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

Attached files

file	filename
8-K - 8-K - FEDERAL HOME LOAN MORTGAGE CORP	f71549e8vk.htm
EX-99.1 - EXHIBIT 99.1 - FEDERAL HOME LOAN MORTGAGE CORP	f71549exv99w1.htm
EX-99.3 - EXHIBIT 99.3 - FEDERAL HOME LOAN MORTGAGE CORP	f71549exv99w3.htm

Exhibit 99.2


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

TABLE OF CONTENTS


	GAAP Financial Statements	Page

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

Table	GAAP Financial Results

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

	Segment Earnings Results

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

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


					Three Months Ended
Line:					March 31, 2010			June 30, 2010			September 30, 2010			December 31, 2010			March 31, 2011
					(dollars in millions, except share-related amounts)
		Interest income
			Mortgage loans:
	1		Held by consolidated trusts	$	22,732		$	22,114		$	21,473		$	20,379		$	20,064
	2		Unsecuritized		1,961			2,179			2,305			2,282			2,334

	3		Total mortgage loans		24,693			24,293			23,778			22,661			22,398
	4		Investments in securities		3,899			3,574			3,557			3,345			3,283
	5		Other		33			34			48			41			34

	6		Total interest income		28,625			27,901			27,383			26,047			25,715

		Interest expense
	7		Debt securities of consolidated trusts		(19,643	)		(19,048	)		(18,721	)		(17,804	)		(17,403	)
	8		Other debt		(4,599	)		(4,468	)		(4,145	)		(3,703	)		(3,565	)

	9		Total interest expense		(24,242	)		(23,516	)		(22,866	)		(21,507	)		(20,968	)
	10		Expense related to derivatives		(258	)		(249	)		(238	)		(224	)		(207	)

	11	Net interest income			4,125			4,136			4,279			4,316			4,540
	12	Provision for credit losses			(5,396	)		(5,029	)		(3,727	)		(3,066	)		(1,989	)

	13	Net interest income (loss) after provision for credit losses			(1,271	)		(893	)		552			1,250			2,551

		Non-interest income (loss)
	14		Gains (losses) on extinguishment of debt securities of consolidated trusts		(98	)		4			(66	)		(4	)		223
	15		Gains (losses) on retirement of other debt		(38	)		(141	)		(50	)		10			12
	16		Gains (losses) on debt recorded at fair value		347			544			(366	)		55			(81	)
	17		Derivative gains (losses)		(4,685	)		(3,838	)		(1,130	)		1,568			(427	)
			Impairment of available-for-sale securities:
	18		Total other-than-temporary impairment of available-for-sale securities		(417	)		(114	)		(523	)		(724	)		(1,054	)
	19		Portion of other-than-temporary impairment recognized in AOCI		(93	)		(314	)		(577	)		(1,546	)		(139	)

	20		Net impairment of available-for-sale securities recognized in earnings		(510	)		(428	)		(1,100	)		(2,270	)		(1,193	)
	21		Other gains (losses) on investment securities recognized in earnings		(416	)		(257	)		(503	)		(76	)		(120	)
	22		Other income		546			489			569			256			334

	23	Non-interest income (loss)			(4,854	)		(3,627	)		(2,646	)		(461	)		(1,252	)

		Non-interest expense
	24		Salaries and employee benefits		(234	)		(230	)		(224	)		(207	)		(207	)
	25		Professional services		(81	)		(67	)		(72	)		(77	)		(56	)
	26		Occupancy expense		(16	)		(15	)		(16	)		(17	)		(15	)
	27		Other administrative expenses		(74	)		(92	)		(76	)		(99	)		(83	)

	28		Total administrative expenses		(405	)		(404	)		(388	)		(400	)		(361	)
	29		Real estate owned operations expense		(159	)		40			(337	)		(217	)		(257	)
	30		Other expenses		(103	)		(115	)		(103	)		(341	)		(79	)

	31	Non-interest expense			(667	)		(479	)		(828	)		(958	)		(697	)

	32	Income (loss) before income tax benefit			(6,792	)		(4,999	)		(2,922	)		(169	)		602
	33	Income tax benefit			103			286			411			56			74

	34	Net income (loss)			(6,689	)		(4,713	)		(2,511	)		(113	)		676

		Other comprehensive income (loss), net of taxes and reclassification adjustments:
	35		Changes in unrealized gains (losses) related to available-for-sale securities		4,646			4,097			3,781			1,097			1,941
	36		Changes in unrealized gains (losses) related to cash flow hedge relationships		172			184			164			153			132
	37		Changes in defined benefit plans		(10	)		2			2			19			(9	)

