Attached files
| file | filename |
|---|---|
| 8-K - 8-K - FEDERAL HOME LOAN MORTGAGE CORP | d476285d8k.htm |
| EX-99.1 - EXHIBIT 99.1 - FEDERAL HOME LOAN MORTGAGE CORP | d476285dex991.htm |
| EX-99.3 - EXHIBIT 99.3 - FEDERAL HOME LOAN MORTGAGE CORP | d476285dex993.htm |
Exhibit 99.2
| FREDDIE MAC 2012 FINANCIAL RESULTS FINANCIAL STATEMENTS AND CORE TABLES |
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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 | Year Ended | |||||||||||||||||||||||||||||
| Line: | December 31, 2011 |
March 31, 2012 |
June 30, 2012 |
September 30, 2012 |
December 31, 2012 |
December 31, 2011 |
December 31, 2012 |
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| (in millions) | ||||||||||||||||||||||||||||||
| Interest income |
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| Mortgage loans: |
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| 1 | Held by consolidated trusts |
$ | 18,172 | $ | 17,468 | $ | 16,806 | $ | 15,838 | $ | 14,977 | $ | 77,158 | $ | 65,089 | |||||||||||||||
| 2 | Unsecuritized |
2,234 | 2,312 | 2,224 | 2,108 | 2,316 | 9,124 | 8,960 | ||||||||||||||||||||||
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| 3 | Total mortgage loans |
20,406 | 19,780 | 19,030 | 17,946 | 17,293 | 86,282 | 74,049 | ||||||||||||||||||||||
| 4 | Investments in securities |
3,083 | 2,938 | 2,777 | 2,522 | 2,346 | 12,791 | 10,583 | ||||||||||||||||||||||
| 5 | Other |
7 | 13 | 21 | 26 | 26 | 67 | 86 | ||||||||||||||||||||||
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| 6 | Total interest income |
23,496 | 22,731 | 21,828 | 20,494 | 19,665 | 99,140 | 84,718 | ||||||||||||||||||||||
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| Interest expense |
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| 7 | Debt securities of consolidated trusts |
(15,740 | ) | (15,253 | ) | (14,625 | ) | (13,584 | ) | (12,647 | ) | (67,119 | ) | (56,109 | ) | |||||||||||||||
| 8 | Other debt |
(2,899 | ) | (2,816 | ) | (2,660 | ) | (2,493 | ) | (2,424 | ) | (12,869 | ) | (10,393 | ) | |||||||||||||||
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| 9 | Total interest expense |
(18,639 | ) | (18,069 | ) | (17,285 | ) | (16,077 | ) | (15,071 | ) | (79,988 | ) | (66,502 | ) | |||||||||||||||
| 10 | Expense related to derivatives |
(174 | ) | (162 | ) | (157 | ) | (148 | ) | (138 | ) | (755 | ) | (605 | ) | |||||||||||||||
| 11 | Net interest income |
4,683 | 4,500 | 4,386 | 4,269 | 4,456 | 18,397 | 17,611 | ||||||||||||||||||||||
| 12 | (Provision) benefit for credit losses |
(2,578 | ) | (1,825 | ) | (155 | ) | (610) | 700 | (10,702 | ) | (1,890 | ) | |||||||||||||||||
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| 13 | Net interest income after (provision) benefit for credit losses |
2,105 | 2,675 | 4,231 | 3,659 | 5,156 | 7,695 | 15,721 | ||||||||||||||||||||||
| Non-interest income (loss) |
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| 14 | Gains (losses) on extinguishment of debt securities of consolidated trusts |
(7 | ) | (4 | ) | (1 | ) | (34 | ) | (19 | ) | (219 | ) | (58 | ) | |||||||||||||||
| 15 | Gains (losses) on retirement of other debt |
10 | (21 | ) | (45 | ) | 11 | (22 | ) | 44 | (77 | ) | ||||||||||||||||||
| 16 | Gains (losses) on debt recorded at fair value |
76 | (17 | ) | 62 | (10 | ) | (19 | ) | 91 | 16 | |||||||||||||||||||
| 17 | Derivative gains (losses) |
(766 | ) | (1,056 | ) | (882 | ) | (488 | ) | (22 | ) | (9,752 | ) | (2,448 | ) | |||||||||||||||
| Impairment of available-for-sale securities: |
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| 18 | Total other-than-temporary impairment of available-for-sale securities |
(358 | ) | (475 | ) | (135 | ) | (332 | ) | (294 | ) | (2,101 | ) | (1,236 | ) | |||||||||||||||
| 19 | Portion of other-than-temporary impairment recognized in AOCI |
(237 | ) | (89 | ) | 37 | 65 | (945 | ) | (200 | ) | (932 | ) | |||||||||||||||||
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| 20 | Net impairment of available-for-sale securities recognized in earnings |
(595 | ) | (564 | ) | (98 | ) | (267 | ) | (1,239 | ) | (2,301 | ) | (2,168 | ) | |||||||||||||||
| 21 | Other gains (losses) on investment securities recognized in earnings |
(444 | ) | (288 | ) | (356 | ) | (330 | ) | (548 | ) | (896 | ) | (1,522 | ) | |||||||||||||||
| 22 | Other income |
755 | 434 | 569 | 558 | 613 | 2,155 | 2,174 | ||||||||||||||||||||||
| 23 | Non-interest income (loss) |
(971 | ) | (1,516 | ) | (751 | ) | (560 | ) | (1,256 | ) | (10,878 | ) | (4,083 | ) | |||||||||||||||
| Non-interest expense |
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| 24 | Salaries and employee benefits |
(194 | ) | (176 | ) | (227 | ) | (202 | ) | (205 | ) | (832 | ) | (810 | ) | |||||||||||||||
| 25 | Professional services |
(77 | ) | (71 | ) | (81 | ) | (93 | ) | (116 | ) | (270 | ) | (361 | ) | |||||||||||||||
| 26 | Occupancy expense |
(18 | ) | (14 | ) | (14 | ) | (15 | ) | (14 | ) | (62 | ) | (57 | ) | |||||||||||||||
| 27 | Other administrative expenses |
(91 | ) | (76 | ) | (79 | ) | (91 | ) | (87 | ) | (342 | ) | (333 | ) | |||||||||||||||
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| 28 | Total administrative expenses |
(380 | ) | (337 | ) | (401 | ) | (401 | ) | (422 | ) | (1,506 | ) | (1,561 | ) | |||||||||||||||
| 29 | Real estate owned operations income (expense) |
(80 | ) | (171 | ) | 30 | 49 | 33 | (585 | ) | (59 | ) | ||||||||||||||||||
| 30 | Other expenses |
(93 | ) | (88 | ) | (165 | ) | (121 | ) | (199 | ) | (392 | ) | (573 | ) | |||||||||||||||
| 31 | Non-interest expense |
(553 | ) | (596 | ) | (536 | ) | (473 | ) | (588 | ) | (2,483 | ) | (2,193 | ) | |||||||||||||||
| 32 | Income (loss) before income tax benefit |
581 | 563 | 2,944 | 2,626 | 3,312 | (5,666 | ) | 9,445 | |||||||||||||||||||||
| 33 | Income tax benefit |
38 | 14 | 76 | 302 | 1,145 | 400 | 1,537 | ||||||||||||||||||||||
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| 34 | Net income (loss) |
