Attached files
| file | filename |
|---|---|
| 8-K - 8-K - FEDERAL HOME LOAN MORTGAGE CORP | f71786e8vk.htm |
| EX-99.1 - EXHIBIT 99.1 - FEDERAL HOME LOAN MORTGAGE CORP | f71786exv99w1.htm |
| EX-99.2 - EXHIBIT 99.2 - FEDERAL HOME LOAN MORTGAGE CORP | f71786exv99w2.htm |
| EX-99.4 - EXHIBIT 99.4 - FEDERAL HOME LOAN MORTGAGE CORP | f71786exv99w4.htm |
Exhibit 99.3
|
FREDDIE MAC 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
|
Credit Quality Indicators | 7 | ||||||
| Segment Earnings Results | ||||||||
|
4A
|
Segment Earnings — Consolidated | 8 | ||||||
|
4B
|
Segment Earnings — Investments Segment | 9 | ||||||
|
4C
|
Segment Earnings — Single-Family Guarantee Segment | 10 | ||||||
|
4D
|
Segment Earnings — Multifamily Segment | 11 | ||||||
FREDDIE
MAC
CONSOLIDATED STATEMENTS OF INCOME AND COMPREHENSIVE INCOME
(unaudited)
CONSOLIDATED STATEMENTS OF INCOME AND COMPREHENSIVE INCOME
(unaudited)
| Three Months Ended | Year Ended | |||||||||||||||||||||||||||||||||||
| Line: | December 31, 2010 | March 31, 2011 | June 30, 2011 | September 30, 2011 | December 31, 2011 | December 31, 2010 | December 31, 2011 | |||||||||||||||||||||||||||||
| (dollars in millions, except share-related amounts) | ||||||||||||||||||||||||||||||||||||
|
Interest income
|
||||||||||||||||||||||||||||||||||||
|
Mortgage loans:
|
||||||||||||||||||||||||||||||||||||
|
1
|
Held by consolidated trusts
|
$ | 20,379 | $ | 20,064 | $ | 19,782 | $ | 19,140 | $ | 18,172 | $ | 86,698 | $ | 77,158 | |||||||||||||||||||||
|
2
|
Unsecuritized
|
2,282 | 2,334 | 2,274 | 2,282 | 2,234 | 8,727 | 9,124 | ||||||||||||||||||||||||||||
|
3
|
Total mortgage loans
|
22,661 | 22,398 | 22,056 | 21,422 | 20,406 | 95,425 | 86,282 | ||||||||||||||||||||||||||||
|
4
|
Investments in securities
|
3,345 | 3,283 | 3,275 | 3,150 | 3,083 | 14,375 | 12,791 | ||||||||||||||||||||||||||||
|
5
|
Other
|
41 | 34 | 18 | 8 | 7 | 156 | 67 | ||||||||||||||||||||||||||||
|
6
|
Total interest income
|
26,047 | 25,715 | 25,349 | 24,580 | 23,496 | 109,956 | 99,140 | ||||||||||||||||||||||||||||
|
Interest expense
|
||||||||||||||||||||||||||||||||||||
|
7
|
Debt securities of consolidated trusts
|
(17,804 | ) | (17,403 | ) | (17,261 | ) | (16,715 | ) | (15,740 | ) | (75,216 | ) | (67,119 | ) | |||||||||||||||||||||
|
8
|
Other debt
|
(3,703 | ) | (3,565 | ) | (3,333 | ) | (3,072 | ) | (2,899 | ) | (16,915 | ) | (12,869 | ) | |||||||||||||||||||||
|
9
|
Total interest expense
|
(21,507 | ) | (20,968 | ) | (20,594 | ) | (19,787 | ) | (18,639 | ) | (92,131 | ) | (79,988 | ) | |||||||||||||||||||||
|
10
|
Expense related to derivatives
|
(224 | ) | (207 | ) | (194 | ) | (180 | ) | (174 | ) | (969 | ) | (755 | ) | |||||||||||||||||||||
|
11
|
Net interest income
|
4,316 | 4,540 | 4,561 | 4,613 | 4,683 | 16,856 | 18,397 | ||||||||||||||||||||||||||||
|
12
|
Provision for credit losses
|
(3,066 | ) | (1,989 | ) | (2,529 | ) | (3,606 | ) | (2,578 | ) | (17,218 | ) | (10,702 | ) | |||||||||||||||||||||
|
13
|
Net interest income (loss) after provision for credit
losses
|
1,250 | 2,551 | 2,032 | 1,007 | 2,105 | (362 | ) | 7,695 | |||||||||||||||||||||||||||
|
Non-interest income (loss)
|
||||||||||||||||||||||||||||||||||||
|
14
|
Gains (losses) on extinguishment of debt securities of
consolidated trusts
|
(4 | ) | 223 | (125 | ) | (310 | ) | (7 | ) | (164 | ) | (219 | ) | ||||||||||||||||||||||
|
15
|
Gains (losses) on retirement of other debt
|
10 | 12 | 3 | 19 | 10 | (219 | ) | 44 | |||||||||||||||||||||||||||
|
16
|
Gains (losses) on debt recorded at fair value
|
55 | (81 | ) | (37 | ) | 133 | 76 | 580 | 91 | ||||||||||||||||||||||||||
|
17
|
Derivative gains (losses)
|
1,568 | (427 | ) | (3,807 | ) | (4,752 | ) | (766 | ) | (8,085 | ) | (9,752 | ) | ||||||||||||||||||||||
|
Impairment of available-for-sale securities:
|
||||||||||||||||||||||||||||||||||||
|
18
|
Total other-than-temporary impairment
of available-for-sale securities |
(724 | ) | (1,054 | ) | (230 | ) | (459 | ) | (358 | ) | (1,778 | ) | (2,101 | ) | |||||||||||||||||||||
|
19
|
Portion of other-than-temporary
impairment recognized in AOCI |
(1,546 | ) | (139 | ) | (122 | ) | 298 | (237 | ) | (2,530 | ) | (200 | ) | ||||||||||||||||||||||
|
20
|
Net impairment of
available-for-sale
securities recognized in earnings |
(2,270 | ) | (1,193 | ) | (352 | ) | (161 | ) | (595 | ) | (4,308 | ) | (2,301 | ) | |||||||||||||||||||||
|
21
|
Other gains (losses) on investment securities recognized in
earnings
|
(76 | ) | (120 | ) | 209 | (541 | ) | (444 | ) | (1,252 | ) | (896 | ) | ||||||||||||||||||||||
|
22
|
Other income
|
256 | 334 | 252 | 814 | 755 | 1,860 | 2,155 | ||||||||||||||||||||||||||||
|
23
|
Non-interest income (loss)
|
(461 | ) | (1,252 | ) | (3,857 | ) | (4,798 | ) | (971 | ) | (11,588 | ) | (10,878 | ) | |||||||||||||||||||||
|
Non-interest expense
|
||||||||||||||||||||||||||||||||||||
|
24
|
Salaries and employee benefits
|
(207 | ) | (207 | ) | (219 | ) | (212 | ) | (194 | ) | (895 | ) | (832 | ) | |||||||||||||||||||||
|
25
|
Professional services
|
(77 | ) | (56 | ) | (64 | ) | (73 | ) | (77 | ) | (297 | ) | (270 | ) | |||||||||||||||||||||
|
26
|
Occupancy expense
|
(17 | ) | (15 | ) | (15 | ) | (14 | ) | (18 | ) | (64 | ) | (62 | ) | |||||||||||||||||||||
|
27
|
Other administrative expenses
|
(99 | ) | (83 | ) | (86 | ) | (82 | ) | (91 | ) | (341 | ) | (342 | ) | |||||||||||||||||||||
|
28
|
Total administrative expenses
|
(400 | ) | (361 | ) | (384 | ) | (381 | ) | (380 | ) | (1,597 | ) | (1,506 | ) | |||||||||||||||||||||
|
29
|
Real estate owned operations expense
|
(217 | ) | (257 | ) | (27 | ) | (221 | ) | (80 | ) | (673 | ) | (585 | ) | |||||||||||||||||||||
|
30
|
Other expenses
|
(341 | ) | (79 | ) | (135 | ) | (85 | ) | (93 | ) | (662 | ) | (392 | ) | |||||||||||||||||||||
|
31
|
Non-interest expense
|
(958 | ) | (697 | ) | (546 | ) | (687 | ) | (553 | ) | (2,932 | ) | (2,483 | ) | |||||||||||||||||||||
|
32
|