	38		Total other comprehensive income (loss), net of taxes and reclassification adjustments		4,808			4,283			3,947			1,269			2,064

	39	Comprehensive income (loss)			(1,881	)		(430	)		1,436			1,156			2,740
	40		Less: Comprehensive (income) loss attributable to noncontrolling interest		1			—			—			—			—

	41	Total comprehensive income (loss) attributable to Freddie Mac		$	(1,880	)	$	(430	)	$	1,436		$	1,156		$	2,740

	42	Net income (loss)		$	(6,689	)	$	(4,713	)	$	(2,511	)	$	(113	)	$	676
	43		Less: Net (income) loss attributable to noncontrolling interest		1			—			—			—			—

	44	Net income (loss) attributable to Freddie Mac			(6,688	)		(4,713	)		(2,511	)		(113	)		676
	45		Preferred stock dividends		(1,292	)		(1,296	)		(1,558	)		(1,603	)		(1,605	)

	46	Net loss attributable to common stockholders		$	(7,980	)	$	(6,009	)	$	(4,069	)	$	(1,716	)	$	(929	)

		Loss per common share:
	47		Basic	$	(2.45	)	$	(1.85	)	$	(1.25	)	$	(0.53	)	$	(0.29	)
	48		Diluted	$	(2.45	)	$	(1.85	)	$	(1.25	)	$	(0.53	)	$	(0.29	)
		Weighted average common shares outstanding (in thousands):
	49		Basic		3,251,295			3,249,198			3,248,794			3,248,227			3,246,985
	50		Diluted		3,251,295			3,249,198			3,248,794			3,248,227			3,246,985

FREDDIE MAC
CONSOLIDATED BALANCE SHEETS
(unaudited)


Line:				March 31, 2010			June 30, 2010			September 30, 2010			December 31, 2010			March 31, 2011
				(dollars in millions, except share-related amounts)
	Assets
1	Cash and cash equivalents (includes $2, $1, $1, $1, and $1, respectively, related to our consolidated VIEs)			$	55,445		$	49,677		$	27,920		$	37,012		$	34,298
2	Restricted cash and cash equivalents (includes $9,386, $6,390, $5,817, $7,514, and $5,497 respectively, related to our consolidated VIEs)				9,788			6,795			6,280			8,111			6,184
3	Federal funds sold and securities purchased under agreements to resell (includes $8,750, $14,000, $25,700, $29,350, and $11,500, respectively, related to our consolidated VIEs)				25,491			42,068			44,945			46,524			37,792
	Investments in securities:
4			Available-for-sale, at fair value (includes $598, $570, $541, $817, and $298, respectively, pledged as collateral that may be repledged)		252,353			245,305			239,585			232,634			229,838
5			Trading, at fair value		75,955			66,633			63,208			60,262			61,353

6			Total investments in securities		328,308			311,938			302,793			292,896			291,191

	Mortgage loans:
		Held-for-investment, at amortized cost:
7			By consolidated trusts (net of allowances for loan losses of $21,758, $14,476, $13,228, $11,644, and $9,517, respectively)		1,745,765			1,716,026			1,681,736			1,646,172			1,644,609
8			Unsecuritized (net of allowances for loan losses of $14,872, $23,666, $25,173, $28,047, and $29,571, respectively)		160,613			182,875			186,974			192,310			197,883

9			Total held-for-investment mortgage loans, net		1,906,378			1,898,901			1,868,710			1,838,482			1,842,492
10			Held-for-sale, at lower-of-cost-or-fair-value (includes $2,206, $1,656, $2,864, $6,413, and $5,304 at fair value, respectively)		2,206			1,656			2,864			6,413			5,304

11			Total mortgage loans, net		1,908,584			1,900,557			1,871,574			1,844,895			1,847,796
12	Accrued interest receivable (includes $7,565, $7,435, $7,203, $6,895, and $6,801, respectively, related to our consolidated VIEs)				9,468			9,265			9,009			8,713			8,660
13	Derivative assets, net				57			172			100			143			58
14	Real estate owned, net (includes $134, $128, $138, $118, and $112, respectively, related to our consolidated VIEs)				5,468			6,298			7,511			7,068			6,376
15	Deferred tax assets, net				10,044			7,926			6,134			5,543			4,498
16	Other assets (includes $3,080, $4,022, $7,057, $6,001, and $2,675, respectively, related to our consolidated VIEs)				7,557			8,880			12,464			10,875			8,063

17		Total assets		$	2,360,210		$	2,343,576		$	2,288,730		$	2,261,780		$	2,244,916


	Liabilities and equity (deficit)