619 | 577 | 3,020 | 2,928 | 4,457 | (5,266 | ) | 10,982 | |||||||||||||||||||||
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| Other comprehensive income (loss), net of taxes and reclassification adjustments: |
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| 35 | Changes in unrealized gains (losses) related to available-for-sale securities |
701 | 1,147 | (238 | ) | 2,599 | 1,261 | 3,465 | 4,769 | |||||||||||||||||||||
| 36 | Changes in unrealized gains (losses) related to cash flow hedge relationships |
118 | 111 | 107 | 102 | 94 | 509 | 414 | ||||||||||||||||||||||
| 37 | Changes in defined benefit plans |
68 | (46 | ) | 3 | 1 | (84 | ) | 62 | (126 | ) | |||||||||||||||||||
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| 38 | Total other comprehensive income (loss), net of taxes and reclassification adjustments |
887 | 1,212 | (128 | ) | 2,702 | 1,271 | 4,036 | 5,057 | |||||||||||||||||||||
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| 39 | Comprehensive income (loss) |
$ | 1,506 | $ | 1,789 | $ | 2,892 | $ | 5,630 | $ | 5,728 | $ | (1,230 | ) | $ | 16,039 | ||||||||||||||
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| 40 | Net income (loss) |
$ | 619 | $ | 577 | $ | 3,020 | $ | 2,928 | $ | 4,457 | $ | (5,266 | ) | $ | 10,982 | ||||||||||||||
| 41 | Preferred stock dividends |
(1,658 | ) | (1,804 | ) | (1,808 | ) | (1,809 | ) | (1,808 | ) | (6,498 | ) | (7,229 | ) | |||||||||||||||
| 42 | Preferred stock dividends — undistributed net worth sweep |
— | — | — | — | (5,827 | ) | — | (5,827 | ) | ||||||||||||||||||||
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| 43 | Net income (loss) attributable to common stockholders |
$ | (1,039 | ) | $ | (1,227 | ) | $ | 1,212 | $ | 1,119 | $ | (3,178 | ) | $ | (11,764 | ) | $ | (2,074 | ) | ||||||||||
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2
FREDDIE MAC
CONSOLIDATED BALANCE SHEETS
(unaudited)
| Line: | December 31, 2011 | March 31, 2012 | June 30, 2012 | September 30, 2012 | December 31, 2012 | |||||||||||||||||
| (in millions) | ||||||||||||||||||||||
| Assets |
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| 1 | Cash and cash equivalents (includes $2, $1, $1, $1, and $1, respectively, related to our consolidated VIEs) |
$ | 28,442 | $ | 8,569 | $ | 19,182 | $ | 7,783 | $ | 8,513 | |||||||||||
| 2 | Restricted cash and cash equivalents (includes $27,675, $27,332, $9,905, $8,247, and $14,289, respectively, related to our consolidated VIEs) |
28,063 | 27,790 | 10,240 | 8,759 | 14,592 | ||||||||||||||||
| 3 | Federal funds sold and securities purchased under agreements to resell (includes $0, $3,000, $18,250, $21,000, and $19,250, respectively, related to our consolidated VIEs) |
12,044 | 24,349 | 38,858 | 45,805 | 37,563 | ||||||||||||||||
| Investments in securities: | ||||||||||||||||||||||
| 4 | Available-for-sale, at fair value (includes $204, $187, $166, $149, and $132, respectively, pledged as collateral that may be repledged) |
210,659 | 202,422 | 194,098 | 183,504 | 174,896 | ||||||||||||||||
| 5 | Trading, at fair value |
58,830 | 58,319 | 47,436 | 46,596 | 41,492 | ||||||||||||||||
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| 6 | Total investments in securities |
269,489 | 260,741 | 241,534 | 230,100 | 216,388 | ||||||||||||||||
| Mortgage loans: | ||||||||||||||||||||||
| Held-for-investment, at amortized cost: |
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| 7 | By consolidated trusts (net of allowances for loan losses of $8,351, $7,139, $6,258, $5,788, and $4,919, respectively) |
1,564,131 | 1,555,067 | 1,532,939 | 1,505,576 | 1,495,932 | ||||||||||||||||
| 8 | Unsecuritized (net of allowances for loan losses of $30,912, $30,925, $29,298, $27,729, and $25,788, respectively) |
207,418 | 199,945 | 187,053 | 179,914 | 176,177 | ||||||||||||||||
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| 9 | Total held-for-investment mortgage loans, net |
1,771,549 | 1,755,012 | 1,719,992 | 1,685,490 | 1,672,109 | ||||||||||||||||
| 10 | Held-for-sale, at fair value |
9,710 | 11,337 | 10,120 | 12,845 | 14,238 | ||||||||||||||||
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| 11 | Total mortgage loans, net |
1,781,259 | 1,766,349 | 1,730,112 | 1,698,335 | 1,686,347 | ||||||||||||||||
| 12 | Accrued interest receivable (includes $6,242, $6,079, $5,867, $5,631, and $5,426, respectively, related to our consolidated VIEs) |
8,062 | 7,820 | 7,460 | 7,174 | 6,875 | ||||||||||||||||
| 13 | Derivative assets, net |
118 | 182 | 168 | 765 | 657 | ||||||||||||||||
| 14 | Real estate owned, net (includes $60, $67, $53, $43, and $45, respectively, related to our consolidated VIEs) |
5,680 | 5,454 | 4,809 | 4,502 | 4,378 | ||||||||||||||||
| 15 | Deferred tax assets, net | 3,546 | 2,929 | 3,053 | 1,551 | 778 | ||||||||||||||||
| 16 | Other assets (includes $6,083, $6,227, $6,637, $7,310, and $7,986, respectively, related to our consolidated VIEs) |
10,513 | 10,761 | 10,919 | 11,729 | 13,765 | ||||||||||||||||
| 17 | Total assets |
$ | 2,147,216 | $ | 2,114,944 | $ | 2,066,335 | $ | 2,016,503 | $ | 1,989,856 | |||||||||||
| Liabilities and equity (deficit) | ||||||||||||||||||||||
| Liabilities | ||||||||||||||||||||||
| 18 | Accrued interest payable (includes $5,943, $5,832, $5,636, $5,362, and $5,142, respectively, related to our consolidated VIEs) |
$ | 8,898 | $ | 8,129 | $ | 8,322 | $ | 7,528 | $ | 7,710 | |||||||||||
| Debt, net: | ||||||||||||||||||||||
| 19 | Debt securities of consolidated trusts held by third parties (includes $0, $0, $0, $0, and $70 at fair value, respectively) |
1,471,437 | 1,481,622 | 1,468,613 | 1,432,632 | 1,419,524 | ||||||||||||||||
| 20 | Other debt (includes $3,015, $2,221, $2,158, $2,168, and $2,187 at fair value, respectively) |
660,546 | 618,629 | 581,743 | 565,036 | 547,518 | ||||||||||||||||
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| 21 | Total debt, net |
2,131,983 | 2,100,251 | 2,050,356 | 1,997,668 | 1,967,042 | ||||||||||||||||
