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1、 UNITED STATES SECURITIES AND EXCHANGE COMMISSIONWashington,D.C.20549FORM10-K ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d)OF THE SECURITIES EXCHANGE ACT OF 1934 For the fiscal year ended December 31,2023 or TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)OF THE SECURITIES EXCHANGE ACT OF 1934For t

2、he transition period from to Commission File Number:001-34139 Federal Home Loan Mortgage Corporation(Exact name of registrant as specified in its charter)Federallychartered52-09048748200JonesBranchDrive22102-3110(703)903-2000corporationMcLean,Virginia(Stateorotherjurisdictionof incorporationororgani

3、zation)(I.R.S.EmployerIdentificationNo.)(Address of principal executive offices)(Zip Code)(Registrantstelephonenumber,including area code)Securities registered pursuant to Section12(b)of the Act:Title of each classTrading Symbol(s)Name of each exchange on which registeredNoneN/AN/ASecurities registe

4、red pursuant to Section12(g)of the Act:Voting Common Stock,no par value per share(OTCQB:FMCC)Variable Rate,Non-Cumulative Preferred Stock,par value$1.00 per share(OTCQB:FMCCI)5%Non-Cumulative Preferred Stock,par value$1.00 per share(OTCQB:FMCKK)Variable Rate,Non-Cumulative Preferred Stock,par value$

5、1.00 per share(OTCQB:FMCCG)5.1%Non-Cumulative Preferred Stock,par value$1.00 per share(OTCQB:FMCCH)5.79%Non-Cumulative Preferred Stock,par value$1.00 per share(OTCQB:FMCCK)Variable Rate,Non-Cumulative Preferred Stock,par value$1.00 per share(OTCQB:FMCCL)Variable Rate,Non-Cumulative Preferred Stock,p

6、ar value$1.00 per share(OTCQB:FMCCM)Variable Rate,Non-Cumulative Preferred Stock,par value$1.00 per share(OTCQB:FMCCN)5.81%Non-Cumulative Preferred Stock,par value$1.00 per share(OTCQB:FMCCO)6%Non-Cumulative Preferred Stock,par value$1.00 per share(OTCQB:FMCCP)Variable Rate,Non-Cumulative Preferred

7、Stock,par value$1.00 per share(OTCQB:FMCCJ)5.7%Non-Cumulative Preferred Stock,par value$1.00 per share(OTCQB:FMCKP)Variable Rate,Non-Cumulative Perpetual Preferred Stock,par value$1.00 per share(OTCQB:FMCCS)6.42%Non-Cumulative Perpetual Preferred Stock,par value$1.00 per share(OTCQB:FMCCT)5.9%Non-Cu

8、mulative Perpetual Preferred Stock,par value$1.00 per share(OTCQB:FMCKO)5.57%Non-Cumulative Perpetual Preferred Stock,par value$1.00 per share(OTCQB:FMCKM)5.66%Non-Cumulative Perpetual Preferred Stock,par value$1.00 per share(OTCQB:FMCKN)6.02%Non-Cumulative Perpetual Preferred Stock,par value$1.00 p

9、er share(OTCQB:FMCKL)6.55%Non-Cumulative Perpetual Preferred Stock,par value$1.00 per share(OTCQB:FMCKI)Fixed-to-Floating Rate Non-Cumulative Perpetual Preferred Stock,par value$1.00 per share(OTCQB:FMCKJ)Indicate by check mark if the registrant is a well-known seasoned issuer,as defined in Rule405

10、of the Securities Act.Yes NoIndicate by check mark if the registrant is not required to file reports pursuant to Section13 or Section15(d)of the Act.YesNoIndicate by check mark whether the registrant:(1)has filed all reports required to be filed by Section13 or 15(d)of the Securities Exchange Act of

11、 1934 during the preceding 12months(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 90days.Yes NoIndicate by check mark whether the registrant has submitted electronically every Interactive Data File re

12、quired to be submitted pursuant to Rule405 of RegulationS-T(232.405 of this chapter)during the preceding 12months(or for such shorter period that the registrant was required to submit such files).Yes NoIndicate by check mark whether the registrant is a large accelerated filer,an accelerated filer,a

13、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 Rule12b-2 of the Exchange Act.Large accelerated filerAccelerated filerEmerging growth company Non-

14、acceleratedfilerSmallerreportingcompanyIf 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 c

15、heck mark whether the registrant has filed a report on and attestation to its managements assessment of the effectiveness of internal control over financial reporting under Section 404(b)of the Sarbanes-Oxley Act(15 U.S.C.7262(b)by the registered public accounting firm that prepared or issued its au

16、dit report.If securities are registered pursuant to Section 12(b)of the Act,indicate by check mark whether the financial statements of the registrant included in the filing reflect the correction of an error to previously issued financial statements.Indicate by check mark whether any of those error

17、corrections are restatements that required a recovery analysis of incentive-based compensation received by any of the registrants executive officers during the relevant recovery period pursuant to 240.10D-1(b).Indicate by check mark whether the registrant is a shell company(as defined in Rule12b-2 o

18、f the Exchange Act).Yes No The aggregate market value of the common stock held by non-affiliates computed by reference to the price at which the common stock was last sold on June30,2023(the last business day of the registrants most recently completed second fiscal quarter)was$0.3billion.As of Janua

19、ry 31,2024,there were 650,059,553 shares of the registrants common stock outstanding.DOCUMENTS INCORPORATED BY REFERENCE:NoneTable of ContentsINTRODUCTION1nAbout Freddie Mac1nOur Business6n Forward-Looking Statements11MANAGEMENTS DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIO

20、NS13n Housing and Mortgage Market Conditions13n Consolidated Results of Operations15n Consolidated Balance Sheets Analysis21n Our Portfolios22n Our Business Segments24n Risk Management49lCredit Risk52lMarket Risk79lOperational Risk84n Liquidity and Capital Resources89n Conservatorship and Related Ma

21、tters101n Regulation and Supervision104n Critical Accounting Estimates111RISK FACTORS112LEGAL PROCEEDINGS131MARKET FOR REGISTRANTS COMMON EQUITY,RELATED STOCKHOLDER MATTERS,AND ISSUER PURCHASES OF EQUITY SECURITIES132FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA133n Report of Independent Registered Pu

22、blic Accounting Firm(PCAOB ID 238)134n Consolidated Financial Statements136CONTROLS AND PROCEDURES217OTHER INFORMATION219DIRECTORS,CORPORATE GOVERNANCE,AND EXECUTIVE OFFICERS220n Directors220n Corporate Governance228n Executive Officers239EXECUTIVE COMPENSATION242n Compensation Discussion and Analys

23、is242n Compensation and Risk257n CEO Pay Ratio258n 2023 Compensation Information for NEOs259SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS265CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS267PRINCIPAL ACCOUNTING FEES AND SERVICES269EXHIBITS AND FINANCIA

24、L STATEMENT SCHEDULES271GLOSSARY272EXHIBIT INDEX280SIGNATURES286FORM 10-K INDEX288Table of ContentsFREDDIE MAC|2023 Form 10-KiMD&A TABLE INDEX1Summary of Consolidated Statements of Income and Comprehensive Income152Components of Net Interest Income 153Analysis of Net Interest Yield 174Net Interest I

25、ncome Rate/Volume Analysis185Components of Non-Interest Income196(Provision)Benefit for Credit Losses197Components of Non-Interest Expense208Summarized Consolidated Balance Sheets219Mortgage Portfolio2210Mortgage-Related Investments Portfolio2311Other Investments Portfolio2312Single-Family Segment F

26、inancial Results3913Multifamily Segment Financial Results4814Allowance for Credit Losses Activity5315Allowance for Credit Losses Ratios5316Principal Amounts Due for Held-for-Investment Loans5417Single-Family New Business Activity5718Single-Family Mortgage Portfolio Newly Acquired Credit Enhancements

27、5819Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding5920Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio5921Credit Enhancement Coverage by Year of Origination6022Single-Family Mortgage Portfolio Without Credit

28、 Enhancement6023Credit Quality Characteristics of Our Single-Family Mortgage Portfolio6224Characteristics of the Loans in Our Single-Family Mortgage Portfolio6325Single-Family Mortgage Portfolio Attribute Combinations6426Seriously Delinquent Single-Family Loans6527Single-Family Relief Refinance Loan

29、s6628Single-Family Completed Loan Workout Activity6629Credit Characteristics of Single-Family Modified Loans6630Payment Performance of Single-Family Modified Loans6631Single-Family REO Activity6732Single-Family Collateral Deficiency Ratios6733Percentage of Multifamily New Business Activity With High

30、er Risk Characteristics6934Multifamily Mortgage Portfolio CRT Issuance7035Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio7036Level of Subordination Outstanding7137Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement71 38Single-Fa

31、mily Mortgage Purchases from Non-Depository Sellers7439Single-Family Mortgage Portfolio Non-Depository Servicers7440Single-Family Primary Mortgage Insurers7641Single-Family ACIS Counterparties7642Derivative Counterparty Credit Exposure7743PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve81

32、44Duration Gap and PVS Results81Table DescriptionPageTable of ContentsMD&A Table IndexFREDDIE MAC|2023 Form 10-Kii45PVS-L Results Before Derivatives and After Derivatives8146Earnings Sensitivity to Changes in Interest Rates83 47Liquidity Sources9048Funding Sources9149Debt of Freddie Mac Activity9250

33、Maturity and Redemption Dates9351Debt of Consolidated Trusts Activity9352Freddie Mac Credit Ratings94 53Net Worth Activity9654Regulatory Capital Components9855Statutory Capital Components9856Capital Metrics Under ERCF99572022 and 2021 Affordable Housing Goals Results107582022-2024 Single-Family Affo

34、rdable Housing Goal Benchmark Levels108592023-2024 Multifamily Affordable Housing Goal Benchmark Levels10860Forecasted House Price Growth Rates11161Board Compensation Levels23762Director Compensation238632023 Target TDC245642023 Deferred Salary25065CEO Pay Ratio25866Compensation Summary25967Grants o

35、f Plan-Based Awards26068SERP Benefit26169Compensation and Benefits if NEO Terminated Employment as of December 31,202326370Stock Ownership by Directors and Executive Officers26571Stock Ownership by Greater-Than 5%Holders26672Auditor Fees269Table DescriptionPageTable of ContentsMD&A Table IndexFREDDI