	Liabilities
18	Accrued interest payable (includes $6,917, $6,804, $6,710, $6,502, and $6,345, respectively, related to our consolidated VIEs)			$	10,764		$	11,228		$	10,097		$	10,286		$	9,392

	Debt, net:
19		Debt securities of consolidated trusts held by third parties			1,545,227			1,541,914			1,542,503			1,528,648			1,510,426
20		Other debt (includes $8,496, $7,743, $4,998, $4,443, and $3,960, at fair value, respectively)			806,621			784,431			727,391			713,940			715,572

21		Total debt, net			2,351,848			2,326,345			2,269,894			2,242,588			2,225,998
22	Derivative liabilities, net				888			873			1,071			1,209			750
23	Other liabilities (includes $3,879, $3,752, $3,808, $3,851, and $3,757, respectively, related to our consolidated VIEs)				7,235			6,868			7,726			8,098			7,539

24		Total liabilities			2,370,735			2,345,314			2,288,788			2,262,181			2,243,679

25	Commitments and contingencies

	Equity (deficit)

	Freddie Mac stockholders’ equity (deficit)
26		Senior preferred stock, at redemption value			51,700			62,300			64,100			64,200			64,700
27		Preferred stock, at redemption value			14,109			14,109			14,109			14,109			14,109
28		Common stock, $0.00 par value, 4,000,000,000 shares authorized, 725,863,886 shares issued and 649,105,601 shares, 649,147,888 shares, 649,164,670 shares, 649,179,789 shares, and 649,686,194 shares outstanding, respectively			—			—			—			—			—
29		Additional paid-in capital			—			—			4			7			—
30		Retained earnings (accumulated deficit)			(50,933	)		(56,945	)		(61,017	)		(62,733	)		(63,693	)
		Accumulated other comprehensive income (loss), or AOCI, net of taxes, related to:
31			Available-for-sale securities (includes $14,719, $13,071, $12,164, $10,740, and $9,978, respectively, net of taxes, of other-than-temporary impairments)		(18,653	)		(14,556	)		(10,775	)		(9,678	)		(7,737	)
32			Cash flow hedge relationships		(2,740	)		(2,556	)		(2,392	)		(2,239	)		(2,107	)
33			Defined benefit plans		(137	)		(135	)		(133	)		(114	)		(123	)

34			Total AOCI, net of taxes		(21,530	)		(17,247	)		(13,300	)		(12,031	)		(9,967	)
35		Treasury stock, at cost, 76,758,285 shares, 76,715,998 shares, 76,699,216 shares, 76,684,097 shares, and 76,177,692 shares, respectively			(3,960	)		(3,955	)		(3,954	)		(3,953	)		(3,912	)

36			Total Freddie Mac stockholders’ equity (deficit)		(10,614	)		(1,738	)		(58	)		(401	)		1,237
37		Noncontrolling interest			89			—			—			—			—

38		Total equity (deficit)			(10,525	)		(1,738	)		(58	)		(401	)		1,237

39		Total liabilities and equity (deficit)		$	2,360,210		$	2,343,576		$	2,288,730		$	2,261,780		$	2,244,916

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


		1Q 2010			2Q 2010			3Q 2010			4Q 2010			1Q 2011
	Net Interest Income:

1	Net interest income	$	4,125		$	4,136		$	4,279		$	4,316		$	4,540
	Average Balances⁽¹⁾:

2	Cash and cash equivalents	$	66,973		$	45,879		$	43,171		$	39,190		$	37,561
3	Federal funds sold and securities purchased under agreements to resell		51,645			37,238			51,439			46,633			47,861
	Mortgage-related securities:
4	Mortgage-related securities⁽²⁾		593,512			540,380			500,500			472,598			456,972
5	Extinguishment of PCs held by Freddie Mac		(256,951	)		(220,350	)		(195,890	)		(180,452	)		(167,528	)

6	Total mortgage-related securities, net		336,561			320,030			304,610			292,146			289,444
7	Non-mortgage-related securities		20,189			32,571			28,631			30,590			29,309
8	Mortgage loans held by consolidated trusts⁽²⁾⁽³⁾		1,787,327			1,729,618			1,706,329			1,666,274			1,650,567
9	Unsecuritized mortgage loans⁽³⁾		159,780			212,919			221,442			230,324			240,557

10	Total interest-earning assets		2,422,475			2,378,255			2,355,622			2,305,157			2,295,299
	Debt securities of consolidated trusts:
11	Debt securities of consolidated trusts including PCs held by Freddie Mac⁽²⁾		1,801,525			1,739,519			1,723,095			1,689,180			1,665,608
12	Extinguishment of PCs held by Freddie Mac		(256,951	)		(220,350	)		(195,890	)		(180,452	)		(167,528	)