| 22 | Derivative liabilities, net | 435 | 296 | 336 | 287 | 178 | ||||||||||||||||
| 23 | Other liabilities (includes $3, $2, $2, $2, and $1, respectively, related to our consolidated VIEs) |
6,046 | 6,286 | 6,235 | 6,113 | 6,099 | ||||||||||||||||
| 24 | Total liabilities |
2,147,362 | 2,114,962 | 2,065,249 | 2,011,596 | 1,981,029 | ||||||||||||||||
| 25 | Commitments and contingencies | |||||||||||||||||||||
| Equity (deficit) | ||||||||||||||||||||||
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Freddie Mac stockholders’ equity (deficit) |
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| 26 | Senior preferred stock, at redemption value |
72,171 | 72,317 | 72,336 | 72,336 | 72,336 | ||||||||||||||||
| 27 | Preferred stock, at redemption value |
14,109 | 14,109 | 14,109 | 14,109 | 14,109 | ||||||||||||||||
| 28 | Common stock |
— | — | — | — | — | ||||||||||||||||
| 29 | Additional paid-in capital |
3 | — | 1 | 1 | 1 | ||||||||||||||||
| 30 | Retained earnings (accumulated deficit) |
(74,525 | ) | (75,775 | ) | (74,564 | ) | (73,445 | ) | (70,796 | ) | |||||||||||
| Accumulated other comprehensive income (loss), or AOCI, net of taxes, related to: |
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| 31 | Available-for-sale securities |
(6,213 | ) | (5,066 | ) | (5,304 | ) | (2,705 | ) | (1,444 | ) | |||||||||||
| 32 | Cash flow hedge relationships |
(1,730 | ) | (1,619 | ) | (1,512 | ) | (1,410 | ) | (1,316 | ) | |||||||||||
| 33 | Defined benefit plans |
(52 | ) | (98 | ) | (95 | ) | (94 | ) | (178 | ) | |||||||||||
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| 34 | Total AOCI, net of taxes |
(7,995 | ) | (6,783 | ) | (6,911 | ) | (4,209 | ) | (2,938 | ) | |||||||||||
| 35 | Treasury stock, at cost |
(3,909 | ) | (3,886 | ) | (3,885 | ) | (3,885 | ) | (3,885 | ) | |||||||||||
| 36 | Total equity (deficit) |
(146 | ) | (18 | ) | 1,086 | 4,907 | 8,827 | ||||||||||||||
| 37 | Total liabilities and equity (deficit) |
$ | 2,147,216 | $ | 2,114,944 | $ | 2,066,335 | $ | 2,016,503 | $ | 1,989,856 | |||||||||||
3
FREDDIE MAC
TABLE 1A—NET INTEREST YIELD ANALYSIS (unaudited) (dollars in millions)
| Full Year |
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| 4Q 2011 | 1Q 2012 | 2Q 2012 | 3Q 2012 | 4Q 2012 | 2011 | 2012 | ||||||||||||||||||||||||
| Net Interest Income: | ||||||||||||||||||||||||||||||
| 1 | Net interest income | $ | 4,683 | $ | 4,500 | $ | 4,386 | $ | 4,269 | $ | 4,456 | $ | 18,397 | $ | 17,611 | |||||||||||||||
| Average Balance:(1) | ||||||||||||||||||||||||||||||
| 2 | Cash and cash equivalents | $ | 59,077 | $ | 51,029 | $ | 32,039 | $ | 30,246 | $ | 28,591 | $ | 45,381 | $ | 35,476 | |||||||||||||||
| 3 | Federal funds sold and securities purchased under agreements to resell | 13,703 | 26,057 | 37,995 | 48,062 | 43,664 | 27,557 | 38,944 | ||||||||||||||||||||||
| Mortgage-related securities: | ||||||||||||||||||||||||||||||
| 4 | Mortgage-related securities(2) |
418,454 | 383,227 | 358,279 | 346,738 | 340,544 | 442,284 | 357,197 | ||||||||||||||||||||||
| 5 | Extinguishment of PCs held by Freddie Mac |
(150,197 | ) | (125,363 | ) | (111,351 | ) | (117,146 | ) | (122,863 | ) | (162,600 | ) | (119,181 | ) | |||||||||||||||
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| 6 | Total mortgage-related securities, net |
268,257 | 257,864 | 246,928 | 229,592 | 217,681 | 279,684 | 238,016 | ||||||||||||||||||||||
| 7 | Non-mortgage-related securities | 24,788 | 28,464 | 24,779 | 20,363 | 21,444 | 24,587 | 23,763 | ||||||||||||||||||||||
| 8 | Mortgage loans held by consolidated trusts(2)(3) | 1,590,993 | 1,559,823 | 1,538,134 | 1,517,472 | 1,501,424 | 1,627,956 | 1,529,213 | ||||||||||||||||||||||
| 9 | Unsecuritized mortgage loans(3) | 250,346 | 254,877 | 240,693 | 229,601 | 226,595 | 244,134 | 237,942 | ||||||||||||||||||||||
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| 10 | Total interest-earning assets |
2,207,164 | 2,178,114 | 2,120,568 | 2,075,336 | 2,039,399 | 2,249,299 | 2,103,354 | ||||||||||||||||||||||
| Debt securities of consolidated trusts: | ||||||||||||||||||||||||||||||
| 11 | Debt securities of consolidated trusts including PCs held by Freddie Mac(2) |
1,612,091 | 1,580,749 | 1,560,470 | 1,541,339 | 1,526,272 | 1,643,939 | 1,552,207 | ||||||||||||||||||||||
| 12 | Extinguishment of PCs held by Freddie Mac |
(150,197 | ) | (125,363 | ) | (111,351 | ) | (117,146 | ) | (122,863 | ) | (162,600 | ) | (119,181 | ) | |||||||||||||||
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| 13 | Total debt securities of consolidated trusts held by third parties |
1,461,894 | 1,455,386 | 1,449,119 | 1,424,193 | 1,403,409 | 1,481,339 | 1,433,026 | ||||||||||||||||||||||
| Other debt:(2) | ||||||||||||||||||||||||||||||
| 14 | Short-term debt |
168,238 | 149,130 | 128,860 | 126,430 | 113,595 | 186,304 | 129,504 | ||||||||||||||||||||||
| 15 | Long-term debt |
501,559 | 496,644 | 464,966 | 447,067 | 444,556 | 503,842 | 463,308 | ||||||||||||||||||||||
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| 16 | Total other debt |
669,797 | 645,774 | 593,826 | 573,497 | 558,151 | 690,146 | 592,812 | ||||||||||||||||||||||
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| 17 | Total interest-bearing liabilities |
2,131,691 | 2,101,160 | 2,042,945 | 1,997,690 | 1,961,560 | 2,171,485 | 2,025,838 | ||||||||||||||||||||||
| 18 | Net non-interest-bearing funding | 75,473 | 76,954 | 77,623 | 77,646 | 77,839 | 77,814 | 77,516 | ||||||||||||||||||||||
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| 19 | Total funding of interest-earning assets |
$ | 2,207,164 | $ | 2,178,114 | $ | 2,120,568 | $ | 2,075,336 | $ | 2,039,399 | $ | 2,249,299 | $ | 2,103,354 | |||||||||||||||
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| Yield/Cost: | ||||||||||||||||||||||||||||||
| 20 | Cash and cash equivalents | 0.02 | % | 0.03 | % | 0.07 | % | 0.07 | % | 0.06 | % | 0.07 | % | 0.06 | % | |||||||||||||||
