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UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 FORM 10-Q

☒			QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.

For the quarterly period ended September 30, 2024

or

☐			TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.

For the transition period from                                       to

Commission File Number: 001-34139

Federal Home Loan Mortgage Corporation

(Exact name of registrant as specified in its charter)

Federally chartered

52-0904874

8200 Jones Branch Drive

22102-3110

(703)

903-2000

corporation

McLean,

Virginia

(State or other jurisdiction of incorporation or organization)

(I.R.S. Employer Identification No.)

(Address of principal executive offices)

(Zip Code)

(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act: 

Title of each class			Trading Symbol(s)			Name of each exchange on which registered
None			N/A			N/A

Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    ☒ Yes    ☐ No

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    ☒ Yes    ☐ No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company," and "emerging growth company" in Rule 12b-2 of the Exchange Act.

Large accelerated filer

☐

Accelerated filer

☒

Non-accelerated filer

☐

Smaller reporting company

☐

Emerging growth company

☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes  ☐    No  ☒

As of October 8, 2024, there were 650,059,553 shares of the registrant's common stock outstanding.

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Table of Contents

Table of Contents

			Page
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS			1
n    Introduction			1
n    Housing and Mortgage Market Conditions			4
n    Consolidated Results of Operations			6
n    Consolidated Balance Sheets Analysis			10
n    Our Portfolios			11
n    Our Business Segments			13
n    Risk Management			22
l Credit Risk			22
l Market Risk			31
n    Liquidity and Capital Resources			34
n    Critical Accounting Estimates			42
n    Regulation and Supervision			43
n    Forward-Looking Statements			45
FINANCIAL STATEMENTS			47
OTHER INFORMATION			96
CONTROLS AND PROCEDURES			98
EXHIBIT INDEX			99
SIGNATURES			100
FORM 10-Q INDEX			101

Freddie Mac 3Q 2024 Form 10-Q						i

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Table of Contents

MD&A TABLE INDEX

Table			Description			Page
1			Summary of Consolidated Statements of Income and Comprehensive Income			6
2			Components of Net Interest Income			6
3			Analysis of Net Interest Yield			7
4			Components of Non-Interest Income			8
5			(Provision) Benefit for Credit Losses			8
6			Components of Non-Interest Expense			9
7			Summarized Condensed Consolidated Balance Sheets			10
8			Mortgage Portfolio			11
9			Mortgage-Related Investments Portfolio			12
10			Other Investments Portfolio			12
11			Single-Family Segment Financial Results			17
12			Multifamily Segment Financial Results			21
13			Allowance for Credit Losses Activity			23
14			Allowance for Credit Losses Ratios			23
15			Single-Family New Business Activity			24
16			Single-Family Mortgage Portfolio Newly Acquired Credit Enhancements			25
17			Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding			25
18			Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio			26
19			Credit Quality Characteristics of Our Single-Family Mortgage Portfolio			27
20			Single-Family Mortgage Portfolio Attribute Combinations			27
21			Single-Family Completed Loan Workout Activity			29
22			Multifamily Mortgage Portfolio CRT Issuance			30
23			Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio			31
24			Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement			31
25			PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve			32
26			Duration Gap and PVS Results			32
27			PVS-L Results Before Derivatives and After Derivatives			32
28			Earnings Sensitivity to Changes in Interest Rates			33
29			Liquidity Sources			34
30			Funding Sources			35
31			Debt of Freddie Mac Activity			35
32			Maturity and Redemption Dates			36
33			Debt of Consolidated Trusts Activity			37
34			Net Worth Activity			38
35			Regulatory Capital Components			39
36			Statutory Capital Components			39
37			Capital Metrics Under ERCF			40
38			Forecasted House Price Growth Rates			42
39			Current and Proposed 2025-2027 Affordable Housing Goal Benchmark Levels			43
40			2023 and 2022 Affordable Housing Goals Results			43

Freddie Mac 3Q 2024 Form 10-Q						ii

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Management's Discussion and Analysis						Introduction

Management's Discussion and Analysis of Financial Condition and Results of Operations

This Quarterly Report on Form 10-Q includes forward-looking statements that are based on current expectations and that are subject to significant risks and uncertainties. These forward-looking statements are made as of the date of this Form 10-Q. We undertake no obligation to update any forward-looking statement to reflect events or circumstances after the date of this Form 10-Q. Actual results might differ significantly from those described in or implied by such statements due to various factors and uncertainties, including those described in the MD&A - Forward-Looking Statements section of this Form 10-Q and the Introduction and Risk Factors sections of our Annual Report on Form 10-K for the year ended December 31, 2023, or 2023 Annual Report.

Throughout this Form 10-Q, we use certain acronyms and terms that are defined in the Glossary of our 2023 Annual Report.

You should read the following MD&A in conjunction with our 2023 Annual Report and our condensed consolidated financial statements and accompanying notes for the three and nine months ended September 30, 2024 included in Financial Statements.

INTRODUCTION

Freddie Mac is a GSE chartered by Congress in 1970, with a mission to provide liquidity, stability, and affordability to the U.S. housing market. We do this primarily by purchasing single-family and multifamily residential mortgage loans originated by lenders. In most instances, we package these loans into guaranteed mortgage-related securities, which are sold in the global capital markets, and transfer interest-rate and liquidity risks to third-party investors. In addition, we transfer a portion of our mortgage credit risk exposure to third-party investors through our credit risk transfer programs, which include securities- and insurance-based offerings. We also invest in mortgage loans, mortgage-related securities, and other types of assets. We do not originate mortgage loans or lend money directly to mortgage borrowers.

We support the U.S. housing market and the overall economy by enabling America's families to access mortgage loan funding with better terms and by providing consistent liquidity to the single-family and multifamily mortgage markets. We have helped many distressed borrowers keep their homes or avoid foreclosure and have helped many distressed renters avoid eviction.

Since September 2008, we have been operating in conservatorship, with FHFA as our Conservator. The conservatorship and related matters significantly affect our management, business activities, financial condition, and results of operations. Our future is uncertain, and the conservatorship has no specified termination date. We do not know what changes may occur to our business model during or following conservatorship, including whether we will continue to exist. In connection with our entry into conservatorship, we entered into the Purchase Agreement with Treasury, under which we issued Treasury both senior preferred stock and a warrant to purchase common stock. Our Purchase Agreement with Treasury is critical to keeping us solvent and avoiding the appointment of a receiver by FHFA under statutory mandatory receivership provisions. We believe the support provided by Treasury pursuant to the Purchase Agreement currently enables us to have adequate liquidity to conduct normal business activities. For additional information on the conservatorship and related matters and the Purchase Agreement, see our 2023 Annual Report.

Freddie Mac 3Q 2024 Form 10-Q						1

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Management's Discussion and Analysis						Introduction

Business Results

Consolidated Financial Results

Net Revenues and Net Income

(In billions)

Net Worth

(In billions)

Key Drivers:

n    Net income was $3.1 billion, an increase of $420 million year-over-year, primarily driven by a decline in non-interest expense, as the prior period included a $313 million additional expense accrual.

n    Net revenues were $5.8 billion, an increase of 3% year-over-year, primarily driven by higher net interest income.

n    Net worth was $56.4 billion as of September 30, 2024, up from $44.7 billion as of September 30, 2023. The quarterly increases in net worth have been, or will be, added to the aggregate liquidation preference of the senior preferred stock. The liquidation preference of the senior preferred stock was $125.9 billion on September 30, 2024, and will increase to $129.0 billion on December 31, 2024 based on the increase in net worth in 3Q 2024.

Market Liquidity

                      Market Liquidity

(In thousands)

We support the U.S. housing market by executing our mission to provide liquidity and help maintain credit availability for new and refinanced single-family mortgages as well as for rental housing. We provided $113 billion in liquidity to the mortgage market in 3Q 2024, which enabled the financing of 415,000 home purchases, refinancings, and rental units.

Freddie Mac 3Q 2024 Form 10-Q						2

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Management's Discussion and Analysis						Introduction

Mortgage Portfolio Balances

Mortgage Portfolio

(UPB in billions)

Key Drivers:

n    Our mortgage portfolio increased 2% year-over-year to $3.5 trillion at September 30, 2024, continuing to grow at a moderate pace.

l    Our Single-Family mortgage portfolio was $3.1 trillion at September 30, 2024, up 2% year-over-year.

l    Our Multifamily mortgage portfolio was $452 billion at September 30, 2024, up 5% year-over-year.

Credit Enhancement Coverage

Single-Family Mortgage Portfolio with Credit Enhancement

(UPB in billions)

Multifamily Mortgage Portfolio with Credit Enhancement

(UPB in billions)

In addition to transferring interest-rate and liquidity risk to third-party investors through our securitization activities, we engage in various types of credit enhancements, such as primary mortgage insurance and CRT transactions, to reduce our credit risk exposure and transfer a portion of the credit risk on certain loans in our mortgage portfolio to third parties. At September 30, 2024, we had credit enhancement coverage on 62% of our Single-Family mortgage portfolio and 93% of our Multifamily mortgage portfolio. See MD&A - Risk Management – Credit Risk for additional information on our credit enhancements.

Freddie Mac 3Q 2024 Form 10-Q						3

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Management's Discussion and Analysis						Housing and Mortgage Market Conditions

HOUSING AND MORTGAGE MARKET CONDITIONS

The following charts present certain housing and mortgage market indicators that can significantly affect our business and financial results. Certain market and macroeconomic prior period data have been updated to reflect revised historical data. For additional information on the effect of these indicators on our business and financial results, see MD&A – Consolidated Results of Operations and MD&A – Our Business Segments.

Single-Family

U.S. Single-Family Home Sales and House Prices

Sources: National Association of Realtors, U.S. Census Bureau, and Freddie Mac House Price Index (seasonally adjusted rate).

U.S. Single-Family Mortgage Originations

(UPB in billions)

Source: Freddie Mac and Inside Mortgage Finance.

Single-Family Serious Delinquency Rates

Source: Freddie Mac and National Delinquency Survey from the Mortgage Bankers Association. The 3Q 2024 total mortgage market rate is not yet available.

Single-Family Mortgage Debt Outstanding

(UPB in trillions)

Source: Freddie Mac and Federal Reserve Financial Accounts of the United States of America. The 3Q 2024 U.S. single-family mortgage debt outstanding balance is not yet available.

Freddie Mac 3Q 2024 Form 10-Q						4

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Management's Discussion and Analysis						Housing and Mortgage Market Conditions

Multifamily

Apartment Vacancy Rates and Change in Effective Rents

Source: Reis.

Multifamily Quarterly Property Price Growth Rate

Source: Real Capital Analytics Commercial Property Price Index (RCA CPPI).

Multifamily Delinquency Rates

Source: Freddie Mac, FDIC Quarterly Banking Profile, Intex Solutions, Inc., and Wells Fargo Securities (Multifamily CMBS conduit market, excluding REOs). The 3Q 2024 delinquency rate for FDIC insured institutions is not yet available.

Multifamily Mortgage Debt Outstanding

(UPB in billions)

Source: Freddie Mac and Federal Reserve Financial Accounts of the United States of America. The 3Q 2024 U.S. multifamily mortgage debt outstanding balance is not yet available.

Freddie Mac 3Q 2024 Form 10-Q						5

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Management's Discussion and Analysis						Consolidated Results of Operations

CONSOLIDATED RESULTS OF OPERATIONS

The discussion of our consolidated results of operations should be read in conjunction with our condensed consolidated financial statements and accompanying notes.

The table below compares our summarized consolidated results of operations.

Table 1 - Summary of Consolidated Statements of Income and Comprehensive Income

															Change																		Change
(Dollars in millions)						3Q 2024			3Q 2023						$			%						YTD 2024			YTD 2023						$			%(1)
Net interest income						$4,999			$4,749						$250			5		%				$14,686			$13,773						$913			7		%
Non-interest income						839			941						(102)			(11)						2,897			2,083						814			39
Net revenues						5,838			5,690						148			3						17,583			15,856						1,727			11
(Provision) benefit for credit losses						191			263						(72)			(27)						(384)			405						(789)			NM
Non-interest expense						(2,183)			(2,576)						393			15						(6,439)			(6,712)						273			4
Income before income tax expense						3,846			3,377						469			14						10,760			9,549						1,211			13
Income tax expense						(741)			(692)						(49)			(7)						(2,124)			(1,925)						(199)			(10)
Net income						3,105			2,685						420			16						8,636			7,624						1,012			13
Other comprehensive income (loss), net of taxes and reclassification adjustments						62			19						43			226						32			19						13			68
Comprehensive income						$3,167			$2,704						$463			17		%				$8,668			$7,643						$1,025			13		%

(1)NM - not meaningful.

Net Revenues

Net Interest Income

The table below presents the components of net interest income.

Table 2 - Components of Net Interest Income

															Change																		Change
(Dollars in millions)						3Q 2024			3Q 2023						$			%						YTD 2024			YTD 2023						$			%
Guarantee net interest income:
Contractual net interest income						$3,844			$3,695						$149			4		%				$11,430			$11,019						$411			4		%
Deferred fee income						188			316						(128)			(41)						533			755						(222)			(29)
Total guarantee net interest income						4,032			4,011						21			1						11,963			11,774						189			2
Investments net interest income						1,511			1,675						(164)			(10)						4,595			4,718						(123)			(3)
Impact on net interest income from hedge accounting						(544)			(937)						393			42						(1,872)			(2,719)						847			31
Net interest income						$4,999			$4,749						$250			5		%				$14,686			$13,773						$913			7		%

Key Drivers:

n    Guarantee net interest income

l    YTD 2024 vs. YTD 2023 - Increased primarily due to continued mortgage portfolio growth.

n    Impact on net interest income from hedge accounting

l    3Q 2024 vs. 3Q 2023 and YTD 2024 vs. YTD 2023 - Decreased due to lower expense related to debt in hedge accounting relationships.

Freddie Mac 3Q 2024 Form 10-Q						6

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Management's Discussion and Analysis						Consolidated Results of Operations

Net Interest Yield Analysis

The table below presents a yield analysis of interest-earning assets and interest-bearing liabilities.

Table 3 - Analysis of Net Interest Yield

						3Q 2024												3Q 2023
(Dollars in millions)						Average Balance			Interest Income (Expense)			Average Rate						Average Balance			Interest Income (Expense)			Average Rate
Interest-earning assets:
Cash and cash equivalents						$9,848			$103			4.10		%				$13,523			$145			4.19		%
Securities purchased under agreements to resell						109,863			1,511			5.50						122,140			1,660			5.43
Investment securities						45,616			510			4.48						41,169			427			4.15
Mortgage loans(1)						3,133,839			27,640			3.53						3,069,177			24,525			3.20
Other assets						2,624			45			6.72						2,839			42			5.79
Total interest-earning assets						3,301,790			29,809			3.62						3,248,848			26,799			3.30
Interest-bearing liabilities:
Debt of consolidated trusts						3,064,773			(22,330)			(2.91)						3,005,595			(19,383)			(2.58)
Debt of Freddie Mac						178,148			(2,480)			(5.56)						193,925			(2,667)			(5.49)
Total interest-bearing liabilities						3,242,921			(24,810)			(3.06)						3,199,520			(22,050)			(2.76)
Impact of net non-interest-bearing funding						58,869			—			0.05						49,328			—			0.04
Total funding of interest-earning assets						3,301,790			(24,810)			(3.01)						3,248,848			(22,050)			(2.72)
Net interest income/yield									$4,999			0.61		%							$4,749			0.58		%

(1)Loan fees included in net interest income were $0.3 and $0.2 billion during 3Q 2024 and 3Q 2023, respectively.

						YTD 2024												YTD 2023
(Dollars in millions)						Average Balance			Interest Income (Expense)			Average Rate						Average Balance			Interest Income (Expense)			Average Rate
Interest-earning assets:
Cash and cash equivalents						$11,119			$351			4.15		%				$13,618			$401			3.88		%
Securities purchased under agreements to resell						112,825			4,636			5.48						118,891			4,502			5.05
Investment securities						42,936			1,464			4.55						39,637			1,106			3.72
Mortgage loans(1)						3,115,870			80,690			3.45						3,052,953			71,427			3.12
Other assets						2,339			117			6.58						2,506			105			5.53
Total interest-earning assets						3,285,089			87,258			3.55						3,227,605			77,541			3.20
Interest-bearing liabilities:
Debt of consolidated trusts						3,049,742			(65,086)			(2.85)						2,988,356			(56,252)			(2.51)
Debt of Freddie Mac						179,719			(7,486)			(5.55)						194,319			(7,516)			(5.15)
Total interest-bearing liabilities						3,229,461			(72,572)			(3.00)						3,182,675			(63,768)			(2.67)
Impact of net non-interest-bearing funding						55,628			—			0.05						44,930			—			0.04
Total funding of interest-earning assets						3,285,089			(72,572)			(2.95)						3,227,605			(63,768)			(2.63)
Net interest income/yield									$14,686			0.60		%							$13,773			0.57		%

(1)Loan fees included in net interest income were $0.9 and $0.8 billion during YTD 2024 and YTD 2023, respectively.

Freddie Mac 3Q 2024 Form 10-Q						7

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Management's Discussion and Analysis						Consolidated Results of Operations

Non-Interest Income

The table below presents the components of non-interest income.

Table 4 - Components of Non-Interest Income

															Change																		Change
(Dollars in millions)						3Q 2024			3Q 2023						$			%						YTD 2024			YTD 2023						$			%
Guarantee income						$487			$301						$186			62		%				$1,366			$1,076						$290			27		%
Investment gains, net						243			555						(312)			(56)						1,197			741						456			62
Other income						109			85						24			28						334			266						68			26
Non-interest income						$839			$941						($102)			(11)		%				$2,897			$2,083						$814			39		%

Key Drivers:

n    Guarantee income

l    3Q 2024 vs. 3Q 2023 - Increased primarily due to lower fair value losses on guarantee assets as a result of medium-term interest rate declines in 3Q 2024.

l    YTD 2024 vs. YTD 2023 - Increased primarily due to lower fair value losses on guarantee assets as a result of medium-term interest rate declines and favorable fair value changes on guarantee assets from prepayment rates in YTD 2024.

n    Investment gains, net

l    3Q 2024 vs. 3Q 2023 - Decreased primarily due to impacts from interest-rate risk management activities.

l    YTD 2024 vs. YTD 2023 - Increased primarily due to impacts from interest-rate risk management activities and higher revenues from held-for-sale loan purchase and securitization activities.

(Provision) Benefit for Credit Losses

The table below presents the components of provision for credit losses.

Table 5 - (Provision) Benefit for Credit Losses

															Change																		Change
(Dollars in millions)						3Q 2024			3Q 2023						$			%(1)						YTD 2024			YTD 2023						$			%(1)
Single-Family						$99			$304						($205)			(67)		%				($336)			$624						($960)			NM
Multifamily						92			(41)						133			NM						(48)			(219)						171			78		%
(Provision) benefit for credit losses						$191			$263						($72)			(27)		%				($384)			$405						($789)			NM

(1)NM - not meaningful.

Key Drivers:

n    3Q 2024 vs. 3Q 2023 - The benefit for credit losses for 3Q 2024 was driven by a credit reserve release in Single-Family as a result of lower mortgage interest rates and a credit reserve release in Multifamily due to enhancements in the credit loss estimation process. The benefit for credit losses for 3Q 2023 was primarily driven by a credit reserve release in Single-Family due to improvements in house prices.

n    YTD 2024 vs. YTD 2023 - The provision for credit losses for YTD 2024 was primarily driven by a credit reserve build in Single-Family attributable to new acquisitions. The benefit for credit losses for YTD 2023 was primarily driven by a credit reserve release in Single-Family due to improvements in house prices, partially offset by a credit reserve build in Multifamily.

Freddie Mac 3Q 2024 Form 10-Q						8

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Management's Discussion and Analysis						Consolidated Results of Operations

Non-Interest Expense

The table below presents the components of non-interest expense.

Table 6 - Components of Non-Interest Expense

															Change																		Change
(Dollars in millions)						3Q 2024			3Q 2023						$			%						YTD 2024			YTD 2023						$			%
Salaries and employee benefits						($424)			($418)						($6)			(1)		%				($1,265)			($1,197)						($68)			(6)		%
Credit enhancement expense						(616)			(634)						18			3						(1,801)			(1,754)						(47)			(3)
Benefit for (decrease in) credit enhancement recoveries						(4)			(103)						99			96						(10)			(162)						152			94
Legislative assessments expense:
Legislated guarantee fees expense						(732)			(716)						(16)			(2)						(2,184)			(2,134)						(50)			(2)
Affordable housing funds allocation						(48)			(41)						(7)			(17)						(118)			(109)						(9)			(8)
Total legislative assessments expense						(780)			(757)						(23)			(3)						(2,302)			(2,243)						(59)			(3)
Other expense						(359)			(664)						305			46						(1,061)			(1,356)						295			22
Non-interest expense						($2,183)			($2,576)						$393			15		%				($6,439)			($6,712)						$273			4		%

Key Drivers:

n    Benefit for (decrease in) credit enhancement recoveries

l    3Q 2024 vs. 3Q 2023 and YTD 2024 vs. YTD 2023 - Decreased primarily due to a smaller decrease in expected credit losses on covered loans.

n    Other expense

l    3Q 2024 vs. 3Q 2023 and YTD 2024 vs. YTD 2023 - Decreased primarily due to a $313 million expense accrual for an adverse judgment at trial in 3Q 2023. We did not have a similar litigation accrual in 3Q 2024.

Freddie Mac 3Q 2024 Form 10-Q						9

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Management's Discussion and Analysis						Consolidated Balance Sheets Analysis

CONSOLIDATED BALANCE SHEETS ANALYSIS

The table below compares our summarized condensed consolidated balance sheets.

Table 7 - Summarized Condensed Consolidated Balance Sheets

															Change
(Dollars in millions)						September 30, 2024			December 31, 2023						$			%
Assets:
Cash and cash equivalents						$4,857			$6,019						($1,162)			(19)		%
Securities purchased under agreements to resell						103,110			95,148						7,962			8
Investment securities, at fair value						43,613			43,275						338			1
Mortgage loans held-for-sale						11,678			12,941						(1,263)			(10)
Mortgage loans held-for-investment						3,140,319			3,083,665						56,654			2
Accrued interest receivable, net						10,561			9,925						636			6
Deferred tax assets, net						4,730			4,076						654			16
Other assets						23,715			25,927						(2,212)			(9)
Total assets						$3,342,583			$3,280,976						$61,607			2		%
Liabilities and Equity:
Liabilities:
Accrued interest payable						$9,222			$8,812						$410			5		%
Debt						3,265,267			3,208,346						56,921			2
Other liabilities						11,704			16,096						(4,392)			(27)
Total liabilities						3,286,193			3,233,254						52,939			2
Total equity						56,390			47,722						8,668			18
Total liabilities and equity						$3,342,583			$3,280,976						$61,607			2		%

Key Drivers:

As of September 30, 2024 compared to December 31, 2023:

n    Securities purchased under agreements to resell increased, driven by a shift from securities sold under agreements to repurchase to debt of Freddie Mac due to lower funding costs. Securities sold under agreements to repurchase are generally offset against securities purchased under agreements to resell on our condensed consolidated balance sheets.

n    Mortgage loans held-for-investment increased primarily due to growth in our Single-Family mortgage portfolio.

n    Debt increased primarily due to an increase in debt of consolidated trusts driven by growth in our Single-Family mortgage portfolio.

Freddie Mac 3Q 2024 Form 10-Q						10

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Management's Discussion and Analysis						Our Portfolios

OUR PORTFOLIOS

Mortgage Portfolio

The table below presents the UPB of our mortgage portfolio by segment.

Table 8 - Mortgage Portfolio

						September 30, 2024												December 31, 2023
(In millions)						Single-Family			Multifamily			Total						Single-Family			Multifamily			Total
Mortgage loans held-for-investment:
By consolidated trusts						$2,997,105			$60,202			$3,057,307						$2,963,296			$47,433			$3,010,729
By Freddie Mac						43,911			12,507			56,418						33,213			11,770			44,983
Total mortgage loans held-for-investment						3,041,016			72,709			3,113,725						2,996,509			59,203			3,055,712
Mortgage loans held-for-sale						2,803			9,051			11,854						3,527			9,905			13,432
Total mortgage loans						3,043,819			81,760			3,125,579						3,000,036			69,108			3,069,144
Mortgage-related guarantees:
Mortgage loans held by nonconsolidated trusts						30,287			359,166			389,453						30,182			360,928			391,110
Other mortgage-related guarantees						8,126			11,190			19,316						8,692			10,761			19,453
Total mortgage-related guarantees						38,413			370,356			408,769						38,874			371,689			410,563
Total mortgage portfolio						$3,082,232			$452,116			$3,534,348						$3,038,910			$440,797			$3,479,707
Guaranteed mortgage-related securities:
Issued by consolidated trusts						$3,009,915			$60,201			$3,070,116						$2,970,707			$47,436			$3,018,143
Issued by nonconsolidated trusts						24,684			320,710			345,394						24,600			321,262			345,862
Total guaranteed mortgage-related securities						$3,034,599			$380,911			$3,415,510						$2,995,307			$368,698			$3,364,005

Investments Portfolio

Our investments portfolio consists of our mortgage-related investments portfolio and our other investments portfolio.

Mortgage-Related Investments Portfolio

The Purchase Agreement limits the size of our mortgage-related investments portfolio to a maximum amount of $225 billion. The calculation of mortgage assets subject to the Purchase Agreement cap includes the UPB of mortgage assets and 10% of the notional value of interest-only securities. We are also subject to additional limitations on the size and composition of our mortgage-related investments portfolio pursuant to FHFA guidance. For additional information on the restrictions on our mortgage-related investments portfolio, see the MD&A - Conservatorship and Related Matters section in our 2023 Annual Report.

Freddie Mac 3Q 2024 Form 10-Q						11

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Management's Discussion and Analysis						Our Portfolios

The table below presents the details of our mortgage-related investments portfolio.

Table 9 - Mortgage-Related Investments Portfolio

						September 30, 2024												December 31, 2023
(In millions)						Single-Family			Multifamily			Total						Single-Family			Multifamily			Total
Unsecuritized mortgage loans:
Securitization pipeline loans(1)						$16,243			$15,199			$31,442						$8,225			$15,197			$23,422
Other loans(2)						30,471			6,359			36,830						28,515			6,478			34,993
Total unsecuritized mortgage loans						46,714			21,558			68,272						36,740			21,675			58,415
Mortgage-related securities:
Investment securities						2,906			4,245			7,151						2,667			4,613			7,280
Debt of consolidated trusts						18,319			637			18,956						18,639			660			19,299
Total mortgage-related securities						21,225			4,882			26,107						21,306			5,273			26,579
Mortgage-related investments portfolio						$67,939			$26,440			$94,379						$58,046			$26,948			$84,994
10% of notional amount of interest-only securities												$22,580												$22,186
Mortgage-related investments portfolio for purposes of Purchase Agreement cap												116,959												107,180

(1)Single-family and multifamily loans that we have purchased for cash and aggregate on our balance sheet for securitization within the normal course of business.

(2)Primarily includes delinquent and modified single-family loans that we have purchased from securitization trusts.

Other Investments Portfolio

The table below presents the details of the carrying value of our other investments portfolio.

Table 10 - Other Investments Portfolio

						September 30, 2024															December 31, 2023
(In millions)						Liquidity and Contingency Operating Portfolio			Custodial Account			Other			Total Other Investments Portfolio						Liquidity and Contingency Operating Portfolio			Custodial Account			Other			Total Other Investments Portfolio
Cash and cash equivalents						$3,638			$1,106			$113			$4,857						$5,041			$890			$88			$6,019
Securities purchased under agreements to resell						89,903			13,429			1,888			105,220						94,904			9,396			1,093			105,393
Non-mortgage related securities(1)						24,531			—			6,000			30,531						24,153			—			6,119			30,272
Other assets						—			—			6,530			6,530						—			—			5,555			5,555
Other investments portfolio						$118,072			$14,535			$14,531			$147,138						$124,098			$10,286			$12,855			$147,239

(1)Primarily consists of U.S. Treasury securities.

Freddie Mac 3Q 2024 Form 10-Q						12

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Management's Discussion and Analysis						Our Business Segments

OUR BUSINESS SEGMENTS

As shown in the table below, we have two reportable segments, which are based on the way we manage our business.

