FEDERAL HOME LOAN MORTGAGE CORP - FORM 8-K - EX-99.2 - EXHIBIT 99.2

Attached files

file	filename
EX-99.3 - EXHIBIT 99.3 - FEDERAL HOME LOAN MORTGAGE CORP	f71599exv99w3.htm
EX-99.1 - EXHIBIT 99.1 - FEDERAL HOME LOAN MORTGAGE CORP	f71599exv99w1.htm
8-K - 8-K - FEDERAL HOME LOAN MORTGAGE CORP	f71599e8vk.htm

Exhibit 99.2


FREDDIE MAC SECOND QUARTER 2011 FINANCIAL RESULTS FINANCIAL STATEMENTS AND CORE TABLES

TABLE OF CONTENTS


	GAAP Financial Statements	Page

	Consolidated Statements of Income and Comprehensive Income		2
	Consolidated Balance Sheets		3

Table	GAAP Financial Results

1A	Net Interest Yield Analysis		4
1B	Net Interest Income		5
2	Non-Interest Income (Loss)		6
3	Non-Interest Expense		7
4	Credit Quality Indicators		8

	Segment Earnings Results

5A	Segment Earnings — Consolidated		9
5B	Segment Earnings — Investments Segment		10
5C	Segment Earnings — Single-Family Guarantee Segment		11
5D	Segment Earnings — Multifamily Segment		12

FREDDIE MAC
CONSOLIDATED STATEMENTS OF INCOME AND COMPREHENSIVE INCOME
(unaudited)


				Three Months Ended															Six Months Ended
Line:				June 30, 2010			September 30, 2010			December 31, 2010			March 31, 2011			June 30, 2011			June 30, 2010			June 30, 2011
				(dollars in millions, except share-related amounts)
		Interest income
			Mortgage loans:
	1		Held by consolidated trusts	$	22,114		$	21,473		$	20,379		$	20,064		$	19,782		$	44,846		$	39,846
	2		Unsecuritized		2,179			2,305			2,282			2,334			2,274			4,140			4,608

	3		Total mortgage loans		24,293			23,778			22,661			22,398			22,056			48,986			44,454
	4		Investments in securities		3,574			3,557			3,345			3,283			3,275			7,473			6,558
	5		Other		34			48			41			34			18			67			52

	6		Total interest income		27,901			27,383			26,047			25,715			25,349			56,526			51,064

		Interest expense
	7		Debt securities of consolidated trusts		(19,048	)		(18,721	)		(17,804	)		(17,403	)		(17,261	)		(38,691	)		(34,664	)
	8		Other debt		(4,468	)		(4,145	)		(3,703	)		(3,565	)		(3,333	)		(9,067	)		(6,898	)

			Total interest expense		(23,516	)		(22,866	)		(21,507	)		(20,968	)		(20,594	)		(47,758	)		(41,562	)
	10		Expense related to derivatives		(249	)		(238	)		(224	)		(207	)		(194	)		(507	)		(401	)

	11	Net interest income			4,136			4,279			4,316			4,540			4,561			8,261			9,101
	12	Provision for credit losses			(5,029	)		(3,727	)		(3,066	)		(1,989	)		(2,529	)		(10,425	)		(4,518	)

	13	Net interest income (loss) after provision for credit losses			(893	)		552			1,250			2,551			2,032			(2,164	)		4,583

		Non-interest income (loss)
	14		Gains (losses) on extinguishment of debt securities of consolidated trusts		4			(66	)		(4	)		223			(125	)		(94	)		98
	15		Gains (losses) on retirement of other debt		(141	)		(50	)		10			12			3			(179	)		15
	16		Gains (losses) on debt recorded at fair value		544			(366	)		55			(81	)		(37	)		891			(118	)
	17		Derivative gains (losses)		(3,838	)		(1,130	)		1,568			(427	)		(3,807	)		(8,523	)		(4,234	)
			Impairment of available-for-sale securities:
	18		Total other-than-temporary impairment of available-for-sale securities		(114	)		(523	)		(724	)		(1,054	)		(230	)		(531	)		(1,284	)
	19		Portion of other-than-temporary impairment recognized in AOCI		(314	)		(577	)		(1,546	)		(139	)		(122	)		(407	)		(261	)

	20		Net impairment of available-for-sale securities recognized in earnings		(428	)		(1,100	)		(2,270	)		(1,193	)		(352	)		(938	)		(1,545	)
	21		Other gains (losses) on investment securities recognized in earnings		(257	)		(503	)		(76	)		(120	)		209			(673	)		89
	22		Other income		489			569			256			334			252			1,035			586

	23	Non-interest income (loss)			(3,627	)		(2,646	)		(461	)		(1,252	)		(3,857	)		(8,481	)		(5,109	)

		Non-interest expense
	24		Salaries and employee benefits		(230	)		(224	)		(207	)		(207	)		(219	)		(464	)		(426	)
	25		Professional services		(67	)		(72	)		(77	)		(56	)		(64	)		(148	)		(120	)
	26		Occupancy expense		(15	)		(16	)		(17	)		(15	)		(15	)		(31	)		(30	)
	27		Other administrative expenses		(92	)		(76	)		(99	)		(83	)		(86	)		(166	)		(169	)

	28		Total administrative expenses		(404	)		(388	)		(400	)		(361	)		(384	)		(809	)		(745	)
	29		Real estate owned operations income (expense)		40			(337	)		(217	)		(257	)		(27	)		(119	)		(284	)
	30		Other expenses		(115	)		(103	)		(341	)		(79	)		(135	)		(218	)		(214	)

	31	Non-interest expense			(479	)		(828	)		(958	)		(697	)		(546	)		(1,146	)		(1,243	)

	32	Income (loss) before income tax benefit			(4,999	)		(2,922	)		(169	)		602			(2,371	)		(11,791	)		(1,769	)
	33	Income tax benefit			286			411			56			74			232			389			306

