanding equity-classified written call 

options based on the reason for the 

modification or exchange, to issue equity, to 

issue or modify debt, or for other reasons.

January 1, 2022 The adoption of the amendments did 

not have a material effect on our 

consolidated financial statements.

ASU 2022-02, Financial 

Instruments—Credit Losses 

(Topic 326): Troubled Debt 

Restructurings and Vintage 

Disclosures

The amendments in this Update eliminate the 

recognition and measurement guidance related 

to TDRs in ASC Subtopic 310-40 for entities 

that have adopted ASC Topic 326. 

The amendments in this Update also 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, 2022 for the 

amendments related to the 

elimination of the 

recognition and 

measurement of TDRs;

January 1, 2023 for the 

amendments related to 

disclosure of gross writeoffs by year of origination.

We elected to early adopt the 

amendments related to the 

elimination of the recognition and 

measurement of TDRs on January 1, 

2022 on a prospective basis. This 

change did not have a material effect 

on our consolidated financial 

statements. See Note 3 for additional 

information on the adoption of these 

amendments and the new required 

disclosures. 

We do not expect the adoption of the 

amendments related to disclosure of 

gross write-offs by year of origination 

to have a material effect on our 

consolidated financial statements. 

Recently Issued Accounting Guidance, Not Yet Adopted Within Our Consolidated Financial Statements

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 ASU 

amends the guidance in ASU 2017-12 that, 

among other things, establishes the "last-oflayer" 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. 

January 1, 2023 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 2Q 2022 Form 10-Q 54
NOTE 2

Securitization Activities and Consolidation

Nonconsolidated VIEs

The following table presents the carrying amounts and classification of the assets and liabilities recorded on our condensed 

consolidated balance sheets related to VIEs for which we are not the primary beneficiary and with which we were involved in 

the design and creation and have a significant continuing involvement. Our involvement with such VIEs primarily consists of 

investments in debt securities issued by resecuritization trusts and guarantees of senior securities issued by certain Multifamily 

securitization trusts.

Table 2.1 - Nonconsolidated VIEs

(In millions) June 30, 2022 December 31, 2021

Assets and Liabilities Recorded on our Condensed Consolidated Balance Sheets(1)

Assets:

Investment securities, at fair value $15,781 $16,506 

Accrued interest receivable, net 217 220 

Other assets(2) 5,378 5,589 

 Liabilities:

Debt 128 67 

Other liabilities(2) 5,677 5,172 

(1) Includes our variable interests in REMICs, Strips, commingled Supers, K Certificates, SB Certificates, certain senior subordinate securitization structures, and other 

securitization products that we do not consolidate. 

(2) Includes our guarantee asset in other assets and our guarantee obligation in other liabilities.

The table below presents total assets and the maximum exposure to loss of the VIEs for which we are not the primary 

beneficiary and therefore do not consolidate.

Table 2.2 - Total Assets and Maximum Exposure to Loss for our Nonconsolidated VIEs(1)

June 30, 2022 December 31, 2021

(In millions) Total Assets Maximum Exposure(2) Total Assets Maximum Exposure(2)

Securitization Activities

Single-Family:

 Other securitization products(3) $32,554 $26,883 $33,603 $27,975 

Multifamily:

 K Certificates 324,365 285,991 321,149 281,910 

 SB Certificates 24,750 22,166 24,944 22,389 

 Other securitization products 15,704 13,846 16,683 14,772 

CRT Activities 30,521 19 23,605 44 

(1) Excludes resecuritization products.

(2) For securitization activities, the maximum exposure primarily represents the contractual amounts that could be lost if counterparties or borrowers defaulted, without 

consideration of proceeds from related collateral liquidation and possible recoveries under credit enhancements. For CRT activities, the maximum exposure 

represents our recorded expected recovery receivable.

(3) Total assets excludes certain nonfinancial assets held by the VIEs.

In addition, the UPB of Fannie Mae securities underlying commingled Freddie Mac resecuritization trusts for which we are not 

the primary beneficiary totaled $126.8 billion and $110.8 billion as of June 30, 2022 and December 31, 2021, respectively. As a 

result of the recently implemented ERCF, we charge a 50 basis point fee for any commingled security issued on or after July 1, 

2022. We apply the fee to collateral issued by Fannie Mae, at the time that such collateral is used for a new commingled 

security. See Note 4 for additional information on our guarantee of Fannie Mae securities.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 2

Freddie Mac 2Q 2022 Form 10-Q 55
We also obtain interests in various other entities created by third parties through the normal course of business that may be 

VIEs, such as through our investments in certain non-Freddie Mac mortgage-related securities, purchases of multifamily loans, 

guarantees of multifamily housing revenue bonds, as a derivative counterparty, or through other activities. To the extent that we 

were not involved in the design or creation of these VIEs, they are excluded from the tables above. Our interests in these VIEs 

are generally passive in nature and are not expected to result in us obtaining a controlling financial interest in these VIEs in the 

future. As a result, we do not consolidate these VIEs and we account for our interests in these VIEs in the same manner that we 

account for our interests in other third-party transactions. See Note 6 for additional information regarding our investments in 

non-Freddie Mac mortgage-related securities. See Note 3 for more information regarding multifamily loans.

We do not believe the maximum exposure to loss from our involvement with VIEs for which we are not the primary beneficiary 

shown above is representative of the actual loss we are likely to incur, based on our historical loss experience and after 

consideration of proceeds from related collateral liquidation, including possible recoveries under credit enhancements. Certain 

of our interest-rate risk-related guarantees to VIEs for which we are not the primary beneficiary may create exposure to loss 

that is unlimited. We account for these interest-rate risk-related guarantees at fair value as discussed further in Note 4 and 

generally reduce our exposure to these guarantees with unlimited interest rate exposure through separate derivative contracts 

with third parties. See Note 8 for additional information on derivatives.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 2

Freddie Mac 2Q 2022 Form 10-Q 56
NOTE 3

Mortgage Loans

The table below provides details of the loans on our condensed consolidated balance sheets.

Table 3.1 - Mortgage Loans 

June 30, 2022 December 31, 2021

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

Held-for-sale UPB $4,086 $9,302 $13,388 $5,446 $14,871 $20,317 

Cost basis and fair value adjustments, net (713) (335) (1,048) (813) 274 (539) 

Total held-for-sale loans, net 3,373 8,967 12,340 4,633 15,145 19,778 

Held-for-investment UPB 2,881,547 30,585 2,912,132 2,742,851 26,657 2,769,508 

Cost basis adjustments 47,271 60 47,331 63,684 86 63,770 

Allowance for credit losses (4,904) (35) (4,939) (4,913) (34) (4,947) 

Total held-for-investment loans, net 2,923,914 30,610 2,954,524 2,801,622 26,709 2,828,331 

Total mortgage loans, net $2,927,287 $39,577 $2,966,864 $2,806,255 $41,854 $2,848,109 

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) 2Q 2022 2Q 2021 YTD 2022 YTD 2021

Single-Family:

Purchases:

 Held-for-investment loans $137,665 $287,096 $344,600 $647,668 

Sale of held-for-sale loans(1) 1,429 3,037 1,444 3,037 

Multifamily:

Purchases:

 Held-for-investment loans 2,957 1,299 5,522 2,920 

 Held-for-sale loans 11,372 11,543 23,639 23,836 

Sale of held-for-sale loans(2) 14,899 17,718 29,191 38,831 

(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 and SB Certificates. 

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 

2Q 2022 2Q 2021

(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 $325 $10 $— $469 $28 $— 

Held-for-sale to held-for-investment(1) 75 (4) 3 67 6 — 

Multifamily reclassifications from:

Held-for-investment to held-for-sale 386 1 — 1,202 5 — 

 Held-for-sale to held-for-investment 39 — — 12 — — 

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

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 2Q 2022 Form 10-Q 57
YTD 2022 YTD 2021

(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 $573 $10 $— $970 $35 $— 

Held-for-sale to held-for-investment(1) 137 (7) 3 102 9 — 

Multifamily reclassifications from:

Held-for-investment to held-for-sale 701 1 — 1,730 6 — 

 Held-for-sale to held-for-investment 285 — — 21 — — 

(1) Allowance for credit losses established upon loan reclassification 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 period 

end. 

Table 3.4 - Amortized Cost Basis of Held-for-Investment Loans on Non-Accrual 

 

Non-Accrual Amortized Cost Basis Interest Income Recognized(1)

(In millions) March 31, 2022 June 30, 2022 2Q 2022 YTD 2022

Single-Family:

20- and 30-year or more, amortizing fixed-rate $13,831 $11,021 $40 $80 

15-year or less, amortizing fixed-rate 684 562 1 3 

Adjustable-rate and other 580 435 1 3 

Total Single-Family 15,095 12,018 42 86 

Total Multifamily 42 42 — — 

Total Single-Family and Multifamily $15,137 $12,060 $42 $86 

Non-Accrual Amortized Cost Basis Interest Income Recognized(1)

(In millions) March 31, 2021 June 30, 2021 2Q 2021 YTD 2021

Single-Family:

20- and 30-year or more, amortizing fixed-rate $21,137 $19,431 $35 $70 

15-year or less, amortizing fixed-rate 1,031 914 1 3 

Adjustable-rate and other 996 879 1 3 

Total Single-Family 23,164 21,224 37 76 

Total Multifamily — — — — 

Total Single-Family and Multifamily $23,164 $21,224 $37 $76 

(1) Represents the amount of payments received during the period, including those received while the loans were on accrual status, for the held-for-investment loans on 

non-accrual status as of period end.

The table below provides the amount of accrued interest receivable, net presented on our condensed consolidated balance 

sheets and the amount of accrued interest receivable related to loans on non-accrual status at the end of the periods that 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) June 30, 2022 December 31, 2021 2Q 2022 2Q 2021 YTD 2022 YTD 2021

Single-Family loans $7,458 $7,065 ($58) ($119) ($145) ($285) 

Multifamily loans 122 125 — — — — 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 2Q 2022 Form 10-Q 58
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.

Table 3.6 - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratio and Vintage

June 30, 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 $47,446 $426,668 $526,497 $94,360 $42,009 $434,009 $1,570,989 

> 60 to 80 108,231 432,622 183,489 29,468 8,160 11,300 773,270 

> 80 to 90 36,712 88,209 3,088 497 135 548 129,189 

> 90 to 100 29,808 1,700 227 25 14 194 31,968 

> 100 14 1 — 1 4 210 230 

 Total 20- and 30-year or more, amortizing fixed-rate 222,211 949,200 713,301 124,351 50,322 446,261 2,505,646 

 15-year or less, amortizing fixed-rate

≤ 60 13,108 121,324 116,182 15,904 6,189 78,186 350,893 

> 60 to 80 9,712 28,266 3,872 218 26 27 42,121 

> 80 to 90 817 654 9 — 1 3 1,484 

> 90 to 100 252 7 — — — 2 261 

> 100 — — — — — 2 2 

 Total 15-year or less, amortizing fixed-rate 23,889 150,251 120,063 16,122 6,216 78,220 394,761 

 Adjustable-rate and other

≤ 60 817 3,052 1,661 711 481 16,911 23,633 

> 60 to 80 1,211 2,002 214 75 31 454 3,987 

> 80 to 90 350 168 2 1 1 37 559 

> 90 to 100 206 4 — — — 13 223 

> 100 — — — — — 9 9 

 Total adjustable-rate and other 2,584 5,226 1,877 787 513 17,424 28,411 

Total Single-Family loans $248,684 $1,104,677 $835,241 $141,260 $57,051 $541,905 $2,928,818 

Total for all loan product types by current LTV ratio:

≤ 60 $61,371 $551,044 $644,340 $110,975 $48,679 $529,106 $1,945,515 

> 60 to 80 119,154 462,890 187,575 29,761 8,217 11,781 819,378 

> 80 to 90 37,879 89,031 3,099 498 137 588 131,232 

> 90 to 100 30,266 1,711 227 25 14 209 32,452 

> 100 14 1 — 1 4 221 241 

Total Single-Family loans $248,684 $1,104,677 $835,241 $141,260 $57,051 $541,905 $2,928,818 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 2Q 2022 Form 10-Q 59
December 31, 2021

Year of Origination 

Total

(In millions) 2021 2020 2019 2018 2017 Prior

Current LTV ratio:

 20- and 30-year or more, amortizing fixed-rate

≤ 60 $260,244 $397,680 $77,812 $39,143 $61,434 $405,467 $1,241,780 

> 60 to 80 467,193 334,560 60,570 18,914 12,715 17,354 911,306 

> 80 to 90 124,074 28,944 2,034 482 208 818 156,560 

> 90 to 100 66,851 1,083 126 45 29 309 68,443 

> 100 75 2 4 8 18 328 435 

 Total 20- and 30-year or more, amortizing fixed-rate 918,437 762,269 140,546 58,592 74,404 424,276 2,378,524 

 15-year or less, amortizing fixed-rate

≤ 60 93,732 111,899 17,335 7,161 13,602 78,001 321,730 

> 60 to 80 52,521 18,834 1,136 137 54 36 72,718 

> 80 to 90 3,785 168 6 2 2 3 3,966 

> 90 to 100 598 2 1 1 1 2 605 

> 100 4 — — 1 1 3 9 

 Total 15-year or less, amortizing fixed-rate 150,640 130,903 18,478 7,302 13,660 78,045 399,028 

