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1、 UNITED STATES SECURITIES AND EXCHANGE COMMISSIONWashington,D.C.20549FORM 10-Q QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)OF THE SECURITIES EXCHANGE ACT OF 1934.For the quarterly period ended June 30,2024 orTRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)OF THE SECURITIES EXCHANGE ACT OF 1934.

2、For the transition period from toCommission 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 incorporationoro

3、rganization)(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/AIndicate by c

4、heck mark whether the registrant:(1)has filed all reports required to be filed by Section13 or 15(d)of the Securities Exchange Act of 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 requirement

5、s for the past 90days.Yes NoIndicate by check mark whether the registrant has submitted electronically every Interactive Data File required 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 re

6、quired to submit such files).Yes NoIndicate by check mark whether the registrant is a large accelerated filer,an accelerated filer,a non-accelerated filer,a smaller reporting company,or an emerging growth company.See the definitions of large accelerated filer,accelerated filer,smaller reporting comp

7、any,and emerging growth company in Rule12b-2 of the Exchange Act.Large accelerated filer Accelerated filer Non-acceleratedfiler SmallerreportingcompanyEmerging growth companyIf an emerging growth company,indicate by check mark if the registrant has elected not to use the extended transition period f

8、or complying with any new or revised financial accounting standards provided pursuant to Section 13(a)of the Exchange Act.Indicate by check mark whether the registrant is a shell company(as defined in Rule 12b-2 of the Exchange Act).Yes No As of July9,2024,there were 650,059,553 shares of the regist

9、rants common stock outstanding.Table of ContentsPageMANAGEMENTS DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS1n Introduction1n Housing and Mortgage Market Conditions4n Consolidated Results of Operations6n Consolidated Balance Sheets Analysis10n Our Portfolios11n Our Busine

10、ss Segments13n Risk Management22lCredit Risk22lMarket Risk31n Liquidity and Capital Resources34n Critical Accounting Estimates42n Regulation and Supervision43n Forward-Looking Statements45FINANCIAL STATEMENTS47OTHER INFORMATION96CONTROLS AND PROCEDURES98EXHIBIT INDEX99SIGNATURES100FORM 10-Q INDEX101

11、Table of ContentsFreddie Mac 2Q 2024 Form 10-QiMD&A TABLE INDEX1Summary of Consolidated Statements of Income and Comprehensive Income62Components of Net Interest Income63Analysis of Net Interest Yield74Components of Non-Interest Income85(Provision)Benefit for Credit Losses86Components of Non-Interes

12、t Expense97Summarized Condensed Consolidated Balance Sheets108Mortgage Portfolio119Mortgage-Related Investments Portfolio1210Other Investments Portfolio1211Single-Family Segment Financial Results1712Multifamily Segment Financial Results2113Allowance for Credit Losses Activity2214Allowance for Credit

13、 Losses Ratios2315Single-Family New Business Activity2416Single-Family Mortgage Portfolio Newly Acquired Credit Enhancements2417Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding2518Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family

14、 Mortgage Portfolio2619Credit Quality Characteristics of Our Single-Family Mortgage Portfolio2620Single-Family Mortgage Portfolio Attribute Combinations2721Single-Family Completed Loan Workout Activity2922Multifamily Mortgage Portfolio CRT Issuance3023Credit-Enhanced and Non-Credit-Enhanced Loans Un

15、derlying Our Multifamily Mortgage Portfolio3124Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement3125PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve3226Duration Gap and PVS Results3227PVS-L Results Before Derivatives and After Derivatives3228Earnings Sensitiv

16、ity to Changes in Interest Rates3329Liquidity Sources3430Funding Sources3531Debt of Freddie Mac Activity3532Maturity and Redemption Dates3633Debt of Consolidated Trusts Activity3734Net Worth Activity3835Regulatory Capital Components3936Statutory Capital Components3937Capital Metrics Under ERCF4038Fo

17、recasted House Price Growth Rates42TableDescriptionPageTable of ContentsFreddie Mac 2Q 2024 Form 10-QiiManagements Discussion and Analysis of Financial Condition and Results of OperationsThis Quarterly Report on Form 10-Q includes forward-looking statements that are based on current expectations and

18、 that are subject to significant risks and uncertainties.These forward-looking statements are made as of the date of this Form 10-Q.We undertake no obligation to update any forward-looking statement to reflect events or circumstances after the date of this Form 10-Q.Actual results might differ signi

19、ficantly from those described in or implied by such statements due to various factors and uncertainties,including those described in the MD&A-Forward-Looking Statements section of this Form 10-Q and the Introduction and Risk Factors sections of our Annual Report on Form 10-K for the year ended Decem

20、ber 31,2023,or 2023 Annual Report.Throughout this Form 10-Q,we use certain acronyms and terms that are defined in the Glossary of our 2023 Annual Report.You should read the following MD&A in conjunction with our 2023 Annual Report and our condensed consolidated financial statements and accompanying

21、notes for the three and six months ended June 30,2024 included in Financial Statements.INTRODUCTIONFreddie Mac is a GSE chartered by Congress in 1970,with a mission to provide liquidity,stability,and affordability to the U.S.housing market.We do this primarily by purchasing single-family and multifa

22、mily residential mortgage loans originated by lenders.In most instances,we package these loans into guaranteed mortgage-related securities,which are sold in the global capital markets,and transfer interest-rate and liquidity risks to third-party investors.In addition,we transfer a portion of our mor

23、tgage credit risk exposure to third-party investors through our credit risk transfer programs,which include securities-and insurance-based offerings.We also invest in mortgage loans,mortgage-related securities,and other types of assets.We do not originate mortgage loans or lend money directly to mor

24、tgage 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 helped many distressed borrowers keep their ho

25、mes or avoid foreclosure and have helped many distressed renters avoid eviction.Since September 2008,we have been operating in conservatorship,with FHFA as our Conservator.The conservatorship and related matters significantly affect our management,business activities,financial condition,and results

26、of operations.Our future is uncertain,and the conservatorship has no specified termination date.We do not know what changes may occur to our business model during or following conservatorship,including whether we will continue to exist.In connection with our entry into conservatorship,we entered int

27、o the Purchase Agreement with Treasury,under which we issued Treasury both senior preferred stock and a warrant to purchase common stock.Our Purchase Agreement with Treasury is critical to keeping us solvent and avoiding the appointment of a receiver by FHFA under statutory mandatory receivership pr

28、ovisions.We believe the support provided by Treasury pursuant to the Purchase Agreement currently enables us to have adequate liquidity to conduct normal business activities.For additional information on the conservatorship and related matters and the Purchase Agreement,see our 2023 Annual Report.Ma

29、nagements Discussion and AnalysisIntroduction Freddie Mac 2Q 2024 Form 10-Q1Business ResultsConsolidated Financial ResultsNet Revenues and Net Income(In billions)$5.3$5.7$5.4$5.8$6.0$2.9$2.7$2.9$2.8$2.8Net RevenuesNet Income2Q233Q234Q231Q242Q24 Net Worth (In billions)$42.0$44.7$47.7$50.5$53.206/30/2

30、309/30/2312/31/2303/31/2406/30/24Key Drivers:n Net income was$2.8billion,a decrease of 6%year-over-year,primarily driven by a credit reserve build in the current period compared to a credit reserve release in the prior year period,partially offset by higher net revenues.nNet revenues were$6.0billion

31、,an increase of 12%year-over-year,driven by higher net interest income and higher non-interest income.n Net worth was$53.2 billion as of June 30,2024,up from$42.0 billion as of June 30,2023.The quarterly increases in net worth have been,or will be,added to the aggregate liquidation preference of the

32、 senior preferred stock.The liquidation preference of the senior preferred stock was$123.1 billion on June 30,2024,and will increase to$125.9 billion on September 30,2024 based on the increase in net worth in 2Q 2024.Market Liquidity Market Liquidity(In thousands)372389391279349217233199161212413837

33、33451141181558592Single-Family home purchase borrowersSingle-Family refinance borrowersMultifamily rental units2Q233Q234Q231Q242Q24We support the U.S.housing market by executing our mission to provide liquidity and help maintain credit availability for new and refinanced single-family mortgages as w

34、ell as for rental housing.We provided$96 billion in liquidity to the mortgage market in 2Q 2024,which enabled the financing of 349,000 home purchases,refinancings,and rental units.Managements Discussion and AnalysisIntroduction Freddie Mac 2Q 2024 Form 10-Q2Mortgage Portfolio BalancesMortgage Portfo

35、lio(UPB in billions)$3,431$3,456$3,480$3,486$3,506$3,004$3,024$3,039$3,043$3,058$427$432$441$443$447Single-Family mortgage portfolioMultifamily mortgage portfolio06/30/2309/30/2312/31/2303/31/2406/30/24Key Drivers:n Our mortgage portfolio increased 2%year-over-year to$3.5trillion at June 30,2024,con

36、tinuing to grow at a moderate pace as new business activity remained low.lOur Single-Family mortgage portfolio was$3.1 trillion at June 30,2024,up 2%year-over-year.lOur Multifamily mortgage portfolio was$447 billion at June 30,2024,up 5%year-over-year.Credit Enhancement CoverageSingle-Family Mortgag

37、e Portfolio with Credit Enhancement(UPB in billions)$1,864$1,865$1,860$1,867$1,90062%62%61%61%62%UPBPercentage06/30/2309/30/2312/31/2303/31/2406/30/24Multifamily Mortgage Portfolio with Credit Enhancement(UPB in billions)$402$410$415$415$42394%95%94%94%95%UPBPercentage06/30/2309/30/2312/31/2303/31/2

38、406/30/24In addition to transferring interest-rate and liquidity risk to third-party investors through our securitization activities,we engage in various types of credit enhancements,such as primary mortgage insurance and CRT transactions,to reduce our credit risk exposure and transfer a portion of

39、the credit risk on certain loans in our mortgage portfolio to third parties.At June 30,2024,we had credit enhancement coverage on 62%of our Single-Family mortgage portfolio and 95%of our Multifamily mortgage portfolio.See MD&A-Risk Management Credit Risk for additional information on our credit enha

40、ncements.Managements Discussion and AnalysisIntroduction Freddie Mac 2Q 2024 Form 10-Q3HOUSING AND 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 p

41、rior period data have been updated to reflect revised historical data.For additional information on the effect of these indicators on our business and financial results,see MD&A Consolidated Results of Operations and MD&A Our Business Segments.Single-Family U.S.Single-Family Home Sales and House Pri