13	Total debt securities of consolidated trusts held by third parties		1,544,574			1,519,169			1,527,205			1,508,728			1,498,080
	Other debt:⁽²⁾
14	Short-term debt		242,938			226,624			207,673			201,381			194,822
15	Long-term debt		556,907			561,353			542,842			512,123			518,034

16	Total other debt		799,845			787,977			750,515			713,504			712,856

17	Total interest-bearing liabilities		2,344,419			2,307,146			2,277,720			2,222,232			2,210,936
18	Net non-interest-bearing funding		78,056			71,109			77,902			82,925			84,363

19	Total funding of interest-earning assets	$	2,422,475		$	2,378,255		$	2,355,622		$	2,305,157		$	2,295,299

	Yield/Cost:

20	Cash and cash equivalents		0.10	%		0.15	%		0.21	%		0.18	%		0.17	%
21	Federal funds sold and securities purchased under agreements to resell		0.12			0.18			0.19			0.19			0.15
	Mortgage-related securities:
22	Mortgage-related securities		4.91			4.76			4.84			4.74			4.65
23	Extinguishment of PCs held by Freddie Mac		(5.36	)		(5.29	)		(5.19	)		(5.06	)		(4.93	)
24	Total mortgage-related securities, net		4.56			4.40			4.62			4.54			4.50
25	Non-mortgage-related securities		1.21			0.67			0.59			0.43			0.41
26	Mortgage loans held by consolidated trusts		5.09			5.11			5.03			4.89			4.86
27	Unsecuritized mortgage loans		4.91			4.09			4.16			3.96			3.88
28	Yield on total interest-earning assets		4.73			4.69			4.65			4.52			4.48
	Debt securities of consolidated trusts:
29	Debt securities of consolidated trusts including PCs held by Freddie Mac		(5.13	)		(5.05	)		(4.94	)		(4.76	)		(4.67	)
30	Extinguishment of PCs held by Freddie Mac		5.36			5.29			5.19			5.06			4.93
31	Total debt securities of consolidated trusts held by third parties		(5.09	)		(5.02	)		(4.90	)		(4.72	)		(4.65	)
	Other debt:
32	Short-term debt		(0.23	)		(0.24	)		(0.27	)		(0.25	)		(0.24	)
33	Long-term debt		(3.20	)		(3.08	)		(2.94	)		(2.78	)		(2.66	)
34	Total other debt		(2.30	)		(2.27	)		(2.20	)		(2.07	)		(2.00	)
35	Cost of interest-bearing liabilities		(4.14	)		(4.08	)		(4.01	)		(3.87	)		(3.79	)
36	Income (expense) related to derivatives		(0.04	)		(0.04	)		(0.04	)		(0.04	)		(0.04	)
37	Impact of net non-interest-bearing funding		0.13			0.13			0.13			0.14			0.14
38	Total funding of interest-earning assets		(4.05	)		(3.99	)		(3.92	)		(3.77	)		(3.69	)
39	Net interest yield (annualized)		0.68			0.70			0.73			0.75			0.79


(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 2010			2Q 2010			3Q 2010			4Q 2010			1Q 2011
	Net Interest Income:
1	Contractual amounts of net interest income⁽¹⁾				$	4,469		$	4,551		$	4,370		$	4,353		$	4,479
	Amortization income (expense), net:⁽²⁾
2		Accretion of impairments on available-for-sale securities⁽³⁾				79			83			161			69			29
		Asset-related amortization expense, net:
3			Mortgage loans held by consolidated trusts			(9	)		(49	)		(202	)		(452	)		(272	)
4			Unsecured mortgage loans			75			85			84			67			56
5			Mortgage-related securities			(31	)		(160	)		(50	)		(31	)		(41	)
6			Other assets			(4	)		(3	)		(3	)		(13	)		(14	)

7				Asset-related amortization expense, net		31			(127	)		(171	)		(429	)		(271	)
		Debt-related amortization expense, net:
8			Debt securities of consolidated trusts			13			97			331			711			667
9			Other long-term debt securities			(209	)		(219	)		(174	)		(164	)		(157	)

10				Debt-related amortization expense, net		(196	)		(122	)		157			547			510

11				Total amortization income (expense), net		(86	)		(166	)		147			187			268
12	Expense related to derivatives⁽⁴⁾					(258	)		(249	)		(238	)		(224	)		(207	)