36、E MAC|2023 Form 10-KiiiIntroductionThis Annual Report on Form 10-K 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-K.We undertake no obligat

37、ion to update any forward-looking statement to reflect events or circumstances after the date of this Form 10-K.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 Forward-Looking St

38、atements and Risk Factors sections of this Form 10-K.Throughout this Form 10-K,we use certain acronyms and terms that are defined in the Glossary.ABOUT FREDDIE MACFreddie Mac is a GSE chartered by Congress in 1970,with a mission to provide liquidity,stability,and affordability to the U.S.housing mar

39、ket.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 th

40、ird-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 and mortgage-related securities.We do not originate mo

41、rtgage loans or lend money directly to mortgage borrowers.We support the U.S.housing market and the overall economy by enabling Americas families to access mortgage loan funding with better terms and by providing consistent liquidity to the single-family and multifamily mortgage markets.We have help

42、ed many distressed borrowers keep their homes or avoid foreclosure and have helped many distressed renters avoid eviction.Business ResultsConsolidated Financial ResultsNet Revenues and Net Income(In billions)$22.0$21.3$21.2$12.1$9.3$10.5Net RevenuesNet Income202120222023Net Worth as of December 31,(

43、In billions)$28.0$37.0$47.7202120222023Key Drivers:n 2023 vs.2022 lNet income was$10.5 billion,an increase of 13%year-over-year,primarily driven by a credit reserve release in Single-Family in 2023 compared to a credit reserve build in Single-Family in 2022,partially offset by higher non-interest ex

44、pense.l Net revenues were$21.2 billion,down slightly year-over-year,as higher net interest income was offset by lower non-interest income.IntroductionAbout Freddie MacFREDDIE MAC|2023 Form 10-K1lNet worth was$47.7 billion as of December 31,2023,up from$37.0 billion as of December 31,2022.n 2022 vs.2

45、021lNet income was$9.3billion,a decrease of 23%year-over-year,primarily driven by a credit reserve build in Single-Family.l Net revenues were$21.3 billion,down 3%year-over-year,as higher net interest income in Single-Family was offset by a decline in non-interest income in Multifamily.lNet worth was

46、$37.0 billion as of December 31,2022,up from$28.0 billion as of December 31,2021.Market LiquidityMarket Liquidity(In thousands)4,8912,4961,4021,3781,0398062,858764149655693447Single-Family purchase borrowersSingle-Family refinance borrowersMultifamily rental units202120222023We support the U.S.housi

47、ng 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$348 billion in liquidity to the mortgage market in 2023,which enabled the financing of 1.4 million home purchases,ref

48、inancings,and rental units.IntroductionAbout Freddie MacFREDDIE MAC|2023 Form 10-K2Portfolio BalancesMortgage Portfolio as of December 31,(UPB in billions)$3,207$3,415$3,480$2,792$2,986$3,039$415$429$441Single-Family mortgage portfolioMultifamily mortgage portfolio202120222023Key Drivers:n 2023 vs.2

49、022l Our mortgage portfolio increased 2%year-over-year to$3.5 trillion at December 31,2023.Our Single-Family mortgage portfolio was$3.0 trillion at December 31,2023,up 2%year-over-year,as portfolio growth moderated in 2023 due to the slowdown in new business activity as both home purchase and refina

50、nce activity were adversely affected by higher mortgage interest rates.Our Multifamily mortgage portfolio was$441 billion at December 31,2023,up 3%year-over-year,as portfolio growth moderated in 2023 due to the slowdown in new business activity driven by higher mortgage interest rates.n 2022 vs.2021

51、lOur mortgage portfolio increased 6%year-over-year to$3.4 trillion at December 31,2022.Our Single-Family mortgage portfolio was$3.0 trillion at December 31,2022,up 7%year-over-year,primarily driven by an increase in average portfolio loan size and a higher share of single-family mortgage debt outsta

52、nding.The increase in the average portfolio loan size was driven by house price appreciation in 2022,which contributed to new business acquisitions having a larger loan size compared to older vintages that continued to run off.Our Multifamily mortgage portfolio was$429 billion at December 31,2022,up

53、 3%year-over-year,primarily driven by new business activity,partially offset by increased borrower payoff activity driven by market conditions.IntroductionAbout Freddie MacFREDDIE MAC|2023 Form 10-K3Credit Enhancement CoverageSingle-Family Mortgage Portfolio with Credit Enhancement as of December 31

54、,(UPB in billions)$1,491$1,832$1,86053%61%61%UPBPercentage202120222023Multifamily Mortgage Portfolio with Credit Enhancement as of December 31,(UPB in billions)$389$398$41594%93%94%UPBPercentage202120222023In addition to transferring interest-rate and liquidity risk to third-party investors through

55、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 December 31,2023,we had

56、credit enhancement coverage of 61%on our Single-Family mortgage portfolio and 94%on our Multifamily mortgage portfolio.See MD&A-Our Business Segments and MD&A-Risk Management-Credit Risk for additional information on our credit enhancements.Conservatorship and Government Support for Our BusinessSinc

57、e 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 termi

58、nation 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 pr

59、eferred stock and a warrant to purchase common stock in consideration for Treasurys commitment to provide funding to us.The 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 belie

60、ve that the support provided by Treasury pursuant to the Purchase Agreement currently enables us to have adequate liquidity to conduct normal business activities.The Purchase Agreement with Treasury significantly affects our business activities,including by limiting:our secondary market activities;o

61、ur single-family and multifamily loan acquisitions;the amount of indebtedness we can incur;the size of our mortgage-related investments portfolio;and our ability to pay dividends,transfer certain assets,raise capital,pay down the liquidation preference of the senior preferred stock,and exit conserva

62、torship.Treasury,as the holder of the senior preferred stock,is entitled to receive cumulative quarterly cash dividends,when,as,and if declared by the Board of Directors.The dividends we have paid to Treasury on the senior preferred stock have been declared by,and paid at the direction of,the Conser

63、vator,acting as successor to the rights,titles,powers,and privileges of the Board of Directors.Pursuant to the Purchase Agreement,Freddie Mac will not be required to pay a dividend to Treasury on the senior preferred stock until it has built sufficient net worth to meet the capital requirements and

64、buffers set forth in the ERCF.As the company IntroductionAbout Freddie MacFREDDIE MAC|2023 Form 10-K4builds capital during this period,increases in our Net Worth Amount have been,or will be,added to the aggregate liquidation preference of the senior preferred stock.After we have maintained the level

65、 of capital prescribed in the Purchase Agreement for the requisite time,we will be subject to a new periodic cash dividend requirement,as well as a periodic commitment fee to be agreed upon with Treasury in consultation with the Chairman of the Federal Reserve.See MD&A-Regulation and Supervision and

66、 Note 2 for additional information on the Purchase Agreement,senior preferred stock,and warrant and Risk Factors-Conservatorship and Related Matters for related risks.The graphs below show our net worth,the liquidation preference of the senior preferred stock,the remaining amount of Treasurys fundin

67、g commitment to us,the cumulative senior preferred stock dividends we have paid to Treasury,and the cumulative funds we have drawn from Treasury pursuant to its funding commitment.Net Worth,Liquidation Preference,and Treasury Funding Commitment(In billions)$47.7$117.3$140.2Net worthSenior preferred

68、stock liquidation preferenceRemaining Treasury funding commitmentAs of December 31,2023Draws and Dividend Payments(In billions)$71.6$119.7Cumulative draws from TreasuryCumulative dividend payments to TreasuryAs of December 31,2023IntroductionAbout Freddie MacFREDDIE MAC|2023 Form 10-K5OUR BUSINESSPr

69、imary Business StrategiesFreddie Macs overall strategic direction is established by management and affirmed by the Board of Directors and FHFA through the approval of our Strategic Framework,which sets forth our strategic priorities and generally covers a three-year timeframe.FHFA,the Administration

70、,or Congress could take actions that cause us to alter our Strategic Framework.FHFA,as Conservator,has influenced,and may in the future influence,our strategic direction,such as through our new initiatives,credit and pricing policies,and capital,liquidity,and risk appetite constraints.Our Charter an

71、d MissionWe are a GSE with a specific and limited corporate purpose to support the liquidity,stability,and affordability of the U.S.housing market as a participant in the secondary mortgage market,while operating as a commercial enterprise earning an appropriate return.All actions we take must be co

72、nducted within the constraints of our Charter.As a result,our Charter forms the framework for our business activities.Pursuant to our Charter,our role in the secondary mortgage market is to:n Provide stability in the secondary mortgage market for residential loans;n Respond appropriately to the priv

73、ate capital market;n Provide ongoing assistance to the secondary mortgage market for residential loans(including activities relating to loans for low-and moderate-income families involving a reasonable economic return that may be less than the return earned on other activities)by increasing the liqu

74、idity of mortgage investments and improving the distribution of investment capital available for residential mortgage financing;andn Promote access to mortgage loan credit throughout the United States(including central cities,rural areas,and other underserved areas)by increasing the liquidity of mor

75、tgage investments and improving the distribution of investment capital available for residential mortgage financing.Our Charter requires certain specified credit protections,which include mortgage insurance from a qualified insurer on the portion of the UPB of the loan that exceeds an 80%LTV ratio,a

76、 sellers agreement to repurchase or replace a defaulted loan,or the retention by the seller of at least a 10%participation interest in the loan for the purchase of first-lien single-family loans with LTV ratios at the time of purchase of greater than 80%.This Charter requirement does not apply to mu

77、ltifamily loans or to loans that have the benefit of any guarantee,insurance,or other obligation by the U.S.or any of its agencies or instrumentalities(e.g.,the FHA,VA,or USDA Rural Development).Our Charter does not permit us to originate mortgage loans or lend money directly to mortgage borrowers i

78、n the primary mortgage market.Our Charter limits our purchase of single-family loans to the conforming loan market,which consists of loans originated with UPBs at or below limits determined annually based on changes in FHFAs housing price index.In most of the U.S.,the maximum conforming loan limit f

79、or a one-family residence has been set at$766,550 for 2024,an increase from$726,200 for 2023,$647,200 in 2022,and$548,250 for 2021.Higher limits have been established in certain high-cost areas(for 2024,up to$1,149,825 for a one-family residence).Higher limits also apply to two-to four-family reside

80、nces and to one-to four-family residences in Alaska,Guam,Hawaii,and the U.S.Virgin Islands.IntroductionOur BusinessFREDDIE MAC|2023 Form 10-K6Our Strategic PrioritiesWe have four strategic priorities,each of which was created to ensure we fully serve our mission:n Deliver on affordable housing;n Ide