42、ces 4,8854,7024,5264,8634,7034,1874,0203,8804,2004,0476986826466636561.7%2.5%0.9%1.5%0.2%Sales of existing homes(units in thousands)Sales of new homes(units in thousands)Single-family house price growth rate2Q233Q234Q231Q242Q24Sources:National Association of Realtors,U.S.Census Bureau,and Freddie Ma

43、c House Price Index(seasonally adjusted rate).U.S.Single-Family Mortgage Originations (UPB in billions)$420$405$315$325$4356.71%7.31%6.61%6.79%6.86%U.S.single-family originations30-year PMMS rate2Q233Q234Q231Q242Q24Source:Freddie Mac and Inside Mortgage Finance.Single-Family Serious Delinquency Rate

44、s1.61%1.52%1.52%1.44%0.56%0.55%0.55%0.52%0.50%Total mortgage marketFreddie Mac2Q233Q234Q231Q242Q24Source:Freddie Mac and National Delinquency Survey from the Mortgage Bankers Association.The 2Q 2024 total mortgage market rate is not yet available.Single-Family Mortgage Debt Outstanding(UPB in trilli

45、ons)$3.0$3.0$3.0$3.0$3.0$13.7$13.8$13.9$14.0$14.0Freddie Mac Single-Family mortgage portfolioU.S.single-family mortgage debt outstanding1Q232Q233Q234Q231Q24Source:Freddie Mac and Federal Reserve Financial Accounts of the United States of America.The 2Q 2024 U.S.single-family mortgage debt outstandin

46、g balance is not yet available.Managements Discussion and AnalysisHousing and Mortgage Market ConditionsFreddie Mac 2Q 2024 Form 10-Q4MultifamilyApartment Vacancy Rates and Change in Effective Rents5.2%5.2%5.6%5.6%5.7%0.9%(1.5)%(0.2)%0.4%0.8%Apartment vacancy ratesQuarterly change in effective rents

47、Long-term quarterly effective rent growth rate(2000-2Q24)2Q233Q234Q231Q242Q24Source:Reis.Multifamily Property Price Growth Rate(1.8)%(1.6)%(2.0)%(2.3)%(1.8)%2Q233Q234Q231Q242Q24Source:Real Capital Analytics Commercial Property Price Index(RCA CPPI).Multifamily Delinquency Rates0.21%0.24%0.28%0.34%0.

48、38%0.65%0.57%0.57%0.96%1.26%0.21%0.29%0.32%0.38%Freddie Mac(60+day)Multifamily CMBS market(60+day)FDIC insured institutions(90+day)2Q233Q234Q231Q242Q24Source:Freddie Mac,FDIC Quarterly Banking Profile,Intex Solutions,Inc.,and Wells Fargo Securities(Multifamily CMBS conduit market,excluding REOs).The

49、 2Q 2024 delinquency rate for FDIC insured institutions is not yet available.Multifamily Mortgage Debt Outstanding(UPB in billions)$426$427$432$441$443$2,115$2,141$2,167$2,188$2,214Freddie Mac Multifamily mortgage portfolioU.S.multifamily mortgage debt outstanding1Q232Q233Q234Q231Q24Source:Freddie M

50、ac and Federal Reserve Financial Accounts of the United States of America.The 2Q 2024 U.S.multifamily mortgage debt outstanding balance is not yet available.Managements Discussion and AnalysisHousing and Mortgage Market ConditionsFreddie Mac 2Q 2024 Form 10-Q5CONSOLIDATED RESULTS OF OPERATIONSThe di

51、scussion of our consolidated results of operations should be read in conjunction with our condensed consolidated financial statements and accompanying notes.The table below compares our summarized consolidated results of operations.Table 1-Summary of Consolidated Statements of Income and Comprehensi

52、ve IncomeChangeChange(Dollars in millions)2Q 20242Q 2023$%(1)YTD 2024YTD 2023$%(1)Net interest income$4,928$4,523$405 9%$9,687$9,024$663 7%Non-interest income 1,060 816 244 30 2,058 1,142 916 80 Net revenues 5,988 5,339 649 12 11,745 10,166 1,579 16(Provision)benefit for credit losses(394)537 (931)N

53、M(575)142 (717)NMNon-interest expense(2,134)(2,204)70 3 (4,256)(4,136)(120)(3)Income before income tax expense 3,460 3,672 (212)(6)6,914 6,172 742 12 Income tax expense(695)(728)33 5 (1,383)(1,233)(150)(12)Net income 2,765 2,944 (179)(6)5,531 4,939 592 12 Other comprehensive income(loss),net of taxe

54、s and reclassification adjustments(5)(54)49 91 (30)(30)NMComprehensive income$2,760$2,890 ($130)(4)%$5,501$4,939$562 11%(1)NM-not meaningful.Net RevenuesNet Interest IncomeThe table below presents the components of net interest income.Table 2-Components of Net Interest Income ChangeChange(Dollars in

55、 millions)2Q 20242Q 2023$%YTD 2024YTD 2023$%Guarantee net interest income:Contractual net interest income$3,814$3,658$156 4%$7,586$7,324$262 4%Deferred fee income 179 232 (53)(23)345 439 (94)(21)Total guarantee net interest income 3,993 3,890 103 3 7,931 7,763 168 2 Investments net interest income 1

56、,570 1,611 (41)(3)3,084 3,043 41 1 Impact on net interest income from hedge accounting(635)(978)343 35 (1,328)(1,782)454 25 Net interest income$4,928$4,523$405 9%$9,687$9,024$663 7%Key Drivers:nGuarantee net interest incomel 2Q 2024 vs.2Q 2023 and YTD 2024 vs.YTD 2023-Increased primarily due to cont

57、inued mortgage portfolio growth.nImpact on net interest income from hedge accountingl 2Q 2024 vs.2Q 2023 and YTD 2024 vs.YTD 2023-Decreased due to lower expense related to debt in hedge accounting relationships.Managements Discussion and AnalysisConsolidated Results of OperationsFreddie Mac 2Q 2024

58、Form 10-Q6Net Interest Yield AnalysisThe table below presents a yield analysis of interest-earning assets and interest-bearing liabilities.Table 3-Analysis of Net Interest Yield2Q 20242Q 2023(Dollars in millions)AverageBalanceInterestIncome(Expense)AverageRateAverageBalanceInterestIncome(Expense)Ave

59、rageRateInterest-earning assets:Cash and cash equivalents$11,368$123 4.26%$13,572$135 3.93%Securities purchased under agreements to resell 116,817 1,593 5.46 127,016 1,622 5.11 Investment securities 41,899 484 4.62 39,617 363 3.67 Mortgage loans(1)3,113,656 26,821 3.45 3,047,556 23,598 3.10 Other as

60、sets 2,610 43 6.51 2,749 37 5.40 Total interest-earning assets 3,286,350 29,064 3.54 3,230,510 25,755 3.19 Interest-bearing liabilities:Debt of consolidated trusts 3,049,378 (21,634)(2.84)2,984,057 (18,608)(2.49)Debt of Freddie Mac 180,158 (2,502)(5.55)201,432 (2,624)(5.21)Total interest-bearing lia

61、bilities 3,229,536 (24,136)(2.99)3,185,489 (21,232)(2.67)Impact of net non-interest-bearing funding 56,814 0.05 45,021 0.04 Total funding of interest-earning assets 3,286,350 (24,136)(2.94)3,230,510 (21,232)(2.63)Net interest income/yield$4,928 0.60%$4,523 0.56%(1)Loan fees included in net interest

62、income were$0.3 billion during both 2Q 2024 and 2Q 2023.YTD 2024YTD 2023(Dollars in millions)AverageBalanceInterestIncome(Expense)AverageRateAverageBalanceInterestIncome(Expense)AverageRateInterest-earning assets:Cash and cash equivalents$11,754$248 4.17%$13,665$256 3.72%Securities purchased under a

63、greements to resell 114,307 3,125 5.47 117,266 2,842 4.85 Investment securities 41,596 954 4.59 38,871 679 3.49 Mortgage loans(1)3,106,884 53,050 3.42 3,044,84346,902 3.08 Other assets 2,197 72 6.49 2,33963 5.36 Total interest-earning assets 3,276,738 57,449 3.50 3,216,98450,742 3.15 Interest-bearin

64、g liabilities:Debt of consolidated trusts 3,042,226 (42,756)(2.81)2,979,737 (36,869)(2.47)Debt of Freddie Mac 180,504 (5,006)(5.54)194,516 (4,849)(4.98)Total interest-bearing liabilities 3,222,730 (47,762)(2.96)3,174,253 (41,718)(2.63)Impact of net non-interest-bearing funding 54,008 0.05 42,731 0.0

65、3 Total funding of interest-earning assets 3,276,738 (47,762)(2.91)3,216,984 (41,718)(2.60)Net interest income/yield$9,687 0.59%$9,024 0.55%(1)Loan fees included in net interest income were$0.6 billion during both YTD 2024 and YTD 2023.Managements Discussion and AnalysisConsolidated Results of Opera

66、tionsFreddie Mac 2Q 2024 Form 10-Q7Non-Interest IncomeThe table below presents the components of non-interest income.Table 4-Components of Non-Interest IncomeChangeChange(Dollars in millions)2Q 20242Q 2023$%YTD 2024YTD 2023$%Guarantee income$383$309$74 24%$879$775$104 13%Investment gains,net 549 411

67、 138 34 954 186 768 413 Other income 128 96 32 33 225 181 44 24 Non-interest income$1,060$816$244 30%$2,058$1,142$916 80%Key Drivers:n Guarantee income l 2Q 2024 vs.2Q 2023-Increased primarily due to lower fair value losses on guarantee assets as a result of smaller medium-term interest rate increas

68、es in 2Q 2024.lYTD 2024 vs.YTD 2023-Increased primarily due to favorable fair value changes on guarantee assets from prepayment rates.n Investment gains,net l 2Q 2024 vs.2Q 2023-Increased primarily due to impacts from interest-rate risk management activities.lYTD 2024 vs.YTD 2023-Increased primarily

69、 due to higher revenues from held-for-sale loan purchase and securitization activities and impacts from interest-rate risk management activities.(Provision)Benefit for Credit LossesThe table below presents the components of provision for credit losses.Table 5-(Provision)Benefit for Credit LossesChan

70、geChange(Dollars in millions)2Q 20242Q 2023$%(1)YTD 2024YTD 2023$%(1)Single-Family($315)$638 ($953)NM($435)$320 ($755)NMMultifamily(79)(101)22 22%(140)(178)38 21%(Provision)benefit for credit losses($394)$537 ($931)NM($575)$142 ($717)NM(1)NM-not meaningful.Key Drivers:n2Q 2024 vs.2Q 2023-The provisi

