FEDERAL HOME LOAN MORTGAGE CORP - FORM 8-K - EX-99.3 - EXHIBIT 99.3

Attached files

file	filename
8-K - 8-K - FEDERAL HOME LOAN MORTGAGE CORP	f71857e8vk.htm
EX-99.1 - EXHIBIT 99.1 - FEDERAL HOME LOAN MORTGAGE CORP	f71857exv99w1.htm
EX-99.2 - EXHIBIT 99.2 - FEDERAL HOME LOAN MORTGAGE CORP	f71857exv99w2.htm
EX-99.4 - EXHIBIT 99.4 - FEDERAL HOME LOAN MORTGAGE CORP	f71857exv99w4.htm

Exhibit 99.3


FREDDIE MAC FIRST QUARTER 2012 FINANCIAL RESULTS FINANCIAL STATEMENTS AND CORE TABLES

TABLE OF CONTENTS


	GAAP Financial Statements	Page

	Consolidated Statements of 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 COMPREHENSIVE INCOME
(unaudited)


				Three Months Ended
Line:				March 31, 2011			June 30, 2011			September 30, 2011			December 31, 2011			March 31, 2012
				(dollars in millions, except share-related amounts)
		Interest income
			Mortgage loans:
	1		Held by consolidated trusts	$	20,064		$	19,782		$	19,140		$	18,172		$	17,468
	2		Unsecuritized		2,334			2,274			2,282			2,234			2,312

	3		Total mortgage loans		22,398			22,056			21,422			20,406			19,780
	4		Investments in securities		3,283			3,275			3,150			3,083			2,938
	5		Other		34			18			8			7			13

	6		Total interest income		25,715			25,349			24,580			23,496			22,731

		Interest expense
	7		Debt securities of consolidated trusts		(17,403	)		(17,261	)		(16,715	)		(15,740	)		(15,253	)
	8		Other debt		(3,565	)		(3,333	)		(3,072	)		(2,899	)		(2,816	)

	9		Total interest expense		(20,968	)		(20,594	)		(19,787	)		(18,639	)		(18,069	)
	10		Expense related to derivatives		(207	)		(194	)		(180	)		(174	)		(162	)

	11	Net interest income			4,540			4,561			4,613			4,683			4,500
	12	Provision for credit losses			(1,989	)		(2,529	)		(3,606	)		(2,578	)		(1,825	)

	13	Net interest income after provision for credit losses			2,551			2,032			1,007			2,105			2,675

		Non-interest income (loss)
	14		Gains (losses) on extinguishment of debt securities of consolidated trusts		223			(125	)		(310	)		(7	)		(4	)
	15		Gains (losses) on retirement of other debt		12			3			19			10			(21	)
	16		Gains (losses) on debt recorded at fair value		(81	)		(37	)		133			76			(17	)
	17		Derivative gains (losses)		(427	)		(3,807	)		(4,752	)		(766	)		(1,056	)
			Impairment of available-for-sale securities:
	18		Total other-than-temporary impairment of available-for-sale securities		(1,054	)		(230	)		(459	)		(358	)		(475	)
	19		Portion of other-than-temporary impairment recognized in AOCI		(139	)		(122	)		298			(237	)		(89	)

	20		Net impairment of available-for-sale securities recognized in earnings		(1,193	)		(352	)		(161	)		(595	)		(564	)
	21		Other gains (losses) on investment securities recognized in earnings		(120	)		209			(541	)		(444	)		(288	)
	22		Other income		334			252			814			755			434

	23	Non-interest income (loss)			(1,252	)		(3,857	)		(4,798	)		(971	)		(1,516	)

		Non-interest expense
	24		Salaries and employee benefits		(207	)		(219	)		(212	)		(194	)		(176	)
	25		Professional services		(56	)		(64	)		(73	)		(77	)		(71	)
	26		Occupancy expense		(15	)		(15	)		(14	)		(18	)		(14	)
	27		Other administrative expenses		(83	)		(86	)		(82	)		(91	)		(76	)

	28		Total administrative expenses		(361	)		(384	)		(381	)		(380	)		(337	)
	29		Real estate owned operations expense		(257	)		(27	)		(221	)		(80	)		(171	)
	30		Other expenses		(79	)		(135	)		(85	)		(93	)		(88	)