Income (loss) before income tax benefit
|
(169 | ) | 602 | (2,371 | ) | (4,478 | ) | 581 | (14,882 | ) | (5,666 | ) | |||||||||||||||||||||||
|
33
|
Income tax benefit
|
56 | 74 | 232 | 56 | 38 | 856 | 400 | ||||||||||||||||||||||||||||
|
34
|
Net income (loss)
|
(113 | ) | 676 | (2,139 | ) | (4,422 | ) | 619 | (14,026 | ) | (5,266 | ) | |||||||||||||||||||||||
|
Other comprehensive income, net of taxes and reclassification
adjustments:
|
||||||||||||||||||||||||||||||||||||
|
35
|
Changes in unrealized gains (losses) related to
available-for-sale securities
|
1,097 | 1,941 | 903 | (80 | ) | 701 | 13,621 | 3,465 | |||||||||||||||||||||||||||
|
36
|
Changes in unrealized gains (losses) related to cash flow hedge
relationships
|
153 | 132 | 135 | 124 | 118 | 673 | 509 | ||||||||||||||||||||||||||||
|
37
|
Changes in defined benefit plans
|
19 | (9 | ) | 1 | 2 | 68 | 13 | 62 | |||||||||||||||||||||||||||
|
38
|
Total other comprehensive income, net of taxes and
reclassification adjustments
|
1,269 | 2,064 | 1,039 | 46 | 887 | 14,307 | 4,036 | ||||||||||||||||||||||||||||
|
39
|
Comprehensive income (loss)
|
1,156 | 2,740 | (1,100 | ) | (4,376 | ) | 1,506 | 281 | (1,230 | ) | |||||||||||||||||||||||||
|
40
|
Less: Comprehensive loss attributable to noncontrolling interest
|
— | — | — | — | — | 1 | — | ||||||||||||||||||||||||||||
|
41
|
Total comprehensive income (loss) attributable to Freddie
Mac
|
$ | 1,156 | $ | 2,740 | $ | (1,100 | ) | $ | (4,376 | ) | $ | 1,506 | $ | 282 | $ | (1,230 | ) | ||||||||||||||||||
|
42
|
Net income (loss)
|
$ | (113 | ) | $ | 676 | $ | (2,139 | ) | $ | (4,422 | ) | $ | 619 | $ | (14,026 | ) | $ | (5,266 | ) | ||||||||||||||||
|
43
|
Less: Net loss attributable to noncontrolling interest
|
— | — | — | — | — | 1 | — | ||||||||||||||||||||||||||||
|
44
|
Net income (loss) attributable to Freddie Mac
|
(113 | ) | 676 | (2,139 | ) | (4,422 | ) | 619 | (14,025 | ) | (5,266 | ) | |||||||||||||||||||||||
|
45
|
Preferred stock dividends
|
(1,603 | ) | (1,605 | ) | (1,617 | ) | (1,618 | ) | (1,658 | ) | (5,749 | ) | (6,498 | ) | |||||||||||||||||||||
|
46
|
Net loss attributable to common stockholders
|
$ | (1,716 | ) | $ | (929 | ) | $ | (3,756 | ) | $ | (6,040 | ) | $ | (1,039 | ) | $ | (19,774 | ) | $ | (11,764 | ) | ||||||||||||||
|
Net loss per common share:
|
||||||||||||||||||||||||||||||||||||
|
47
|
Basic
|
$ | (0.53 | ) | $ | (0.29 | ) | $ | (1.16 | ) | $ | (1.86 | ) | $ | (0.32 | ) | $ | (6.09 | ) | $ | (3.63 | ) | ||||||||||||||
|
48
|
Diluted
|
$ | (0.53 | ) | $ | (0.29 | ) | $ | (1.16 | ) | $ | (1.86 | ) | $ | (0.32 | ) | $ | (6.09 | ) | $ | (3.63 | ) | ||||||||||||||
|
Weighted average common shares outstanding (in thousands):
|
||||||||||||||||||||||||||||||||||||
|
49
|
Basic
|
3,248,227 | 3,246,985 | 3,244,967 | 3,244,496 | 3,243,183 | 3,249,369 | 3,244,896 | ||||||||||||||||||||||||||||
|
50
|
Diluted
|
3,248,227 | 3,246,985 | 3,244,967 | 3,244,496 | 3,243,183 | 3,249,369 | 3,244,896 | ||||||||||||||||||||||||||||
2
FREDDIE
MAC
CONSOLIDATED BALANCE SHEETS
(unaudited)
CONSOLIDATED BALANCE SHEETS
(unaudited)
| Line: | December 31, 2010 | March 31, 2011 | June 30, 2011 | September 30, 2011 | December 31, 2011 | |||||||||||||||||||||
| (dollars in millions, except share-related amounts) | ||||||||||||||||||||||||||
|
Assets
|
||||||||||||||||||||||||||
|
1
|
Cash and cash equivalents (includes $1, $1, $1, $1, and $2,
respectively, related to our consolidated VIEs)
|
$ | 37,012 | $ | 34,298 | $ | 17,488 | $ | 18,174 | $ | 28,442 | |||||||||||||||
|
2
|
Restricted cash and cash equivalents (includes $7,514, $5,497,
$1,850, $25,180, and $27,675, respectively, related to our
consolidated VIEs)
|
8,111 | 6,184 | 2,333 | 25,695 | 28,063 | ||||||||||||||||||||
|
3
|
Federal funds sold and securities purchased under agreements to
resell (includes $29,350, $11,500, $13,950, $—, and
$—, respectively, related to our consolidated VIEs)
|
46,524 | 37,792 | 33,609 | 10,596 | 12,044 | ||||||||||||||||||||
|
Investments in securities:
|
||||||||||||||||||||||||||
|
4
|
Available-for-sale, at fair value (includes $817, $298, $244,
$224, and $204, respectively, pledged as collateral that may be
repledged)
|
232,634 | 229,838 | 222,849 | 216,584 | 210,659 | ||||||||||||||||||||
|
5
|
Trading, at fair value
|
60,262 | 61,353 | 54,764 | 55,298 | 58,830 | ||||||||||||||||||||
|
6
|
Total investments in securities
|
292,896 | 291,191 | 277,613 | 271,882 | 269,489 | ||||||||||||||||||||
|
Mortgage loans:
|
||||||||||||||||||||||||||
|
Held-for-investment, at amortized cost:
|
||||||||||||||||||||||||||
|
7
|
By consolidated trusts (net of allowances for loan losses of
$11,644, $9,517, $8,948, $8,696, and $8,351, respectively)
|
1,646,172 | 1,644,609 | 1,634,773 | 1,611,580 | 1,564,131 | ||||||||||||||||||||
|
8
|
Unsecuritized (net of allowances for loan losses of $28,047,
$29,571, $29,919, $30,848, and $30,912, respectively)
|
192,310 | 197,883 | 198,568 | 199,382 | 207,418 | ||||||||||||||||||||
|
9
|
Total held-for-investment mortgage
loans, net
|
1,838,482 | 1,842,492 | 1,833,341 | 1,810,962 | 1,771,549 | ||||||||||||||||||||
|
10
|
Held-for-sale, at lower-of-cost-or-fair-value (includes $6,413,
$5,304, $4,463, $6,275 and $9,710 at fair value, respectively)
|
6,413 | 5,304 | 4,463 | 6,275 | 9,710 | ||||||||||||||||||||
|
11
|
Total mortgage loans, net
|
1,844,895 | 1,847,796 | 1,837,804 | 1,817,237 | 1,781,259 | ||||||||||||||||||||
|
12
|
Accrued interest receivable (includes $6,895, $6,801, $6,704,
$6,535, and $6,242, respectively, related to our consolidated
VIEs)
|
8,713 | 8,660 | 8,523 | 8,327 | 8,062 | ||||||||||||||||||||
|
13
|
Derivative assets, net
|
143 | 58 | 246 | 295 | 118 | ||||||||||||||||||||
|
14
|
Real estate owned, net (includes $118, $112, $83, $64, and $60,
respectively, related to our consolidated VIEs)
|
7,068 | 6,376 | 5,932 | 5,630 | 5,680 | ||||||||||||||||||||
|
15
|
Deferred tax assets, net
|