Segment			Description
Single-Family			Reflects results from our purchase, securitization, and guarantee of single-family loans, our investments in single-family loans and mortgage-related securities, the management of Single-Family mortgage credit risk and market risk, and any results of our treasury function that are not allocated to each segment.
Multifamily			Reflects results from our purchase, securitization, and guarantee of multifamily loans, our investments in multifamily loans and mortgage-related securities, and the management of Multifamily mortgage credit risk and market risk.

Segment Net Revenues and Net Income

The charts below show our net revenues and net income by segment.

Segment Net Revenues

(In billions)

Segment Net Income

(In billions)

Freddie Mac 3Q 2024 Form 10-Q						13

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Management's Discussion and Analysis			Our Business Segments | Single-Family

Single-Family

Business Results

The charts, tables, and related discussion below present the business results of our Single-Family segment.

New Business Activity

UPB of Single-Family Loan Purchases and Guarantees by Loan Purpose and Average Estimated Guarantee Fee Rate(1) on New Acquisitions

(UPB in billions)

(1)Estimated guarantee fee rate calculation excludes the legislated guarantee fees and includes deferred fees recognized over the estimated life of the related loans.

Number of Families Helped to Own a Home and Average Loan UPB of New Acquisitions

(Loan count in thousands)

n    3Q 2024 vs. 3Q 2023 and YTD 2024 vs. YTD 2023

l    Our loan purchase and guarantee activity increased as both home purchase and refinance volume increased due to lower mortgage interest rates.

l    The average loan size of new acquisitions increased due to a higher conforming loan limit and house price appreciation in recent quarters.

l    Estimated guarantee fee rate calculations are based on month-end market rates for the month of acquisition. The average estimated guarantee fee rate on new acquisitions increased during 3Q 2024 compared to 3Q 2023 due to higher contractual guarantee fee rates and faster estimated prepayment rates based on such month-end market rates. This increase was partially offset by a shift in the business mix of new acquisitions.

Freddie Mac 3Q 2024 Form 10-Q						14

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Management's Discussion and Analysis			Our Business Segments | Single-Family

Single-Family Mortgage Portfolio

Single-Family Mortgage Portfolio and Average Estimated Guarantee Fee Rate(1) on Mortgage Portfolio

(UPB in billions)

(1)Estimated guarantee fee rate is calculated as of acquisition and includes deferred fees recognized over the estimated life of the related loans. Estimated guarantee fee rate calculation excludes the legislated guarantee fees and certain loans, the majority of which are held by VIEs that we do not consolidate. The UPB of these excluded loans was $40 billion as of September 30, 2024.

Single-Family Mortgage Loans

(Loan count in millions)

n    Our Single-Family mortgage portfolio was $3.1 trillion at September 30, 2024, up 2% year-over-year. The mortgage portfolio continued to grow at a moderate pace.

n    The average estimated guarantee fee rate on our Single-Family mortgage portfolio increased slightly year-over-year.

Freddie Mac 3Q 2024 Form 10-Q						15

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Management's Discussion and Analysis			Our Business Segments | Single-Family

Credit Enhancements

We obtain credit enhancements on a portion of our Single-Family mortgage portfolio to reduce the risk of future losses to us when borrowers default. The charts below provide the UPB of the mortgage loans acquired during the periods presented that were covered by primary mortgage insurance, the UPB of the mortgage loans covered by CRT transactions issued during the periods presented, and maximum coverage related to these credit enhancements. The primary mortgage insurance and CRT activities presented in these charts are not mutually exclusive as a single loan may be covered by both primary mortgage insurance and CRT transactions.

New Acquisitions Covered by Primary Mortgage Insurance

(In billions)

New CRT Issuance

(In billions)

n    3Q 2024 vs. 3Q 2023 and YTD 2024 vs. YTD 2023

l    The UPB of mortgage loans acquired during 3Q 2024 that were covered by primary mortgage insurance increased year-over-year.

l    The UPB of mortgage loans covered by CRT transactions and related maximum coverage issued during the 2024 periods increased due to changes in business strategy in the 2023 periods that increased the timeline between loan acquisition and CRT issuance and resulted in a smaller population of loans that were covered by CRT transactions issued in the 2023 periods.

See MD&A - Risk Management - Single-Family Mortgage Credit Risk - Transferring Credit Risk to Third-Party Investors for additional information on our credit enhancements.

Freddie Mac 3Q 2024 Form 10-Q						16

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Management's Discussion and Analysis			Our Business Segments | Single-Family

Financial Results

The table below presents the results of operations for our Single-Family segment. See Note 11 for additional information about segment financial results.

Table 11 - Single-Family Segment Financial Results

															Change																		Change
(Dollars in millions)						3Q 2024			3Q 2023						$			%(1)						YTD 2024			YTD 2023						$			%(1)
Net interest income						$4,692			$4,534						$158			3%						$13,815			$13,125						$690			5		%
Non-interest income						364			393						(29)			(7)						809			365						444			122
Net revenues						5,056			4,927						129			3						14,624			13,490						1,134			8
(Provision) benefit for credit losses						99			304						(205)			(67)						(336)			624						(960)			NM
Non-interest expense						(1,966)			(2,310)						344			15						(5,812)			(6,121)						309			5
Income before Income tax expense						3,189			2,921						268			9						8,476			7,993						483			6
Income tax expense						(616)			(598)						(18)			(3)						(1,674)			(1,612)						(62)			(4)
Net income						2,573			2,323						250			11						6,802			6,381						421			7
Other comprehensive income (loss), net of taxes and reclassification adjustments						10			(6)						16			NM						—			(5)						5			NM
Comprehensive income						$2,583			$2,317						$266			11%						$6,802			$6,376						$426			7		%

(1)NM - not meaningful.

Key Business Drivers:

n 3Q 2024 vs. 3Q 2023

l    Net income of $2.6 billion, up 11% year-over-year.

–Net revenues were $5.1 billion, up 3% year-over-year. Net interest income was $4.7 billion, up 3% year-over-year, primarily driven by lower expense related to debt in hedge accounting relationships.

–Benefit for credit losses was $0.1 billion for 3Q 2024, primarily driven by a credit reserve release as a result of lower mortgage interest rates. The benefit for credit losses of $0.3 billion for 3Q 2023 was primarily driven by a credit reserve release due to improvements in house prices.

–Non-interest expense was $2.0 billion, down $344 million year-over-year, as 3Q 2023 included an allocation of $250 million for the $313 million accrual for the adverse judgment at trial.

n YTD 2024 vs. YTD 2023

l    Net income of $6.8 billion, up 7% year-over-year.

–Net revenues were $14.6 billion, up 8% year-over-year.

◦Net interest income was $13.8 billion, up 5% year-over-year, primarily driven by continued mortgage portfolio growth and lower expense related to debt in hedge accounting relationships.

◦Non-interest income was $0.8 billion, up from $0.4 billion in YTD 2023, due to impacts from interest-rate risk management activities.

–Provision for credit losses was $0.3 billion for YTD 2024, primarily driven by a credit reserve build attributable to new acquisitions. The benefit for credit losses of $0.6 billion for YTD 2023 was primarily driven by a credit reserve release due to improvements in house prices.

Freddie Mac 3Q 2024 Form 10-Q						17

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Management's Discussion and Analysis						Our Business Segments | Multifamily

Multifamily

Business Results

The charts, tables, and related discussion below present the business results of our Multifamily segment.

New Business Activity

New Business Activity

(In billions)

Total Number of Rental Units Financed(1)

(In thousands)

(1) Includes rental units financed by supplemental loans.

Key Drivers:

n    3Q 2024 vs. 3Q 2023 and YTD 2024 vs. YTD 2023 - Our new business activity increased in the 2024 periods primarily driven by lower mortgage interest rates. Approximately 64% of YTD 2024 activity, based on UPB, was mission-driven affordable housing, exceeding FHFA's minimum requirement of 50%.

n    Our index lock agreements and outstanding commitments to purchase or guarantee multifamily assets were $25.8 billion and $17.1 billion as of September 30, 2024 and September 30, 2023, respectively.

Freddie Mac 3Q 2024 Form 10-Q						18

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Management's Discussion and Analysis						Our Business Segments | Multifamily

Multifamily Mortgage Portfolio and Guarantee Exposure

Mortgage Portfolio

(In billions)

Guarantee Exposure

(In billions)

Key Drivers:

n    3Q 2024 vs. 3Q 2023

l    Our mortgage portfolio increased by 5% year-over-year, driven by our new business activity, coupled with lower prepayment volume.

l    Our guarantee exposure increased by 5% year-over-year, as our new mortgage-related security guarantees outpaced paydowns.

l    The average guarantee fee rate on our guarantee exposures increased year-over-year, primarily due to continued issuances of fully-guaranteed securitization transactions for which we charge higher guarantee fee rates.

n    In addition to our Multifamily mortgage portfolio, we have investments in LIHTC partnerships with carrying values totaling $3.8 billion and $3.5 billion as of September 30, 2024 and December 31, 2023, respectively.

Freddie Mac 3Q 2024 Form 10-Q						19

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Management's Discussion and Analysis						Our Business Segments | Multifamily

Credit Enhancement Activities

UPB Covered by New CRT Issuance New CRT Issuance Maximum Coverage

(In billions) (In billions)

Key Drivers:

n    3Q 2024 vs. 3Q 2023 and YTD 2024 vs. YTD 2023

l While the UPB of mortgage loans covered by new CRT transactions and the related maximum coverage was lower in the 2024 periods compared to the 2023 periods, we continue to transfer a substantial amount of the expected and stressed credit risk on the Multifamily mortgage portfolio.

See MD&A - Our Business Segments - Multifamily in our 2023 Annual Report and MD&A - Risk Management - Multifamily Mortgage Credit Risk - Transferring Credit Risk to Third-Party Investors in this Form 10-Q for more information on credit risk transfer transactions and credit enhancements on our Multifamily mortgage portfolio.

Freddie Mac 3Q 2024 Form 10-Q						20

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Management's Discussion and Analysis						Our Business Segments | Multifamily

Financial Results

The table below presents the results of operations for our Multifamily segment. See Note 11 for additional information about segment financial results.

Table 12 - Multifamily Segment Financial Results

															Change																		Change
(Dollars in millions)						3Q 2024			3Q 2023						$			%(1)						YTD 2024			YTD 2023						$			%(1)
Net interest income						$307			$215						$92			43		%				$871			$648						$223			34		%
Non-interest income						475			548						(73)			(13)						2,088			1,718						370			22
Net revenues						782			763						19			2						2,959			2,366						593			25
(Provision) benefit for credit losses						92			(41)						133			NM						(48)			(219)						171			78
Non-interest expense						(217)			(266)						49			18						(627)			(591)						(36)			(6)
Income before income tax expense						657			456						201			44						2,284			1,556						728			47
Income tax expense						(125)			(94)						(31)			(33)						(450)			(313)						(137)			(44)
Net income						532			362						170			47						1,834			1,243						591			48
Other comprehensive income (loss), net of taxes and reclassification adjustments						52			25						27			108						32			24						8			33
Comprehensive income						$584			$387						$197			51		%				$1,866			$1,267						$599			47		%

(1)NM - not meaningful.

Key Drivers:

n    3Q 2024 vs. 3Q 2023

l    Net income of $0.5 billion, up 47% year-over-year.

–Net revenues of $0.8 billion, up 2% year-over-year, driven by higher net interest income, partially offset by lower non-interest income.

–Benefit for credit losses of $92 million for 3Q 2024, primarily driven by a credit reserve release due to enhancements in our credit loss estimation process.

–Non-interest expense was $217 million, down $49 million year-over-year, as the prior year period included an allocation of $63 million for the $313 million accrual for the adverse judgment at trial.

n    YTD 2024 vs. YTD 2023

l Net income of $1.8 billion, up 48% year-over-year.

–Net revenues of $3.0 billion, up 25% year-over-year.

◦Net interest income was $0.9 billion, up 34% year-over-year, primarily driven by continued mortgage portfolio growth.

◦Non-interest income was $2.1 billion, up 22% year-over-year, primarily driven by higher revenues from guarantee income and held-for-sale loan purchase and securitization activities, coupled with lower realized losses on sales of available-for-sale securities.

–Provision for credit losses of $48 million for YTD 2024, driven by deterioration in overall loan performance, partially offset by a credit reserve release due to enhancements in our credit loss estimation process.

Freddie Mac 3Q 2024 Form 10-Q						21

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Management's Discussion and Analysis						Risk Management

RISK MANAGEMENT

To achieve our mission, we take risks as an integral part of our business activities. We are exposed to the following key types of risk: credit risk, market risk, liquidity risk, operational risk, compliance risk, legal risk, strategic risk, and reputation risk.

Credit Risk

Allowance for Credit Losses

For financial assets measured at amortized cost, we recognize an allowance for credit losses that is deducted from or added to the amortized cost basis of the financial asset to present the net amount expected to be collected on the financial asset on the balance sheet.

For Single-Family credit exposures, we estimate the allowance for credit losses for loans on a pooled basis using a discounted cash flow model that evaluates a variety of factors to estimate the cash flows we expect to collect. The discounted cash flow model forecasts cash flows over the loan’s remaining contractual life, adjusted for expectations of prepayments, and using our historical experience (which includes the effects of severe weather events and other natural disasters), adjusted for current and forecasted economic conditions. These projections require significant management judgment, and we face uncertainties and risks related to the models we use for financial accounting and reporting purposes. For further information on our accounting policies and methods for estimating our allowance for credit losses and related management judgments, see MD&A - Critical Accounting Estimates.

For Multifamily credit exposures, we estimate the allowance for credit losses using a loss-rate method to estimate the net amount of cash flows we expect to collect. The loss-rate method is based on a probability of default and loss given default framework that estimates credit losses by considering a loan’s underlying characteristics, our historical experience (which includes the effects of severe weather events and other natural disasters), and current and forecasted economic and multifamily market conditions. During 3Q 2024, we made enhancements to our credit loss estimation process. These changes did not have a material impact on our financial position or results of operations. Beginning in 3Q 2024, loan characteristics considered by our model include vintage, loan term, current DSCR, current net operating income (NOI), current LTV ratio, interest rate type, underlying property type, and property location. We simulate multiple forecast paths of economic variables, property values, and NOI over the loan’s remaining contractual life. We also consider as model inputs expected prepayments and expected recoveries from credit enhancements that are not freestanding contracts. Management adjustments to our model output may be necessary to take into consideration current economic events and other factors not considered within the model.

Freddie Mac 3Q 2024 Form 10-Q						22

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Management's Discussion and Analysis						Risk Management

The tables below present a summary of the changes in our allowance for credit losses and key allowance for credit losses ratios.

Table 13 - Allowance for Credit Losses Activity

						3Q 2024									3Q 2023												YTD 2024									YTD 2023
(Dollars in millions)						Single-Family			Multi-family			Total			Single-Family			Multi-family			Total						Single-Family			Multi-family			Total			Single-Family			Multi-family			Total
Allowance for credit losses:
Beginning balance						$6,760			$587			$7,347			$7,457			$325			$7,782						$6,402			$447			$6,849			$7,746			$147			$7,893
Provision (benefit) for credit losses						(99)			(92)			(191)			(304)			41			(263)						336			48			384			(624)			219			(405)
Charge-offs						(75)			—			(75)			(221)			—			(221)						(367)			—			(367)			(422)			—			(422)
Recoveries collected						39			—			39			54			—			54						89			—			89			115			—			115
Net charge-offs						(36)			—			(36)			(167)			—			(167)						(278)			—			(278)			(307)			—			(307)
Other(1)						72			—			72			80			—			80						237			—			237			251			—			251
Ending balance						$6,697			$495			$7,192			$7,066			$366			$7,432						$6,697			$495			$7,192			$7,066			$366			$7,432
Average loans outstanding during the period(2)						$3,062,970			$67,309			$3,130,279			$3,008,592			$51,500			$3,060,092						$3,045,392			$62,495			$3,107,887			$2,995,238			$49,186			$3,044,424
Net charge-offs to average loans outstanding						—		%	—		%	—		%	0.01		%	—		%	0.01		%				0.01		%	—		%	0.01		%	0.01		%	—		%	0.01		%
Components of ending balance of allowance for credit losses:
Mortgage loans held-for-investment						$6,392			$345			$6,737			$6,668			$280			$6,948
Other(3)						305			150			455			398			86			484
Total ending balance						$6,697			$495			$7,192			$7,066			$366			$7,432

(1)Primarily includes capitalization of past due interest related to non-accrual loans that received payment deferral plans and loan modifications.

(2)Based on amortized cost basis of mortgage loans held-for-investment for which we have not elected the fair value option.

(3)Includes allowance for credit losses related to advances of pre-foreclosure costs and off-balance sheet credit exposures.

Table 14 - Allowance for Credit Losses Ratios

						September 30, 2024									December 31, 2023
(Dollars in millions)						Single-Family			Multifamily			Total			Single-Family			Multifamily			Total
Allowance for credit losses ratios:
Allowance for credit losses(1) to total loans outstanding						0.21		%	0.49		%	0.21		%	0.20		%	0.57		%	0.21		%
Non-accrual loans to total loans outstanding						0.45			0.16			0.44			0.44			0.11			0.44
Allowance for credit losses to non-accrual loans						46.68			302.63			48.80			45.01			509.38			47.20
Balances:
Allowance for credit losses on mortgage loans held-for-investment						$6,392			$345			$6,737			$6,057			$326			$6,383
Total loans outstanding(2)						3,074,681			70,004			3,144,685			3,031,136			57,107			3,088,243
Non-accrual loans(2)						13,692			114			13,806			13,458			64			13,522

(1)Represents allowance for credit losses on mortgage loans held-for-investment.

(2)Based on amortized cost basis of mortgage loans held-for-investment for which we have not elected the fair value option.

Single-Family Mortgage Credit Risk

Maintaining Prudent Eligibility Standards and Quality Control Practices and Managing Seller/Servicer Performance

Loan Purchase Credit Characteristics

We monitor and evaluate market conditions that could affect the credit quality of our single-family loan purchases. Additionally, when managing our new acquisitions, we consider our risk limits and guidance from FHFA and capital requirements under the ERCF. This may affect the volume and characteristics of our loan acquisitions.

Freddie Mac 3Q 2024 Form 10-Q						23

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Management's Discussion and Analysis						Risk Management

The charts below show the credit profile of the single-family loans we purchased.

Weighted Average Original LTV Ratio

Weighted Average Original Credit Score(1)

(1)Weighted average original credit score is generally based on three credit bureaus (Equifax, Experian, and TransUnion).

Weighted Average Original DTI Ratio

The table below contains additional information about the single-family loans we purchased.

Table 15 - Single-Family New Business Activity

						3Q 2024						3Q 2023									YTD 2024						YTD 2023
(Dollars in millions)						Amount			% of Total			Amount			% of Total						Amount			% of Total			Amount			% of Total
20- and 30-year, amortizing fixed-rate						$93,999			96		%	$81,696			95		%				$234,609			95		%	$215,895			95		%
15-year or less, amortizing fixed-rate						3,444			3			3,269			4						8,758			4			8,521			4
Adjustable-rate						800			1			466			1						2,384			1			2,830			1
Total						$98,243			100		%	$85,431			100		%				$245,751			100		%	$227,246			100		%
Percentage of purchases
DTI ratio > 45%									29		%				29		%							30		%				26		%
Original LTV ratio > 90%									24						26									25						27
Transaction type:
Guarantor swap									64						70									65						71
Cash window									36						30									35						29
Property type:
Detached single-family houses and townhouses									92						91									91						91
Condominium or co-op									8						9									9						9
Occupancy type:
Primary residence									93						93									93						93
Second home									2						2									2						2
Investment property									5						5									5						5
Loan purpose:
Purchase									86						89									86						88
Cash-out refinance									8						8									8						8
Other refinance									6						3									6						4

Freddie Mac 3Q 2024 Form 10-Q						24

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Management's Discussion and Analysis						Risk Management

Transferring Credit Risk to Third-Party Investors

We engage in various credit enhancement arrangements to reduce our credit risk exposure on our single-family loans.

Single-Family Mortgage Portfolio Newly Acquired Credit Enhancements

The table below provides the UPB of the mortgage loans acquired during the periods presented that were covered by primary mortgage insurance, the UPB of the mortgage loans covered by CRT transactions issued during the periods presented, and maximum coverage related to these newly acquired credit enhancements.

Table 16 - Single-Family Mortgage Portfolio Newly Acquired Credit Enhancements

						3Q 2024						3Q 2023
(In millions)						UPB(1)(2)			Maximum Coverage(3)(4)			UPB(1)(2)			Maximum Coverage(3)(4)
Primary mortgage insurance						$37,774			$9,961			$35,006			$9,263
CRT transactions:
STACR						33,282			853			—			—
ACIS						10,402			376			7,123			255
Other						776			150			546			103
Total CRT issuance						$44,460			$1,379			$7,669			$358

						YTD 2024						YTD 2023
(In millions)						UPB(1)(2)			Maximum Coverage(3)(4)			UPB(1)(2)			Maximum Coverage(3)(4)
Primary mortgage insurance						$97,532			$25,717			$96,807			$25,516
CRT transactions:
STACR						106,764			3,142			63,331			2,202
ACIS						36,251			1,269			14,716			548
Other						1,864			377			666			223
Total CRT issuance						$144,879			$4,788			$78,713			$2,973

(1)    Represents the UPB of the mortgage assets, reference pool, or securitization trust, as applicable.

(2)    The primary mortgage insurance and CRT transactions presented in this table are not mutually exclusive as a single loan may be covered by both primary mortgage insurance and CRT transactions.

(3)    For primary mortgage insurance, represents the coverage as of the related loan acquisition. For STACR transactions, represents the balance held by third parties at issuance. For ACIS transactions, represents the aggregate limit of insurance purchased from third parties at issuance.

(4)    The credit risk positions to which the maximum coverage applies may vary on a transaction-by-transaction basis.

Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding

The table below provides information on the UPB and maximum coverage associated with credit-enhanced loans in our Single-Family mortgage portfolio.

Table 17 - Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding

						September 30, 2024
(Dollars in millions)						UPB(1)			% of Portfolio			Maximum Coverage(2)(3)
Primary mortgage insurance(4)						$650,360			21		%	$171,891
STACR						1,200,574			39			29,278
ACIS						764,153			25			16,610
Other						39,370			1			10,736
Less: UPB with multiple credit enhancements and other reconciling items(5)						(757,841)			(24)			—
Single-Family mortgage portfolio - credit-enhanced						1,896,616			62			228,515
Single-Family mortgage portfolio - non-credit-enhanced						1,185,616			38			N/A
Total						$3,082,232			100		%	$228,515

Referenced footnotes are on the next page.

Freddie Mac 3Q 2024 Form 10-Q						25

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Management's Discussion and Analysis						Risk Management

						December 31, 2023
(Dollars in millions)						UPB(1)			% of Portfolio			Maximum Coverage(2)(3)
Primary mortgage insurance(4)						$637,037			21		%	$165,738
STACR						1,175,837			39			31,222
ACIS						821,048			27			17,647
Other						39,901			1			11,027
Less: UPB with multiple credit enhancements and other reconciling items(5)						(813,966)			(27)			—
Single-Family mortgage portfolio - credit-enhanced						1,859,857			61			225,634
Single-Family mortgage portfolio - non-credit-enhanced						1,179,053			39			N/A
Total						$3,038,910			100		%	$225,634

(1)    Represents the current UPB of the mortgage assets, reference pool, or securitization trust, as applicable.

(2)    For STACR transactions, represents the outstanding balance held by third parties. For ACIS transactions, represents the remaining aggregate limit of insurance purchased from third parties.

(3)    The credit risk positions to which the maximum coverage applies may vary on a transaction-by-transaction basis.

(4)    Amounts exclude certain loans for which we do not control servicing, as the coverage information for these loans is not readily available to us.

(5)    Other reconciling items primarily include timing differences in reporting cycles between the UPB of certain CRT transactions and the UPB of the underlying loans.

Credit Enhancement Coverage Characteristics

The table below provides the serious delinquency rates for the credit-enhanced and non-credit-enhanced loans in our Single-Family mortgage portfolio. The credit-enhanced categories are not mutually exclusive as a single loan may be covered by both primary mortgage insurance and other credit enhancements.

Table 18 - Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio

						September 30, 2024									December 31, 2023
(% of portfolio based on UPB)(1)						% of Portfolio(2)			SDQ Rate						% of Portfolio(2)			SDQ Rate
Credit-enhanced:
Primary mortgage insurance						21		%	0.98		%				21		%	0.95		%
CRT and other						55			0.59						55			0.60
Non-credit-enhanced						38			0.41						39			0.42
Total						N/A			0.54						N/A			0.55

(1)Excludes loans underlying certain securitization products for which loan-level data is not available.

(2)Percentages do not total to 100% as a single loan may be included in multiple line items.

Credit Enhancement Recoveries

Our expected recovery receivable from freestanding credit enhancements was $0.1 billion as of both September 30, 2024 and December 31, 2023.

Updates to Private Mortgage Insurer Eligibility Requirements

During 3Q 2024, Freddie Mac, in coordination with FHFA and in alignment with Fannie Mae, issued updates to the Private Mortgage Insurer Eligibility Requirements (PMIERs), the financial and operational standards that private mortgage insurance companies must meet to be an approved insurer and provide mortgage guaranty insurance on mortgage loans acquired by the Enterprises. The updates to PMIERs relate to the standards for available assets held by mortgage insurers to pay claims to ensure that these assets are high quality, highly liquid, and readily available when needed. The updated standards differentiate between bonds based on credit quality and liquidity, and also establish limits for assets backed by residential mortgages or commercial real estate, to mitigate the impact if such assets lose value during periods of housing stress. The updates will be implemented through a 24-month phased-in approach, and be fully effective on September 30, 2026.

Freddie Mac 3Q 2024 Form 10-Q						26

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Management's Discussion and Analysis						Risk Management

Monitoring Loan Performance and Characteristics

We review loan performance, including delinquency statistics and related loan characteristics, in conjunction with housing market and economic conditions, to assess credit risk when estimating our allowance for credit losses.

Loan Characteristics

The table below contains details of the characteristics of the loans in our Single-Family mortgage portfolio.

Table 19 - Credit Quality Characteristics of Our Single-Family Mortgage Portfolio

						September 30, 2024
(Dollars in millions)						UPB			Original Credit Score(1)			Current Credit Score(1)(2)			Original LTV Ratio			Current LTV Ratio
Single-Family mortgage portfolio year of origination:
2024						$218,332			754			749			78		%	77		%
2023						263,235			751			749			79			74
2022						408,698			746			744			76			66
2021						929,890			752			756			71			52
2020						678,503			761			768			71			44
2019 and prior						583,574			738			752			75			33
Total						$3,082,232			750			755			74			52

						December 31, 2023
(Dollars in millions)						UPB			Original Credit Score (1)			Current Credit Score(1)(2)			Original LTV Ratio			Current LTV Ratio
Single-Family mortgage portfolio year of origination:
2023						$265,072			751			745			79		%	75		%
2022						433,252			745			746			76			68
2021						984,004			752			756			71			54
2020						719,822			761			768			71			46
2019						119,557			746			753			76			46
2018 and prior						517,203			736			751			75			32
Total						$3,038,910			750			755			73			52

(1)Original credit score is generally based on three credit bureaus (Equifax, Experian, and TransUnion). Current credit score is based on Experian only.

(2)Credit scores for certain recently acquired loans may not have been updated by the credit bureau since the loan acquisition and therefore the original credit scores also represent the current credit scores.

The following table presents the combination of credit score and CLTV ratio attributes of loans in our Single-Family mortgage portfolio.