	31	Non-interest expense			(697	)		(546	)		(687	)		(553	)		(596	)

	32	Income (loss) before income tax benefit			602			(2,371	)		(4,478	)		581			563
	33	Income tax benefit			74			232			56			38			14

	34	Net income (loss)			676			(2,139	)		(4,422	)		619			577

		Other comprehensive income, net of taxes and reclassification adjustments:
	35		Changes in unrealized gains (losses) related to available-for-sale securities		1,941			903			(80	)		701			1,147
	36		Changes in unrealized gains (losses) related to cash flow hedge relationships		132			135			124			118			111
	37		Changes in defined benefit plans		(9	)		1			2			68			(46	)

	38		Total other comprehensive income, net of taxes and reclassification adjustments		2,064			1,039			46			887			1,212

	39	Comprehensive income (loss)		$	2,740		$	(1,100	)	$	(4,376	)	$	1,506		$	1,789

	40	Net income (loss)		$	676		$	(2,139	)	$	(4,422	)	$	619		$	577
	41		Preferred stock dividends		(1,605	)		(1,617	)		(1,618	)		(1,658	)		(1,804	)

	42	Net loss attributable to common stockholders		$	(929	)	$	(3,756	)	$	(6,040	)	$	(1,039	)	$	(1,227	)

		Net loss per common share:
	43		Basic	$	(0.29	)	$	(1.16	)	$	(1.86	)	$	(0.32	)	$	(0.38	)
	44		Diluted	$	(0.29	)	$	(1.16	)	$	(1.86	)	$	(0.32	)	$	(0.38	)
		Weighted average common shares outstanding (in thousands):
	45		Basic		3,246,985			3,244,967			3,244,496			3,243,183			3,241,502
	46		Diluted		3,246,985			3,244,967			3,244,496			3,243,183			3,241,502

FREDDIE MAC
CONSOLIDATED BALANCE SHEETS
(unaudited)


Line:				March 31, 2011			June 30, 2011			September 30, 2011			December 31, 2011			March 31, 2012
				(dollars in millions, except share-related amounts)
	Assets
1	Cash and cash equivalents (includes $1, $1, $1, $2, and $1, respectively, related to our consolidated VIEs)			$	34,298		$	17,488		$	18,174		$	28,442		$	8,569
2	Restricted cash and cash equivalents (includes $5,497, $1,850, $25,180, $27,675, and $27,332, respectively, related to our consolidated VIEs)				6,184			2,333			25,695			28,063			27,790
3	Federal funds sold and securities purchased under agreements to resell (includes $11,500, $13,950, $—, $—, and $3,000, respectively, related to our consolidated VIEs)				37,792			33,609			10,596			12,044			24,349
	Investments in securities:
4			Available-for-sale, at fair value (includes $298, $244, $224, $204, and $187, respectively, pledged as collateral that may be repledged)		229,838			222,849			216,584			210,659			202,422
5			Trading, at fair value		61,353			54,764			55,298			58,830			58,319

6			Total investments in securities		291,191			277,613			271,882			269,489			260,741

	Mortgage loans:
		Held-for-investment, at amortized cost:
7			By consolidated trusts (net of allowances for loan losses of $9,517, $8,948, $8,696, $8,351, and $7,139, respectively)		1,644,609			1,634,773			1,611,580			1,564,131			1,555,067
8			Unsecuritized (net of allowances for loan losses of $29,571, $29,919, $30,848, $30,912, and $30,925, respectively)		197,883			198,568			199,382			207,418			199,945

9			Total held-for-investment mortgage loans, net		1,842,492			1,833,341			1,810,962			1,771,549			1,755,012
10			Held-for-sale, at lower-of-cost-or-fair-value (includes $5,304, $4,463, $6,275, $9,710 and $11,337 at fair value, respectively)		5,304			4,463			6,275			9,710			11,337