71、on for credit losses for 2Q 2024 was primarily driven by a credit reserve build in Single-Family attributable to new acquisitions.The benefit for credit losses for 2Q 2023 was primarily driven by a credit reserve release in Single-Family due to improvements in house prices,partially offset by a cred

72、it reserve build in Multifamily.nYTD 2024 vs.YTD 2023-The provision for credit losses for YTD 2024 was primarily driven by a credit reserve build in Single-Family attributable to new acquisitions and increasing mortgage interest rates.The benefit for credit losses for YTD 2023 was primarily driven b

73、y a credit reserve release in Single-Family due to improvements in house prices,partially offset by a credit reserve build in Multifamily.Managements Discussion and AnalysisConsolidated Results of OperationsFreddie Mac 2Q 2024 Form 10-Q8Non-Interest Expense The table below presents the components of

74、 non-interest expense.Table 6-Components of Non-Interest Expense ChangeChange(Dollars in millions)2Q 20242Q 2023$%YTD 2024YTD 2023$%Salaries and employee benefits($420)($405)($15)(4)%($841)($779)($62)(8)%Credit enhancement expense(588)(590)2 (1,185)(1,120)(65)(6)Benefit for(decrease in)credit enhanc

75、ement recoveries(7)(108)101 94 (6)(59)53 90 Legislative assessments expense:Legislated guarantee fees expense(728)(710)(18)(3)(1,452)(1,418)(34)(2)Affordable housing funds allocation(40)(41)1 2 (70)(68)(2)(3)Total legislative assessments expense(768)(751)(17)(2)(1,522)(1,486)(36)(2)Other expense(351

76、)(350)(1)(702)(692)(10)(1)Non-interest expense($2,134)($2,204)$70 3%($4,256)($4,136)($120)(3)%Key Drivers:n Credit enhancement expense l YTD 2024 vs.YTD 2023-Increased primarily due to higher expenses related to STACR Trust note repurchases.n Benefit for(decrease in)credit enhancement recoveriesl 2Q

77、 2024 vs.2Q 2023 and YTD 2024 vs.YTD 2023-Decreased primarily due to a smaller decrease in expected credit losses on covered loans.n Legislative assessments expensel YTD 2024 vs.YTD 2023-Increased primarily due to higher legislated guarantee fees expense as a result of growth in our Single-Family mo

78、rtgage portfolio.Managements Discussion and AnalysisConsolidated Results of OperationsFreddie Mac 2Q 2024 Form 10-Q9CONSOLIDATED BALANCE SHEETS ANALYSISThe table below compares our summarized condensed consolidated balance sheets.Table 7-Summarized Condensed Consolidated Balance Sheets Change(Dollar

79、s in millions)June 30,2024December 31,2023$%Assets:Cash and cash equivalents$5,532$6,019 ($487)(8)%Securities purchased under agreements to resell 97,180 95,148 2,032 2 Investment securities,at fair value 43,480 43,275 205 Mortgage loans held-for-sale 12,346 12,941 (595)(5)Mortgage loans held-for-in

80、vestment 3,105,869 3,083,665 22,204 1 Accrued interest receivable,net 10,445 9,925 520 5 Deferred tax assets,net 4,795 4,076 719 18 Other assets 27,605 25,927 1,678 6 Total assets$3,307,252$3,280,976$26,276 1%Liabilities and Equity:Liabilities:Accrued interest payable$9,346$8,812$534 6%Debt 3,227,61

81、2 3,208,346 19,266 1 Other liabilities 17,071 16,096 975 6 Total liabilities 3,254,029 3,233,254 20,775 1 Total equity 53,223 47,722 5,501 12 Total liabilities and equity$3,307,252$3,280,976$26,276 1%Key Drivers:As of June30,2024 compared to December31,2023:n Mortgage loans held-for-investment incre

82、ased primarily due to growth in our Single-Family mortgage portfolio.n Debt increased due to an increase in debt of consolidated trusts driven by growth in our Single-Family mortgage portfolio.Managements Discussion and AnalysisConsolidated Balance Sheets Analysis Freddie Mac 2Q 2024 Form 10-Q10OUR

83、PORTFOLIOSMortgage PortfolioThe table below presents the UPB of our mortgage portfolio by segment.Table 8-Mortgage Portfolio June 30,2024December 31,2023(In millions)Single-FamilyMultifamilyTotalSingle-FamilyMultifamilyTotalMortgage loans held-for-investment:By consolidated trusts$2,977,525$55,395$3

84、,032,920$2,963,296$47,433$3,010,729By Freddie Mac39,0129,71948,73133,21311,77044,983Total mortgage loans held-for-investment 3,016,537 65,114 3,081,651 2,996,509 59,203 3,055,712 Mortgage loans held-for-sale 3,244 9,660 12,904 3,527 9,905 13,432 Total mortgage loans 3,019,781 74,774 3,094,555 3,000,

85、036 69,108 3,069,144 Mortgage-related guarantees:Mortgage loans held by nonconsolidated trusts 30,188 361,442 391,630 30,182 360,928 391,110 Other mortgage-related guarantees 8,325 11,054 19,379 8,692 10,761 19,453 Total mortgage-related guarantees 38,513 372,496 411,009 38,874 371,689 410,563 Total

86、 mortgage portfolio$3,058,294$447,270$3,505,564$3,038,910$440,797$3,479,707 Guaranteed mortgage-related securities:Issued by consolidated trusts$2,988,924$55,426$3,044,350$2,970,707$47,436$3,018,143Issued by nonconsolidated trusts24,553322,434346,98724,600321,262345,862Total guaranteed mortgage-rela

87、ted securities$3,013,477$377,860$3,391,337$2,995,307$368,698$3,364,005 Investments PortfolioOur investments portfolio consists of our mortgage-related investments portfolio and our other investments portfolio.Mortgage-Related Investments PortfolioThe Purchase Agreement limits the size of our mortgag

88、e-related investments portfolio to a maximum amount of$225 billion.The calculation of mortgage assets subject to the Purchase Agreement cap includes the UPB of mortgage assets and 10%of the notional value of interest-only securities.We are also subject to additional limitations on the size and compo

89、sition of our mortgage-related investments portfolio pursuant to FHFA guidance.For additional information on the restrictions on our mortgage-related investments portfolio,see the MD&A-Conservatorship and Related Matters section in our 2023 Annual Report.Managements Discussion and AnalysisOur Portfo

90、liosFreddie Mac 2Q 2024 Form 10-Q11The table below presents the details of our mortgage-related investments portfolio.Table 9-Mortgage-Related Investments PortfolioJune 30,2024December 31,2023(In millions)Single-FamilyMultifamilyTotalSingle-FamilyMultifamilyTotalUnsecuritized mortgage loans:Securiti

91、zation pipeline loans(1)$12,397$13,696$26,093$8,225$15,197$23,422 Other loans(2)29,859 5,683 35,542 28,515 6,478 34,993 Total unsecuritized mortgage loans 42,256 19,379 61,635 36,74021,67558,415Mortgage-related securities:Investment securities 2,890 4,272 7,162 2,667 4,613 7,280 Debt of consolidated

92、 trusts 18,234 638 18,872 18,639 660 19,299 Total mortgage-related securities 21,124 4,910 26,034 21,306 5,273 26,579 Mortgage-related investments portfolio$63,380$24,289$87,669$58,046$26,948$84,994 10%of notional amount of interest-only securities$22,759$22,186Mortgage-related investments portfolio

93、 for purposes of Purchase Agreement cap110,428107,180(1)Single-family and multifamily loans that we have purchased for cash and aggregate on our balance sheet for securitization within the normal course of business.(2)Primarily includes delinquent and modified single-family loans that we have purcha

94、sed from securitization trusts.Other Investments PortfolioThe table below presents the details of the carrying value of our other investments portfolio.Table 10-Other Investments Portfolio June 30,2024December 31,2023(In millions)Liquidity and Contingency Operating PortfolioCustodial AccountOtherTot

95、al Other Investments PortfolioLiquidity and Contingency Operating PortfolioCustodial AccountOtherTotal Other Investments PortfolioCash and cash equivalents$4,326$1,100$106$5,532$5,041$890$88$6,019 Securities purchased under agreements to resell 95,476 12,692 1,088 109,256 94,904 9,396 1,093 105,393

96、Non-mortgage related securities(1)25,488 5,501 30,989 24,153 6,119 30,272 Other assets 6,235 6,235 5,555 5,555 Other investments portfolio$125,290$13,792$12,930$152,012$124,098$10,286$12,855$147,239(1)Primarily consists of U.S.Treasury securities.Managements Discussion and AnalysisOur PortfoliosFred

97、die Mac 2Q 2024 Form 10-Q12OUR BUSINESS SEGMENTSAs shown in the table below,we have two reportable segments,which are based on the way we manage our business.SegmentDescriptionSingle-Family Reflects results from our purchase,securitization,and guarantee of single-family loans,our investments in sing

98、le-family loans and mortgage-related securities,the management of Single-Family mortgage credit risk and market risk,and any results of our treasury function that are not allocated to each segment.MultifamilyReflects results from our purchase,securitization,and guarantee of multifamily loans,our inv

99、estments in multifamily loans and mortgage-related securities,and the management of Multifamily mortgage credit risk and market risk.Segment Net Revenues and Net Income The charts below show our net revenues and net income by segment.Segment Net Revenues(In billions)$4.4$4.9$4.8$4.5$5.1$8.6$9.6$1.0$

100、0.8$0.6$1.3$0.9$1.6$2.2Single-FamilyMultifamily2Q233Q234Q231Q242Q24YTD23YTD24Segment Net Income(In billions)$2.4$2.3$2.7$1.9$2.3$4.1$4.2$0.6$0.4$0.3$0.8$0.5$0.9$1.3Single-FamilyMultifamily2Q233Q234Q231Q242Q24YTD23YTD24Managements Discussion and AnalysisOur Business SegmentsFreddie Mac 2Q 2024 Form 1

101、0-Q13Single-Family Business ResultsThe charts,tables,and related discussion below present the business results of our Single-Family segment.New Business ActivityUPB of Single-Family Loan Purchases and Guarantees by Loan Purpose and Average Estimated Guarantee Fee Rate(1)on New Acquisitions(UPB in bi

102、llions)$83$85$73$62$85$142$148$73$76$65$53$74$124$128$10$9$8$9$11$18$2057555655545655Home purchaseRefinanceAverage estimated guarantee fee rateon new acquisitions(bps)2Q233Q234Q231Q242Q24YTD23YTD24(1)Estimated guarantee fee rate calculation excludes the legislated guarantee fees and includes deferre