Table 20 - Single-Family Mortgage Portfolio Attribute Combinations(1)

						September 30, 2024
						CLTV ≤ 60									CLTV > 60 to 80									CLTV > 80 to 90									CLTV > 90 to 100									CLTV > 100									All Loans
Original credit score						% of Portfolio			SDQ Rate						% of Portfolio			SDQ Rate(2)						% of Portfolio			SDQ Rate(2)						% of Portfolio			SDQ Rate(2)						% of Portfolio			SDQ Rate(2)						% of Portfolio			SDQ Rate
740 and above						44		%	0.15		%				15		%	0.25		%				4		%	0.34		%				2		%	0.31		%				—		%	NM						65		%	0.18		%
700 to 739						13			0.50						5			0.89						2			1.05						1			0.81						—			NM						21			0.62
680 to 699						4			0.87						2			1.68						—			NM						—			NM						—			NM						6			1.07
660 to 679						3			1.27						1			2.31						—			NM						—			NM						—			NM						4			1.48
620 to 659						2			1.93						1			3.49						—			NM						—			NM						—			NM						3			2.16
Less than 620						1			4.19						—			NM						—			NM						—			NM						—			NM						1			4.51
Total						67		%	0.47						24		%	0.73						6		%	0.80						3		%	0.63						—		%	NM						100		%	0.54

Referenced footnotes are on the next page.

Freddie Mac 3Q 2024 Form 10-Q						27

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Management's Discussion and Analysis						Risk Management

						December 31, 2023
						CLTV ≤ 60									CLTV > 60 to 80									CLTV > 80 to 90									CLTV > 90 to 100									CLTV > 100									All Loans
Original credit score						% of Portfolio			SDQ Rate						% of Portfolio			SDQ Rate(2)						% of Portfolio			SDQ Rate(2)						% of Portfolio			SDQ Rate(2)						% of Portfolio			SDQ Rate(2)						% of Portfolio			SDQ Rate
740 and above						45		%	0.16		%				15		%	0.24		%				4		%	0.32		%				1		%	0.27		%				—		%	NM						65		%	0.18		%
700 to 739						13			0.53						5			0.82						2			0.93						1			0.59						—			NM						21			0.61
680 to 699						4			0.90						2			1.50						—			NM						—			NM						—			NM						6			1.05
660 to 679						3			1.28						1			2.18						—			NM						—			NM						—			NM						4			1.45
620 to 659						2			2.00						1			3.37						—			NM						—			NM						—			NM						3			2.21
Less than 620						1			4.41						—			NM						—			NM						—			NM						—			NM						1			4.74
Total						68		%	0.49						24		%	0.70						6		%	0.72						2		%	0.52						—		%	NM						100		%	0.55

(1)     Excludes loans underlying certain securitization products for which original credit score is not available.

(2)     NM - not meaningful due to the percentage of the portfolio rounding to zero.

Geographic Concentrations

We purchase mortgage loans from across the U.S. but do not purchase an equal number of loans from each state, leading to concentrations of credit risk in certain geographic areas. Local economic and other conditions can affect the borrower's ability to repay and the value of the underlying collateral. In addition, certain states and municipalities have passed or may pass laws that limit our ability to foreclose or evict and make it more difficult and costly to manage our risk.

See Note 12 for more information about the geographic distribution of our Single-Family mortgage portfolio.

Delinquency Rates

We report Single-Family delinquency rates based on the number of loans in our Single-Family mortgage portfolio that are past due as reported to us by our servicers as a percentage of the total number of loans in our Single-Family mortgage portfolio.

The chart below presents the delinquency rates of mortgage loans in our Single-Family mortgage portfolio.

The percentages of loans that were one month past due and two months past due increased as of September 30, 2024 compared to September 30, 2023. The percentage of loans one month past due can be volatile due to seasonality, whether the last day of the period falls on a weekend, and other factors that may not be indicative of default. As a result, the percentage of loans two months past due tends to be a better early performance indicator than the percentage of loans one month past due.

We have observed a higher serious delinquency rate during the first 12-24 months after origination for loans originated during 2022 and later compared to earlier vintages. See Note 3 for additional information on the payment status of our single-family mortgage loans.

Freddie Mac 3Q 2024 Form 10-Q						28

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Management's Discussion and Analysis						Risk Management

Engaging in Loss Mitigation Activities

We offer a variety of borrower assistance programs, including refinance programs for certain eligible loans and loan workout activities for struggling borrowers. For purposes of the disclosure below related to loss mitigation activities, we generally exclude loans for which we do not control servicing. See Note 3 for additional information on our loss mitigation activities. For information on our refinance programs, see the MD&A - Our Business Segments - Single-Family and MD&A - Risk Management - Credit Risk - Single-Family Mortgage Credit Risk sections in our 2023 Annual Report.

Loan Workout Activities

We continue to help struggling families retain their homes or otherwise avoid foreclosure through loan workouts. The table below provides details about the single-family loan workout activities that were completed during the periods presented.

Table 21 - Single-Family Completed Loan Workout Activity

						3Q 2024						3Q 2023
(UPB in millions, loan count in thousands)						UPB			Loan Count			UPB			Loan Count
Payment deferral plans						$1,748			6			$1,995			7
Loan modifications						1,637			7			1,283			6
Forbearance plans and other(1)						1,025			5			1,225			5
Total						$4,410			18			$4,503			18

						YTD 2024						YTD 2023
(UPB in millions, loan count in thousands)						UPB			Loan Count			UPB			Loan Count
Payment deferral plans						$6,516			24			$6,921			27
Loan modifications						4,701			19			3,769			17
Forbearance plans and other(1)						3,262			14			4,050			18
Total						$14,479			57			$14,740			62

(1)     The forbearance data is limited to loans in forbearance that were past due based on the loans' original contractual terms and excludes loans included in certain legacy transactions, as the forbearance data for such loans is either not reported to us by the servicers or is otherwise not readily available to us. Other includes repayment plans and foreclosure alternatives.

Our loan workout activity decreased, based on UPB, in the 2024 periods compared to the 2023 periods. Completed loan workout activity includes forbearance plans where borrowers fully reinstated the loan to current status during or at the end of the forbearance period, payment deferral plans, loan modifications, successfully completed repayment plans, short sales, and deeds in lieu of foreclosure. Completed loan workout activity excludes active loss mitigation activity that was ongoing and had not been completed as of the end of the period, such as forbearance plans that had been initiated but not completed and trial period modifications. There were approximately 16,000 loans in active forbearance plans and approximately 14,000 loans in other active loss mitigation activity as of September 30, 2024.

Freddie Mac 3Q 2024 Form 10-Q						29

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Management's Discussion and Analysis						Risk Management

Multifamily Mortgage Credit Risk

Completing Our Own Underwriting, Credit and Legal Review for New Business Activity

Our underwriting standards focus on the LTV ratio and DSCR, which estimates the value of the collateral and a borrower's ability to repay the loan using the secured property's cash flows, after expenses. The charts below provide the weighted average original LTV ratio and original DSCR for our new business activity.

Weighted Average Original LTV Ratio

Weighted Average Original DSCR(1)

(1) Assumes monthly payments that reflect amortization of principal.

Transferring Credit Risk to Third-Party Investors

To reduce our credit risk exposure, we engage in a variety of CRT activities through which we have transferred a substantial amount of the expected and stressed credit risk on the Multifamily mortgage portfolio, thereby reducing our overall credit risk exposure and required capital.

Multifamily Mortgage Portfolio CRT Issuance

The table below provides the UPB of the mortgage loans covered by CRT transactions issued during the periods presented as well as the maximum coverage provided by those transactions.

Table 22 - Multifamily Mortgage Portfolio CRT Issuance

						3Q 2024									3Q 2023									YTD 2024									YTD 2023
(In millions)						UPB(1)			Maximum Coverage(2)(3)						UPB(1)			Maximum Coverage(2)(3)						UPB(1)			Maximum Coverage(2)(3)						UPB(1)			Maximum Coverage(2)(3)
Subordination						$6,606			$405						$8,722			$586						$19,666			$1,164						$23,498			$1,621
SCR						—			—						8,224			200						8,171			190						17,026			407
MCIP						—			—						8,224			152						24,131			518						15,860			340
Lender risk-sharing						500			46						—			—						592			60						560			80
Less: UPB with more than one type of CRT						—			—						(8,224)			—						(24,131)			—						(15,860)			—
Total CRT issuance						$7,106			$451						$16,946			$938						$28,429			$1,932						$41,084			$2,448

(1) Represents the UPB of the assets included in the associated reference pool or securitization trust, as applicable.

(2) For subordination, represents the UPB of the securities that are held by third parties at issuance and are subordinate to the securities we guarantee. For SCR transactions, represents the UPB of securities held by third parties at issuance. For MCIP transactions, represents the aggregate limit of insurance purchased from third parties at issuance. For lender risk-sharing, represents the amount of loss recovery that is available subject to the terms of counterparty agreements at issuance.

(3) The credit risk positions to which the maximum coverage applies may vary on a transaction-by-transaction basis.

Multifamily Mortgage Portfolio Credit Enhancement Coverage Outstanding

While we obtain various forms of credit protection in connection with the acquisition, guarantee, and/or securitization of a loan or group of loans, our principal credit enhancement type is subordination, which is created through our senior subordinate

Freddie Mac 3Q 2024 Form 10-Q						30

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Management's Discussion and Analysis						Risk Management

securitization transactions. Our maximum coverage provided by subordination in nonconsolidated VIEs was $38.3 billion and $39.5 billion, as of September 30, 2024 and December 31, 2023, respectively.

The table below presents the UPB and delinquency rates for both credit-enhanced and non-credit-enhanced loans underlying our Multifamily mortgage portfolio.

Table 23 - Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio

						September 30, 2024									December 31, 2023
(Dollars in millions)						UPB			Delinquency Rate						UPB			Delinquency Rate
Credit-enhanced:
Subordination						$357,013			0.42		%				$358,944			0.26		%
SCR/MCIP						54,810			0.14						47,011			0.23
Other						9,341			1.22						8,844			0.89
Total credit-enhanced						421,164			0.40						414,799			0.27
Non-credit-enhanced						30,952			0.21						25,998			0.51
Total						$452,116			0.39						$440,797			0.28

The Multifamily delinquency rate increased to 0.39% at September 30, 2024, primarily driven by an increase in delinquent floating rate loans including small balance loans that are in their floating rate period. As of September 30, 2024, 96% of the delinquent loans in the Multifamily mortgage portfolio have credit enhancement coverage.

The table below contains details on the loans underlying our Multifamily mortgage portfolio that are not credit-enhanced.

Table 24 - Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement

						September 30, 2024									December 31, 2023
(Dollars in millions)						UPB			Delinquency Rate									UPB			Delinquency Rate
Mortgage loans held-for-sale						$7,769			—		%							$8,823			—		%
Mortgage loans held-for-investment:
Held by Freddie Mac						10,529			0.49									9,941			1.21
Held by consolidated trusts						9,872			0.13									4,851			0.27
Other mortgage-related guarantees						2,782			—									2,383			—
Total						$30,952			0.21									$25,998			0.51

Market Risk

Overview

Our business segments have embedded exposure to market risk, which is the economic risk associated with adverse changes in interest rates, volatility, and spreads. Market risk can adversely affect future cash flows, or economic value, as well as earnings and net worth. The primary sources of interest-rate risk are our investments in mortgage-related assets, the debt we issue to fund these assets, and our Single-Family guarantees.

Interest-Rate Risk

Our primary interest-rate risk measures are duration gap and Portfolio Value Sensitivity (PVS). Duration gap measures the difference in price sensitivity to interest rate changes between our financial assets and liabilities and is expressed in months relative to the value of assets. PVS is an estimate of the change in the present value of the cash flows of our financial assets and liabilities from an instantaneous shock to interest rates, assuming spreads are held constant and no rebalancing actions are undertaken. PVS is measured in two ways, one measuring the estimated sensitivity of our portfolio value to a 50 bps parallel movement in interest rates (PVS-L) and the other to a non-parallel movement resulting from a 25 bps change in the slope of the yield curve (PVS-YC). While we believe that duration gap and PVS are useful risk management tools, they should be understood as estimates rather than as precise measurements.

The tables below provide our duration gap, estimated point-in-time and minimum and maximum PVS-L and PVS-YC results, and an average of the daily values and standard deviation. The table below also provides PVS-L estimates assuming an immediate 100 bps shift in the yield curve. The interest-rate sensitivity of a mortgage portfolio varies across a wide range of interest rates.

Freddie Mac 3Q 2024 Form 10-Q						31

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Management's Discussion and Analysis						Risk Management

Table 25 - PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve

						September 30, 2024															December 31, 2023
						PVS-YC						PVS-L									PVS-YC						PVS-L
(In millions)						25 bps						50 bps			100 bps						25 bps						50 bps			100 bps
Assuming shifts of the yield curve, (gains) losses on:(1)
Assets:
Investments						($345)						$3,643			$7,211						($301)						$3,150			$6,229
Guarantees(2)						26						(429)			(792)						34						(369)			(678)
Total assets						(319)						3,214			6,419						(267)						2,781			5,551
Liabilities						(24)						(1,257)			(2,549)						(52)						(1,519)			(3,073)
Derivatives						347						(1,946)			(3,890)						322						(1,274)			(2,547)
Total						$4						$11			($20)						$3						($12)			($69)
PVS						$4						$11			$—						$3						$—			$—

(1)The categorization of the PVS impact between assets, liabilities, and derivatives on this table is based upon the economic characteristics of those assets and liabilities, not their accounting classification. For example, purchase and sale commitments of mortgage-related securities and debt of consolidated trusts held by the mortgage-related investments portfolio are both categorized as assets on this table.

(2)Represents the interest-rate risk from our guarantees, which include buy-ups, float, and upfront fees (including buy-downs).

Table 26 - Duration Gap and PVS Results

						3Q 2024												3Q 2023
(Duration gap in months, dollars in millions)						Duration Gap			PVS-YC 25 bps			PVS-L 50 bps						Duration Gap			PVS-YC 25 bps			PVS-L 50 bps
Average						0.1			$4			$3						—			$3			$—
Minimum						(0.5)			—			—						(0.1)			—			—
Maximum						0.3			10			37						0.1			9			—
Standard deviation						0.2			2			8						0.1			2			—
						YTD 2024												YTD 2023
(Duration gap in months, dollars in millions)						Duration Gap			PVS-YC 25 bps			PVS-L 50 bps						Duration Gap			PVS-YC 25 bps			PVS-L 50 bps
Average						0.1			$3			$1						—			$3			$3
Minimum						(0.5)			—			—						(0.2)			—			—
Maximum						0.3			10			37						0.3			9			31
Standard deviation						0.1			1			4						0.1			2			7

Derivatives enable us to reduce our economic interest-rate risk exposure as we continue to align our derivative portfolio with the changing duration of our economically hedged assets and liabilities. The table below shows that the PVS-L risk levels, assuming a 50 bps shift in the yield curve for the periods presented, would have been higher if we had not used derivatives.

Table 27 - PVS-L Results Before Derivatives and After Derivatives

						PVS-L (50 bps)
(In millions)						Before Derivatives			After Derivatives						Effect of Derivatives
September 30, 2024						$1,957			$11						($1,946)
December 31, 2023						1,261			—						(1,261)

Earnings Sensitivity to Market Risk

The GAAP accounting treatment for our financial assets and liabilities (i.e., some are measured at amortized cost, while others are measured at fair value) creates variability in our GAAP earnings when interest rates and spreads change. We manage this variability of GAAP earnings, which may not reflect the economics of our business, using fair value hedge accounting. See MD&A - Consolidated Results of Operations and MD&A - Our Business Segments for additional information on the effect of changes in interest rates and market spreads on our financial results.

Freddie Mac 3Q 2024 Form 10-Q						32

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Management's Discussion and Analysis						Risk Management

Interest Rate-Related Earnings Sensitivity

While we manage our interest-rate risk exposure on an economic basis to a low level as measured by our models, our GAAP financial results are subject to significant earnings variability from period to period based on changes in market conditions.

In an effort to reduce our GAAP earnings variability and better align our GAAP results with the economics of our business, we elect to use hedge accounting for certain single-family mortgage loans and certain debt instruments. See Note 8 for additional information on hedge accounting.

Earnings Sensitivity to Changes in Interest Rates

We evaluate a range of interest rate scenarios to determine the sensitivity of our earnings due to changes in interest rates and to determine our fair value hedge accounting strategies. The interest rate scenarios evaluated include parallel shifts in the yield curve in which interest rates increase or decrease by 100 bps, non-parallel shifts in the yield curve in which long-term interest rates increase or decrease by 100 bps, and non-parallel shifts in the yield curve in which short-term and medium-term interest rates increase or decrease by 100 bps. This evaluation identifies the net effect on comprehensive income from changes in fair value attributable to changes in interest rates for financial instruments measured at fair value, including the effects of fair value hedge accounting, for each of the identified scenarios. This evaluation does not include the net effect on comprehensive income from interest-rate sensitive items that are not measured at fair value (e.g., amortization of mortgage loan premiums and discounts, changes in fair value of held-for-sale mortgage loans for which we have not elected the fair value option, etc.) or from changes in our future contractual net interest income due to repricing of our interest-bearing assets and liabilities. The before-tax results of this evaluation are shown in the table below.

Table 28 - Earnings Sensitivity to Changes in Interest Rates

(In millions)						September 30, 2024						September 30, 2023
Interest Rate Scenarios(1)
Parallel yield curve shifts:
+100 bps						$52						($66)
-100 bps						(52)						66
Non-parallel yield curve shifts - long-term interest rates:
+100 bps						217						121
-100 bps						(217)						(121)
Non-parallel yield curve shifts - short-term and medium-term interest rates:
+100 bps						(165)						(187)
-100 bps						165						187

(1)The earnings sensitivity presented is calculated using the change in interest rates and net effective duration exposure.

The actual effect of changes in interest rates on our comprehensive income in any given period may vary based on a number of factors, including, but not limited to, the composition of our assets and liabilities, the actual changes in interest rates that are realized at different terms along the yield curve, and the effectiveness of our hedge accounting strategies. Even if implemented properly, our hedge accounting programs may not be effective in reducing earnings volatility, and our hedges may fail in any given future period, which could expose us to significant earnings variability in that period.

Freddie Mac 3Q 2024 Form 10-Q						33

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Management's Discussion and Analysis						Liquidity and Capital Resources

LIQUIDITY AND CAPITAL RESOURCES

Our business activities require that we maintain adequate liquidity to meet our financial obligations as they come due and to meet the needs of customers in a timely and cost-efficient manner. We also must maintain adequate capital resources to avoid being placed into receivership by FHFA.

Liquidity

Primary Sources of Liquidity

The table below lists the sources of our liquidity, the balances as of the dates shown, and a brief description of their importance to Freddie Mac.

Table 29 - Liquidity Sources

(In millions)

September 30, 2024(1)

December 31, 2023(1)

Description

Other Investments Portfolio - Liquidity and Contingency Operating Portfolio

$118,072

$124,098

The liquidity and contingency operating portfolio, included within our other investments portfolio, is primarily used for short-term liquidity management.

Mortgage-Related Investments Portfolio

24,244

24,469

The liquid portion of our mortgage-related investments portfolio can be pledged or sold for liquidity purposes. The amount of cash we may be able to successfully raise may be substantially less than the balance.

(1)Represents carrying value for the liquidity and contingency operating portfolio, included within our other investments portfolio, and UPB for the liquid portion of the mortgage-related investments portfolio.

Other Investments Portfolio

Our other investments portfolio is important to our cash flow, collateral management, asset and liability management, and ability to provide liquidity and stability to the mortgage market.

Our liquidity and contingency operating portfolio primarily includes securities purchased under agreements to resell and non-mortgage-related securities. Our non-mortgage-related securities consist of U.S. Treasury securities and other investments that we could sell to provide us with an additional source of liquidity to fund our business operations. We also maintain non-interest-bearing deposits at the Federal Reserve Bank of New York and interest-bearing deposits at commercial banks. Our interest-bearing deposits at commercial banks, including custodial accounts, totaled $4.5 billion and $5.1 billion as of September 30, 2024 and December 31, 2023, respectively. See MD&A - Our Portfolios - Investments Portfolio - Other Investments Portfolio for additional information about our other investments portfolio.

Mortgage-Related Investments Portfolio

We invest principally in mortgage-related investments, certain categories of which are largely unencumbered and liquid. Our primary source of liquidity among these mortgage assets is our holdings of agency securities. See MD&A - Our Portfolios - Investments Portfolio - Mortgage-Related Investments Portfolio for additional information about our mortgage loans and mortgage-related securities.

Freddie Mac 3Q 2024 Form 10-Q						34

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Management's Discussion and Analysis						Liquidity and Capital Resources

Primary Sources of Funding

The table below lists the sources of our funding, the balances as of the dates shown, and a brief description of their importance to Freddie Mac.

Table 30 - Funding Sources

(In millions)			September 30, 2024(1)			December 31, 2023(1)			Description
Debt of Freddie Mac			$173,127			$166,419			Debt of Freddie Mac is used to fund our business activities.
Debt of Consolidated Trusts			3,092,140			3,041,927			Debt of consolidated trusts is used primarily to fund our Single-Family guarantee activities. This type of debt is principally repaid by the cash flows of the associated mortgage loans. As a result, our repayment obligation is limited to amounts paid pursuant to our guarantee of principal and interest and to purchase modified or seriously delinquent loans from the trusts.

(1)Represents the carrying value of debt balances after consideration of offsetting arrangements.

Debt of Freddie Mac

We issue debt of Freddie Mac to fund our operations. Competition for funding can vary with economic, financial market, and regulatory environments. The amount, type, and term of debt issued is based on a variety of factors and is designed to meet our ongoing cash needs and to comply with our Liquidity Management Framework.

The table below summarizes the par value and the average rate of debt of Freddie Mac securities we issued or paid off, including regularly scheduled principal payments, payments resulting from calls, and payments for repurchases. We call, exchange, or repurchase outstanding debt of Freddie Mac securities from time to time for a variety of reasons, including managing our funding composition and supporting the liquidity of our debt securities.

Table 31 - Debt of Freddie Mac Activity

						3Q 2024									3Q 2023
(Dollars in millions)						Par Value			Average Rate(1)						Par Value			Average Rate(1)
Short-term:
Beginning balance						$8,453			5.39		%				$11,386			5.08		%
Issuances						43,219			5.24						6,591			5.27
Repayments						—			—						—			—
Maturities						(37,830)			5.38						(13,037)			5.00
Ending balance						13,842			4.93						4,940			5.32
Securities sold under agreements to repurchase, net(2)						—			—						1,023			5.35
Total short-term debt						13,842			4.93						5,963			5.33
Long-term:
Beginning balance						160,039			3.47						180,574			3.21
Issuances						40,093			5.14						10,826			5.79
Repayments						(26,838)			5.60						(2,217)			5.58
Maturities						(8,762)			2.72						(10,281)			5.05
Total long-term debt						164,532			3.57						178,902			3.23
Total debt of Freddie Mac, net						$178,374			3.68		%				$184,865			3.30		%
Referenced footnotes are included after the year-to-date table.

Freddie Mac 3Q 2024 Form 10-Q						35

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Management's Discussion and Analysis						Liquidity and Capital Resources

						YTD 2024									YTD 2023
(Dollars in millions)						Par Value			Average Rate(1)						Par Value			Average Rate(1)
Short-term:
Beginning balance						$6,031			5.39		%				$7,716			3.49		%
Issuances						75,922			5.29						85,360			4.42
Repayments						—			—						—			—
Maturities						(68,111)			5.36						(88,136)			4.26
Ending balance						13,842			4.93						4,940			5.32
Securities sold under agreements to repurchase, net(2)						—			—						1,023			5.35
Total short-term debt						13,842			4.93						5,963			5.33
Long-term:
Beginning balance						168,009			3.31						170,363			2.22
Issuances						69,976			5.31						45,359			5.49
Repayments						(50,780)			5.62						(8,728)			5.47
Maturities						(22,673)			2.41						(28,092)			2.39
Total long-term debt						164,532			3.57						178,902			3.23
Total debt of Freddie Mac, net						$178,374			3.68		%				$184,865			3.30		%

(1)Average rate is weighted based on par value.

(2)We offset payables related to securities sold under agreements to repurchase against receivables related to securities purchased under agreements to resell on our condensed consolidated balance sheets, when such amounts meet the conditions for offsetting in the accounting guidance.

As of September 30, 2024, our aggregate indebtedness pursuant to the Purchase Agreement was $178.4 billion, which was below the current $270.0 billion debt cap limit. Our aggregate indebtedness calculation primarily includes the par value of short- and long-term debt.

Maturity and Redemption Dates

The table below presents the par value of debt of Freddie Mac by contractual maturity date and earliest redemption date. The earliest redemption date includes callable debt at its earliest call date, and the contractual maturity date includes both callable debt and non-callable debt as of their respective maturity dates.

Table 32 - Maturity and Redemption Dates

						As of September 30, 2024									As of December 31, 2023
(In millions)						Contractual Maturity Date			Earliest Redemption Date						Contractual Maturity Date			Earliest Redemption Date
Debt of Freddie Mac(1):
1 year or less						$57,044			$144,182						$47,276			$144,232
1 year through 2 years						43,543			20,505						61,187			15,249
2 years through 3 years						18,937			350						15,645			447
3 years through 4 years						10,484			160						12,530			305
4 years through 5 years						24,209			1,245						10,947			345
Thereafter						22,450			10,225						24,278			11,285
STACR and SCR debt(2)						1,707			1,707						2,177			2,177
Total debt of Freddie Mac						$178,374			$178,374						$174,040			$174,040

(1)As of September 30, 2024 and December 31, 2023, excludes $2.1 billion and $10.2 billion, respectively, of payables related to securities sold under agreements to repurchase that we offset against receivables related to securities purchased under agreements to resell on our condensed consolidated balance sheets.

(2)STACR debt notes and SCR debt notes are subject to prepayment risk as their payments are based upon the performance of a reference pool of mortgage assets that may be prepaid by the related mortgage borrowers at any time generally without penalty and are, therefore, included as a separate category in the table.

Debt of Consolidated Trusts

The largest component of debt on our condensed consolidated balance sheets is debt of consolidated trusts, which relates to securitization transactions that we consolidate for accounting purposes. We primarily issue this type of debt by securitizing mortgage loans to fund our guarantee activities.

Freddie Mac 3Q 2024 Form 10-Q						36

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Management's Discussion and Analysis						Liquidity and Capital Resources

The table below shows the issuance and extinguishment activity for the debt of consolidated trusts.

Table 33 - Debt of Consolidated Trusts Activity

(In millions)						3Q 2024			3Q 2023			YTD 2024			YTD 2023
Beginning balance						$3,026,859			$2,960,996			$2,999,893			$2,929,567
Issuances						131,023			119,668			330,318			321,235
Repayments and extinguishments						(105,257)			(97,157)			(277,586)			(267,295)
Ending balance						3,052,625			2,983,507			3,052,625			2,983,507
Unamortized premiums and discounts						39,515			43,668			39,515			43,668
Debt of consolidated trusts						$3,092,140			$3,027,175			$3,092,140			$3,027,175

Off-Balance Sheet Arrangements

We enter into certain business arrangements that are not recorded on our condensed consolidated balance sheets or that may be recorded in amounts that differ from the full contractual or notional amount of the transaction that affect our short- and long-term liquidity needs. Our off-balance sheet arrangements primarily consist of guarantees and commitments. Certain of these arrangements present credit risk exposure. See Note 2 and Note 4 for additional information on these transactions. See MD&A - Risk Management - Credit Risk for additional information on our credit risk exposure on off-balance sheet arrangements.

Cash Flows

Cash and cash equivalents (including restricted cash and cash equivalents) decreased from $5.4 billion as of September 30, 2023 to $4.9 billion as of September 30, 2024.

Freddie Mac 3Q 2024 Form 10-Q						37

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Management's Discussion and Analysis						Liquidity and Capital Resources

Capital Resources

The table below presents activity related to our net worth.

Table 34 - Net Worth Activity

(In millions)						3Q 2024			3Q 2023						YTD 2024			YTD 2023
Beginning balance						$53,223			$41,957						$47,722			$37,018
Comprehensive income						3,167			2,704						8,668			7,643
Capital draw from Treasury						—			—						—			—
Senior preferred stock dividends declared						—			—						—			—
Total equity / net worth						$56,390			$44,661						$56,390			$44,661
Remaining Treasury funding commitment						$140,162			$140,162						$140,162			$140,162
Aggregate draws under Purchase Agreement						71,648			71,648						71,648			71,648
Aggregate cash dividends paid to Treasury						119,680			119,680						119,680			119,680
Liquidation preference of the senior preferred stock						125,871			114,605						125,871			114,605

ERCF

For a description of our capital requirements under the ERCF, including the amended provisions, see the MD&A - Regulation and Supervision section in our 2023 Annual Report.