 Adjustable-rate and other

≤ 60 2,054 1,554 727 543 1,657 17,517 24,052 

> 60 to 80 2,435 535 209 90 190 795 4,254 

> 80 to 90 417 16 6 3 4 66 512 

> 90 to 100 116 — — — — 30 146 

> 100 1 — — — — 18 19 

 Total adjustable-rate and other 5,023 2,105 942 636 1,851 18,426 28,983 

Total Single-Family loans $1,074,100 $895,277 $159,966 $66,530 $89,915 $520,747 $2,806,535 

Total for all loan product types by current LTV ratio:

≤ 60 $356,030 $511,133 $95,874 $46,847 $76,693 $500,985 $1,587,562 

> 60 to 80 522,149 353,929 61,915 19,141 12,959 18,185 988,278 

> 80 to 90 128,276 29,128 2,046 487 214 887 161,038 

> 90 to 100 67,565 1,085 127 46 30 341 69,194 

> 100 80 2 4 9 19 349 463 

Total Single-Family loans $1,074,100 $895,277 $159,966 $66,530 $89,915 $520,747 $2,806,535 

Multifamily

The table below presents the amortized cost basis of our multifamily held-for-investment loans, by credit quality indicator, 

based on available data through the end of each period presented. These indicators involve significant management judgment 

and are defined as follows: 

n	 "Pass" is current and adequately protected by the 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 2Q 2022 Form 10-Q 60
Table 3.7 - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator and Vintage

June 30, 2022

Year of Origination

(In millions) 2022 2021 2020 2019 2018 Prior Total

Revolving 

Loans

Category:

Pass $4,153 $8,006 $6,651 $5,196 $957 $3,056 $1,857 $29,876 

Special mention — — 40 397 7 63 — 507 

Substandard — — 32 141 4 85 — 262 

Doubtful — — — — — — — — 

Total $4,153 $8,006 $6,723 $5,734 $968 $3,204 $1,857 $30,645 

December 31, 2021

Year of Origination

(In millions) 2021 2020 2019 2018 2017 Prior Total

Revolving 

Loans

Category:

Pass $6,955 $7,116 $5,273 $979 $610 $2,795 $2,275 $26,003 

Special mention — 40 372 — 3 42 — 457 

Substandard — 62 171 4 2 44 — 283 

Doubtful — — — — — — — — 

Total $6,955 $7,218 $5,816 $983 $615 $2,881 $2,275 $26,743 

Past Due Status

The table below presents the amortized cost basis of our single-family and multifamily held-for-investment loans, by payment 

status. 

Table 3.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status

June 30, 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 $2,472,518 $15,884 $3,318 $13,926 $2,505,646 $3,319 $717 

 15-year or less, amortizing fixed-rate 392,419 1,373 221 748 394,761 201 14 

Adjustable-rate and other 27,539 303 73 496 28,411 35 93 

Total Single-Family 2,892,476 17,560 3,612 15,170 2,928,818 3,555 824 

Total Multifamily 30,603 — — 42 30,645 — 42 

Total Single-Family and Multifamily $2,923,079 $17,560 $3,612 $15,212 $2,959,463 $3,555 $866 

December 31, 2021

(In millions) Current

One

Month

Past Due

Two

Months

Past Due

Three Months or

More Past Due,

or in Foreclosure(1) Total

Three Months or 

More Past Due, 

and Accruing 

Interest

Non-accrual 

with No 

Allowance(2)

Single-Family:

20- and 30-year or more, amortizing 

fixed-rate $2,338,076 $14,833 $3,214 $22,401 $2,378,524 $5,784 $857 

15-year or less, amortizing fixed-rate 396,030 1,550 230 1,218 399,028 392 13 

Adjustable-rate and other 27,752 280 89 862 28,983 95 102 

Total Single-Family 2,761,858 16,663 3,533 24,481 2,806,535 6,271 972 

Total Multifamily 26,743 — — — 26,743 — — 

Total Single-Family and Multifamily $2,788,601 $16,663 $3,533 $24,481 $2,833,278 $6,271 $972 

Referenced footnotes are on the next page.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 2Q 2022 Form 10-Q 61
(1) Includes $1.4 billion and $0.7 billion of single-family loans that were in the process of foreclosure as of June 30, 2022 and December 31, 2021, respectively.

(2) Loans with no allowance for loan losses primarily represent those loans that were previously charged off and therefore the collateral value is sufficiently in excess of 

the amortized cost to result in recovery of the entire amortized cost basis if the property were foreclosed upon or otherwise subject to disposition. We exclude the 

amounts of allowance for credit losses on accrued interest receivable and advances of pre-foreclosure costs when determining whether a loan has an allowance for 

credit losses.

Loan Restructurings

In 1Q 2022, we adopted accounting guidance in ASU 2022-02 that eliminates the recognition and measurement of TDRs. Upon 

adoption of this guidance, we no longer measure an allowance for credit losses for TDRs we reasonably expect will occur, and 

we evaluate all loan restructurings according to the accounting guidance for loan refinancing and restructuring to determine 

whether the restructuring should be accounted for as a new loan or a continuation of the existing loan. We derecognize the 

existing loan and account for the restructured loan as a new loan if the effective yield on the restructured loan is at least equal 

to the effective yield for comparable loans with similar collection risks and the modifications to the original loan are more than 

minor. If a loan restructuring does not meet these conditions, we carryforward the existing loan’s amortized cost basis and 

account for the restructured loan as a continuation of the existing loan. Substantially all of our loan restructurings involving 

borrowers experiencing financial difficulty are accounted for as a continuation of the existing loan.

The discounted cash flow model we use in measuring our Single-Family allowance for credit losses forecasts cash flows we 

expect to collect using our historical experience, including the effects of our loss mitigation activities involving borrowers 

experiencing financial difficulty. When we account for a loan restructuring as a continuation of the existing loan, we update the 

loan’s effective interest rate based on the restructured terms and recognize interest income prospectively using the new 

effective rate. We also update the prepayment-adjusted effective interest rate used to discount cash flows in measuring our 

allowance for credit losses to reflect the loan’s restructured terms. As a result, subsequent to our adoption of the accounting 

guidance that eliminates the recognition and measurement of TDRs, we no longer recognize an allowance for credit losses for 

the economic concession granted to a borrower for changes in the timing and amount of contractual cash flows when a loan is 

restructured. However, because we adopted such guidance prospectively, we continue to use the loan's prepayment-adjusted 

effective interest rate just prior to the restructuring, with no adjustments made to the effective interest rate for changes in the 

timing of expected cash flows subsequent to the restructuring, for loans that were restructured and accounted for as TDRs 

prior to our adoption of the guidance and that have not been subsequently modified after our adoption of the guidance. As a 

result, we continue to measure an allowance for credit losses for the economic concession granted to a borrower for changes 

in the timing and amount of contractual cash flows for such loans.

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. 

We offer the following types of restructurings to single-family borrowers that result in only a payment delay:

n	 Forbearance plans - Arrangements that require reduced or no payments during a defined period that provides borrowers 

additional time to return to compliance with the original mortgage terms or to implement another type of loan workout 

option. Borrowers may exit forbearance by repaying all past due amounts and fully reinstating the loan, paying off the loan 

in full, or entering into a repayment plan, a payment deferral plan, or a trial period plan pursuant to a loan modification. We 

offer forbearance of up to 12 months to single-family borrowers experiencing financial difficulty (and up to 18 months to 

certain borrowers affected by the COVID-19 pandemic). Borrowers may receive an initial forbearance term of one to six 

months and, if necessary, one or more forbearance term extensions of one to six months, as long as the delinquency of the 

mortgage does not exceed 12 months. 

n	 Repayment plans - Contractual plans that allow borrowers a specific period of time to return to current status by paying 

the normal monthly payment plus additional agreed upon delinquent amounts. Repayment plans must have a term greater 

than one month and less than or equal to 12 months and the monthly repayment plan payment amount must not exceed 

150% of the contractual mortgage payment amount.

n	 Payment deferral plans - Arrangements that allow borrowers to return to current status by deferring delinquent principal 

and interest into a non-interest-bearing principal balance that is due at the earlier of the payoff date, maturity date, or sale 

of the property. The remaining mortgage term, interest rate, payment schedule, and maturity date remain unchanged, and 

no trial period plan is required. The number of months of payments deferred varies based upon the type of hardship the 

borrower is experiencing.

In addition, we also offer single-family borrowers loan modifications, which are contractual plans that may involve changing the 

terms of the loan such as payment delays, interest rate reductions, term extensions, or a combination of these items. Payment 

delays in our loan modification programs most commonly consist of adding outstanding indebtedness, such as delinquent 

interest, to the UPB of the loan, and may also include principal forbearance, in which a portion of the principal balance 

becomes non-interest-bearing and is due at the earlier of the payoff date, maturity date, or sale of the property. Our 

modification programs generally require completion of a trial period of at least three months prior to receiving the modification. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 2Q 2022 Form 10-Q 62
Most of our modifications involve a combination of: (1) a payment delay in the form of adding outstanding indebtedness to the 

UPB of the loan, and (2) an interest rate reduction, a term extension, or both.

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. 

Table 3.9 - Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty(1)

2Q 2022

(Dollars in millions)

Payment 

Delay(2)

Payment Delay 

and Term 

Extension(3)

Payment Delay, 

Term Extension, 

and Interest Rate 

Reduction(3) Total

Total as % of 

Class of 

Financing 

Receivable(4)

Single-Family:

20- and 30-year or more, amortizing fixed-rate $6,832 $520 $2,476 $9,828 0.4 %

15-year or less, amortizing fixed-rate 429 15 16 460 0.1 

Adjustable-rate and other 139 14 50 203 0.7 

Total Single-Family loan restructurings $7,400 $549 $2,542 $10,491 0.4 

YTD 2022

(Dollars in millions)

Payment 

Delay(2)

Payment Delay 

and Term 

Extension(3)

Payment Delay, 

Term Extension, 

and Interest Rate 

Reduction(3) Total

Total as % of 

Class of 

Financing 

Receivable(4)

Single-Family:

20- and 30-year or more, amortizing fixed-rate $14,268 $1,172 $5,361 $20,801 0.8 %

15-year or less, amortizing fixed-rate 910 28 69 1,007 0.3 

Adjustable-rate and other 314 29 126 469 1.6 

Total Single-Family loan restructurings $15,492 $1,229 $5,556 $22,277 0.8 

(1) Type of loan restructurings reflects the cumulative effects of the loan restructurings received during the period.

(2) Includes $3.6 billion and $8.4 billion related to payment deferral plans for 2Q 2022 and YTD 2022, respectively. Also includes forbearance plans, repayment plans, 

and loan modifications that only involve payment delays.

(3) Includes loan modifications in the period in which the borrower completes the trial period and the loan is permanently modified. The amortized cost basis of loans in 

trial period modification plans was $2.6 billion as of June 30, 2022.

(4) 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)

2Q 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 % 185 $21 

15-year or less, amortizing fixed-rate 0.6 359 22 

Adjustable-rate and other 2.2 234 26 

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

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 2Q 2022 Form 10-Q 63
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 1.5 % 187 $23 

15-year or less, amortizing fixed-rate 0.6 358 24 

Adjustable-rate and other 2.3 228 27 

(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 restructured during YTD 2022 

involving borrowers experiencing financial difficulty that subsequently defaulted (i.e., loans that became two months delinquent) 

during the periods presented. 

Table 3.11 - Subsequent Defaults of Single-Family Restructured Loans Involving Borrowers Experiencing Financial 

Difficulty(1)

2Q 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 $364 $30 $69 $463 

15-year or less, amortizing fixed-rate 18 — — 18 

Adjustable-rate and other 10 2 1 13 

Total Single-Family $392 $32 $70 $494 

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 $717 $38 $76 $831 

15-year or less, amortizing fixed-rate 45 — — 45 

Adjustable-rate and other 24 2 1 27 

Total Single-Family $786 $40 $77 $903 

(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 table below presents the amortized cost basis of single-family held-for-investment loans restructured during YTD 2022 by 

payment status. 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. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 2Q 2022 Form 10-Q 64
Table 3.12 - Payment Status of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty

June 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 $13,524 $1,905 $1,224 $4,148 $20,801 

15-year or less, amortizing fixed-rate 610 97 72 228 1,007 

Adjustable-rate and other 292 31 21 125 469 

Total Single-Family $14,426 $2,033 $1,317 $4,501 $22,277 

Multifamily Loan Restructurings

We offer several types of restructurings to multifamily borrowers that may result in a payment delay, interest rate reduction, 

term extension, principal forgiveness, or combination thereof. In certain cases, we offer multifamily borrowers forbearance 

plans that allow borrowers to defer monthly payments during a defined period. After the forbearance period ends, the 

borrowers are required to repay forborne loan amounts in monthly installments. In addition, in certain cases, for maturing loans 

we may provide term extensions with no changes to the effective borrowing rate. In other cases, we may make more significant 

modifications of terms for borrowers experiencing financial difficulty, such as interest rate reductions, term extensions, principal 

forbearance and/or forgiveness, or some combination of these items. There were no restructuring activities related to 

Multifamily held-for-investment loans involving borrowers experiencing financial difficulty for the six months ended June 30, 

2022.