103、d fees recognized over the estimated life of the related loans.Number of Families Helped to Own a Home and Average Loan UPB of New Acquisitions(Loan count in thousands)25827123619425744845121723319916121237437341383733457478$322,000$314,000$308,000$320,000$332,000$317,000$327,000Home purchase borrow

104、ersRefinance borrowersAverage loan UPB of new acquisitions2Q233Q234Q231Q242Q24YTD23YTD24n 2Q 2024 vs.2Q 2023 and YTD 2024 vs.YTD 2023lOur loan purchase and guarantee activity increased slightly.lThe average loan size of new acquisitions increased due to a higher conforming loan limit and house price

105、 appreciation in recent quarters.lEstimated guarantee fee rate calculations are based on month-end market rates for the month of acquisition.The average estimated guarantee fee rate on new acquisitions declined slightly due to changes in business mix and slower estimated prepayment rates based on su

106、ch month-end market rates.Managements Discussion and AnalysisOur Business Segments|Single-FamilyFreddie Mac 2Q 2024 Form 10-Q14Single-Family Mortgage PortfolioSingle-Family Mortgage Portfolio and Average Estimated Guarantee Fee Rate(1)on Mortgage Portfolio(UPB in billions)$3,004$3,024$3,039$3,043$3,

107、0584848484949Single-Family mortgage portfolioAverage estimated guarantee fee rate onmortgage portfolio(bps)06/30/23 09/30/23 12/31/23 03/31/24 06/30/24(1)Estimated guarantee fee rate is calculated as of acquisition and includes deferred fees recognized over the estimated life of the related loans.Es

108、timated guarantee fee rate calculation excludes the legislated guarantee fees and certain loans,the majority of which are held by VIEs that we do not consolidate.The UPB of these excluded loans was$40 billion as of June30,2024.Single-Family Mortgage Loans(Loan count in millions)13.613.713.713.813.8$

109、220,000$221,000$221,000$221,000$222,000Single-Family mortgage portfolio Average loan UPB06/30/23 09/30/23 12/31/23 03/31/24 06/30/24n Our Single-Family mortgage portfolio was$3.1 trillion at June30,2024,up 2%year-over-year.The mortgage portfolio continued to grow at a moderate pace as new business a

110、ctivity remained low.n The average estimated guarantee fee rate on our Single-Family mortgage portfolio increased slightly year-over-year.Managements Discussion and AnalysisOur Business Segments|Single-FamilyFreddie Mac 2Q 2024 Form 10-Q15Credit EnhancementsWe obtain credit enhancements on a portion

111、 of our Single-Family mortgage portfolio to reduce the risk of future losses to us when borrowers default.The charts below provide the UPB of the mortgage loans acquired during the periods presented that were covered by primary mortgage insurance,the UPB of the mortgage loans covered by CRT transact

112、ions issued during the periods presented,and maximum coverage related to these credit enhancements.The primary mortgage insurance and CRT activities presented in these charts are not mutually exclusive as a single loan may be covered by both primary mortgage insurance and CRT transactions.New Acquis

113、itions Covered by Primary Mortgage Insurance(In billions)$35$35$29$25$35$62$60$9$9$8$7$9$16$16UPBMaximum Coverage2Q233Q234Q231Q242Q24YTD23 YTD24New CRT Issuance(In billions)$56$8$36$58$43$71$100$2$0$1$2$1$3$3UPBMaximum Coverage2Q233Q234Q231Q242Q24YTD23 YTD24n 2Q 2024 vs.2Q 2023 and YTD 2024 vs.YTD 2

114、023lThe UPB of mortgage loans acquired during YTD 2024 that were covered by primary mortgage insurance decreased slightly year-over-year.lThe UPB of mortgage loans covered by CRT transactions issued during the period decreased in 2Q 2024 compared to 2Q 2023,as we continued to manage our CRT activiti

115、es to meet the full-year 2024 CRT issuance target.lThe UPB of mortgage loans covered by CRT transactions issued during the period increased in YTD 2024 compared to YTD 2023 due to changes in business strategy in YTD 2023 that increased the timeline between loan acquisition and CRT issuance and resul

116、ted in a smaller population of loans that were covered by CRT transactions issued in YTD 2023.See MD&A-Risk Management-Single-Family Mortgage Credit Risk-Transferring Credit Risk to Third-Party Investors for additional information on our credit enhancements.Managements Discussion and AnalysisOur Bus

117、iness Segments|Single-FamilyFreddie Mac 2Q 2024 Form 10-Q16Financial Results The table below presents the results of operations for our Single-Family segment.See Note 11 for additional information about segment financial results.Table 11-Single-Family Segment Financial Results ChangeChange(Dollars i

118、n millions)2Q 20242Q 2023$%(1)YTD 2024YTD 2023$%(1)Net interest income$4,635$4,295$340 8%$9,123$8,591$532 6%Non-interest income 459 65 394 606 445 (28)473 NMNet revenues 5,094 4,360 734 17 9,568 8,563 1,005 12(Provision)benefit for credit losses(315)638 (953)NM(435)320 (755)NMNon-interest expense (1

119、,921)(2,028)107 5 (3,846)(3,811)(35)(1)Income before Income tax expense 2,858 2,970 (112)(4)5,287 5,072 215 4 Income tax expense(574)(589)15 3 (1,058)(1,014)(44)(4)Net income 2,284 2,381 (97)(4)4,229 4,058 171 4 Other comprehensive income(loss),net of taxes and reclassification adjustments(5)2 (7)NM

120、(10)1 (11)NMComprehensive income$2,279$2,383 ($104)(4)%$4,219$4,059$160 4%(1)NM-not meaningful.Key Business Drivers:n2Q 2024 vs.2Q 2023lNet income of$2.3 billion,down 4%year-over-year.Net revenues were$5.1 billion,up 17%year-over-year.Net interest income was$4.6 billion,up 8%year-over-year,primarily

121、 driven by continued mortgage portfolio growth and lower expense related to debt in hedge accounting relationships.Non-interest income was$0.5 billion,up from$65 million in 2Q 2023,due to impacts from interest-rate risk management activities.Provision for credit losses was$0.3 billion for 2Q 2024,pr

122、imarily driven by a credit reserve build attributable to new acquisitions.The benefit for credit losses of$0.6 billion for 2Q 2023 was primarily driven by a credit reserve release due to improvements in house prices.nYTD 2024 vs.YTD 2023lNet income of$4.2 billion,up 4%year-over-year.Net revenues wer

123、e$9.6 billion,up 12%year-over-year.Net interest income was$9.1 billion,up 6%year-over-year,primarily driven by continued mortgage portfolio growth and lower expense related to debt in hedge accounting relationships.Non-interest income was$0.4 billion,up from($28)million in 2Q 2023,due to impacts fro

124、m interest-rate risk management activities.Provision for credit losses was$0.4 billion for YTD 2024,primarily driven by a credit reserve build attributable to new acquisitions and increasing mortgage interest rates.The benefit for credit losses of$0.3 billion for YTD 2023 was primarily driven by a c

125、redit reserve release due to improvements in house prices.Managements Discussion and AnalysisOur Business Segments|Single-FamilyFreddie Mac 2Q 2024 Form 10-Q17Multifamily Business ResultsThe charts,tables,and related discussion below present the business results of our Multifamily segment.New Busine

126、ss ActivityNew Business Activity (In billions)$13$13$16$9$11$19$202Q233Q234Q231Q242Q24YTD23YTD24 Total Number of Rental Units Financed(1)(In thousands)11411815585921741772Q233Q234Q231Q242Q24YTD23YTD24 (1)Includes rental units financed by supplemental loans.Key Drivers:n 2Q 2024 vs.2Q 2023 and YTD 20

127、24 vs.YTD 2023-The UPB of our new business activity remained low as the multifamily mortgage market continued to be adversely impacted by the higher interest rate environment.Approximately 63%of YTD 2024 activity,based on UPB,was mission-driven affordable housing,exceeding FHFAs minimum requirement

128、of 50%.n Our index lock agreements and outstanding commitments to purchase or guarantee multifamily assets were$18.8billion and$17.1 billion as of June30,2024 and June30,2023,respectively.Managements Discussion and AnalysisOur Business Segments|MultifamilyFreddie Mac 2Q 2024 Form 10-Q18Multifamily M

129、ortgage Portfolio and Guarantee Exposure Mortgage Portfolio (In billions)$427$432$441$443$4476/30/239/30/2312/31/233/31/246/30/24 Guarantee Exposure (In billions)$366$372$379$384$389$355$361$369$374$378$11$11$10$10$114546464748Guaranteed mortgage-related securitiesOther mortgage-related guaranteesAv

130、erage guarantee fee rate charged(bps)6/30/239/30/2312/31/233/31/246/30/24Key Drivers:n 2Q 2024 vs.2Q 2023l Our mortgage portfolio increased by 5%year-over-year,driven by our new business activities,coupled with lower prepayment volume due to the high interest rate environment.lOur guarantee exposure

131、 increased by 6%year-over-year,as our new mortgage-related security guarantees outpaced paydowns.lThe average guarantee fee rate on our guarantee exposures increased year-over-year,primarily due to continued issuances of fully-guaranteed securitization transactions for which we charge higher guarant

132、ee fee rates.n In addition to our Multifamily mortgage portfolio,we have investments in LIHTC partnerships with carrying values totaling$3.8billion and$3.5 billion as of June30,2024 and December31,2023,respectively.Managements Discussion and AnalysisOur Business Segments|MultifamilyFreddie Mac 2Q 20

133、24 Form 10-Q19Credit Enhancement Activities UPB Covered by New CRT Issuance New CRT Issuance Maximum Coverage (In billions)(In billions)$16$17$11$7$14$24$212Q233Q234Q231Q242Q24YTD23YTD24$0.9$0.9$0.7$0.4$1.1$1.5$1.52Q233Q234Q231Q242Q24YTD23YTD24Key Drivers:n 2Q 2024 vs.2Q 2023 and YTD 2024 vs.YTD 202

134、3l The UPB of mortgage loans covered by new CRT transactions decreased year-over-year,primarily due to a smaller average securitization pipeline balance during 2024,resulting in fewer securitizations with subordination.The maximum coverage increased slightly year-over-year in 2Q 2024 and remained fl

135、at in YTD 2024,primarily due to additional credit protection acquired for a pool of previously issued securitizations with subordination.See MD&A-Risk Management-Multifamily Mortgage Credit Risk-Transferring Credit Risk to Third-Party Investors for more information on risk transfer transactions and