| 21 | Federal funds sold and securities purchased under agreements to resell | 0.10 | 0.14 | 0.16 | 0.17 | 0.19 | 0.12 | 0.17 | ||||||||||||||||||||||
| Mortgage-related securities: | ||||||||||||||||||||||||||||||
| 22 | Mortgage-related securities |
4.57 | 4.55 | 4.51 | 4.39 | 4.28 | 4.60 | 4.44 | ||||||||||||||||||||||
| 23 | Extinguishment of PCs held by Freddie Mac |
(4.58 | ) | (4.60 | ) | (4.58 | ) | (4.44 | ) | (4.27 | ) | (4.71 | ) | (4.47 | ) | |||||||||||||||
| 24 | Total mortgage-related securities, net |
4.56 | 4.53 | 4.48 | 4.37 | 4.29 | 4.54 | 4.42 | ||||||||||||||||||||||
| 25 | Non-mortgage-related securities | 0.41 | 0.23 | 0.22 | 0.30 | 0.24 | 0.40 | 0.25 | ||||||||||||||||||||||
| 26 | Mortgage loans held by consolidated trusts | 4.57 | 4.48 | 4.37 | 4.17 | 3.99 | 4.74 | 4.26 | ||||||||||||||||||||||
| 27 | Unsecuritized mortgage loans | 3.57 | 3.63 | 3.69 | 3.67 | 4.09 | 3.74 | 3.77 | ||||||||||||||||||||||
| 28 | Yield on total interest-earning assets |
4.26 | 4.18 | 4.12 | 3.95 | 3.85 | 4.41 | 4.03 | ||||||||||||||||||||||
| Debt securities of consolidated trusts: | ||||||||||||||||||||||||||||||
| 29 | Debt securities of consolidated trusts including PCs held by Freddie Mac |
(4.33 | ) | (4.22 | ) | (4.08 | ) | (3.86 | ) | (3.66 | ) | (4.55 | ) | (3.96 | ) | |||||||||||||||
| 30 | Extinguishment of PCs held by Freddie Mac |
4.58 | 4.60 | 4.58 | 4.44 | 4.27 | 4.71 | 4.47 | ||||||||||||||||||||||
| 31 | Total debt securities of consolidated trusts held by third parties |
(4.31 | ) | (4.19 | ) | (4.04 | ) | (3.82 | ) | (3.60 | ) | (4.53 | ) | (3.92 | ) | |||||||||||||||
| Other debt: | ||||||||||||||||||||||||||||||
| 32 | Short-term debt |
(0.12 | ) | (0.11 | ) | (0.13 | ) | (0.15 | ) | (0.16 | ) | (0.18 | ) | (0.14 | ) | |||||||||||||||
| 33 | Long-term debt |
(2.27 | ) | (2.23 | ) | (2.25 | ) | (2.19 | ) | (2.14 | ) | (2.49 | ) | (2.21 | ) | |||||||||||||||
| 34 | Total other debt |
(1.73 | ) | (1.74 | ) | (1.79 | ) | (1.74 | ) | (1.74 | ) | (1.86 | ) | (1.75 | ) | |||||||||||||||
| 35 | Cost of interest-bearing liabilities |
(3.50 | ) | (3.44 | ) | (3.38 | ) | (3.22 | ) | (3.07 | ) | (3.68 | ) | (3.28 | ) | |||||||||||||||
| 36 | Expense related to derivatives | (0.03 | ) | (0.03 | ) | (0.03 | ) | (0.03 | ) | (0.03 | ) | (0.04 | ) | (0.03 | ) | |||||||||||||||
| 37 | Impact of net non-interest-bearing funding | 0.12 | 0.12 | 0.12 | 0.12 | 0.12 | 0.13 | 0.12 | ||||||||||||||||||||||
| 38 | Total funding of interest-earning assets |
(3.41 | ) | (3.35 | ) | (3.29 | ) | (3.13 | ) | (2.98 | ) | (3.59 | ) | (3.19 | ) | |||||||||||||||
| 39 | Net interest yield (annualized) |
0.85 | 0.83 | 0.83 | 0.82 | 0.87 | 0.82 | 0.84 | ||||||||||||||||||||||
| (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 unless we are deemed to be the primary beneficiary. 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)
| Full Year | ||||||||||||||||||||||||||||||
| 4Q 2011 | 1Q 2012 | 2Q 2012 | 3Q 2012 | 4Q 2012 | 2011 | 2012 | ||||||||||||||||||||||||
| Net Interest Income: | ||||||||||||||||||||||||||||||
| 1 | Contractual amounts of net interest income(1) | $ | 4,536 | $ | 4,315 | $ | 4,027 | $ | 3,845 | $ | 3,975 | $ | 18,448 | $ | 16,162 | |||||||||||||||
| Amortization income (expense), net:(2) | ||||||||||||||||||||||||||||||
| 2 | Accretion of impairments on available-for-sale securities(3) |
37 | 52 | 65 | 57 | 40 | 115 | 214 | ||||||||||||||||||||||
| Asset-related amortization expense, net: |
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| 3 | Mortgage loans held by consolidated trusts |
(834 | ) | (866 | ) | (903 | ) | (1,269 | ) | (1,498 | ) | (1,942 | ) | (4,536 | ) | |||||||||||||||
| 4 | Unsecuritized mortgage loans |
33 | 25 | 39 | 46 | 46 | 182 | 156 | ||||||||||||||||||||||
| 5 | Mortgage-related securities |
(32 | ) | (21 | ) | (17 | ) | (25 | ) | 4 | (239 | ) | (59 | ) | ||||||||||||||||
| 6 | Other assets |
(50 | ) | (75 | ) | (66 | ) | (59 | ) | (81 | ) | (122 | ) | (281 | ) | |||||||||||||||
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| 7 | Asset-related amortization expense, net |
(883 | ) | (937 | ) | (947 | ) | (1,307 | ) | (1,529 | ) | (2,121 | ) | (4,720 | ) | |||||||||||||||
| Debt-related amortization income (expense), net: |
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| 8 | Debt securities of consolidated trusts |
1,342 | 1,398 | 1,552 | 1,945 | 2,217 | 3,383 | 7,112 | ||||||||||||||||||||||
| 9 | Other long-term debt securities |
(175 | ) | (166 | ) | (154 | ) | (123 | ) | (109 | ) | (673 | ) | (552 | ) | |||||||||||||||
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| 10 | Debt-related amortization income, net |
1,167 | 1,232 | 1,398 | 1,822 | 2,108 | 2,710 | 6,560 | ||||||||||||||||||||||
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| 11 | Total amortization income, net |
321 | 347 | 516 | 572 | 619 | 704 | 2,054 | ||||||||||||||||||||||
| 12 | Expense related to derivatives(4) | (174 | ) | (162 | ) | (157 | ) | (148 | ) | (138 | ) | (755 | ) | (605 | ) | |||||||||||||||
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| 13 | Net interest income | $ | 4,683 | $ | 4,500 | $ | 4,386 | $ | 4,269 | $ | 4,456 | $ | 18,397 | $ | 17,611 | |||||||||||||||
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| (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 is recognized as net interest income. |
| (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)
| Full Year | ||||||||||||||||||||||||||||||
| 4Q 2011 | 1Q 2012 | 2Q 2012 | 3Q 2012 | 4Q 2012 | 2011 | 2012 | ||||||||||||||||||||||||
| Non-Interest Income (Loss): | ||||||||||||||||||||||||||||||
| 1 | Gains (losses) on extinguishment of debt securities of consolidated trusts | $ | (7 | ) | $ | (4 | ) | $ | (1 | ) | $ | (34 | ) | $ | (19 | ) | $ | (219 | ) | $ | (58 | ) | ||||||||
| 2 | Gains (losses) on retirement of other debt | 10 | (21 | ) | (45 | ) | 11 | (22 | ) | 44 | (77 | ) | ||||||||||||||||||
| Gains (losses) on debt recorded at fair value: | ||||||||||||||||||||||||||||||