Prior Period Troubled Debt Restructuring Information 

The table below provides details of our single-family loan modifications that were classified as TDRs during the periods 

presented. 

Table 3.13 - Single-Family TDR Modification Metrics 

2Q 2021 YTD 2021

Percentage of single-family loan modifications that were classified as TDRs with:

 Interest rate reductions and related term extensions 13% 14% 

 Principal forbearance and related interest rate reductions and term extensions 37 35 

Average coupon interest rate reduction 0.4 % 0.4 %

Average months of term extension 145 149

The table below presents the volume of single-family and multifamily loans that were newly classified as TDRs during the 

periods presented. Loans classified as a TDR in one period may be subject to further action (such as a modification or 

remodification) in a subsequent period. In such cases, the subsequent action would not be reflected in the table below since 

the loan would already have been classified as a TDR. 

Table 3.14 - TDR Activity

2Q 2021 YTD 2021

(Dollars in millions) Number  of Loans

Post-TDR 

Amortized Cost 

Basis Number  of Loans

Post-TDR

Amortized Cost 

Basis

Single-Family:(1)(2)

20- and 30-year or more, amortizing fixed-rate 3,729 $656 7,511 $1,327 

15-year or less, amortizing fixed-rate 425 47 897 94 

Adjustable-rate and other 208 30 407 58 

Total Single-Family 4,362 733 8,815 1,479 

Multifamily — — — — 

(1) The pre-TDR amortized cost basis for single-family loans initially classified as TDRs during 2Q 2021 and YTD 2021 was $0.8 billion and $1.5 billion, respectively.

(2) Includes certain bankruptcy events and forbearance plans, repayment plans, payment deferral plans, and modification activities that do not qualify for the temporary 

relief related to TDRs provided by the CARES Act based on servicer reporting at the time of the TDR event.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 3

Freddie Mac 2Q 2022 Form 10-Q 65
The table below presents the volume of our TDR modifications that experienced payment defaults (i.e., loans that became two 

months delinquent or completed a loss event) during the periods presented and had completed a modification during the year 

preceding the payment default. 

Table 3.15 - Payment Defaults of Completed TDR Modifications

2Q 2021 YTD 2021

(Dollars in millions) Number of Loans

Post-TDR 

Amortized Cost 

Basis Number of Loans

Post-TDR

Amortized Cost 

Basis

Single-Family:

20- and 30-year or more, amortizing fixed-rate 682 $124 1,813 $322 

15-year or less, amortizing fixed-rate 24 2 86 9 

Adjustable-rate and other 95 14 237 38 

Total Single-Family 801 140 2,136 369 

Multifamily — — — — 

Non-Cash Investing and Financing Activities

During YTD 2022 and YTD 2021, we acquired $247.8 billion and $295.5 billion, respectively, of loans held-for-investment in 

exchange for the issuance of debt of consolidated trusts in guarantor swap transactions. We received approximately $105.8 

billion and $112.1 billion of loans held-for-investment from sellers during YTD 2022 and YTD 2021, 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 2Q 2022 Form 10-Q 66
NOTE 4 

Guarantees and Other Off-Balance Sheet Credit Exposures

The table below shows our maximum exposure, recognized liability, and maximum remaining term of our guarantees to 

nonconsolidated VIEs and other third parties. This table does not include certain of our unrecognized guarantees, such as 

guarantees to consolidated VIEs or to resecuritization trusts that do not expose us to incremental credit risk. The maximum 

exposure disclosed in the table is not representative of the actual loss we are likely to incur, based on our historical loss 

experience and after consideration of proceeds from collateral liquidation, including possible credit enhancement recoveries.

Table 4.1 - Financial Guarantees

June 30, 2022 December 31, 2021

(Dollars in millions, terms in years)

Maximum

Exposure(1)

Recognized

Liability(2)

Maximum

Remaining

Term

Maximum

Exposure(1)

Recognized

Liability(2)

Maximum

Remaining

Term

Single-Family:

Securitization activity guarantees $26,883 $396 40 $27,975 $398 39

Other mortgage-related guarantees 9,961 226 30 10,588 251 30

Guarantees of Fannie Mae securities 126,927 — 39 111,150 — 40

Total Single-Family $163,771 $622 $149,713 $649 

Multifamily:

Securitization activity guarantees $320,025 $4,828 38 $317,006 $4,663 38

Other mortgage-related guarantees 10,140 371 32 10,456 404 32

Total Multifamily $330,165 $5,199 $327,462 $5,067 

Other guarantees:

Written options $27,724 $1,591 9 $34,861 $1,596 10

CRT-related derivatives 37,755 58 30 33,188 35 30

Other 5,881 330 30 1,750 21 29

Total other guarantees $71,360 $1,979 $69,799 $1,652 

(1) The maximum exposure represents the contractual amounts that could be lost if counterparties or borrowers defaulted, without consideration of proceeds from 

collateral liquidation, including possible credit enhancement recoveries. For other guarantees, this amount primarily represents the notional amount or UPB of our 

interest rate and market value guarantees and guarantees of third-party derivatives. For certain of our other guarantees, our exposure may be unlimited; however, 

we generally reduce our exposure through separate derivative contracts with third parties.

(2) For securitization activity guarantees and other mortgage-related guarantees, this amount represents the guarantee obligation on our condensed consolidated 

balance sheets and excludes our allowance for credit losses on off-balance sheet credit exposures. For other guarantees, this amount represents the fair value of the 

contract.

The table below shows the payment status of the mortgage loans underlying our guarantees that are not measured at fair value.

Table 4.2 – UPB of Loans Underlying Our Guarantees by Payment Status 

June 30, 2022

(In millions) Current

One

Month

Past Due

Two

Months

Past Due

Three Months or

More Past Due,

or in Foreclosure Total(1)

Single-Family $37,686 $1,975 $701 $2,043 $42,405 

Multifamily 372,726 14 5 218 372,963 

Total $410,412 $1,989 $706 $2,261 $415,368 

December 31, 2021

(In millions) Current

One

Month

Past Due

Two

Months

Past Due

Three Months or

More Past Due,

or in Foreclosure Total(1)

Single-Family $38,964 $2,040 $692 $2,341 $44,037 

Multifamily 370,541 47 7 317 370,912 

Total $409,505 $2,087 $699 $2,658 $414,949 

(1) Loan-level payment status is not available for certain guarantees totaling $0.3 billion and $0.4 billion as of June 30, 2022 and December 31, 2021, respectively, and 

therefore is not included in the table above.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 4

Freddie Mac 2Q 2022 Form 10-Q 67
NOTE 5

Allowance for Credit Losses

In 1Q 2022, we adopted accounting guidance that eliminates the recognition and measurement of TDRs. Upon adoption of this 

guidance, we no longer incorporate the expected credit losses for TDRs we reasonably expect will occur in our estimation of 

the allowance for credit losses. See Note 3 for more information on the adoption of the new accounting guidance. 

The table below summarizes changes in our allowance for credit losses. 

Table 5.1 - Details of the Allowance for Credit Losses 

2Q 2022 2Q 2021 YTD 2022 YTD 2021

 (In millions) 

SingleFamilyMultifamily TotalSingleFamilyMultifamily TotalSingleFamilyMultifamily TotalSingleFamilyMultifamily Total

Beginning balance $4,849 $72 $4,921 $6,130 $150 $6,280 $5,440 $78 $5,518 $6,353 $200 $6,553 

Provision (benefit) for 

credit losses 298 9 307 (686) (54) (740) (533) 3 (530) (832) (104) (936) 

Charge-offs (107) — (107) (203) — (203) (280) — (280) (441) — (441) 

Recoveries collected 43 — 43 61 — 61 95 — 95 107 — 107 

Other(1) 259 — 259 211 — 211 620 — 620 326 — 326 

Ending balance $5,342 $81 $5,423 $5,513 $96 $5,609 $5,342 $81 $5,423 $5,513 $96 $5,609 

Components of the ending balance of the allowance for credit losses:

Mortgage loans heldfor-investment $4,904 $35 $4,939 $4,601 $47 $4,648 

Advances of preforeclosure costs 380 — 380 691 — 691 

Accrued interest 

receivable on 

mortgage loans 6 — 6 168 — 168 

Off-balance sheet 

credit exposures 52 46 98 53 49 102 

Total ending balance $5,342 $81 $5,423 $5,513 $96 $5,609 

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

n 2Q 2022 vs. 2Q 2021 - A provision for credit losses in 2Q 2022, primarily driven by portfolio growth and deterioration in 

forecasted economic conditions, compared to a benefit for credit losses in 2Q 2021, which was primarily driven by a 

reserve release due to observed house price appreciation and improving economic conditions.

n YTD 2022 vs. YTD 2021 - Benefit for credit losses decreased primarily due to portfolio growth and deterioration in 

forecasted economic conditions.

In addition, charge-offs decreased year-over-year due to a decrease in charge-offs of accrued interest receivable during the 

2022 periods.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 5

Freddie Mac 2Q 2022 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) June 30, 2022 December 31, 2021

Trading securities $43,816 $49,003 

Available-for-sale securities 5,121 4,012 

Total fair value of investment securities $48,937 $53,015 

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) June 30, 2022 December 31, 2021

Mortgage-related securities $12,456 $16,231 

Non-mortgage-related securities 31,360 32,772 

Total fair value of trading securities $43,816 $49,003 

For trading securities held at June 30, 2022, we recorded net unrealized losses of $0.3 billion and $1.1 billion during 2Q 2022

and YTD 2022, respectively. For trading securities held at June 30, 2021, we recorded net unrealized losses of $0.4 billion and 

$0.8 billion during 2Q 2021 and YTD 2021, respectively. 

Available-for-Sale Securities 

The table below provides details of the securities classified as available-for-sale on our condensed consolidated balance 

sheets. 

Table 6.3 - Available-for-Sale Securities 

Amortized

Cost

Basis

Gross Unrealized 

Gains in Other 

Comprehensive 

Income

Gross Unrealized

Losses in Other 

Comprehensive 

Income Fair Value

Accrued Interest 

(In millions) Receivable

June 30, 2022 $4,990 $253 ($122) $5,121 $12 

December 31, 2021 3,638 376 (2) 4,012 10 

The fair value of our available-for-sale securities held at June 30, 2022 scheduled to contractually mature after ten years was 

$1.7 billion, with $2.7 billion scheduled to contractually mature after five years through ten years. 

The table below summarizes the gross realized gains and gross realized losses from the sale of available-for-sale securities. 

Table 6.4 - Gross Realized Gains and Gross Realized Losses from Sales of Available-for-Sale Securities 

(In millions) 2Q 2022 2Q 2021 YTD 2022 YTD 2021

Gross realized gains $1 $121 $1 $520 

Gross realized losses (3) (22) (4) (53) 

Net realized gains (losses) ($2) $99 ($3) $467 

Non-Cash Investing and Financing Activities

During YTD 2022 and YTD 2021, we recognized $8.3 billion and $23.9 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 2022, we deconsolidated $7.7 billion 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 2Q 2022 Form 10-Q 69
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) June 30, 2022 December 31, 2021

Debt of consolidated trusts $2,934,115 $2,803,054 

Debt of Freddie Mac:

Short-term debt 3,112 — 

Long-term debt 155,951 177,131 

Total debt of Freddie Mac 159,063 177,131 

Total debt $3,093,178 $2,980,185 

As of June 30, 2022, our aggregate indebtedness pursuant to the Purchase Agreement was $168.6 billion, which was below the 

current $300.0 billion debt cap limit. Our aggregate indebtedness calculation primarily includes the par value of short- and longterm 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 

June 30, 2022 December 31, 2021

(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(3):

20- and 30-year or more, fixed-rate 2022 - 2061 $2,440,644 $2,488,823 2.63 % 2022 - 2061 $2,297,650 $2,358,397 2.62 %

15-year or less, fixed-rate 2022 - 2037 387,599 395,094 2.11 2022 - 2037 390,320 399,647 2.13 

Adjustable-rate and other 2022 - 2052 23,583 24,281 2.41 2022 - 2052 24,248 24,921 2.31 

Total Single-Family 2,851,826 2,908,198 2,712,218 2,782,965 

Multifamily 2022 - 2052 25,896 25,917 2.35 2022 - 2051 19,838 20,089 2.17 

Total debt of consolidated trusts $2,877,722 $2,934,115 $2,732,056 $2,803,054 

(1) Includes $2.3 billion and $1.1 billion as of June 30, 2022 and December 31, 2021, 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 2.08% and 1.71% as of June 30, 2022 and December 31, 2021, respectively.

(3) Prior period was revised to conform to the current period presentation.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 7

Freddie Mac 2Q 2022 Form 10-Q 70
Debt of Freddie Mac

The table below summarizes the balances and effective interest rates for debt of Freddie Mac.