81、ntify,assess,and manage our risks;n Grow,develop,and empower talent for today and tomorrow;andn Build financial strength to serve our mission.These strategic priorities help us create a more liquid,stable,affordable,and equitable housing finance system that serves lenders,families,and the housing ma

82、rket as a whole.And,as with any mission-driven company,our people are at the center of all we do.IntroductionOur BusinessFREDDIE MAC|2023 Form 10-K7Human Capital ManagementAttracting,Developing,and Retaining TalentOur employees are integral to our companys success.Our goal is to sustain an inclusive

83、 and equitable culture with a highly engaged,diverse workforce so that we can support the U.S.housing industry and make home possible.We strive to be an employer of choice that attracts and retains top talent through our commitment to DEI,employee well-being and engagement,training,and other profess

84、ional development opportunities.We are committed to promoting DEI in our organization and business practices.We strive to create a culture where people feel comfortable being their authentic selves in the workplace.We do this through various programs,such as our 10 Business Resource Groups,which pro

85、vide all employees a place to find community and targeted professional development opportunities.We encourage employees to volunteer and engage in community outreach in the neighborhoods where they work and live through our Community Crew program,which focuses on mission-related activities and our S

86、ERVE program which provides our employees with additional volunteer opportunities with local organizations.We aim to support our employees overall well-being and enable them to perform at their best.Our wide variety of benefits provide employees with flexibility to manage their lives at home and wor

87、k.We also offer a variety of ways to help our employees plan for their financial well-being.In 2023,we enhanced our vacation and first-time homebuyer benefits,introduced caregiver leave,added more flexibility for hybrid employees,and enhanced our benefits for LGBTQ+employees.In 2024,we are expanding

88、 our caregiving and bereavement leave and introducing new bereavement support services.We encourage and support professional development to help our employees stay engaged,confident,and credible.Our professional development opportunities include in-person and virtual courses on various topics,such a

89、s leadership,business,communications,and technology skill development;our educational assistance program;our student debt repayment program;and our rewards programs for employees to recognize and celebrate their colleagues achievements.We also strive to implement competitive compensation programs an

90、d practices within the constraints of the conservatorship.We evaluate the success of our human capital management by measuring and monitoring the performance,development,and retention of our employees.EmployeesAt January 31,2024,we had 8,004 full-time and 31part-time employees.Our employee populatio

91、n increased in 2023 and our voluntary turnover rate decreased and returned to pre-COVID-19 levels,which is below financial industry benchmarks for voluntary turnover and is more consistent with historical experience.Our headquarters are in McLean,Virginia,and the majority of our employees reside in

92、the Washington,D.C.metropolitan area.Board and FHFA OversightWe engage with the CHC Committee by providing workforce insights that support their oversight of compensation and benefits,DEI,talent development and strategies to strengthen our culture.Although the CHC Committee plays a significant role

93、in these matters,FHFA is actively involved in its role as both our conservator and regulator.For additional information,see Directors,Corporate Governance,and Executive Officers-Corporate Governance-Board of Directors and Board Committee Information-Authority of the Board of Directors and Board Comm

94、ittees.DEIWe believe a strong commitment to DEI creates a stronger Freddie Mac that is better positioned to serve our mission effectively and advance equity in the housing industry.The DEI Division promotes DEI in all aspects of our business and at every level of the organization.Freddie Mac has a t

95、hree-year Board-approved DEI strategic plan that establishes our efforts into focus areas that are organized into four components:workforce diversity,supplier diversity,financial transactions,and engagement and outreach.Each focus area has associated goals that are tracked and shared with FHFA,our B

96、oard of Directors,our senior operating committee,and our people.For workforce diversity,we attract a pipeline of diverse candidates by partnering with Hispanic Serving Institutions,Historically Black Colleges and Universities,and other talent organizations.We also provide access to professional deve

97、lopment and learning opportunities,formal training programs,mentoring initiatives,and other DEI-related programming.Our DEI efforts are reflected in the composition of our workforce,leadership,and Board of Directors.For example,we are a majority-minority company,which means more than 50%of our workf

98、orce identifies as racially or ethnically diverse,and 40%of our senior operating committee identifies as racially or ethnically diverse.For information on the composition of our Board of Directors,see Directors,Corporate Governance,and Executive Officers Directors Director Criteria,Diversity,Qualifi

99、cations,Experience,and Tenure.IntroductionOur BusinessFREDDIE MAC|2023 Form 10-K8Our efforts for supplier diversity include:nInvolving diverse suppliers in our competitive bidding process andnEstablishing a program to understand how our primary suppliers use diverse suppliers.Our efforts for financi

100、al transactions involve:nEngaging minority-,women-,and disabled-owned businesses(MWDOBs)in our capital market transactions andnProviding training,access,and opportunities to better position MWDOBs for future opportunities with our company,including our Single-Family and Multifamily businesses.Our ef

101、forts for engagement and outreach include:nCreating sustainable impact within the Freddie Mac community through our 10 Business Resource Groups and in local communities through Community Crew,our employee volunteerism and matching gifts program.Business SegmentsWe have two reportable segments:Single

102、-Family and Multifamily.For additional information on our segments,see MD&A-Our Business Segments and Note14.PropertiesOur principal offices consist of four office buildings we own in McLean,Virginia,comprising approximately 1.3 million square feet.We operate our business in the United Statesand its

103、 territories,and accordingly,we generate no revenue from and have no long-lived assets,other than financial instruments,in geographic locations other than the United Statesand its territories.Government Regulation and SupervisionOur business is subject to extensive laws,regulations,and supervision.T

104、he laws and regulations to which we are subject cover all key aspects of our business,and directly and indirectly impact the key drivers of our results including,for example,our product offerings,guarantee fees,pricing,competitive position and strategic priorities,relationship with sellers and servi

105、cers,capital structure,cash needs and uses,liquidity,privacy for borrowers and others,risk management,cybersecurity,and costs of compliance.Failure to comply with our legal and regulatory requirements could result in litigation,investigations,enforcement actions,fines,monetary and other penalties,an

106、d harm to our reputation.Our business and results of operations may also be directly and adversely affected by future legislative,regulatory,or judicial actions.Such actions could affect us in a number of ways,including by imposing significant additional legal,compliance,and other costs on us and li

107、miting our business activities.For example,changes to our capital requirements have affected our business and risk management strategies,including our risk appetite,our risk-adjusted returns,and the impact of our CRT transactions on our capital needs,and have increased the amount of capital we will

108、be required to retain or raise to exit from conservatorship.In addition,our conservatorship and related matters significantly affect our management,business activities,financial condition,and results of operations.We are under the control of FHFA,as our Conservator,and are not managed to maximize st

109、ockholder returns.FHFA determines our strategic direction.We face a variety of different,and sometimes competing,business objectives and FHFA-mandated activities.FHFA has required us to make changes to our business that have adversely affected our financial results and could require us to make addit

110、ional changes at any time.FHFA may require us to undertake activities that reduce our profitability,expose us to additional credit,market,funding,operational,legal,and other risks,or provide additional support for the mortgage market that serves our mission but adversely affects our financial result

111、s.Further,we can be put into receivership at the discretion of the Director of FHFA at any time for a number of reasons set forth in the GSE Act.FHFA is also Conservator of Fannie Mae,our primary competitor.FHFAs actions,as Conservator of both companies,could affect competition between us.It is also

112、 possible that FHFA could require us and Fannie Mae to take a uniform approach to certain activities,limiting innovation and competition,and possibly putting us at a competitive disadvantage because of differences in our respective businesses.FHFA also could limit our ability to compete with new ent

113、rants and other institutions.For additional information on conservatorship and related risks,see Introduction About Freddie Mac Conservatorship and Government Support for Our Business and Risk Factors Conservatorship and Related Matters.For additional information on government regulation and supervi

114、sion and related risks,see MD&A-Regulation and Supervision and Risk Factors-Legal and Compliance Risks.IntroductionOur BusinessFREDDIE MAC|2023 Form 10-K9Available InformationWe file reports and other information with the SEC.In view of the Conservators succession to all of the voting power of our s

115、tockholders,we have not prepared or provided proxy statements for the solicitation of proxies from stockholders since we entered into conservatorship,and do not expect to do so while we remain in conservatorship.Pursuant to SEC rules,our annual reports on Form 10-K contain certain information typica

116、lly provided in an annual proxy statement.We make available,free of charge through our website at annual reports on Form10-K,quarterly reports on Form10-Q,current reports on Form8-K,and all other SEC reports and amendments to those reports as soon as reasonably practicable after we electronically fi

117、le the material with the SEC.The SEC also maintains a website(www.sec.gov)that contains reports,proxy and information statements,and other information regarding companies that file electronically with the SEC.We are providing our website addresses and the website address of the SEC here and elsewher

118、e in this Form 10-K solely for your information.Information appearing on our website or on the SECs website is not incorporated into this Form 10-K.We provide information on the ERCF on our website at provide disclosure about our debt securities on our website at this address,investors can access th

119、e offering circular and related supplements for debt securities offerings under Freddie Macs global debt facility,including pricing supplements for individual issuances of debt securities.Similar information about our STACR transactions and SCR transactions is available at and provide disclosure abo

120、ut our mortgage-related securities,some of which are off-balance sheet obligations(e.g.,K Certificates),on our website at and these addresses,investors can access information and documents,including offering circulars and offering circular supplements,for mortgage-related securities offerings.We pro

121、vide additional information,including product descriptions,investor presentations,securities issuance calendars,transaction 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 websi

122、tes for our business divisions,which can be found at ,and provide information on our sustainability efforts on our website at BusinessFREDDIE MAC|2023 Form 10-K10FORWARD-LOOKING STATEMENTSWe regularly communicate information concerning our business activities to investors,the news media,securities a

123、nalysts,and others as part of our normal operations.Some of these communications,including this Form10-K,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 t

124、he 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

125、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 there

126、to 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,expe

127、ct,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-loo

128、king statements due to various factors and uncertainties,including those described in the Risk Factors section of this Form 10-K and: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 action

129、s to promote equitable access to affordable and sustainable housing,such as programs to implement the expectations in FHFAs Conservatorship Scorecards,recent requirements and guidance related to equitable housing,and other objectives for us;n Changes in the fiscal and monetary policies of the Federa

130、l 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.