| 3 | Translation gains (losses) |
57 | (19 | ) | 55 | (15 | ) | (28 | ) | 40 | (7 | ) | ||||||||||||||||||
| 4 | Market value adjustments |
19 | 2 | 7 | 5 | 9 | 51 | 23 | ||||||||||||||||||||||
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| 5 | Total gains (losses) on debt recorded at fair value |
76 | (17 | ) | 62 | (10 | ) | (19 | ) | 91 | 16 | |||||||||||||||||||
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| Derivative gains (losses): | ||||||||||||||||||||||||||||||
| Foreign-currency denominated derivatives gains (losses): |
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| 6 | Foreign-currency swaps gains (losses) |
(56 | ) | 9 | (56 | ) | 12 | 27 | (41 | ) | (8 | ) | ||||||||||||||||||
| 7 | Receive-fixed swaps — foreign-currency denominated gains (losses) |
(12 | ) | (5 | ) | (10 | ) | (7 | ) | (11 | ) | (49 | ) | (33 | ) | |||||||||||||||
| 8 | U.S. dollar denominated derivative gains (losses) |
464 | 16 | 146 | 402 | 831 | (4,630 | ) | 1,395 | |||||||||||||||||||||
| 9 | Accrual of periodic settlements |
(1,162 | ) | (1,076 | ) | (962 | ) | (895 | ) | (869 | ) | (5,032 | ) | (3,802 | ) | |||||||||||||||
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| 10 | Total derivative gains (losses) |
(766 | ) | (1,056 | ) | (882 | ) | (488 | ) | (22 | ) | (9,752 | ) | (2,448 | ) | |||||||||||||||
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| Impairment of available-for-sale securities: | ||||||||||||||||||||||||||||||
| 11 | Total other-than-temporary impairment of available-for-sale securities |
(358 | ) | (475 | ) | (135 | ) | (332 | ) | (294 | ) | (2,101 | ) | (1,236 | ) | |||||||||||||||
| 12 | Portion of other-than-temporary impairment recognized in AOCI |
(237 | ) | (89 | ) | 37 | 65 | (945 | ) | (200 | ) | (932 | ) | |||||||||||||||||
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| 13 | Net impairment of available-for-sale securities recognized in earnings |
(595 | ) | (564 | ) | (98 | ) | (267 | ) | (1,239 | ) | (2,301 | ) | (2,168 | ) | |||||||||||||||
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| Other gains (losses) on investment securities recognized in earnings: | ||||||||||||||||||||||||||||||
| 14 | Gains (losses) on trading securities |
(481 | ) | (377 | ) | (400 | ) | (338 | ) | (559 | ) | (954 | ) | (1,674 | ) | |||||||||||||||
| 15 | Gains (losses) on sale of available-for-sale securities |
37 | 89 | 44 | 8 | 11 | 58 | 152 | ||||||||||||||||||||||
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| 16 | Total other gains (losses) on investment securities recognized in earnings |
(444 | ) | (288 | ) | (356 | ) | (330 | ) | (548 | ) | (896 | ) | (1,522 | ) | |||||||||||||||
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| Other income: | ||||||||||||||||||||||||||||||
| 17 | Gains (losses) on sale of mortgage loans |
109 | 40 | 44 | 117 | 74 | 411 | 275 | ||||||||||||||||||||||
| 18 | Gains (losses) on mortgage loans recorded at fair value |
99 | 139 | 201 | 310 | 85 | 418 | 735 | ||||||||||||||||||||||
| 19 | Recoveries on loans impaired upon purchase |
97 | 89 | 87 | 101 | 103 | 473 | 380 | ||||||||||||||||||||||
| 20 | Guarantee-related income |
70 | 70 | 130 | 69 | 74 | 245 | 343 | ||||||||||||||||||||||
| 21 | All other |
380 | 96 | 107 | (39 | ) | 277 | 608 | 441 | |||||||||||||||||||||
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| 22 | Total other income |
755 | 434 | 569 | 558 | 613 | 2,155 | 2,174 | ||||||||||||||||||||||
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| 23 | Total non-interest income (loss) |
$ | (971 | ) | $ | (1,516 | ) | $ | (751 | ) | $ | (560 | ) | $ | (1,256 | ) | $ | (10,878 | ) | $ | (4,083 | ) | ||||||||
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6
FREDDIE MAC
TABLE 3 — CREDIT QUALITY INDICATORS (unaudited) (dollars in millions)
| Full Year | ||||||||||||||||||||||||||||||
| 4Q 2011 | 1Q 2012 | 2Q 2012 | 3Q 2012 | 4Q 2012 | 2011 | 2012 | ||||||||||||||||||||||||
| Credit Enhancements: | ||||||||||||||||||||||||||||||
| 1 | Credit-enhanced percentage of mortgage loan portfolio purchases | 7 | % | 9 | % | 11 | % | 13 | % | 12 | % | 8 | % | 11 | % | |||||||||||||||
| 2 | Credit-enhanced percentage of mortgage loan portfolio(1) | 14 | % | 13 | % | 13 | % | 13 | % | 13 | % | 14 | % | 13 | % | |||||||||||||||
| Delinquency Rates (at period end):(2)(3) | ||||||||||||||||||||||||||||||
| Single-family: | ||||||||||||||||||||||||||||||
| 3 | Non-credit-enhanced |
2.84 | % | 2.80 | % | 2.76 | % | 2.71 | % | 2.66 | % | 2.84 | % | 2.66 | % | |||||||||||||||
| 4 | Credit-enhanced |
8.03 | % | 8.02 | % | 7.85 | % | 7.62 | % | 7.34 | % | 8.03 | % | 7.34 | % | |||||||||||||||
| 5 | Total Single-family |
3.58 | % | 3.51 | % | 3.45 | % | 3.37 | % | 3.25 | % | 3.58 | % | 3.25 | % | |||||||||||||||
| Multifamily | ||||||||||||||||||||||||||||||
| 6 | Non-credit-enhanced |
0.11 | % | 0.16 | % | 0.19 | % | 0.18 | % | 0.10 | % | 0.11 | % | 0.10 | % | |||||||||||||||
| 7 | Credit-enhanced |
0.52 | % | 0.39 | % | 0.44 | % | 0.45 | % | 0.36 | % | 0.52 | % | 0.36 | % | |||||||||||||||
| 8 | Total Multifamily |
0.22 | % | 0.23 | % | 0.27 | % | 0.27 | % | 0.19 | % | 0.22 | % | 0.19 | % | |||||||||||||||
| Single-family Loan Workouts(4) (number of units): | ||||||||||||||||||||||||||||||
| 9 | Loan modifications | 19,048 | 13,677 | 15,142 | 20,864 | 19,898 | 109,174 | 69,581 | ||||||||||||||||||||||
| 10 | Repayment plans | 8,008 | 10,575 | 8,712 | 7,099 | 6,964 | 33,421 | 33,350 | ||||||||||||||||||||||
| 11 | Forbearance agreements | 3,867 | 3,656 | 4,738 | 2,190 | 2,442 | 19,516 | 13,026 | ||||||||||||||||||||||
| 12 | Short sales and deed-in-lieu transactions | 12,675 | 12,245 | 12,531 | 14,383 | 13,849 | 46,163 | 53,008 | ||||||||||||||||||||||
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| 13 | Total single-family loan workouts |
43,598 | 40,153 | 41,123 | 44,536 | 43,153 | 208,274 | 168,965 | ||||||||||||||||||||||