Table 7.3 - Total Debt of Freddie Mac

June 30, 2022 December 31, 2021

(Dollars in millions) Par Value

Carrying 

Amount(1)

Weighted

Average

Effective Rate(2) Par Value

Carrying 

Amount(1)

Weighted

Average

Effective Rate(2)

Short-term debt:

Discount notes and Reference Bills $1,575 $1,572 1.20 % $— $— — %

Medium-term notes 1,540 1,540 1.07 — — — 

Securities sold under agreements to repurchase 9,977 9,977 1.06 7,333 7,333 (0.10) 

Offsetting arrangements(3) (9,977) (9,977) (7,333) (7,333) 

Total short-term debt 3,115 3,112 1.14 — — — 

Long-term debt:

Original maturities on or before December 31,

2022 18,369 18,379 0.46 48,625 48,641 0.18 

2023 40,822 40,792 0.58 38,688 38,644 0.47 

2024 20,783 20,766 1.47 13,274 13,257 0.46 

2025 40,911 40,616 1.15 35,436 35,108 0.84 

2026 4,984 4,982 0.97 4,717 4,715 0.83 

Thereafter 33,232 31,661 2.95 31,736 30,052 2.91 

STACR and SCR debt(4) 6,332 6,195 5.57 9,139 8,981 4.23 

Hedging-related basis adjustments N/A (7,440) N/A (2,267) 

Total long-term debt 165,433 155,951 1.49 181,615 177,131 1.07 

Total debt of Freddie Mac(5) $168,548 $159,063 $181,615 $177,131 

(1) Represents par value, net of associated discounts or premiums and issuance cost. Includes $1.3 billion and $1.4 billion at June 30, 2022 and December 31, 2021, 

respectively, of long-term debt that represents the fair value of debt for which the fair value option was elected.

(2) Based on carrying amount.

(3) We offset payables related to securities sold under agreements to repurchase against receivables related to securities purchased under agreements to resell on our 

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

(4) Contractual maturities of these debt securities are not presented because they are subject to prepayment risk, as their payments are based upon the performance of 

a reference pool of mortgage assets that may be prepaid by the related mortgage borrower at any time, generally without penalty. 

(5) Carrying amount for debt of Freddie Mac includes callable debt of $85.5 billion and $68.5 billion at June 30, 2022 and December 31, 2021, respectively.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 7

Freddie Mac 2Q 2022 Form 10-Q 71
NOTE 8

Derivatives

We use derivatives primarily to hedge interest-rate sensitivity mismatches between our financial assets and liabilities. We 

analyze the interest-rate sensitivity of financial assets and liabilities across a variety of interest-rate scenarios based on market 

prices, models, and economics. When we use derivatives to mitigate our exposures, we consider a number of factors, including 

cost, exposure to counterparty risk, and our overall risk management strategy.

We 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

June 30, 2022 December 31, 2021

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 $539,173 $1,199 ($900) $561,393 $1,748 ($3,319) 

Written options 27,724 — (1,591) 34,861 — (1,597) 

Purchased options(1) 105,270 4,081 — 137,873 3,585 — 

Futures 111,420 — — 126,528 — — 

Total interest-rate management derivatives 783,587 5,280 (2,491) 860,655 5,333 (4,916) 

Mortgage commitment derivatives:

Forward contracts to purchase mortgage loans 4,148 27 (4) 7,582 15 (5) 

Forward contracts to purchase mortgage-related securities 19,239 115 (70) 16,605 26 (8) 

Forward contracts to sell mortgage-related securities 34,299 99 (207) 59,469 38 (73) 

Total mortgage commitment derivatives 57,686 241 (281) 83,656 79 (86) 

CRT-related derivatives 37,892 102 (60) 33,351 15 (37) 

Other 8,553 2 (330) 4,335 2 (21) 

Total derivatives not designated as hedges 887,718 5,625 (3,162) 981,997 5,429 (5,060) 

Designated as fair value hedges

Interest-rate risk management derivatives:

Swaps 159,549 144 (5,873) 154,819 37 (2,689) 

Total derivatives designated as fair value hedges 159,549 144 (5,873) 154,819 37 (2,689) 

Derivative interest receivable (payable)(2) 429 (727) 360 (413) 

Netting adjustments(3) (5,574) 8,699 (5,366) 7,880 

Total derivative portfolio, net $1,047,267 $624 ($1,063) $1,136,816 $460 ($282) 

(1) Includes swaptions on credit indices with a notional or contractual amount of $8.4 billion and $9.4 billion at June 30, 2022 and December 31, 2021, respectively, 

and a fair value of $5.0 million and $1.0 million at June 30, 2022 and December 31, 2021, respectively. 

(2) Includes other derivative receivables and payables.

(3) Represents counterparty netting and cash collateral netting.

See Note 9 for information related to our derivative counterparties and collateral held and posted.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 8 

Freddie Mac 2Q 2022 Form 10-Q 72
Gains and Losses on Derivatives

The table below presents the gains and losses on derivatives, including the accrual of periodic cash settlements, while not 

designated in qualifying hedge relationships and reported on our condensed consolidated statements of operations and 

comprehensive income (loss) as investment gains (losses), net.

Table 8.2 - Gains and Losses on Derivatives 

(In millions) 2Q 2022 2Q 2021 YTD 2022 YTD 2021

Not designated as hedges

Interest-rate risk management derivatives:

Swaps $126 $1,039 $754 $1,654 

Written options (320) 305 (684) (156) 

Purchased options 453 (586) 1,106 (634) 

Futures 556 (127) 1,424 159 

Total interest-rate risk management derivatives fair value gains (losses) 815 631 2,600 1,023 

Mortgage commitment derivatives 880 (860) 2,719 616 

CRT-related derivatives 49 15 33 (27) 

Other (24) 11 (35) 8 

Total derivatives not designated as hedges fair value gains (losses) 1,720 (203) 5,317 1,620 

 Accrual of periodic cash settlements on swaps(1) (212) (360) (386) (812) 

Total $1,508 ($563) $4,931 $808 

(1) Includes interest on variation margin on cleared interest-rate swaps.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 8 

Freddie Mac 2Q 2022 Form 10-Q 73
Fair Value Hedges 

The table below presents the effects of fair value hedge accounting by condensed consolidated statements of operations and 

comprehensive income (loss) line item, including the gains and losses on derivatives and hedged items designated in qualifying 

hedge relationships and other components due to the application of hedge accounting.

Table 8.3 - Gains and Losses on Fair Value Hedges

2Q 2022 2Q 2021

(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 operations and 

comprehensive income in which the effects of fair value 

hedges are recorded: $20,008 ($15,249) $15,230 ($10,463) 

Interest contracts on mortgage loans held-for-investment:

Gain (loss) on fair value hedging relationships:

Hedged items (1,523) — 1,086 — 

Derivatives designated as hedging instruments 1,408 — (1,097) — 

Interest accruals on hedging instruments (149) — (139) — 

Discontinued hedge-related basis adjustments amortization (4) — (511) — 

Interest contracts on debt:

Gain (loss) on fair value hedging relationships:

Hedged items — 1,300 — (600) 

Derivatives designated as hedging instruments — (1,328) — 568 

Interest accruals on hedging instruments — (44) — 248 

Discontinued hedge-related basis adjustments amortization — 2 — 3 

YTD 2022 YTD 2021

(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 operations and 

comprehensive income in which the effects of fair value 

hedges are recorded: $37,748 ($28,885) $29,132 ($20,726) 

Interest contracts on mortgage loans held-for-investment:

Gain (loss) on fair value hedging relationships:

Hedged items (4,150) — (437) — 

Derivatives designated as hedging instruments 3,463 — 437 — 

Interest accruals on hedging instruments (416) — (253) — 

Discontinued hedge-related basis adjustments amortization (128) — (1,292) — 

Interest contracts on debt:

Gain (loss) on fair value hedging relationships:

Hedged items — 5,161 — 1,514 

Derivatives designated as hedging instruments — (5,224) — (1,620) 

Interest accruals on hedging instruments — 100 — 503 

Discontinued hedge-related basis adjustments amortization — 12 — 8 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 8 

Freddie Mac 2Q 2022 Form 10-Q 74
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

June 30, 2022

Carrying 

Amount 

Assets / 

(Liabilities)

Cumulative Amount of Fair Value Hedging Basis 

Adjustments Included in the Carrying Amount

Closed Portfolio Under the Lastof-Layer Method

(In millions) Total

Under the 

Last-of-Layer 

Method

Discontinued - 

Hedge Related

Total Amount 

by Amortized 

Cost Basis

Designated 

Amount by 

UPB

Mortgage loans held-for-investment $1,027,104 ($1,504) ($290) ($1,214) $85,498 $11,516 

Mortgage loans held-for-sale 39 1 — 1 — — 

Debt (128,332) 7,440 — (13) — — 

December 31, 2021

Carrying 

Amount 

Assets / 

(Liabilities)

Cumulative Amount of Fair Value Hedging Basis 

Adjustments Included in the Carrying Amount

Closed Portfolio Under the Lastof-Layer Method

(In millions) Total

Under the 

Last-of-Layer 

Method

Discontinued - 

Hedge Related

Total Amount 

by Amortized 

Cost Basis

Designated 

Amount by 

UPB

Mortgage loans held-for-investment $855,173 $2,774 $— $2,774 $— $— 

Debt (124,235) 2,267 — (30) — — 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 8 

Freddie Mac 2Q 2022 Form 10-Q 75
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

June 30, 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 $5,848 ($4,566) ($1,026) $256 ($19) $237 

Cleared and exchange-traded derivatives 5 — 18 23 — 23 

Mortgage commitment derivatives 241 — — 241 — 241 

Other 104 — — 104 — 104 

Total derivatives 6,198 (4,566) (1,008) 624 (19) 605 

Securities purchased under agreements to resell 96,473 (9,977) — 86,496 (86,496) — 

Total $102,671 ($14,543) ($1,008) $87,120 ($86,515) $605 

Liabilities:

Derivatives:

OTC derivatives ($8,837) $4,566 $4,094 ($177) $4 ($173) 

Cleared and exchange-traded derivatives (254) — 39 (215) 215 — 

Mortgage commitment derivatives (281) — — (281) — (281) 

Other (390) — — (390) — (390) 

Total derivatives (9,762) 4,566 4,133 (1,063) 219 (844) 

Securities sold under agreements to repurchase (9,977) 9,977 — — — — 

Total ($19,739) $14,543 $4,133 ($1,063) $219 ($844) 

 Referenced footnotes are included after the next table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 9

Freddie Mac 2Q 2022 Form 10-Q 76
December 31, 2021

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 $5,670 ($4,437) ($963) $270 ($250) $20 

Cleared and exchange-traded derivatives 60 (4) 38 94 — 94 

Mortgage commitment derivatives 79 — — 79 — 79 

Other 17 — — 17 — 17 

Total derivatives 5,826 (4,441) (925) 460 (250) 210 

Securities purchased under agreements to resell 78,536 (7,333) — 71,203 (71,203) — 

Total $84,362 ($11,774) ($925) $71,663 ($71,453) $210 

Liabilities:

Derivatives:

OTC derivatives ($7,979) $4,437 $3,417 ($125) $— ($125) 

Cleared and exchange-traded derivatives (39) 4 22 (13) 13 — 

Mortgage commitment derivatives (86) — — (86) — (86) 

Other (58) — — (58) — (58) 

Total derivatives (8,162) 4,441 3,439 (282) 13 (269) 

Securities sold under agreements to repurchase (7,333) 7,333 — — — — 

Total ($15,495) $11,774 $3,439 ($282) $13 ($269) 

(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 mortgage commitment derivatives, excludes collateral posted totaling $0.2 billion and $0.8 billion as of June 30, 

2022 and December 31, 2021, respectively.

Collateral Pledged

Collateral Pledged to Freddie Mac

We have cash pledged to us as collateral primarily related to OTC derivative transactions. We had $1.8 billion and $1.2 billion

pledged to us as collateral that was invested as part of our other investments portfolio as of June 30, 2022 and December 31, 

2021, respectively.

We primarily execute securities purchased under agreements to resell transactions with central clearing organizations where we 

have the right to repledge the collateral that has been pledged to us, either with the central clearing organization or with other 

counterparties. At June 30, 2022 and December 31, 2021, we had $21.6 billion and $32.7 billion, respectively, of securities 

pledged to us in these transactions. In addition, as of June 30, 2022 and December 31, 2021, we had $1.1 billion and 

$0.8 billion, respectively, of securities pledged to us for transactions involving securities purchased under agreements to resell 

not executed with central clearing organizations that we had the right to repledge. 

Collateral Pledged by Freddie Mac

For cash collateral related to commitments and securities purchased under agreements to resell transactions primarily with 

central clearing organizations, we posted $0.2 billion and less than $0.1 billion as of June 30, 2022 and December 31, 2021, 

respectively.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 9

Freddie Mac 2Q 2022 Form 10-Q 77
The table below summarizes the fair value of the securities pledged as collateral by us for derivatives and collateralized 

borrowing transactions, including securities that the secured party may repledge.