5,543 | 4,498 | 3,866 | 3,909 | 3,546 | ||||||||||||||||||||
|
16
|
Other assets (includes $6,001, $2,675, $3,252, $6,158, and
$6,083, respectively, related to our consolidated VIEs)
|
10,875 | 8,063 | 8,381 | 10,591 | 10,513 | ||||||||||||||||||||
|
17
|
Total assets
|
$ | 2,261,780 | $ | 2,244,916 | $ | 2,195,795 | $ | 2,172,336 | $ | 2,147,216 | |||||||||||||||
|
Liabilities and equity (deficit)
|
||||||||||||||||||||||||||
|
Liabilities
|
||||||||||||||||||||||||||
|
18
|
Accrued interest payable (includes $6,502, $6,345, $6,241,
$6,120, and $5,943, respectively, related to our consolidated
VIEs)
|
$ | 10,286 | $ | 9,392 | $ | 9,542 | $ | 8,603 | $ | 8,898 | |||||||||||||||
|
Debt, net:
|
||||||||||||||||||||||||||
|
19
|
Debt securities of consolidated trusts held by third parties
|
1,528,648 | 1,510,426 | 1,499,036 | 1,488,036 | 1,471,437 | ||||||||||||||||||||
|
20
|
Other debt (includes $4,443, $3,960, $3,998, $3,291, and $3,015
at fair value, respectively)
|
713,940 | 715,572 | 681,087 | 674,421 | 660,546 | ||||||||||||||||||||
|
21
|
Total debt, net
|
2,242,588 | 2,225,998 | 2,180,123 | 2,162,457 | 2,131,983 | ||||||||||||||||||||
|
22
|
Derivative liabilities, net
|
1,209 | 750 | 408 | 329 | 435 | ||||||||||||||||||||
|
23
|
Other liabilities (includes $172, $204, $400, $293, and $3,
respectively, related to our consolidated VIEs)
|
8,098 | 7,539 | 7,200 | 6,938 | 6,046 | ||||||||||||||||||||
|
24
|
Total liabilities
|
2,262,181 | 2,243,679 | 2,197,273 | 2,178,327 | 2,147,362 | ||||||||||||||||||||
|
25
|
Commitments and contingencies
|
|||||||||||||||||||||||||
|
Equity (deficit)
|
||||||||||||||||||||||||||
|
Freddie Mac stockholders’ equity (deficit)
|
||||||||||||||||||||||||||
|
26
|
Senior preferred stock, at redemption value
|
64,200 | 64,700 | 64,700 | 66,179 | 72,171 | ||||||||||||||||||||
|
27
|
Preferred stock, at redemption value
|
14,109 | 14,109 | 14,109 | 14,109 | 14,109 | ||||||||||||||||||||
|
28
|
Common stock
|
— | — | — | — | — | ||||||||||||||||||||
|
29
|
Additional paid-in capital
|
7 | — | 1 | 2 | 3 | ||||||||||||||||||||
|
30
|
Retained earnings (accumulated deficit)
|
(62,733 | ) | (63,693 | ) | (67,449 | ) | (73,489 | ) | (74,525 | ) | |||||||||||||||
|
Accumulated other comprehensive income (loss), or AOCI, net
of taxes, related to:
|
||||||||||||||||||||||||||
|
31
|
Available-for-sale securities
|
(9,678 | ) | (7,737 | ) | (6,834 | ) | (6,914 | ) | (6,213 | ) | |||||||||||||||
|
32
|
Cash flow hedge relationships
|
(2,239 | ) | (2,107 | ) | (1,972 | ) | (1,848 | ) | (1,730 | ) | |||||||||||||||
|
33
|
Defined benefit plans
|
(114 | ) | (123 | ) | (122 | ) | (120 | ) | (52 | ) | |||||||||||||||
|
34
|
Total AOCI, net of taxes
|
(12,031 | ) | (9,967 | ) | (8,928 | ) | (8,882 | ) | (7,995 | ) | |||||||||||||||
|
35
|
Treasury stock, at cost
|
(3,953 | ) | (3,912 | ) | (3,911 | ) | (3,910 | ) | (3,909 | ) | |||||||||||||||
|
36
|
Total equity (deficit)
|
(401 | ) | 1,237 | (1,478 | ) | (5,991 | ) | (146 | ) | ||||||||||||||||
|
37
|
Total liabilities and equity (deficit)
|
$ | 2,261,780 | $ | 2,244,916 | $ | 2,195,795 | $ | 2,172,336 | $ | 2,147,216 | |||||||||||||||
3
FREDDIE
MAC
TABLE 1A — NET INTEREST YIELD ANALYSIS (unaudited) (dollars in millions)
TABLE 1A — NET INTEREST YIELD ANALYSIS (unaudited) (dollars in millions)
| Full Year | |||||||||||||||||||||||||||||||||
| 4Q 2010 | 1Q 2011 | 2Q 2011 | 3Q 2011 | 4Q 2011 | 2010 | 2011 | |||||||||||||||||||||||||||
|
Net Interest Income:
|
|||||||||||||||||||||||||||||||||
|
1
|
Net interest income
|
$ | 4,316 | $ | 4,540 | $ | 4,561 | $ | 4,613 | $ | 4,683 | $ | 16,856 | $ | 18,397 | ||||||||||||||||||
|
Average
Balances:(1)
|
|||||||||||||||||||||||||||||||||
|
2
|
Cash and cash equivalents
|
$ | 39,190 | $ | 37,561 | $ | 33,660 | $ | 51,225 | $ | 59,077 | $ | 48,803 | $ | 45,381 | ||||||||||||||||||
|
3
|
Federal funds sold and securities purchased under agreements to
resell
|
46,633 | 47,861 | 32,227 | 16,434 | 13,703 | 46,739 | 27,557 | |||||||||||||||||||||||||
|
Mortgage-related securities:
|
|||||||||||||||||||||||||||||||||
|
4
|
Mortgage-related
securities(2)
|
472,598 | 456,972 | 450,575 | 443,135 | 418,454 | 526,748 | 442,284 | |||||||||||||||||||||||||
|
5
|
Extinguishment of PCs held by Freddie Mac
|
(180,452 | ) | (167,528 | ) | (166,318 | ) | (166,356 | ) | (150,197 | ) | (213,411 | ) | (162,600 | ) | ||||||||||||||||||
|
6
|
Total mortgage-related securities, net
|
292,146 | 289,444 | 284,257 | 276,779 | 268,257 | 313,337 | 279,684 | |||||||||||||||||||||||||
|
7
|
Non-mortgage-related securities
|
30,590 | 29,309 | 26,078 | 18,175 | 24,788 | 27,995 | 24,587 | |||||||||||||||||||||||||
|
8
|
Mortgage loans held by consolidated
trusts(2)(3)
|
1,666,274 | 1,650,567 | 1,643,680 | 1,626,583 | 1,590,993 | 1,722,387 | 1,627,956 | |||||||||||||||||||||||||
|
9
|
Unsecuritized mortgage
loans(3)
|
230,324 | 240,557 | 242,471 | 243,162 | 250,346 | 206,116 | 244,134 | |||||||||||||||||||||||||
|
10
|
Total interest-earning assets
|
2,305,157 | 2,295,299 | 2,262,373 | 2,232,358 | 2,207,164 | 2,365,377 | 2,249,299 | |||||||||||||||||||||||||
|
Debt securities of consolidated trusts:
|
|||||||||||||||||||||||||||||||||
|
11
|
Debt securities of consolidated trusts including PCs
held by Freddie
Mac(2)
|
1,689,180 | 1,665,608 | 1,656,150 | 1,641,905 | 1,612,091 | 1,738,330 | 1,643,939 | |||||||||||||||||||||||||
|
12
|
Extinguishment of PCs held by Freddie Mac
|
(180,452 | ) | (167,528 | ) | (166,318 | ) | (166,356 | ) | (150,197 | ) | (213,411 | ) | (162,600 | ) | ||||||||||||||||||
|
13
|
Total debt securities of
consolidated trusts held by third parties
|
1,508,728 | 1,498,080 | 1,489,832 | 1,475,549 | 1,461,894 | 1,524,919 | 1,481,339 | |||||||||||||||||||||||||
|
Other
debt:(2)
|
|||||||||||||||||||||||||||||||||
|
14
|
Short-term debt
|
201,381 | 194,822 | 194,153 | 188,004 | 168,238 | 219,654 | 186,304 | |||||||||||||||||||||||||
|
15
|