The charts below present the ERCF capital adequacy requirements under the risk-based capital requirement (CET1 capital ratio relative to RWA) and leverage capital requirement (Tier 1 capital ratio relative to ATA).

Risk-Based Capital Requirement: CET1 Capital Ratio

Leverage Capital Requirement: Tier 1 Capital Ratio

Freddie Mac 3Q 2024 Form 10-Q						38

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Management's Discussion and Analysis						Liquidity and Capital Resources

Capital Metrics

The table below presents the components of our regulatory capital.

Table 35 - Regulatory Capital Components

(In millions)															September 30, 2024						December 31, 2023
Total equity															$56,390						$47,722
Less:
Senior preferred stock															72,648						72,648
Preferred stock															14,109						14,109
Common equity															(30,367)						(39,035)
Less: deferred tax assets arising from temporary differences that exceed 10% of CET1 capital and other regulatory adjustments															4,786						4,108
Common equity Tier 1 capital															(35,153)						(43,143)
Add: Preferred stock															14,109						14,109
Tier 1 capital															(21,044)						(29,034)
Tier 2 capital adjustments															—						—
Adjusted total capital															($21,044)						($29,034)

The table below presents the components of our statutory capital.

Table 36 - Statutory Capital Components

(In millions)															September 30, 2024						December 31, 2023
Total equity															$56,390						$47,722
Less:
Senior preferred stock															72,648						72,648
AOCI, net of taxes															10						(22)
Core capital															(16,268)						(24,904)
General allowance for foreclosure losses(1)															7,192						6,849
Total capital															($9,076)						($18,055)

(1)Represents our allowance for credit losses.

Freddie Mac 3Q 2024 Form 10-Q						39

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Management's Discussion and Analysis						Liquidity and Capital Resources

The table below presents our capital metrics under the ERCF.

Table 37 - Capital Metrics Under ERCF

(In billions)															September 30, 2024									December 31, 2023
Adjusted total assets												$3,772									$3,775
Risk-weighted assets (standardized approach):
Credit risk												921									884
Market risk												54									54
Operational risk												71									71
Total risk-weighted assets												$1,046									$1,009
(In billions)															September 30, 2024									December 31, 2023
Stress capital buffer												$28									$28
Stability capital buffer												29									23
Countercyclical capital buffer amount												—									—
PCCBA												$57									$51
PLBA												$14									$11
									September 30, 2024
(Dollars in billions)									Minimum Capital Requirement			Applicable Buffer(1)						Capital Requirement (Including Buffer(1))						Available Capital (Deficit)			Capital Shortfall
Risk-based capital amounts:
Total capital									$84			N/A						$84						($9)			($93)
CET1 capital									47			$57						104						(35)			(139)
Tier 1 capital									63			57						120						(21)			(141)
Adjusted total capital									84			57						141						(21)			(162)
Risk-based capital ratios(2):
Total capital									8.0		%	N/A						8.0					%	(0.9)		%	(8.9)		%
CET1 capital									4.5			5.4					%	9.9						(3.4)			(13.3)
Tier 1 capital									6.0			5.4						11.4						(2.0)			(13.4)
Adjusted total capital									8.0			5.4						13.4						(2.0)			(15.4)
Leverage capital amounts:
Core capital									$94			N/A						$94						($16)			($110)
Tier 1 capital									94			$14						108						(21)			(129)
Leverage capital ratios(3):
Core capital									2.5		%	N/A						2.5					%	(0.4)		%	(2.9)		%
Tier 1 capital									2.5			0.4					%	2.9						(0.6)			(3.5)

Referenced footnotes are included after the prior period table.

Freddie Mac 3Q 2024 Form 10-Q						40

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Management's Discussion and Analysis						Liquidity and Capital Resources

									December 31, 2023
(Dollars in billions)									Minimum Capital Requirement			Applicable Buffer(1)						Capital Requirement (Including Buffer(1))						Available Capital (Deficit)			Capital Shortfall
Risk-based capital amounts:
Total capital									$81			N/A						$81						($18)			($99)
CET1 capital									45			$51						96						(43)			(139)
Tier 1 capital									60			51						111						(29)			(140)
Adjusted total capital									81			51						132						(29)			(161)
Risk-based capital ratios(2):
Total capital									8.0		%	N/A						8.0					%	(1.8)		%	(9.8)		%
CET1 capital									4.5			5.0					%	9.5						(4.3)			(13.8)
Tier 1 capital									6.0			5.0						11.0						(2.9)			(13.9)
Adjusted total capital									8.0			5.0						13.0						(2.9)			(15.9)
Leverage capital amounts:
Core capital									$95			N/A						$95						($25)			($120)
Tier 1 capital									95			$11						106						(29)			(135)
Leverage capital ratios(3):
Core capital									2.5		%	N/A						2.5					%	(0.7)		%	(3.2)		%
Tier 1 capital									2.5			0.3					%	2.8						(0.8)			(3.6)

(1)PCCBA for risk-based capital and PLBA for leverage capital.

(2)As a percentage of RWA.

(3)As a percentage of ATA.

At September 30, 2024, our maximum payout ratio under the ERCF was 0.0%.

See Note 15 for additional information on our capital amounts and ratios under the ERCF.

Freddie Mac 3Q 2024 Form 10-Q						41

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Management's Discussion and Analysis						Critical Accounting Estimates

CRITICAL ACCOUNTING ESTIMATES

Our critical accounting estimates and policies relate to the Single-Family allowance for credit losses. For additional information about our critical accounting estimates and other significant accounting policies, see Note 1 and Critical Accounting Estimates in our 2023 Annual Report.

Single-Family Allowance for Credit Losses

The Single-Family allowance for credit losses represents our estimate of expected credit losses over the contractual term of the mortgage loans. The Single-Family allowance for credit losses pertains to all single-family loans classified as held-for-investment on our condensed consolidated balance sheets.

Determining the appropriateness of the Single-Family allowance for credit losses is a complex process that is subject to numerous estimates and assumptions requiring significant management judgment about matters that involve a high degree of subjectivity. This process involves the use of models that require us to make judgments about matters that are difficult to predict.

Changes in forecasted house price growth rates can have a significant effect on our allowance for credit losses estimates. The table below shows our nationwide forecasted house price growth rates that were used in determining our allowance for credit losses. See Note 5 for additional information regarding our current period provision for credit losses.

Table 38 - Forecasted House Price Growth Rates

						12-Month Forward			13- to 24-Month Forward
September 30, 2024						0.0		%	0.8		%
June 30, 2024						0.6			0.5
March 31, 2024						0.2			0.6
December 31, 2023						2.8			2.0

Freddie Mac 3Q 2024 Form 10-Q						42

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Management's Discussion and Analysis						Regulation and Supervision

REGULATION AND SUPERVISION

In addition to oversight by FHFA as our Conservator, we are subject to regulation and oversight by FHFA under our Charter and the GSE Act and to certain regulation by other government agencies. FHFA has the power to require us from time to time to change our processes, take action and/or stop taking action that could impact our business. Furthermore, regulatory activities by other government agencies can affect us indirectly, even if we are not directly subject to such agencies' regulation or oversight. For example, regulations that modify requirements applicable to the purchase or servicing of mortgages can affect us.

Federal Housing Finance Agency

Affordable Housing Goals

Proposed Affordable Housing Goals for 2025-2027

On August 29, 2024, FHFA proposed its single-family and multifamily affordable housing goals for Freddie Mac and Fannie Mae for 2025-2027. In addition to setting the benchmark levels for the single-family and multifamily affordable housing goals, the proposed rule would establish a new process for evaluating compliance with the housing goals. Under the current regulation, if we were to fail to meet a feasible housing goal, FHFA may require us to submit a housing plan describing the steps that we will take to improve our performance. The proposed rule would provide that FHFA will not require a housing plan if our single-family housing goals performance met the level required by newly-defined Enforcement Factors. These Enforcement Factors address, in part, the uncertainty in forecasting the market several years in advance as well as the time lag in determining the actual market level retrospectively. The Enforcement Factors apply only to the single-family low-income home purchase, very low-income home purchase, and low-income refinance goals. Under the proposed rule, there would be a limit on the Enterprises' ability to rely entirely on the Enforcement Factors. Specifically, if an Enterprise fails to meet the low-income or very low-income home purchase goal in both 2025 and 2026, then the Enforcement Factor would not apply to that goal in 2027.

Our current and proposed affordable housing goal benchmark levels are set forth below.

Table 39 - Current and Proposed 2025-2027 Affordable Housing Goal Benchmark Levels

Affordable Housing Goals						Benchmark Levels for 2024			Proposed Benchmark Levels for 2025-2027
Single-Family:
Low-income home purchase goal						28		%	25		%
Very low-income home purchase goal						7			6
Low-income areas home purchase goal(1)						20			TBD
Minority census tracts home purchase subgoal						10			12
Low-income census tracts home purchase subgoal						4			4
Low-income refinance goal						26			26
Multifamily (percentage of overall qualified units)
Low-income goal						61		%	61		%
Very low-income goal						12			14
Low-income small multifamily (5-50 units) subgoal						2.5			2.0

(1)The low-income areas home purchase goal benchmark level is the sum of (1) the minority census tracts home purchase subgoal, (2) the low-income census tracts home purchase subgoal, and (3) a disaster areas increment set in accordance with existing practice. Each year, FHFA notifies Freddie Mac by letter of the disaster areas increment for that year only. The disaster areas increment for 2024 was set at 6%, the same level as 2023 and 2022.

Freddie Mac 3Q 2024 Form 10-Q						43

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Management's Discussion and Analysis						Regulation and Supervision

Affordable Housing Goals ResultsIn October 2024, FHFA informed us that, for 2023, we achieved all six of our single-family housing goals and subgoals, and all three of our multifamily goals and subgoals. Our performance on the goals, as determined by FHFA, is set forth in the table below.

Table 40 - 2023 and 2022 Affordable Housing Goals Results

						2023												2022
Affordable Housing Goals						Benchmark Level			Market Level			Results						Benchmark Level			Market Level			Results
Single-Family:
Low-income home purchase goal						28		%	26.3		%	28.5		%				28		%	26.8		%	29.0		%
Very low-income home purchase goal						7			6.5			6.8						7			6.8			7.1
Low-income areas home purchase goal(1)						20			28.1			29.5						20			28.0			28.7
Minority census tracts home purchase subgoal						10			12.2			13.2						10			12.1			12.8
Low-income census tracts home purchase subgoal						4			9.8			9.4						4			9.7			9.1
Low-income refinance goal						26			40.3			43.2						26			37.3			37.1
Multifamily:
Low-income goal						61		%	N/A			67.1		%				415,000 units			N/A			420,107 units
Very low-income subgoal						12			N/A			20.6						88,000 units			N/A			127,733 units
Small multifamily (5-50 units) low-income subgoal						2.5			N/A			4.1						23,000 units			N/A			27,103 units

(1)The low-income areas home purchase goal benchmark level is the sum of (1) the minority census tracts home purchase subgoal, (2) the low-income census tracts home purchase subgoal, and (3) a disaster areas increment set in accordance with existing practice. Each year, FHFA notifies Freddie Mac by letter of the disaster areas increment for that year only. The disaster areas increment for 2023 was set at 6%, the same level as 2022.

Freddie Mac 3Q 2024 Form 10-Q						44

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Management's Discussion and Analysis			Forward-Looking Statements

FORWARD-LOOKING STATEMENTS

We regularly communicate information concerning our business activities to investors, the news media, securities analysts, and others as part of our normal operations. Some of these communications, including this Form 10-Q, contain "forward-looking statements." Examples of forward-looking statements include, but are not limited to, statements pertaining to the conservatorship, our current expectations and objectives for the Single-Family and Multifamily segments of our business, our efforts to assist the housing market, our liquidity and capital management, economic and market conditions and trends including, but not limited to, changes in house prices and house price forecasts, our market share, the effect of legislative and regulatory developments and new accounting guidance, the credit quality of loans we own or guarantee, the costs and benefits of our CRT transactions, the impact of banking crises or failures, the effects of catastrophic events or significant climate change effects and actions taken in response thereto on our business, and our results of operations and financial condition. Forward-looking statements involve known and unknown risks and uncertainties, some of which are beyond our control. Forward-looking statements are often accompanied by, and identified with, terms such as "could," "may," "will," "believe," "expect," "anticipate," "forecast," and similar phrases. These statements are not historical facts, but rather represent our expectations based on current information, plans, judgments, assumptions, estimates, and projections. Actual results may differ significantly from those described in or implied by such forward-looking statements due to various factors and uncertainties, including those described in the Risk Factors section in our 2023 Annual Report, and including, without limitation, the following:

n The actions the federal government (including FHFA, Treasury, and Congress) and state governments may take, require us to take, or restrict us from taking, including actions to promote equitable access to affordable and sustainable housing, such as programs to implement the expectations in FHFA's Conservatorship Scorecards, recent requirements and guidance related to equitable housing and fair lending, consumer protection, and other objectives for us;

n Changes in the fiscal and monetary policies of the Federal Reserve, including changes in target interest rates and in the amount of agency MBS and agency CMBS held by the Federal Reserve;

n The effect of the restrictions on our business due to the conservatorship and the Purchase Agreement;

n The impact of any changes in our credit ratings or those of the U.S. government;

n    Changes in our Charter, applicable legislative or regulatory requirements (including any legislation affecting the future status of our company), or the Purchase Agreement;

n Changes to our capital requirements and potential effects of such changes on our business strategies;

n Changes in tax laws;

n Changes in privacy and cybersecurity laws and regulations;

n Changes in accounting policies, practices, standards, or guidance;

n Changes in economic and market conditions, including volatility in the financial services industry, changes in employment rates, inflation, interest rates, spreads, and house prices;

n Changes in the U.S. mortgage market, including changes in the supply and type of loan products;

n The success of our efforts to mitigate our losses;

n The success of our strategy to transfer mortgage credit risk;

n Our ability to maintain adequate liquidity to fund our operations;

n Our ability to maintain the security and resiliency of our operational systems and infrastructure, including against cybersecurity incidents or other security incidents, whether due to insider error or malfeasance or system errors or vulnerabilities in our or our third parties' systems;

n Our ability to effectively execute our business strategies, implement significant changes, and improve efficiency;

n The adequacy of our risk management framework, including the adequacy of our regulatory capital framework prescribed by FHFA and internal models for measuring risk;

n Our ability to manage mortgage credit risk, including the effect of changes in underwriting and servicing practices;

n Our ability to limit or manage our economic exposure and GAAP earnings exposure to interest-rate volatility and spread volatility, including the availability of derivative financial instruments needed for interest-rate risk management purposes and our ability to apply hedge accounting;

n Our operational ability to issue new securities, make timely and correct payments on securities, and provide initial and ongoing disclosures;

n Our reliance on CSS and the CSP for the operation of the majority of our Single-Family securitization activities, limits on our influence over CSS Board decisions, and any additional changes FHFA may require in our relationship with, or support of, CSS;

n    Performance of and changes in the methodologies, models, assumptions, and estimates we use to prepare our financial statements, make business decisions, and manage risks;

n Changes in investor demand for our debt or mortgage-related securities;

Freddie Mac 3Q 2024 Form 10-Q						45

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Management's Discussion and Analysis			Forward-Looking Statements

n Our ability to maintain market acceptance of our mortgage-related securities, including our ability to maintain alignment of the prepayment speeds and pricing performance of our and Fannie Mae's respective UMBS;

n Changes in the practices of loan originators, servicers, investors, and other participants in the secondary mortgage market including as a result of evolving AI regulation;

n Competition from other market participants, which could affect the pricing we offer for our products, the credit characteristics of the loans we purchase, and our ability to meet our affordable housing goals and other mandated activities;

n The availability of critical third parties, or their vendors and other business partners, to deliver products or services, or to manage risks, including cybersecurity risk, effectively;

n The occurrence of a catastrophic event or significant climate change effects in areas in which our offices, significant portions of our total mortgage portfolio, or the offices of critical third parties are located, and for which we may be uninsured or significantly underinsured; and

n    Other factors and assumptions described in this Form 10-Q and our 2023 Annual Report, including in the MD&A section.

Forward-looking statements are made only as of the date of this Form 10-Q, and we undertake no obligation to update any forward-looking statements we make to reflect events or circumstances occurring after the date of this Form 10-Q.

Freddie Mac 3Q 2024 Form 10-Q						46

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Financial Statements

Financial Statements

Freddie Mac 3Q 2024 Form 10-Q						47

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Financial Statements			Condensed Consolidated Statements of Income and Comprehensive Income

FREDDIE MAC

Condensed Consolidated Statements of Income and Comprehensive Income (Unaudited)

(In millions, except share-related amounts)						3Q 2024			3Q 2023						YTD 2024			YTD 2023
Net interest income
Interest income						$29,809			$26,799						$87,258			$77,541
Interest expense						(24,810)			(22,050)						(72,572)			(63,768)
Net interest income						4,999			4,749						14,686			13,773
Non-interest income
Guarantee income						487			301						1,366			1,076
Investment gains, net						243			555						1,197			741
Other income						109			85						334			266
Non-interest income						839			941						2,897			2,083
Net revenues						5,838			5,690						17,583			15,856
(Provision) benefit for credit losses						191			263						(384)			405
Non-interest expense
Salaries and employee benefits						(424)			(418)						(1,265)			(1,197)
Credit enhancement expense						(616)			(634)						(1,801)			(1,754)
Benefit for (decrease in) credit enhancement recoveries						(4)			(103)						(10)			(162)
Legislative assessments expense						(780)			(757)						(2,302)			(2,243)
Other expense						(359)			(664)						(1,061)			(1,356)
Non-interest expense						(2,183)			(2,576)						(6,439)			(6,712)
Income before income tax expense						3,846			3,377						10,760			9,549
Income tax expense						(741)			(692)						(2,124)			(1,925)
Net income						3,105			2,685						8,636			7,624
Other comprehensive income (loss), net of taxes and reclassification adjustments						62			19						32			19
Comprehensive income						$3,167			$2,704						$8,668			$7,643
Net income						$3,105			$2,685						$8,636			$7,624
Amounts attributable to senior preferred stock						(3,167)			(2,704)						(8,668)			(7,643)
Net income (loss) attributable to common stockholders						($62)			($19)						($32)			($19)
Net income (loss) per common share						($0.02)			($0.01)						($0.01)			($0.01)
Weighted average common shares (in millions)						3,234			3,234						3,234			3,234

The accompanying notes are an integral part of these condensed consolidated financial statements.

Freddie Mac 3Q 2024 Form 10-Q						48

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Financial Statements			Condensed Consolidated Balance Sheets

FREDDIE MAC

Condensed Consolidated Balance Sheets (Unaudited)

						September 30,			December 31,
(In millions, except share-related amounts)						2024			2023
Assets
Cash and cash equivalents (includes $1,219 and $978 of restricted cash and cash equivalents)						$4,857			$6,019
Securities purchased under agreements to resell						103,110			95,148
Investment securities, at fair value						43,613			43,275
Mortgage loans held-for-sale (includes $8,353 and $7,356 at fair value)						11,678			12,941
Mortgage loans held-for-investment (net of allowance for credit losses of $6,737 and $6,383 and includes $2,371 and $1,806 at fair value)						3,140,319			3,083,665
Accrued interest receivable						10,561			9,925
Deferred tax assets, net						4,730			4,076
Other assets (includes $6,166 and $6,095 at fair value)						23,715			25,927
Total assets						$3,342,583			$3,280,976
Liabilities and equity
Liabilities
Accrued interest payable						$9,222			$8,812
Debt (includes $3,122 and $2,476 at fair value)						3,265,267			3,208,346
Other liabilities (includes $937 and $873 at fair value)						11,704			16,096
Total liabilities						3,286,193			3,233,254
Commitments and contingencies
Equity
Senior preferred stock (liquidation preference of $125,871 and $117,309)						72,648			72,648
Preferred stock, at redemption value						14,109			14,109
Common stock, $0.00 par value, 4,000,000,000 shares authorized, 725,863,886 shares issued and 650,059,553 shares outstanding						—			—
Retained earnings						(26,492)			(35,128)
AOCI, net of taxes, related to:
Available-for-sale securities						107			72
Other						(97)			(94)
AOCI, net of taxes						10			(22)
Treasury stock, at cost, 75,804,333 shares						(3,885)			(3,885)
Total equity						56,390			47,722
Total liabilities and equity						$3,342,583			$3,280,976

The table below presents the carrying value and classification of the assets and liabilities related to consolidated VIEs on our condensed consolidated balance sheets.

						September 30,			December 31,
(In millions)						2024			2023
Assets:
Cash and cash equivalents (includes $1,106 and $890 of restricted cash and cash equivalents)						$1,107			$891
Securities purchased under agreements to resell						13,429			9,396
Investment securities, at fair value						2			65
Mortgage loans held-for-investment, net						3,084,458			3,039,461
Accrued interest receivable						9,604			8,885
Other assets						6,575			4,858
Total assets of consolidated VIEs						$3,115,175			$3,063,556
Liabilities:
Accrued interest payable						$8,218			$7,527
Debt						3,092,140			3,041,927
Total liabilities of consolidated VIEs						$3,100,358			$3,049,454

The accompanying notes are an integral part of these condensed consolidated financial statements.

Freddie Mac 3Q 2024 Form 10-Q						49

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Financial Statements			Condensed Consolidated Statements of Equity

FREDDIE MAC

Condensed Consolidated Statements of Equity (Unaudited)

						Shares Outstanding									Senior Preferred Stock			Preferred Stock, at Redemption Value			Common Stock, at Par Value			Retained Earnings			AOCI, Net of Tax			Treasury Stock, at Cost			Total Equity
(In millions)						Senior Preferred Stock			Preferred Stock			Common Stock
Balance at June 30, 2024						1			464			650			$72,648			$14,109			$—			($29,597)			($52)			($3,885)			$53,223
Comprehensive income:
Net income						—			—			—			—			—			—			3,105			—			—			3,105
Other comprehensive income (loss):
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $18 million)						—			—			—			—			—			—			—			66			—			66
Reclassification adjustment for (gains) losses on available-for-sale securities included in net income (net of taxes of $1 million)						—			—			—			—			—			—			—			(5)			—			(5)
Other (net of taxes of $0 million)						—			—			—			—			—			—			—			1			—			1
Comprehensive income						—			—			—			—			—			—			3,105			62			—			3,167
Ending balance at September 30, 2024						1			464			650			$72,648			$14,109			$—			($26,492)			$10			($3,885)			$56,390
Balance at June 30, 2023						1			464			650			$72,648			$14,109			$—			($40,727)			($188)			($3,885)			$41,957
Comprehensive income:
Net income						—			—			—			—			—			—			2,685			—			—			2,685
Other comprehensive income (loss):
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $20 million)						—			—			—			—			—			—			—			(76)			—			(76)
Reclassification adjustment for (gains) losses on available-for-sale securities included in net income (net of taxes of $25 million)						—			—			—			—			—			—			—			93			—			93
Other (net of taxes of $0 million)						—			—			—			—			—			—			—			2			—			2
Comprehensive income						—			—			—			—			—			—			2,685			19			—			2,704
Ending balance at September 30, 2023						1			464			650			$72,648			$14,109			$—			($38,042)			($169)			($3,885)			$44,661

						Shares Outstanding									Senior Preferred Stock			Preferred Stock, at Redemption Value			Common Stock, at Par Value			Retained Earnings			AOCI, Net of Tax			Treasury Stock, at Cost			Total Equity
(In millions)						Senior Preferred Stock			Preferred Stock			Common Stock
Balance at December 31, 2023						1			464			650			$72,648			$14,109			$—			($35,128)			($22)			($3,885)			$47,722
Comprehensive income:
Net income						—			—			—			—			—			—			8,636			—			—			8,636
Other comprehensive income (loss):
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $10 million)						—			—			—			—			—			—			—			38			—			38
Reclassification adjustment for (gains) losses on available-for-sale securities included in net income (net of taxes of $1 million)						—			—			—			—			—			—			—			(3)			—			(3)
Other (net of taxes of $1 million)						—			—			—			—			—			—			—			(3)			—			(3)
Comprehensive income						—			—			—			—			—			—			8,636			32			—			8,668
Ending balance at September 30, 2024						1			464			650			$72,648			$14,109			$—			($26,492)			$10			($3,885)			$56,390
Balance at December 31, 2022						1			464			650			$72,648			$14,109			$—			($45,666)			($188)			($3,885)			$37,018
Comprehensive income:
Net income						—			—			—			—			—			—			7,624			—			—			7,624
Other comprehensive income (loss):
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $21 million)						—			—			—			—			—			—			—			(80)			—			(80)
Reclassification adjustment for (gains) losses on available-for-sale securities included in net income (net of taxes of $24 million)						—			—			—			—			—			—			—			93			—			93
Other (net of taxes of $1 million)						—			—			—			—			—			—			—			6			—			6
Comprehensive income						—			—			—			—			—			—			7,624			19			—			7,643
Ending balance at September 30, 2023						1			464			650			$72,648			$14,109			$—			($38,042)			($169)			($3,885)			$44,661

The accompanying notes are an integral part of these condensed consolidated financial statements.

Freddie Mac 3Q 2024 Form 10-Q						50

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Financial Statements			Condensed Consolidated Statements of Cash Flows

FREDDIE MAC

Condensed Consolidated Statements of Cash Flows (Unaudited)

(In millions)						YTD 2024			YTD 2023
Net cash provided by (used in) operating activities						$7,527			$5,732
Cash flows from investing activities
Investment securities:
Purchases						(67,229)			(80,201)
Proceeds from sales						58,878			68,829
Proceeds from maturities and repayments						7,188			11,889
Mortgage loans acquired held-for-investment:
Purchases						(101,439)			(77,032)
Proceeds from sales						2,351			6,369
Proceeds from repayments						199,400			187,581
Advances under secured lending arrangements						(77,138)			(74,579)
Net (increase) decrease in securities purchased under agreements to resell						173			(19,647)
Cash flows related to derivatives						1,029			4,799
Other, net						(11)			(349)
Net cash provided by (used in) investing activities						23,202			27,659
Cash flows from financing activities
Debt of consolidated trusts:
Proceeds from issuance						172,208			158,006
Repayments and redemptions						(200,316)			(190,833)
Debt of Freddie Mac:
Proceeds from issuance						145,578			130,442
Repayments						(141,219)			(124,673)
Net increase (decrease) in securities sold under agreements to repurchase						(8,135)			(7,196)
Other, net						(7)			(143)
Net cash provided by (used in) financing activities						(31,891)			(34,397)
Net increase (decrease) in cash and cash equivalents (includes restricted cash and cash equivalents)						(1,162)			(1,006)
Cash and cash equivalents (includes restricted cash and cash equivalents) at the beginning of year						6,019			6,360
Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period						$4,857			$5,354
Supplemental cash flow information
Cash paid for:
Debt interest						$74,239			$64,399
Income taxes						2,650			700
Non-cash investing and financing activities (Notes 3 and 6)

The accompanying notes are an integral part of these condensed consolidated financial statements.

Freddie Mac 3Q 2024 Form 10-Q						51

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 1

Notes to Condensed Consolidated Financial Statements

NOTE 1

Summary of Significant Accounting Policies

Freddie Mac is a GSE chartered by Congress in 1970, with a mission to provide liquidity, stability, and affordability to the U.S. housing market. We are regulated by FHFA, the SEC, HUD, and Treasury, and are currently operating under the conservatorship of FHFA. The conservatorship and related matters significantly affect our management, business activities, financial condition, and results of operations. In connection with our entry into conservatorship, we entered into the Purchase Agreement with Treasury, under which we issued Treasury both senior preferred stock and a warrant to purchase common stock. Our Purchase Agreement with Treasury is critical to keeping us solvent and avoiding the appointment of a receiver by FHFA under statutory mandatory receivership provisions. We believe the support provided by Treasury pursuant to the Purchase Agreement currently enables us to have adequate liquidity to conduct normal business activities. For more information on the conservatorship, the roles of FHFA and Treasury, and the Purchase Agreement, see our 2023 Annual Report. Throughout our unaudited condensed consolidated financial statements and related notes, we use certain acronyms and terms which are defined in the Glossary of our 2023 Annual Report.