131、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

132、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 h

133、ouse 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 abil

134、ity 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 effecti

135、vely 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,

136、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 man

137、agement 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 securitizat

138、ion 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

139、,and manage risks;n Changes in investor demand for our debt or mortgage-related securities;n Our ability to maintain market acceptance of the UMBS,including our ability to maintain alignment of the prepayment speeds and pricing performance of our and Fannie Maes respective UMBS;IntroductionForward-L

140、ooking StatementsFREDDIE MAC|2023 Form 10-K11n Changes in the practices of loan originators,servicers,investors,and other participants in the secondary mortgage market;n Competition from other market participants,which could affect the pricing we offer for our products,the credit characteristics of

141、the loans we purchase,and our ability to meet our affordable housing goals and other mandated activities;n The adverse consequences on our business and operations that may occur from the discontinuance of LIBOR and the transition to SOFR as the replacement;n The availability of critical third partie

142、s,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

143、,or the offices of critical third parties are located,and for which we may be uninsured or significantly underinsured;andnOther factors and assumptions described in this Form10-K,including in the MD&A section.Forward-looking statements are made only as of the date of this Form 10-K,and we undertake

144、no obligation to update any forward-looking statements we make to reflect events or circumstances occurring after the date of this Form10-K.IntroductionForward-Looking StatementsFREDDIE MAC|2023 Form 10-K12Managements Discussion and Analysis of Financial Condition and Results of OperationsHOUSING AN

145、D MORTGAGE MARKET CONDITIONSThe 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

146、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 _ 6,0236,4626,8915,6714,7585,3405,6406,1205,0304,0906838227716416684.4%11.5%18.1%4.9%6.6%Sale

147、s of existing homes(units in thousands)Sales of new homes(units in thousands)Single-family house price growth rate20192020202120222023Sources:National Association of Realtors,U.S.Census Bureau,and Freddie Mac House Price Index(seasonally adjusted annual rate).U.S.Single-Family Mortgage Originations

148、_(UPB in billions)$2,325$4,100$4,440$2,325$1,3803.74%2.67%3.11%6.42%6.61%U.S.single-family originations30-year PMMS rate20192020202120222023Source:Inside Mortgage Finance.Single-Family Serious Delinquency Rates as of December 31,1.81%5.16%2.83%1.89%1.52%0.63%2.64%1.12%0.66%0.55%Total mortgage market

149、Freddie Mac20192020202120222023Source:National Delinquency Survey from the Mortgage Bankers Association.For 2023,the total mortgage market rate is as of September 30,2023(latest available information).Single-Family Mortgage Debt Outstanding(UPB in trillions)$2.0$2.3$2.8$3.0$3.0$11.2$11.7$12.8$13.6$1

150、3.9Freddie Mac Single-Family mortgage portfolioU.S.single-family mortgage debt outstanding20192020202120222023Source:Freddie Mac and Federal Reserve Financial Accounts of the United States of America.For 2023,the U.S.single-family mortgage debt outstanding balance is as of September 30,2023(latest a

151、vailable information).Managements Discussion and AnalysisHousing and Mortgage Market Conditions FREDDIE MAC|2023 Form 10-K13MultifamilyApartment Vacancy Rates and Change in Effective Rents 4.7%5.4%4.9%4.9%5.4%3.5%(2.7)%12.9%10.1%(1.7)%3.1%Apartment vacancy rates(as of December 31)Change in effective

152、 rents(for the year ended December 31)Annual long-term effective rent growth(2000-2023)20192020202120222023Source:Reis.Multifamily Property Price Growth Rate8.8%7.0%22.0%0.4%(8.4)%20192020202120222023Source:Real Capital Analytics Commercial Property Price Index(RCA CPPI).Multifamily Delinquency Rate

153、s as of December 31,0.08%0.16%0.08%0.12%0.28%0.91%1.95%1.41%0.84%0.57%0.11%0.27%0.25%0.17%0.29%Freddie Mac(60+day)Multifamily CMBS market(60+day)FDIC insured institutions(90+day)20192020202120222023Source:Freddie Mac,FDIC Quarterly Banking Profile,Intex Solutions,Inc.,and Wells Fargo Securities(Mult

154、ifamily CMBS conduit market,excluding REOs).For 2023,the delinquency rate for FDIC insured institutions is as of September 30,2023(latest available information).Multifamily Mortgage Debt Outstanding(UPB in billions)$341$388$415$429$441$1,622$1,755$1,910$2,075$2,164Freddie Mac Multifamily mortgage po

155、rtfolioU.S.multifamily mortgage debt outstanding20192020202120222023Source:Freddie Mac and Federal Reserve Financial Accounts of the United States of America.For 2023,the U.S.multifamily mortgage debt outstanding balance is as of September 30,2023(latest available information).Managements Discussion

156、 and AnalysisHousing and Mortgage Market ConditionsFREDDIE MAC|2023 Form 10-K14CONSOLIDATED RESULTS OF OPERATIONSThis discussion of our consolidated results of operations should be read in conjunction with our consolidated financial statements and accompanying notes.Our financial results and busines

157、s volumes could be negatively affected by adverse changes in the housing market or economic conditions,including volatility and stress within the banking sector and the measures governments and financial services companies take in response.Stress in U.S.regional banks and non-depository institutions

158、 could drive elevated counterparty credit risk and indirect risk due to financing or banking relationships that our counterparties have with the affected banking organizations.We could also experience declines in liquidity in the markets for our securities as a result of any such adverse changes or

159、regulatory responses to adverse changes.See Risk Factors for additional information.The table below compares our consolidated results of operations for the past three years.Table 1-Summary of Consolidated Statements of Income and Comprehensive IncomeYear Over Year ChangeYear Ended December 31,2023 v

160、s.20222022 vs.2021(Dollars in millions)202320222021$%$%Net interest income$18,542$18,005$17,580$537 3%$425 2%Non-interest income 2,687 3,259 4,371 (572)(18)(1,112)(25)Net revenues 21,229 21,264 21,951 (35)(687)(3)(Provision)benefit for credit losses 872 (1,841)1,041 2,713 147 (2,882)(277)Non-interes

161、t expense(8,902)(7,819)(7,793)(1,083)(14)(26)Income before income tax expense 13,199 11,604 15,199 1,595 14 (3,595)(24)Income tax expense(2,661)(2,277)(3,090)(384)(17)813 26 Net income 10,538 9,327 12,109 1,211 13 (2,782)(23)Other comprehensive income(loss),net of taxes and reclassification adjustme

162、nts 166 (342)(489)508 149 147 30 Comprehensive income$10,704$8,985$11,620$1,719 19%($2,635)(23)%See MD&A-Critical Accounting Estimates for information concerning certain significant accounting policies and estimates applied in determining our reported results of operations and Note 1 for a summary o

163、f our accounting policies and the related notes in which information about them can be found.Net RevenuesNet Interest IncomeNet interest income primarily consists of guarantee net interest income in Single-Family.We consolidate most of our Single-Family securitization trusts and,therefore,we recogni

164、ze the loans held by the trust and the debt securities issued by the trust on our consolidated balance sheets.The difference between the interest income on these loans and the interest expense on the related debt securities primarily represents the guarantee fees we receive as compensation for our g

165、uarantee of the principal and interest payments of the issued debt securities.Guarantee net interest income includes two components:n Contractual net interest income,which represents the ongoing monthly guarantee fee we receive for managing the credit risk associated with mortgage loans held by cons

166、olidated trusts,including the legislated guarantee fees that we are required to remit to Treasury andn Deferred fee income,which primarily consists of recognition of premiums and discounts on mortgage loans and debt of consolidated trusts and the fees that we receive or pay when we acquire single-fa

167、mily loans.These amounts are recognized in net interest income based on the effective yield over the contractual life of the associated financial instrument and may vary significantly from period to period,primarily based on changes in actual prepayments on the underlying loans.Net interest income a

168、lso includes investments net interest income,which primarily consists of the difference between the interest income earned on the assets in our investments portfolio and the interest expense incurred on the liabilities used to fund those assets,and the impact on net interest income from hedge accoun

169、ting,which primarily consists of amortization of previously deferred hedge accounting basis adjustments and the earnings mismatch on qualifying fair value hedge relationships.See Note 9 for additional information on hedge accounting.Managements Discussion and AnalysisConsolidated Results of Operatio

170、ns FREDDIE MAC|2023 Form 10-K15The table below presents the components of net interest income.Table 2-Components of Net Interest IncomeYear Over Year ChangeYear Ended December 31,2023 vs.20222022 vs.2021(Dollars in millions)202320222021$%$%Guarantee net interest income:Contractual net interest incom

171、e$14,753$14,020$11,038$733 5%$2,982 27%Deferred fee income 1,012 2,984 4,969 (1,972)(66)(1,985)(40)Total guarantee net interest income 15,765 17,004 16,007 (1,239)(7)997 6Investments net interest income 6,280 3,417 3,068 2,863 84 349 11Impact on net interest income from hedge accounting(3,503)(2,416

172、)(1,495)(1,087)(45)(921)(62)Net interest income$18,542$18,005$17,580$537 3%$425 2%Key Drivers:nGuarantee net interest incomel 2023 vs.2022-Decreased primarily due to a decline in deferred fee income due to slower prepayments as a result of higher mortgage interest rates,partially offset by continued

173、 mortgage portfolio growth.l 2022 vs.2021-Increased primarily due to continued mortgage portfolio growth and higher average portfolio guarantee fee rates,partially offset by lower deferred fee income due to slower prepayments as a result of higher mortgage interest rates.nInvestments net interest in

174、comel 2023 vs.2022 and 2022 vs.2021-Increased primarily due to higher returns on securities purchased under agreements to resell as a result of higher short-term interest rates.nImpact on net interest income from hedge accountingl 2023 vs.2022-Expense increased primarily due to higher interest expen

175、se on derivatives in hedge relationships as a result of higher interest rates,partially offset by a favorable change in the earnings mismatch on qualifying fair value hedge relationships.l 2022 vs.2021-Expense increased primarily due to higher interest expense on derivatives in hedging relationships

176、 as a result of higher interest rates.This increase was partially offset by lower amortization of hedge accounting-related basis adjustments driven by a lower unamortized balance.Managements Discussion and AnalysisConsolidated Results of Operations FREDDIE MAC|2023 Form 10-K16Net Interest Yield Anal