Long-term debt
|
512,123 | 518,034 | 500,587 | 495,188 | 501,559 | 543,306 | 503,842 | |||||||||||||||||||||||||
|
16
|
Total other debt
|
713,504 | 712,856 | 694,740 | 683,192 | 669,797 | 762,960 | 690,146 | |||||||||||||||||||||||||
|
17
|
Total interest-bearing liabilities
|
2,222,232 | 2,210,936 | 2,184,572 | 2,158,741 | 2,131,691 | 2,287,879 | 2,171,485 | |||||||||||||||||||||||||
|
18
|
Net non-interest-bearing funding
|
82,925 | 84,363 | 77,801 | 73,617 | 75,473 | 77,498 | 77,814 | |||||||||||||||||||||||||
|
19
|
Total funding of interest-earning
assets
|
$ | 2,305,157 | $ | 2,295,299 | $ | 2,262,373 | $ | 2,232,358 | $ | 2,207,164 | $ | 2,365,377 | $ | 2,249,299 | ||||||||||||||||||
|
Yield/Cost:
|
|||||||||||||||||||||||||||||||||
|
20
|
Cash and cash equivalents
|
0.18 | % | 0.17 | % | 0.12 | % | 0.03 | % | 0.02 | % | 0.16 | % | 0.07 | % | ||||||||||||||||||
|
21
|
Federal funds sold and securities purchased under agreements to
resell
|
0.19 | 0.15 | 0.09 | 0.08 | 0.10 | 0.17 | 0.12 | |||||||||||||||||||||||||
|
Mortgage-related securities:
|
|||||||||||||||||||||||||||||||||
|
22
|
Mortgage-related securities
|
4.74 | 4.65 | 4.63 | 4.56 | 4.57 | 4.82 | 4.60 | |||||||||||||||||||||||||
|
23
|
Extinguishment of PCs held by Freddie Mac
|
(5.06 | ) | (4.93 | ) | (4.73 | ) | (4.61 | ) | (4.58 | ) | (5.24 | ) | (4.71 | ) | ||||||||||||||||||
|
24
|
Total mortgage-related securities,
net
|
4.54 | 4.50 | 4.57 | 4.53 | 4.56 | 4.53 | 4.54 | |||||||||||||||||||||||||
|
25
|
Non-mortgage-related securities
|
0.43 | 0.41 | 0.39 | 0.40 | 0.41 | 0.68 | 0.40 | |||||||||||||||||||||||||
|
26
|
Mortgage loans held by consolidated trusts
|
4.89 | 4.86 | 4.81 | 4.71 | 4.57 | 5.03 | 4.74 | |||||||||||||||||||||||||
|
27
|
Unsecuritized mortgage loans
|
3.96 | 3.88 | 3.75 | 3.75 | 3.57 | 4.23 | 3.74 | |||||||||||||||||||||||||
|
28
|
Yield on total interest-earning assets
|
4.52 | 4.48 | 4.48 | 4.41 | 4.26 | 4.65 | 4.41 | |||||||||||||||||||||||||
|
Debt securities of consolidated trusts:
|
|||||||||||||||||||||||||||||||||
|
29
|
Debt securities of consolidated trusts including PCs
held by Freddie Mac
|
(4.76 | ) | (4.67 | ) | (4.64 | ) | (4.54 | ) | (4.33 | ) | (4.97 | ) | (4.55 | ) | ||||||||||||||||||
|
30
|
Extinguishment of PCs held by Freddie Mac
|
5.06 | 4.93 | 4.73 | 4.61 | 4.58 | 5.24 | 4.71 | |||||||||||||||||||||||||
|
31
|
Total debt securities of
consolidated trusts held by third parties
|
(4.72 | ) | (4.65 | ) | (4.63 | ) | (4.53 | ) | (4.31 | ) | (4.93 | ) | (4.53 | ) | ||||||||||||||||||
|
Other debt:
|
|||||||||||||||||||||||||||||||||
|
32
|
Short-term debt
|
(0.25 | ) | (0.24 | ) | (0.19 | ) | (0.14 | ) | (0.12 | ) | (0.25 | ) | (0.18 | ) | ||||||||||||||||||
|
33
|
Long-term debt
|
(2.78 | ) | (2.66 | ) | (2.59 | ) | (2.42 | ) | (2.27 | ) | (3.01 | ) | (2.49 | ) | ||||||||||||||||||
|
34
|
Total other debt
|
(2.07 | ) | (2.00 | ) | (1.92 | ) | (1.79 | ) | (1.73 | ) | (2.22 | ) | (1.86 | ) | ||||||||||||||||||
|
35
|
Cost of interest-bearing liabilities
|
(3.87 | ) | (3.79 | ) | (3.77 | ) | (3.67 | ) | (3.50 | ) | (4.03 | ) | (3.68 | ) | ||||||||||||||||||
|
36
|
Expense related to derivatives
|
(0.04 | ) | (0.04 | ) | (0.03 | ) | (0.03 | ) | (0.03 | ) | (0.04 | ) | (0.04 | ) | ||||||||||||||||||
|
37
|
Impact of net non-interest-bearing funding
|
0.14 | 0.14 | 0.13 | 0.12 | 0.12 | 0.13 | 0.13 | |||||||||||||||||||||||||
|
38
|
Total funding of interest-earning assets
|
(3.77 | ) | (3.69 | ) | (3.67 | ) | (3.58 | ) | (3.41 | ) | (3.94 | ) | (3.59 | ) | ||||||||||||||||||
|
39
|
Net interest yield (annualized)
|
0.75 | 0.79 | 0.81 | 0.83 | 0.85 | 0.71 | 0.82 | |||||||||||||||||||||||||
| (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. |
4
FREDDIE
MAC
TABLE 1B — NET INTEREST INCOME (unaudited) (dollars in millions)
TABLE 1B — NET INTEREST INCOME (unaudited) (dollars in millions)
| Full Year | |||||||||||||||||||||||||||||||||||||||
| 4Q 2010 | 1Q 2011 | 2Q 2011 | 3Q 2011 | 4Q 2011 | 2010 | 2011 | |||||||||||||||||||||||||||||||||
|
Net Interest Income:
|
|||||||||||||||||||||||||||||||||||||||
|
1
|
Contractual amounts of net interest
income(1)
|
$ | 4,353 | $ | 4,479 | $ | 4,675 | $ | 4,758 | $ | 4,536 | $ | 17,743 | $ | 18,448 | ||||||||||||||||||||||||
|
Amortization income (expense),
net:(2)
|
|||||||||||||||||||||||||||||||||||||||
|
2
|
Accretion of impairments on available-for-sale
securities(3)
|
69 | 29 | 31 | 18 | 37 | 392 | 115 | |||||||||||||||||||||||||||||||
|
Asset-related amortization income (expense), net:
|
|||||||||||||||||||||||||||||||||||||||
|
3
|
Mortgage loans held by consolidated trusts
|
(452 | ) | (272 | ) | (297 | ) | (539 | ) | (834 | ) | (712 | ) | (1,942 | ) | ||||||||||||||||||||||||
|
4
|
Unsecuritized mortgage loans
|
67 | 56 | 48 | 45 | 33 | 311 | 182 | |||||||||||||||||||||||||||||||
|
5
|
Mortgage-related securities
|
(31 | ) | (41 | ) | (83 | ) | (83 | ) | (32 | ) | (272 | ) | (239 | ) | ||||||||||||||||||||||||
|
6
|
Other assets
|
(13 | ) | (14 | ) | (27 | ) | (31 | ) | (50 | ) | (23 | ) | (122 | ) | ||||||||||||||||||||||||
|
7
|
Asset-related amortization expense, net
|
(429 | ) | (271 | ) | (359 | ) | (608 | ) | (883 | ) | (696 | ) | (2,121 | ) | ||||||||||||||||||||||||
|
Debt-related amortization income (expense), net:
|
|||||||||||||||||||||||||||||||||||||||
|
8
|
Debt securities of consolidated trusts
|
711 | 667 | 573 | 801 | 1,342 | 1,152 | 3,383 | |||||||||||||||||||||||||||||||
|
9
|
Other long-term debt securities
|
(164 | ) | (157 | ) | (165 | ) | (176 | ) | (175 | ) | (766 | ) | (673 | ) | ||||||||||||||||||||||||
|
10
|
Debt-related amortization income, net
|
547 | 510 | 408 | 625 | 1,167 | 386 | 2,710 | |||||||||||||||||||||||||||||||
|
11
|
Total amortization income, net
|
187 | 268 | 80 | 35 | 321 | 82 | 704 | |||||||||||||||||||||||||||||||
|
12
|
Expense related to
derivatives(4)
|
(224 | ) | (207 | ) | (194 | ) | (180 | ) | (174 | ) | (969 | ) | (755 | ) | ||||||||||||||||||||||||