11			Total mortgage loans, net		1,847,796			1,837,804			1,817,237			1,781,259			1,766,349
12	Accrued interest receivable (includes $6,801, $6,704, $6,535, $6,242, and $6,079, respectively, related to our consolidated VIEs)				8,660			8,523			8,327			8,062			7,820
13	Derivative assets, net				58			246			295			118			182
14	Real estate owned, net (includes $112, $83, $64, $60, and $67, respectively, related to our consolidated VIEs)				6,376			5,932			5,630			5,680			5,454
15	Deferred tax assets, net				4,498			3,866			3,909			3,546			2,929
16	Other assets (includes $2,675, $3,252, $6,158, $6,083, and $6,227, respectively, related to our consolidated VIEs)				8,063			8,381			10,591			10,513			10,761

17		Total assets		$	2,244,916		$	2,195,795		$	2,172,336		$	2,147,216		$	2,114,944


	Liabilities and equity (deficit)

	Liabilities
18	Accrued interest payable (includes $6,345, $6,241, $6,120, $5,943, and $5,832, respectively, related to our consolidated VIEs)			$	9,392		$	9,542		$	8,603		$	8,898		$	8,129

	Debt, net:
19		Debt securities of consolidated trusts held by third parties			1,510,426			1,499,036			1,488,036			1,471,437			1,481,622
20		Other debt (includes $3,960, $3,998, $3,291, $3,015, and $2,221 at fair value, respectively)			715,572			681,087			674,421			660,546			618,629

21		Total debt, net			2,225,998			2,180,123			2,162,457			2,131,983			2,100,251
22	Derivative liabilities, net				750			408			329			435			296
23	Other liabilities (includes $204, $400, $293, $3, and $2, respectively, related to our consolidated VIEs)				7,539			7,200			6,938			6,046			6,286

24		Total liabilities			2,243,679			2,197,273			2,178,327			2,147,362			2,114,962

25	Commitments and contingencies

	Equity (deficit)

	Freddie Mac stockholders’ equity (deficit)
26		Senior preferred stock, at redemption value			64,700			64,700			66,179			72,171			72,317
27		Preferred stock, at redemption value			14,109			14,109			14,109			14,109			14,109
28		Common stock			—			—			—			—			—
29		Additional paid-in capital			—			1			2			3			—
30		Retained earnings (accumulated deficit)			(63,693	)		(67,449	)		(73,489	)		(74,525	)		(75,775	)
		Accumulated other comprehensive income (loss), or AOCI, net of taxes, related to:
31			Available-for-sale securities		(7,737	)		(6,834	)		(6,914	)		(6,213	)		(5,066	)
32			Cash flow hedge relationships		(2,107	)		(1,972	)		(1,848	)		(1,730	)		(1,619	)
33			Defined benefit plans		(123	)		(122	)		(120	)		(52	)		(98	)

34			Total AOCI, net of taxes		(9,967	)		(8,928	)		(8,882	)		(7,995	)		(6,783	)
35		Treasury stock, at cost			(3,912	)		(3,911	)		(3,910	)		(3,909	)		(3,886	)

36		Total equity (deficit)			1,237			(1,478	)		(5,991	)		(146	)		(18	)

37		Total liabilities and equity (deficit)		$	2,244,916		$	2,195,795		$	2,172,336		$	2,147,216		$	2,114,944

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


		1Q 2011			2Q 2011			3Q 2011			4Q 2011			1Q 2012
	Net Interest Income:

1	Net interest income	$	4,540		$	4,561		$	4,613		$	4,683		$	4,500
	Average Balances:⁽¹⁾

2	Cash and cash equivalents	$	37,561		$	33,660		$	51,225		$	59,077		$	51,029
3	Federal funds sold and securities purchased under agreements to resell		47,861			32,227			16,434			13,703			26,057
	Mortgage-related securities:
4	Mortgage-related securities⁽²⁾		456,972			450,575			443,135			418,454			383,227
5	Extinguishment of PCs held by Freddie Mac		(167,528	)		(166,318	)		(166,356	)		(150,197	)		(125,363	)

6	Total mortgage-related securities, net		289,444			284,257			276,779			268,257			257,864
7	Non-mortgage-related securities		29,309			26,078			18,175			24,788			28,464
8	Mortgage loans held by consolidated trusts⁽²⁾⁽³⁾		1,650,567			1,643,680			1,626,583			1,590,993			1,559,823
9	Unsecuritized mortgage loans⁽³⁾		240,557			242,471			243,162			250,346			254,877