177、ysisThe table below presents an analysis of interest-earning assets and interest-bearing liabilities.To calculate the average balances,we generally use a daily weighted average of amortized cost.When daily average balance information is not available,such as for mortgage loans,we use monthly average

178、s.Mortgage loans on non-accrual status,where interest income is generally recognized when collected,are included in the average balances.Table 3-Analysis of Net Interest YieldYear Ended December 31,202320222021(Dollars in millions)AverageBalanceInterestIncome(Expense)AverageRateAverageBalanceInteres

179、tIncome(Expense)AverageRateAverageBalanceInterestIncome(Expense)AverageRateInterest-earning assets:Cash and cash equivalents$13,466$532 3.95%$14,705$179 1.22%$62,042$8 0.01%Securities purchased under agreements to resell 118,579 6,135 5.17 97,260 1,718 1.77 75,425 48 0.06 Investment securities 40,48

180、1 1,571 3.88 47,612 1,640 3.44 56,211 2,261 4.02 Mortgage loans(1)3,061,638 96,985 3.17 2,967,147 79,826 2.69 2,622,952 59,130 2.25 Other assets 2,479 140 5.65 4,104 95 2.31 6,049 80 1.32 Total interest-earning assets 3,236,643 105,363 3.25 3,130,828 83,458 2.67 2,822,679 61,527 2.18 Interest-bearin

181、g liabilities:Debt of consolidated trusts 2,997,841 (76,703)(2.56)2,911,235 (61,404)(2.11)2,538,757 (42,209)(1.66)Debt of Freddie Mac 192,510 (10,118)(5.26)178,757 (4,049)(2.27)237,572 (1,738)(0.73)Total interest-bearing liabilities 3,190,351 (86,821)(2.72)3,089,992 (65,453)(2.12)2,776,329 (43,947)(

182、1.58)Impact of net non-interest-bearing funding 46,292 0.04 40,836 0.03 46,350 0.02 Total funding of interest-earning assets 3,236,643 (86,821)(2.68)3,130,828 (65,453)(2.09)2,822,679 (43,947)(1.56)Net interest income/yield$18,542 0.57%$18,005 0.58%$17,580 0.62%(1)Loan fees included in interest incom

183、e were$1.1 billion,$1.5 billion,and$3.1 billion during 2023,2022,and 2021,respectively.Managements Discussion and AnalysisConsolidated Results of Operations FREDDIE MAC|2023 Form 10-K17Net Interest Income Rate/Volume AnalysisThe table below presents a rate and volume analysis of our net interest inc

184、ome.Our net interest income reflects the reversal of interest income accrued,net of interest received on a cash basis,related to mortgage loans that are on non-accrual status.Table 4-Net Interest Income Rate/Volume AnalysisVariance Analysis2023 vs.20222022 vs.2021(In millions)Rate(1)Volume(1)Total C

185、hangeRate(1)Volume(1)Total ChangeInterest-earning assets:Cash and cash equivalents$361 ($8)$353$180 ($8)$172 Securities purchased under agreements to resell 3,775 642 4,417 1,649 21 1,670 Investment securities 127 (196)(69)292 (913)(621)Mortgage loans 14,505 2,654 17,159 12,572 8,124 20,696 Other as

186、sets 98 (53)45 45 (31)14 Total interest-earning assets 18,866 3,039 21,905 14,738 7,193 21,931 Interest-bearing liabilities:Debt of consolidated trusts(13,058)(2,241)(15,299)(11,448)(7,747)(19,195)Debt of Freddie Mac(5,726)(343)(6,069)(2,925)614 (2,311)Total interest-bearing liabilities(18,784)(2,58

187、4)(21,368)(14,373)(7,133)(21,506)Net interest income$82$455$537$365$60$425(1)The total change variances are allocated between rate and volume based on the relative size of each variance.Non-Interest IncomeNon-interest income primarily consists of guarantee income and investment gains,net.Guarantee i

188、ncome relates primarily to our Multifamily senior subordinate securitizations.We do not consolidate the trusts used in these transactions and therefore do not recognize the loans held by the trust or the debt securities issued by the trust on our consolidated balance sheets.Rather,we separately acco

189、unt for our guarantee to the trust and recognize the revenue from our guarantee as guarantee income.Guarantee income includes the amortization of our guarantee obligation as we are released from risk under our guarantee and changes in fair value of our guarantee assets,net of contractual guarantee f

190、ees received.Net investment gains primarily consist of the gains on sale of mortgage loans from our multifamily loan purchase and securitization activities.Because we do not consolidate our Multifamily senior subordinate securitization trusts,we account for these transactions as sales of the underly

191、ing loans.Net investment gains also include revenues from sales of single-family delinquent and reperforming loans and gains and losses on investment securities.These amounts are shown net of gains and losses from the related debt funding and interest-rate risk management activities,as applicable.Ne

192、t investment gains can vary significantly from period-to-period based on the pricing of our new multifamily loan purchases,the volume and nature of our investment,funding,and hedging activities,and changes in market conditions,such as interest rates and market spreads.Derivative instruments are a ke

193、y component of our interest-rate risk management strategy.We use derivatives to economically hedge the interest-rate risk of our financial assets and liabilities and manage our exposure to interest-rate risk on an economic basis to a low level as measured by our models.We align our derivative portfo

194、lio to economically hedge the changing duration of our assets and liabilities and apply fair value hedge accounting to certain single-family mortgage loans and debt to reduce our GAAP earnings variability.As a result,interest-rate-related fair value gains and losses that we recognize on financial in

195、struments that we measure at fair value generally have offsetting impacts from the derivative instruments that we use to economically hedge interest-rate risk.For additional information about our interest-rate risk management activities and the sensitivity of reported GAAP earnings to those activiti

196、es,see MD&A-Risk Management-Market Risk.For additional information on derivative instruments,see Note 9.Managements Discussion and AnalysisConsolidated Results of Operations FREDDIE MAC|2023 Form 10-K18The table below presents the components of non-interest income.Table 5-Components of Non-Interest

197、IncomeYear Over Year ChangeYear Ended December 31,2023 vs.20222022 vs.2021(Dollars in millions)202320222021$%$%Guarantee income$1,615$783$1,032$832 106%($249)(24)%Investment gains,net 707 1,969 2,746 (1,262)(64)(777)(28)Other income 365 507 593 (142)(28)(86)(15)Non-interest income$2,687$3,259$4,371

198、($572)(18)%($1,112)(25)%Key Drivers:n Guarantee incomel 2023 vs.2022-Increased primarily due to lower fair value losses on guarantee assets as a result of lower medium-term interest rates.l 2022 vs.2021-Decreased primarily due to higher fair value losses on guarantee assets as a result of higher int

199、erest rates.n Investment gains,netl 2023 vs.2022-Net investment gains declined,as the prior year period included spread-related gains on commitments to hedge the Single-Family securitization pipeline that did not recur in 2023.l2022 vs.2021-Decreased primarily due to lower gains in Multifamily drive

200、n by spread widening as well as a decline in revenue from held-for-sale loan purchase and securitization activity as a result of lower volumes and lower margins.This decrease was partially offset by spread-related gains on commitments to hedge the Single-Family securitization pipeline in 2022.(Provi

201、sion)Benefit for Credit LossesOur provision for credit losses relates primarily to single-family loans held-for-investment and can vary substantially from period to period based on a number of factors,such as changes in house prices and house price forecasts,changes in interest rates,borrower prepay

202、ments and delinquency rates,events such as pandemics,the type and volume of our loss mitigation and foreclosure activity,and government assistance provided to borrowers.See MD&A-Critical Accounting Estimates for additional information.The table below presents the components of provision for credit l

203、osses.Table 6-(Provision)Benefit for Credit LossesYear Over Year ChangeYear Ended December 31,2023 vs.20222022 vs.2021(Dollars in millions)202320222021$%$%Single-Family$1,172 ($1,772)$919$2,944 166%($2,691)(293)%Multifamily(300)(69)122 (231)(335)(191)(157)(Provision)benefit for credit losses$872 ($1

204、,841)$1,041$2,713 147%($2,882)(277)%Key Drivers:n 2023 vs.2022-The benefit for credit losses for 2023 was primarily driven by a credit reserve release in Single-Family due to improvements in house prices.n 2022 vs.2021-The provision for credit losses for 2022 was primarily driven by a credit reserve

205、 build in Single-Family due to deterioration in house prices.Managements Discussion and AnalysisConsolidated Results of Operations FREDDIE MAC|2023 Form 10-K19Non-Interest Expense Non-interest expense consists of salaries and employee benefits,credit enhancement expense and benefit for credit enhanc

206、ement recoveries,legislative assessments expense,and other expenses we incur to run our business.Credit enhancement expense includes the premiums and other costs related to certain CRT transactions that are accounted for as freestanding contracts,primarily STACR and ACIS transactions in Single-Famil

207、y.Benefit for credit enhancement recoveries primarily represents changes in expected recoveries from those transactions.We recognize expected recoveries from freestanding credit enhancements at the same time that we recognize an allowance for credit losses on the covered loans,measured on the same b

208、asis as the allowance for credit losses on the covered loans.Legislative assessments expense relates to two fees:(1)the legislated guarantee fees on single-family loans that we are required to remit to Treasury and(2)the fee imposed on Freddie Macs total new business purchases that is allocated to c

209、ertain affordable housing funds and remitted to Treasury and HUD.The legislated guarantee fees relate to the 10 bps increase in guarantee fees implemented at the direction of FHFA pursuant to the Temporary Payroll Tax Cut Continuation Act of 2011 as extended by the Infrastructure Investment and Jobs

210、 Act of 2021.The affordable housing funds allocation relates to the GSE Act requirement to set aside in each fiscal year an amount equal to 4.2 bps of each dollar of total new business purchases,and pay such amount to certain housing funds.We are prohibited from passing through the costs of the affo

211、rdable housing funds allocation to the originators of the loans that we purchase.The table below presents the components of non-interest expense.Table 7-Components of Non-Interest ExpenseYear Over Year ChangeYear Ended December 31,2023 vs.20222022 vs.2021(Dollars in millions)202320222021$%$%Salaries

212、 and employee benefits($1,606)($1,509)($1,398)($97)(6)%($111)(8)%Credit enhancement expense(2,339)(2,118)(1,518)(221)(10)(600)(40)Benefit for(decrease in)credit enhancement recoveries(189)236 (542)(425)(180)778 144 Legislative assessments expense:Legislated guarantee fees expense(2,856)(2,751)(2,343