136、credit enhancements on our Multifamily mortgage portfolio.Managements Discussion and AnalysisOur Business Segments|MultifamilyFreddie Mac 2Q 2024 Form 10-Q20Financial ResultsThe table below presents the results of operations for our Multifamily segment.See Note 11 for additional information about se

137、gment financial results.Table 12-Multifamily Segment Financial Results ChangeChange(Dollars in millions)2Q 20242Q 2023$%(1)YTD 2024YTD 2023$%(1)Net interest income$293$228$65 29%$564$433$131 30%Non-interest income 601 751 (150)(20)1,613 1,170 443 38 Net revenues 894 979 (85)(9)2,177 1,603 574 36(Pro

138、vision)benefit for credit losses(79)(101)22 22 (140)(178)38 21 Non-interest expense(213)(176)(37)(21)(410)(325)(85)(26)Income before income tax expense 602 702 (100)(14)1,627 1,100 527 48 Income tax expense(121)(139)18 13 (325)(219)(106)(48)Net income 481 563 (82)(15)1,302 881 421 48 Other comprehen

139、sive income(loss),net of taxes and reclassification adjustments (56)56 NM(20)(1)(19)NMComprehensive income$481$507 ($26)(5)%$1,282$880$402 46%(1)NM-not meaningful.Key Drivers:n 2Q 2024 vs.2Q 2023lNet income of$0.5billion,down from$0.6billion.Net revenues of$0.9billion,down from$1.0billion.Net intere

140、st income was$0.3billion,up 29%year-over-year,primarily driven by continued mortgage portfolio growth and higher net yields on mortgage loans as a result of higher interest rates.Non-interest income was$0.6billion,down 20%year-over-year,as higher guarantee income was offset by impacts from interest-

141、rate risk management activities and less favorable fair value changes from spreads.n YTD 2024 vs.YTD 2023lNet income of$1.3billion,up from$0.9billion.Net revenues of$2.2billion,up from$1.6billion.Net interest income was$0.6billion,up 30%year-over-year,primarily driven by continued mortgage portfolio

142、 growth and higher net yields on mortgage loans as a result of higher interest rates.Non-interest income was$1.6billion,up 38%year-over-year,primarily driven by higher revenues from guarantee income and held-for-sale loan purchase and securitization activities,coupled with impacts from interest-rate

143、 risk management activities.Managements Discussion and AnalysisOur Business Segments|MultifamilyFreddie Mac 2Q 2024 Form 10-Q21RISK MANAGEMENTTo achieve our mission,we take risks as an integral part of our business activities.We are exposed to the following key types of risk:credit risk,market risk,

144、liquidity risk,operational risk,compliance risk,legal risk,strategic risk,and reputation risk.Credit RiskAllowance for Credit LossesFor financial assets measured at amortized cost,we recognize an allowance for credit losses that is deducted from or added to the amortized cost basis of the financial

145、asset to present the net amount expected to be collected on the financial asset on the balance sheet.For Single-Family credit exposures,we estimate the allowance for credit losses for loans on a pooled basis using a discounted cash flow model that evaluates a variety of factors to estimate the cash

146、flows we expect to collect.The discounted cash flow model forecasts cash flows over the loans remaining contractual life,adjusted for expectations of prepayments,and using our historical experience,adjusted for current and forecasted economic conditions.These projections require significant manageme

147、nt judgment,and we face uncertainties and risks related to the models we use for financial accounting and reporting purposes.For further information on our accounting policies and methods for estimating our allowance for credit losses and related management judgments,see MD&A-Critical Accounting Est

148、imates.For Multifamily credit exposures,we estimate the allowance for credit losses using a loss-rate method to estimate the net amount of cash flows we expect to collect.The loss rate method is based on a probability of default and loss given default framework that estimates credit losses by consid

149、ering a loans underlying characteristics and current and forecasted economic conditions.Loan characteristics considered by our model include vintage,loan term,current DSCR,current LTV ratio,occupancy rate,and interest rate hedges.We generally forecast economic conditions over a reasonable and suppor

150、table two-year period prior to reverting to historical averages at the model input level over a five-year period,using a linear reversion method.We also consider as model inputs expected prepayments,contractually specified extensions,expected recoveries from collateral posting requirements,and expec

151、ted recoveries from credit enhancements that are not freestanding contracts.Management adjustments to our model output may be necessary to take into consideration current economic events and other factors not considered within the model.The tables below present a summary of the changes in our allowa

152、nce for credit losses and key allowance for credit losses ratios.Table 13-Allowance for Credit Losses Activity2Q 20242Q 2023YTD 2024YTD 2023(Dollars in millions)Single-FamilyMulti-familyTotalSingle-FamilyMulti-familyTotalSingle-FamilyMulti-familyTotalSingle-FamilyMulti-familyTotalAllowance for credi

153、t losses:Beginning balance$6,508$508$7,016$8,097$224$8,321$6,402$447$6,849$7,746$147$7,893 Provision(benefit)for credit losses 315 79 394 (638)101 (537)435 140 575 (320)178 (142)Charge-offs(169)(169)(111)(111)(292)(292)(201)(201)Recoveries collected 24 24 29 29 50 50 61 61 Net charge-offs(145)(145)(

154、82)(82)(242)(242)(140)(140)Other(1)82 82 80 80 165 165 171 171 Ending balance$6,760$587$7,347$7,457$325$7,782$6,760$587$7,347$7,457$325$7,782 Average loans outstanding during the period(2)$3,042,676$61,674$3,104,350$2,991,397$48,309$3,039,706$3,036,603$60,089$3,096,692$2,988,562$48,029$3,036,591 Net

155、 charge-offs to average loans outstanding%0.01%0.01%Components of ending balance of allowance for credit losses:Mortgage loans held-for-investment$6,457$382$6,839$7,088$251$7,339 Other(3)303 205 508 369 74 443 Total ending balance$6,760$587$7,347$7,457$325$7,782 Referenced footnotes are on the next

156、page.Managements Discussion and AnalysisRisk ManagementFreddie Mac 2Q 2024 Form 10-Q22(1)Primarily includes capitalization of past due interest related to non-accrual loans that received payment deferral plans and loan modifications.(2)Based on amortized cost basis of mortgage loans held-for-investm

157、ent for which we have not elected the fair value option.(3)Includes allowance for credit losses related to advances of pre-foreclosure costs and off-balance sheet credit exposures.Table 14-Allowance for Credit Losses RatiosJune 30,2024December 31,2023(Dollars in millions)Single-FamilyMultifamilyTota

158、lSingle-FamilyMultifamilyTotalAllowance for credit losses ratios:Allowance for credit losses(1)to total loans outstanding 0.21%0.61%0.22%0.20%0.57%0.21%Non-accrual loans to total loans outstanding 0.41 0.18 0.40 0.44 0.11 0.44 Allowance for credit losses to non-accrual loans 51.90 347.27 54.49 45.01

159、 509.38 47.20 Balances:Allowance for credit losses on mortgage loans held-for-investment$6,457$382$6,839$6,057$326$6,383 Total loans outstanding(2)3,047,957 62,760 3,110,717 3,031,136 57,107 3,088,243 Non-accrual loans(2)12,442 110 12,552 13,458 64 13,522(1)Represents allowance for credit losses on

160、mortgage loans held-for-investment.(2)Based on amortized cost basis of mortgage loans held-for-investment for which we have not elected the fair value option.As of June 30,2024 compared to December 31,2023:n The ratio of allowance for credit losses to total loans outstanding increased slightly due t

161、o a credit reserve build in Single-Family attributable to new acquisitions and increasing mortgage interest rates.n The ratio of allowance for credit losses to non-accrual loans increased primarily due to a credit reserve build in Single-Family and a decrease in the balance of loans in non-accrual s

162、tatus.Single-Family Mortgage Credit RiskMaintaining Prudent Eligibility Standards and Quality Control Practices and Managing Seller/Servicer PerformanceLoan Purchase Credit CharacteristicsWe monitor and evaluate market conditions that could affect the credit quality of our single-family loan purchas

163、es.Additionally,when managing our new acquisitions,we consider our risk limits and guidance from FHFA and capital requirements under the ERCF.This may affect the volume and characteristics of our loan acquisitions.The charts below show the credit profile of the single-family loans we purchased.Weigh

164、ted Average Original LTV Ratio 79%78%77%78%78%79%78%2Q233Q234Q231Q242Q24 YTD23 YTD24Weighted Average Original Credit Score(1)7517537527537547507542Q233Q234Q231Q242Q24 YTD23 YTD24(1)Weighted average original credit score is generally based on three credit bureaus(Equifax,Experian,and TransUnion).Weig

165、hted Average Original DTI Ratio35%37%38%37%39%36%39%2Q233Q234Q231Q242Q24 YTD23 YTD24Managements Discussion and AnalysisRisk ManagementFreddie Mac 2Q 2024 Form 10-Q23The table below contains additional information about the single-family loans we purchased.Table 15-Single-Family New Business Activity

166、 2Q 20242Q 2023YTD 2024YTD 2023(Dollars in millions)Amount%of TotalAmount%of TotalAmount%of TotalAmount%of Total20-and 30-year,amortizing fixed-rate$81,519 96%$78,730 95%$140,610 95%$134,199 95%15-year or less,amortizing fixed-rate 3,036 3 3,038 4 5,314 4 5,252 4 Adjustable-rate 684 1 1,082 1 1,584

167、1 2,364 1 Total$85,239 100%$82,850 100%$147,508 100%$141,815 100%Percentage of purchasesDTI ratio 45%31%26%30%25%Original LTV ratio 90%26 27 25 27 Transaction type:Guarantor swap 65 70 65 71 Cash window 35 30 35 29 Property type:Detached single-family houses and townhouses 91 91 91 91 Condominium or

168、 co-op 9 9 9 9 Occupancy type:Primary residence 93 92 93 92 Second home 2 2 2 2 Investment property 5 6 5 6 Loan purpose:Purchase 87 88 87 87 Cash-out refinance 8 8 8 9 Other refinance 5 4 5 4 Transferring Credit Risk to Third-Party Investors We engage in various credit enhancement arrangements to r

169、educe our credit risk exposure on our single-family loans.Single-Family Mortgage Portfolio Newly Acquired Credit EnhancementsThe table below provides the UPB of the mortgage loans acquired during the periods presented that were covered by primary mortgage insurance,the UPB of the mortgage loans cove

170、red by CRT transactions issued during the periods presented,and maximum coverage related to these newly acquired credit enhancements.Table 16-Single-Family Mortgage Portfolio Newly Acquired Credit Enhancements2Q 20242Q 2023(In millions)UPB(1)(2)Maximum Coverage(3)(4)UPB(1)(2)Maximum Coverage(3)(4)Pr