10	Total interest-earning assets		2,295,299			2,262,373			2,232,358			2,207,164			2,178,114
	Debt securities of consolidated trusts:
11	Debt securities of consolidated trusts including PCs held by Freddie Mac⁽²⁾		1,665,608			1,656,150			1,641,905			1,612,091			1,580,749
12	Extinguishment of PCs held by Freddie Mac		(167,528	)		(166,318	)		(166,356	)		(150,197	)		(125,363	)

13	Total debt securities of consolidated trusts held by third parties		1,498,080			1,489,832			1,475,549			1,461,894			1,455,386
	Other debt:⁽²⁾
14	Short-term debt		194,822			194,153			188,004			168,238			149,130
15	Long-term debt		518,034			500,587			495,188			501,559			496,644

16	Total other debt		712,856			694,740			683,192			669,797			645,774

17	Total interest-bearing liabilities		2,210,936			2,184,572			2,158,741			2,131,691			2,101,160
18	Net non-interest-bearing funding		84,363			77,801			73,617			75,473			76,954

19	Total funding of interest-earning assets	$	2,295,299		$	2,262,373		$	2,232,358		$	2,207,164		$	2,178,114

	Yield/Cost:

20	Cash and cash equivalents		0.17	%		0.12	%		0.03	%		0.02	%		0.03	%
21	Federal funds sold and securities purchased under agreements to resell		0.15			0.09			0.08			0.10			0.14
	Mortgage-related securities:
22	Mortgage-related securities		4.65			4.63			4.56			4.57			4.55
23	Extinguishment of PCs held by Freddie Mac		(4.93	)		(4.73	)		(4.61	)		(4.58	)		(4.60	)
24	Total mortgage-related securities, net		4.50			4.57			4.53			4.56			4.53
25	Non-mortgage-related securities		0.41			0.39			0.40			0.41			0.23
26	Mortgage loans held by consolidated trusts		4.86			4.81			4.71			4.57			4.48
27	Unsecuritized mortgage loans		3.88			3.75			3.75			3.57			3.63
28	Yield on total interest-earning assets		4.48			4.48			4.41			4.26			4.18
	Debt securities of consolidated trusts:
29	Debt securities of consolidated trusts including PCs held by Freddie Mac		(4.67	)		(4.64	)		(4.54	)		(4.33	)		(4.22	)
30	Extinguishment of PCs held by Freddie Mac		4.93			4.73			4.61			4.58			4.60
31	Total debt securities of consolidated trusts held by third parties		(4.65	)		(4.63	)		(4.53	)		(4.31	)		(4.19	)
	Other debt:
32	Short-term debt		(0.24	)		(0.19	)		(0.14	)		(0.12	)		(0.11	)
33	Long-term debt		(2.66	)		(2.59	)		(2.42	)		(2.27	)		(2.23	)
34	Total other debt		(2.00	)		(1.92	)		(1.79	)		(1.73	)		(1.74	)
35	Cost of interest-bearing liabilities		(3.79	)		(3.77	)		(3.67	)		(3.50	)		(3.44	)
36	Expense related to derivatives		(0.04	)		(0.03	)		(0.03	)		(0.03	)		(0.03	)
37	Impact of net non-interest-bearing funding		0.14			0.13			0.12			0.12			0.12
38	Total funding of interest-earning assets		(3.69	)		(3.67	)		(3.58	)		(3.41	)		(3.35	)
39	Net interest yield (annualized)		0.79			0.81			0.83			0.85			0.83


(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)


					1Q 2011			2Q 2011			3Q 2011			4Q 2011			1Q 2012
	Net Interest Income:
1	Contractual amounts of net interest income⁽¹⁾				$	4,479		$	4,675		$	4,758		$	4,536		$	4,315
	Amortization income (expense), net:⁽²⁾
2		Accretion of impairments on available-for-sale securities⁽³⁾				29			31			18			37			52
		Asset-related amortization income (expense), net:
3			Mortgage loans held by consolidated trusts			(272	)		(297	)		(539	)		(834	)		(866	)
4			Unsecuritized mortgage loans			56			48			45			33			25
5			Mortgage-related securities			(41	)		(83	)		(83	)		(32	)		(21	)
6			Other assets			(14	)		(27	)		(31	)		(50	)		(75	)