213、)(105)(4)(408)(17)Affordable housing funds allocation(146)(258)(539)112 43 281 52 Total legislative assessments expense(3,002)(3,009)(2,882)7 (127)(4)Other expense(1,766)(1,419)(1,453)(347)(24)34 2 Non-interest expense($8,902)($7,819)($7,793)($1,083)(14)%($26)%Key Drivers:n Credit enhancement expens

214、e l 2023 vs.2022-Increased primarily due to a higher volume of outstanding cumulative CRT transactions and higher losses on STACR Trust note repurchases.l2022 vs.2021-Increased primarily due to a higher volume of outstanding cumulative CRT transactions and higher spreads on transactions executed dur

215、ing 2022.n Benefit for(decrease in)credit enhancement recoveriesl 2023 vs.2022-Decreased primarily due to a decrease in expected credit losses on covered loans.l 2022 vs 2021-Increased primarily due to an increase in expected credit losses on covered loans.n Other expensel 2023 vs.2022-Increased pri

216、marily due to an accrual of$0.3 billion for an adverse judgment at trial.See Note 17 for additional information regarding our legal proceedings.Managements Discussion and AnalysisConsolidated Results of Operations FREDDIE MAC|2023 Form 10-K20CONSOLIDATED BALANCE SHEETS ANALYSISThe table below compar

217、es our summarized consolidated balance sheets.Table 8-Summarized Consolidated Balance SheetsDecember 31,Year Over Year Change(Dollars in millions)20232022$%Assets:Cash and cash equivalents$6,019$6,360 ($341)(5)%Securities purchased under agreements to resell 95,148 87,295 7,853 9 Investment securiti

218、es,at fair value 43,275 38,701 4,574 12 Mortgage loans held-for-sale 12,941 12,197 744 6 Mortgage loans held-for-investment 3,083,665 3,022,318 61,347 2 Accrued interest receivable,net 9,925 8,529 1,396 16 Deferred tax assets,net 4,076 5,777 (1,701)(29)Other assets 25,927 27,156 (1,229)(5)Total asse

219、ts$3,280,976$3,208,333$72,643 2%Liabilities and Equity:Liabilities:Accrued interest payable$8,812$7,309$1,503 21%Debt 3,208,346 3,145,832 62,514 2 Other liabilities 16,096 18,174 (2,078)(11)Total liabilities 3,233,254 3,171,315 61,939 2 Total equity 47,722 37,018 10,704 29 Total liabilities and equi

220、ty$3,280,976$3,208,333$72,643 2%Key Drivers:As of December 31,2023 compared to December 31,2022:n Securities purchased under agreements to resell increased primarily due to investment of retained earnings.n Investment securities increased primarily due to an increase in purchases of U.S.Treasury sec

221、urities.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.Managements Discussion and AnalysisConsolidated

222、 Balance Sheets AnalysisFREDDIE MAC|2023 Form 10-K21OUR PORTFOLIOSMortgage PortfolioOur mortgage portfolio includes assets held by both business segments and consists of mortgage loans held-for-investment,mortgage loans held-for-sale,and mortgage loans underlying our mortgage-related guarantees.See

223、Note 4 for additional information on our mortgage loans and Note 5 for additional information on our mortgage-related guarantees.The table below presents the UPB of our mortgage portfolio by segment.Table 9-Mortgage PortfolioDecember 31,2023December 31,2022(In millions)Single-FamilyMultifamilyTotalS

224、ingle-FamilyMultifamilyTotalMortgage loans held-for-investment:By consolidated trusts$2,963,296$47,433$3,010,729$2,907,999$30,574$2,938,573By Freddie Mac33,21311,77044,98333,50617,80551,311Total mortgage loans held-for-investment 2,996,509 59,203 3,055,712 2,941,505 48,379 2,989,884 Mortgage loans h

225、eld-for-sale 3,527 9,905 13,432 3,564 9,544 13,108 Total mortgage loans 3,000,036 69,108 3,069,144 2,945,069 57,923 3,002,992 Mortgage-related guarantees:Mortgage loans held by nonconsolidated trusts 30,182 360,928 391,110 31,500 360,869 392,369 Other mortgage-related guarantees 8,692 10,761 19,453

226、9,476 10,510 19,986 Total mortgage-related guarantees 38,874 371,689 410,563 40,976 371,379 412,355 Total mortgage portfolio$3,038,910$440,797$3,479,707$2,986,045$429,302$3,415,347 Guaranteed mortgage-related securities:Issued by consolidated trusts$2,970,707$47,436$3,018,143$2,916,038$30,813$2,946,

227、851Issued by non-consolidated trusts24,600321,262345,86225,772319,117344,889Total guaranteed mortgage-related securities$2,995,307$368,698$3,364,005$2,941,810$349,930$3,291,740 Investments PortfolioOur investments portfolio consists of our mortgage-related investments portfolio and other investments

228、 portfolio.Mortgage-Related Investments PortfolioWe primarily use our mortgage-related investments portfolio to provide liquidity to the mortgage market and support our loss mitigation activities.Our mortgage-related investments portfolio includes assets held by both business segments and consists o

229、f unsecuritized mortgage loans and mortgage-related securities.We primarily invest in mortgage-related securities that we issue or guarantee,although we may also invest in other agency mortgage-related securities.The Purchase Agreement limits the size of our mortgage-related investments portfolio to

230、 a maximum amount of$225 billion effective December 31,2022.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

231、of our mortgage-related investments portfolio pursuant to FHFA guidance.For additional information on the restrictions on our mortgage-related investments portfolio,see MD&A-Conservatorship and Related Matters.Managements Discussion and AnalysisOur PortfoliosFREDDIE MAC|2023 Form 10-K22The table bel

232、ow presents the details of our mortgage-related investments portfolio.Table 10-Mortgage-Related Investments PortfolioDecember 31,2023December 31,2022(In millions)Single-FamilyMultifamilyTotalSingle-FamilyMultifamilyTotalUnsecuritized mortgage loans:Securitization pipeline loans$8,225$15,197$23,422$1

233、0,093$22,546$32,639 Other loans(1)28,5156,47834,99326,9774,80331,780Total unsecuritized mortgage loans36,74021,67558,41537,07027,34964,419Mortgage-related securities:Investment securities 2,667 4,613 7,280 3,440 6,396 9,836Debt of consolidated trusts 18,639 660 19,299 17,939 536 18,475Total mortgage

234、-related securities 21,306 5,273 26,579 21,379 6,932 28,311Mortgage-related investments portfolio$58,046$26,948$84,994$58,449$34,281$92,730 10%of notional amount of interest-only securities$22,186$21,758Mortgage-related investments portfolio for purposes of Purchase Agreement cap107,180114,488(1)Pri

235、marily includes delinquent and modified single-family loans that we have purchased from securitization trusts.Other Investments PortfolioOur other investments portfolio,which includes the liquidity and contingency operating portfolio,is primarily used for short-term liquidity management,collateral m

236、anagement,and asset and liability management.The assets in the other investments portfolio are primarily allocated to the Single-Family segment.The table below presents the details of our other investments portfolio.Table 11-Other Investments PortfolioDecember 31,2023December 31,2022(In millions)Liq

237、uidity and Contingency Operating PortfolioCustodial AccountOtherTotal Other Investments Portfolio(1)Liquidity and Contingency Operating PortfolioCustodial AccountOtherTotal Other Investments Portfolio(1)Cash and cash equivalents$5,041$890$88$6,019$5,652$611$97$6,360 Securities purchased under agreem

238、ents to resell 94,904 9,396 1,093 105,393 88,499 9,703 1,084 99,286 Non-mortgage related securities(2)24,153 6,119 30,272 20,188 3,645 23,833 Other assets 5,555 5,555 4,565 4,565 Other investments portfolio$124,098$10,286$12,855$147,239$114,339$10,314$9,391$134,044(1)Represents carrying value.(2)Pri

239、marily consists of U.S.Treasury securities.Managements Discussion and AnalysisOur PortfoliosFREDDIE MAC|2023 Form 10-K23OUR BUSINESS SEGMENTSAs shown in the table below,we have two reportable segments,which are based on the way we manage our business.See Note 14 for additional financial information

240、for our reportable segments.SegmentDescriptionSingle-FamilyReflects 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 result

241、s of our treasury function that are not allocated to each segment.MultifamilyReflects 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 ris

242、k.Segment Net Revenues and Net IncomeThe graphs below show our net revenues and net income by segment.Segment Net Revenues(In billions)$22.0$21.3$21.2$17.2$18.8$18.3$4.8$2.5$3.0Single-FamilyMultifamily202120222023Segment Net Income(In billions)$12.1$9.3$10.5$8.8$7.9$9.0$3.3$1.4$1.5Single-FamilyMulti

243、family202120222023 Managements Discussion and Analysis Our Business SegmentsFREDDIE MAC|2023 Form 10-K24Single-FamilyBusiness Overview Our Single-Family segment provides liquidity and support to the single-family mortgage market through a variety of activities that include the purchase,securitizatio

244、n,and guarantee of single-family loans originated by lenders.Central to our mission is our commitment to helping families attain affordable and sustainable housing and to increasing equitable access to housing finance.The U.S.residential mortgage market consists of a primary mortgage market that lin

245、ks homebuyers and lenders,and a secondary mortgage market that links lenders and investors.The size of the U.S.residential mortgage market is affected by many factors,including changes in interest rates,unemployment rates,homeownership rates,house prices,the supply of housing,lender preferences rega

246、rding credit risk,and borrower preferences regarding mortgage debt.In accordance with our Charter,we participate in the secondary mortgage market.The mix of loan products we purchase is affected by several factors,including the volume of loans meeting the requirements of our Charter,the volume meeti

247、ng our risk appetite and originated according to our purchase standards,and the loan purchase and securitization activity of other financial institutions.Our primary business model is to acquire loans that lenders originate and then pool those loans into guaranteed mortgage-related securities that t

248、ransfer interest-rate,prepayment,and liquidity risk to investors and can be sold in the capital markets.We consolidate most of our Single-Family securitization trusts and,therefore,we recognize the loans held by such trusts and the debt securities issued by such trusts on our balance sheet and recog

249、nize the guarantee fees we receive as net interest income.To reduce our exposure under our guarantees,we transfer credit risk on a portion of our Single-Family mortgage portfolio to the private market in certain instances.The returns we generate from our business activities are primarily derived fro