Table 9.2 - Collateral in the Form of Securities Pledged 

June 30, 2022

(In millions) Derivatives

Securities Sold 

Under 

Agreements to 

Repurchase Other(1) Total

Debt of consolidated trusts(2) $— $— $29 $29 

Trading securities 1,707 9,007 645 11,359 

Total securities pledged $1,707 $9,007 $674 $11,388 

December 31, 2021

(In millions) Derivatives

Securities Sold 

Under 

Agreements to 

Repurchase Other(1) Total

Debt of consolidated trusts(2) $— $— $161 $161 

Trading securities 1,542 7,333 1,115 9,990 

Total securities pledged $1,542 $7,333 $1,276 $10,151 

(1) Includes other collateralized borrowings and collateral related to transactions with certain clearinghouses.

(2) Represents debt of consolidated trusts held by us in our mortgage-related investments portfolio which are recorded as a reduction to debt of consolidated trusts on 

our condensed consolidated balance sheets.

The table below summarizes the underlying collateral pledged and the remaining contractual maturity of our gross obligations 

under securities sold under agreements to repurchase.

Table 9.3 - Underlying Collateral Pledged 

June 30, 2022

(In millions)

Overnight and 

Continuous 30 Days or Less

After 30 Days 

Through 90 Days

Greater Than 90 

Days Total

U.S. Treasury securities and other $2,729 $— $6,278 $— $9,007 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 9

Freddie Mac 2Q 2022 Form 10-Q 78
NOTE 10

Net Interest Income

The table below presents the components of net interest income per our condensed consolidated statements of operations and 

comprehensive income (loss).

Table 10.1 - Components of Net Interest Income

(In millions) 2Q 2022 2Q 2021 YTD 2022 YTD 2021

Interest income

Mortgage loans $19,324 $14,590 $36,634 $27,845 

Investment securities 464 617 848 1,227 

Other 220 23 266 60 

Total interest income 20,008 15,230 37,748 29,132 

Interest expense

Debt of consolidated trusts (14,595) (10,032) (27,844) (19,788) 

Debt of Freddie Mac:

Short-term debt (20) — (20) (2) 

Long-term debt (634) (431) (1,021) (936) 

Total interest expense (15,249) (10,463) (28,885) (20,726) 

Net interest income 4,759 4,767 8,863 8,406 

Benefit (provision) for credit losses (307) 740 530 936 

Net interest income after benefit (provision) for credit losses $4,452 $5,507 $9,393 $9,342 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 10

Freddie Mac 2Q 2022 Form 10-Q 79
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 Allocations and Results

The results of each reportable segment include directly attributable revenues and expenses. We allocate interest expense and 

other funding and hedging-related costs and returns on certain investments to each reportable segment using a funds transfer 

pricing process. We fully allocate to each reportable segment administrative expenses and other centrally-incurred costs that 

are not directly attributable to a particular segment using various methodologies depending on the nature of the expense. As a 

result, the sum of each income statement line item for the two reportable segments is equal to that same income statement line 

item for the consolidated entity. 

The table below presents the financial results for our Single-Family and Multifamily segments.

Table 11.1 - Segment Financial Results 

2Q 2022 2Q 2021

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

Net interest income $4,535 $224 $4,759 $4,460 $307 $4,767 

Non-interest income (loss)

Guarantee income 35 170 205 10 346 356 

Investment gains (losses), net 232 89 321 137 499 636 

Other income (loss) 69 50 119 108 (1) 107 

Non-interest income (loss) 336 309 645 255 844 1,099 

Net revenues 4,871 533 5,404 4,715 1,151 5,866 

Benefit (provision) for credit losses (298) (9) (307) 686 54 740 

Non-interest expense (1,854) (166) (2,020) (1,803) (166) (1,969) 

Income (loss) before income tax 

(expense) benefit 2,719 358 3,077 3,598 1,039 4,637 

Income tax (expense) benefit (551) (73) (624) (743) (215) (958) 

Net income (loss) 2,168 285 2,453 2,855 824 3,679 

Other comprehensive income (loss), net 

of taxes and reclassification adjustments 5 (71) (66) (74) 6 (68) 

Comprehensive income (loss) $2,173 $214 $2,387 $2,781 $830 $3,611 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 11

Freddie Mac 2Q 2022 Form 10-Q 80
YTD 2022 YTD 2021

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

Net interest income $8,341 $522 $8,863 $7,768 $638 $8,406 

Non-interest income (loss)

Guarantee income 65 210 275 99 505 604 

Investment gains (losses), net 1,484 350 1,834 437 1,407 1,844 

Other income (loss) 195 83 278 260 25 285 

Non-interest income (loss) 1,744 643 2,387 796 1,937 2,733 

Net revenues 10,085 1,165 11,250 8,564 2,575 11,139 

Benefit (provision) for credit losses 533 (3) 530 832 104 936 

Non-interest expense (3,632) (320) (3,952) (3,612) (345) (3,957) 

Income (loss) before income tax 

(expense) benefit 6,986 842 7,828 5,784 2,334 8,118 

Income tax (expense) benefit (1,407) (170) (1,577) (1,191) (481) (1,672) 

Net income (loss) 5,579 672 6,251 4,593 1,853 6,446 

Other comprehensive income (loss), net of 

taxes and reclassification adjustments (7) (179) (186) (402) (55) (457) 

Comprehensive income (loss) $5,572 $493 $6,065 $4,191 $1,798 $5,989 

We measure total assets for our reportable segments based on the mortgage portfolio for each segment. We operate our 

business in the U.S. and its territories, and accordingly, we generate no revenue from and have no long-lived assets, other than 

financial instruments, in geographic locations other than the U.S. and its territories.

The table below presents total assets for our Single-Family and Multifamily segments.

Table 11.2 - Segment Assets

(In millions) June 30, 2022 December 31, 2021

Single-Family $2,927,929 $2,792,224 

Multifamily 415,055 414,663 

Total segment assets 3,342,984 3,206,887 

Reconciling items(1) (197,403) (181,301) 

Total assets per condensed consolidated balance sheets $3,145,581 $3,025,586 

(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 2Q 2022 Form 10-Q 81
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 3, Note 

4, 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(1)

June 30, 2022 December 31, 2021

(Dollars in millions) Portfolio UPB(2) % of Portfolio SDQ Rate Portfolio UPB(2) % of Portfolio SDQ Rate

Region:(3)

West $898,612 31 % 0.56 % $858,535 31 % 0.92 %

Northeast 685,058 23 0.96 660,103 24 1.37 

North Central 428,839 15 0.72 416,214 15 0.98 

Southeast 494,452 17 0.80 461,084 16 1.21 

Southwest 420,672 14 0.74 395,953 14 1.14 

Total $2,927,633 100 % 0.76 $2,791,889 100 % 1.12 

State:

California $516,523 18 % 0.60 $497,521 18 % 0.99 

Texas 191,047 7 0.76 176,501 6 1.23 

Florida 183,427 6 0.84 168,572 6 1.36 

New York 127,168 4 1.44 120,655 4 2.07 

Illinois 111,472 4 1.03 109,171 4 1.44 

All other 1,797,996 61 0.71 1,719,469 62 1.03 

Total $2,927,633 100 % 0.76 $2,791,889 100 % 1.12 

(1) Credit loss amounts related to our Single-Family mortgage portfolio were insignificant during both the 2022 periods and the 2021 periods.

(2) Excludes UPB of loans underlying certain securitization products for which data was not available.

(3) 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).

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 12

Freddie Mac 2Q 2022 Form 10-Q 82
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 

June 30, 2022

(In millions) Level 1 Level 2 Level 3

Netting 

Adjustments(1) Total

Assets:

Investment securities:

Available-for-sale $— $3,997 $1,124 $— $5,121 

Trading:

Mortgage-related securities — 9,137 3,319 — 12,456 

Non-mortgage-related securities 30,596 764 — — 31,360 

Total trading securities 30,596 9,901 3,319 — 43,816 

Total investment securities 30,596 13,898 4,443 — 48,937 

Mortgage loans held-for-sale — 5,331 339 — 5,670 

Other assets:

 Guarantee assets — — 5,649 — 5,649 

 Derivative assets, net — 5,758 11 — 5,769 

 Netting adjustments(1) — — — (5,145) (5,145) 

Total derivative assets, net — 5,758 11 (5,145) 624 

 Other assets — 25 121 — 146 

Total other assets — 5,783 5,781 (5,145) 6,419 

Total assets carried at fair value on a recurring basis $30,596 $25,012 $10,563 ($5,145) $61,026 

Liabilities:

Debt:

Debt of consolidated trusts $— $1,978 $346 $— $2,324 

Debt of Freddie Mac — 1,170 111 — 1,281 

Total debt — 3,148 457 — 3,605 

Other liabilities:

 Derivative liabilities, net 10 8,967 58 — 9,035 

 Netting adjustments(1) — — — (7,972) (7,972) 

Total derivative liabilities, net 10 8,967 58 (7,972) 1,063 

Other liabilities — 16 — — 16 

Total other liabilities 10 8,983 58 (7,972) 1,079 

Total liabilities carried at fair value on a recurring basis $10 $12,131 $515 ($7,972) $4,684 

Referenced footnote is included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 2Q 2022 Form 10-Q 83
December 31, 2021

(In millions) Level 1 Level 2 Level 3

Netting 

Adjustments(1) Total

Assets:

Investment securities:

Available-for-sale $— $2,726 $1,286 $— $4,012 

Trading:

Mortgage-related securities: — 12,845 3,386 — 16,231 

Non-mortgage-related securities 31,780 992 — — 32,772 

Total trading securities 31,780 13,837 3,386 — 49,003 

Total investment securities 31,780 16,563 4,672 — 53,015 

Mortgage loans held-for-sale — 10,498 — — 10,498 

Other assets:

 Guarantee assets — — 5,919 — 5,919 

 Derivative assets, net 33 5,416 17 — 5,466 

 Netting adjustments(1) — — — (5,006) (5,006) 

Total derivative assets, net 33 5,416 17 (5,006) 460 

 Other assets — 131 84 — 215 

Total other assets 33 5,547 6,020 (5,006) 6,594 

Total assets carried at fair value on a recurring basis $31,813 $32,608 $10,692 ($5,006) $70,107 

Liabilities:

Debt:

Debt of consolidated trusts $— $910 $184 $— $1,094 

 Debt of Freddie Mac — 1,274 110 — 1,384 

Total debt — 2,184 294 — 2,478 

Other liabilities:

 Derivative liabilities, net — 7,726 23 — 7,749 

Netting adjustments(1) — — — (7,467) (7,467) 

Total derivative liabilities, net — 7,726 23 (7,467) 282 

 Other liabilities — 4 1 — 5 

 Total other liabilities — 7,730 24 (7,467) 287 

 Total liabilities carried at fair value on a recurring basis $— $9,914 $318 ($7,467) $2,765 

(1) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 2Q 2022 Form 10-Q 84
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 operations and comprehensive income (loss) for Level 3 assets and 

liabilities. 

Table 13.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs 

2Q 2022

Balance,

April 1,

2022

Total Realized/Unrealized 

Gains (Losses)

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3

Transfers

out of

Level 3(1)

Balance,

June 30,

2022

Change in 

Unrealized 

Gains (Losses) 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2022(2)

Change in 

Unrealized 

Gains (Losses), 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of June 

(In millions) 30, 2022

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Assets

Investment securities:

Available-for-sale $1,188 $— ($7) $43 $— ($1) ($99) $— $— $1,124 $— ($5) 

Trading 3,165 (232) — 436 — — (15) — (35) 3,319 (57) — 

Total investment 

securities 4,353 (232) (7) 479 — (1) (114) — (35) 4,443 (57) (5) 

Mortgage loans held-forsale — (14) — — — (5) (25) 383 — 339 (14) — 

Other assets:

Guarantee assets 5,696 (194) — — 376 — (229) — — 5,649 (194) — 

Other assets 114 33 — (6) 5 (5) (9) — — 132 33 — 

Total other assets 5,810 (161) — (6) 381 (5) (238) — — 5,781 (161) — 

Total assets $10,163 ($407) ($7) $473 $381 ($11) ($377) $383 ($35) $10,563 ($232) ($5) 

Balance,

April 1,

2022

Total Realized/Unrealized 

(Gains) Losses

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3

Transfers

out of

Level 3(1)

Balance,

June 30,

2022

Change in 

Unrealized 

(Gains) Losses 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2022(2)

Change in 

Unrealized 

(Gains) Losses, 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2022

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Liabilities

Debt $402 $12 $— ($6) $55 $— ($6) $— $— $457 $23 $— 

Other liabilities 47 14 — — — — (3) — — 58 13 — 

Total liabilities $449 $26 $— ($6) $55 $— ($9) $— $— $515 $36 $— 

 Referenced footnotes are included after the prior period table.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 2Q 2022 Form 10-Q 85
YTD 2022

Balance,

January 1,

2022

Total Realized/Unrealized 

Gains (Losses)

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3

Transfers

out of

Level 3(1)

Balance,

June 30,

2022

Change in 

Unrealized 

Gains (Losses) 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2022(2)

Change in 

Unrealized 

Gains (Losses), 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of June 

(In millions) 30, 2022

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Assets

Investment securities:

Available-for-sale $1,286 $— ($43) $43 $— ($1) ($191) $30 $— $1,124 ($1) ($33) 