7				Asset-related amortization expense, net		(271	)		(359	)		(608	)		(883	)		(937	)
		Debt-related amortization income (expense), net:
8			Debt securities of consolidated trusts			667			573			801			1,342			1,398
9			Other long-term debt securities			(157	)		(165	)		(176	)		(175	)		(166	)

10				Debt-related amortization income, net		510			408			625			1,167			1,232

11				Total amortization income, net		268			80			35			321			347
12	Expense related to derivatives⁽⁴⁾					(207	)		(194	)		(180	)		(174	)		(162	)

13	Net interest income				$	4,540		$	4,561		$	4,613		$	4,683		$	4,500


(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.

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


				1Q 2011			2Q 2011			3Q 2011			4Q 2011			1Q 2012
	Non-Interest Income (Loss):
1	Gains (losses) on extinguishment of debt securities of consolidated trusts			$	223		$	(125	)	$	(310	)	$	(7	)	$	(4	)
2	Gains (losses) on retirement of other debt				12			3			19			10			(21	)
	Gains (losses) on debt recorded at fair value:
3		Translation gains (losses)			(117	)		(46	)		146			57			(19	)
4		Market value adjustments			36			9			(13	)		19			2

5			Total gains (losses) on debt recorded at fair value		(81	)		(37	)		133			76			(17	)

	Derivative gains (losses):
		Foreign-currency denominated derivatives gains (losses):
6			Foreign-currency swaps gains (losses)		109			47			(141	)		(56	)		9
7			Receive-fixed swaps — foreign-currency denominated gains (losses)		(37	)		(3	)		3			(12	)		(5	)
8		U.S. dollar denominated derivative gains (losses)			750			(2,499	)		(3,345	)		464			16
9		Accrual of periodic settlements			(1,249	)		(1,352	)		(1,269	)		(1,162	)		(1,076	)

10			Total derivative gains (losses)		(427	)		(3,807	)		(4,752	)		(766	)		(1,056	)

	Impairment of available-for-sale securities:
11		Total other-than-temporary impairment of available-for-sale securities			(1,054	)		(230	)		(459	)		(358	)		(475	)
12		Portion of other-than-temporary impairment recognized in AOCI			(139	)		(122	)		298			(237	)		(89	)

13			Net impairment of available-for-sale securities recognized in earnings		(1,193	)		(352	)		(161	)		(595	)		(564	)

	Other gains (losses) on investment securities recognized in earnings:
14		Gains (losses) on trading securities			(200	)		274			(547	)		(481	)		(377	)
15		Gains (losses) on sale of available-for-sale securities			80			(65	)		6			37			89

16			Total other gains (losses) on investment securities recognized in earnings		(120	)		209			(541	)		(444	)		(288	)

	Other income:
17		Gains (losses) on sale of mortgage loans			95			161			46			109			40
18		Gains (losses) on mortgage loans recorded at fair value			(33	)		136			216			99			139
19		Recoveries on loans impaired upon purchase			125			132			119			97			89
20		Guarantee-related income			54			81			40			70			70
21		All other			93			(258	)		393			380			96

22			Total other income		334			252			814			755			434

23			Total non-interest income (loss)	$	(1,252	)	$	(3,857	)	$	(4,798	)	$	(971	)	$	(1,516	)

FREDDIE MAC
TABLE 3 — CREDIT QUALITY INDICATORS (unaudited) (dollars in millions)


		1Q 2011			2Q 2011			3Q 2011			4Q 2011			1Q 2012
	Credit Enhancements:

1	Credit-enhanced percentage of mortgage loan portfolio purchases		7	%		9	%		10	%		7	%		9	%
2	Credit-enhanced percentage of mortgage loan portfolio⁽¹⁾ (period end)		15	%		15	%		14	%		14	%		13	%