The accompanying unaudited condensed consolidated financial statements should be read in conjunction with the audited consolidated financial statements and related notes in our 2023 Annual Report.

Basis of Presentation

The accompanying unaudited condensed consolidated financial statements have been prepared in accordance with GAAP and include our accounts as well as the accounts of other entities in which we have a controlling financial interest. All intercompany balances and transactions have been eliminated.

We are operating under the basis that we will realize assets and satisfy liabilities in the normal course of business as a going concern and in accordance with the authority provided by FHFA to our Board of Directors to oversee management's conduct of our business operations. In the opinion of management, our unaudited condensed consolidated financial statements contain all adjustments, which include only normal recurring adjustments, necessary for a fair statement of our results.

Use of Estimates

The preparation of our condensed consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses, and disclosure of contingent assets and liabilities at the date of the financial statements. Management has made significant estimates to report the allowance for credit losses on single-family mortgage loans. Actual results could be different from these estimates.

Consolidation and Equity Investments

For each entity with which we are involved, we determine whether the entity should be consolidated in our financial statements. We consolidate entities in which we have a controlling financial interest. The method for determining whether a controlling financial interest exists varies depending on whether the entity is a VIE. For entities that are not VIEs, we hold a controlling financial interest in entities where we hold a majority of the voting rights or a majority of a limited partnership's kick-out rights through voting interests. We do not currently consolidate any entities which are not VIEs. We use the equity method to account for our interests in entities in which we do not have a controlling financial interest, but over which we have significant influence.

We invest in LIHTC partnerships to support and preserve the supply of affordable housing. We have elected to account for these investments using the proportional amortization method when applicable. The carrying amount of our investments in LIHTC partnerships is presented in other assets on our condensed consolidated balance sheets and totaled $3.8 billion as of September 30, 2024.

Freddie Mac 3Q 2024 Form 10-Q						52

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 1

Recently Issued Accounting Guidance

Recently Adopted Accounting Guidance
Standard			Description			Date of  Adoption			Effect on Consolidated Financial Statements
ASU 2023-02, Investments - Equity Method and Joint Ventures (Topic 323): Accounting for Investments in Tax Credit Structures Using the Proportional Amortization Method			The amendments in this Update expand the use of the proportional amortization method of accounting to equity investments in other tax credit structures that meet certain conditions. This Update also amends those conditions primarily to assess projected benefits on a discounted basis and expands the disclosure requirements of those investments.			January 1, 2024			The adoption of these amendments did not have a material effect on our consolidated financial statements. See the preceding section Consolidation and Equity Investments for additional information.

Recently Issued Accounting Guidance, Not Yet Adopted Within Our Consolidated Financial Statements
Standard			Description			Date of  Adoption			Effect on Consolidated Financial Statements
ASU 2023-07, Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures			The amendments in this Update require the disclosure of more detailed quantitative and qualitative information about significant segment expenses that are regularly provided to the CODM and included in each reported measure of segment profit or loss.			December 31, 2024			We do not expect the adoption of these amendments to have a material effect on our consolidated financial statements.
ASU 2023-09, Income Taxes (Topic 740): Improvements to Income Tax Disclosures			The amendments in this Update require annual disclosure of more detailed tax rate reconciliation categories and income taxes paid by geography and jurisdiction.			January 1, 2025			We do not expect the adoption of these amendments to have a material effect on our consolidated financial statements.

Freddie Mac 3Q 2024 Form 10-Q						53

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 2

NOTE 2

Securitizations and Variable Interest Entities

Nonconsolidated VIEs

The table below presents the carrying amounts and classification of the assets and liabilities recorded on our condensed consolidated balance sheets that relate to our variable interests in VIEs for which we are not the primary beneficiary and with which we were involved in the design and creation and have a significant continuing involvement, our maximum exposure to loss as a result of our involvement with such VIEs, and the total assets of the VIEs. Our involvement with such VIEs primarily consists of guarantees that we have issued to the VIE, some of which are accounted for as derivative instruments, and investments in debt securities issued by the VIE. See Note 4 for additional information on our guarantees to nonconsolidated VIEs.

Total assets shown in the table below represents the remaining UPB of the mortgage loans or other noncash financial assets held by the VIE and excludes cash and nonfinancial assets held by the VIE. Maximum exposure to loss shown in the table below is primarily based on the remaining UPB of the guaranteed securities issued by the VIE and represents the contractual amounts that could be lost if the assets of the VIE (including the assets in the related reference pool for CRT products) became worthless at the balance sheet date, without consideration of proceeds from related collateral liquidation and possible recoveries under credit enhancements. We do not believe the maximum exposure to loss from our involvement with nonconsolidated VIEs is representative of the actual loss we are likely to incur based on our historical loss experience and after consideration of proceeds from related collateral liquidation and available credit enhancements.

Table 2.1 - Nonconsolidated VIEs

						September 30, 2024
						Carrying Amounts of the Assets and Liabilities on the Condensed Consolidated Balance Sheets									Total Assets			Maximum Exposure to Loss
(In millions)						Investment Securities			Accrued Interest Receivable and Other Assets(1)			Liabilities(1)
Single-Family:
Securitization products						$1,703			$169			$456			$30,287			$24,684
Resecuritization products(2)						4,925			63			578			105,769			105,769
CRT products(3)						—			90			196			27,648			8
Total Single-Family						6,628			322			1,230			163,704			130,461
Multifamily:
Securitization products(4)						5,658			5,361			4,351			359,166			320,710
CRT products(3)						—			28			14			1,537			23
Total Multifamily						5,658			5,389			4,365			360,703			320,733
Other						—			7			5			83			454
Total						$12,286			$5,718			$5,600			$524,490			$451,648

Referenced footnotes are included after the prior period table.

Freddie Mac 3Q 2024 Form 10-Q						54

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 2

						December 31, 2023
						Carrying Amounts of the Assets and Liabilities on the Condensed Consolidated Balance Sheets									Total Assets			Maximum Exposure to Loss
(In millions)						Investment Securities			Accrued Interest Receivable and Other Assets(1)			Liabilities(1)
Single-Family:
Securitization products						$1,272			$172			$427			$30,298			$24,600
Resecuritization products(2)						4,952			67			626			110,320			110,320
CRT products(3)						—			92			220			29,126			14
Total Single-Family						6,224			331			1,273			169,744			134,934
Multifamily:
Securitization products(4)						5,985			5,082			4,652			360,928			321,262
CRT products(3)						—			11			7			1,359			8
Total Multifamily						5,985			5,093			4,659			362,287			321,270
Other						—			7			5			117			468
Total						$12,209			$5,431			$5,937			$532,148			$456,672

(1)    Other assets primarily include our guarantee assets. Liabilities primarily include our guarantee obligations.

(2)    Total assets and maximum exposure to loss are based on the UPB of Fannie Mae securities underlying commingled Freddie Mac resecuritization trusts. We exclude noncommingled resecuritization trusts from these amounts as we have already guaranteed the underlying collateral and therefore noncommingled resecuritizations do not involve any incremental assets or create any incremental exposure to credit risk. Total assets exclude less than $0.1 billion and $0.1 billion as of September 30, 2024 and December 31, 2023, respectively, of Fannie Mae securities that we have guaranteed that are included in resecuritization trusts that we have consolidated as we own all of the outstanding securities issued by the VIE.

(3)    Maximum exposure to loss is based on our expected recovery receivables and excludes our obligations to make certain payments to the VIE to support payment of the interest due on the notes issued by the VIE, which we account for as derivative instruments. The notional value of these derivative instruments is equal to the total assets of the VIE.

(4)    Includes total assets of $0.5 billion and $0.3 billion as of September 30, 2024 and December 31, 2023, respectively, related to VIEs in which our interest would no longer absorb significant variability as the guaranteed securities have completely paid off.

Freddie Mac 3Q 2024 Form 10-Q						55

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 3

NOTE 3

Mortgage Loans

The table below provides details of the loans on our condensed consolidated balance sheets.

Table 3.1 - Mortgage Loans

						September 30, 2024												December 31, 2023
(In millions)						Single-Family			Multifamily			Total						Single-Family			Multifamily			Total
Held-for-sale UPB						$2,803			$9,051			$11,854						$3,527			$9,905			$13,432
Cost basis and fair value adjustments, net						(510)			334			(176)						(712)			221			(491)
Total held-for-sale loans, net						2,293			9,385			11,678						2,815			10,126			12,941
Held-for-investment UPB						3,041,016			72,709			3,113,725						2,996,509			59,203			3,055,712
Cost basis and fair value adjustments, net(1)						33,665			(334)			33,331						34,627			(291)			34,336
Allowance for credit losses						(6,392)			(345)			(6,737)						(6,057)			(326)			(6,383)
Total held-for-investment loans, net(2)						3,068,289			72,030			3,140,319						3,025,079			58,586			3,083,665
Total mortgage loans, net						$3,070,582			$81,415			$3,151,997						$3,027,894			$68,712			$3,096,606

(1)Includes ($0.1) billion and ($0.2) billion of basis adjustments maintained on a closed portfolio basis related to existing portfolio layer method fair value hedge relationships as of September 30, 2024 and December 31, 2023, respectively.

(2)Includes $2.4 billion and $1.8 billion of multifamily held-for-investment loans for which we have elected the fair value option as of September 30, 2024 and December 31, 2023, respectively.

The table below provides details of the UPB of loans we purchased and sold during the periods presented.

Table 3.2 - Loans Purchased and Sold

(In millions)						3Q 2024			3Q 2023						YTD 2024			YTD 2023
Single-Family:
Purchases:
Held-for-investment loans						$98,243			$85,431						$245,751			$227,246
Sales of held-for-sale loans(1)						658			471						1,657			471
Multifamily:
Purchases:
Held-for-investment loans						7,867			3,076						14,283			11,086
Held-for-sale loans						6,028			9,984						19,068			20,077
Sales of held-for-sale loans(2)						6,606			8,722						19,671			23,498

(1)Our sales of single-family loans reflect the sale of single-family seasoned loans.

(2)Our sales of multifamily loans occur primarily through the issuance of Multifamily K Certificates.

Freddie Mac 3Q 2024 Form 10-Q						56

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 3

Reclassifications

The table below presents the allowance for credit losses or valuation allowance that was reversed or established due to loan reclassifications between held-for-investment and held-for-sale during the periods presented.

Table 3.3 - Loan Reclassifications(1)

						3Q 2024									3Q 2023
(In millions)						UPB			Allowance for Credit Losses Reversed or (Established)			Valuation Allowance (Established) or Reversed			UPB			Allowance for Credit Losses Reversed or (Established)			Valuation Allowance (Established) or Reversed
Single-Family reclassifications from:
Held-for-investment to held-for-sale						$428			$14			$—			$1,199			$23			$—
Held-for-sale to held-for-investment(2)						78			6			5			75			4			10
Multifamily reclassifications from:
Held-for-investment to held-for-sale						404			1			(14)			785			2			(8)
Held-for-sale to held-for-investment(2)						38			—			1			40			(1)			2

						YTD 2024									YTD 2023
(In millions)						UPB			Allowance for Credit Losses Reversed or (Established)			Valuation Allowance (Established) or Reversed			UPB			Allowance for Credit Losses Reversed or (Established)			Valuation Allowance (Established) or Reversed
Single-Family reclassifications from:
Held-for-investment to held-for-sale						$1,495			$29			$—			$1,199			$23			$—
Held-for-sale to held-for-investment(2)						171			14			14			123			8			14
Multifamily reclassifications from:
Held-for-investment to held-for-sale						1,245			12			(58)			6,251			4			(41)
Held-for-sale to held-for-investment(2)						785			—			10			762			(1)			18

(1)Amounts exclude reclassifications related to loans for which we have elected the fair value option.

(2)Allowance for credit losses established upon loan reclassifications from held-for-sale to held-for-investment to reflect the net amount we expect to collect on the loan. Loans with prior charge-offs may have a negative allowance for credit losses established upon reclassification.

Interest Income

The table below presents the amortized cost basis of non-accrual loans as of the beginning and the end of the periods presented, including the interest income recognized for the period that is related to the loans on non-accrual status as of the period end.

Table 3.4 - Amortized Cost Basis of Held-for-Investment Loans on Non-Accrual(1)

						Non-Accrual Amortized Cost Basis									Interest Income Recognized(2)
(In millions)						September 30, 2024			June 30, 2024						3Q 2024			YTD 2024
Single-Family:
20- and 30-year or more, amortizing fixed-rate						$12,985			$11,773						$35			$167
15-year or less, amortizing fixed-rate						477			439						1			5
Adjustable-rate and other						230			230						1			4
Total Single-Family						13,692			12,442						37			176
Total Multifamily						114			110						1			2
Total Single-Family and Multifamily						$13,806			$12,552						$38			$178

Referenced footnotes are included after the prior period table.

Freddie Mac 3Q 2024 Form 10-Q						57

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 3

						Non-Accrual Amortized Cost Basis									Interest Income Recognized(2)
(In millions)						September 30, 2023			June 30, 2023						3Q 2023			YTD 2023
Single-Family:
20- and 30-year or more, amortizing fixed-rate						$11,825			$11,989						$27			$151
15-year or less, amortizing fixed-rate						526			540						1			4
Adjustable-rate and other						274			323						1			4
Total Single-Family						12,625			12,852						29			159
Total Multifamily						64			56						1			2
Total Single-Family and Multifamily						$12,689			$12,908						$30			$161

(1)Excludes amounts related to loans for which we have elected the fair value option.

(2)Represents the amount of payments received during the period, including those received while the loans were on accrual status, for the held-for-investment loans on non-accrual status as of period end.

The table below provides the amount of accrued interest receivable presented on our condensed consolidated balance sheets and the amount of accrued interest receivable related to loans on non-accrual status at the end of the periods that was charged off.

Table 3.5 - Accrued Interest Receivable and Related Charge-Offs

						Accrued Interest Receivable									Accrued Interest Receivable Related Charge-Offs
(In millions)						September 30, 2024			December 31, 2023						3Q 2024			3Q 2023			YTD 2024			YTD 2023
Single-Family loans						$9,543			$8,833						($59)			($44)			($151)			($180)
Multifamily loans						342			287						—			(1)			(1)			(1)

Credit Quality

Single-Family

The current LTV ratio is one key factor we consider when estimating our allowance for credit losses for single-family loans. As current LTV ratios increase, the borrower's equity in the home decreases, which may negatively affect the borrower's ability to refinance or to sell the property for an amount at or above the balance of the outstanding loan.

The table below presents the amortized cost basis of single-family held-for-investment loans by current LTV ratio. Our current LTV ratios are estimates based on available data through the end of each period presented.

Freddie Mac 3Q 2024 Form 10-Q						58

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 3

Table 3.6 - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratio and Vintage

						September 30, 2024
						Year of Origination																		Total
(In millions)						2024			2023			2022			2021			2020			Prior
Current LTV ratio:
20- and 30-year or more, amortizing fixed-rate
≤ 60						$31,537			$42,162			$101,020			$541,934			$540,048			$474,309			$1,731,010
> 60 to 80						81,292			105,479			181,130			258,280			64,407			13,122			703,710
> 80 to 90						39,911			68,174			71,280			16,704			1,092			443			197,604
> 90 to 100						57,606			35,244			15,963			1,535			156			104			110,608
> 100						251			685			1,235			91			21			82			2,365
Total 20- and 30-year or more, amortizing fixed-rate						210,597			251,744			370,628			818,544			605,724			488,060			2,745,297
Current year-to-date gross charge-offs(1)						—			6			29			36			29			122			222
15-year or less, amortizing fixed-rate
≤ 60						3,419			4,360			20,901			113,165			88,798			56,263			286,906
> 60 to 80						3,225			3,377			5,211			1,619			94			11			13,537
> 80 to 90						590			479			198			10			—			—			1,277
> 90 to 100						314			59			20			—			—			—			393
> 100						1			1			—			—			—			—			2
Total 15-year or less, amortizing fixed-rate						7,549			8,276			26,330			114,794			88,892			56,274			302,115
Current year-to-date gross charge-offs(1)						—			—			1			2			—			1			4
Adjustable-rate and other
≤ 60						319			424			1,716			3,316			1,363			11,710			18,848
> 60 to 80						843			1,277			2,482			786			61			191			5,640
> 80 to 90						400			800			866			32			2			14			2,114
> 90 to 100						282			241			182			3			—			4			712
> 100						—			8			20			—			—			2			30
Total adjustable-rate and other						1,844			2,750			5,266			4,137			1,426			11,921			27,344
Current year-to-date gross charge-offs(1)						—			—			—			—			—			1			1
Total for all loan product types by current LTV ratio:
≤ 60						35,275			46,946			123,637			658,415			630,209			542,282			2,036,764
> 60 to 80						85,360			110,133			188,823			260,685			64,562			13,324			722,887
> 80 to 90						40,901			69,453			72,344			16,746			1,094			457			200,995
> 90 to 100						58,202			35,544			16,165			1,538			156			108			111,713
> 100						252			694			1,255			91			21			84			2,397
Total Single-Family loans						$219,990			$262,770			$402,224			$937,475			$696,042			$556,255			$3,074,756
Total current year-to-date gross charge-offs(1)						$—			$6			$30			$38			$29			$124			$227

Referenced footnotes are included after the prior period table.

Freddie Mac 3Q 2024 Form 10-Q						59

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 3

						December 31, 2023
						Year of Origination																		Total
(In millions)						2023			2022			2021			2020			2019			Prior
Current LTV ratio:
20- and 30-year or more, amortizing fixed-rate
≤ 60						$39,500			$93,279			$513,267			$542,449			$94,348			$411,663			$1,694,506
> 60 to 80						105,384			183,251			318,965			95,102			12,402			7,296			722,400
> 80 to 90						55,973			90,785			27,750			1,272			213			262			176,255
> 90 to 100						51,994			23,460			1,542			71			16			77			77,160
> 100						28			912			24			9			5			88			1,066
Total 20- and 30-year or more, amortizing fixed-rate						252,879			391,687			861,548			638,903			106,984			419,386			2,671,387
Full-year gross charge-offs(1)						—			12			37			43			45			243			380
15-year or less, amortizing fixed-rate
≤ 60						4,221			20,246			121,709			98,338			12,488			56,493			313,495
> 60 to 80						3,973			8,314			4,491			278			19			5			17,080
> 80 to 90						623			509			25			—			—			—			1,157
> 90 to 100						198			33			1			—			—			—			232
> 100						1			1			—			—			—			1			3
Total 15-year or less, amortizing fixed-rate						9,016			29,103			126,226			98,616			12,507			56,499			331,967
Full-year gross charge-offs(1)						—			1			2			1			—			2			6
Adjustable-rate and other
≤ 60						356			1,650			3,325			1,465			586			12,950			20,332
> 60 to 80						1,153			2,651			1,105			89			25			227			5,250
> 80 to 90						689			1,040			48			3			—			18			1,798
> 90 to 100						317			276			2			—			—			8			603
> 100						—			16			—			—			—			4			20
Total adjustable-rate and other						2,515			5,633			4,480			1,557			611			13,207			28,003
Full-year gross charge-offs(1)						—			—			—			—			—			1			1
Total for all loan product types by current LTV ratio:
≤ 60						44,077			115,175			638,301			642,252			107,422			481,106			2,028,333
> 60 to 80						110,510			194,216			324,561			95,469			12,446			7,528			744,730
> 80 to 90						57,285			92,334			27,823			1,275			213			280			179,210
> 90 to 100						52,509			23,769			1,545			71			16			85			77,995
> 100						29			929			24			9			5			93			1,089
Total Single-Family loans						$264,410			$426,423			$992,254			$739,076			$120,102			$489,092			$3,031,357
Total full-year gross charge-offs(1)						$—			$13			$39			$44			$45			$246			$387

(1)Excludes charge-offs related to accrued interest receivable and advances of pre-foreclosure costs.

Multifamily

The table below presents the amortized cost basis of our multifamily held-for-investment loans, for which we have not elected the fair value option, by credit quality indicator, based on available data through the end of each period presented. These indicators involve significant management judgment and are defined as follows:

n    "Pass" is current and adequately protected by the borrower's current financial strength and debt service capacity;

n    "Special mention" has administrative issues that may affect future repayment prospects but does not have current credit     weaknesses. In addition, this category generally includes loans in forbearance;

n    "Substandard" has a weakness that jeopardizes the timely full repayment; and

n    "Doubtful" has a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions.

Freddie Mac 3Q 2024 Form 10-Q						60

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 3

Table 3.7 - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator and Vintage

						September 30, 2024
						Year of Origination																					Total
(In millions)						2024			2023			2022			2021			2020			Prior									Revolving Loans
Category:
Pass						$12,116			$14,611			$17,324			$7,196			$6,267			$7,930						$2,433			$67,877
Special mention						50			27			325			46			102			330						—			880
Substandard						—			29			388			319			192			308						—			1,236
Doubtful						—			—			5			—			—			6						—			11
Total						$12,166			$14,667			$18,042			$7,561			$6,561			$8,574						$2,433			$70,004

						December 31, 2023
						Year of Origination																					Total
(In millions)						2023			2022			2021			2020			2019			Prior									Revolving Loans
Category:
Pass						$13,804			$17,845			$7,430			$6,345			$4,420			$3,254						$2,266			$55,364
Special mention						20			85			28			43			294			106						—			576
Substandard						—			33			188			259			223			464						—			1,167
Doubtful						—			—			—			—			—			—						—			—
Total						$13,824			$17,963			$7,646			$6,647			$4,937			$3,824						$2,266			$57,107

Past Due Status

The table below presents the amortized cost basis of our single-family and multifamily held-for-investment loans, for which we have not elected the fair value option, by payment status.

Table 3.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status(1)

						September 30, 2024
(In millions)						Current			One Month Past Due			Two Months Past Due			Three Months or More Past Due, or in Foreclosure(2)			Total			Non-Accrual With No Allowance(3)
Single-Family:
20- and 30-year or more, amortizing fixed-rate						$2,700,992			$25,362			$6,334			$12,609			$2,745,297			$425
15-year or less, amortizing fixed-rate						299,989			1,392			272			462			302,115			4
Adjustable-rate and other						26,713			312			95			224			27,344			36
Total Single-Family						3,027,694			27,066			6,701			13,295			3,074,756			465
Total Multifamily						69,845			42			3			114			70,004			61
Total Single-Family and Multifamily						$3,097,539			$27,108			$6,704			$13,409			$3,144,760			$526

						December 31, 2023
(In millions)						Current			One Month Past Due			Two Months Past Due			Three Months or More Past Due, or in Foreclosure(2)			Total			Non-Accrual with No Allowance(3)
Single-Family:
20- and 30-year or more, amortizing fixed-rate						$2,627,763			$25,528			$5,787			$12,309			$2,671,387			$406
15-year or less, amortizing fixed-rate						329,601			1,589			270			507			331,967			4
Adjustable-rate and other						27,317			342			95			249			28,003			49
Total Single-Family						2,984,681			27,459			6,152			13,065			3,031,357			459
Total Multifamily						57,031			12			—			64			57,107			23
Total Single-Family and Multifamily						$3,041,712			$27,471			$6,152			$13,129			$3,088,464			$482

Referenced footnotes are on the next page.

Freddie Mac 3Q 2024 Form 10-Q						61

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 3

(1)There were no held-for-investment loans that were three months or more past due and accruing interest as of both September 30, 2024 and December 31, 2023.

(2)Includes $2.4 billion and $2.0 billion of single-family loans that were in the process of foreclosure as of September 30, 2024 and December 31, 2023, respectively.

(3)Loans with no allowance for loan losses primarily represent loans that were previously charged off and for which the amount we expect to collect is sufficiently in excess of the amortized cost to result in recovery of the entire amortized cost basis if the property were foreclosed upon or otherwise subject to disposition. We exclude the amounts of allowance for credit losses on advances of pre-foreclosure costs when determining whether a loan has an allowance for credit losses.

Loan Restructurings

Single-Family Loan Restructurings

We offer several types of restructurings to single-family borrowers that may result in a payment delay, interest rate reduction, term extension, or combination thereof. We do not offer principal forgiveness.

For purposes of the disclosure related to single-family loan restructurings involving borrowers experiencing financial difficulty, we exclude loans that were held-for-sale either at the time of restructuring or at the period end. The table below presents the amortized cost basis of single-family held-for-investment loan restructurings involving borrowers experiencing financial difficulty that we entered into during the periods presented.

Table 3.9 - Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty(1)

						3Q 2024
(Dollars in millions)						Payment Delay(2)						Payment Delay and Term Extension			Payment Delay, Term Extension, and Interest Rate Reduction			Total			Total as % of Class of Financing Receivable(3)
Single-Family:
20- and 30-year or more, amortizing fixed-rate						$5,597						$1,533			$25			$7,155			0.3		%
15-year or less, amortizing fixed-rate						213						—			—			213			0.1
Adjustable-rate and other						57						3			1			61			0.2
Total Single-Family loan restructurings						$5,867						$1,536			$26			$7,429			0.2

						3Q 2023
(Dollars in millions)						Payment Delay(2)						Payment Delay and Term Extension			Payment Delay, Term Extension, and Interest Rate Reduction			Total			Total as % of Class of Financing Receivable(3)
Single-Family:
20- and 30-year or more, amortizing fixed-rate						$5,232						$1,140			$13			$6,385			0.2		%
15-year or less, amortizing fixed-rate						230						—			—			230			0.1
Adjustable-rate and other						49						6			1			56			0.2
Total Single-Family loan restructurings						$5,511						$1,146			$14			$6,671			0.2

						YTD 2024
(Dollars in millions)						Payment Delay(2)						Payment Delay and Term Extension			Payment Delay, Term Extension, and Interest Rate Reduction			Total			Total as % of Class of Financing Receivable(3)
Single-Family:
20- and 30-year or more, amortizing fixed-rate						$13,370						$4,256			$44			$17,670			0.6		%
15-year or less, amortizing fixed-rate						526						—			—			526			0.2
Adjustable-rate and other						137						9			1			147			0.5
Total Single-Family loan restructurings						$14,033						$4,265			$45			$18,343			0.6

Referenced footnotes are on the next page.

Freddie Mac 3Q 2024 Form 10-Q						62

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 3

						YTD 2023
(Dollars in millions)						Payment Delay(2)						Payment Delay and Term Extension			Payment Delay, Term Extension, and Interest Rate Reduction			Total			Total as % of Class of Financing Receivable(3)
Single-Family:
20- and 30-year or more, amortizing fixed-rate						$13,945						$3,122			$123			$17,190			0.6		%
15-year or less, amortizing fixed-rate						683						—			—			683			0.2
Adjustable-rate and other						154						19			6			179			0.6
Total Single-Family loan restructurings						$14,782						$3,141			$129			$18,052			0.6

(1)     Type of loan restructurings reflects the cumulative effects of the loan restructurings received during the period. Includes loan modifications in the period in which the borrower completes the trial period and the loan is permanently modified. The amortized cost basis of loans in trial period modification plans was $2.0 billion and $1.6 billion as of September 30, 2024 and September 30, 2023, respectively. Most of these loans are 20- and 30-year or more, amortizing fixed-rate loans.

(2)    Includes $1.7 billion and $6.1 billion related to payment deferral plans for 3Q 2024 and YTD 2024, respectively, compared to $1.9 billion and $6.5 billion for 3Q 2023 and YTD 2023, respectively. Also includes forbearance plans, repayment plans, and loan modifications that only involve payment delays.

(3)    Based on the amortized cost basis as of period end, divided by the total period-end amortized cost basis of the corresponding financing receivable class of single-family held-for-investment loans.

The table below shows the financial effect of single-family held-for-investment loan restructurings involving borrowers experiencing financial difficulty that we entered into during the periods presented.