	34	Net income (loss)			(4,713	)		(2,511	)		(113	)		676			(2,139	)		(11,402	)		(1,463	)

		Other comprehensive income, net of taxes and reclassification adjustments:
	35		Changes in unrealized gains (losses) related to available-for-sale securities		4,097			3,781			1,097			1,941			903			8,743			2,844
	36		Changes in unrealized gains (losses) related to cash flow hedge relationships		184			164			153			132			135			356			267
	37		Changes in defined benefit plans		2			2			19			(9	)		1			(8	)		(8	)

	38		Total other comprehensive income, net of taxes and reclassification adjustments		4,283			3,947			1,269			2,064			1,039			9,091			3,103

	39	Comprehensive income (loss)			(430	)		1,436			1,156			2,740			(1,100	)		(2,311	)		1,640
	40		Less: Comprehensive loss attributable to noncontrolling interest		—			—			—			—			—			1			—

	41	Total comprehensive income (loss) attributable to Freddie Mac		$	(430	)	$	1,436		$	1,156		$	2,740		$	(1,100	)	$	(2,310	)	$	1,640

	42	Net income (loss)		$	(4,713	)	$	(2,511	)	$	(113	)	$	676		$	(2,139	)	$	(11,402	)	$	(1,463	)
	43		Less: Net loss attributable to noncontrolling interest		—			—			—			—			—			1			—

	44	Net income (loss) attributable to Freddie Mac			(4,713	)		(2,511	)		(113	)		676			(2,139	)		(11,401	)		(1,463	)
	45		Preferred stock dividends		(1,296	)		(1,558	)		(1,603	)		(1,605	)		(1,617	)		(2,588	)		(3,222	)

	46	Net loss attributable to common stockholders		$	(6,009	)	$	(4,069	)	$	(1,716	)	$	(929	)	$	(3,756	)	$	(13,989	)	$	(4,685	)

		Loss per common share:
	47		Basic	$	(1.85	)	$	(1.25	)	$	(0.53	)	$	(0.29	)	$	(1.16	)	$	(4.30	)	$	(1.44	)
	48		Diluted	$	(1.85	)	$	(1.25	)	$	(0.53	)	$	(0.29	)	$	(1.16	)	$	(4.30	)	$	(1.44	)
		Weighted average common shares outstanding (in thousands):
	49		Basic		3,249,198			3,248,794			3,248,227			3,246,985			3,244,967			3,250,241			3,245,970
	50		Diluted		3,249,198			3,248,794			3,248,227			3,246,985			3,244,967			3,250,241			3,245,970

FREDDIE MAC
CONSOLIDATED BALANCE SHEETS
(unaudited)


Line:				June 30, 2010			September 30, 2010			December 31, 2010			March 31, 2011			June 30, 2011
				(dollars in millions, except share-related amounts)
	Assets
1	Cash and cash equivalents (includes $1, $1, $1, $1, and $1, respectively, related to our consolidated VIEs)			$	49,677		$	27,920		$	37,012		$	34,298		$	17,488
2	Restricted cash and cash equivalents (includes $6,390, $5,817, $7,514, $5,497, and $1,850, respectively, related to our consolidated VIEs)				6,795			6,280			8,111			6,184			2,333
3	Federal funds sold and securities purchased under agreements to resell (includes $14,000, $25,700, $29,350, $11,500, and $13,950, respectively, related to our consolidated VIEs)				42,068			44,945			46,524			37,792			33,609
	Investments in securities:
4			Available-for-sale, at fair value (includes $570, $541, $817, $298, and $244, respectively, pledged as collateral that may be repledged)		245,305			239,585			232,634			229,838			222,849
5			Trading, at fair value		66,633			63,208			60,262			61,353			54,764

6			Total investments in securities		311,938			302,793			292,896			291,191			277,613

	Mortgage loans:
		Held-for-investment, at amortized cost:
7			By consolidated trusts (net of allowances for loan losses of $14,476, $13,228, $11,644, $9,517, and $8,948, respectively)		1,716,026			1,681,736			1,646,172			1,644,609			1,634,773
8			Unsecuritized (net of allowances for loan losses of $23,666, $25,173, $28,047, $29,571, and $29,919, respectively)		182,875			186,974			192,310			197,883			198,568

9			Total held-for-investment mortgage loans, net		1,898,901			1,868,710			1,838,482			1,842,492			1,833,341
10			Held-for-sale, at lower-of-cost-or-fair-value (includes $1,656, $2,864, $6,413, $5,304, and $4,463 at fair value, respectively)		1,656			2,864			6,413			5,304			4,463

11			Total mortgage loans, net		1,900,557			1,871,574			1,844,895			1,847,796			1,837,804
12	Accrued interest receivable (includes $7,435, $7,203, $6,895, $6,801, and $6,704, respectively, related to our consolidated VIEs)				9,265			9,009			8,713			8,660			8,523
13	Derivative assets, net				172			100			143			58			246
14	Real estate owned, net (includes $128, $138, $118, $112, and $83, respectively, related to our consolidated VIEs)				6,298			7,511			7,068			6,376			5,932
15	Deferred tax assets, net				7,926			6,134			5,543			4,498			3,866
16	Other assets (includes $4,022, $7,057, $6,001, $2,675, and $3,252, respectively, related to our consolidated VIEs)				8,880			12,464			10,875			8,063			8,381

17		Total assets		$	2,343,576		$	2,288,730		$	2,261,780		$	2,244,916		$	2,195,795


	Liabilities and equity (deficit)

	Liabilities
18	Accrued interest payable (includes $6,804, $6,710, $6,502, $6,345, and $6,241, respectively, related to our consolidated VIEs)			$	11,228		$	10,097		$	10,286		$	9,392		$	9,542

	Debt, net:
19		Debt securities of consolidated trusts held by third parties			1,541,914			1,542,503			1,528,648			1,510,426			1,499,036
20		Other debt (includes $7,743, $4,998, $4,443, $3,960, and $3,998 at fair value, respectively)			784,431			727,391			713,940			715,572			681,087