|
13
|
Net interest income
|
$ | 4,316 | $ | 4,540 | $ | 4,561 | $ | 4,613 | $ | 4,683 | $ | 16,856 | $ | 18,397 | ||||||||||||||||||||||||
| (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 closed cash flow hedge relationships related to individual debt issuances and mortgage purchase transactions. |
| (3) | The portion of the impairment charges recognized in earnings where we expect a significant improvement in cash flows. |
| (4) | Represents changes in fair value of derivatives in closed 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. |
5
FREDDIE
MAC
TABLE 2 — NON-INTEREST INCOME (LOSS) (unaudited) (dollars in millions)
TABLE 2 — NON-INTEREST INCOME (LOSS) (unaudited) (dollars in millions)
| Full Year | |||||||||||||||||||||||||||||||||||||||
| 4Q 2010 | 1Q 2011 | 2Q 2011 | 3Q 2011 | 4Q 2011 | 2010 | 2011 | |||||||||||||||||||||||||||||||||
|
Non-Interest Income (Loss):
|
|||||||||||||||||||||||||||||||||||||||
|
1
|
Gains (losses) on extinguishment of debt securities of
consolidated trusts
|
$ | (4 | ) | $ | 223 | $ | (125 | ) | $ | (310 | ) | $ | (7 | ) | $ | (164 | ) | $ | (219 | ) | ||||||||||||||||||
|
2
|
Gains (losses) on retirement of other debt
|
10 | 12 | 3 | 19 | 10 | (219 | ) | 44 | ||||||||||||||||||||||||||||||
|
Gains (losses) on debt recorded at fair value:
|
|||||||||||||||||||||||||||||||||||||||
|
3
|
Translation gains (losses)
|
35 | (117 | ) | (46 | ) | 146 | 57 | 461 | 40 | |||||||||||||||||||||||||||||
|
4
|
Market value adjustments
|
20 | 36 | 9 | (13 | ) | 19 | 119 | 51 | ||||||||||||||||||||||||||||||
|
5
|
Total gains (losses) on debt recorded at fair value
|
55 | (81 | ) | (37 | ) | 133 | 76 | 580 | 91 | |||||||||||||||||||||||||||||
|
Derivative gains (losses):
|
|||||||||||||||||||||||||||||||||||||||
|
Foreign-currency denominated derivatives gains (losses):
|
|||||||||||||||||||||||||||||||||||||||
|
6
|
Foreign-currency swaps gains (losses)
|
(35 | ) | 109 | 47 | (141 | ) | (56 | ) | (468 | ) | (41 | ) | ||||||||||||||||||||||||||
|
7
|
Receive-fixed swaps — foreign-currency denominated
gains (losses)
|
(23 | ) | (37 | ) | (3 | ) | 3 | (12 | ) | (119 | ) | (49 | ) | |||||||||||||||||||||||||
|
8
|
U.S. dollar denominated derivative gains (losses)
|
2,615 | 750 | (2,499 | ) | (3,345 | ) | 464 | (3,004 | ) | (4,630 | ) | |||||||||||||||||||||||||||
|
9
|
Accrual of periodic settlements
|
(989 | ) | (1,249 | ) | (1,352 | ) | (1,269 | ) | (1,162 | ) | (4,494 | ) | (5,032 | ) | ||||||||||||||||||||||||
|
10
|
Total derivative gains (losses)
|
1,568 | (427 | ) | (3,807 | ) | (4,752 | ) | (766 | ) | (8,085 | ) | (9,752 | ) | |||||||||||||||||||||||||
|
Impairment of available-for-sale securities:
|
|||||||||||||||||||||||||||||||||||||||
|
11
|
Total other-than-temporary impairment of available-for-sale
securities
|
(724 | ) | (1,054 | ) | (230 | ) | (459 | ) | (358 | ) | (1,778 | ) | (2,101 | ) | ||||||||||||||||||||||||
|
12
|
Portion of other-than-temporary impairment recognized in AOCI
|
(1,546 | ) | (139 | ) | (122 | ) | 298 | (237 | ) | (2,530 | ) | (200 | ) | |||||||||||||||||||||||||
|
13
|
Net impairment of available-for-sale securities recognized in
earnings
|
(2,270 | ) | (1,193 | ) | (352 | ) | (161 | ) | (595 | ) | (4,308 | ) | (2,301 | ) | ||||||||||||||||||||||||
|
Other gains (losses) on investment securities recognized in
earnings:
|
|||||||||||||||||||||||||||||||||||||||
|
14
|
Gains (losses) on trading securities
|
(84 | ) | (200 | ) | 274 | (547 | ) | (481 | ) | (1,339 | ) | (954 | ) | |||||||||||||||||||||||||
|
15
|
Gains (losses) on sale of available-for-sale securities
|
8 | 80 | (65 | ) | 6 | 37 | 87 | 58 | ||||||||||||||||||||||||||||||
|
16
|
Total other gains (losses) on investment securities recognized
in earnings
|
(76 | ) | (120 | ) | 209 | (541 | ) | (444 | ) | (1,252 | ) | (896 | ) | |||||||||||||||||||||||||
|
Other income:
|
|||||||||||||||||||||||||||||||||||||||
|
17
|
Guarantee-related income
|
40 | 54 | 81 | 40 | 70 | 217 | 245 | |||||||||||||||||||||||||||||||
|
18
|
Gains (losses) on sale of mortgage loans
|
23 | 95 | 161 | 46 | 109 | 267 | 411 | |||||||||||||||||||||||||||||||
|
19
|
Gains (losses) on mortgage loans recorded at fair value
|
(403 | ) | (33 | ) | 136 | 216 | 99 | (249 | ) | 418 | ||||||||||||||||||||||||||||
|
20
|
Recoveries on loans impaired upon purchase
|
163 | 125 | 132 | 119 | 97 | 806 | 473 | |||||||||||||||||||||||||||||||
|
21
|
All other
|
433 | 93 | (258 | ) | 393 | 380 | 819 | 608 | ||||||||||||||||||||||||||||||
|
22
|
Total other income
|
256 | 334 | 252 | 814 | 755 | 1,860 | 2,155 | |||||||||||||||||||||||||||||||
|
23
|
Total non-interest income (loss)
|
$ | (461 | ) | $ | (1,252 | ) | $ | (3,857 | ) | $ | (4,798 | ) | $ | (971 | ) | $ | (11,588 | ) | $ | (10,878 | ) | |||||||||||||||||
6
FREDDIE
MAC
TABLE 3 — CREDIT QUALITY INDICATORS (unaudited) (dollars in millions)
TABLE 3 — CREDIT QUALITY INDICATORS (unaudited) (dollars in millions)
| Full Year | |||||||||||||||||||||||||||||||||
| 4Q 2010 | 1Q 2011 | 2Q 2011 | 3Q 2011 | 4Q 2011 | 2010 | 2011 | |||||||||||||||||||||||||||
|
Credit Enhancements:
|
|||||||||||||||||||||||||||||||||
|
1
|
Credit-enhanced percentage of mortgage loan portfolio purchases
|
6 | % | 7 | % | 9 | % | 10 | % | 7 | % | 9 | % | 8 | % | ||||||||||||||||||
|
2
|
Credit-enhanced percentage of mortgage loan
portfolio(1)
(period end) |
15 | % | 15 | % | 15 | % | 14 | % | 14 | % | 15 | % | 14 | % | ||||||||||||||||||
|
Delinquencies Rates: at period
end(2)(3)
|
|||||||||||||||||||||||||||||||||
|
Single-family:
|
|||||||||||||||||||||||||||||||||
|
3
|
Non-credit-enhanced
|
3.01 | % | 2.85 | % | 2.75 | % | 2.77 | % | 2.84 | % | 3.01 | % | 2.84 | % | ||||||||||||||||||
|
4
|
Credit-enhanced
|
8.27 | % | 7.87 | % | 7.67 | % | 7.70 | % | 8.03 | % | 8.27 | % | 8.03 | % | ||||||||||||||||||
|
5
|
Total Single-family
|
3.84 | % | 3.63 | % | 3.50 | % | 3.51 | % | 3.58 | % | 3.84 | % | 3.58 | % | ||||||||||||||||||