13	Net interest income				$	4,125		$	4,136		$	4,279		$	4,316		$	4,540


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

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


				1Q 2010			2Q 2010			3Q 2010			4Q 2010			1Q 2011
	Non-Interest Income (Loss):
1	Gains (losses) on extinguishment of debt securities of consolidated trusts			$	(98	)	$	4		$	(66	)	$	(4	)	$	223
2	Gains (losses) on retirement of other debt				(38	)		(141	)		(50	)		10			12
	Gains (losses) on debt recorded at fair value:
3		Translation gains (losses)			321			491			(386	)		35			(117	)
4		Market value adjustments			26			53			20			20			36

5			Total gains (losses) on debt recorded at fair value		347			544			(366	)		55			(81	)

	Derivative gains (losses):
		Foreign-currency denominated derivatives gains (losses):
6			Foreign-currency swaps gains (losses)		(331	)		(484	)		382			(35	)		109
7			Receive-fixed swaps — foreign-currency denominated gains (losses)		(8	)		(57	)		(31	)		(23	)		(37	)
8		U.S. dollar denominated derivative gains (losses)			(2,997	)		(2,086	)		(536	)		2,615			750
9		Accrual of periodic settlements			(1,349	)		(1,211	)		(945	)		(989	)		(1,249	)

10			Total derivative gains (losses)		(4,685	)		(3,838	)		(1,130	)		1,568			(427	)

	Impairment of available-for-sale securities:
11		Total other-than-temporary impairment of available-for-sale securities			(417	)		(114	)		(523	)		(724	)		(1,054	)
12		Portion of other-than-temporary impairment recognized in AOCI			(93	)		(314	)		(577	)		(1,546	)		(139	)

13			Net impairment of available-for-sale securities recognized in earnings		(510	)		(428	)		(1,100	)		(2,270	)		(1,193	)

	Other gains (losses) on investment securities recognized in earnings:
14		Gains (losses) on trading securities			(417	)		(277	)		(561	)		(84	)		(200	)
15		Gains (losses) on sale of available-for-sale securities			1			20			58			8			80

16			Total other gains (losses) on investment securities recognized in earnings		(416	)		(257	)		(503	)		(76	)		(120	)

	Other income:
17		Guarantee-related income			59			60			58			40			54
18		Gains (losses) on sale of mortgage loans			95			121			28			23			95
19		Gains (losses) on mortgage loans recorded at fair value			21			5			128			(403	)		(33	)
20		Recoveries on loans impaired upon purchase			169			227			247			163			125
21		All other			202			76			108			433			93

22			Total other income		546			489			569			256			334

23			Total non-interest income (loss)	$	(4,854	)	$	(3,627	)	$	(2,646	)	$	(461	)	$	(1,252	)

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


		1Q 2010		2Q 2010			3Q 2010		4Q 2010		1Q 2011
	Non-Interest Expense:
	Administrative expenses:
1	Salaries and employee benefits	$	234	$	230		$	224	$	207	$	207
2	Professional services		81		67			72		77		56
3	Occupancy expense		16		15			16		17		15
4	Other administrative expenses		74		92			76		99		83

5	Total administrative expenses		405		404			388		400		361
6	Real estate owned, or REO, operations (income) expense		159		(40	)		337		217		257
7	Other expenses		103		115			103		341		79

8	Total non-interest expense	$	667	$	479		$	828	$	958	$	697


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

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


		1Q 2010			2Q 2010			3Q 2010			4Q 2010			1Q 2011
	Credit Enhancements:

1	Credit-enhanced percentage of mortgage loan portfolio purchases		13	%		8	%		8	%		6	%		7	%
2	Credit-enhanced percentage of mortgage loan portfolio⁽¹⁾ (period end)		16	%		16	%		15	%		15	%		15	%

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

	Single-family:
3	Non-credit-enhanced		3.18	%		3.08	%		2.97	%		3.01	%		2.85	%
4	Credit-enhanced		8.87	%		8.50	%		8.13	%		8.27	%		7.87	%
5	Total Single-family		4.13	%		3.96	%		3.80	%		3.84	%		3.63	%
	Multifamily:
6	Non-credit-enhanced		0.13	%		0.10	%		0.18	%		0.12	%		0.25	%
7	Credit enhanced		0.72	%		0.78	%		0.86	%		0.85	%		0.75	%
8	Total Multifamily		0.22	%		0.22	%		0.31	%		0.26	%		0.36	%

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

9	Loan modifications		44,228			49,562			39,284			37,203			35,158
10	Repayment plans		8,761			7,455			7,030			7,964			9,099
11	Forbearance agreements		8,858			12,815			6,976			5,945			7,678
12	Short sales and deed-in-lieu transactions		7,064			9,542			10,472			12,097			10,706