21		Total debt, net			2,326,345			2,269,894			2,242,588			2,225,998			2,180,123
22	Derivative liabilities, net				873			1,071			1,209			750			408
23	Other liabilities (includes $3,752, $3,808, $3,851, $3,757, and $3,821, respectively, related to our consolidated VIEs)				6,868			7,726			8,098			7,539			7,200

24		Total liabilities			2,345,314			2,288,788			2,262,181			2,243,679			2,197,273

25	Commitments and contingencies

	Equity (deficit)

	Freddie Mac stockholders’ equity (deficit)
26		Senior preferred stock, at redemption value			62,300			64,100			64,200			64,700			64,700
27		Preferred stock, at redemption value			14,109			14,109			14,109			14,109			14,109
28		Common stock, $0.00 par value, 4,000,000,000 shares authorized, 725,863,886 shares issued and 649,147,888 shares, 649,164,670 shares, 649,179,789 shares, 649,686,194 shares, and 649,706,712 shares outstanding, respectively			—			—			—			—			—
29		Additional paid-in capital			—			4			7			—			1
30		Retained earnings (accumulated deficit)			(56,945	)		(61,017	)		(62,733	)		(63,693	)		(67,449	)
		Accumulated other comprehensive income (loss), or AOCI, net of taxes, related to:
31			Available-for-sale securities (includes $13,071, $12,164, $10,740, $9,978, and $10,195, respectively, net of taxes, of other-than-temporary impairments)		(14,556	)		(10,775	)		(9,678	)		(7,737	)		(6,834	)
32			Cash flow hedge relationships		(2,556	)		(2,392	)		(2,239	)		(2,107	)		(1,972	)
33			Defined benefit plans		(135	)		(133	)		(114	)		(123	)		(122	)

34			Total AOCI, net of taxes		(17,247	)		(13,300	)		(12,031	)		(9,967	)		(8,928	)
35		Treasury stock, at cost, 76,715,998 shares, 76,699,216 shares, 76,684,097 shares, 76,177,692 shares, and 76,157,174, respectively			(3,955	)		(3,954	)		(3,953	)		(3,912	)		(3,911	)

36		Total equity (deficit)			(1,738	)		(58	)		(401	)		1,237			(1,478	)

37		Total liabilities and equity (deficit)		$	2,343,576		$	2,288,730		$	2,261,780		$	2,244,916		$	2,195,795

FREDDIE MAC
TABLE 1A — NET INTEREST YIELD ANALYSIS (unaudited) (dollars in millions)


																	Six Months Ended
																	June 30,
		2Q 2010			3Q 2010			4Q 2010			1Q 2011			2Q 2011			2010			2011
	Net Interest Income:

1	Net interest income	$	4,136		$	4,279		$	4,316		$	4,540		$	4,561		$	8,261		$	9,101
	Average Balances:⁽¹⁾

2	Cash and cash equivalents	$	45,879		$	43,171		$	39,190		$	37,561		$	33,660		$	56,426		$	35,611
3	Federal funds sold and securities purchased under agreements to resell		37,238			51,439			46,633			47,861			32,227			44,441			40,044
	Mortgage-related securities:
4	Mortgage-related securities⁽²⁾		540,380			500,500			472,598			456,972			450,575			566,946			453,773
5	Extinguishment of PCs held by Freddie Mac		(220,350	)		(195,890	)		(180,452	)		(167,528	)		(166,318	)		(238,651	)		(166,923	)

6	Total mortgage-related securities, net		320,030			304,610			292,146			289,444			284,257			328,295			286,850
7	Non-mortgage-related securities		32,571			28,631			30,590			29,309			26,078			26,380			27,694
8	Mortgage loans held by consolidated trusts⁽²⁾⁽³⁾		1,729,618			1,706,329			1,666,274			1,650,567			1,643,680			1,758,473			1,647,123
9	Unsecuritized mortgage loans⁽³⁾		212,919			221,442			230,324			240,557			242,471			186,350			241,514

10	Total interest-earning assets		2,378,255			2,355,622			2,305,157			2,295,299			2,262,373			2,400,365			2,278,836
	Debt securities of consolidated trusts:
11	Debt securities of consolidated trusts including PCs held by Freddie Mac⁽²⁾		1,739,519			1,723,095			1,689,180			1,665,608			1,656,150			1,770,522			1,660,879
12	Extinguishment of PCs held by Freddie Mac		(220,350	)		(195,890	)		(180,452	)		(167,528	)		(166,318	)		(238,651	)		(166,923	)

13	Total debt securities of consolidated trusts held by third parties		1,519,169			1,527,205			1,508,728			1,498,080			1,489,832			1,531,871			1,493,956
	Other debt:⁽²⁾
14	Short-term debt		226,624			207,673			201,381			194,822			194,153			234,781			194,488
15	Long-term debt		561,353			542,842			512,123			518,034			500,587			559,130			509,310

16	Total other debt		787,977			750,515			713,504			712,856			694,740			793,911			703,798

17	Total interest-bearing liabilities		2,307,146			2,277,720			2,222,232			2,210,936			2,184,572			2,325,782			2,197,754
18	Net non-interest-bearing funding		71,109			77,902			82,925			84,363			77,801			74,583			81,082

19	Total funding of interest-earning assets	$	2,378,255		$	2,355,622		$	2,305,157		$	2,295,299		$	2,262,373		$	2,400,365		$	2,278,836

	Yield/Cost:

20	Cash and cash equivalents		0.15	%		0.21	%		0.18	%		0.17	%		0.12	%		0.12	%		0.14	%
21	Federal funds sold and securities purchased under agreements to resell		0.18			0.19			0.19			0.15			0.09			0.14			0.13
	Mortgage-related securities:
22	Mortgage-related securities		4.76			4.84			4.74			4.65			4.63			4.84			4.64
23	Extinguishment of PCs held by Freddie Mac		(5.29	)		(5.19	)		(5.06	)		(4.93	)		(4.73	)		(5.32	)		(4.83	)
24	Total mortgage-related securities, net		4.40			4.62			4.54			4.50			4.57			4.48			4.53
25	Non-mortgage-related securities		0.67			0.59			0.43			0.41			0.39			0.88			0.40
26	Mortgage loans held by consolidated trusts		5.11			5.03			4.89			4.86			4.81			5.10			4.84
27	Unsecuritized mortgage loans		4.09			4.16			3.96			3.88			3.75			4.44			3.82
28	Yield on total interest-earning assets		4.69			4.65			4.52			4.48			4.48			4.71			4.48
	Debt securities of consolidated trusts:
29	Debt securities of consolidated trusts including PCs held by Freddie Mac		(5.05	)		(4.94	)		(4.76	)		(4.67	)		(4.64	)		(5.09	)		(4.66	)
30	Extinguishment of PCs held by Freddie Mac		5.29			5.19			5.06			4.93			4.73			5.32			4.83
31	Total debt securities of consolidated trusts held by third parties		(5.02	)		(4.90	)		(4.72	)		(4.65	)		(4.63	)		(5.05	)		(4.64	)
	Other debt:
32	Short-term debt		(0.24	)		(0.27	)		(0.25	)		(0.24	)		(0.19	)		(0.24	)		(0.21	)
33	Long-term debt		(3.08	)		(2.94	)		(2.78	)		(2.66	)		(2.59	)		(3.14	)		(2.63	)
34	Total other debt		(2.27	)		(2.20	)		(2.07	)		(2.00	)		(1.92	)		(2.28	)		(1.96	)
35	Cost of interest-bearing liabilities		(4.08	)		(4.01	)		(3.87	)		(3.79	)		(3.77	)		(4.11	)		(3.78	)
36	Income (expense) related to derivatives		(0.04	)		(0.04	)		(0.04	)		(0.04	)		(0.03	)		(0.04	)		(0.04	)
37	Impact of net non-interest-bearing funding		0.13			0.13			0.14			0.14			0.13			0.13			0.14
38	Total funding of interest-earning assets		(3.99	)		(3.92	)		(3.77	)		(3.69	)		(3.67	)		(4.02	)		(3.68	)
39	Net interest yield (annualized)		0.70			0.73			0.75			0.79			0.81			0.69			0.80


(1)		We calculate average balances based on amortized cost. For most components of the average balances, a daily weighted average balance was calculated for the periods. When daily weighted average balance information was not available, a simple monthly average balance was calculated.
(2)		When we purchase multiclass REMICs and Other Structured Securities, we record them as investments in debt securities. Interest income from the investments in debt securities is recognized as well as the interest income from the mortgage loans backing the PCs held by the trusts, which underlie multiclass REMICs and Other Structured Securities. Additionally, the interest expense from the unsecured debt issued to purchase the security is recognized along with the interest expense of the debt issued to third parties of the PC trusts we consolidate which underlie multiclass REMICs and Other Structured Securities.
(3)		Non-performing loans, where interest income is generally recognized when collected, are included in average balances.

FREDDIE MAC
TABLE 1B — NET INTEREST INCOME (unaudited) (dollars in millions)


																				Six Months Ended
																				June 30,
					2Q 2010			3Q 2010			4Q 2010			1Q 2011			2Q 2011			2010			2011
	Net Interest Income:
1	Contractual amounts of net interest income⁽¹⁾				$	4,551		$	4,370		$	4,353		$	4,479		$	4,675		$	9,020		$	9,154
	Amortization income (expense), net:⁽²⁾
2		Accretion of impairments on available-for-sale securities⁽³⁾				83			161			69			29			31			162			60
		Asset-related amortization expense, net:
3			Mortgage loans held by consolidated trusts			(49	)		(202	)		(452	)		(272	)		(297	)		(58	)		(569	)
4			Unsecured mortgage loans			85			84			67			56			48			160			104
5			Mortgage-related securities			(160	)		(50	)		(31	)		(41	)		(83	)		(191	)		(124	)
6			Other assets			(3	)		(3	)		(13	)		(14	)		(27	)		(7	)		(41	)

7				Asset-related amortization expense, net		(127	)		(171	)		(429	)		(271	)		(359	)		(96	)		(630	)
		Debt-related amortization expense, net:
8			Debt securities of consolidated trusts			97			331			711			667			573			110			1,240
9			Other long-term debt securities			(219	)		(174	)		(164	)		(157	)		(165	)		(428	)		(322	)

10				Debt-related amortization expense, net		(122	)		157			547			510			408			(318	)		918

11				Total amortization income (expense), net		(166	)		147			187			268			80			(252	)		348
12	Expense related to derivatives⁽⁴⁾					(249	)		(238	)		(224	)		(207	)		(194	)		(507	)		(401	)

13	Net interest income				$	4,136		$	4,279		$	4,316		$	4,540		$	4,561		$	8,261		$	9,101


(1)	Includes the reversal of interest income accrued, net of interest received on a cash basis related to mortgage loans that are on non-accrual status.
(2)	Represents amortization related to premiums, discounts, deferred fees and other adjustments to the carrying value of our financial instruments and the reclassification of previously deferred balances from AOCI for certain derivatives in cash flow hedge relationships related to individual debt issuances and mortgage purchase transactions.
(3)	The portion of the impairment charges recognized in earnings expected to be recovered is recognized as net interest income.
(4)	Represents changes in fair value of derivatives in cash flow hedge relationships that were previously deferred in AOCI and have been reclassified to earnings as the associated hedged forecasted issuance of debt affects earnings.