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

	Single-family:
3	Non-credit-enhanced		2.85	%		2.75	%		2.77	%		2.84	%		2.80	%
4	Credit-enhanced		7.87	%		7.67	%		7.70	%		8.03	%		8.02	%
5	Total Single-family		3.63	%		3.50	%		3.51	%		3.58	%		3.51	%
	Multifamily:
6	Non-credit-enhanced		0.25	%		0.19	%		0.18	%		0.11	%		0.16	%
7	Credit enhanced		0.75	%		0.70	%		0.77	%		0.52	%		0.39	%
8	Total Multifamily		0.36	%		0.31	%		0.33	%		0.22	%		0.23	%

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

9	Loan modifications		35,158			31,049			23,919			19,048			13,677
10	Repayment plans		9,099			7,981			8,333			8,008			10,575
11	Forbearance agreements		7,678			3,709			4,262			3,867			3,656
12	Short sales and deed-in-lieu transactions		10,706			11,038			11,744			12,675			12,245

13	Total single-family loan workouts		62,641			53,777			48,258			43,598			40,153

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

14	Non-performing mortgage loans	$	118,062		$	117,929		$	122,273		$	123,472		$	122,497
15	REO assets, net		6,376			5,932			5,630			5,680			5,454

16	Total non-performing assets	$	124,438		$	123,861		$	127,903		$	129,152		$	127,951

	REO Operations Income (Expense):

17	Single-family	$	(257	)	$	(35	)	$	(226	)	$	(78	)	$	(172	)
18	Multifamily		—			8			5			(2	)		1

19	Total	$	(257	)	$	(27	)	$	(221	)	$	(80	)	$	(171	)

	Loan Loss Reserves:⁽⁵⁾

20	Beginning balance	$	39,926		$	39,305		$	39,095		$	39,744		$	39,461
21	Provision for credit losses⁽⁶⁾		1,989			2,529			3,606			2,578			1,825
22	Charge-offs — single-family, net		(2,863	)		(2,968	)		(3,114	)		(3,026	)		(3,162	)
23	Charge-offs — multifamily, net		(12	)		(29	)		(8	)		(25	)		(1	)
24	Transfers, net		265			258			165			190			173

25	Ending balance	$	39,305		$	39,095		$	39,744		$	39,461		$	38,296

	Credit Losses:⁽⁷⁾

26	Credit losses	$	3,238		$	3,127		$	3,451		$	3,236		$	3,435
27	Annualized credit losses / average mortgage loan portfolio⁽⁸⁾		67.1 bps			64.9 bps			72.1 bps			68.5 bps			73.6 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).
(6)	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.
(7)	Equal to charge-offs, and REO operations income (expense), net of recoveries.
(8)	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 4A — SEGMENT EARNINGS — CONSOLIDATED⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)


		1Q 2011			2Q 2011			3Q 2011			4Q 2011			1Q 2012
	Segment Earnings (Loss), net of taxes:
1	Investments segment	$	2,137		$	10		$	(1,079	)	$	2,298		$	1,628
2	Single-family Guarantee segment		(1,820	)		(2,386	)		(3,545	)		(2,249	)		(1,675	)
3	Multifamily segment		359			200			205			555			624
4	All Other		—			37			(3	)		15			—

5	Total Segment Earnings (loss), net of taxes	$	676		$	(2,139	)	$	(4,422	)	$	619		$	577

	Comprehensive Income (Loss) of Segments:
6	Investments segment	$	3,263		$	643		$	268		$	2,299		$	1,963
7	Single-family Guarantee segment		(1,824	)		(2,385	)		(3,545	)		(2,216	)		(1,698	)
8	Multifamily segment		1,301			605			(1,096	)		1,408			1,524
9	All Other		—			37			(3	)		15			—

10	Comprehensive income (loss) of segments	$	2,740		$	(1,100	)	$	(4,376	)	$	1,506		$	1,789

	Net interest yield — Segment Earnings (annualized):
11	Investments segment		110 bps			126 bps			134 bps			138 bps			129 bps
12	Multifamily segment		75 bps			83 bps			87 bps			85 bps			90 bps
	Management and guarantee income — Segment Earnings (annualized):
13	Single-family Guarantee segment		19.1 bps			18.7 bps			20.3 bps			23.0 bps			23.2 bps
14	Multifamily segment		46.8 bps			43.0 bps			41.5 bps			39.7 bps			38.7 bps
	Credit losses — Segment Earnings (annualized):
15	Single-family Guarantee segment		71.0 bps			68.4 bps			76.3 bps			72.4 bps			78.6 bps
16	Multifamily segment		4.2 bps			7.6 bps			4.0 bps			9.1 bps			— bps