Trading 3,386 (658) — 644 — — (33) — (20) 3,319 (312) — 

Total investment 

securities 4,672 (658) (43) 687 — (1) (224) 30 (20) 4,443 (313) (33) 

Mortgage loans held-forsale — (14) — — — (5) (25) 383 — 339 (14) — 

Other assets:

Guarantee assets 5,919 (510) — — 708 — (468) — — 5,649 (510) — 

Other assets 101 47 — (9) 9 (5) (11) — — 132 48 — 

Total other assets 6,020 (463) — (9) 717 (5) (479) — — 5,781 (462) — 

Total assets $10,692 ($1,135) ($43) $678 $717 ($11) ($728) $413 ($20) $10,563 ($789) ($33) 

Balance,

January 1,

2022

Total Realized/Unrealized 

(Gains) Losses

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3

Transfers

out of

Level 3(1)

Balance,

June 30,

2022

Change in 

Unrealized 

(Gains) Losses 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2022(2)

Change in 

Unrealized 

(Gains) Losses, 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2022

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Liabilities

Debt $294 $35 $— ($6) $141 $— ($7) $— $— $457 $56 $— 

Other liabilities 24 37 — 1 — — (4) — — 58 35 — 

Total liabilities $318 $72 $— ($5) $141 $— ($11) $— $— $515 $91 $— 

2Q 2021

Balance,

April 1,

2021

Total Realized/Unrealized 

Gains (Losses)

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3

Transfers

out of

Level 3(1)

Balance,

June 30,

2021

Change in 

Unrealized 

Gains (Losses) 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2021(2)

Change in 

Unrealized 

Gains (Losses), 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of June 

(In millions) 30, 2021

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Assets

Investment securities:

Available-for-sale $1,836 $5 $9 $— $— ($296) ($80) $— $— $1,474 $6 $7 

Trading 3,062 (171) — 737 — — (23) — (82) 3,523 (177) — 

Total investment 

securities 4,898 (166) 9 737 — (296) (103) — (82) 4,997 (171) 7 

Other assets:

Guarantee assets 5,688 5 — — 416 — (240) — — 5,869 48 — 

Other assets 145 (44) — 5 4 (9) (6) — — 95 (44) — 

Total other assets 5,833 (39) — 5 420 (9) (246) — — 5,964 4 — 

Total assets $10,731 ($205) $9 $742 $420 ($305) ($349) $— ($82) $10,961 ($167) $7 

Balance,

April 1,

2021

Total Realized/Unrealized 

(Gains) Losses

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3

Transfers

out of

Level 3(1)

Balance,

June 30,

2021

Change in 

Unrealized 

(Gains) Losses 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2021(2)

Change in 

Unrealized 

(Gains) Losses, 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2021

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Liabilities

Debt $380 ($16) $— $— $35 $— ($31) $— $— $368 ($14) $— 

Other liabilities 34 (9) — 1 — — (3) — — 23 (12) — 

Total liabilities $414 ($25) $— $1 $35 $— ($34) $— $— $391 ($26) $— 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 2Q 2022 Form 10-Q 86
YTD 2021

Balance,

January 1,

2021

Total Realized/Unrealized 

Gains (Losses)

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3

Transfers

out of

Level 3(1)

Balance,

June 30,

2021

Change in 

Unrealized 

Gains (Losses) 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2021(2)

Change in 

Unrealized 

Gains (Losses), 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of June 

(In millions) 30, 2021

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Assets

Investment securities:

Available-for-sale $1,588 $12 $4 $— $— $— ($130) $— $— $1,474 $12 $3 

Trading 3,259 (356) — 1,112 — (269) (43) — (180) 3,523 (364) — 

Total investment 

securities 4,847 (344) 4 1,112 — (269) (173) — (180) 4,997 (352) 3 

Other assets: — 

Guarantee assets 5,509 (83) — — 905 — (462) — — 5,869 (79) — 

Other assets 171 (67) — 1 10 (9) (11) — — 95 (67) — 

Total other assets 5,680 (150) — 1 915 (9) (473) — — 5,964 (146) — 

Total assets $10,527 ($494) $4 $1,113 $915 ($278) ($646) $— ($180) $10,961 ($498) $3 

Balance,

January 1,

2021

Total Realized/Unrealized 

(Gains) Losses

Purchases Issues Sales

Settlements,

Net

Transfers

into

Level 3

Transfers

out of

Level 3(1)

Balance,

June 30,

2021

Change in 

Unrealized 

(Gains) Losses 

Included in Net 

Income 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2021(2)

Change in 

Unrealized 

(Gains) Losses, 

Net of Tax, 

Included in OCI 

Related to 

Assets and 

Liabilities Still 

Held as of June 

30, 2021

Included 

in

Earnings

Included in 

Other

Comprehensive

Income

Liabilities

Debt $323 ($10) $— $— $89 $— ($34) $— $— $368 ($8) $— 

Other liabilities 19 6 — 2 2 — (6) — — 23 — — 

Total liabilities $342 ($4) $— $2 $91 $— ($40) $— $— $391 ($8) $— 

(1) Transfers out of Level 3 consisted primarily of certain mortgage-related securities due to an increased volume and level of activity in the market and availability of 

price quotes from dealers and third-party pricing services. Certain agency securities are classified as Level 3 at issuance and generally are classified as Level 2 

when they begin trading. 

(2) Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains and losses related to assets and 

liabilities classified as Level 3 that were still held at June 30, 2022 and June 30, 2021, respectively. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 2Q 2022 Form 10-Q 87
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 

June 30, 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 $714 

Median of external 

sources

External pricing 

sources $66.2 - $75.7 $69.8 

 410 Other

 Trading 2,705 Single external source External pricing source $0.0 - $6,510.7 $269.7 

 614 Other

Mortgage loans held-for-sale 339 Single external source External pricing source $39.6 - $102.9 $85.7 

Guarantee assets 5,264 Discounted cash flows OAS 17 - 186 bps 45 bps

 385 Other

Insignificant Level 3 assets(2) 132 

Total level 3 assets $10,563 

Liabilities

Insignificant Level 3 liabilities(2) 515 

Total level 3 liabilities $515 

December 31, 2021

Level 3

Fair

Value

Predominant

Valuation

Technique(s)

Unobservable Inputs

(Dollars in millions, except for certain unobservable 

inputs as shown) Type Range

Weighted

Average(1)

Assets

Investment securities:

 Available-for-sale $839 

Median of external 

sources

External pricing 

sources $72.8 - $83.7 $77.0 

 446 Other

 Trading 2,846 Single external source External pricing source $0.0 - $7,343.1 $396.7 

 541 Other

 Guarantee assets 5,531 Discounted cash flows OAS 17 - 186 bps 45 bps

 388 Other

 Insignificant Level 3 assets(2) 101 

Total level 3 assets $10,692 

Liabilities(2)

Insignificant Level 3 liabilities(2) 318 

Total level 3 liabilities $318 

(1) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments.

(2) Represents the aggregate amount of Level 3 assets or liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 2Q 2022 Form 10-Q 88
Assets Measured at Fair Value on a Non-Recurring Basis

We may be required, from time to time, to measure certain assets at fair value on a non-recurring basis. These adjustments 

usually result from the application of lower-of-cost-or-fair-value accounting or measurement of impairment based on the fair 

value of the underlying collateral. Certain of the fair values in the tables below were not obtained as of 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 

June 30, 2022 December 31, 2021

(In millions) Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total

Assets measured at fair value on a 

non-recurring basis:

Mortgage loans(1) $— $— $1,335 $1,335 $— $12 $797 $809 

(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 

June 30, 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)

Non-recurring fair value 

measurements

Mortgage loans $1,176 Median of external sources External pricing sources $81.5 - $103.1 $92.7

159 Other

Total $1,335 

December 31, 2021

Level 3

Fair

Value

Predominant

Valuation

Technique(s)

Unobservable Inputs

(Dollars in millions, except for 

unobservable inputs as shown) Type Range

Weighted

Average(1)

Non-recurring fair value 

measurements

Mortgage loans $625 Median of external sources External pricing sources $61.9 - $107.1 $97.3

172 Other

Total $797 

(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 2Q 2022 Form 10-Q 89
Fair Value of Financial Instruments

The table below presents the carrying value and estimated fair value of our financial instruments. For certain types of financial 

instruments, such as cash and cash equivalents, securities purchased under agreements to resell, secured lending, and certain 

debt, the carrying value on our condensed consolidated balance sheets approximates fair value, as these assets and liabilities 

are short-term in nature and have limited fair value volatility. 

Table 13.6 - Fair Value of Financial Instruments

June 30, 2022

GAAP 

Measurement 

Category(1)

GAAP 

Carrying  

Amount

Fair Value

(In millions) Level 1 Level 2 Level 3

Netting 

Adjustments(2) Total

Financial Assets

Cash and cash equivalents Amortized cost $5,257 $5,257 $— $— $— $5,257 

Securities purchased under agreements 

to resell Amortized cost 86,496 — 96,473 — (9,977) 86,496 

Investment securities:

Available-for-sale FV - OCI 5,121 — 3,997 1,124 — 5,121 

Trading FV - NI 43,816 30,596 9,901 3,319 — 43,816 

Total investment securities 48,937 30,596 13,898 4,443 — 48,937 

Mortgage loans:

Loans held by consolidated trusts 2,913,414 — 2,436,417 202,651 — 2,639,068 

Loans held by Freddie Mac 53,450 — 21,552 30,411 — 51,963 

Total mortgage loans Various(3) 2,966,864 — 2,457,969 233,062 — 2,691,031 

Guarantee assets FV - NI 5,649 — — 5,651 — 5,651 

Derivative assets, net FV - NI 624 — 5,758 11 (5,145) 624 

Non-derivative purchase and other 

commitments FV - NI 25 — 57 — — 57 

Advances to lenders Amortized cost 3,672 — — 3,672 — 3,672 

Secured lending Amortized cost 900 — 899 1 — 900 

Total financial assets $3,118,424 $35,853 $2,575,054 $246,840 ($15,122) $2,842,625 

Financial Liabilities

Debt:

Debt of consolidated trusts $2,934,115 $— $2,640,532 $786 $— $2,641,318 

Debt of Freddie Mac 159,063 — 167,396 3,408 (9,977) 160,827 

Total debt Various(4) 3,093,178 — 2,807,928 4,194 (9,977) 2,802,145 

Guarantee obligations Amortized cost 5,821 — — 6,235 — 6,235 

Derivative liabilities, net FV - NI 1,063 10 8,967 58 (7,972) 1,063 

Non-derivative purchase and other 

commitments FV - NI 27 — 16 1,509 — 1,525 

Total financial liabilities $3,100,089 $10 $2,816,911 $11,996 ($17,949) $2,810,968 

(1) FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income.

(2) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable.

(3) As of June 30, 2022, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $3.0 trillion, $6.7 billion, and $5.7 

billion, respectively. 

(4) As of June 30, 2022, the GAAP carrying amounts measured at amortized cost and FV - NI were $3.1 trillion and $3.6 billion, respectively. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 2Q 2022 Form 10-Q 90
December 31, 2021

GAAP 

Measurement 

Category(1)

GAAP 

Carrying  

Amount

Fair Value

(In millions) Level 1 Level 2 Level 3

Netting 

Adjustments(2) Total

Financial Assets

Cash and cash equivalents Amortized cost $10,150 $10,150 $— $— $— $10,150 

Securities purchased under agreements 

to resell Amortized cost 71,203 — 78,536 — (7,333) 71,203 

Investment securities:

Available-for-sale FV - OCI 4,012 — 2,726 1,286 — 4,012 

Trading FV - NI 49,003 31,780 13,837 3,386 — 49,003 

Total investment securities 53,015 31,780 16,563 4,672 — 53,015 

Mortgage loans:

Loans held by consolidated trusts 2,784,626 — 2,563,588 238,133 — 2,801,721 

Loans held by Freddie Mac 63,483 — 35,856 29,803 — 65,659 

Total mortgage loans Various(3) 2,848,109 — 2,599,444 267,936 — 2,867,380 

Guarantee assets FV - NI 5,919 — — 5,923 — 5,923 

Derivative assets, net FV - NI 460 33 5,416 17 (5,006) 460 

Non-derivative purchase and other 

commitments FV - NI 131 — 217 — — 217 

Advances to lenders Amortized cost 4,932 — — 4,932 — 4,932 

Secured lending Amortized cost 1,263 — 1,187 76 — 1,263 

Total financial assets $2,995,182 $41,963 $2,701,363 $283,556 ($12,339) $3,014,543 

Financial Liabilities

Debt:

Debt of consolidated trusts $2,803,054 $— $2,803,030 $656 $— $2,803,686 

Debt of Freddie Mac 177,131 — 185,793 3,957 (7,333) 182,417 

Total debt Various(4) 2,980,185 — 2,988,823 4,613 (7,333) 2,986,103 

Guarantee obligations Amortized cost 5,716 — — 6,240 — 6,240 

Derivative liabilities, net FV - NI 282 — 7,726 23 (7,467) 282 

Non-derivative purchase and other 

commitments FV - NI 13 — 4 101 — 105 

Total financial liabilities $2,986,196 $— $2,996,553 $10,977 ($14,800) $2,992,730 

(1) FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income.