FREDDIE MAC
TABLE 2 — NON-INTEREST INCOME (LOSS) (unaudited) (dollars in millions)


																			Six Months Ended
																			June 30,
				2Q 2010			3Q 2010			4Q 2010			1Q 2011			2Q 2011			2010			2011
	Non-Interest Income (Loss):
1	Gains (losses) on extinguishment of debt securities of consolidated trusts			$	4		$	(66	)	$	(4	)	$	223		$	(125	)	$	(94	)	$	98
2	Gains (losses) on retirement of other debt				(141	)		(50	)		10			12			3			(179	)		15
	Gains (losses) on debt recorded at fair value:
3		Translation gains (losses)			491			(386	)		35			(117	)		(46	)		812			(163	)
4		Market value adjustments			53			20			20			36			9			79			45

5			Total gains (losses) on debt recorded at fair value		544			(366	)		55			(81	)		(37	)		891			(118	)

	Derivative gains (losses):
		Foreign-currency denominated derivatives gains (losses):
6			Foreign-currency swaps gains (losses)		(484	)		382			(35	)		109			47			(815	)		156
7			Receive-fixed swaps — foreign-currency denominated gains (losses)		(57	)		(31	)		(23	)		(37	)		(3	)		(65	)		(40	)
8		U.S. dollar denominated derivative gains (losses)			(2,086	)		(536	)		2,615			750			(2,499	)		(5,083	)		(1,749	)
9		Accrual of periodic settlements			(1,211	)		(945	)		(989	)		(1,249	)		(1,352	)		(2,560	)		(2,601	)

10			Total derivative gains (losses)		(3,838	)		(1,130	)		1,568			(427	)		(3,807	)		(8,523	)		(4,234	)

	Impairment of available-for-sale securities:
11		Total other-than-temporary impairment of available-for-sale securities			(114	)		(523	)		(724	)		(1,054	)		(230	)		(531	)		(1,284	)
12		Portion of other-than-temporary impairment recognized in AOCI			(314	)		(577	)		(1,546	)		(139	)		(122	)		(407	)		(261	)

13			Net impairment of available-for-sale securities recognized in earnings		(428	)		(1,100	)		(2,270	)		(1,193	)		(352	)		(938	)		(1,545	)

	Other gains (losses) on investment securities recognized in earnings:
14		Gains (losses) on trading securities			(277	)		(561	)		(84	)		(200	)		274			(694	)		74
15		Gains (losses) on sale of available-for-sale securities			20			58			8			80			(65	)		21			15

16			Total other gains (losses) on investment securities recognized in earnings		(257	)		(503	)		(76	)		(120	)		209			(673	)		89

	Other income:
17		Guarantee-related income			60			58			40			54			81			119			135
18		Gains (losses) on sale of mortgage loans			121			28			23			95			161			216			256
19		Gains (losses) on mortgage loans recorded at fair value			5			128			(403	)		(33	)		136			26			103
20		Recoveries on loans impaired upon purchase			227			247			163			125			132			396			257
21		All other			76			108			433			93			(258	)		278			(165	)

22			Total other income		489			569			256			334			252			1,035			586

23			Total non-interest income (loss)	$	(3,627	)	$	(2,646	)	$	(461	)	$	(1,252	)	$	(3,857	)	$	(8,481	)	$	(5,109	)

FREDDIE MAC
TABLE 3 — NON-INTEREST EXPENSE⁽¹⁾ (unaudited) (dollars in millions)


													Six Months Ended
													June 30,
		2Q 2010			3Q 2010		4Q 2010		1Q 2011		2Q 2011		2010		2011
	Non-Interest Expense:
	Administrative expenses:
1	Salaries and employee benefits	$	230		$	224	$	207	$	207	$	219	$	464	$	426
2	Professional services		67			72		77		56		64		148		120
3	Occupancy expense		15			16		17		15		15		31		30
4	Other administrative expenses		92			76		99		83		86		166		169

5	Total administrative expenses		404			388		400		361		384		809		745
6	Real estate owned, or REO, operations (income) expense		(40	)		337		217		257		27		119		284
7	Other expenses		115			103		341		79		135		218		214

8	Total non-interest expense	$	479		$	828	$	958	$	697	$	546	$	1,146	$	1,243


(1)		In the first quarter of 2011, we reclassified certain expenses from Other expenses (Line 7) to Professional services (Line 2). Prior period amounts have been reclassified to conform to the current presentation.

FREDDIE MAC
TABLE 4 — CREDIT QUALITY INDICATORS (unaudited) (dollars in millions)


																	Six Months Ended
																	June 30,
		2Q 2010			3Q 2010			4Q 2010			1Q 2011			2Q 2011			2010			2011
	Credit Enhancements:

1	Credit-enhanced percentage of mortgage loan portfolio purchases		8	%		8	%		6	%		7	%		9	%		11	%		8	%
2	Credit-enhanced percentage of mortgage loan portfolio⁽¹⁾ (period end)		16	%		15	%		15	%		15	%		15	%		16	%		15	%

	Delinquencies Rates: at period end⁽²⁾⁽³⁾

	Single-family:
3	Non-credit-enhanced		3.08	%		2.97	%		3.01	%		2.85	%		2.75	%		3.08	%		2.75	%
4	Credit-enhanced		8.50	%		8.13	%		8.27	%		7.87	%		7.67	%		8.50	%		7.67	%
5	Total Single-family		3.96	%		3.80	%		3.84	%		3.63	%		3.50	%		3.96	%		3.50	%
	Multifamily:
6	Non-credit-enhanced		0.10	%		0.18	%		0.12	%		0.25	%		0.19	%		0.10	%		0.19	%
7	Credit enhanced		0.78	%		0.86	%		0.85	%		0.75	%		0.70	%		0.78	%		0.70	%
8	Total Multifamily		0.22	%		0.31	%		0.26	%		0.36	%		0.31	%		0.22	%		0.31	%

	Single-family loan workouts⁽⁴⁾ (number of units):