13	Total single-family loan workouts		68,911			79,374			63,762			63,209			62,641

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

14	Non-performing mortgage loans	$	111,802		$	113,717		$	114,846		$	118,337		$	118,062
15	REO assets, net		5,468			6,298			7,511			7,068			6,376

16	Total non-performing assets	$	117,270		$	120,015		$	122,357		$	125,405		$	124,438

	REO Operations Income (Expense):

17	Single-family	$	(156	)	$	41		$	(337	)	$	(224	)	$	(257	)
18	Multifamily		(3	)		(1	)		—			7			—

19	Total	$	(159	)	$	40		$	(337	)	$	(217	)	$	(257	)

	Loan Loss Reserves:⁽⁵⁾

20	Beginning balance	$	33,857		$	36,811		$	38,319		$	38,596		$	39,926
21	Adjustments to beginning balance⁽⁶⁾		(186	)		—			—			—			—
22	Provision for credit losses⁽⁷⁾		5,396			5,029			3,727			3,066			1,989
23	Charge-offs — single-family, net		(2,634	)		(3,748	)		(3,723	)		(2,751	)		(2,863	)
24	Charge-offs — multifamily, net		(18	)		(27	)		(23	)		(35	)		(12	)
25	Transfers, net		396			254			296			1,050			265

26	Ending balance	$	36,811		$	38,319		$	38,596		$	39,926		$	39,305

	Total Credit Losses:⁽⁸⁾

27	Total credit losses	$	2,928		$	3,879		$	4,239		$	3,114		$	3,238
28	Annualized credit losses / average mortgage loan portfolio⁽⁹⁾		59.5 bps			79.1 bps			87.0 bps			65.1 bps			67.4 bps


(1)	Based on the total mortgage portfolio, excluding non-Freddie Mac mortgage-related securities and that portion of REMICs and Other Structured Securities that is backed by Ginnie Mae Certificates.
(2)	Single-family delinquencies are based on the number of loans three monthly payments or more past due or in foreclosure while multifamily delinquencies are based on UPB of loans two monthly payments or more past due or in foreclosure. Delinquencies exclude loans whose original contractual terms have been modified under an agreement with the borrower as long as the borrower complies with the modified contractual terms. See “MD&A — RISK MANAGEMENT — Credit Risk — Mortgage Credit Risk — Credit Performance — Delinquencies” in our 2010 Form 10-K for the year ended December 31, 2010, for further information about our reported delinquency rates.
(3)	Based on loans held by us on our consolidated balance sheets as well as those underlying Freddie Mac issued mortgage-related securities and other guarantee commitments.
(4)	Represents completed activities and excludes those modification, repayment and forbearance activities for which the borrower has started the required process, but the actions have not been made permanent, or effective, such as loans in the trial period under HAMP. These categories are not mutually exclusive and a loan in the category may also be included within another category. Many borrowers complete a short-term forbearance agreement before one of the other alternatives is pursued or completed. We only report activity for a single loan in the forbearance category during each quarterly period; however, a single loan may be reported in the forbearance category in separate periods. For more information on our loan workout activities see “MD&A — CREDIT RISKS — Mortgage Credit Risk — Portfolio Management Activities — Loan Workout Activities” in our 2010 Form 10-K for the year ended December 31, 2010.
(5)	Loan loss reserves equals the sum of allowance for loan losses (consolidated balance sheets — Lines 7 and 8) and reserve for guarantee losses, which is a component of Other liabilities (Line 23). Results for the second quarter of 2010 include the correction of an error. The cumulative effect of this error was recorded as a $1.3 billion pre-tax correction in the second quarter of 2010, which included a $1.0 billion pre-tax cumulative effect of this error associated with the year ended December 31, 2009. For further details related to this out-of-period accounting adjustment, see “NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES” in our Form 10-K for the year ended December 31, 2010.
(6)	Adjustments relate to the adoption of amendments to the accounting guidance for transfers of financial assets and consolidation of VIEs, which we implemented on January 1, 2010.
(7)	Provision for credit losses includes our provision for losses incurred on our loans held for investment and our provision for guarantee losses incurred on loans underlying non-consolidated Freddie Mac issued mortgage-related securities and other guarantee commitments.
(8)	Equal to REO operations income (expense) (Line 19) plus Charge-offs, net (Lines 23 and 24) plus amounts previously transferred to reduce the carrying value of loans purchased under financial guarantees. The previously transferred reserves totaled $106 million and $117 million for the three months ended March 31, 2011 and 2010, respectively.
(9)	Calculated based on the average total mortgage portfolio, excluding non-Freddie Mac mortgage-related securities and that portion of REMICs and Other Structured Securities that is backed by Ginnie Mae Certificates.