Table 3.10 – Financial Effects of Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty(1)

						3Q 2024
(Dollars in thousands)						Weighted-Average Interest Rate Reduction			Weighted-Average Months of Term Extension			Weighted-Average Payment Deferral or Principal Forbearance(2)
Single-Family:
20- and 30-year or more, amortizing fixed-rate						0.5		%	168			$16
15-year or less, amortizing fixed-rate						—			10			9
Adjustable-rate and other						1.1			255			12

						3Q 2023
(Dollars in thousands)						Weighted-Average Interest Rate Reduction			Weighted-Average Months of Term Extension			Weighted-Average Payment Deferral or Principal Forbearance(2)
Single-Family:
20- and 30-year or more, amortizing fixed-rate						1.2		%	175			$18
15-year or less, amortizing fixed-rate						—			0			15
Adjustable-rate and other						1.0			222			18

						YTD 2024
(Dollars in thousands)						Weighted-Average Interest Rate Reduction			Weighted-Average Months of Term Extension			Weighted-Average Payment Deferral or Principal Forbearance(2)
Single-Family:
20- and 30-year or more, amortizing fixed-rate						0.6		%	168			$16
15-year or less, amortizing fixed-rate						—			10			13
Adjustable-rate and other						1.0			235			13

Referenced footnotes are on the next page.

Freddie Mac 3Q 2024 Form 10-Q						63

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 3

						YTD 2023
(Dollars in thousands)						Weighted-Average Interest Rate Reduction			Weighted-Average Months of Term Extension			Weighted-Average Payment Deferral or Principal Forbearance(2)
Single-Family:
20- and 30-year or more, amortizing fixed-rate						1.0		%	177			$17
15-year or less, amortizing fixed-rate						—			0			16
Adjustable-rate and other						1.8			202			17

(1)     Averages are based on payment deferral plans and loan modifications completed during the periods presented. The financial effects of forbearance plans and repayment plans consist of a payment delay of between one and twelve months. In addition, the financial effect of a forbearance plan is included at the time the forbearance plan is completed if the borrower exits forbearance by entering into a payment deferral plan or loan modification.

(2)     Primarily related to payment deferral plans. Amounts are based on non-interest-bearing principal balances on the restructured loans.

The following table provides the amortized cost basis of single-family held-for-investment loans that had a payment default (i.e., loans that became two months delinquent) during the periods presented and had been restructured within the previous 12 months preceding the payment default, when the borrower was experiencing financial difficulty at the time of the restructuring.

Table 3.11 - Subsequent Defaults of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty(1)

						3Q 2024
(In millions)						Payment Delay						Payment Delay and Term Extension			Payment Delay, Term Extension, and Interest Rate Reduction			Total
Single-Family:
20- and 30-year or more, amortizing fixed-rate						$1,166						$544			$5			$1,715
15-year or less, amortizing fixed-rate						44						—			—			44
Adjustable-rate and other						13						—			—			13
Total Single-Family						$1,223						$544			$5			$1,772

						3Q 2023
(In millions)						Payment Delay						Payment Delay and Term Extension			Payment Delay, Term Extension, and Interest Rate Reduction			Total
Single-Family:
20- and 30-year or more, amortizing fixed-rate						$810						$319			$57			$1,186
15-year or less, amortizing fixed-rate						33						—			—			33
Adjustable-rate and other						11						2			1			14
Total Single-Family						$854						$321			$58			$1,233

						YTD 2024
(In millions)						Payment Delay						Payment Delay and Term Extension			Payment Delay, Term Extension, and Interest Rate Reduction			Total
Single-Family:
20- and 30-year or more, amortizing fixed-rate						$2,516						$1,144			$11			$3,671
15-year or less, amortizing fixed-rate						86						—			—			86
Adjustable-rate and other						26						1			—			27
Total Single-Family						$2,628						$1,145			$11			$3,784

Referenced footnotes are on the next page.

Freddie Mac 3Q 2024 Form 10-Q						64

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 3

						YTD 2023
(In millions)						Payment Delay						Payment Delay and Term Extension			Payment Delay, Term Extension, and Interest Rate Reduction			Total
Single-Family:
20- and 30-year or more, amortizing fixed-rate						$1,877						$614			$315			$2,806
15-year or less, amortizing fixed-rate						78						—			—			78
Adjustable-rate and other						25						5			6			36
Total Single-Family						$1,980						$619			$321			$2,920

(1)    Excludes forbearance plans and repayment plans as borrowers are typically past due based on the loan's original contractual terms at the time the borrowers enter into these plans.

The following table provides the single-family held-for-investment loan performance in the 12 months after a restructuring involving borrowers experiencing financial difficulty. While a single-family loan is in a forbearance plan or repayment plan, payments continue to be due based on the loan’s original contractual terms because the loan has not been permanently modified. As a result, we report single-family loans in forbearance plans and repayment plans as delinquent to the extent that payments are past due based on the loan’s original contractual terms. Loans that have been restructured by entering into a payment deferral plan or loan modification are reported as delinquent to the extent that payments are past due based on the loan's restructured terms.

Table 3.12 - Amortized Cost Basis of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty by Payment Status

						September 30, 2024
(In millions)						Current			One Month Past Due			Two Months Past Due			Three Months or More Past Due			Total
Single-Family:
20- and 30-year or more, amortizing fixed-rate						$10,808			$3,161			$1,932			$5,602			$21,503
15-year or less, amortizing fixed-rate						307			98			63			190			658
Adjustable-rate and other						83			25			18			53			179
Total Single-Family						$11,198			$3,284			$2,013			$5,845			$22,340

						September 30, 2023
(In millions)						Current			One Month Past Due			Two Months Past Due			Three Months or More Past Due			Total
Single-Family:
20- and 30-year or more, amortizing fixed-rate						$11,858			$2,636			$1,484			$5,805			$21,783
15-year or less, amortizing fixed-rate						483			96			56			248			883
Adjustable-rate and other						123			26			15			71			235
Total Single-Family						$12,464			$2,758			$1,555			$6,124			$22,901

Non-Cash Investing and Financing Activities

During YTD 2024 and YTD 2023, we acquired $160.6 billion and $160.8 billion, respectively, of loans held-for-investment in exchange for the issuance of debt of consolidated trusts in guarantor swap transactions. We received approximately $76.0 billion and $72.9 billion of loans held-for-investment from sellers during YTD 2024 and YTD 2023, respectively, to satisfy advances to lenders that were recorded in other assets on our condensed consolidated balance sheets.

Freddie Mac 3Q 2024 Form 10-Q						65

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 4

NOTE 4

Guarantees and Other Off-Balance Sheet Credit Exposures

Guarantee Activities

The table below presents information about our mortgage-related guarantees and guarantees of Fannie Mae securities, including the UPB of the loans or securities underlying the guarantee, the maximum potential amount of future payments that we could be required to make under the guarantee, the liability we have recognized on our condensed consolidated balance sheets for the guarantee, and the maximum remaining term of the guarantee. This table does not include our unrecognized guarantees, such as guarantees to consolidated VIEs or to resecuritization trusts that do not expose us to incremental credit risk. We do not believe the potential amount of future payments we could be required to make is representative of the actual payments we will be required to make or the actual loss we are likely to incur, based on our historical loss experience and after consideration of proceeds from related collateral liquidation, including possible recoveries under credit enhancements.

Table 4.1 - Financial Guarantees

						September 30, 2024
(Dollars in millions, terms in years)						UPB			Maximum Exposure			Recognized Liability(1)			Maximum Remaining Term
Single-Family mortgage-related guarantees:
Nonconsolidated securitization products(2)						$30,287			$24,684			$411			40
Other mortgage-related guarantees						8,126			8,127			135			28
Total Single-Family mortgage-related guarantees						38,413			32,811			546
Multifamily mortgage-related guarantees:
Nonconsolidated securitization products(2)(3)						359,166			320,710			4,231			36
Other mortgage-related guarantees						11,190			11,190			374			34
Total Multifamily mortgage-related guarantees						370,356			331,900			4,605
Guarantees of Fannie Mae securities(4)						105,769			105,769			—			37
Other						83			454			—			30

						December 31, 2023
(Dollars in millions, terms in years)						UPB			Maximum Exposure			Recognized Liability(1)			Maximum Remaining Term
Single-Family mortgage-related guarantees:
Nonconsolidated securitization products(2)						$30,289			$24,600			$382			40
Other mortgage-related guarantees						8,692			8,692			161			28
Total Single-Family mortgage-related guarantees						38,981			33,292			543
Multifamily mortgage-related guarantees:
Nonconsolidated securitization products(2)(3)						360,928			321,262			4,577			36
Other mortgage-related guarantees						10,761			10,761			383			35
Total Multifamily mortgage-related guarantees						371,689			332,023			4,960
Guarantees of Fannie Mae securities(4)						110,320			110,320			—			38
Other						117			468			—			30

(1)    Excludes allowance for credit losses on off-balance sheet credit exposures. See Note 5 for additional information on our allowance for credit losses on off-balance sheet credit exposures.

(2)    Maximum exposure is based on remaining UPB of the guaranteed securities issued by the VIE.

(3)    Includes UPB of $0.5 billion and $0.3 billion as of September 30, 2024 and December 31, 2023, respectively, related to VIEs in which our interest would no longer absorb significant variability as the guaranteed securities have completely paid off. In addition, includes guarantees that are accounted for as derivatives with UPB of $2.0 billion and $2.1 billion as of September 30, 2024 and December 31, 2023, respectively.

(4)    Excludes less than $0.1 billion and $0.1 billion as of September 30, 2024 and December 31, 2023, respectively, of Fannie Mae securities that we have guaranteed that are included in resecuritization trusts that we have consolidated as we own all of the outstanding securities issued by the VIE.

Freddie Mac 3Q 2024 Form 10-Q						66

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 4

The table below presents the payment status of the mortgage loans underlying our mortgage-related guarantees.

Table 4.2 – UPB of Loans Underlying Our Mortgage-Related Guarantees by Payment Status

						September 30, 2024
(In millions)						Current			One Month Past Due			Two Months Past Due			Three Months or More Past Due, or in Foreclosure			Total
Single-Family						$34,170			$2,049			$792			$1,402			$38,413
Multifamily						368,368			396			169			1,423			370,356
Total						$402,538			$2,445			$961			$2,825			$408,769

						December 31, 2023
(In millions)						Current			One Month Past Due			Two Months Past Due			Three Months or More Past Due, or in Foreclosure			Total
Single-Family						$34,524			$2,172			$827			$1,458			$38,981
Multifamily						369,785			850			98			956			371,689
Total						$404,309			$3,022			$925			$2,414			$410,670

Other Off-Balance Sheet Credit Exposures

In addition to our guarantees, we enter into other agreements that expose us to off-balance sheet credit risk. These agreements may require us to transfer cash before or upon settlement of our contractual obligation. We recognize an allowance for credit losses for those agreements not measured at fair value or otherwise recognized in the financial statements. Most of these commitments expire in less than one year. See Note 5 for additional discussion of our allowance for credit losses on our off-balance sheet credit exposures. The table below presents our other off-balance sheet credit exposures.

Table 4.3 – Other Off-Balance Sheet Credit Exposures

(In millions)						September 30, 2024			December 31, 2023
Mortgage loan purchase commitments(1)						$17,445			$10,378
Unsettled securities purchased under agreements to resell, net(2)						29,161			22,276
Other commitments(3)						4,298			4,701
Total						$50,904			$37,355

(1)Includes $3.1 billion and $1.9 billion of commitments for which we have elected the fair value option as of September 30, 2024 and December 31, 2023, respectively. Excludes mortgage loan purchase commitments accounted for as derivative instruments. See Note 8 for additional information on commitments accounted for as derivative instruments.

(2)Net of $4.0 billion of unsettled securities sold under agreements to repurchase as of December 31, 2023. There was no such activity as of September 30, 2024.

(3)Consists of unfunded portion of revolving lines of credit, liquidity guarantees, and other commitments.

Freddie Mac 3Q 2024 Form 10-Q						67

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 5

NOTE 5

Allowance for Credit Losses

The table below summarizes changes in our allowance for credit losses.

Table 5.1 - Details of the Allowance for Credit Losses

						3Q 2024									3Q 2023												YTD 2024									YTD 2023
(In millions)						Single-Family			Multi-family			Total			Single-Family			Multi-family			Total						Single-Family			Multi-family			Total			Single-Family			Multi-family			Total
Beginning balance						$6,760			$587			$7,347			$7,457			$325			$7,782						$6,402			$447			$6,849			$7,746			$147			$7,893
Provision (benefit) for credit losses						(99)			(92)			(191)			(304)			41			(263)						336			48			384			(624)			219			(405)
Charge-offs						(75)			—			(75)			(221)			—			(221)						(367)			—			(367)			(422)			—			(422)
Recoveries collected						39			—			39			54			—			54						89			—			89			115			—			115
Other(1)						72			—			72			80			—			80						237			—			237			251			—			251
Ending balance						$6,697			$495			$7,192			$7,066			$366			$7,432						$6,697			$495			$7,192			$7,066			$366			$7,432
Components of the ending balance of the allowance for credit losses:
Mortgage loans held-for-investment						$6,392			$345			$6,737			$6,668			$280			$6,948
Other(2)						305			150			455			398			86			484
Total ending balance						$6,697			$495			$7,192			$7,066			$366			$7,432

(1)Primarily includes capitalization of past due interest related to non-accrual loans that received payment deferral plans and loan modifications.

(2)Includes allowance for credit losses related to advances of pre-foreclosure costs and off-balance sheet credit exposures.

n    3Q 2024 vs. 3Q 2023 - The benefit for credit losses for 3Q 2024 was driven by a credit reserve release in Single-Family as a result of lower mortgage interest rates and a credit reserve release in Multifamily due to enhancements in the credit loss estimation process. The benefit for credit losses for 3Q 2023 was primarily driven by a credit reserve release in Single-Family due to improvements in house prices.

n    YTD 2024 vs. YTD 2023 - The provision for credit losses for YTD 2024 was primarily driven by a credit reserve build in Single-Family attributable to new acquisitions. The benefit for credit losses for YTD 2023 was primarily driven by a credit reserve release in Single-Family due to improvements in house prices, partially offset by a credit reserve build in Multifamily.

In addition, charge-offs decreased year-over-year during 3Q 2024 primarily due to a lower volume of transfers of single-family loans from held-for-investment to held-for-sale. Charge-offs decreased year-over-year during YTD 2024 primarily due to a decrease in charge-offs of accrued interest receivable.

Freddie Mac 3Q 2024 Form 10-Q						68

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 6

NOTE 6

Investment Securities

The table below summarizes the fair values of our investments in debt securities by classification.

Table 6.1 - Investment Securities

(In millions)						September 30, 2024			December 31, 2023
Trading securities						$39,356			$38,385
Available-for-sale securities						4,257			4,890
Total fair value of investment securities						$43,613			$43,275

Trading Securities

The table below presents the fair values of our trading securities by major security type. Our non-mortgage-related securities primarily consist of investments in U.S. Treasury securities.

Table 6.2 - Trading Securities

(In millions)						September 30, 2024			December 31, 2023
Mortgage-related securities						$8,825			$8,113
Non-mortgage-related securities						30,531			30,272
Total fair value of trading securities						$39,356			$38,385

The table below provides details of our net trading gains (losses).

Table 6.3 - Net Trading Gains (Losses)

(In millions)						3Q 2024			3Q 2023			YTD 2024			YTD 2023
Net trading gains (losses)						$993			($220)			$794			($332)
Less: Net trading gains (losses) on securities sold						238			(84)			131			(31)
Net trading gains (losses) recognized during the period related to securities still held at period end						$755			($136)			$663			($301)

Available-for-Sale Securities

The table below provides details of the securities classified as available-for-sale on our condensed consolidated balance sheets. At both September 30, 2024 and December 31, 2023, all available-for-sale securities were mortgage-related securities.

Table 6.4 - Available-for-Sale Securities

						September 30, 2024
						Amortized Cost Basis			Gross Unrealized Gains in Other Comprehensive Income			Gross Unrealized Losses in Other Comprehensive Income			Fair Value			Accrued Interest Receivable
(In millions)
Agency mortgage-related securities						$3,843			$16			($67)			$3,792			$9
Other mortgage-related securities						279			198			(12)			465			2
Total available-for-sale securities						$4,122			$214			($79)			$4,257			$11

						December 31, 2023
						Amortized Cost Basis			Gross Unrealized Gains in Other Comprehensive Income			Gross Unrealized Losses in Other Comprehensive Income			Fair Value			Accrued Interest Receivable
(In millions)
Agency mortgage-related securities						$4,467			$13			($110)			$4,370			$10
Other mortgage-related securities						340			188			(8)			520			3
Total available-for-sale securities						$4,807			$201			($118)			$4,890			$13

Freddie Mac 3Q 2024 Form 10-Q						69

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 6

The fair value of our available-for-sale securities held at September 30, 2024 scheduled to contractually mature after ten years was $1.3 billion, with an additional $1.5 billion scheduled to contractually mature after five years through ten years.

The table below presents available-for-sale securities in a gross unrealized loss position and whether such securities have been in an unrealized loss position for less than 12 months, or 12 months or greater.

Table 6.5 - Available-for-Sale Securities in a Gross Unrealized Loss Position

						September 30, 2024
						Less than 12 Months									12 Months or Greater
(In millions)						Fair Value			Gross Unrealized Losses						Fair Value			Gross Unrealized Losses
Agency mortgage-related securities						$397			($1)						$2,453			($66)
Other mortgage-related securities						5			—						29			(12)
Total available-for-sale securities in a gross unrealized loss position						$402			($1)						$2,482			($78)

						December 31, 2023
						Less than 12 Months									12 Months or Greater
(In millions)						Fair Value			Gross Unrealized Losses						Fair Value			Gross Unrealized Losses
Agency mortgage-related securities						$374			($1)						$3,006			($108)
Other mortgage-related securities						23			(4)						23			(5)
Total available-for-sale securities in a gross unrealized loss position						$397			($5)						$3,029			($113)

At September 30, 2024, the gross unrealized losses relate to 140 securities.

The table below summarizes the total proceeds, gross realized gains and gross realized losses from sales of available-for-sale securities.

Table 6.6 - Total Proceeds, Gross Realized Gains and Gross Realized Losses from Sales of Available-for-Sale Securities

(In millions)						3Q 2024			3Q 2023			YTD 2024			YTD 2023
Total proceeds						$260			$1,441			$1,097			$2,333
Gross realized gains						5			—			8			5
Gross realized losses						—			(118)			(12)			(122)
Net realized gains (losses)						$5			($118)			($4)			($117)

Non-Cash Investing and Financing Activities

During YTD 2023, we recognized $1.7 billion of investment securities in exchange for the issuance of debt of consolidated trusts through partial sales of commingled single-class resecuritization products that were previously consolidated.

During YTD 2024 and YTD 2023, we derecognized $2.0 billion and $3.5 billion, respectively, of mortgage-related securities and debt of consolidated trusts where we were no longer deemed the primary beneficiary.

Freddie Mac 3Q 2024 Form 10-Q						70

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 7

NOTE 7

Debt

The table below summarizes the balances of total debt on our condensed consolidated balance sheets.

Table 7.1 - Total Debt

(In millions)						September 30, 2024			December 31, 2023
Debt of consolidated trusts						$3,092,140			$3,041,927
Debt of Freddie Mac:
Short-term debt						13,817			5,976
Long-term debt						159,310			160,443
Total debt of Freddie Mac						173,127			166,419
Total debt						$3,265,267			$3,208,346

Debt of Consolidated Trusts

The table below summarizes the debt of consolidated trusts based on underlying loan product type.

Table 7.2 - Debt of Consolidated Trusts

						September 30, 2024															December 31, 2023
(Dollars in millions)						Contractual Maturity			UPB			Carrying Amount(1)			Weighted Average Coupon(2)						Contractual Maturity			UPB			Carrying Amount(1)			Weighted Average Coupon(2)
Single-Family:
20-and 30-year or more, fixed-rate						2024 - 2061			$2,670,853			$2,706,909			3.28		%				2024 - 2061			$2,603,100			$2,640,550			3.06		%
15-year or less, fixed-rate						2024 - 2039			298,106			302,263			2.27						2024 - 2039			326,242			331,291			2.20
Adjustable-rate and other						2024 - 2054			23,222			23,644			4.41						2024 - 2054			23,251			23,749			3.93
Total Single-Family									2,992,181			3,032,816												2,952,593			2,995,590
Multifamily						2024-2054			60,444			59,324			3.50						2024 - 2053			47,300			46,337			3.35
Total debt of consolidated trusts									$3,052,625			$3,092,140												$2,999,893			$3,041,927

(1)Includes $2.8 billion and $2.1 billion as of September 30, 2024 and December 31, 2023, respectively, of debt of consolidated trusts that represents the fair value of debt for which the fair value option was elected.

(2)The effective interest rate for debt of consolidated trusts was 2.92% and 2.73% as of September 30, 2024 and December 31, 2023, respectively.

Short-Term Debt

The table below summarizes the balances and effective interest rates for our short-term debt.

Table 7.3 - Short-Term Debt

						September 30, 2024												December 31, 2023
(Dollars in millions)						Par Value			Carrying Amount			Weighted Average Effective Rate						Par Value			Carrying Amount			Weighted Average Effective Rate
Discount notes and Reference Bills®						$13,842			$13,817			4.93		%				$6,032			$5,976			5.39		%

Freddie Mac 3Q 2024 Form 10-Q						71

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 7

Long-Term Debt

The table below summarizes our long-term debt.

Table 7.4 - Long-Term Debt

						September 30, 2024															December 31, 2023
(Dollars in millions)						Contractual Maturity			Par Value			Carrying Amount(1)			Weighted Average Effective Rate(2)						Contractual Maturity			Par Value			Carrying Amount(1)			Weighted Average Effective Rate(2)
Long-term debt:
Fixed-rate:
Medium-term notes — callable						2024 - 2054			$120,304			$120,194			3.16		%				2024 - 2050			$139,344			$139,257			3.13		%
Medium-term notes — non-callable						2024 - 2028			327			327			3.29						2024 - 2028			1,573			1,574			0.98
Reference Notes securities — non-callable						2025 - 2032			18,162			18,210			3.19						2025 - 2032			18,162			18,209			3.19
SCR debt notes						2031 - 2032			77			79			13.00						2031 - 2032			82			83			13.00
Variable-rate:
Medium-term notes — callable						2024 - 2034			1,637			1,636			4.62						2024 - 2028			1,869			1,867			4.81
Medium-term notes — non-callable						2026			17,647			17,644			5.34						2026			47			47			8.10
STACR						2025-2042			1,630			1,553			12.34						2024 - 2042			2,095			2,006			11.45
Zero-coupon:
Medium-term notes — non-callable						2025 - 2039			4,748			3,161			6.20						2024 - 2039			4,836			3,100			6.17
Other						2047 - 2053			—			110			0.85						2047 - 2053			—			121			0.84
Hedging-related basis adjustments									N/A			(3,604)												N/A			(5,821)
Total long-term debt									$164,532			$159,310			3.56		%							$168,008			$160,443			3.30		%

(1)Represents par value, net of associated discounts or premiums and issuance cost. Includes $0.3 billion and $0.4 billion at September 30, 2024 and December 31, 2023, respectively, of long-term debt that represents the fair value of debt for which the fair value option was elected.

(2)Based on carrying amount.

The table below summarizes the contractual maturities of long-term debt and debt securities.

Table 7.5 - Contractual Maturities of Long-Term Debt and Debt Securities

						September 30, 2024
(In millions)						Amounts
Annual Maturities
Long-term debt (excluding STACR and SCR debt notes):
2024						$6,787
2025						53,207
2026						30,626
2027						18,426
2028						9,892
Thereafter						43,887
Debt of consolidated trusts, STACR, and SCR debt notes(1)						3,054,332
Total						3,217,157
Net discounts, premiums, debt issuance costs, hedge-related, and other basis adjustments(2)						34,293
Total debt of consolidated trusts, STACR, SCR, and long-term debt						$3,251,450

(1)Contractual maturities of these debt securities are not presented because they are subject to prepayment risk, as their payments are based upon the performance of a pool of mortgage assets that may be prepaid by the related mortgage borrower at any time generally without penalty.

(2)Other basis adjustments primarily represent changes in fair value on debt where we have elected the fair value option.

Freddie Mac 3Q 2024 Form 10-Q						72

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 8

NOTE 8

Derivatives

We analyze the interest-rate sensitivity of financial assets and liabilities across a variety of interest-rate scenarios based on market prices, models, and economics. We use derivatives primarily to hedge interest-rate sensitivity mismatches between our financial assets and liabilities. We designate certain derivatives as hedging instruments in qualifying hedge accounting relationships. Interest-rate risk management derivatives that are not designated in qualifying hedge accounting relationships are economic hedges of financial instruments measured at fair value on a recurring basis or of other transactions or instruments that expose us to interest-rate risk. When we use derivatives to mitigate our exposures, we consider a number of factors, including cost, exposure to counterparty credit risk, and our overall risk management strategy.

We apply fair value hedge accounting to certain single-family mortgage loans and certain issuances of debt where we hedge the changes in fair value of these items attributable to the designated benchmark interest rate, using interest-rate swaps.

Derivative Assets and Liabilities at Fair Value

The table below presents the notional value and fair value of derivatives reported on our condensed consolidated balance sheets.

Table 8.1 - Derivative Assets and Liabilities at Fair Value

						September 30, 2024												December 31, 2023
						Notional or Contractual Amount			Derivative Assets			Derivative Liabilities						Notional or Contractual Amount			Derivative Assets			Derivative Liabilities
(In millions)
Not designated as hedges
Interest-rate risk management derivatives:
Swaps						$360,455			$1,347			($488)						$351,193			$1,638			($462)
Written options						40,819			—			(1,614)						48,227			—			(1,746)
Purchased options(1)						92,390			3,963			—						89,790			4,251			—
Futures						90,674			—			—						132,982			—			—
Total interest-rate risk management derivatives						584,338			5,310			(2,102)						622,192			5,889			(2,208)
Mortgage commitment derivatives						57,116			24			(19)						26,911			43			(10)
CRT-related derivatives(2)						29,185			—			(210)						30,578			—			(228)
Other						19,788			38			(534)						14,572			3			(567)
Total derivatives not designated as hedges						690,427			5,372			(2,865)						694,253			5,935			(3,013)
Designated as fair value hedges
Interest-rate risk management derivatives:
Swaps						160,595			235			(3,793)						172,202			276			(5,658)
Total derivatives designated as fair value hedges						160,595			235			(3,793)						172,202			276			(5,658)
Receivables (payables)									239			(1)									17			(36)
Netting adjustments(3)									(5,252)			5,723									(5,742)			7,834
Total derivative portfolio, net						$851,022			$594			($936)						$866,455			$486			($873)

(1)Includes swaptions on credit indices with a notional or contractual amount of $6.9 billion and $6.4 billion at September 30, 2024 and December 31, 2023, respectively, and a fair value of $1.0 million at both September 30, 2024 and December 31, 2023.

(2)Includes derivative instruments related to CRT transactions that are considered freestanding credit enhancements.

(3)Represents counterparty netting and cash collateral netting.

Freddie Mac 3Q 2024 Form 10-Q						73

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 8

Derivative Counterparty Credit Risk

The table below presents offsetting and collateral information related to derivatives which are subject to enforceable master netting agreements or similar arrangements.

Table 8.2 - Offsetting of Derivatives

						September 30, 2024									December 31, 2023
						Derivative Assets			Derivative Liabilities						Derivative Assets			Derivative Liabilities
(In millions)
OTC derivatives						$5,546			($5,895)						$6,165			($7,866)
Cleared and exchange-traded derivatives						225			(1)						13			(36)
Mortgage commitment derivatives						37			(19)						47			(10)
Other						38			(744)						3			(795)
Total derivatives						5,846			(6,659)						6,228			(8,707)
Counterparty netting						(3,468)			3,468						(4,210)			4,210
Cash collateral netting(1)						(1,784)			2,255						(1,532)			3,624
Net amount presented in the consolidated balance sheets						594			(936)						486			(873)
Gross amount not offset in the consolidated balance sheets(2)						(193)			47						(366)			47
Net amount						$401			($889)						$120			($826)

(1)Excess cash collateral held is presented as a derivative liability, while excess cash collateral posted is presented as a derivative asset.

(2)Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability, netted by counterparty, presented on the condensed consolidated balance sheets.

Gains and Losses on Derivatives

The table below presents the gains and losses on derivatives not designated in qualifying hedge relationships. These amounts are reported on our condensed consolidated statements of income as investment gains, net.