171、imary mortgage insurance$34,623$9,140$35,283$9,333 CRT transactions:STACR 32,080 1,005 48,444 1,591 ACIS 10,326 334 7,593 293 Other 396 120 74 74 Total CRT issuance$42,802$1,459$56,111$1,958 Referenced footnotes are on the next page.Managements Discussion and AnalysisRisk ManagementFreddie Mac 2Q 20

172、24 Form 10-Q24YTD 2024YTD 2023(In millions)UPB(1)(2)Maximum Coverage(3)(4)UPB(1)(2)Maximum Coverage(3)(4)Primary mortgage insurance$59,758$15,756$61,801$16,253 CRT transactions:STACR 73,482 2,289 63,331 2,202 ACIS 25,849 893 7,593 293 Other 1,088 227 120 120 Total CRT issuance$100,419$3,409$71,044$2

173、,615(1)Represents the UPB of the mortgage assets,reference pool,or securitization trust,as applicable.(2)The primary mortgage insurance and CRT transactions presented in this table are not mutually exclusive as a single loan may be covered by both primary mortgage insurance and CRT transactions.(3)F

174、or primary mortgage insurance,represents the coverage as of the related loan acquisition.For STACR transactions,represents the balance held by third parties at issuance.For ACIS transactions,represents the aggregate limit of insurance purchased from third parties at issuance.(4)The credit risk posit

175、ions to which the maximum coverage applies may vary on a transaction-by-transaction basis.Single-Family Mortgage Portfolio Credit Enhancement Coverage OutstandingThe table below provides information on the UPB and maximum coverage associated with credit-enhanced loans in our Single-Family mortgage p

176、ortfolio.Table 17-Single-Family Mortgage Portfolio Credit Enhancement Coverage OutstandingJune 30,2024(Dollars in millions)UPB(1)%of PortfolioMaximum Coverage(2)(3)Primary mortgage insurance(4)$642,818 21%$168,999 STACR 1,191,826 39 30,045 ACIS 786,618 26 17,129 Other 39,428 1 10,805 Less:UPB with m

177、ultiple credit enhancements and other reconciling items(5)(760,697)(25)Single-Family mortgage portfolio-credit-enhanced 1,899,993 62 226,978 Single-Family mortgage portfolio-non-credit-enhanced 1,158,301 38 N/ATotal$3,058,294 100%$226,978 December 31,2023(Dollars in millions)UPB(1)%of PortfolioMaxim

178、um Coverage(2)(3)Primary mortgage insurance(4)$637,037 21%$165,738 STACR 1,175,837 39 31,222 ACIS 821,048 27 17,647 Other 39,901 1 11,027 Less:UPB with multiple credit enhancements and other reconciling items(5)(813,966)(27)Single-Family mortgage portfolio-credit-enhanced 1,859,857 61 225,634 Single

179、-Family mortgage portfolio-non-credit-enhanced 1,179,053 39 N/ATotal$3,038,910 100%$225,634(1)Represents the current UPB of the mortgage assets,reference pool,or securitization trust,as applicable.(2)For STACR transactions,represents the outstanding balance held by third parties.For ACIS transaction

180、s,represents the remaining aggregate limit of insurance purchased from third parties.(3)The credit risk positions to which the maximum coverage applies may vary on a transaction-by-transaction basis.(4)Amounts exclude certain loans for which we do not control servicing,as the coverage information fo

181、r these loans is not readily available to us.(5)Other reconciling items primarily include timing differences in reporting cycles between the UPB of certain CRT transactions and the UPB of the underlying loans.Managements Discussion and AnalysisRisk ManagementFreddie Mac 2Q 2024 Form 10-Q25Credit Enh

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

183、urance and other credit enhancements.Table 18-Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage PortfolioJune 30,2024December 31,2023(%of portfolio based on UPB)(1)%of Portfolio(2)SDQ Rate%of Portfolio(2)SDQ RateCredit-enhanced:Primary mortgage

184、 insurance 21%0.90%21%0.95%CRT and other 55 0.54 55 0.60 Non-credit-enhanced 38 0.39 39 0.42 TotalN/A 0.50 N/A 0.55(1)Excludes loans underlying certain securitization products for which loan-level data is not available.(2)Percentages do not total to 100%as a single loan may be included in multiple l

185、ine items.Credit Enhancement Recoveries Our expected recovery receivable from freestanding credit enhancements was$0.1 billion as of both June30,2024 and December 31,2023.Monitoring Loan Performance and Characteristics We review loan performance,including delinquency statistics and related loan char

186、acteristics,in conjunction with housing market and economic conditions,to assess credit risk when estimating our allowance for credit losses.Loan Characteristics The table below contains details of the characteristics of the loans in our Single-Family mortgage portfolio.Table 19-Credit Quality Chara

187、cteristics of Our Single-Family Mortgage Portfolio June 30,2024(Dollars in millions)UPBOriginal CreditScore(1)Current CreditScore(1)(2)OriginalLTVRatioCurrent LTVRatioSingle-Family mortgage portfolio year of origination:2024$125,198 754751 78%77%2023 272,073 751747 79 74 2022 417,571 746744 76 67 20

188、21 948,809 752756 71 52 2020 693,026 761768 71 45 2019 and prior 601,617 738752 75 34 Total$3,058,294 750755 74 52 December 31,2023(Dollars in millions)UPBOriginal CreditScore(1)Current CreditScore(1)(2)OriginalLTVRatioCurrent LTVRatioSingle-Family mortgage portfolio year of origination:2023$265,072

189、 751745 79%75%2022 433,252 745746 76 68 2021 984,004 752756 71 54 2020 719,822 761768 71 46 2019 119,557 746753 76 46 2018 and prior 517,203 736751 75 32 Total$3,038,910 750 755 73 52 Referenced footnotes are on the next page.Managements Discussion and AnalysisRisk ManagementFreddie Mac 2Q 2024 Form

190、 10-Q26(1)Original credit score is generally based on three credit bureaus(Equifax,Experian,and TransUnion).Current credit score is based on Experian only.(2)Credit scores for certain recently acquired loans may not have been updated by the credit bureau since the loan acquisition and therefore the

191、original credit scores also represent the current credit scores.The following table presents the combination of credit score and CLTV ratio attributes of loans in our Single-Family mortgage portfolio.Table 20-Single-Family Mortgage Portfolio Attribute Combinations(1)June 30,2024CLTV 60CLTV 60 to 80C

192、LTV80 to 90CLTV90 to 100CLTV100All LoansOriginal credit score%of PortfolioSDQ Rate%of PortfolioSDQ Rate(2)%of PortfolioSDQ Rate(2)%of PortfolioSDQ Rate(2)%of PortfolioSDQ Rate(2)%of PortfolioSDQ Rate740 and above 44%0.14%15%0.22%4%0.31%2%0.26%NM 65%0.17%700 to 739 13 0.47 5 0.79 2 0.93 1 0.65 NM 21

193、0.57680 to 699 4 0.81 2 1.48 NM NM NM 6 0.97660 to 679 3 1.16 1 2.10 NM NM NM 4 1.34620 to 659 2 1.80 1 3.10 NM NM NM 3 1.99Less than 620 1 4.03 NM NM NM NM 1 4.33Total 67%0.44 24%0.66 6%0.70 3%0.53%NM 100%0.50December 31,2023CLTV 60CLTV 60 to 80CLTV80 to 90CLTV90 to 100CLTV100All LoansOriginal cred

194、it score%of PortfolioSDQ Rate%of PortfolioSDQ Rate(2)%of PortfolioSDQ Rate(2)%of PortfolioSDQ Rate(2)%of PortfolioSDQ Rate(2)%of PortfolioSDQ Rate740 and above 45%0.16%15%0.24%4%0.32%1%0.27%NM 65%0.18%700 to 739 13 0.53 5 0.82 2 0.93 1 0.59 NM 21 0.61 680 to 699 4 0.90 2 1.50 NM NM NM 6 1.05 660 to

195、679 3 1.28 1 2.18 NM NM NM 4 1.45 620 to 659 2 2.00 1 3.37 NM NM NM 3 2.21 Less than 620 1 4.41 NM NM NM NM 1 4.74 Total 68%0.49 24%0.70 6%0.72 2%0.52%NM 100%0.55(1)Excludes loans underlying certain securitization products for which original credit score is not available.(2)NM-not meaningful due to

196、the percentage of the portfolio rounding to zero.Geographic ConcentrationsWe purchase mortgage loans from across the U.S.but do not purchase an equal number of loans from each state,leading to concentrations of credit risk in certain geographic areas.Local economic and other conditions can affect th

197、e borrowers ability to repay and the value of the underlying collateral.In addition,certain states and municipalities have passed or may pass laws that limit our ability to foreclose or evict and make it more difficult and costly to manage our risk.See Note 12 for more information about the geograph

198、ic distribution of our Single-Family mortgage portfolio.Managements Discussion and AnalysisRisk ManagementFreddie Mac 2Q 2024 Form 10-Q27Delinquency Rates We report Single-Family delinquency rates based on the number of loans in our Single-Family mortgage portfolio that are past due as reported to u

199、s by our servicers as a percentage of the total number of loans in our Single-Family mortgage portfolio.The chart below presents the delinquency rates of mortgage loans in our Single-Family mortgage portfolio.Single-Family Delinquency Rates0.88%0.99%1.10%0.96%1.12%0.21%0.24%0.27%0.24%0.25%0.56%0.55%

200、0.55%0.52%0.50%One month past dueTwo months past dueSeriously delinquent2Q233Q234Q231Q242Q24The percentages of loans that were one month past due and two months past due increased as of June 30,2024 compared to June 30,2023.The percentage of loans one month past due can be volatile due to seasonalit

201、y,whether the last day of the period falls on a weekend,and other factors that may not be indicative of default.As a result,the percentage of loans two months past due tends to be a better early performance indicator than the percentage of loans one month past due.Our Single-Family serious delinquen

202、cy rate has declined to 0.50%as of June30,2024,compared to 0.56%as of June30,2023.We have observed a higher serious delinquency rate during the first 12-24 months after origination for loans originated during 2022 and later compared to earlier vintages.See Note 3 for additional information on the pa

203、yment status of our single-family mortgage loans.Engaging in Loss Mitigation ActivitiesWe offer a variety of borrower assistance programs,including refinance programs for certain eligible loans and loan workout activities for struggling borrowers.For purposes of the disclosure below related to loss