(1)		See “NOTE 13: SEGMENT REPORTING” in our Form 10-Q for the quarter ended March 31, 2012 for more information regarding Segment Earnings.
(2)		The sum of Segment Earnings (loss) for each segment and the All Other category equals GAAP net income (loss). Likewise, the sum of comprehensive income (loss) for each segment and the All Other category equals GAAP comprehensive income (loss).

FREDDIE MAC
TABLE 4B — SEGMENT EARNINGS — INVESTMENTS SEGMENT⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)


		1Q 2011			2Q 2011			3Q 2011			4Q 2011			1Q 2012
	Segment Earnings (Loss), net of taxes:
1	Net interest income	$	1,653		$	1,826		$	1,905		$	1,955		$	1,763
	Non-interest income (loss):
2	Net impairment of available-for-sale securities recognized in earnings		(1,029	)		(139	)		(116	)		(549	)		(496	)
3	Derivative gains (losses)		1,103			(2,156	)		(3,144	)		600			200
4	Gains (losses) on trading securities		(234	)		256			(525	)		(490	)		(398	)
5	Gains (losses) on sale of mortgage loans		12			4			—			12			(14	)
6	Gains (losses) on mortgage loans recorded at fair value		(83	)		167			358			59			(38	)
7	Other non-interest income (loss)		541			(184	)		345			564			513

8	Total non-interest income (loss)		310			(2,052	)		(3,082	)		196			(233	)

	Non-interest expense:
9	Administrative expenses		(95	)		(101	)		(97	)		(105	)		(92	)
10	Other non-interest expense		—			(1	)		(1	)		—			—

11	Total non-interest expense		(95	)		(102	)		(98	)		(105	)		(92	)

12	Segment adjustments		203			126			137			195			155

13	Segment Earnings (loss) before income tax benefit		2,071			(202	)		(1,138	)		2,241			1,593
14	Income tax benefit		66			212			59			57			35

15	Segment Earnings (loss), net of taxes		2,137			10			(1,079	)		2,298			1,628
16	Total other comprehensive income, net of taxes		1,126			633			1,347			1			335

17	Comprehensive income — Investments segment	$	3,263		$	643		$	268		$	2,299		$	1,963

18	Net interest yield — Segment Earnings (annualized)		110 bps			126 bps			134 bps			138 bps			129 bps


(1)		See “NOTE 13: SEGMENT REPORTING” in our Form 10-Q for the quarter ended March 31, 2012 for more information regarding Segment Earnings.
(2)		Segment Earnings (loss) for the Investments segment equals GAAP net income (loss) for the Investments segment.

FREDDIE MAC
TABLE 4C — SEGMENT EARNINGS — SINGLE-FAMILY GUARANTEE SEGMENT⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)


		1Q 2011			2Q 2011			3Q 2011			4Q 2011			1Q 2012

	Segment Earnings (Loss), net of taxes:
1	Net interest income (expense)	$	100		$	(30	)	$	(98	)	$	5		$	(32	)
2	Provision for credit losses		(2,284	)		(2,886	)		(4,008	)		(3,116	)		(2,184	)
	Non-interest income:
3	Management and guarantee income		870			848			913			1,016			1,011
4	Other non-interest income		211			208			331			466			181

5	Total non-interest income		1,081			1,056			1,244			1,482			1,192

	Non-interest expense:
6	Administrative expenses		(215	)		(228	)		(227	)		(218	)		(193	)
7	REO operations expense		(257	)		(35	)		(226	)		(78	)		(172	)
8	Other non-interest expense		(66	)		(106	)		(69	)		(80	)		(73	)

9	Total non-interest expense		(538	)		(369	)		(522	)		(376	)		(438	)

10	Segment adjustments		(185	)		(143	)		(161	)		(210	)		(196	)

11	Segment Earnings (loss) before income tax (expense) benefit		(1,826	)		(2,372	)		(3,545	)		(2,215	)		(1,658	)
12	Income tax (expense) benefit		6			(14	)		—			(34	)		(17	)