| Non-performing assets(3) (at period end): | ||||||||||||||||||||||||||||||
| 14 | Non-performing mortgage loans(5) | $ | 123,472 | $ | 122,497 | $ | 121,419 | $ | 133,998 | $ | 131,299 | $ | 123,472 | $ | 131,299 | |||||||||||||||
| 15 | REO assets, net | 5,680 | 5,454 | 4,809 | 4,502 | 4,378 | 5,680 | 4,378 | ||||||||||||||||||||||
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| 16 | Total non-performing assets |
$ | 129,152 | $ | 127,951 | $ | 126,228 | $ | 138,500 | $ | 135,677 | $ | 129,152 | $ | 135,677 | |||||||||||||||
| REO Operations Income (Expense): | ||||||||||||||||||||||||||||||
| 17 | Single-family | $ | (78 | ) | $ | (172 | ) | $ | 34 | $ | 40 | $ | 36 | $ | (596 | ) | $ | (62 | ) | |||||||||||
| 18 | Multifamily | (2 | ) | 1 | (4 | ) | 9 | (3 | ) | 11 | 3 | |||||||||||||||||||
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| 19 | Total |
$ | (80 | ) | $ | (171 | ) | $ | 30 | $ | 49 | $ | 33 | $ | (585 | ) | $ | (59 | ) | |||||||||||
| Loan Loss Reserves:(6) | ||||||||||||||||||||||||||||||
| 20 | Beginning balance | $ | 39,744 | $ | 39,461 | $ | 38,296 | $ | 35,794 | $ | 33,751 | $ | 39,926 | $ | 39,461 | |||||||||||||||
| 21 | Provision (benefit) for credit losses(7) | 2,578 | 1,825 | 155 | 610 | (700 | ) | 10,702 | 1,890 | |||||||||||||||||||||
| 22 | Charge-offs — single-family, net | (3,026 | ) | (3,162 | ) | (2,818 | ) | (2,906 | ) | (2,372 | ) | (11,971 | ) | (11,258 | ) | |||||||||||||||
| 23 | Charge-offs — multifamily, net | (25 | ) | (1 | ) | (7 | ) | (3 | ) | (23 | ) | (74 | ) | (34 | ) | |||||||||||||||
| 24 | Transfers, net | 190 | 173 | 168 | 256 | 234 | 878 | 831 | ||||||||||||||||||||||
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| 25 | Ending balance | $ | 39,461 | $ | 38,296 | $ | 35,794 | $ | 33,751 | $ | 30,890 | $ | 39,461 | $ | 30,890 | |||||||||||||||
| Total Credit Losses:(8) | ||||||||||||||||||||||||||||||
| 26 | Total credit losses | $ | 3,236 | $ | 3,435 | $ | 2,869 | $ | 2,930 | $ | 2,425 | $ | 13,052 | $ | 11,659 | |||||||||||||||
| 27 | Annualized credit losses / average mortgage loan portfolio(9) | 68.5 bps | 73.6 bps | 62.5 bps | 64.8 bps | 54.1 bps | 68.1 bps | 63.8 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) | See “MD&A — RISK MANAGEMENT — Credit Risk — Mortgage Credit Risk” in our Form 10-K for the year ended December 31, 2012, 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 non-consolidated 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. These categories are not mutually exclusive and a loan in the category may also be included within another category. We only report activity for a single loan in the forbearance category once during each quarterly period; however a single loan may be included under separate forbearance agreements in separate periods. Forbearance agreements exclude loans with long-term forbearance under a completed loan modification. For more information on our loan workout activities see “MD&A — RISK MANAGEMENT — Credit Risk — Single-Family Mortgage Credit Risk — Single-Family Loan Workouts and the MHA Program” in our Form 10-K for the year ended December 31, 2012. |
| (5) | In the third quarter of 2012, we changed the treatment of single-family loans discharged in Chapter 7 bankruptcy to classify these loans as TDRs (unless they were already classified as TDRs for other reasons), regardless of the borrowers’ payment status. As a result, we newly classified loans representing approximately $19.5 billion in UPB discharged in Chapter 7 bankruptcy as TDRs in the third quarter of 2012, and the majority of these loans were not seriously delinquent. |
| (6) | 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). |
| (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)
| Full Year |
||||||||||||||||||||||||||||||||
| 4Q 2011 | 1Q 2012 | 2Q 2012 | 3Q 2012 | 4Q 2012 | 2011 | 2012 | ||||||||||||||||||||||||||
| Segment Earnings, net of taxes: | ||||||||||||||||||||||||||||||||
| 1 | Investments segment |
$ | 2,298 | $ | 1,628 | $ | 2,468 | $ | 2,472 | $ | 1,644 | $ | 3,366 | $ | 8,212 | |||||||||||||||||
| 2 | Single-family Guarantee segment |
(2,249 | ) | (1,675 | ) | 241 | (163 | ) | 1,433 | (10,000 | ) | (164 | ) | |||||||||||||||||||
| 3 | Multifamily segment |
555 | 624 | 318 | 710 | 494 | 1,319 | 2,146 | ||||||||||||||||||||||||
| 4 | All Other |
15 | — | (7 | ) | (91 | ) | 886 | 49 | 788 | ||||||||||||||||||||||
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| 5 | Total Segment Earnings (loss), net of taxes |
$ | 619 | $ | 577 | $ | 3,020 | $ | 2,928 | $ | 4,457 | $ | (5,266 | ) | $ | 10,982 | ||||||||||||||||
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| Comprehensive Income (Loss) of Segments: | ||||||||||||||||||||||||||||||||
| 6 | Investments segment |
$ | 2,299 | $ | 1,963 | $ | 2,495 | $ | 4,487 | $ | 2,452 | $ | 6,473 | $ | 11,397 | |||||||||||||||||
| 7 | Single-family Guarantee segment |
(2,216 | ) | (1,698 | ) | 242 | (162 | ) | 1,391 | (9,970 | ) | (227 | ) | |||||||||||||||||||
| 8 | Multifamily segment |
1,408 | 1,524 | 162 | 1,396 | 999 | 2,218 | 4,081 | ||||||||||||||||||||||||
| 9 | All Other |
15 | — | (7 | ) | (91 | ) | 886 | 49 | 788 | ||||||||||||||||||||||
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| 10 | Total comprehensive income (loss) of segments |
$ | 1,506 | $ | 1,789 | $ | 2,892 | $ | 5,630 | $ | 5,728 | $ | (1,230 | ) | $ | 16,039 | ||||||||||||||||
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| Net interest yield - Segment Earnings (annualized): | ||||||||||||||||||||||||||||||||
| 11 | Investments segment |
138 bps | 129 bps | 124 bps | 112 bps | 117 bps | 127 bps | 121 bps | ||||||||||||||||||||||||
| 12 | Multifamily segment |
85 bps | 90 bps | 96 bps | 99 bps | 94 bps | 83 bps | 95 bps | ||||||||||||||||||||||||
| Management and guarantee income - Segment Earnings (annualized): | ||||||||||||||||||||||||||||||||
| 13 | Single-family Guarantee segment |
23.0 bps | 23.2 bps | 24.1 bps | 26.5 bps | 30.2 bps | 20.2 bps | 25.9 bps | ||||||||||||||||||||||||