204、mitigation activities,we generally exclude loans for which we do not control servicing.See Note 3 for additional information on our loss mitigation activities.For information on our refinance programs,see the MD&A-Our Business Segments-Single-Family and MD&A-Risk Management-Credit Risk-Single-Family

205、 Mortgage Credit Risk sections in our 2023 Annual Report.Managements Discussion and AnalysisRisk ManagementFreddie Mac 2Q 2024 Form 10-Q28Loan Workout ActivitiesWe continue to help struggling families retain their homes or otherwise avoid foreclosure through loan workouts.The table below provides de

206、tails about the single-family loan workout activities that were completed during the periods presented.Table 21-Single-Family Completed Loan Workout Activity2Q 20242Q 2023(UPB in millions,loan count in thousands)UPBLoan CountUPBLoan CountPayment deferral plans$2,098 8$2,191 9Loan modifications 1,682

207、 6 1,227 5Forbearance plans and other(1)1,057 4 1,335 6Total$4,837 18$4,753 20YTD 2024YTD 2023(UPB in millions,loan count in thousands)UPBLoan CountUPBLoan CountPayment deferral plans$4,768 18$4,926 20Loan modifications 3,064 12 2,486 11Forbearance plans and other(1)2,237 9 2,825 13Total$10,069 39$1

208、0,237 44(1)The forbearance data is limited to loans in forbearance that were past due based on the loans original contractual terms and excludes loans included in certain legacy transactions,as the forbearance data for such loans is either not reported to us by the servicers or is otherwise not read

209、ily available to us.Other includes repayment plans and foreclosure alternatives.Our loan workout activity decreased,based on loan count,in the 2024 periods compared to the 2023 periods as the seriously delinquent loan population continued to decline.Completed loan workout activity includes forbearan

210、ce plans where borrowers fully reinstated the loan to current status during or at the end of the forbearance period,payment deferral plans,loan modifications,successfully completed repayment plans,short sales,and deeds in lieu of foreclosure.Completed loan workout activity excludes active loss mitig

211、ation activity that was ongoing and had not been completed as of the end of the period,such as forbearance plans that had been initiated but not completed and trial period modifications.There were approximately 13,000 loans in active forbearance plans and approximately 13,000 loans in other active l

212、oss mitigation activity as of June30,2024.Managements Discussion and AnalysisRisk ManagementFreddie Mac 2Q 2024 Form 10-Q29Multifamily Mortgage Credit RiskCompleting Our Own Underwriting,Credit and Legal Review for New Business Activity Our underwriting standards focus on the LTV ratio and DSCR,whic

213、h estimates the value of the collateral and a borrowers ability to repay the loan using the secured propertys cash flows,after expenses.The charts below provide the weighted average original LTV ratio and original DSCR for our new business activity.Weighted Average Original LTV Ratio 58%60%59%61%61%

214、58%61%2Q233Q234Q231Q242Q24YTD23YTD24 Weighted Average Original DSCR1.271.261.271.291.281.271.282Q233Q234Q231Q242Q24YTD23YTD24Transferring Credit Risk to Third-Party InvestorsTo reduce our credit risk exposure,we engage in a variety of CRT activities through which we have transferred a substantial am

215、ount of the expected and stressed credit risk on the Multifamily mortgage portfolio,thereby reducing our overall credit risk exposure and required capital.Multifamily Mortgage Portfolio CRT IssuanceThe table below provides the UPB of the mortgage loans covered by CRT transactions issued during the p

216、eriods presented as well as the maximum coverage provided by those transactions.Table 22-Multifamily Mortgage Portfolio CRT Issuance2Q 20242Q 2023YTD 2024YTD 2023(In millions)UPB(1)Maximum Coverage(2)(3)UPB(1)Maximum Coverage(2)(3)UPB(1)Maximum Coverage(2)(3)UPB(1)Maximum Coverage(2)(3)Subordination

217、$6,462$360$8,626$610$13,060$759$14,775$1,035 SCR 8,171 190 7,636 102 8,171 190 8,802 207 MCIP 24,131 518 7,636 188 24,131 518 7,636 188 Lender risk-sharing 92 14 321 32 92 14 560 80 Less:UPB with more than one type of CRT(24,131)(7,636)(24,131)(7,636)Total CRT issuance$14,725$1,082$16,583$932$21,323

218、$1,481$24,137$1,510(1)Represents the UPB of the assets included in the associated reference pool or securitization trust,as applicable.(2)For subordination,represents the UPB of the securities that are held by third parties at issuance and are subordinate to the securities we guarantee.For SCR trans

219、actions,represents the UPB of securities held by third parties at issuance.For MCIP transactions,represents the aggregate limit of insurance purchased from third parties at issuance.For lender risk-sharing,represents the amount of loss recovery that is available subject to the terms of counterparty

220、agreements at issuance.(3)The credit risk positions to which the maximum coverage applies may vary on a transaction-by-transaction basis.Multifamily Mortgage Portfolio Credit Enhancement Coverage OutstandingWhile we obtain various forms of credit protection in connection with the acquisition,guarant

221、ee,and/or securitization of a loan or group of loans,our principal credit enhancement type is subordination,which is created through our senior subordinate securitization transactions.Our maximum coverage provided by subordination in nonconsolidated VIEs was$38.9billion and$39.5 billion,as of June30

222、,2024 and December31,2023,respectively.Managements Discussion and AnalysisRisk ManagementFreddie Mac 2Q 2024 Form 10-Q30The table below presents the UPB and delinquency rates for both credit-enhanced and non-credit-enhanced loans underlying our Multifamily mortgage portfolio.Table 23-Credit-Enhanced

223、 and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage PortfolioJune 30,2024December 31,2023(Dollars in millions)UPBDelinquency RateUPBDelinquency RateCredit-enhanced:Subordination$359,555 0.39%$358,944 0.26%SCR/MCIP 54,932 0.20 47,011 0.23 Other 8,790 0.89 8,844 0.89 Total credit-enhanc

224、ed 423,277 0.38 414,799 0.27 Non-credit-enhanced 23,993 0.38 25,998 0.51 Total$447,270 0.38$440,797 0.28 The Multifamily delinquency rate increased to 0.38%at June30,2024,primarily driven by an increase in delinquent floating rate loans including small balance loans that are in their floating rate p

225、eriod.As of June30,2024,95%of the delinquent loans in the Multifamily mortgage portfolio have credit enhancement coverage.The table below contains details on the loans underlying our Multifamily mortgage portfolio that are not credit-enhanced.Table 24-Credit Quality of Our Multifamily Mortgage Portf

226、olio Without Credit EnhancementJune 30,2024December 31,2023(Dollars in millions)UPBDelinquency RateUPBDelinquency RateMortgage loans held-for-sale$8,581%$8,823%Mortgage loans held-for-investment:Held by Freddie Mac 7,700 1.01 9,941 1.21 Held by consolidated trusts 5,042 0.26 4,851 0.27 Other mortgag

227、e-related guarantees 2,670 2,383 Total$23,993 0.38$25,998 0.51 Market RiskOverviewOur business segments have embedded exposure to market risk,which is the economic risk associated with adverse changes in interest rates,volatility,and spreads.Market risk can adversely affect future cash flows,or econ

228、omic value,as well as earnings and net worth.The primary sources of interest-rate risk are our investments in mortgage-related assets,the debt we issue to fund these assets,and our Single-Family guarantees.Interest-Rate RiskOur primary interest-rate risk measures are duration gap and Portfolio Value

229、 Sensitivity(PVS).Duration gap measures the difference in price sensitivity to interest rate changes between our financial assets and liabilities and is expressed in months relative to the value of assets.PVS is an estimate of the change in the present value of the cash flows of our financial assets

230、 and liabilities from an instantaneous shock to interest rates,assuming spreads are held constant and no rebalancing actions are undertaken.PVS is measured in two ways,one measuring the estimated sensitivity of our portfolio value to a 50 bps parallel movement in interest rates(PVS-L)and the other t

231、o a non-parallel movement resulting from a 25 bps change in the slope of theyield curve(PVS-YC).While we believe that duration gap and PVS are useful risk management tools,they should be understood as estimates rather than as precise measurements.The tablesbelow provide our duration gap,estimated po

232、int-in-time and minimum and maximum PVS-L and PVS-YC results,and an average of the daily values and standard deviation.The tablebelow also provides PVS-L estimates assuming an immediate 100bps shift in the yield curve.The interest-rate sensitivity of a mortgage portfolio varies across a wide range o

233、f interest rates.Managements Discussion and AnalysisRisk ManagementFreddie Mac 2Q 2024 Form 10-Q31Table 25-PVS-YC and PVS-L Results Assuming Shifts of the Yield CurveJune 30,2024December 31,2023PVS-YCPVS-LPVS-YCPVS-L(In millions)25 bps50 bps100 bps25 bps50 bps100 bpsAssuming shifts of the yield curv

234、e,(gains)losses on:(1)Assets:Investments($326)($3,387)($6,870)($301)$3,150$6,229 Guarantees(2)24 364 761 34 (369)(678)Total assets(302)(3,023)(6,109)(267)2,781 5,551 Liabilities(52)1,352 2,631 (52)(1,519)(3,073)Derivatives 363 1,661 3,426 322 (1,274)(2,547)Total$9 ($10)($52)$3 ($12)($69)PVS$9$3$(1)T

235、he categorization of the PVS impact between assets,liabilities,and derivatives on this table is based upon the economic characteristics of those assets and liabilities,not their accounting classification.For example,purchase and sale commitments of mortgage-related securities and debt of consolidate

236、d trusts held by the mortgage-related investments portfolio are both categorized as assets on this table.(2)Represents the interest-rate risk from our guarantees,which include buy-ups,float,and upfront fees(including buy-downs).Table 26-Duration Gap and PVS Results2Q 20242Q 2023(Duration gap in mont

237、hs,dollars in millions)DurationGapPVS-YC25 bpsPVS-L50 bpsDurationGapPVS-YC25 bpsPVS-L50 bpsAverage 0.1$3$0.1$2$5 Minimum(0.1)(0.1)Maximum 0.2 9 4 0.3 6 31 Standard deviation 0.1 2 1 0.1 2 9 YTD 2024YTD 2023(Duration gap in months,dollars in millions)DurationGapPVS-YC25 bpsPVS-L50 bpsDurationGapPVS-Y

238、C25 bpsPVS-L50 bpsAverage 0.1$3$2$4 Minimum(0.1)(0.2)Maximum 0.2 9 5 0.3 9 31 Standard deviation 0.1 2 1 0.1 2 8 Derivatives enable us to reduce our economic interest-rate risk exposure as we continue to align our derivative portfolio with the changing duration of our economically hedged assets and