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


		1Q 2010			2Q 2010			3Q 2010			4Q 2010			1Q 2011
	Segment Earnings, net of taxes:
1	Investments	$	(1,313	)	$	(411	)	$	284		$	2,691		$	2,137
2	Single-family Guarantee		(5,596	)		(4,505	)		(3,138	)		(3,017	)		(1,820	)
3	Multifamily		221			150			381			213			359
4	All Other		—			53			(38	)		—			—

5	Total Segment Earnings (loss), net of taxes	$	(6,688	)	$	(4,713	)	$	(2,511	)	$	(113	)	$	676

	Total Comprehensive Income (Loss) of Segments:
6	Investments segment	$	1,807		$	3,203		$	3,601		$	2,866		$	3,263
7	Single-family Guarantee segment		(5,600	)		(4,504	)		(3,137	)		(3,009	)		(1,824	)
8	Multifamily segment		1,913			818			1,010			1,299			1,301
9	All Other		—			53			(38	)		—			—

10	Total comprehensive income (loss) of segments	$	(1,880	)	$	(430	)	$	1,436		$	1,156		$	2,740

	Net interest yield — Segment Earnings (annualized):
11	Investments segment		74 bps			93 bps			106 bps			113 bps			110 bps
12	Multifamily segment		65 bps			77 bps			80 bps			86 bps			75 bps
	Management and guarantee income — Segment Earnings (annualized):
13	Single-family Guarantee segment		18.1 bps			18.5 bps			19.9 bps			22.0 bps			19.1 bps
14	Multifamily segment		52.8 bps			49.6 bps			49.8 bps			48.6 bps			46.8 bps
	Credit losses — Segment Earnings (annualized):
15	Single-family Guarantee segment		62.3 bps			82.8 bps			91.4 bps			68.0 bps			71.0 bps
16	Multifamily segment		8.2 bps			10.4 bps			9.0 bps			10.7 bps			4.2 bps


(1)		See “NOTE 15: SEGMENT REPORTING” in our Form 10-Q for the quarter ended March 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.

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


		1Q 2010			2Q 2010			3Q 2010			4Q 2010			1Q 2011
	Segment Earnings, net of taxes:
1	Net interest income	$	1,311		$	1,509		$	1,667		$	1,705		$	1,653
	Non-interest income (loss):
2	Net impairment of available-for-sale securities		(376	)		(327	)		(934	)		(2,182	)		(1,029	)
3	Derivative gains (losses)		(2,702	)		(2,193	)		192			2,844			1,103
4	Other non-interest income (loss)		(22	)		294			(768	)		91			236

5	Total non-interest income (loss)		(3,100	)		(2,226	)		(1,510	)		753			310

	Non-interest expense:
6	Administrative expenses		(122	)		(111	)		(110	)		(112	)		(95	)
7	Other non-interest expense		(7	)		(6	)		(1	)		(4	)		—

8	Total non-interest expense		(129	)		(117	)		(111	)		(116	)		(95	)

9	Segment adjustments		510			294			272			282			203

10	Segment Earnings (loss) before income tax (expense) benefit		(1,408	)		(540	)		318			2,624			2,071
11	Income tax (expense) benefit		97			129			(34	)		67			66

12	Segment Earnings (loss), net of taxes, including noncontrolling interest		(1,311	)		(411	)		284			2,691			2,137
13	Less: Net (income) loss — noncontrolling interest		(2	)		—			—			—			—

14	Segment Earnings (loss), net of taxes		(1,313	)		(411	)		284			2,691			2,137
15	Total other comprehensive income, net of taxes		3,120			3,614			3,317			175			1,126

16	Total comprehensive income — Investments segment	$	1,807		$	3,203		$	3,601		$	2,866		$	3,263

17	Net interest yield — Segment Earnings (annualized)		74 bps			93 bps			106 bps			113 bps			110 bps


(1)		See “NOTE 15: SEGMENT REPORTING” in our Form 10-Q for the quarter ended March 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.