| 14 | Multifamily segment |
39.7 bps | 38.7 bps | 36.2 bps | 34.1 bps | 34.2 bps | 42.4 bps | 35.6 bps | ||||||||||||||||||||||||
| Credit losses - Segment Earnings (annualized): | ||||||||||||||||||||||||||||||||
| 15 | Single-family Guarantee segment |
72.4 bps | 78.6 bps | 66.7 bps | 69.8 bps | 57.5 bps | 72.0 bps | 68.3 bps | ||||||||||||||||||||||||
| 16 | Multifamily segment |
9.1 bps | — bps | 3.8 bps | (1.7) bps | 9.1 bps | 6.3 bps | 2.8 bps | ||||||||||||||||||||||||
| (1) | See “NOTE 13: SEGMENT REPORTING” in our Form 10-K for the year ended December 31, 2012 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). Likewise, the sum of total comprehensive income (loss) for each segment and the All Other category equals GAAP total comprehensive income (loss). |
8
FREDDIE MAC
TABLE 4B — SEGMENT EARNINGS — INVESTMENTS SEGMENT(1)(2) (unaudited) (dollars in millions)
| Full Year |
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| 4Q 2011 | 1Q 2012 | 2Q 2012 | 3Q 2012 | 4Q 2012 | 2011 | 2012 | ||||||||||||||||||||||||
| Segment Earnings, net of taxes: | ||||||||||||||||||||||||||||||
| 1 | Net interest income |
$ | 1,955 | $ | 1,763 | $ | 1,559 | $ | 1,368 | $ | 1,420 | $ | 7,339 | $ | 6,110 | |||||||||||||||
| Non-interest income (loss): |
||||||||||||||||||||||||||||||
| 2 | Net impairment of available-for-sale securities recognized in earnings |
(549 | ) | (496 | ) | (14 | ) | (180 | ) | (1,141 | ) | (1,833 | ) | (1,831 | ) | |||||||||||||||
| 3 | Derivative gains (losses) |
600 | 200 | 236 | 557 | 977 | (3,597 | ) | 1,970 | |||||||||||||||||||||
| 4 | Gains (losses) on trading securities |
(490 | ) | (398 | ) | (413 | ) | (364 | ) | (580 | ) | (993 | ) | (1,755 | ) | |||||||||||||||
| 5 | Gains (losses) on sale of mortgage loans |
12 | (14 | ) | 6 | 7 | 7 | 28 | 6 | |||||||||||||||||||||
| 6 | Gains (losses) on mortgage loans recorded at fair value |
59 | (38 | ) | 257 | 105 | (27 | ) | 501 | 297 | ||||||||||||||||||||
| 7 | Other non-interest income (loss) |
564 | 513 | 673 | 494 | 677 | 1,266 | 2,357 | ||||||||||||||||||||||
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| 8 | Total non-interest income (loss) |
196 | (233 | ) | 745 | 619 | (87 | ) | (4,628 | ) | 1,044 | |||||||||||||||||||
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| Non-interest expense: |
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| 9 | Administrative expenses |
(105 | ) | (92 | ) | (108 | ) | (110 | ) | (120 | ) | (398 | ) | (430 | ) | |||||||||||||||
| 10 | Other non-interest expense |
— | — | — | (1 | ) | — | (2 | ) | (1 | ) | |||||||||||||||||||
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| 11 | Total non-interest expense |
(105 | ) | (92 | ) | (108 | ) | (111 | ) | (120 | ) | (400 | ) | (431 | ) | |||||||||||||||
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| 12 | Segment adjustments |
195 | 155 | 164 | 191 | 289 | 661 | 799 | ||||||||||||||||||||||
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| 13 | Segment Earnings before income tax benefit |
2,241 | 1,593 | 2,360 | 2,067 | 1,502 | 2,972 | 7,522 | ||||||||||||||||||||||
| 14 | Income tax benefit |
57 | 35 | 108 | 405 | 142 | 394 | 690 | ||||||||||||||||||||||
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| 15 | Segment Earnings, net of taxes |
2,298 | 1,628 | 2,468 | 2,472 | 1,644 | 3,366 | 8,212 | ||||||||||||||||||||||
| 16 | Total other comprehensive income, net of taxes | 1 | 335 | 27 | 2,015 | 808 | 3,107 | 3,185 | ||||||||||||||||||||||
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| 17 | Comprehensive income — Investments segment | $ | 2,299 | $ | 1,963 | $ | 2,495 | $ | 4,487 | $ | 2,452 | $ | 6,473 | $ | 11,397 | |||||||||||||||
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| 18 | Net interest yield — Segment Earnings (annualized) | 138 bps | 129 bps | 124 bps | 112 bps | 117 bps | 127 bps | 121 bps | ||||||||||||||||||||||
| (1) | See “NOTE 13: SEGMENT REPORTING” in our Form 10-K for the year ended December 31, 2012 for more information regarding Segment Earnings. |
| (2) | Segment Earnings for the Investments segment equals GAAP net income (loss) for the Investments segment. |
9
FREDDIE MAC
TABLE 4C — SEGMENT EARNINGS — SINGLE-FAMILY GUARANTEE SEGMENT(1)(2) (unaudited) (dollars in millions)
| Full Year | ||||||||||||||||||||||||||||||
| 4Q 2011 | 1Q 2012 | 2Q 2012 | 3Q 2012 | 4Q 2012 | 2011 | 2012 | ||||||||||||||||||||||||
| Segment Earnings (Loss), net of taxes: | ||||||||||||||||||||||||||||||
| 1 | Net interest income (expense) |
$ | 5 | $ | (32 | ) | $ | (1 | ) | $ | (61 | ) | $ | (53 | ) | $ | (23 | ) | $ | (147 | ) | |||||||||
| 2 | (Provision) benefit for credit losses |
(3,116 | ) | (2,184 | ) | (462 | ) | (931 | ) | 409 | (12,294 | ) | (3,168 | ) | ||||||||||||||||
| Non-interest income: |
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| 3 | Management and guarantee income |
1,016 | 1,011 | 1,026 | 1,108 | 1,244 | 3,647 | 4,389 | ||||||||||||||||||||||
| 4 | Other non-interest income |
466 | 181 | 171 | 219 | 360 | 1,216 | 931 | ||||||||||||||||||||||
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| 5 | Total non-interest income |
1,482 | 1,192 | 1,197 | 1,327 | 1,604 | 4,863 | 5,320 | ||||||||||||||||||||||
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| Non-interest expense: |
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| 6 | Administrative expenses |
(218 | ) | (193 | ) | (232 | ) | (228 | ) | (237 | ) | (888 | ) | (890 | ) | |||||||||||||||
| 7 | REO operations income (expense) |
(78 | ) | (172 | ) | 34 | 40 | 36 | (596 | ) | (62 | ) | ||||||||||||||||||
| 8 | Other non-interest expense |
(80 | ) | (73 | ) | (82 | ) | (111 | ) | (127 | ) | (321 | ) | (393 | ) | |||||||||||||||
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| 9 | Total non-interest expense |
(376 | ) | (438 | ) | (280 | ) | (299 | ) | (328 | ) | (1,805 | ) | (1,345 | ) | |||||||||||||||