(2) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable.

(3) As of December 31, 2021, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $2.8 trillion, $9.3 billion, and 

$10.5 billion, respectively. 

(4) As of December 31, 2021, the GAAP carrying amounts measured at amortized cost and FV - NI were $3.0 trillion and $2.5 billion, respectively.

Fair Value Option

We elected the fair value option for certain multifamily held-for-sale loans, multifamily held-for-sale loan purchase 

commitments, and debt.

The table below presents the fair value and UPB related to certain loans and debt for which we have elected the fair value 

option. This table does not include interest-only securities related to debt of consolidated trusts and debt of Freddie Mac with a 

fair value of $0.5 billion and $0.3 billion as of June 30, 2022 and December 31, 2021, respectively.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 13

Freddie Mac 2Q 2022 Form 10-Q 91
Table 13.7 - Difference between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected 

June 30, 2022 December 31, 2021

(In millions)

Multifamily

Held-For-Sale

 Loan 

Purchase 

Commitments

Multifamily

Held-For-Sale

 Loans

Debt of 

Freddie Mac

Debt of 

Consolidated 

Trusts

Multifamily

Held-For-Sale

 Loan 

Purchase 

Commitments

Multifamily

Held-For-Sale

 Loans

Debt of 

Freddie Mac

Debt of 

Consolidated 

Trusts

Fair value $8 $5,670 $1,081 $2,026 $127 $10,498 $1,252 $958 

UPB N/A 6,001 1,064 2,098 N/A 10,224 1,220 958 

Difference N/A ($331) $17 ($72) N/A $274 $32 $— 

Changes in Fair Value Under the Fair Value Option Election

The table below presents the changes in fair value included in investment gains (losses), net, on our condensed consolidated 

statements of operations and comprehensive income (loss), related to items for which we have elected the fair value option. 

Table 13.8 - Changes in Fair Value Under the Fair Value Option Election

2Q 2022 2Q 2021 YTD 2022 YTD 2021

(In millions) Gains (Losses) Gains (Losses) 

Multifamily held-for-sale loans ($273) $221 ($949) ($230) 

Multifamily held-for-sale loan purchase commitments (170) 342 (206) 537 

Debt of Freddie Mac (15) 22 (26) 30 

Debt of consolidated trusts 171 13 243 9 

Changes in fair value attributable to instrument-specific credit risk were not material for 2Q 2022, YTD 2022, 2Q 2021, and YTD 

2021 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 2Q 2022 Form 10-Q 92
NOTE 14

Legal Contingencies

We are involved as a party in a variety of legal and regulatory proceedings arising from time to time in the ordinary course of 

business including, among other things, contractual disputes, personal injury claims, employment-related litigation, and other 

legal proceedings incidental to our business. We are frequently involved, directly or indirectly, in litigation involving mortgage 

foreclosures. From time to time, we are also involved in proceedings arising from our termination of a seller's or servicer's 

eligibility to sell loans to, and/or service loans for, us. In these cases, the former seller or servicer sometimes seeks damages 

against us for wrongful termination under a variety of legal theories. In addition, we are sometimes sued in connection with the 

origination or servicing of loans. These suits typically involve claims alleging wrongful actions of sellers and servicers. Our 

contracts with our sellers and servicers generally provide for indemnification of Freddie Mac against liability arising from sellers' 

and servicers' wrongful actions with respect to loans sold to or serviced for Freddie Mac.

Litigation and claims resolution are subject to many uncertainties and are not susceptible to accurate prediction. In accordance 

with the accounting guidance for contingencies, we reserve for litigation claims and assessments asserted or threatened 

against us when a loss is probable (as defined in such guidance) and the amount of the loss can be reasonably estimated.

Putative Securities Class Action Lawsuit: Ohio Public Employees 

Retirement System vs. Freddie Mac, Syron, Et Al.

This putative securities class action lawsuit was filed against Freddie Mac and certain former officers on January 18, 2008 in the 

U.S. District Court for the Northern District of Ohio purportedly on behalf of a class of purchasers of Freddie Mac stock from 

August 1, 2006 through November 20, 2007. FHFA later intervened as Conservator, and the plaintiff amended its complaint on 

several occasions. The plaintiff alleged, among other things, that the defendants violated federal securities laws by making false 

and misleading statements concerning our business, risk management, and the procedures we put into place to protect the 

company from problems in the mortgage industry. The plaintiff seeks unspecified damages and interest, and reasonable costs 

and expenses, including attorney and expert fees.

In October 2013, defendants filed motions to dismiss the complaint. In October 2014, the District Court granted defendants' 

motions and dismissed the case in its entirety against all defendants, with prejudice. In November 2014, plaintiff filed a notice of 

appeal in the U.S. Court of Appeals for the Sixth Circuit. In July 2016, the Sixth Circuit reversed the District Court's dismissal 

and remanded the case to the District Court for further proceedings. In August 2018, the District Court denied the plaintiff's 

motion for class certification, and in January 2019, the Sixth Circuit denied plaintiff's petition for leave to appeal that decision. 

On September 17, 2020, the District Court granted a request from the plaintiff for summary judgment and entered final 

judgment in favor of Freddie Mac and the other defendants. On October 9, 2020, the plaintiff filed a notice of appeal in the Sixth 

Circuit. On January 27, 2021, Freddie Mac filed a motion to dismiss the appeal, which the Sixth Circuit denied on January 6, 

2022.

At present, it is not possible for us to predict the probable outcome of this lawsuit or any potential effect on our business, 

financial condition, liquidity, or results of operations. In addition, we are unable to reasonably estimate the possible loss or 

range of possible loss in the event of an adverse judgment in the foregoing matter due to the following factors, among others: 

the inherent uncertainty of the appellate process, and the inherent uncertainty of pre-trial litigation in the event the case is 

ultimately remanded to the District Court in whole or in part. In particular, while the District Court denied plaintiff's motion for 

class certification, this decision and the entry of final judgment in defendants' favor have been appealed. Absent a final 

resolution of whether a class will be certified, the identification of a class if one is certified, and the identification of the alleged 

statement or statements that survive dispositive motions, we cannot reasonably estimate any possible loss or range of possible 

loss.

LIBOR Lawsuit

On March 14, 2013, Freddie Mac filed a lawsuit in the U.S. District Court for the Eastern District of Virginia against the British 

Bankers Association and the 16 U.S. Dollar LIBOR panel banks and a number of their affiliates. The case was subsequently 

transferred to the U.S. District Court for the Southern District of New York. The complaint alleges, among other things, that the 

defendants fraudulently and collusively depressed LIBOR, a benchmark interest rate indexed to trillions of dollars of financial 

products, and asserts claims for antitrust violations, breach of contract, tortious interference with contract, and fraud. Freddie 

Mac filed an amended complaint in July 2013, and a second amended complaint in October 2014. In August 2015, the District 

Court dismissed the portion of our claim related to antitrust violations and fraud and we filed a motion for reconsideration. In 

March 2016, the District Court granted a portion of our motion, finding personal jurisdiction over certain defendants, and denied 

the portion of our motion with respect to statutes of limitation for our fraud claims. 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 14

Freddie Mac 2Q 2022 Form 10-Q 93
In May 2016, in a related case, the U.S. Court of Appeals for the Second Circuit reversed the District Court's dismissal of 

certain plaintiffs' antitrust claims and remanded the case to the District Court for consideration of whether, among other things, 

the plaintiffs are "efficient enforcers" of the antitrust laws. In December 2016, the District Court denied in part and granted in 

part defendants' renewed motions to dismiss on personal jurisdiction and efficient enforcer grounds. The District Court held 

that Freddie Mac is an efficient enforcer of the antitrust laws, but dismissed on personal jurisdiction grounds Freddie Mac's 

antitrust claims against all defendants except HSBC USA, N.A. (HSBC). In February 2017, the District Court effectively 

dismissed Freddie Mac's remaining antitrust claim against HSBC.

In February 2018, in a related case, the Second Circuit reversed the District Court's dismissal of certain plaintiffs' state law 

fraud and unjust enrichment claims on statutes of limitations grounds. The Second Circuit also reversed certain aspects of the 

District Court's personal jurisdiction rulings and remanded with instructions to allow the named appellant to amend its 

complaint. The District Court subsequently granted in part Freddie Mac's motion for leave to amend its complaint, and Freddie 

Mac filed its third amended complaint in April 2019. Subsequently, the District Court held that Freddie Mac's fraud claims were 

not reinstated by the Second Circuit's February 2018 decision.

In December 2021, in a related case, the Second Circuit reversed the District Court’s December 2016 ruling with respect to 

certain personal jurisdiction issues. While Freddie Mac was not a party to that appeal, this ruling may apply to Freddie Mac’s 

claims.

In January 2022, in a related case, the Second Circuit reversed the District Court’s dismissal of certain class plaintiffs’ state law 

fraud claims on personal jurisdiction and statutes of limitations grounds. While Freddie Mac was not a party to that appeal, this 

ruling may apply to Freddie Mac’s claims.

At present, Freddie Mac's only remaining causes of action are certain contract-based claims against Bank of America, N.A., 

Barclays Bank, Citibank, N.A., Credit Suisse, Deutsche Bank, Royal Bank of Scotland, and UBS AG. The court has established 

a process to determine the impact of the appellate decisions on the previously dismissed claims.

Litigation Concerning the Purchase Agreement

Since July 2013, a number of lawsuits have been filed against us concerning the August 2012 amendment to the Purchase 

Agreement, which created the net worth sweep dividend provisions of the senior preferred stock. The plaintiffs in the lawsuits 

allege that they are holders of common stock and/or junior preferred stock issued by Freddie Mac and Fannie Mae. (For 

purposes of this discussion, junior preferred stock refers to the various series of preferred stock of Freddie Mac and Fannie 

Mae other than the senior preferred stock issued to Treasury.) It is possible that similar lawsuits will be filed in the future. The 

lawsuits against us are described below.

Litigation in the U.S. District Court for the District of Columbia

In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations. This 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 filed by certain institutional investors 

(“Individual Plaintiffs”) against FHFA and its Director, Treasury, 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. Class Plaintiffs and Individual Plaintiffs seek unspecified damages, equitable 

and injunctive relief, and costs and expenses, including attorneys’ fees. 

On January 10, 2018, FHFA and its Director, Fannie Mae, and Freddie Mac moved to dismiss the amended complaints. 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. On December 7, 2021, the District Court certified three classes in the In Re Fannie Mae/Freddie Mac Senior 

Preferred Stock Purchase Agreement Class Action Litigations based on share type, including a "Freddie Preferred Class" for 

holders of Freddie Mac junior preferred stock and a "Freddie Common Class" for holders of Freddie Mac common stock. To be 

included in one of these classes, shareholders must have held their shares as of December 7, 2021 or acquired their shares 

after December 7, 2021 and before any final judgment is entered or settlement is reached in the lawsuit. The parties filed 

motions for summary judgment on March 21, 2022 in both the In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase 

Agreement Class Action Litigations and the Fairholme Funds lawsuit. Trial in both cases is currently scheduled to begin on 

October 17, 2022.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 14

Freddie Mac 2Q 2022 Form 10-Q 94
Litigation in the U.S. Court of Federal Claims

Reid and Fisher vs. the United States of America and Federal Home Loan Mortgage Corporation. This case was 

filed as a derivative lawsuit, purportedly on behalf of Freddie Mac as a "nominal" defendant, on February 26, 2014. The 

complaint alleges, among other items, that the net worth sweep dividend provisions of the senior preferred stock constitute an 

unlawful taking of private property for public use without just compensation. The plaintiffs ask that Freddie Mac be awarded 

just compensation for the U.S. government's alleged taking of its property, attorneys' fees, costs, and other expenses. On 

March 8, 2018, the plaintiffs filed an amended complaint under seal, with a redacted copy filed on November 14, 2018. The 

United States filed a motion to dismiss on August 1, 2018 and an amended motion to dismiss on October 1, 2018. The Court 

denied the United States' motion to dismiss on May 8, 2020 and granted plaintiffs' motion to certify the decisions for 

interlocutory appeal on June 11, 2020. The Federal Circuit denied the petition for interlocutory appeal on August 21, 2020. 

These proceedings are stayed pending final resolution of the Fairholme Funds appeals discussed below.