13	Segment Earnings (loss), net of taxes		(1,820	)		(2,386	)		(3,545	)		(2,249	)		(1,675	)
14	Total other comprehensive income (loss), net of taxes		(4	)		1			—			33			(23	)

15	Comprehensive income (loss) — Single-family Guarantee segment	$	(1,824	)	$	(2,385	)	$	(3,545	)	$	(2,216	)	$	(1,698	)

	Management and guarantee income — Segment Earnings:
16	Contractual management and guarantee fees (annualized rate)		13.6 bps			13.7 bps			13.8 bps			14.1 bps			14.3 bps
17	Amortization of delivery fees (annualized rate)		5.5 bps			5.0 bps			6.5 bps			8.9 bps			8.9 bps

18	Segment Earnings management and guarantee income (annualized rate)		19.1 bps			18.7 bps			20.3 bps			23.0 bps			23.2 bps

	Credit losses — Segment Earnings:
19	Annualized credit losses/average single-family credit guarantee portfolio and HFA-related guarantees		71.0 bps			68.4 bps			76.3 bps			72.4 bps			78.6 bps


(1)		See “NOTE 13: SEGMENT REPORTING” in our Form 10-Q for the quarter ended March 31, 2012 for more information regarding Segment Earnings.
(2)		Segment Earnings (loss) for the Single-family Guarantee segment equals GAAP net income (loss) for the Single-family Guarantee segment.

FREDDIE MAC
TABLE 4D — SEGMENT EARNINGS — MULTIFAMILY SEGMENT⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)


		1Q 2011			2Q 2011			3Q 2011			4Q 2011			1Q 2012

	Segment Earnings, net of taxes:

1	Net interest income	$	279		$	304		$	314		$	303		$	318
2	(Provision) benefit for credit losses		60			13			37			86			19
	Non-interest income (loss):
3	Management and guarantee income		28			30			32			37			33
4	Net impairment of available-for-sale securities recognized in earnings		(135	)		(182	)		(27	)		(9	)		(16	)
5	Gains (losses) on sale of mortgage loans		83			157			46			97			54
6	Gains (losses) on mortgage loans recorded at fair value		50			(31	)		(142	)		40			177
7	Other non-interest income (loss)		56			(13	)		12			73			109

8	Total non-interest income (loss)		82			(39	)		(79	)		238			357

	Non-interest expense:
9	Administrative expenses		(51	)		(55	)		(57	)		(57	)		(52	)
10	REO operations income (expense)		—			8			5			(2	)		1
11	Other non-interest expense		(13	)		(28	)		(15	)		(13	)		(15	)

12	Total non-interest expense		(64	)		(75	)		(67	)		(72	)		(66	)

13	Segment Earnings before income tax benefit (expense)		357			203			205			555			628
14	Income tax benefit (expense)		2			(3	)		—			—			(4	)

15	Segment Earnings, net of taxes		359			200			205			555			624

16	Total other comprehensive income, net of taxes		942			405			(1,301	)		853			900

17	Comprehensive income — Multifamily segment	$	1,301		$	605		$	(1,096	)	$	1,408		$	1,524

18	Net interest yield — Segment Earnings (annualized)		75 bps			83 bps			87 bps			85 bps			90 bps
	Management and guarantee income — Segment Earnings:

19	Average contractual rate (annualized)⁽³⁾		46.8 bps			43.0 bps			41.5 bps			39.7 bps			38.7 bps
	Credit losses — Segment Earnings:

20	Annualized credit losses/average multifamily mortgage portfolio and HFA-related guarantees		4.2 bps			7.6 bps			4.0 bps			9.1 bps			— bps


(1)		See “NOTE 13: SEGMENT REPORTING” in our Form 10-Q for the quarter ended March 31, 2012 for more information regarding Segment Earnings.
(2)		Segment Earnings for the Multifamily segment equals GAAP net income for the Multifamily segment.
(3)		Excludes prepayment and certain other fees.

FEDERAL HOME LOAN MORTGAGE CORP - FORM 8-K - EX-99.3 - EXHIBIT 99.3 - May 3, 2012

Attached files