Table 8.3 - Gains and Losses on Derivatives

(In millions)						3Q 2024			3Q 2023			YTD 2024			YTD 2023
Not designated as hedges
Interest-rate risk management derivatives:
Swaps						($425)			($48)			($27)			$360
Written options						223			(424)			174			(147)
Purchased options						(511)			1,012			(213)			463
Futures						(475)			668			68			880
Total interest-rate risk management derivatives fair value gains (losses)						(1,188)			1,208			2			1,556
Mortgage commitment derivatives						(415)			248			(343)			293
CRT-related derivatives(1)						39			(10)			47			(154)
Other						194			(194)			31			(197)
Total derivatives not designated as hedges fair value gains (losses)						($1,370)			$1,252			($263)			$1,498

(1)Includes derivative instruments related to CRT transactions that are considered freestanding credit enhancements.

Freddie Mac 3Q 2024 Form 10-Q						74

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 8

Fair Value Hedges

The table below presents the effects of fair value hedge accounting by condensed consolidated statements of income line item, including the gains and losses on derivatives and hedged items designated in qualifying hedge relationships and other components due to the application of hedge accounting.

Table 8.4 - Gains and Losses on Fair Value Hedges

						3Q 2024						3Q 2023
(In millions)						Interest Income			Interest Expense			Interest Income			Interest Expense
Total amounts of income and expense line items presented in our condensed consolidated statements of income in which the effects of fair value hedges are recorded:						$29,809			($24,810)			$26,799			($22,050)
Interest contracts on mortgage loans held-for-investment:
Gain (loss) on fair value hedging relationships:
Hedged items						2,049			—			(1,722)			—
Derivatives designated as hedging instruments						(2,039)			—			1,658			—
Interest accruals on hedging instruments						227			—			225			—
Discontinued hedge related basis adjustments amortization						44			—			60			—
Interest contracts on debt:
Gain (loss) on fair value hedging relationships:
Hedged items						—			(1,869)			—			16
Derivatives designated as hedging instruments						—			1,876			—			(9)
Interest accruals on hedging instruments						—			(824)			—			(1,014)
Discontinued hedge related basis adjustment amortization						—			(1)			—			(145)
						YTD 2024						YTD 2023
(In millions)						Interest Income			Interest Expense			Interest Income			Interest Expense
Total amounts of income and expense line items presented in our condensed consolidated statements of income in which the effects of fair value hedges are recorded:						$87,258			($72,572)			$77,541			($63,768)
Interest contracts on mortgage loans held-for-investment:
Gain (loss) on fair value hedging relationships:
Hedged items						820			—			(1,563)			—
Derivatives designated as hedging instruments						(926)			—			1,485			—
Interest accruals on hedging instruments						701			—			687			—
Discontinued hedge related basis adjustments amortization						160			—			130			—
Interest contracts on debt:
Gain (loss) on fair value hedging relationships:
Hedged items						—			(2,246)			—			(794)
Derivatives designated as hedging instruments						—			2,268			—			776
Interest accruals on hedging instruments						—			(2,627)			—			(3,065)
Discontinued hedge related basis adjustment amortization						—			(5)			—			(355)

Freddie Mac 3Q 2024 Form 10-Q						75

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 8

The table below presents the cumulative basis adjustments and the carrying amounts of the hedged item by its respective balance sheet line item.

Table 8.5 - Cumulative Basis Adjustments Due to Fair Value Hedging

						September 30, 2024
						Carrying Amount Assets / (Liabilities)						Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount												Closed Portfolio Under the Portfolio Layer Method
(In millions)												Total			Under the Portfolio Layer Method			Discontinued - Hedge Related						Total Amount by Amortized Cost Basis			Designated Amount by UPB
Mortgage loans held-for-investment						$1,109,943						($1,274)			($75)			($1,199)						$56,306			$11,845
Mortgage loans held-for-sale						145						1			—			1						—			—
Debt						(117,127)						3,604			—			19						—			—
						December 31, 2023
						Carrying Amount Assets / (Liabilities)						Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount												Closed Portfolio Under the Portfolio Layer Method
(In millions)												Total			Under the Portfolio Layer Method			Discontinued - Hedge Related						Total Amount by Amortized Cost Basis			Designated Amount by UPB
Mortgage loans held-for-investment						$1,115,454						($2,253)			($220)			($2,033)						$59,786			$11,670
Mortgage loans held-for-sale						128						1			—			1						—			—
Debt						(143,407)						5,821			—			29						—			—

Freddie Mac 3Q 2024 Form 10-Q						76

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 9

NOTE 9

Collateralized Agreements

Securities Purchased Under Agreements to Resell and Securities Sold Under Agreements to Repurchase

The table below presents offsetting and collateral information related to securities purchased under agreements to resell, and securities sold under agreements to repurchase, which are subject to enforceable master netting agreements or similar arrangements.

Table 9.1 - Offsetting and Collateral Information of Certain Financial Assets and Liabilities

						September 30, 2024
(In millions)						Gross Amount Recognized			Amount  Offset in the Condensed Consolidated Balance Sheets			Net Amount Presented in the Condensed Consolidated Balance Sheets			Gross Amount Not Offset in the Condensed  Consolidated Balance Sheets(1)			Net Amount
Assets:
Securities purchased under agreements to resell						$105,220			($2,110)			$103,110			($103,110)			$—
Liabilities:
Securities sold under agreements to repurchase						(2,110)			2,110			—			—			—

						December 31, 2023
(In millions)						Gross Amount Recognized			Amount  Offset in the Condensed Consolidated Balance Sheets			Net Amount Presented in the Condensed Consolidated Balance Sheets			Gross Amount Not Offset in the Condensed  Consolidated Balance Sheets(1)			Net Amount
Assets:
Securities purchased under agreements to resell						$105,393			($10,245)			$95,148			($95,148)			$—
Liabilities:
Securities sold under agreements to repurchase						(10,245)			10,245			—			—			—

(1)For securities purchased under agreements to resell, includes $105.2 billion and $104.2 billion of collateral that we had the right to repledge as of September 30, 2024 and December 31, 2023, respectively. We did not repledge collateral as of September 30, 2024. We repledged $0.4 billion of collateral as of December 31, 2023.

The table below presents the remaining contractual maturity of our gross obligations for securities sold under agreements to repurchase. The collateral for such obligations consisted primarily of U.S. Treasury securities.

Table 9.2 - Remaining Contractual Maturity

September 30, 2024

(In millions)

Overnight and Continuous

30 Days or Less

After 30 Days Through 90 Days

Greater Than 90 Days

Total

Securities sold under agreements to repurchase

$1,404

$706

$—

$—

$2,110

December 31, 2023

(In millions)

Overnight and Continuous

30 Days or Less

After 30 Days Through 90 Days

Greater Than 90 Days

Total

Securities sold under agreements to repurchase

$—

$10,245

$—

$—

$10,245

Freddie Mac 3Q 2024 Form 10-Q						77

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 9

Collateral Pledged

The table below summarizes the carrying value of the collateral pledged by us for derivatives and collateralized borrowing transactions, including securities that the secured party may repledge.

Table 9.3 - Collateral in the Form of Securities Pledged

						September 30, 2024
(In millions)						Derivatives			Securities Sold Under Agreements to Repurchase			Other(1)			Total
Trading securities						$2,419			$2,093			$2,181			$6,693
Other assets						—			—			—			—
Total securities pledged						$2,419			$2,093			$2,181			$6,693

						December 31, 2023
(In millions)						Derivatives			Securities Sold Under Agreements to Repurchase			Other(1)			Total
Trading securities						$1,866			$3,666			$2,370			$7,902
Other assets						—			4,555			—			4,555
Total securities pledged						$1,866			$8,221			$2,370			$12,457

(1)Includes other collateralized borrowings and collateral related to transactions with certain clearinghouses.

Freddie Mac 3Q 2024 Form 10-Q						78

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 10

NOTE 10

Net Interest Income

The table below presents the components of net interest income per our condensed consolidated statements of income.

Table 10.1 - Components of Net Interest Income

(In millions)						3Q 2024			3Q 2023						YTD 2024			YTD 2023
Interest income:
Mortgage loans						$27,640			$24,525						$80,690			$71,427
Investment securities						510			427						1,464			1,106
Securities purchased under agreements to resell						1,511			1,660						4,636			4,502
Other						148			187						468			506
Total interest income						29,809			26,799						87,258			77,541
Interest expense:
Debt of consolidated trusts						(22,330)			(19,383)						(65,086)			(56,252)
Debt of Freddie Mac:
Short-term debt						(205)			(191)						(721)			(593)
Long-term debt						(2,275)			(2,476)						(6,765)			(6,923)
Total interest expense						(24,810)			(22,050)						(72,572)			(63,768)
Net interest income						4,999			4,749						14,686			13,773
(Provision) benefit for credit losses						191			263						(384)			405
Net interest income after (provision) benefit for credit losses						$5,190			$5,012						$14,302			$14,178

Freddie Mac 3Q 2024 Form 10-Q						79

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 11

NOTE 11

Segment Reporting

As shown in the table below, we have two reportable segments, Single-Family and Multifamily.

Segment			Description
Single-Family			Reflects results from our purchase, securitization, and guarantee of single-family loans, our investments in single-family loans and mortgage-related securities, the management of Single-Family mortgage credit risk and market risk, and any results of our treasury function that are not allocated to each segment.
Multifamily			Reflects results from our purchase, securitization, and guarantee of multifamily loans, our investments in multifamily loans and mortgage-related securities, and the management of Multifamily mortgage credit risk and market risk.

Segment Results

The table below presents the financial results for our Single-Family and Multifamily segments.

Table 11.1 - Segment Financial Results

						3Q 2024												3Q 2023
(In millions)						Single-Family			Multifamily			Total						Single-Family			Multifamily			Total
Net interest income						$4,692			$307			$4,999						$4,534			$215			$4,749
Non-interest income
Guarantee income						23			464			487						25			276			301
Investment gains, net						282			(39)			243						314			241			555
Other income						59			50			109						54			31			85
Non-interest income						364			475			839						393			548			941
Net revenues						5,056			782			5,838						4,927			763			5,690
(Provision) benefit for credit losses						99			92			191						304			(41)			263
Non-interest expense						(1,966)			(217)			(2,183)						(2,310)			(266)			(2,576)
Income before income tax expense						3,189			657			3,846						2,921			456			3,377
Income tax expense						(616)			(125)			(741)						(598)			(94)			(692)
Net income						2,573			532			3,105						2,323			362			2,685
Other comprehensive income (loss), net of taxes and reclassification adjustments						10			52			62						(6)			25			19
Comprehensive income						$2,583			$584			$3,167						$2,317			$387			$2,704

						YTD 2024												YTD 2023
(In millions)						Single-Family			Multifamily			Total						Single-Family			Multifamily			Total
Net interest income						$13,815			$871			$14,686						$13,125			$648			$13,773
Non-interest income
Guarantee income						68			1,298			1,366						73			1,003			1,076
Investment gains, net						531			666			1,197						131			610			741
Other income						210			124			334						161			105			266
Non-interest income						809			2,088			2,897						365			1,718			2,083
Net revenues						14,624			2,959			17,583						13,490			2,366			15,856
(Provision) benefit for credit losses						(336)			(48)			(384)						624			(219)			405
Non-interest expense						(5,812)			(627)			(6,439)						(6,121)			(591)			(6,712)
Income before income tax expense						8,476			2,284			10,760						7,993			1,556			9,549
Income tax expense						(1,674)			(450)			(2,124)						(1,612)			(313)			(1,925)
Net income						6,802			1,834			8,636						6,381			1,243			7,624
Other comprehensive income (loss), net of taxes and reclassification adjustments						—			32			32						(5)			24			19
Comprehensive income						$6,802			$1,866			$8,668						$6,376			$1,267			$7,643

Freddie Mac 3Q 2024 Form 10-Q						80

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 11

The table below presents total assets for our Single-Family and Multifamily segments.

Table 11.2 - Segment Assets

(In millions)									September 30, 2024			December 31, 2023
Single-Family									$3,082,232			$3,038,910
Multifamily									452,116			440,797
Total segment assets									3,534,348			3,479,707
Reconciling items(1)									(191,765)			(198,731)
Total assets per condensed consolidated balance sheets									$3,342,583			$3,280,976

(1)Reconciling items include assets in our mortgage portfolio that are not recognized on our condensed consolidated balance sheets and assets recognized on our condensed consolidated balance sheets that are not allocated to the reportable segments.

Freddie Mac 3Q 2024 Form 10-Q						81

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 12

NOTE 12

Concentration of Credit and Other Risks

Single-Family Mortgage Portfolio

The table below summarizes the concentration by geographic area of our Single-Family mortgage portfolio. See Note 2, Note 3, Note 4, and Note 5 for additional information about credit risk associated with single-family loans that we hold or guarantee.

Table 12.1 - Concentration of Credit Risk of Our Single-Family Mortgage Portfolio

						September 30, 2024
(Dollars in millions)						Portfolio UPB(1)			% of Portfolio			SDQ Rate
Region:(2)
West						$915,004			30		%	0.41		%
Northeast						711,763			23			0.61
Southeast						543,620			18			0.57
Southwest						462,203			15			0.58
North Central						449,301			14			0.55
Total						$3,081,891			100		%	0.54
State:
California						$514,106			17		%	0.41
Texas						220,446			7			0.66
Florida						205,959			7			0.63
New York						134,200			4			0.87
Illinois						115,277			4			0.69
All other						1,891,903			61			0.51
Total						$3,081,891			100		%	0.54

(1)Excludes UPB of loans underlying certain securitization products for which data was not available.

(2)Region designation: West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA); Northeast (CT, DE, DC, MA, ME, MD, NH, NJ, NY, PA, RI, VT, VA, WV); Southeast (AL, FL, GA, KY, MS, NC, PR, SC, TN, VI); Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY); North Central (IL, IN, IA, MI, MN, ND, OH, SD, WI).

Freddie Mac 3Q 2024 Form 10-Q						82

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 12

Multifamily Mortgage Portfolio

The table below summarizes the concentration by geographic area of our Multifamily mortgage portfolio. See Note 2, Note 3, Note 4, and Note 5 for additional information about credit risk associated with multifamily loans that we hold or guarantee.

Table 12.2 - Concentration of Credit Risk of Our Multifamily Mortgage Portfolio

						September 30, 2024
(Dollars in millions)						Portfolio UPB			% of Portfolio			Delinquency Rate(1)
Region(2)(3):
Northeast						$110,770			25		%	0.84		%
West						110,254			24			0.17
Southwest						93,088			21			0.29
Southeast						93,087			21			0.16
North Central						44,917			9			0.45
Total						$452,116			100		%	0.39
State(3):
California						$58,900			13		%	0.22
Texas						57,770			13			0.30
Florida						39,525			9			0.10
New York						35,378			8			1.91
Georgia						19,212			4			0.21
All other						241,331			53			0.29
Total						$452,116			100		%	0.39

(1)Based on loans two monthly payments or more delinquent or in foreclosure.

(2)Region designation: Northeast (CT, DE, DC, MA, ME, MD, NH, NJ, NY, PA, RI, VT, VA, WV); West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA); Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY); Southeast (AL, FL, GA, KY, MS, NC, PR, SC, TN, VI); North Central (IL, IN, IA, MI, MN, ND, OH, SD, WI).

(3)The UPB of loans collateralized by properties located in multiple regions or states are reported entirely in the region or state with the largest underlying collateral UPB as of origination.

Freddie Mac 3Q 2024 Form 10-Q						83

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 13

NOTE 13

Fair Value Disclosures

We use fair value measurements for the initial recording of certain assets and liabilities and periodic remeasurement of certain assets and liabilities on a recurring or non-recurring basis.

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The table below presents our assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments where we have elected the fair value option.

Table 13.1 - Assets and Liabilities Measured at Fair Value on a Recurring Basis

						September 30, 2024
(In millions)						Level 1			Level 2			Level 3			Netting Adjustments(1)			Total
Assets:
Investment securities:
Available-for-sale						$—			$3,669			$588			$—			$4,257
Trading:
Mortgage-related securities						—			5,597			3,228			—			8,825
Non-mortgage-related securities						30,105			426			—			—			30,531
Total trading securities						30,105			6,023			3,228			—			39,356
Total investment securities						30,105			9,692			3,816			—			43,613
Mortgage loans held-for-sale						—			7,618			735			—			8,353
Mortgage loans held-for-investment						—			1,446			925			—			2,371
Other assets:
Guarantee assets						—			—			5,289			—			5,289
Derivative assets, net						—			5,569			38			(5,013)			594
Other assets						—			105			178			—			283
Total other assets						—			5,674			5,505			(5,013)			6,166
Total assets carried at fair value on a recurring basis						$30,105			$24,430			$10,981			($5,013)			$60,503
Liabilities:
Debt:
Debt of consolidated trusts						$—			$2,780			$20			$—			$2,800
Debt of Freddie Mac						—			236			86			—			322
Total debt						—			3,016			106			—			3,122
Other liabilities:
Derivative liabilities, net						1			6,584			73			(5,722)			936
Other liabilities						—			—			1			—			1
Total other liabilities						1			6,584			74			(5,722)			937
Total liabilities carried at fair value on a recurring basis						$1			$9,600			$180			($5,722)			$4,059

Referenced footnote is included after the prior period table.

Freddie Mac 3Q 2024 Form 10-Q						84

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 13

						December 31, 2023
(In millions)						Level 1			Level 2			Level 3			Netting Adjustments(1)			Total
Assets:
Investment securities:
Available-for-sale						$—			$4,212			$678			$—			$4,890
Trading:
Mortgage-related securities						—			5,342			2,771			—			8,113
Non-mortgage-related securities						29,854			418			—			—			30,272
Total trading securities						29,854			5,760			2,771			—			38,385
Total investment securities						29,854			9,972			3,449			—			43,275
Mortgage loans held-for-sale						—			6,460			896			—			7,356
Mortgage loans held-for-investment						—			1,333			473			—			1,806
Other assets:
Guarantee assets						—			—			5,351			—			5,351
Derivative assets, net						—			6,209			2			(5,725)			486
Other assets						—			92			166			—			258
Total other assets						—			6,301			5,519			(5,725)			6,095
Total assets carried at fair value on a recurring basis						$29,854			$24,066			$10,337			($5,725)			$58,532
Liabilities:
Debt:
Debt of consolidated trusts						$—			$1,707			$343			$—			$2,050
Debt of Freddie Mac						—			336			90			—			426
Total debt						—			2,043			433			—			2,476
Other liabilities:
Derivative liabilities, net						—			8,608			63			(7,798)			873
Other liabilities						—			—			—			—			—
Total other liabilities						—			8,608			63			(7,798)			873
Total liabilities carried at fair value on a recurring basis						$—			$10,651			$496			($7,798)			$3,349

(1)     Represents counterparty netting and cash collateral netting, and includes accrued interest receivable and payable.

Level 3 Fair Value Measurements

The table below presents a reconciliation of all assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis using significant unobservable inputs (Level 3), including transfers into and out of Level 3. The table also presents gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our condensed consolidated statements of income for Level 3 assets and liabilities.

Freddie Mac 3Q 2024 Form 10-Q						85

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 13

Table 13.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs

						3Q 2024
						Balance, July 1, 2024						Total Realized/Unrealized Gains/Losses(1)												Purchases						Issues						Sales						Settlements, Net						Transfers into Level 3						Transfers out of Level 3						Balance, September 30, 2024						Change in Unrealized Gains/Losses(1) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2024(2)						Change in Unrealized Gains/Losses(1), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2024
(In millions)												Included in Earnings						Included in Other Comprehensive Income
Assets
Investment securities:
Available-for-sale						$603						$—						$11						$—						$—						$—						($26)						$—						$—						$588						$—						$9
Trading						3,009						34						—						219						—						—						(24)						—						(10)						3,228						156						—
Total investment securities						3,612						34						11						219						—						—						(50)						—						(10)						3,816						156						9
Mortgage loans held-for-sale						627						28						—						356						—						(276)						—						—						—						735						18						—
Mortgage loans held-for-investment						776						10						—						—						—						—						(22)						161						—						925						12						—
Other assets:
Guarantee assets						5,254						110						—						—						158						—						(233)						—						—						5,289						110						—
Other assets						203						26						—						6						5						(6)						(18)						—						—						216						22						—
Total other assets						5,457						136						—						6						163						(6)						(251)						—						—						5,505						132						—
Total assets						$10,472						$208						$11						$581						$163						($282)						($323)						$161						($10)						$10,981						$318						$9
Liabilities
Debt						$462						$2						$—						$—						$—						$—						($2)						$—						($356)						$106						$1						$—
Other liabilities						115						(57)						—						3						15						—						(2)						—						—						74						(59)						—
Total liabilities						$577						($55)						$—						$3						$15						$—						($4)						$—						($356)						$180						($58)						$—

						YTD 2024
						Balance, January 1, 2024						Total Realized/Unrealized Gains/Losses(1)												Purchases						Issues						Sales						Settlements, Net						Transfers into Level 3						Transfers out of Level 3						Balance, September 30, 2024						Change in Unrealized Gains/Losses(1) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2024(2)						Change in Unrealized Gains/Losses(1), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2024
(In millions)												Included in Earnings						Included in Other Comprehensive Income
Assets
Investment securities:
Available-for-sale						$678						$—						$5						$—						$—						$—						($95)						$—						$—						$588						$—						$4
Trading						2,771						(183)						—						714						—						—						(64)						—						(10)						3,228						185						—
Total investment securities						3,449						(183)						5						714						—						—						(159)						—						(10)						3,816						185						4
Mortgage loans held-for-sale						896						22						—						1,038						—						(1,048)						(1)						35						(207)						735						19						—
Mortgage loans held-for-investment						473						(42)						—						—						—						—						(76)						592						(22)						925						(41)						—
Other assets:
Guarantee assets						5,351						220						—						—						405						—						(687)						—						—						5,289						221						—
Other assets						168						58						—						(6)						9						(13)						—						—						—						216						52						—
Total other assets						5,519						278						—						(6)						414						(13)						(687)						—						—						5,505						273						—
Total assets						$10,337						$75						$5						$1,746						$414						($1,061)						($923)						$627						($239)						$10,981						$436						$4
Liabilities
Debt						$433						$3						$—						$—						$—						$—						($5)						$—						($325)						$106						$3						$—
Other liabilities						63						(44)						—						9						54						—						(8)						—						—						74						(52)						—
Total liabilities						$496						($41)						$—						$9						$54						$—						($13)						$—						($325)						$180						($49)						$—

Freddie Mac 3Q 2024 Form 10-Q						86

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 13

						3Q 2023
						Balance, July 1, 2023						Total Realized/Unrealized Gains/Losses(1)												Purchases						Issues						Sales						Settlements, Net						Transfers into Level 3						Transfers out of Level 3						Balance, September 30, 2023						Change in Unrealized Gains/Losses(1) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2023(2)						Change in Unrealized Gains/Losses(1), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2023
(In millions)												Included in Earnings						Included in Other Comprehensive Income
Assets
Investment securities:
Available-for-sale						$790						$—						($15)						$—						$—						$—						($43)						$—						($41)						$691						$—						($12)
Trading						2,561						(141)						—						348						—						—						(16)						—						—						2,752						20						—
Total investment securities						3,351						(141)						(15)						348						—						—						(59)						—						(41)						3,443						20						(12)
Mortgage loans held-for-sale						881						(1)						—						814						—						(723)						(13)						—						—						958						(4)						—
Mortgage loans held-for-investment						170						(2)						—						—						—						—						(5)						—						(6)						157						(12)						—
Other assets:
Guarantee assets						5,323						(89)						—						—						179						—						(218)						—						—						5,195						(89)						—
Other assets						159						—						—						(5)						4						(4)						(4)						—						—						150						—						—
Total other assets						5,482						(89)						—						(5)						183						(4)						(222)						—						—						5,345						(89)						—
Total assets						$9,884						($233)						($15)						$1,157						$183						($727)						($299)						$—						($47)						$9,903						($85)						($12)
Liabilities
Debt						$374						$1						$—						$—						$55						$—						$—						$—						$—						$430						$8						$—
Other liabilities						99						47						—						—						—						—						(31)						—						—						115						24						—
Total liabilities						$473						$48						$—						$—						$55						$—						($31)						$—						$—						$545						$32						$—

						YTD 2023
						Balance, January 1, 2023						Total Realized/Unrealized Gains/Losses(1)												Purchases						Issues						Sales						Settlements, Net						Transfers into Level 3						Transfers out of Level 3						Balance, September 30, 2023						Change in Unrealized Gains/Losses(1) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2023(2)						Change in Unrealized Gains/Losses(1), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2023
(In millions)												Included in Earnings						Included in Other Comprehensive Income
Assets
Investment securities:
Available-for-sale						$894						$1						($23)						$—						$—						$—						($139)						$—						($42)						$691						$—						($18)
Trading						2,731						(470)						—						531						—						—						(40)						—						—						2,752						30						—
Total investment securities						3,625						(469)						(23)						531						—						—						(179)						—						(42)						3,443						30						(18)
Mortgage loans held-for-sale						310						(30)						—						1,567						—						(723)						(24)						12						(154)						958						(4)						—
Mortgage loans held-for-investment						110						(13)						—						—						—						—						(11)						142						(71)						157						(12)						—
Other assets:																																																																								—
Guarantee assets						5,442						(82)						—						—						498						—						(663)						—						—						5,195						(82)						—
Other assets						131						55						—						(23)						7						(4)						(16)						—						—						150						54						—
Total other assets						5,573						(27)						—						(23)						505						(4)						(679)						—						—						5,345						(28)						—
Total assets						$9,618						($539)						($23)						$2,075						$505						($727)						($893)						$154						($267)						$9,903						($14)						($18)
Liabilities
Debt						$388						($18)						$—						$66						$—						$—						($6)						$—						$—						$430						($1)						$—
Other liabilities						97						51						—						—						—						—						(33)						—						—						115						18						—
Total liabilities						$485						$33						$—						$66						$—						$—						($39)						$—						$—						$545						$17						$—

(1)For assets, increase and decrease in earnings and other comprehensive income is shown as gains and (losses), respectively. For liabilities, increase and decrease in earnings and comprehensive income is shown as (gains) and losses, respectively.

(2)Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains and losses related to assets and liabilities classified as Level 3 that were still held at September 30, 2024 and September 30, 2023.

Freddie Mac 3Q 2024 Form 10-Q						87

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 13

The table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis.

Table 13.3 - Quantitative Information about Recurring Level 3 Fair Value Measurements

September 30, 2024

Level 3 Fair Value

Predominant Valuation Technique(s)

Unobservable Inputs

(Dollars in millions, except for certain unobservable inputs as shown)

Type

Range

Weighted Average(1)

Assets

Investment securities:

Available-for-sale

$444

Median of external sources

External pricing sources

$63.9 - $70.5

$65.2

144

Other

Trading

2,020

Single external source

External pricing source

$0.0 - $3,894.4

$116.1

834

Median of external sources

External pricing sources

$14.1 - $15.2

$14.7

374

Other

Mortgage loans held-for-sale

735

Single external source

External pricing source

$59.1 - $110.1

$103.4

Mortgage loans held-for-investment

925

Single external source

External pricing source

$29.1 - $102.7

$84.4

Guarantee assets

4,967

Discounted cash flows

OAS

17 - 233 bps

47 bps

322

Other

Insignificant Level 3 assets(2)

216

Total Level 3 assets

$10,981

Liabilities

Insignificant Level 3 liabilities(2)

180

Total Level 3 liabilities

$180

December 31, 2023

Level 3 Fair Value

Predominant Valuation Technique(s)

Unobservable Inputs

(Dollars in millions, except for certain unobservable inputs as shown)

Type

Range

Weighted Average(1)

Assets

Investment securities:

Available-for-sale

$489

Median of external sources

External pricing sources

$61.2 - $71.6

$66.7

189

Other

Trading

2,085

Single external source

External pricing source

$0.0 - $4,471.7

$147.3

686

Other

Mortgage loans held-for-sale

896

Single external source

External pricing source

$59.3 - $110.4

$100.3

Mortgage loans held-for-investment

473

Single external source

External pricing source

$24.7 - $99.2

$74.7

Guarantee assets

5,014

Discounted cash flows

OAS

17 - 233 bps

47 bps

337

Other

Insignificant Level 3 assets(2)

168

Total Level 3 assets

$10,337

Liabilities

Insignificant Level 3 liabilities(2)

496

Total Level 3 liabilities

$496

(1)     Unobservable inputs were weighted primarily by the relative fair value of the financial instruments.