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


		1Q 2010			2Q 2010			3Q 2010			4Q 2010			1Q 2011
	Segment Earnings, net of taxes:
1	Net interest income	$	59		$	51		$	(4	)	$	(34	)	$	100
2	Provision for credit losses⁽³⁾		(6,041	)		(5,294	)		(3,980	)		(3,470	)		(2,284	)
	Non-interest income:
3	Management and guarantee income		848			865			922			1,000			870
4	Other non-interest income		210			268			307			566			211

5	Total non-interest income		1,058			1,133			1,229			1,566			1,081

	Non-interest expense:
6	Administrative expenses		(229	)		(242	)		(224	)		(235	)		(215	)
7	REO operations income (expense)		(156	)		41			(337	)		(224	)		(257	)
8	Other non-interest expense		(79	)		(90	)		(85	)		(324	)		(66	)

9	Total non-interest expense		(464	)		(291	)		(646	)		(783	)		(538	)

10	Segment adjustments		(213	)		(208	)		(245	)		(287	)		(185	)

11	Segment Earnings (loss) before income tax (expense) benefit		(5,601	)		(4,609	)		(3,646	)		(3,008	)		(1,826	)
12	Income tax (expense) benefit		5			104			508			(9	)		6

13	Segment Earnings (loss), net of taxes		(5,596	)		(4,505	)		(3,138	)		(3,017	)		(1,820	)
14	Total other comprehensive income (loss), net of taxes		(4	)		1			1			8			(4	)

15	Total comprehensive income (loss) — Single-family Guarantee segment	$	(5,600	)	$	(4,504	)	$	(3,137	)	$	(3,009	)	$	(1,824	)

	Management and guarantee income — Segment Earnings:
16	Contractual management and guarantee fees (annualized rate)		13.3 bps			13.6 bps			13.5 bps			13.8 bps			13.6 bps
17	Amortization of delivery fees (annualized rate)		4.8 bps			4.9 bps			6.4 bps			8.2 bps			5.5 bps

18	Segment Earnings management and guarantee income (annualized rate)		18.1 bps			18.5 bps			19.9 bps			22.0 bps			19.1 bps

	Credit losses — Segment Earnings:
19	Annualized credit losses/average single-family credit guarantee portfolio		62.3 bps			82.8 bps			91.4 bps			68.0 bps			71.0 bps


(1)		See “NOTE 15: SEGMENT REPORTING” in our Form 10-Q for the quarter ended March 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 second quarter of 2010 include the correction of an error. The cumulative effect of this error was recorded as a $1.3 billion pre-tax correction in the second quarter of 2010, which included a $1.0 billion pre-tax cumulative effect of this error associated with the year ended December 31, 2009. For further details related to this out-of-period accounting adjustment, see “NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES” in our Form 10-K for the year ended December 31, 2010.

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


		1Q 2010			2Q 2010			3Q 2010			4Q 2010			1Q 2011
	Segment Earnings, net of taxes:

1	Net interest income	$	238		$	278		$	290		$	308		$	279
2	(Provision) benefit for credit losses		(29	)		(119	)		(19	)		68			60
	Non-interest income (loss):
3	Management and guarantee income		24			25			25			27			28
4	Security impairments		(55	)		(17	)		(5	)		(19	)		(135	)
5	Derivative gains (losses)		5			(1	)		1			1			2
6	Other non-interest income (loss)		108			55			185			(111	)		187

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

	Non-interest expense:
8	Administrative expenses		(54	)		(51	)		(54	)		(53	)		(51	)
9	REO operations income (expense)		(3	)		(1	)		—			7			—
10	Other non-interest expense		(17	)		(19	)		(17	)		(13	)		(13	)

11	Total non-interest expense		(74	)		(71	)		(71	)		(59	)		(64	)

12	Segment Earnings before income tax benefit (expense)		217			150			406			215			357
13	Income tax benefit (expense)		1			—			(25	)		(2	)		2

14	Segment Earnings, net of taxes, including noncontrolling interest		218			150			381			213			359
15	Less: Net (income) loss — noncontrolling interest		3			—			—			—			—

16	Segment Earnings, net of taxes		221			150			381			213			359
17	Total other comprehensive income, net of taxes		1,692			668			629			1,086			942

18	Total comprehensive income — Multifamily segment	$	1,913		$	818		$	1,010		$	1,299		$	1,301

19	Net interest yield — Segment Earnings (annualized)		65 bps			77 bps			80 bps			86 bps			75 bps
	Management and guarantee income — Segment Earnings:

20	Average contractual rate (annualized)⁽³⁾		52.8 bps			49.6 bps			49.8 bps			48.6 bps			46.8 bps
	Credit losses — Segment Earnings:

21	Annualized credit losses/average multifamily mortgage portfolio		8.2 bps			10.4 bps			9.0 bps			10.7 bps			4.2 bps


(1)		See “NOTE 15: SEGMENT REPORTING” in our Form 10-Q for the quarter ended March 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)		There are no credit fees associated with our multifamily guarantees; however, this rate excludes prepayment and certain other fees.

FEDERAL HOME LOAN MORTGAGE CORP - FORM 8-K - EX-99.2 - EXHIBIT 99.2 - May 4, 2011

Attached files