|
Multifamily:
|
|||||||||||||||||||||||||||||||||
|
6
|
Non-credit-enhanced
|
0.12 | % | 0.25 | % | 0.19 | % | 0.18 | % | 0.11 | % | 0.12 | % | 0.11 | % | ||||||||||||||||||
|
7
|
Credit enhanced
|
0.85 | % | 0.75 | % | 0.70 | % | 0.77 | % | 0.52 | % | 0.85 | % | 0.52 | % | ||||||||||||||||||
|
8
|
Total Multifamily
|
0.26 | % | 0.36 | % | 0.31 | % | 0.33 | % | 0.22 | % | 0.26 | % | 0.22 | % | ||||||||||||||||||
|
Single-family loan
workouts(4)
(number of units):
|
|||||||||||||||||||||||||||||||||
|
9
|
Loan modifications
|
37,203 | 35,158 | 31,049 | 23,919 | 19,048 | 170,277 | 109,174 | |||||||||||||||||||||||||
|
10
|
Repayment plans
|
7,964 | 9,099 | 7,981 | 8,333 | 8,008 | 31,210 | 33,421 | |||||||||||||||||||||||||
|
11
|
Forbearance agreements
|
5,945 | 7,678 | 3,709 | 4,262 | 3,867 | 34,594 | 19,516 | |||||||||||||||||||||||||
|
12
|
Short sales and deed-in-lieu transactions
|
12,097 | 10,706 | 11,038 | 11,744 | 12,675 | 39,175 | 46,163 | |||||||||||||||||||||||||
|
13
|
Total single-family loan workouts
|
63,209 | 62,641 | 53,777 | 48,258 | 43,598 | 275,256 | 208,274 | |||||||||||||||||||||||||
|
Non-performing
assets(3)
(at period end):
|
|||||||||||||||||||||||||||||||||
|
14
|
Non-performing mortgage loans
|
$ | 118,337 | $ | 118,062 | $ | 117,929 | $ | 122,273 | $ | 123,472 | $ | 118,337 | $ | 123,472 | ||||||||||||||||||
|
15
|
REO assets, net
|
7,068 | 6,376 | 5,932 | 5,630 | 5,680 | 7,068 | 5,680 | |||||||||||||||||||||||||
|
16
|
Total non-performing assets
|
$ | 125,405 | $ | 124,438 | $ | 123,861 | $ | 127,903 | $ | 129,152 | $ | 125,405 | $ | 129,152 | ||||||||||||||||||
|
REO Operations Income (Expense):
|
|||||||||||||||||||||||||||||||||
|
17
|
Single-family
|
$ | (224 | ) | $ | (257 | ) | $ | (35 | ) | $ | (226 | ) | $ | (78 | ) | $ | (676 | ) | $ | (596 | ) | |||||||||||
|
18
|
Multifamily
|
7 | — | 8 | 5 | (2 | ) | 3 | 11 | ||||||||||||||||||||||||
|
19
|
Total
|
$ | (217 | ) | $ | (257 | ) | $ | (27 | ) | $ | (221 | ) | $ | (80 | ) | $ | (673 | ) | $ | (585 | ) | |||||||||||
|
Loan Loss
Reserves:(5)
|
|||||||||||||||||||||||||||||||||
|
20
|
Beginning balance
|
$ | 38,596 | $ | 39,926 | $ | 39,305 | $ | 39,095 | $ | 39,744 | $ | 33,857 | $ | 39,926 | ||||||||||||||||||
|
21
|
Adjustments to beginning
balance(6)
|
— | — | — | — | — | (186 | ) | — | ||||||||||||||||||||||||
|
22
|
Provision for credit
losses(7)
|
3,066 | 1,989 | 2,529 | 3,606 | 2,578 | 17,218 | 10,702 | |||||||||||||||||||||||||
|
23
|
Charge-offs — single-family, net
|
(2,751 | ) | (2,863 | ) | (2,968 | ) | (3,114 | ) | (3,026 | ) | (12,856 | ) | (11,971 | ) | ||||||||||||||||||
|
24
|
Charge-offs — multifamily, net
|
(35 | ) | (12 | ) | (29 | ) | (8 | ) | (25 | ) | (103 | ) | (74 | ) | ||||||||||||||||||
|
25
|
Transfers, net
|
1,050 | 265 | 258 | 165 | 190 | 1,996 | 878 | |||||||||||||||||||||||||
|
26
|
Ending balance
|
$ | 39,926 | $ | 39,305 | $ | 39,095 | $ | 39,744 | $ | 39,461 | $ | 39,926 | $ | 39,461 | ||||||||||||||||||
|
Credit
Losses:(8)
|
|||||||||||||||||||||||||||||||||
|
27
|
Credit losses
|
$ | 3,114 | $ | 3,238 | $ | 3,127 | $ | 3,451 | $ | 3,236 | $ | 14,160 | $ | 13,052 | ||||||||||||||||||
|
28
|
Annualized credit losses / average mortgage loan
portfolio(9)
|
64.5 bps | 67.1 bps | 64.9 bps | 72.1 bps | 68.5 bps | 72.2 bps | 68.1 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 2011 Form 10-K for the year ended December 31, 2011, 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 and the MHA Program” in our 2011 Form 10-K for the year ended December 31, 2011. |
| (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 year ended December 31, 2010 include a correction of a prior period error. The cumulative effect of this error was recorded in the second quarter of 2010, and 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. |
7
FREDDIE
MAC
TABLE 4A — SEGMENT EARNINGS — CONSOLIDATED(1)(2) (unaudited) (dollars in millions)
TABLE 4A — SEGMENT EARNINGS — CONSOLIDATED(1)(2) (unaudited) (dollars in millions)
| Full Year | |||||||||||||||||||||||||||||||||
| 4Q 2010 | 1Q 2011 | 2Q 2011 | 3Q 2011 | 4Q 2011 | 2010 | 2011 | |||||||||||||||||||||||||||
|
Segment Earnings, net of taxes:
|
|||||||||||||||||||||||||||||||||
|
1
|
Investments
|
$ | 2,691 | $ | 2,137 | $ | 10 | $ | (1,079 | ) | $ | 2,298 | $ | 1,251 | $ | 3,366 | |||||||||||||||||
|
2
|
Single-family Guarantee
|
(3,017 | ) | (1,820 | ) | (2,386 | ) | (3,545 | ) | (2,249 | ) | (16,256 | ) | (10,000 | ) | ||||||||||||||||||
|
3
|
Multifamily
|
213 | 359 | 200 | 205 | 555 | 965 | 1,319 | |||||||||||||||||||||||||
|
4
|
All Other
|
— | — | 37 | (3 | ) | 15 | 15 | 49 | ||||||||||||||||||||||||
|
5
|
Total Segment Earnings
(loss), net of taxes
|
$ | (113 | ) | $ | 676 | $ | (2,139 | ) | $ | (4,422 | ) | $ | 619 | $ | (14,025 | ) | $ | (5,266 | ) | |||||||||||||
|
Total Comprehensive Income (Loss) of Segments:
|
|||||||||||||||||||||||||||||||||
|
6
|
Investments segment
|
$ | 2,866 | $ | 3,263 | $ | 643 | $ | 268 | $ | 2,299 | $ | 11,477 | $ | 6,473 | ||||||||||||||||||
|
7
|
Single-family Guarantee segment
|
(3,009 | ) | (1,824 | ) | (2,385 | ) | (3,545 | ) | (2,216 | ) | (16,250 | ) | (9,970 | ) | ||||||||||||||||||
|
8
|
Multifamily segment
|
1,299 | 1,301 | 605 | (1,096 | ) | 1,408 | 5,040 | 2,218 | ||||||||||||||||||||||||
|
9
|
All Other
|
— | — | 37 | (3 | ) | 15 | 15 | 49 | ||||||||||||||||||||||||
|
10
|
Total comprehensive
income (loss) of segments
|
$ | 1,156 | $ | 2,740 | $ | (1,100 | ) | $ | (4,376 | ) | $ | 1,506 | $ | 282 | $ | (1,230 | ) | |||||||||||||||
|
Net interest yield — Segment Earnings
(annualized):
|
|||||||||||||||||||||||||||||||||
|
11
|
Investments segment
|
113 bps | 110 bps | 126 bps | 134 bps | 138 bps | 96 bps | 127 bps | |||||||||||||||||||||||||
|
12
|
Multifamily segment
|
86 bps | 75 bps | 83 bps | 87 bps | 85 bps | 77 bps | 83 bps | |||||||||||||||||||||||||
|
Management and guarantee income — Segment