(2) Represents the aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant.

Freddie Mac 3Q 2024 Form 10-Q						88

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 13

Assets Measured at Fair Value on a Non-Recurring Basis

We may be required, from time to time, to measure certain assets at fair value on a non-recurring basis. These adjustments usually result from the application of lower-of-cost-or-fair-value accounting or measurement of impairment based on the fair value of the underlying collateral. Certain fair values in the tables below were not obtained as of period end, but were obtained during the period.

The table below presents assets measured on our condensed consolidated balance sheets at fair value on a non-recurring basis.

Table 13.4 - Assets Measured at Fair Value on a Non-Recurring Basis

						September 30, 2024															December 31, 2023
(In millions)						Level 1			Level 2			Level 3			Total						Level 1			Level 2			Level 3			Total
Mortgage loans(1)						$—			$246			$950			$1,196						$—			$640			$1,578			$2,218

(1)Includes loans that are classified as held-for-investment and have an allowance for credit losses based on the fair value of the underlying collateral and held-for-sale loans where the fair value is below cost.

The table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets measured on our condensed consolidated balance sheets at fair value on a non-recurring basis.

Table 13.5 - Quantitative Information About Non-Recurring Level 3 Fair Value Measurements

September 30, 2024

Level 3 Fair Value

Predominant Valuation Technique(s)

Unobservable Inputs

(Dollars in millions, except for certain unobservable inputs as shown)

Type

Range

Weighted Average(1)

Mortgage loans

$757

Median of external sources

External pricing sources

$78.0 - $102.7

$86.4

193

Other

Total

$950

December 31, 2023

Level 3 Fair Value

Predominant Valuation Technique(s)

Unobservable Inputs

(Dollars in millions, except for certain unobservable inputs as shown)

Type

Range

Weighted Average(1)

Mortgage loans

$1,394

Median of external sources

External pricing sources

$72.9 - $98.8

$82.4

184

Other

Total

$1,578

(1) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments.

Freddie Mac 3Q 2024 Form 10-Q						89

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 13

Fair Value of Financial Instruments

The table below presents the carrying value and estimated fair value of our financial instruments. For certain types of financial instruments, such as cash and cash equivalents, securities purchased under agreements to resell, and certain debt, the carrying value on our condensed consolidated balance sheets approximates fair value, as these assets and liabilities are short-term in nature and have limited fair value volatility.

Table 13.6 - Fair Value of Financial Instruments

									September 30, 2024
						GAAP Measurement Category(1)			Carrying  Amount(2)						Fair Value
(In millions)															Level 1						Level 2						Level 3						Netting  Adjustments(3)						Total
Financial assets
Cash and cash equivalents						Amortized cost			$4,857						$4,857						$—						$—						$—						$4,857
Securities purchased under agreements to resell						Amortized cost			103,110						—						105,220						—						(2,110)						103,110
Investment securities:
Available-for-sale						FV - OCI			4,257						—						3,669						588						—						4,257
Trading						FV - NI			39,356						30,105						6,023						3,228						—						39,356
Total investment securities									43,613						30,105						9,692						3,816						—						43,613
Mortgage loans:
Mortgage loans held-for-sale									11,678						—						8,719						3,186						—						11,905
Mortgage loans held-for-investment, net of allowance for credit losses									3,140,319						—						2,526,697						307,773						—						2,834,470
Total mortgage loans						Various(4)			3,151,997						—						2,535,416						310,959						—						2,846,375
Other assets:
Guarantee assets						FV - NI			5,289						—						—						5,291						—						5,291
Derivative assets, net						FV - NI			594						—						5,569						38						(5,013)						594
Other assets(5)						Various			2,804						—						895						2,334						—						3,229
Total other assets									8,687						—						6,464						7,663						(5,013)						9,114
Total financial assets									$3,312,264						$34,962						$2,656,792						$322,438						($7,123)						$3,007,069
Financial liabilities
Debt:
Debt of consolidated trusts									$3,092,140						$—						$2,783,068						$390						$—						$2,783,458
Debt of Freddie Mac									173,127						—						172,794						3,417						(2,110)						174,101
Total debt						Various(6)			3,265,267						—						2,955,862						3,807						(2,110)						2,957,559
Other liabilities:
Guarantee obligations						Amortized cost			5,116						—						99						6,492						—						6,591
Derivative liabilities, net						FV - NI			936						1						6,584						73						(5,722)						936
Other liabilities(5)						FV - NI			1						—						339						106						—						445
Total other liabilities									6,053						1						7,022						6,671						(5,722)						7,972
Total financial liabilities									$3,271,320						$1						$2,962,884						$10,478						($7,832)						$2,965,531

Referenced footnotes are included after the prior period table.

Freddie Mac 3Q 2024 Form 10-Q						90

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 13

									December 31, 2023
						GAAP Measurement Category(1)			Carrying  Amount(2)						Fair Value
(In millions)															Level 1						Level 2						Level 3						Netting Adjustments(3)						Total
Financial assets
Cash and cash equivalents						Amortized cost			$6,019						$6,019						$—						$—						$—						$6,019
Securities purchased under agreements to resell						Amortized cost			95,148						—						105,393						—						(10,245)						95,148
Investment securities:
Available-for-sale						FV - OCI			4,890						—						4,212						678						—						4,890
Trading						FV - NI			38,385						29,854						5,760						2,771						—						38,385
Total investment securities									43,275						29,854						9,972						3,449						—						43,275
Mortgage loans:
Mortgage loans held-for-sale									12,941						—						9,276						3,868						—						13,144
Mortgage loans held-for-investment, net of allowance for credit losses									3,083,665						—						2,466,127						254,877						—						2,721,004
Total mortgage loans						Various(4)			3,096,606						—						2,475,403						258,745						—						2,734,148
Other assets:
Guarantee assets						FV - NI			5,351						—						—						5,353						—						5,353
Derivative assets, net						FV - NI			486						—						6,209						2						(5,725)						486
Other assets(5)						Various			2,107						—						946						1,165						—						2,111
Total other assets									7,944						—						7,155						6,520						(5,725)						7,950
Total financial assets									$3,248,992						$35,873						$2,597,923						$268,714						($15,970)						$2,886,540
Financial liabilities
Debt:
Debt of consolidated trusts									$3,041,927						$—						$2,673,019						$727						$—						$2,673,746
Debt of Freddie Mac									166,419						—						173,877						3,391						(10,245)						167,023
Total debt						Various(6)			3,208,346						—						2,846,896						4,118						(10,245)						2,840,769
Other liabilities:
Guarantee obligations						Amortized cost			5,451						—						103						6,023						—						6,126
Derivative liabilities, net						FV - NI			873						—						8,608						63						(7,798)						873
Other liabilities(5)						FV - NI			14						—						465						194						—						659
Total other liabilities									6,338						—						9,176						6,280						(7,798)						7,658
Total financial liabilities									$3,214,684						$—						$2,856,072						$10,398						($18,043)						$2,848,427

(1)FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income.

(2)Excludes allowance for credit losses on off-balance sheet credit exposure.

(3)Represents counterparty netting and cash collateral netting, and includes accrued interest receivable and payable.

(4)The GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $3.1 trillion, $3.3 billion, and $10.7 billion as of September 30, 2024, respectively, and $3.1 trillion, $5.6 billion and $9.2 billion as of December 31, 2023, respectively.

(5)For other assets, includes advances to lenders, secured lending, and loan commitments. For other liabilities, includes loan commitments.

(6)The GAAP carrying amounts measured at amortized cost and FV - NI were $3.3 trillion and $3.1 billion as of September 30, 2024, respectively, and $3.2 trillion and $2.5 billion as of December 31, 2023, respectively.

Freddie Mac 3Q 2024 Form 10-Q						91

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 13

Fair Value Option

We elected the fair value option for certain mortgage loans and loan commitments and certain debt issuances.

The table below presents the fair value and UPB related to items for which we have elected the fair value option.

Table 13.7 - Difference Between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected(1)

						September 30, 2024												December 31, 2023
(In millions)						Fair value			UPB			Difference						Fair value			UPB			Difference
Mortgage loans held-for-sale						$8,353			$8,003			$350						$7,356			$7,080			$276
Mortgage loans held-for-investment						2,371			2,643			(272)						1,806			2,095			(289)
Debt of Freddie Mac						155			150			5						240			234			6
Debt of consolidated trusts						2,447			2,526			(79)						1,705			1,799			(94)
Other assets (other liabilities)						106			N/A			N/A						95			N/A			N/A

(1)    Excludes interest-only securities related to debt of consolidated trusts and debt of Freddie Mac with a fair value of $0.5 billion as of both September 30, 2024 and December 31, 2023.

Changes in Fair Value Under the Fair Value Option Election

The table below presents the changes in fair value related to items for which we have elected the fair value option. These amounts are included in investment gains, net, on our condensed consolidated statements of income.

Table 13.8 - Changes in Fair Value Under the Fair Value Option Election

						3Q 2024			3Q 2023						YTD 2024			YTD 2023
(In millions)						Gains (Losses)									Gains (Losses)
Mortgage loans held-for-sale						$267			($256)						$87			($379)
Mortgage loans held-for-investment						53			(20)						(4)			(24)
Debt of Freddie Mac						13			(6)						18			13
Debt of consolidated trusts						(6)			35						—			35
Other assets/other liabilities						230			(7)						472			47

Changes in fair value attributable to instrument-specific credit risk were not material for the periods presented for assets or liabilities for which we elected the fair value option.

Freddie Mac 3Q 2024 Form 10-Q						92

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 14

NOTE 14

Legal Contingencies

We are involved, directly or indirectly, in a variety of legal and regulatory proceedings arising from time to time in the ordinary course of business (including, among other things, contractual disputes, personal injury claims, employment-related litigation, and other legal proceedings incidental to our business) and in connection with the conservatorship and Purchase Agreement. We are frequently involved, directly or indirectly, in litigation involving mortgage foreclosures. From time to time, we are also involved in proceedings arising from our termination of a seller's or servicer's eligibility to sell loans to, and/or service loans for, us. In these cases, the former seller or servicer sometimes seeks damages against us for wrongful termination under a variety of legal theories. In addition, we are sometimes sued in connection with the origination or servicing of loans. These suits typically involve claims alleging wrongful actions of sellers and servicers. Our contracts with our sellers and servicers generally provide for indemnification of Freddie Mac against liability arising from sellers' and servicers' wrongful actions with respect to loans sold to or serviced for Freddie Mac.

Litigation claims and proceedings of all types are subject to many uncertainties (including appeals and procedural filings), and there can be no assurance as to the ultimate outcome of those actions (including the matters described below). In accordance with the accounting guidance for contingencies, we reserve for litigation claims and assessments asserted or threatened against us when a loss is probable (as defined in such guidance) and the amount of the loss can be reasonably estimated. The actual costs of resolving legal actions may be substantially higher or lower than the amounts accrued for those actions.

It is not possible for us to predict the actions the U.S. government (including Treasury and FHFA) might take in connection with any of these lawsuits or any future lawsuits. However, it is possible that we could be adversely affected by these actions, including, for example, by changes to the Purchase Agreement, or any resulting actual or perceived changes in the level of U.S. government support for our business.

Putative Securities Class Action Lawsuit: Ohio Public Employees Retirement System vs. Freddie Mac, Syron, Et Al.

This putative securities class action lawsuit was filed against Freddie Mac and certain former officers on January 18, 2008 in the U.S. District Court for the Northern District of Ohio purportedly on behalf of a class of purchasers of Freddie Mac stock from August 1, 2006 through November 20, 2007. FHFA later intervened as Conservator, and the plaintiff amended its complaint on several occasions. The plaintiff alleged, among other things, that the defendants violated federal securities laws by making false and misleading statements concerning our business, risk management, and the procedures we put into place to protect the company from problems in the mortgage industry. The plaintiff seeks unspecified damages and interest, and reasonable costs and expenses, including attorney and expert fees.

In August 2018, the District Court denied the plaintiff's motion for class certification. On April 6, 2023, the Sixth Circuit reversed the District Court's September 17, 2020 decision to grant the plaintiff's request for summary judgment and enter final judgment in favor of Freddie Mac and other defendants. The Sixth Circuit remanded the case to the District Court for further proceedings. On May 3, 2024, defendants filed motions for summary judgment. The trial in the District Court is scheduled to begin on October 6, 2025.

Litigation Concerning the Purchase Agreement in the U.S. District Court for the District of Columbia

In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations. This is a consolidated class action lawsuit filed by private individual and institutional investors (collectively, "Class Plaintiffs") against FHFA, Fannie Mae, and Freddie Mac.

Fairholme Funds, Inc., et al. v. FHFA, et al. This is an individual plaintiffs’ lawsuit by certain institutional investors (“Individual Plaintiffs”) against FHFA, Fannie Mae, and Freddie Mac.

The Class Plaintiffs and Individual Plaintiffs (collectively "Plaintiffs") in the District of Columbia lawsuits filed an amended complaint on November 1, 2017 alleging claims for breach of contract, breach of the implied covenant of good faith and fair dealing, breach of fiduciary duties, and violation of Delaware and Virginia corporate law. Additionally, the Class Plaintiffs brought derivative claims against FHFA for breach of fiduciary duties and the Individual Plaintiffs brought claims under the Administrative Procedure Act. Both sets of claims are generally based on allegations that the net worth sweep dividend provisions of the senior preferred stock that were implemented pursuant to the August 2012 amendments nullified certain of the shareholders’ rights, including the rights to receive dividends and a liquidation preference. On September 28, 2018, the District

Freddie Mac 3Q 2024 Form 10-Q						93

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 14

Court dismissed all of the claims except those for breach of the implied covenant of good faith and fair dealing. The cases were consolidated for trial.

Court rulings limited the Plaintiffs’ damages theories to those based on the decline in Freddie Mac’s and Fannie Mae’s share value immediately after the Third Amendment. The Plaintiffs asserted losses based on the decline in value of Freddie Mac’s common and junior preferred stock from August 16 to August 17, 2012. During the trial in October and early November 2022, the Plaintiffs requested that the jury award $832 million plus pre-judgment interest as damages against Freddie Mac. The jury in that trial was not able to reach a unanimous verdict and on November 7, 2022 the judge declared a mistrial. The retrial started on July 24, 2023. On August 14, 2023, the jury returned a verdict against FHFA, Fannie Mae, and Freddie Mac awarding compensatory damages of $282 million to Freddie Mac junior preferred shareholders and $31 million to Freddie Mac common shareholders. The jury declined to award the Freddie Mac shareholders prejudgment interest. In 3Q 2023, we recorded a $313 million accrual in other expense on our condensed consolidated statements of income for the adverse judgment. On March 20, 2024, the District Court entered final judgment. On April 17, 2024, the defendants filed a motion requesting entry of judgment in their favor notwithstanding the jury verdict, which has been fully briefed.

Freddie Mac 3Q 2024 Form 10-Q						94

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Financial Statements			Notes to the Condensed Consolidated Financial Statements | Note 15

NOTE 15

Regulatory Capital

ERCF

The table below presents our capital metrics under the ERCF.

Table 15.1 - ERCF Available Capital and Capital Requirements

(In billions)												September 30, 2024						December 31, 2023
Adjusted total assets												$3,772						$3,775
Risk-weighted assets (standardized approach)												1,046						1,009
						September 30, 2024
						Amounts									Ratios
(Dollars in billions)						Available Capital (Deficit)			Minimum Capital Requirement			Capital Requirement (Including Buffer(1))			Available Capital (Deficit) Ratio(2)			Minimum Capital Requirement Ratio(2)			Capital Requirement Ratio(2) (Including Buffer(1))
Risk-based capital:
Total capital						($9)			$84			$84			(0.9)		%	8.0		%	8.0		%
CET1 capital						(35)			47			104			(3.4)			4.5			9.9
Tier 1 capital						(21)			63			120			(2.0)			6.0			11.4
Adjusted total capital						(21)			84			141			(2.0)			8.0			13.4
Leverage capital:
Core capital						(16)			94			94			(0.4)			2.5			2.5
Tier 1 capital						(21)			94			108			(0.6)			2.5			2.9
						December 31, 2023
						Amounts									Ratios
(Dollars in billions)						Available Capital (Deficit)			Minimum Capital Requirement			Capital Requirement (Including Buffer(1))			Available Capital (Deficit) Ratio(2)			Minimum Capital Requirement Ratio(2)			Capital Requirement Ratio(2) (Including Buffer(1))
Risk-based capital:
Total capital						($18)			$81			$81			(1.8)		%	8.0		%	8.0		%
CET1 capital						(43)			45			96			(4.3)			4.5			9.5
Tier 1 capital						(29)			60			111			(2.9)			6.0			11.0
Adjusted total capital						(29)			81			132			(2.9)			8.0			13.0
Leverage capital:
Core capital						(25)			95			95			(0.7)			2.5			2.5
Tier 1 capital						(29)			95			106			(0.8)			2.5			2.8

(1)PCCBA for risk-based capital and PLBA for leverage capital.

(2)As a percentage of RWA for risk-based capital and ATA for leverage capital.

END OF CONDENSED CONSOLIDATED FINANCIAL STATEMENTS AND ACCOMPANYING NOTES

Freddie Mac 3Q 2024 Form 10-Q						95

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Other Information

Other Information

LEGAL PROCEEDINGS

We are involved, directly or indirectly, in a variety of legal proceedings arising from time to time in the ordinary course of business and in connection with the conservatorship and Purchase Agreement. See Note 14 for additional information regarding our involvement as a party to various legal proceedings, including those in connection with the conservatorship and Purchase Agreement.

Over the last several years, numerous lawsuits have been filed against the U.S. government and, in some cases, the Secretary of the Treasury and the Director of FHFA, challenging certain government actions related to the conservatorship (including actions taken in connection with the imposition of conservatorship) and the Purchase Agreement. Freddie Mac is not a party to all of these lawsuits. Several of the lawsuits seek to invalidate the net worth sweep dividend provisions of the senior preferred stock, which were implemented pursuant to the August 2012 amendment to the Purchase Agreement. Some of these cases also have challenged the constitutionality of the structure of FHFA. A number of cases have been dismissed (some of which have been appealed), and others remain pending.

These cases include one that was filed in the U.S. Court of Federal Claims as a derivative lawsuit, purportedly on behalf of Freddie Mac as a “nominal” defendant: Reid and Fisher vs. the United States of America and Federal Home Loan Mortgage Corporation. This case was filed on February 26, 2014. The complaint alleges, among other items, that the net worth sweep dividend provisions of the senior preferred stock constitute an unlawful taking of private property for public use without just compensation. The plaintiffs ask that Freddie Mac be awarded just compensation for the U.S. government's alleged taking of its property, attorneys' fees, costs, and other expenses. The Court dismissed the case with prejudice on September 1, 2023 and entered judgment for the defendants. On October 31, 2023, the plaintiffs filed a notice of appeal to the Federal Circuit.

Pursuant to the Purchase Agreement, in addition to satisfying other conditions, all currently pending material litigation related to our conservatorship and/or the Purchase Agreement must be resolved or settled and we must indemnify Treasury and the United States from and against any loss, cost, or damage of any kind arising out of our placement into conservatorship or the August 2012 amendment to the Purchase Agreement in order to exit from conservatorship.

RISK FACTORS

This Form 10-Q should be read together with the Risk Factors section in our 2023 Annual Report, which describes various risks and uncertainties to which we are or may become subject. These risks and uncertainties could, directly or indirectly, adversely affect our business, financial condition, results of operations, cash flows, strategies, and/or prospects.

UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

Recent Sales of Unregistered Securities

The securities we issue are "exempted securities" under the Securities Act of 1933, as amended. As a result, we do not file registration statements with the SEC with respect to offerings of our securities.

Following our entry into conservatorship, we suspended the operation of, and ceased making grants under, equity compensation plans. Previously, we had provided equity compensation under those plans to employees and members of the Board of Directors. Under the Purchase Agreement, we cannot issue any new options, rights to purchase, participations, or other equity interests without Treasury's prior approval.

Information About Certain Securities Issuances by Freddie Mac

We make available, free of charge through our website at www.freddiemac.com/investors, our annual reports on Form 10-K, quarterly reports on Form 10-Q, current reports on Form 8-K, and all other SEC reports and amendments to those reports as soon as reasonably practicable after we electronically file the material with the SEC. The SEC also maintains an internet site (www.sec.gov) that contains reports, proxy and information statements, and other information regarding companies that file electronically with the SEC.

We provide information on the ERCF on our website at www.freddiemac.com/investors.

Freddie Mac 3Q 2024 Form 10-Q						96

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Other Information

We provide disclosure about our debt securities on our website at www.freddiemac.com/debt. From this address, investors can access the offering circular and related supplements for debt securities offerings under Freddie Mac's global debt facility, including pricing supplements for individual issuances of debt securities. Similar information about our STACR transactions and SCR transactions is available at crt.freddiemac.com and mf.freddiemac.com/investors, respectively.

We provide disclosure about our mortgage-related securities, some of which are off-balance sheet obligations (e.g., K Certificates and SB Certificates), on our website at www.freddiemac.com/mbs and mf.freddiemac.com/investors. From these addresses, investors can access information and documents, including offering circulars and offering circular supplements, for mortgage-related securities offerings.

We provide additional information, including product descriptions, investor presentations, securities issuance calendars, transactions volumes and details, redemption notices, Freddie Mac research, and material developments or other events that may be important to investors, in each case as applicable, on the websites for our business activities, which can be found at sf.freddiemac.com, mf.freddiemac.com, and capitalmarkets.freddiemac.com/capital-markets.

We provide information on our sustainability efforts on our website at freddiemac.com/about/sustainability.

OTHER INFORMATION

Insider Trading Arrangements and Policies

No executive officer or director adopted or terminated any contract, instruction, or written plan for the purchase or sale of, or any other such trading arrangement for, our securities during 3Q 2024. For additional information on executive officer and director compensation and security ownership by our executive officers and directors, see Directors, Corporate Governance, and Executive Officers, Executive Compensation, and Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters in our 2023 Annual Report.

EXHIBITS

The exhibits are listed in the Exhibit Index of this Form 10-Q.

Freddie Mac 3Q 2024 Form 10-Q						97

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Controls and Procedures

Controls and Procedures

EVALUATION OF DISCLOSURE CONTROLS AND PROCEDURES

Disclosure controls and procedures include, without limitation, controls and procedures designed to ensure that the information we are required to disclose in reports that we file or submit under the Exchange Act is recorded, processed, summarized, and reported within the time periods specified by the SEC's rules and forms and that such information is accumulated and communicated to management of the company, including the company's CEO and Interim CFO, as appropriate, to allow timely decisions regarding required disclosure. In designing our disclosure controls and procedures, we recognize that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and we must apply judgment in implementing possible controls and procedures.

Management, including the company's CEO and Interim CFO, conducted an evaluation of the effectiveness of our disclosure controls and procedures as of September 30, 2024. As a result of management's evaluation, our CEO and Interim CFO concluded that our disclosure controls and procedures were not effective as of September 30, 2024, at a reasonable level of assurance, because we have not been able to update our disclosure controls and procedures to provide reasonable assurance that information known by FHFA on an ongoing basis is communicated from FHFA to Freddie Mac's management in a manner that allows for timely decisions regarding our required disclosure under the federal securities laws. We consider this situation to be a material weakness in our internal control over financial reporting.

CHANGES IN INTERNAL CONTROL OVER FINANCIAL REPORTING DURING 3Q 2024

We evaluated the changes in our internal control over financial reporting that occurred during 3Q 2024 and concluded that there were no changes that materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

MITIGATING ACTIONS RELATED TO THE MATERIAL WEAKNESS IN INTERNAL CONTROL OVER FINANCIAL REPORTING

As described above under Evaluation of Disclosure Controls and Procedures, we have one material weakness in internal control over financial reporting as of September 30, 2024 that we have not remediated.

Given the structural nature of this material weakness, we believe it is likely that we will not remediate it while we are under conservatorship. However, both we and FHFA have continued to engage in activities and employ procedures and practices intended to permit accumulation and communication to management of information needed to meet our disclosure obligations under the federal securities laws. These include the following:

n    FHFA has established the Division of Conservatorship Oversight and Readiness, which is intended to facilitate operation of the company with the oversight of the Conservator.

n    We provide drafts of our SEC filings to FHFA personnel for their review and comment prior to filing. We also provide drafts of certain external press releases and statements to FHFA personnel for their review and comment prior to release.

n    FHFA personnel, including senior officials, review our SEC filings prior to filing, including this Form 10-Q, and engage in discussions with us regarding issues associated with the information contained in those filings. Prior to filing this Form 10-Q, FHFA provided us with a written acknowledgment that it had reviewed the Form 10-Q, was not aware of any material misstatements or omissions in the Form 10-Q, and had no objection to our filing the Form 10-Q.

n    Our senior management meets regularly with senior leadership at FHFA, including, but not limited to, the Director.

n    FHFA representatives attend meetings frequently with various groups within the company to enhance the flow of information and to provide oversight on a variety of matters, including accounting, credit and capital markets management, external communications, and legal matters.

n    Senior officials within FHFA's accounting group meet frequently with our senior financial executives regarding our accounting policies, practices, and procedures.

Although we and FHFA have attempted to design and implement disclosure policies and procedures to account for the conservatorship and accomplish the same objectives as disclosure controls and procedures for a typical reporting company, there are inherent structural limitations on our ability to design, implement, test, or operate effective disclosure controls and procedures under the circumstances of conservatorship. Despite our material weakness, we believe that our condensed consolidated financial statements for 3Q 2024 have been prepared in conformity with GAAP.

Freddie Mac 3Q 2024 Form 10-Q						98

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Exhibit Index

Exhibit Index

Exhibit			Description*
10.1			Memorandum Agreement, dated August 7, 2024, between Freddie Mac and Diana Reid
10.2			Restrictive Covenant and Confidentiality Agreement, dated August 24, 2024, between Freddie Mac and Diana Reid
31.1			Certification of Chief Executive Officer pursuant to Securities Exchange Act Rule 13a-14(a)
31.2			Certification of Interim Chief Financial Officer pursuant to Securities Exchange Act Rule 13a-14(a)
32.1			Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350
32.2			Certification of Interim Chief Financial Officer pursuant to 18 U.S.C. Section 1350
101.INS			XBRL Instance Document - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document
101.SCH			XBRL Taxonomy Extension Schema
101. CAL			XBRL Taxonomy Extension Calculation
101.DEF			XBRL Taxonomy Extension Definition
101.LAB			XBRL Taxonomy Label
101. PRE			XBRL Taxonomy Extension Presentation
104			Cover Page Interactive Data File - the cover page interactive data file does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document
*			The SEC file numbers for the Registrant's Registration Statement on Form 10, Annual Reports on Form 10-K, Quarterly Reports on Form 10-Q, and Current Reports on Form 8-K are 000-53330 and 001-34139.

Freddie Mac 3Q 2024 Form 10-Q						99

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Signatures

Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

Federal Home Loan Mortgage Corporation
By:						/s/ Diana W. Reid
						Diana W. Reid
						Chief Executive Officer
						(Principal Executive Officer)

Date: October 30, 2024

 

By:						/s/ James Whitlinger
						James Whitlinger
						Interim Chief Financial Officer
						(Principal Financial Officer)

Date: October 30, 2024

 

Freddie Mac 3Q 2024 Form 10-Q						100

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Form 10-Q Index

Form 10-Q Index

Item Number						Page(s)
PART I			FINANCIAL INFORMATION
Item 1.			Financial Statements			47 - 95
Item 2.			Management's Discussion and Analysis of Financial Condition and Results of Operations			1 - 46
Item 3.			Quantitative and Qualitative Disclosures About Market Risk			31 - 33
Item 4.			Controls and Procedures			98
PART II			OTHER INFORMATION
Item 1.			Legal Proceedings			96
Item 1A.			Risk Factors			96
Item 2.			Unregistered Sales of Equity Securities and Use of Proceeds			96 - 97
Item 5.			Other Information			97
Item 6.			Exhibits			97
Exhibit Index						99
Signatures						100

Freddie Mac 3Q 2024 Form 10-Q						101