250、m the guarantee fees we receive in exchange for providing our guarantee of the principal and interest payments of the issued mortgage-related securities.The diagram below illustrates our primary business model.Products and ActivitiesOur Single-Family business primarily consists of activities related

251、 to providing market liquidity by purchasing and securitizing mortgage loans and issuing guaranteed mortgage-related securities,transferring credit risk,performing loss mitigation activities,and investing in mortgage-related and other investments.Certain of our loan products and programs have been d

252、esigned to address affordability challenges,particularly in underserved markets,while others aim to support housing supply and sustainability efforts.Loan Purchase,Securitization,and Guarantee ActivitiesGuarantor Swap TransactionsOne of the primary ways we acquire mortgage loans and provide liquidit

253、y to our Single-Family lender customers is by securitizing loans into guaranteed mortgage-related securities in guarantor swap transactions.Our largest guarantor swap customers are primarily large mortgage banking companies and commercial banks.In these transactions,we purchase mortgage loans from o

254、ur customers in exchange for a security backed by those same loans,as shown in the diagram below:Managements Discussion and AnalysisOur Business Segments|Single-FamilyFREDDIE MAC|2023 Form 10-K25Cash Window TransactionsIn addition to guarantor swap transactions,another primary way we acquire loans a

255、nd provide liquidity to our Single-Family lender customers is by purchasing loans for aggregation in our securitization pipeline through our cash window.In these transactions,we purchase mortgage loans from our customers in exchange for cash consideration.We enter into forward commitments with lende

256、rs in advance of the loan purchase date to purchase loans through our cash window at a fixed price for our securitization pipeline,allowing lenders to offer borrowers the opportunity to lock in the interest rate on the mortgage prior to loan origination.We refer to the loan as being in our securitiz

257、ation pipeline for the period of time between loan purchase and securitization.We typically economically hedge the market risk exposure of our securitization pipeline by entering into forward sale commitments and obtain permanent financing for the loans in our securitization pipeline after a short a

258、ggregation period by securitizing the loans into guaranteed mortgage-related securities and selling the resulting securities to third-party investors,typically through cash auctions.We may also retain certain of these securities in our mortgage-related investments portfolio prior to selling them to

259、third parties.The Purchase Agreement requires us to purchase loans for cash consideration;operate the cash window with non-discriminatory pricing;and comply with directives,regulations,restrictions,and other requirements prescribed by FHFA related to equitable secondary market access by community le

260、nders.The Purchase Agreement also includes restrictions on the volume of our cash window activities,but these requirements have been suspended until six months after Treasury notifies us that such suspension has been terminated.We manage cash window activities in accordance with our risk limits and

261、limitations imposed by FHFA.For additional information about the Purchase Agreement,see MD&A-Conservatorship and Related Matters.Managements Discussion and Analysis Our Business Segments|Single-FamilyFREDDIE MAC|2023 Form 10-K26The diagram below shows the process for acquiring and securitizing loans

262、 in our cash window transactions.Advances to LendersWe also provide liquidity to certain lenders through our early funding programs,where we advance funds to lenders for mortgage loans prior to the loans being pooled and securitized generally through our guarantor swap transactions.In some cases,the

263、 early funded mortgages are ultimately delivered through cash window purchase transactions.We account for these transactions as advances that are fully collateralized by the mortgage loans and recognize the associated fees as interest income on the advances from the early funding date to the final s

264、ettlement date.Securitization ProductsWe offer the following types of securitization products to our customers.Level 1 Securitization Products We refer to the securities we issue in guarantor swap transactions and cash window securitizations as Level 1 Securitization Products,which are pass-through

265、securities that represent undivided beneficial interests in trusts that hold pools of loans.We issue the following types of Level 1 Securitization Products:nUMBS-Single-class pass-through securities issued through the CSP with a 55-day payment delay for TBA-eligible fixed-rate mortgage loans.The UMB

266、S is a single(common)security that is issued by either Fannie Mae or us.The UMBS market is designed to enhance the overall liquidity of TBA-eligible Freddie Mac and Fannie Mae securities by supporting their fungibility without regard to which company is the issuer.SIFMA permits UMBS TBA contracts to

267、 be settled by delivery of UMBS issued by either Freddie Mac or Fannie Mae under its good-delivery guidelines.n55-day MBS-Single-class pass-through securities issued through the CSP with a 55-day payment delay for non-TBA-eligible fixed-rate mortgage loans.n ARM PCs-Single-class pass-through securit

268、ies with a 75-day payment delay for ARM products.We do not use the CSP to issue ARM PCs.In prior years,we also issued Gold PCs,which were single-class pass-through securities with a 45-day payment delay for fixed-rate mortgage loans.We discontinued the issuance of Gold PCs in 2019.Existing Gold PCs

269、that are not entirely resecuritized are eligible for exchange into UMBS(for TBA-eligible securities)or 55-day MBS(for non-TBA-eligible securities).All Level 1 Securitization Products we issue are backed only by mortgage loans that we have acquired.We offer(or previously offered)all of the above prod

270、ucts through both guarantor swap and cash window programs.Managements Discussion and Analysis Our Business Segments|Single-FamilyFREDDIE MAC|2023 Form 10-K27We also periodically use Level 1 Securitization Products to securitize certain reperforming loans subsequent to purchasing them from the origin

271、al securities pool,depending on market conditions,business strategy,credit risk considerations,and operational efficiency.When we issue a Level 1 Securitization Product,we retain the credit risk of the underlying mortgage loans by guaranteeing the principal and interest payments of the issued securi

272、ties and transfer the interest-rate,prepayment,and liquidity risks of those loans to the investors in the securities.For our fixed-rate Level 1 Securitization Products,we guarantee the timely payment of principal and interest.For our ARM PCs,we guarantee the timely payment of the weighted average co

273、upon interest rate for the underlying loans,and we also guarantee the full and final payment of principal,but not the timely payment of principal.In exchange for our guarantee of Level 1 Securitization Products,we receive guarantee fees that are designed to be commensurate with the risks assumed and

274、 that we expect will,over the long-term,provide income that exceeds the credit-related and administrative expenses on the underlying loans and also provide a return on the capital that would be needed to support the related credit risk.The guarantee fees charged on new acquisitions generally consist

275、 of:n A contractual monthly fee paid as a percentage of the UPB of the underlying loan,including the legislated guarantee fees andn Fees we receive or pay when we acquire a loan,which include credit fees and buy-up and buy-down fees.Credit fees are calculated based on credit risk factors such as the

276、 loan product type,loan purpose,LTV ratio,and credit score,and are charged to compensate us for higher levels of risk in some loan products.Buy-up and buy-down fees are payments made or received to buy up or buy down,respectively,the monthly contractual guarantee fee and are paid in conjunction with

277、 the formation of a security to provide for a uniform net coupon rate for the mortgage pool underlying the security.In general,we must obtain FHFAs approval to implement significant across-the-board changes to our credit fees.In addition,from time to time,FHFA issues directives or guidance to us aff

278、ecting the levels of guarantee fees that we may charge.For additional information on recent changes to pricing,see MD&A-Regulation and Supervision-Targeted Pricing Changes to Enterprise Pricing Framework.In order to issue mortgage-related securities,we establish trusts pursuant to our Master Trust A

279、greements and place the mortgage loans in the trust,which issues securities backed by those mortgage loans.The servicer administers the collection of borrowers payments on their loans and remits the collected funds to us.We administer the distribution of payments to the investors in the mortgage-rel

280、ated securities,net of any applicable guarantee fees.When we securitize mortgage loans using trusts,Freddie Mac typically functions in its capacity as depositor,guarantor,administrator,and trustee of the trusts.We consolidate our Single-Family Level 1 Securitization Product trusts and recognize the

281、mortgage loans held and debt issued by those trusts on our consolidated balance sheets.The difference between the interest income on the loans and the interest expense on the debt primarily represents the guarantee fees we receive as compensation for our guarantee.This amount is referred to as guara

282、ntee net interest income.When a borrower prepays a loan that we have securitized,the outstanding balance of the security owned by investors is reduced by the amount of the prepayment.If the borrower becomes delinquent,we continue to make the applicable payments to the investors in the mortgage-relat

283、ed securities pursuant to our guarantee until we purchase the loan out of the securitization trust.We have the option to purchase loans from the trust under certain circumstances(including certain levels of delinquency)at a purchase price equal to the current UPB of the loan,less any outstanding adv

284、ances of principal that have been previously distributed.At the instruction of FHFA,we purchase loans from trusts when they reach 24 months of delinquency,except for loans that meet certain criteria(e.g.,permanently modified or foreclosure referral),which may be purchased sooner.Many delinquent loan

285、s are purchased from trusts before they reach 24 months of delinquency under one of the exceptions provided.We must obtain FHFAs approval to implement changes to our policy to purchase loans from trusts.Other Securitization ProductsWe securitize certain seasoned loans in transactions where we issue

286、guaranteed senior securities and unguaranteed subordinated securities.The collateral for these structures primarily consists of reperforming loans.The unguaranteed subordinated securities absorb first losses on the related loans.After securitization,we do not control the servicing,and the loans are

287、not serviced in accordance with our Guide.In prior years,we offered additional types of securitization products to our customers,including senior subordinate securitizations backed by recently originated loans and other securitization products collateralized by non-Freddie Mac mortgage-related secur

288、ities.We no longer offer these products on a regular basis and have not entered into these types of transactions recently.Resecuritization Products Resecuritization products represent beneficial interests in pools of Level 1 Securitization Products and certain other types of mortgage assets.We gener

289、ally create these securities by using Level 1 Securitization Products or our previously issued resecuritization products as the underlying collateral.We leverage the issuance of these securities to expand the range of investors in our mortgage-related securities to include those seeking specific sec

290、urity attributes.Similar to our Level 1 Securitization Products,we guarantee the payment of principal and interest to the investors in our resecuritization products.We do not charge a guarantee fee for these securities if the underlying collateral is already guaranteed by us since no additional Mana

291、gements Discussion and Analysis Our Business Segments|Single-FamilyFREDDIE MAC|2023 Form 10-K28credit risk is introduced,although we typically receive a transaction fee as compensation for creating the security and future administrative responsibilities.We use the CSP for many of the securities admi

292、nistration activities for our resecuritization products.We have the ability to commingle TBA-eligible Fannie Mae collateral in certain of our resecuritization products.When we resecuritize Fannie Mae securities,which are separately guaranteed by Fannie Mae,in our commingled resecuritization products