Earnings (annualized):
|
|||||||||||||||||||||||||||||||||
|
13
|
Single-family Guarantee segment
|
21.9 bps | 19.1 bps | 18.7 bps | 20.3 bps | 23.0 bps | 19.5 bps | 20.2 bps | |||||||||||||||||||||||||
|
14
|
Multifamily segment
|
48.6 bps | 46.8 bps | 43.0 bps | 41.5 bps | 39.7 bps | 50.1 bps | 42.4 bps | |||||||||||||||||||||||||
|
Credit losses — Segment Earnings
(annualized):
|
|||||||||||||||||||||||||||||||||
|
15
|
Single-family Guarantee segment
|
67.7 bps | 71.0 bps | 68.4 bps | 76.3 bps | 72.4 bps | 75.8 bps | 72.0 bps | |||||||||||||||||||||||||
|
16
|
Multifamily segment
|
10.7 bps | 4.2 bps | 7.6 bps | 4.0 bps | 9.1 bps | 9.6 bps | 6.3 bps | |||||||||||||||||||||||||
| (1) | See “NOTE 14: SEGMENT REPORTING” in our Form 10-K for the year ended December 31, 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. |
8
FREDDIE
MAC
TABLE 4B — SEGMENT EARNINGS — INVESTMENTS SEGMENT(1)(2) (unaudited) (dollars in millions)
TABLE 4B — SEGMENT EARNINGS — INVESTMENTS SEGMENT(1)(2) (unaudited) (dollars in millions)
| Full Year | |||||||||||||||||||||||||||||||||
| 4Q 2010 | 1Q 2011 | 2Q 2011 | 3Q 2011 | 4Q 2011 | 2010 | 2011 | |||||||||||||||||||||||||||
|
Segment Earnings, net of taxes:
|
|||||||||||||||||||||||||||||||||
|
1
|
Net interest income
|
$ | 1,705 | $ | 1,653 | $ | 1,826 | $ | 1,905 | $ | 1,955 | $ | 6,192 | $ | 7,339 | ||||||||||||||||||
|
Non-interest income (loss):
|
|||||||||||||||||||||||||||||||||
|
2
|
Net impairment of
available-for-sale
securities |
(2,182 | ) | (1,029 | ) | (139 | ) | (116 | ) | (549 | ) | (3,819 | ) | (1,833 | ) | ||||||||||||||||||
|
3
|
Derivative gains (losses)
|
2,844 | 1,103 | (2,156 | ) | (3,144 | ) | 600 | (1,859 | ) | (3,597 | ) | |||||||||||||||||||||
|
4
|
Gains (losses) on trading
securities
|
(60 | ) | (234 | ) | 256 | (525 | ) | (490 | ) | (1,386 | ) | (993 | ) | |||||||||||||||||||
|
5
|
Gains (losses) on sale of mortgage
loans
|
(26 | ) | 12 | 4 | — | 12 | (76 | ) | 28 | |||||||||||||||||||||||
|
6
|
Gains (losses) on mortgage loans
recorded at fair value
|
(259 | ) | (83 | ) | 167 | 358 | 59 | 34 | 501 | |||||||||||||||||||||||
|
7
|
Other non-interest income (loss)
|
436 | 541 | (184 | ) | 345 | 564 | 1,023 | 1,266 | ||||||||||||||||||||||||
|
8
|
Total non-interest
income (loss)
|
753 | 310 | (2,052 | ) | (3,082 | ) | 196 | (6,083 | ) | (4,628 | ) | |||||||||||||||||||||
|
Non-interest expense:
|
|||||||||||||||||||||||||||||||||
|
9
|
Administrative expenses
|
(112 | ) | (95 | ) | (101 | ) | (97 | ) | (105 | ) | (455 | ) | (398 | ) | ||||||||||||||||||
|
10
|
Other non-interest expense
|
(4 | ) | — | (1 | ) | (1 | ) | — | (18 | ) | (2 | ) | ||||||||||||||||||||
|
11
|
Total non-interest
expense
|
(116 | ) | (95 | ) | (102 | ) | (98 | ) | (105 | ) | (473 | ) | (400 | ) | ||||||||||||||||||
|
12
|
Segment adjustments
|
282 | 203 | 126 | 137 | 195 | 1,358 | 661 | |||||||||||||||||||||||||
|
13
|
Segment Earnings (loss) before income tax (expense)
benefit
|
2,624 | 2,071 | (202 | ) | (1,138 | ) | 2,241 | 994 | 2,972 | |||||||||||||||||||||||
|
14
|
Income tax benefit
|
67 | 66 | 212 | 59 | 57 | 259 | 394 | |||||||||||||||||||||||||
|
15
|
Segment Earnings (loss), net of taxes, including
noncontrolling interest
|
2,691 | 2,137 | 10 | (1,079 | ) | 2,298 | 1,253 | 3,366 | ||||||||||||||||||||||||
|
16
|
Less: Net income — noncontrolling interest
|
— | — | — | — | — | (2 | ) | — | ||||||||||||||||||||||||
|
17
|
Segment Earnings (loss), net of taxes
|
2,691 | 2,137 | 10 | (1,079 | ) | 2,298 | 1,251 | 3,366 | ||||||||||||||||||||||||
|
18
|
Total other comprehensive income (loss), net of taxes
|
175 | 1,126 | 633 | 1,347 | 1 | 10,226 | 3,107 | |||||||||||||||||||||||||
|
19
|
Total comprehensive income — Investments segment
|
$ | 2,866 | $ | 3,263 | $ | 643 | $ | 268 | $ | 2,299 | $ | 11,477 | $ | 6,473 | ||||||||||||||||||
|
20
|
Net interest yield — Segment Earnings
(annualized)
|
113 bps | 110 bps | 126 bps | 134 bps | 138 bps | 96 bps | 127 bps | |||||||||||||||||||||||||
| (1) | See “NOTE 14: SEGMENT REPORTING” in our Form 10-K for the year ended December 31, 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. |
9
FREDDIE
MAC
TABLE 4C — SEGMENT EARNINGS — SINGLE-FAMILY GUARANTEE SEGMENT(1)(2) (unaudited) (dollars in millions)
TABLE 4C — SEGMENT EARNINGS — SINGLE-FAMILY GUARANTEE SEGMENT(1)(2) (unaudited) (dollars in millions)
| Full Year | |||||||||||||||||||||||||||||||||
| 4Q 2010 | 1Q 2011 | 2Q 2011 | 3Q 2011 | 4Q 2011 | 2010 | 2011 | |||||||||||||||||||||||||||
|
Segment Earnings, net of taxes:
|
|||||||||||||||||||||||||||||||||
|
1
|
Net interest income (expense)
|
$ | (34 | ) | $ | 100 | $ | (30 | ) | $ | (98 | ) | $ | 5 | $ | 72 | $ | (23 | ) | ||||||||||||||
|
2
|
Provision for credit
losses(3)
|
(3,470 | ) | (2,284 | ) | (2,886 | ) | (4,008 | ) | (3,116 | ) | (18,785 | ) | (12,294 | ) | ||||||||||||||||||
|
Non-interest income:
|
|||||||||||||||||||||||||||||||||
|
3
|
Management and guarantee income
|
1,000 | 870 | 848 | 913 | 1,016 | 3,635 | 3,647 | |||||||||||||||||||||||||
|
4
|
Other non-interest income
|
566 | 211 | 208 | 331 | 466 | 1,351 | 1,216 | |||||||||||||||||||||||||
|
5
|
Total non-interest
income
|
1,566 | 1,081 | 1,056 | 1,244 | 1,482 | 4,986 | 4,863 | |||||||||||||||||||||||||
|
Non-interest expense:
|
|||||||||||||||||||||||||||||||||
|
6
|
Administrative expenses
|
(235 | ) | (215 | ) | (228 | ) | (227 | ) | (218 | ) | (930 | ) | (888 | ) | ||||||||||||||||||
|
7
|
REO operations expense
|
(224 | ) | (257 | ) | (35 | ) | (226 | ) | (78 | ) | (676 | ) | (596 | ) | ||||||||||||||||||
|
8
|
Other non-interest expense
|
(324 | ) | (66 | ) | (106 | ) | (69 | ) | (80 | ) | (578 | ) | (321 | ) | ||||||||||||||||||
|
9
|
Total non-interest
expense
|
(783 | ) | (538 | ) | (369 | ) | (522 | ) | (376 | ) | (2,184 | ) | (1,805 | ) | ||||||||||||||||||
|
10
|
Segment adjustments
|
(287 | ) | (185 | ) | (143 | ) | (161 | ) | (210 | ) | (953 | ) | (699 | ) | ||||||||||||||||||