9	Loan modifications		49,562			39,284			37,203			35,158			31,049			93,790			66,207
10	Repayment plans		7,455			7,030			7,964			9,099			7,981			16,216			17,080
11	Forbearance agreements		12,815			6,976			5,945			7,678			3,709			21,673			11,387
12	Short sales and deed-in-lieu transactions		9,542			10,472			12,097			10,706			11,038			16,606			21,744

13	Total single-family loan workouts		79,374			63,762			63,209			62,641			53,777			148,285			116,418

	Non-performing assets⁽³⁾ (at period end):

14	Non-performing mortgage loans	$	113,717		$	114,846		$	118,337		$	118,062		$	117,929		$	113,717		$	117,929
15	REO assets, net		6,298			7,511			7,068			6,376			5,932			6,298			5,932

16	Total non-performing assets	$	120,015		$	122,357		$	125,405		$	124,438		$	123,861		$	120,015		$	123,861

	REO Operations Income (Expense):

17	Single-family	$	41		$	(337	)	$	(224	)	$	(257	)	$	(35	)		(115	)		(292	)
18	Multifamily		(1	)		—			7			—			8			(4	)		8

19	Total	$	40		$	(337	)	$	(217	)	$	(257	)	$	(27	)	$	(119	)	$	(284	)

	Loan Loss Reserves:⁽⁵⁾

20	Beginning balance	$	36,811		$	38,319		$	38,596		$	39,926		$	39,305		$	33,857		$	39,926
21	Adjustments to beginning balance⁽⁶⁾		—			—			—			—			—			(186	)		—
22	Provision for credit losses⁽⁷⁾		5,029			3,727			3,066			1,989			2,529			10,425			4,518
23	Charge-offs — single-family, net		(3,748	)		(3,723	)		(2,751	)		(2,863	)		(2,968	)		(6,382	)		(5,831	)
24	Charge-offs — multifamily, net		(27	)		(23	)		(35	)		(12	)		(29	)		(45	)		(41	)
25	Transfers, net		254			296			1,050			265			258			650			523

26	Ending balance	$	38,319		$	38,596		$	39,926		$	39,305		$	39,095		$	38,319		$	39,095

	Credit Losses:⁽⁸⁾

27	Credit losses	$	3,879		$	4,239		$	3,114		$	3,238		$	3,127		$	6,807		$	6,365
28	Annualized credit losses / average mortgage loan portfolio⁽⁹⁾		78.6 bps			86.4 bps			64.5 bps			67.1 bps			64.9 bps			68.9 bps			66.0 bps


(1)	Based on the total mortgage portfolio, excluding non-Freddie Mac mortgage-related securities and that portion of REMICs and Other Structured Securities that is backed by Ginnie Mae Certificates.
(2)	Single-family delinquencies are based on the number of loans three monthly payments or more past due or in foreclosure while multifamily delinquencies are based on UPB of loans two monthly payments or more past due or in foreclosure. Delinquencies exclude loans whose original contractual terms have been modified under an agreement with the borrower as long as the borrower complies with the modified contractual terms. See “MD&A — RISK MANAGEMENT — Credit Risk — Mortgage Credit Risk — Credit Performance — Delinquencies” in our 2010 Form 10-K for the year ended December 31, 2010, for further information about our reported delinquency rates.
(3)	Based on loans held by us on our consolidated balance sheets as well as those underlying Freddie Mac issued mortgage-related securities and other guarantee commitments.
(4)	Represents completed activities and excludes those modification, repayment and forbearance activities for which the borrower has started the required process, but the actions have not been made permanent, or effective, such as loans in the trial period under HAMP. These categories are not mutually exclusive and a loan in the category may also be included within another category. Many borrowers complete a short-term forbearance agreement before one of the other alternatives is pursued or completed. We only report activity for a single loan in the forbearance category during each quarterly period; however, a single loan may be reported in the forbearance category in separate periods. For more information on our loan workout activities see “MD&A — CREDIT RISKS — Mortgage Credit Risk — Portfolio Management Activities — Loan Workout Activities” in our 2010 Form 10-K for the year ended December 31, 2010.
(5)	Loan loss reserves equals the sum of allowance for loan losses (consolidated balance sheets — Lines 7 and 8) and reserve for guarantee losses, which is a component of Other liabilities (Line 23). Results for the second quarter of 2010 include the correction of an error. The cumulative effect of this error was recorded as a $1.3 billion pre-tax correction in the second quarter of 2010, which included a $1.0 billion pre-tax cumulative effect of this error associated with the year ended December 31, 2009. For further details related to this out-of-period accounting adjustment, see “NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES” in our Form 10-K for the year ended December 31, 2010.
(6)	Adjustments relate to the adoption of amendments to the accounting guidance for transfers of financial assets and consolidation of VIEs, which we implemented on January 1, 2010.
(7)	Provision for credit losses includes our provision for losses incurred on our loans held for investment and our provision for guarantee losses incurred on loans underlying non-consolidated Freddie Mac issued mortgage-related securities and other guarantee commitments.
(8)	Equal to charge-offs, and REO operations income (expense), net of recoveries.
(9)	Calculated based on the average total mortgage portfolio, excluding non-Freddie Mac mortgage-related securities and that portion of REMICs and Other Structured Securities that is backed by Ginnie Mae Certificates.