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| 10 | Segment adjustments |
(210 | ) | (196 | ) | (192 | ) | (189 | ) | (255 | ) | (699 | ) | (832 | ) | |||||||||||||||
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| 11 | Segment Earnings (loss) before income tax (expense) benefit |
(2,215 | ) | (1,658 | ) | 262 | (153 | ) | 1,377 | (9,958 | ) | (172 | ) | |||||||||||||||||
| 12 | Income tax (expense) benefit |
(34 | ) | (17 | ) | (21 | ) | (10 | ) | 56 | (42 | ) | 8 | |||||||||||||||||
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| 13 | Segment Earnings (loss), net of taxes |
(2,249 | ) | (1,675 | ) | 241 | (163 | ) | 1,433 | (10,000 | ) | (164 | ) | |||||||||||||||||
| 14 | Total other comprehensive income (loss), net of taxes | 33 | (23 | ) | 1 | 1 | (42 | ) | 30 | (63 | ) | |||||||||||||||||||
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| 15 | Comprehensive income (loss) — Single-family Guarantee segment | $ | (2,216 | ) | $ | (1,698 | ) | $ | 242 | $ | (162 | ) | $ | 1,391 | $ | (9,970 | ) | $ | (227 | ) | ||||||||||
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| Management and guarantee income — Segment Earnings: | ||||||||||||||||||||||||||||||
| 16 | Contractual management and guarantee fees (annualized rate) |
14.1 bps | 14.3 bps | 14.8 bps | 15.7 bps | 14.1 bps | 13.7 bps | 14.7 bps | ||||||||||||||||||||||
| 17 | Amortization of delivery fees (annualized rate) |
8.9 bps | 8.9 bps | 9.3 bps | 10.8 bps | 16.1 bps | 6.5 bps | 11.2 bps | ||||||||||||||||||||||
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| 18 | Segment Earnings management and guarantee income (annualized rate) |
23.0 bps | 23.2 bps | 24.1 bps | 26.5 bps | 30.2 bps | 20.2 bps | 25.9 bps | ||||||||||||||||||||||
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| Credit losses — Segment Earnings: | ||||||||||||||||||||||||||||||
| 19 | Annualized credit losses/average single-family credit guarantee portfolio and HFA-related guarantees |
72.4 bps | 78.6 bps | 66.7 bps | 69.8 bps | 57.5 bps | 72.0 bps | 68.3 bps | ||||||||||||||||||||||
| (1) | See “NOTE 13: SEGMENT REPORTING” in our Form 10-K for the year ended December 31, 2012 for more information regarding Segment Earnings. |
| (2) | Segment Earnings for the Single-family Guarantee segment equals GAAP net income (loss) for the Single-family Guarantee segment. |
10
FREDDIE MAC
TABLE 4D — SEGMENT EARNINGS — MULTIFAMILY SEGMENT (1)(2) (unaudited) (dollars in millions)
| Full Year | ||||||||||||||||||||||||||||||
| 4Q 2011 | 1Q 2012 | 2Q 2012 | 3Q 2012 | 4Q 2012 | 2011 | 2012 | ||||||||||||||||||||||||
| Segment Earnings, net of taxes: | ||||||||||||||||||||||||||||||
| 1 | Net interest income |
$ | 303 | $ | 318 | $ | 330 | $ | 334 | $ | 309 | $ | 1,200 | $ | 1,291 | |||||||||||||||
| 2 | (Provision) benefit for credit losses |
86 | 19 | 22 | 40 | 42 | 196 | 123 | ||||||||||||||||||||||
| Non-interest income: |
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| 3 | Management and guarantee income |
37 | 33 | 36 | 38 | 44 | 127 | 151 | ||||||||||||||||||||||
| 4 | Net impairment of available-for-sale securities recognized in earnings |
(9 | ) | (16 | ) | (19 | ) | (29 | ) | (59 | ) | (353 | ) | (123 | ) | |||||||||||||||
| 5 | Gains (losses) on sale of mortgage loans |
97 | 54 | 38 | 110 | 67 | 383 | 269 | ||||||||||||||||||||||
| 6 | Gains (losses) on mortgage loans recorded at fair value |
40 | 177 | (56 | ) | 205 | 112 | (83 | ) | 438 | ||||||||||||||||||||
| 7 | Other non-interest income |
73 | 109 | 119 | 77 | 58 | 128 | 363 | ||||||||||||||||||||||
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| 8 | Total non-interest income |
238 | 357 | 118 | 401 | 222 | 202 | 1,098 | ||||||||||||||||||||||
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| Non-interest expense: |
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| 9 | Administrative expenses |
(57 | ) | (52 | ) | (61 | ) | (63 | ) | (65 | ) | (220 | ) | (241 | ) | |||||||||||||||
| 10 | REO operations income (expense) |
(2 | ) | 1 | (4 | ) | 9 | (3 | ) | 11 | 3 | |||||||||||||||||||
| 11 | Other non-interest expense |
(13 | ) | (15 | ) | (83 | ) | (9 | ) | (22 | ) | (69 | ) | (129 | ) | |||||||||||||||
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| 12 | Total non-interest expense |
(72 | ) | (66 | ) | (148 | ) | (63 | ) | (90 | ) | (278 | ) | (367 | ) | |||||||||||||||
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| 13 | Segment Earnings before income tax benefit (expense) |
555 | 628 | 322 | 712 | 483 | 1,320 | 2,145 | ||||||||||||||||||||||
| 14 | Income tax benefit (expense) |
— | (4 | ) | (4 | ) | (2 | ) | 11 | (1 | ) | 1 | ||||||||||||||||||
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| 15 | Segment Earnings, net of taxes |
555 | 624 | 318 | 710 | 494 | 1,319 | 2,146 | ||||||||||||||||||||||
| 16 | Total other comprehensive income, net of taxes | 853 | 900 | (156 | ) | 686 | 505 | 899 | 1,935 | |||||||||||||||||||||
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| 17 | Comprehensive income — Multifamily segment | $ | 1,408 | $ | 1,524 | $ | 162 | $ | 1,396 | $ | 999 | $ | 2,218 | $ | 4,081 | |||||||||||||||
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| 18 | Net interest yield — Segment Earnings (annualized) | 85 bps | 90 bps | 96 bps | 99 bps | 94 bps | 83 bps | 95 bps | ||||||||||||||||||||||
| Management and guarantee income — Segment Earnings: | ||||||||||||||||||||||||||||||
| 19 | Average contractual rate (annualized)(3) |
39.7 bps | 38.7 bps | 36.2 bps | 34.1 bps | 34.2 bps | 42.4 bps | 35.6 bps | ||||||||||||||||||||||
| Credit losses — Segment Earnings: | ||||||||||||||||||||||||||||||
| 20 | Annualized credit losses (gains)/average multifamily mortgage portfolio and HFA-related guarantees |
9.1 bps | — bps | 3.8 bps | (1.7) bps | 9.1 bps | 6.3 bps | 2.8 bps | ||||||||||||||||||||||
| (1) | See “NOTE 13: SEGMENT REPORTING” in our Form 10-K for the year ended December 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. |
11