|
11
|
Segment Earnings (loss) before income tax (expense)
benefit
|
(3,008 | ) | (1,826 | ) | (2,372 | ) | (3,545 | ) | (2,215 | ) | (16,864 | ) | (9,958 | ) | ||||||||||||||||||
|
12
|
Income tax (expense) benefit
|
(9 | ) | 6 | (14 | ) | — | (34 | ) | 608 | (42 | ) | |||||||||||||||||||||
|
13
|
Segment Earnings
(loss), net of taxes
|
(3,017 | ) | (1,820 | ) | (2,386 | ) | (3,545 | ) | (2,249 | ) | (16,256 | ) | (10,000 | ) | ||||||||||||||||||
|
14
|
Total other comprehensive income (loss), net of taxes
|
8 | (4 | ) | 1 | — | 33 | 6 | 30 | ||||||||||||||||||||||||
|
15
|
Total comprehensive income (loss) — Single-family
Guarantee segment
|
$ | (3,009 | ) | $ | (1,824 | ) | $ | (2,385 | ) | $ | (3,545 | ) | $ | (2,216 | ) | $ | (16,250 | ) | $ | (9,970 | ) | |||||||||||
|
Management and guarantee income — Segment
Earnings:
|
|||||||||||||||||||||||||||||||||
|
16
|
Contractual management and guarantee fees
(annualized rate)
|
13.7 bps | 13.6 bps | 13.7 bps | 13.8 bps | 14.1 bps | 13.5 bps | 13.7 bps | |||||||||||||||||||||||||
|
17
|
Amortization of delivery fees (annualized rate)
|
8.2 bps | 5.5 bps | 5.0 bps | 6.5 bps | 8.9 bps | 6.0 bps | 6.5 bps | |||||||||||||||||||||||||
|
18
|
Segment Earnings
management and
guarantee income (annualized rate) |
21.9 bps | 19.1 bps | 18.7 bps | 20.3 bps | 23.0 bps | 19.5 bps | 20.2 bps | |||||||||||||||||||||||||
|
Credit losses — Segment Earnings:
|
|||||||||||||||||||||||||||||||||
|
19
|
Annualized credit losses/average single-family
credit guarantee portfolio and HFA-related guarantees
|
67.7 bps | 71.0 bps | 68.4 bps | 76.3 bps | 72.4 bps | 75.8 bps | 72.0 bps | |||||||||||||||||||||||||
| (1) | See “NOTE 14: SEGMENT REPORTING” in our Form 10-K for the year ended December 31, 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 year ended December 31, 2010 include the correction of a prior period error. The cumulative effect of this error was recorded in the second quarter of 2010, and 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. |
10
FREDDIE
MAC
TABLE 4D — SEGMENT EARNINGS — MULTIFAMILY SEGMENT(1)(2) (unaudited) (dollars in millions)
TABLE 4D — SEGMENT EARNINGS — MULTIFAMILY SEGMENT(1)(2) (unaudited) (dollars in millions)
| Full Year | |||||||||||||||||||||||||||||||||
| 4Q 2010 | 1Q 2011 | 2Q 2011 | 3Q 2011 | 4Q 2011 | 2010 | 2011 | |||||||||||||||||||||||||||
|
Segment Earnings, net of taxes:
|
|||||||||||||||||||||||||||||||||
|
1
|
Net interest income
|
$ | 308 | $ | 279 | $ | 304 | $ | 314 | $ | 303 | $ | 1,114 | $ | 1,200 | ||||||||||||||||||
|
2
|
(Provision) benefit for credit losses
|
68 | 60 | 13 | 37 | 86 | (99 | ) | 196 | ||||||||||||||||||||||||
|
Non-interest income (loss):
|
|||||||||||||||||||||||||||||||||
|
3
|
Management and guarantee income
|
27 | 28 | 30 | 32 | 37 | 101 | 127 | |||||||||||||||||||||||||
|
4
|
Net impairment of available-for-sale
securities
|
(19 | ) | (135 | ) | (182 | ) | (27 | ) | (9 | ) | (96 | ) | (353 | ) | ||||||||||||||||||
|
5
|
Derivative gains (losses)
|
1 | 2 | 2 | (1 | ) | — | 6 | 3 | ||||||||||||||||||||||||
|
6
|
Gains (losses) on sale of mortgage
loans
|
49 | 83 | 157 | 46 | 97 | 343 | 383 | |||||||||||||||||||||||||
|
7
|
Gains (losses) on Mortgage loans
recorded at fair value
|
(144 | ) | 50 | (31 | ) | (142 | ) | 40 | (283 | ) | (83 | ) | ||||||||||||||||||||
|
8
|
Other non-interest income (loss)
|
(16 | ) | 54 | (15 | ) | 13 | 73 | 177 | 125 | |||||||||||||||||||||||
|
9
|
Total non-interest
income (loss)
|
(102 | ) | 82 | (39 | ) | (79 | ) | 238 | 248 | 202 | ||||||||||||||||||||||
|
Non-interest expense:
|
|||||||||||||||||||||||||||||||||
|
10
|
Administrative expenses
|
(53 | ) | (51 | ) | (55 | ) | (57 | ) | (57 | ) | (212 | ) | (220 | ) | ||||||||||||||||||
|
11
|
REO operations income (expense)
|
7 | — | 8 | 5 | (2 | ) | 3 | 11 | ||||||||||||||||||||||||
|
12
|
Other non-interest expense
|
(13 | ) | (13 | ) | (28 | ) | (15 | ) | (13 | ) | (66 | ) | (69 | ) | ||||||||||||||||||
|
13
|
Total non-interest
expense
|
(59 | ) | (64 | ) | (75 | ) | (67 | ) | (72 | ) | (275 | ) | (278 | ) | ||||||||||||||||||
|
14
|
Segment Earnings before income tax benefit (expense)
|
215 | 357 | 203 | 205 | 555 | 988 | 1,320 | |||||||||||||||||||||||||
|
15
|
Income tax benefit (expense)
|
(2 | ) | 2 | (3 | ) | — | — | (26 | ) | (1 | ) | |||||||||||||||||||||
|
16
|
Segment Earnings, net of taxes, including
noncontrolling interest
|
213 | 359 | 200 | 205 | 555 | 962 | 1,319 | |||||||||||||||||||||||||
|
17
|
Less: Net (income) loss — noncontrolling
interest
|
— | — | — | — | — | 3 | — | |||||||||||||||||||||||||
|
18
|
Segment Earnings, net of taxes
|
213 | 359 | 200 | 205 | 555 | 965 | 1,319 | |||||||||||||||||||||||||
|
19
|
Total other comprehensive income, net of taxes
|
1,086 | 942 | 405 | (1,301 | ) | 853 | 4,075 | 899 | ||||||||||||||||||||||||
|
20
|
Total comprehensive income — Multifamily segment
|
$ | 1,299 | $ | 1,301 | $ | 605 | $ | (1,096 | ) | $ | 1,408 | $ | 5,040 | $ | 2,218 | |||||||||||||||||
|
21
|
Net interest yield — Segment Earnings
(annualized)
|
86 bps | 75 bps | 83 bps | 87 bps | 85 bps | 77 bps | 83 bps | |||||||||||||||||||||||||
|
Management and guarantee income — Segment
Earnings:
|
|||||||||||||||||||||||||||||||||
|
22
|
Average contractual rate
(annualized)(3)
|
48.6 bps | 46.8 bps | 43.0 bps | 41.5 bps | 39.7 bps | 50.1 bps | 42.4 bps | |||||||||||||||||||||||||
|
Credit losses — Segment Earnings:
|
|||||||||||||||||||||||||||||||||
|
23
|
Annualized credit losses/average multifamily mortgage portfolio
and HFA-related guarantees
|
10.7 bps | 4.2 bps | 7.6 bps | 4.0 bps | 9.1 bps | 9.6 bps | 6.3 bps | |||||||||||||||||||||||||
| (1) | See “NOTE 14: SEGMENT REPORTING” in our Form 10-K for the year ended December 31, 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) | Excludes prepayment and certain other fees. |
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