FREDDIE MAC
TABLE 5A — SEGMENT EARNINGS — CONSOLIDATED⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)


																	Six Months Ended
																	June 30,
		2Q 2010			3Q 2010			4Q 2010			1Q 2011			2Q 2011			2010			2011
	Segment Earnings, net of taxes:
1	Investments	$	(411	)	$	284		$	2,691		$	2,137		$	10		$	(1,724	)	$	2,147
2	Single-family Guarantee		(4,505	)		(3,138	)		(3,017	)		(1,820	)		(2,386	)		(10,101	)		(4,206	)
3	Multifamily		150			381			213			359			200			371			559
4	All Other		53			(38	)		—			—			37			53			37

5	Total Segment Earnings (loss), net of taxes	$	(4,713	)	$	(2,511	)	$	(113	)	$	676		$	(2,139	)	$	(11,401	)	$	(1,463	)

	Total Comprehensive Income (Loss) of Segments:
6	Investments segment	$	3,203		$	3,601		$	2,866		$	3,263		$	643		$	5,010		$	3,906
7	Single-family Guarantee segment		(4,504	)		(3,137	)		(3,009	)		(1,824	)		(2,385	)		(10,104	)		(4,209	)
8	Multifamily segment		818			1,010			1,299			1,301			605			2,731			1,906
9	All Other		53			(38	)		—			—			37			53			37

10	Total comprehensive income (loss) of segments	$	(430	)	$	1,436		$	1,156		$	2,740		$	(1,100	)	$	(2,310	)	$	1,640

	Net interest yield — Segment Earnings (annualized):
11	Investments segment		93 bps			106 bps			113 bps			110 bps			126 bps			83 bps			118 bps
12	Multifamily segment		77 bps			80 bps			86 bps			75 bps			83 bps			71 bps			79 bps
	Management and guarantee income — Segment Earnings (annualized):
13	Single-family Guarantee segment		18.4 bps			19.9 bps			21.9 bps			19.1 bps			18.7 bps			18.2 bps			18.9 bps
14	Multifamily segment		49.6 bps			49.8 bps			48.6 bps			46.8 bps			43.0 bps			51.1 bps			44.7 bps
	Credit losses — Segment Earnings (annualized):
15	Single-family Guarantee segment		82.4 bps			91.0 bps			67.7 bps			71.0 bps			68.4 bps			72.2 bps			69.7 bps
16	Multifamily segment		10.3 bps			9.0 bps			10.7 bps			4.2 bps			7.6 bps			9.2 bps			5.9 bps


(1)		See “NOTE 15: SEGMENT REPORTING” in our Form 10-Q for the quarter ended June 30, 2011 for more information regarding Segment Earnings.
(2)		The sum of Segment Earnings for each segment and the All Other category equals GAAP net income (loss) attributable to Freddie Mac. Likewise, the sum of total comprehensive income (loss) for each segment and the All Other category equals GAAP total comprehensive income (loss) attributable to Freddie Mac.

FREDDIE MAC
TABLE 5B — SEGMENT EARNINGS — INVESTMENTS SEGMENT⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)


																	Six Months Ended
																	June 30,
		2Q 2010			3Q 2010			4Q 2010			1Q 2011			2Q 2011			2010			2011
	Segment Earnings, net of taxes:
1	Net interest income	$	1,509		$	1,667		$	1,705		$	1,653		$	1,826		$	2,820		$	3,479
	Non-interest income (loss):
2	Net impairment of available-for-sale securities		(327	)		(934	)		(2,182	)		(1,029	)		(139	)		(703	)		(1,168	)
3	Derivative gains (losses)		(2,193	)		192			2,844			1,103			(2,156	)		(4,895	)		(1,053	)
4	Other non-interest income (loss)		294			(768	)		91			236			243			272			479

5	Total non-interest income (loss)		(2,226	)		(1,510	)		753			310			(2,052	)		(5,326	)		(1,742	)

	Non-interest expense:
6	Administrative expenses		(111	)		(110	)		(112	)		(95	)		(101	)		(233	)		(196	)
7	Other non-interest expense		(6	)		(1	)		(4	)		—			(1	)		(13	)		(1	)

8	Total non-interest expense		(117	)		(111	)		(116	)		(95	)		(102	)		(246	)		(197	)

9	Segment adjustments		294			272			282			203			126			804			329

10	Segment Earnings (loss) before income tax (expense) benefit		(540	)		318			2,624			2,071			(202	)		(1,948	)		1,869
11	Income tax (expense) benefit		129			(34	)		67			66			212			226			278

12	Segment Earnings (loss), net of taxes, including noncontrolling interest		(411	)		284			2,691			2,137			10			(1,722	)		2,147
13	Less: Net (income) loss — noncontrolling interest		—			—			—			—			—			(2	)		—

14	Segment Earnings (loss), net of taxes		(411	)		284			2,691			2,137			10			(1,724	)		2,147
15	Total other comprehensive income, net of taxes		3,614			3,317			175			1,126			633			6,734			1,759

16	Total comprehensive income — Investments segment	$	3,203		$	3,601		$	2,866		$	3,263		$	643		$	5,010		$	3,906

17	Net interest yield — Segment Earnings (annualized)		93 bps			106 bps			113 bps			110 bps			126 bps			83 bps			118 bps


(1)		See “NOTE 15: SEGMENT REPORTING” in our Form 10-Q for the quarter ended June 30, 2011 for more information regarding Segment Earnings.
(2)		Segment Earnings for the Investments segment equals GAAP net income (loss) attributable to Freddie Mac for the Investments segment.

FREDDIE MAC
TABLE 5C — SEGMENT EARNINGS — SINGLE-FAMILY GUARANTEE SEGMENT⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)


																	Six Months Ended
																	June 30,
		2Q 2010			3Q 2010			4Q 2010			1Q 2011			2Q 2011			2010			2011
	Segment Earnings, net of taxes:
1	Net interest income	$	51		$	(4	)	$	(34	)	$	100		$	(30	)	$	110		$	70
2	Provision for credit losses⁽³⁾		(5,294	)		(3,980	)		(3,470	)		(2,284	)		(2,886	)		(11,335	)		(5,170	)
	Non-interest income:
3	Management and guarantee income		865			922			1,000			870			848			1,713			1,718
4	Other non-interest income		268			307			566			211			208			478			419

5	Total non-interest income		1,133			1,229			1,566			1,081			1,056			2,191			2,137

	Non-interest expense:
6	Administrative expenses		(242	)		(224	)		(235	)		(215	)		(228	)		(471	)		(443	)
7	REO operations income (expense)		41			(337	)		(224	)		(257	)		(35	)		(115	)		(292	)
8	Other non-interest expense		(90	)		(85	)		(324	)		(66	)		(106	)		(169	)		(172	)