293、,our guarantee covers timely payment of principal and interest on such products from the underlying Fannie Mae securities.If Fannie Mae were to fail to make a payment on a Fannie Mae security that we resecuritized,we would be responsible for making the payment.We are required to hold incremental cap

294、ital for our guarantees of Fannie Mae securities under the ERCF.We also began to charge a fee for any commingled security issued on or after July 1,2022.For additional information on the fees we charge for guaranteeing Fannie Mae securities,see MD&A Regulation and Supervision-Resecuritization Fee fo

295、r New Issuances of Commingled Securities.All of the cash flows from the collateral underlying our resecuritization products are generally passed through to investors in these securities.We do not issue resecuritization products that have concentrations of credit risk beyond those embedded in the und

296、erlying assets.In many of our resecuritization transactions,securities dealers or investors deliver mortgage assets in exchange for the resecuritization product.In certain cases,we may also transfer our own mortgage assets in exchange for the resecuritization product.The diagram below provides a gen

297、eral example of how we create resecuritization products.We offer the following types of resecuritization products:nSingle-class resecuritization products-Involve the direct pass through of all cash flows of the underlying collateral to the beneficial interest holders and include:lSupers-Resecuritiza

298、tions of UMBS and certain other TBA-eligible mortgage securities.This structure allows commingling of Freddie Mac and Fannie Mae collateral,where newly issued or exchanged UMBS and Supers issued by us or Fannie Mae may be commingled to back Supers issued by us.Fannie Mae also issues Supers.Supers ca

299、n be backed by:UMBS and/or other Supers issued by us or Fannie Mae;Existing TBA-eligible Fannie Mae MBS and/or Megas;and/or UMBS and Supers that we have issued in exchange for TBA-eligible PCs and Giant PCs that have been delivered to us in response to our offer to exchange 45-day payment delay secu

300、rities for corresponding 55-day payment delay securities.Managements Discussion and Analysis Our Business Segments|Single-FamilyFREDDIE MAC|2023 Form 10-K29lGiant MBS-Resecuritizations of:Newly issued 55-day MBS and/or Giant MBS and/or55-day MBS and/or Giant MBS that we have issued in exchange for n

301、on-TBA-eligible PCs and non-TBA-eligible Giant PCs that have been delivered to us in response to our offer to exchange 45-day payment delay securities for corresponding 55-day payment delay securities.lGiant PCs-Resecuritizations of previously issued PCs or Giant PCs.Although we no longer issue Gold

302、 PCs,existing Gold PCs may continue to be resecuritized into Giant PCs.In addition,ARM PCs may continue to be resecuritized into ARM Giant PCs.Fixed-rate Giant PCs are eligible for exchange into Supers(for TBA-eligible securities)or Giant MBS(for non-TBA-eligible securities).nMulticlass resecuritiza

303、tion products lREMICs-Resecuritizations of previously issued mortgage securities that divide all cash flows of the underlying collateral into two or more classes of varying maturities,payment priorities,and coupons.This structure allows commingling of TBA-eligible Freddie Mac and Fannie Mae collater

304、al.lStrips-Resecuritizations of previously issued Level 1 Securitization Products or single-class resecuritization products and issuance of stripped securities,including principal-only and interest-only securities or floating rate and inverse floating rate securities,backed by the cash flows from th

305、e underlying collateral.This structure allows commingling of TBA-eligible Freddie Mac and Fannie Mae collateral.Other Mortgage-Related GuaranteesWe previously offered a guarantee on mortgage assets held by third parties,in exchange for guarantee fees,without securitizing those assets.These arrangeme

306、nts,referred to as long-term standby commitments,have obligated us to purchase seriously delinquent loans that are covered by those commitments.From time to time,we have consented to the termination of our long-term standby commitments and simultaneously entered into guarantor swap transactions with

307、 the same counterparty,issuing securities backed by many of the same loans.Credit Enhancement ActivitiesTo reduce our credit risk exposure,we engage in various types of credit enhancements,including primary mortgage insurance and CRT transactions.Our Charter requires coverage by specified credit enh

308、ancements or participation interests on single-family loans with LTV ratios above 80%at the time of purchase.Most of our loans with LTV ratios above 80%are protected by primary mortgage insurance,which provides loan-level protection against loss up to a specified amount,the premium for which is typi

309、cally paid by the borrower.Generally,an insured loan must be in default and the borrowers interest in the underlying property must have been extinguished,such as through a short sale or foreclosure sale,before a claim can be filed under a primary mortgage insurance policy.The mortgage insurer has a

310、prescribed period of time within which to process a claim and make a determination as to its validity and amount.We define CRT transactions as those arrangements where we actively transfer the credit risk exposure on mortgages that we own or guarantee.Our CRT transactions are designed to reduce the

311、amount of required capital related to credit risk,to transfer portions of credit losses on groups of previously acquired loans to third-party investors,and to reduce the risk of future losses to us when borrowers default.The costs we incur in exchange for this credit protection effectively reduce ou

312、r guarantee income from the associated mortgages.We evaluate and update our CRT activities as needed depending on our business strategy,market conditions,and regulatory requirements.Each CRT transaction is designed to transfer a certain portion of the credit risk that we assume for loans with certai

313、n targeted characteristics.Risk positions may be transferred to third-party investors through one or more CRT transactions.The risk transfer could occur prior to,or simultaneously with,our purchase of the loan(i.e.,front-end coverage)or after the purchase of the loan(i.e.,back-end coverage).STACR an

314、d ACIS OfferingsOur two primary CRT programs are STACR and ACIS.nSTACR-Our primary Single-Family securities-based credit risk sharing transaction.STACR Trust note transactions transfer risk to the private capital markets through the issuance of unguaranteed notes using a third-party trust.In a STACR

315、 transaction,we create a reference pool of loans from our Single-Family mortgage portfolio,and a third-party trust issues credit notes linked to the reference pool.The trust makes periodic payments of principal and interest on the notes to noteholders,but is not required to repay principal to the ex

316、tent that the note balance is reduced as a result of specified credit events on the mortgage loans in the related reference pool.We make payments to the trust to support payment of the interest due on the notes.The amount of risk transferred in each transaction affects the amounts we are required to

317、 pay.We receive payments from the trust that otherwise would have been made to the noteholders to the extent there are certain defined credit events on the mortgage loans in the related reference pool.The note balance is reduced by the amount of the payments to us,thereby transferring the related cr

318、edit risk of the loans in the reference pool to the note Managements Discussion and Analysis Our Business Segments|Single-FamilyFREDDIE MAC|2023 Form 10-K30investors.Generally,the note balance is also reduced based on principal payments that occur on the loans in the reference pool.The diagram below

319、 illustrates a typical STACR transaction.nACIS-Our primary insurance-based credit risk sharing transaction.ACIS transactions are insurance policies we enter into with global insurance and reinsurance companies to cover a portion of credit risk on the mortgage loans in the related reference pools.We

320、pay monthly premiums to the insurers or reinsurers in exchange for claim coverage on specified credit events on the mortgage loans in the related reference pool.We require our ACIS counterparties to partially collateralize their exposure to reduce the risk that we will not be reimbursed for our clai

321、ms under the policies.We primarily use STACR and ACIS transactions to transfer credit risk on certain recently acquired fixed rate mortgage loans with maturity terms greater than 20 years and original LTV ratios between 60%and 97%.In a typical STACR or ACIS transaction,we transfer to third-party inv

322、estors a portion of the credit risk between a specified attachment point and a detachment point which may vary based on numerous factors,such as the type of collateral and market conditions.We generally retain the initial loss position and at least 5%of the credit risk of all the positions sold to a

323、lign our interests with those of the investors.The diagram below illustrates a typical STACR and ACIS structure.We monitor the costs and benefits provided by the CRT coverage we have obtained on a regular basis,including the impact of CRT on our capital requirements under the ERCF.We may periodicall

324、y terminate certain CRT transactions,through the exercise of contractual call options,repurchases of outstanding securities,or other means,if we determine prior to contractual maturity that they are no longer economically sensible.Additional OfferingsWe also transfer credit risk through issuance of

325、senior subordinate securitizations,additional types of insurance and reinsurance transactions,and risk-sharing arrangements with certain single-family lenders.For additional information on Single-Family mortgage loan credit enhancements,see MD&A-Risk Management-Credit Risk-Single-Family Mortgage Cre

326、dit Risk-Transferring Credit Risk to Third-Party Investors.Managements Discussion and Analysis Our Business Segments|Single-FamilyFREDDIE MAC|2023 Form 10-K31We also periodically sell certain delinquent loans that we have previously repurchased from securitization trusts.See Note 4 for additional in

327、formation on sales of mortgage loans.Loss Mitigation ActivitiesServicers perform loss mitigation activities as well as foreclosures on loans that they service for us.Our loss mitigation strategy emphasizes early intervention by servicers in delinquent loans and offers alternatives to foreclosure by

328、providing servicers with default management programs designed to manage delinquent loans and to assist borrowers in maintaining homeownership or facilitate foreclosure alternatives.We offer(or previously offered)a variety of borrower assistance programs,including refinance programs for certain eligi

329、ble loans and loan workout activities for struggling borrowers.Our loan workouts include both home retention options and foreclosure alternatives.Relief Refinance Program Our relief refinance program allowed eligible homeowners whose loans we already owned or guaranteed to refinance with more favora

330、ble terms(such as reduction in payment,reduction in interest rate,or movement to a more stable loan product)and without the need to obtain additional mortgage insurance.The relief refinance program also provided liquidity for borrowers who were current on their mortgages but were unable to refinance

331、 because their LTV ratios exceeded our standard refinance limits.Our current relief refinance offering,the Enhanced Relief RefinanceSM program,has been suspended until further notice.Loan Workout ActivitiesHome Retention Options When refinancing is not practicable,we require our servicers to attempt

332、 to establish contact with the borrowers to discuss the most appropriate options for delinquency resolution.When the contact is established,we require our servicers first to evaluate the loan for a forbearance plan,repayment plan,payment deferral plan,or loan modification,because our level of recove

333、ry on a loan that reperforms is often higher than for a loan that proceeds to a foreclosure alternative or foreclosure.Although workout options are often less costly than a foreclosure,we incur costs as a result of our loss mitigation activities.Specifically,payment deferral plans result in non-interest-bearing balances we have to finance for the life of the mortgage,resulting in economic costs a