Fairholme Funds, Inc., et al. vs. the United States of America, Federal National Mortgage Association, and 

Federal Home Loan Mortgage Corporation. This case was originally filed on July 9, 2013 against the United States of 

America. On March 8, 2018, plaintiffs filed an amended complaint under seal. A redacted public version was filed on May 11, 

2018 and adds Freddie Mac and Fannie Mae as nominal defendants. The amended complaint alleges, among other items, that 

the net worth sweep dividend provisions of the senior preferred stock constitute an unlawful taking or exaction of private 

property for public use without just compensation, and that by enacting the net worth sweep, the government breached the 

fiduciary duty it owed to Freddie Mac and Fannie Mae, and implied-in-fact contracts between the United States on the one 

hand and Freddie Mac and Fannie Mae on the other. The plaintiffs ask that plaintiffs, Freddie Mac, and Fannie Mae be awarded 

(1) just compensation for the government's alleged taking or exaction of their property, (2) damages for the government's 

breach of fiduciary duties, and (3) damages for the government's breach of the alleged implied-in-fact contracts. In addition, 

plaintiffs seek pre- and post-judgment interest, attorneys' fees, costs, and other expenses. The United States filed a motion to 

dismiss on August 1, 2018 and an amended motion to dismiss on October 1, 2018. On December 6, 2019, the Court dismissed 

the claims plaintiffs labeled as direct claims and denied defendant's motion to dismiss with respect to the claims plaintiffs 

labeled as derivative. Accordingly, derivative takings, exaction, breach of fiduciary duty, and breach of implied-in-fact contract 

claims remained. By order dated March 9, 2020, the Court granted unopposed motions by plaintiffs and defendant to certify the 

December 6 opinion for interlocutory review, modified its December 6 opinion to include the language necessary for an 

interlocutory appeal to the U.S. Court of Appeals for the Federal Circuit, and stayed further proceedings in the case pending the 

completion of the interlocutory appeal process. The Federal Circuit granted the petition for interlocutory appeal and, on 

February 22, 2022, held that all of the plaintiffs' claims should be dismissed.

Perry Capital LLC vs. the United States of America, Federal National Mortgage Association, and Federal Home 

Loan Mortgage Corporation. This case was filed as a derivative lawsuit, purportedly on behalf of Freddie Mac and Fannie 

Mae as "nominal" defendants, on August 15, 2018. The complaint alleges, among other items, that the net worth sweep 

dividend provisions of the senior preferred stock constitute an unlawful taking of private property for public use without just 

compensation or an illegal exaction in violation of the Fifth Amendment, and that by enacting the net worth sweep, the 

government breached the fiduciary duty it owed to Freddie Mac and Fannie Mae, and implied-in-fact contracts between the 

United States on the one hand and Freddie Mac and Fannie Mae on the other. The plaintiff asks that it, Freddie Mac, and 

Fannie Mae be awarded just compensation for the government's alleged taking of their property or damages for the illegal 

exaction; damages for the government's breach of fiduciary duties; and damages for the government's breach of the alleged 

implied-in-fact contracts. These proceedings are stayed pending final resolution of the Fairholme Funds appeals discussed in 

the paragraph immediately above.

At present, it is not possible for us to predict the probable outcome of the lawsuits discussed above in the U.S. District Courts 

and the U.S. Court of Federal Claims (including the resolution of any appeals) or any potential effect on our business, financial 

condition, liquidity, or results of operations. In addition, we are unable to reasonably estimate the possible loss or range of 

possible loss in the event of an adverse judgment in the foregoing matters due to a number of factors, including the inherent 

uncertainty of pre-trial litigation. In addition, with respect to the In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase 

Agreement Class Action Litigations case, the plaintiffs have not demanded a stated amount of damages they believe are due.

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 14

Freddie Mac 2Q 2022 Form 10-Q 95
NOTE 15

Regulatory Capital

ERCF 

The GSE Act specifies certain capital requirements for us and authorizes FHFA to establish other capital requirements as well 

as to increase our minimum capital levels or to establish additional capital and reserve requirements for particular purposes. In 

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

FHFA has established the ERCF as a new enterprise regulatory capital framework for Freddie Mac and Fannie Mae. Our current 

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

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

conservatorship. In general, the compliance date for the regulatory capital requirements will be the later of the date of 

termination of our conservatorship and any later compliance date provided in a transition order, and the compliance date for 

buffer requirements in the ERCF will be the date of termination of our conservatorship. Pursuant to the final rule, we are 

required to comply with the regulatory capital reporting requirements under the ERCF in 2022, and we filed with FHFA our initial 

quarterly capital report on May 27, 2022.

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

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

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

regulatory capital elements (CET1 capital, Tier 1 capital, and adjusted total capital). The ERCF also includes a requirement that 

we hold prescribed capital buffers that can be drawn down in periods of financial stress and then rebuilt over time as economic 

conditions improve. If we fall below the prescribed buffer amounts, we must restrict capital distributions such as stock 

repurchases and dividends, as well as discretionary bonus payments to executives, until the buffer amounts are restored.

Risk-Based Capital Requirements

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

ratios equal to at least 4.5%, 6%, and 8%, respectively, of risk-weighted assets. We must also maintain statutory total capital 

equal to at least 8% of risk-weighted assets. To avoid limits on capital distributions and discretionary bonus payments, we also 

must maintain CET1 capital that exceeds the risk-based capital requirements by at least the amount of the prescribed capital 

conservation buffer amount (PCCBA).

Leverage Capital Requirements

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

assets. We must also maintain our statutory core capital ratio equal to at least 2.5% of adjusted total assets. To avoid limits on 

capital distributions and discretionary bonus payments, we also must maintain our Tier 1 capital that exceeds the leverage 

capital requirements by at least the amount of the prescribed leverage buffer amount (PLBA). 

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 15

Freddie Mac 2Q 2022 Form 10-Q 96
Capital Metrics

The table below presents our capital metrics under the ERCF. 

Table 15.1 - ERCF Available Capital and Capital Requirements

(In billions) June 30, 2022

Adjusted total assets $3,655 

Risk-weighted assets (standardized approach) 845 

June 30, 2022

(Dollars in billions)

Minimum 

Capital 

Requirement

Capital 

Requirement 

(Including Buffer(1))

Available 

Capital (Deficit)

Risk-based capital amounts:

Total capital (statutory)(2) $68 $68 ($33) 

CET1 capital(3) 38 88 (58) 

Tier 1 capital(3) 50 100 (44) 

Adjusted total capital(3) 67 117 (44) 

Risk-based capital ratios(4):

Total capital (statutory) 8.0 % 8.0 % (3.9) %

CET1 capital 4.5 10.4 (6.9) 

Tier 1 capital 6.0 11.9 (5.2) 

Adjusted total capital 8.0 13.9 (5.2) 

Leverage capital amounts:

Core capital (statutory)(5) $92 $92 ($39) 

Tier 1 capital(3) 92 103 (44) 

Leverage capital ratios(6):

Core capital (statutory) 2.5 % 2.5 % (1.1) %

Tier 1 capital 2.5 2.8 (1.2) 

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

(2) Total capital is equal to core capital plus certain allowances for credit losses.

(3) Regulatory capital amounts exclude senior preferred stock, deferred tax assets arising from temporary differences that exceed 10% of CET1 capital, and certain 

other items.

(4) As a percentage of risk-weighted assets.

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

capital. 

(6) As a percentage of adjusted total assets.

END OF CONDENSED CONSOLIDATED FINANCIAL STATEMENTS AND ACCOMPANYING NOTES

Financial Statements Notes to the Condensed Consolidated Financial Statements | Note 15

Freddie Mac 2Q 2022 Form 10-Q 97
Other Information

LEGAL PROCEEDINGS

We are involved as a party to a variety of legal proceedings. For more information, see Note 14.

In addition, a number of lawsuits have been filed against the U.S. government related to the conservatorship and the Purchase 

Agreement. Some of these cases also have challenged the constitutionality of the structure of FHFA. For information on these 

lawsuits, see the Legal Proceedings section in our 2021 Annual Report. Freddie Mac is not a party to any of these lawsuits.

RISK FACTORS 

This Form 10-Q should be read together with the Risk Factors section in our 2021 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, 

including pricing supplements for individual issuances of debt securities. Similar information about our STACR transactions and 

SCR debt notes is available at crt.freddiemac.com and mf.freddiemac.com/investors, respectively.

We provide disclosure about our mortgage-related securities, some of which are off-balance sheet obligations (e.g., K 

Certificates and SB Certificates), on our website at www.freddiemac.com/mbs and mf.freddiemac.com/investors. From 

these addresses, investors can access information and documents, including offering circulars and offering circular 

supplements, for mortgage-related securities offerings.

We provide additional information, including product descriptions, investor presentations, securities issuance calendars, 

transactions volumes and details, redemption notices, Freddie Mac research, and material developments or other events that 

may be important to investors, in each case as applicable, on the websites for our business activities, which can be found at 

sf.freddiemac.com, mf.freddiemac.com, and capitalmarkets.freddiemac.com/capital-markets.

We provide information on our ESG efforts on our website at freddiemac.com/about/esg.

EXHIBITS

The exhibits are listed in the Exhibit Index of this Form 10-Q.

Other Information

Freddie Mac 2Q 2022 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 June 30, 2022. As a result of management's evaluation, our Chief 

Executive Officer and Chief Financial Officer concluded that our disclosure controls and procedures were not effective as of 

June 30, 2022, at a reasonable level of assurance, because we have not been able to update our disclosure controls and 

procedures to provide reasonable assurance that information known by FHFA on an ongoing basis is communicated from 

FHFA to Freddie Mac's management in a manner that allows for timely decisions regarding our required disclosure under the 

federal securities laws. We consider this situation to be a material weakness in our internal control over financial reporting. 

CHANGES IN INTERNAL CONTROL OVER FINANCIAL 

REPORTING DURING 2Q 2022

We evaluated the changes in our internal control over financial reporting that occurred during 2Q 2022 and concluded that 

there were no changes that materially affected, or are reasonably likely to materially affect, our internal control over financial 

reporting.

MITIGATING ACTIONS RELATED TO THE MATERIAL 

WEAKNESS IN INTERNAL CONTROL OVER FINANCIAL 

REPORTING

As described above under Evaluation of Disclosure Controls and Procedures, we have one material weakness in 

internal control over financial reporting as of June 30, 2022 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	 The Director of FHFA is in frequent communication with our Chief Executive Officer, typically meeting (in person or by 

phone) on at least a bi-weekly basis.

n	 FHFA representatives attend meetings frequently with various groups within the company to enhance the flow of 

information and to provide oversight on a variety of matters, including accounting, credit and capital markets management, 

external communications, and legal matters.

n	 Senior officials within FHFA's accounting group meet frequently with our senior financial executives regarding our 

accounting policies, practices, and procedures.

In view of our mitigating actions related to this material weakness, we believe that our condensed consolidated financial 

statements for 2Q 2022 have been prepared in conformity with GAAP.

Controls and Procedures

Freddie Mac 2Q 2022 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 2Q 2022 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: July 28, 2022

By: /s/ Christian M. Lown

Christian M. Lown

Executive Vice President and Chief Financial Officer

(Principal Financial Officer)

Date: July 28, 2022

Signatures

Freddie Mac 2Q 2022 Form 10-Q 101
Form 10-Q Index

Item Number Page(s)

PART I FINANCIAL INFORMATION

Item 1. Financial Statements 48 - 97

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations 1 - 47

Item 3. Quantitative and Qualitative Disclosures About Market Risk 35 - 37

Item 4. Controls and Procedures 99

PART II OTHER INFORMATION

Item 1. Legal Proceedings 98

Item 1A. Risk Factors 98

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 98

Item 6. Exhibits 98

Exhibit Index 100

Signatures 101

Form 10-Q Index

Freddie Mac 2Q 2022 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 June 30, 2022 of the Federal Home Loan Mortgage Corporation;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make 

the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered 

by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the 

financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in 

Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 

15d-15(f)) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our 

supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by 

others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our 

supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for 

external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the 

effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most 

recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely 

to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to 

the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are 

reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal 

control over financial reporting.

Date: July 28, 2022

/s/ Michael J. DeVito

Michael J. DeVito

Chief Executive Officer
Exhibit 31.2

CERTIFICATION

PURSUANT TO SECURITIES EXCHANGE ACT RULE 13a-14(a)

I, Christian M. Lown, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q for the quarter ended June 30, 2022 of the Federal Home Loan Mortgage Corporation;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make 

the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered 

by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the 

financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in 

Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 

15d-15(f)) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our 

supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by 

others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our 

supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for 

external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the 

effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most 

recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely 

to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to 

the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are 

reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal 

control over financial reporting.

Date: July 28, 2022

/s/ Christian M. Lown

Christian M. Lown

Executive Vice President and Chief Financial Officer
Exhibit 32.1

CERTIFICATION

PURSUANT TO 18 U.S.C. SECTION 1350,

AS ENACTED BY SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report on Form 10-Q for the quarter ended June 30, 2022 of the Federal Home Loan Mortgage Corporation (the 

"Company"), as filed with the Securities and Exchange Commission on the date hereof (the "Report"), I, Michael J. DeVito, Chief Executive Officer of the 

Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that to my knowledge:

1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: July 28, 2022

/s/ Michael J. DeVito

Michael J. DeVito

Chief Executive Officer
Exhibit 32.2

CERTIFICATION

PURSUANT TO 18 U.S.C. SECTION 1350,

AS ENACTED BY SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report on Form 10-Q for the quarter ended June 30, 2022 of the Federal Home Loan Mortgage Corporation (the 

"Company"), as filed with the Securities and Exchange Commission on the date hereof (the "Report"), I, Christian M. Lown, Executive Vice President and 

Chief Financial Officer of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 

2002, that to my knowledge:

1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: July 28, 2022

/s/ Christian M. Lown

Christian M. Lown

Executive Vice President and Chief Financial Officer