9	Total non-interest expense		(291	)		(646	)		(783	)		(538	)		(369	)		(755	)		(907	)

10	Segment adjustments		(208	)		(245	)		(287	)		(185	)		(143	)		(421	)		(328	)

11	Segment Earnings (loss) before income tax (expense) benefit		(4,609	)		(3,646	)		(3,008	)		(1,826	)		(2,372	)		(10,210	)		(4,198	)
12	Income tax (expense) benefit		104			508			(9	)		6			(14	)		109			(8	)

13	Segment Earnings (loss), net of taxes		(4,505	)		(3,138	)		(3,017	)		(1,820	)		(2,386	)		(10,101	)		(4,206	)
14	Total other comprehensive income (loss), net of taxes		1			1			8			(4	)		1			(3	)		(3	)

15	Total comprehensive income (loss) — Single-family Guarantee segment	$	(4,504	)	$	(3,137	)	$	(3,009	)	$	(1,824	)	$	(2,385	)	$	(10,104	)	$	(4,209	)

	Management and guarantee income — Segment Earnings:
16	Contractual management and guarantee fees (annualized rate)		13.5 bps			13.5 bps			13.7 bps			13.6 bps			13.7 bps			13.4 bps			13.6 bps
17	Amortization of delivery fees (annualized rate)		4.9 bps			6.4 bps			8.2 bps			5.5 bps			5.0 bps			4.8 bps			5.3 bps

18	Segment Earnings management and guarantee income (annualized rate)		18.4 bps			19.9 bps			21.9 bps			19.1 bps			18.7 bps			18.2 bps			18.9 bps

	Credit losses — Segment Earnings:
19	Annualized credit losses/average single-family credit guarantee portfolio and HFA-related guarantees		82.4 bps			91.0 bps			67.7 bps			71.0 bps			68.4 bps			72.2 bps			69.7 bps


(1)		See “NOTE 15: SEGMENT REPORTING” in our Form 10-Q for the quarter ended June 30, 2011 for more information regarding Segment Earnings.
(2)		Segment Earnings for the Single-family Guarantee segment equals GAAP net income (loss) attributable to Freddie Mac for the Single-family Guarantee segment.
(3)		Results for the second quarter of 2010 include the correction of an error. The cumulative effect of this error was recorded as a $1.3 billion pre-tax correction in the second quarter of 2010, which included a $1.0 billion pre-tax cumulative effect of this error associated with the year ended December 31, 2009. For further details related to this out-of-period accounting adjustment, see “NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES” in our Form 10-K for the year ended December 31, 2010.

FREDDIE MAC
TABLE 5D — SEGMENT EARNINGS — MULTIFAMILY SEGMENT⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)


																	Six Months Ended
																	June 30,
		2Q 2010			3Q 2010			4Q 2010			1Q 2011			2Q 2011			2010			2011
	Segment Earnings, net of taxes:

1	Net interest income	$	278		$	290		$	308		$	279		$	304		$	516		$	583
2	(Provision) benefit for credit losses		(119	)		(19	)		68			60			13			(148	)		73
	Non-interest income (loss):
3	Management and guarantee income		25			25			27			28			30			49			58
4	Net impairment of available-for-sale securities		(17	)		(5	)		(19	)		(135	)		(182	)		(72	)		(317	)
5	Derivative gains (losses)		(1	)		1			1			2			2			4			4
6	Other non-interest income (loss)		55			185			(111	)		187			111			163			298

7	Total non-interest income (loss)		62			206			(102	)		82			(39	)		144			43

	Non-interest expense:
8	Administrative expenses		(51	)		(54	)		(53	)		(51	)		(55	)		(105	)		(106	)
9	REO operations income (expense)		(1	)		—			7			—			8			(4	)		8
10	Other non-interest expense		(19	)		(17	)		(13	)		(13	)		(28	)		(36	)		(41	)

11	Total non-interest expense		(71	)		(71	)		(59	)		(64	)		(75	)		(145	)		(139	)

12	Segment Earnings before income tax benefit (expense)		150			406			215			357			203			367			560
13	Income tax benefit (expense)		—			(25	)		(2	)		2			(3	)		1			(1	)

14	Segment Earnings, net of taxes, including noncontrolling interest		150			381			213			359			200			368			559
15	Less: Net (income) loss — noncontrolling interest		—			—			—			—			—			3			—

16	Segment Earnings, net of taxes		150			381			213			359			200			371			559
17	Total other comprehensive income, net of taxes		668			629			1,086			942			405			2,360			1,347

18	Total comprehensive income — Multifamily segment	$	818		$	1,010		$	1,299		$	1,301		$	605		$	2,731		$	1,906

19	Net interest yield — Segment Earnings (annualized)		77 bps			80 bps			86 bps			75 bps			83 bps			71 bps			79 bps
	Management and guarantee income — Segment Earnings:

20	Average contractual rate (annualized)⁽³⁾		49.6 bps			49.8 bps			48.6 bps			46.8 bps			43.0 bps			51.1 bps			44.7 bps
	Credit losses — Segment Earnings:

21	Annualized credit losses/average multifamily mortgage portfolio and HFA-related guarantees		10.3 bps			9.0 bps			10.7 bps			4.2 bps			7.6 bps			9.2 bps			5.9 bps


(1)		See “NOTE 15: SEGMENT REPORTING” in our Form 10-Q for the quarter ended June 30, 2011 for more information regarding Segment Earnings.
(2)		Segment Earnings for the Multifamily segment equals GAAP net income (loss) attributable to Freddie Mac for the Multifamily segment.
(3)		There are no credit fees associated with our multifamily guarantees; however, this rate excludes prepayment and certain other fees.

FEDERAL HOME LOAN MORTGAGE CORP - FORM 8-K - EX-99.2 - EXHIBIT 99.2 - August 8, 2011

Attached files