239、liabilities.The table below shows that the PVS-L risk levels,assuming a 50 bps shift in the yield curve for the periods presented,would have been higher if we had not used derivatives.Table 27-PVS-L Results Before Derivatives and After DerivativesPVS-L(50 bps)(In millions)BeforeDerivativesAfterDeriv

240、ativesEffect ofDerivativesJune30,2024$1,538$($1,538)December31,2023 1,261 (1,261)Earnings Sensitivity to Market RiskThe GAAP accounting treatment for our financial assets and liabilities(i.e.,some are measured at amortized cost,while others are measured at fair value)creates variability in our GAAP

241、earnings when interest rates and spreads change.We manage this variability of GAAP earnings,which may not reflect the economics of our business,using fair value hedge accounting.See MD&A-Consolidated Results of Operations and MD&A-Our Business Segments for additional information on the effect of cha

242、nges in interest rates and market spreads on our financial results.Managements Discussion and AnalysisRisk Management Freddie Mac 2Q 2024 Form 10-Q32Interest Rate-Related Earnings SensitivityWhile we manage our interest-rate risk exposure on an economic basis to a low level as measured by our models

243、,our GAAP financial results are subject to significant earnings variability from period to period based on changes in market conditions.In an effort to reduce our GAAP earnings variability and better align our GAAP results with the economics of our business,we elect to use hedge accounting for certa

244、in single-family mortgage loans and certain debt instruments.See Note 8 for additional information on hedge accounting.Earnings Sensitivity to Changes in Interest RatesWe evaluate a range of interest rate scenarios to determine the sensitivity of our earnings due to changes in interest rates and to

245、determine our fair value hedge accounting strategies.The interest rate scenarios evaluated include parallel shifts in the yield curve in which interest rates increase or decrease by 100 bps,non-parallel shifts in the yield curve in which long-term interest rates increase or decrease by 100 bps,and n

246、on-parallel shifts in the yield curve in which short-term and medium-term interest rates increase or decrease by 100 bps.This evaluation identifies the net effect on comprehensive income from changes in fair value attributable to changes in interest rates for financial instruments measured at fair v

247、alue,including the effects of fair value hedge accounting,for each of the identified scenarios.This evaluation does not include the net effect on comprehensive income from interest-rate sensitive items that are not measured at fair value(e.g.,amortization of mortgage loan premiums and discounts,chan

248、ges in fair value of held-for-sale mortgage loans for which we have not elected the fair value option,etc.)or from changes in our future contractual net interest income due to repricing of our interest-bearing assets and liabilities.The before-tax results of this evaluation are shown in the table be

249、low.Table 28-Earnings Sensitivity to Changes in Interest Rates(In millions)June 30,2024June 30,2023Interest Rate Scenarios(1)Parallel yield curve shifts:+100 bps$17 ($44)-100 bps(17)44 Non-parallel yield curve shifts-long-term interest rates:+100 bps 194 130 -100 bps(194)(130)Non-parallel yield curv

250、e shifts-short-term and medium-term interest rates:+100 bps(176)(175)-100 bps 176 175(1)The earnings sensitivity presented is calculated using the change in interest rates and net effective duration exposure.The actual effect of changes in interest rates on our comprehensive income in any given peri

251、od may vary based on a number of factors,including,but not limited to,the composition of our assets and liabilities,the actual changes in interest rates that are realized at different terms along the yield curve,and the effectiveness of our hedge accounting strategies.Even if implemented properly,ou

252、r hedge accounting programs may not be effective in reducing earnings volatility,and our hedges may fail in any given future period,which could expose us to significant earnings variability in that period.Managements Discussion and AnalysisRisk Management Freddie Mac 2Q 2024 Form 10-Q33LIQUIDITY AND

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

254、y FHFA.LiquidityPrimary Sources of Liquidity The table below lists the sources of our liquidity,the balances as of the dates shown,and a brief description of their importance to Freddie Mac.Table 29-Liquidity Sources(In millions)June30,2024(1)December31,2023(1)DescriptionOther Investments Portfolio-

255、Liquidity and Contingency Operating Portfolio$125,290$124,098 The liquidity and contingency operating portfolio,included within our other investments portfolio,is primarily used for short-term liquidity management.Mortgage-Related Investments Portfolio 24,107 24,469 The liquid portion of our mortgag

256、e-related investments portfolio can be pledged or sold for liquidity purposes.The amount of cash we may be able to successfully raise may be substantially less than the balance.(1)Represents carrying value for the liquidity and contingency operating portfolio,included within our other investments po

257、rtfolio,and UPB for the liquid portion of the mortgage-related investments portfolio.Other Investments PortfolioOur other investments portfolio is important to our cash flow,collateral management,asset and liability management,and ability to provide liquidity and stability to the mortgage market.Our

258、 liquidity and contingency operating portfolio primarily includes securities purchased under agreements to resell and non-mortgage-related securities.Our non-mortgage-related securities consist of U.S.Treasury securities and other investments that we could sell to provide us with an additional sourc

259、e of liquidity to fund our business operations.We also maintain non-interest-bearing deposits at the Federal Reserve Bank of New York and interest-bearing deposits at commercial banks.Our interest-bearing deposits at commercial banks,including custodial accounts,totaled$5.1 billion as of both June30

260、,2024 and December31,2023.See MD&A-Our Portfolios-Investments Portfolio-Other Investments Portfolio for additional information about our other investments portfolio.Mortgage-Related Investments Portfolio We invest principally in mortgage-related investments,certain categories of which are largely un

261、encumbered and liquid.Our primary source of liquidity among these mortgage assets is our holdings of agency securities.See MD&A-Our Portfolios-Investments Portfolio-Mortgage-Related Investments Portfolio for additional information about our mortgage loans and mortgage-related securities.Managements

262、Discussion and AnalysisLiquidity and Capital Resources Freddie Mac 2Q 2024 Form 10-Q34Primary Sources of Funding The table below lists the sources of our funding,the balances as of the dates shown,and a brief description of their importance to Freddie Mac.Table 30-Funding Sources(In millions)June30,

263、2024(1)December31,2023(1)DescriptionDebt of Freddie Mac$161,373$166,419 Debt of Freddie Mac is used to fund our business activities.Debt of Consolidated Trusts 3,066,239 3,041,927 Debt of consolidated trusts is used primarily to fund our Single-Family guarantee activities.This type of debt is princi

264、pally repaid by the cash flows of the associated mortgage loans.As a result,our repayment obligation is limited to amounts paid pursuant to our guarantee of principal and interest and to purchase modified or seriously delinquent loans from the trusts.(1)Represents the carrying value of debt balances

265、 after consideration of offsetting arrangements.Debt of Freddie MacWe issue debt of Freddie Mac to fund our operations.Competition for funding can vary with economic,financial market,and regulatory environments.The amount,type,and term of debt issued is based on a variety of factors and is designed

266、to meet our ongoing cash needs and to comply with our Liquidity Management Framework.The table below summarizes the par value and the average rate of debt of Freddie Mac securities we issued or paid off,including regularly scheduled principal payments,payments resulting from calls,and payments for r

267、epurchases.We call,exchange,or repurchase outstanding debt of Freddie Mac securities from time to time for a variety of reasons,including managing our funding composition and supporting the liquidity of our debt securities.Table 31-Debt of Freddie Mac Activity2Q 20242Q 2023(Dollars in millions)Par V

268、alueAverage Rate(1)Par ValueAverage Rate(1)Short-term:Beginning balance$8,931 5.37%$8,716 4.36%Issuances 16,760 5.40 28,030 4.65 Repayments Maturities(17,238)5.40 (25,360)4.31 Total short-term debt 8,453 5.39 11,386 5.08 Long-term:Beginning balance 160,470 3.24 181,384 2.51 Issuances 13,445 5.70 20,

269、341 5.44 Repayments(3,130)5.74 (4,020)5.12 Maturities(10,746)2.09 (17,131)0.83 Total long-term debt 160,039 3.47 180,574 3.21 Total debt of Freddie Mac,net$168,492 3.57%$191,960 3.32%Referenced footnote is included after the year-to-date table.Managements Discussion and AnalysisLiquidity and Capital

270、 ResourcesFreddie Mac 2Q 2024 Form 10-Q35YTD 2024YTD 2023(Dollars in millions)Par ValueAverage Rate(1)Par ValueAverage Rate(1)Short-term:Beginning balance$6,032 5.39%$7,716 3.49%Issuances 32,702 5.35 78,769 4.35 Repayments Maturities(30,281)5.34 (75,099)4.13 Total short-term debt 8,453 5.39 11,386 5

271、.08 Long-term:Beginning balance 168,009 3.31 170,363 2.22 Issuances 29,883 5.52 34,533 5.40 Repayments(23,943)5.64 (6,511)5.43 Maturities(13,910)2.21 (17,811)0.86 Total long-term debt 160,039 3.47 180,574 3.21 Total debt of Freddie Mac,net$168,492 3.57%$191,960 3.32%(1)Average rate is weighted based

272、 on par value.As of June30,2024,our aggregate indebtedness pursuant to the Purchase Agreement was$168.5 billion,which was below the current$270.0 billion debt cap limit.Our aggregate indebtedness calculation primarily includes the par value of short-and long-term debt.Maturity and Redemption DatesTh

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

274、ve maturity dates.Table 32-Maturity and Redemption DatesAs of June 30,2024As of December 31,2023(In millions)Contractual Maturity DateEarliest Redemption DateContractual Maturity DateEarliest Redemption DateDebt of Freddie Mac(1):1 year or less$43,594$142,702$47,276$144,232 1 year through 2 years 50

275、,826 11,906 61,187 15,249 2 years through 3 years 15,182 136 15,645 447 3 years through 4 years 12,039 414 12,530 305 4 years through 5 years 20,869 245 10,947 345 Thereafter 24,118 11,225 24,278 11,285 STACR and SCR debt(2)1,864 1,864 2,177 2,177 Total debt of Freddie Mac$168,492$168,492$174,040$17

276、4,040(1)As of June30,2024 and December31,2023,excludes$12.1billion and$10.2billion,respectively,of payables related to securities sold under agreements to repurchase that we offset against receivables related to securities purchased under agreements to resell on our condensed consolidated balance sh

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

278、gory in the table.Debt of Consolidated TrustsThe largest component of debt on our condensed consolidated balance sheets is debt of consolidated trusts,which relates to securitization transactions that we consolidate for accounting purposes.We primarily issue this type of debt by securitizing mortgag

279、e loans to fund our guarantee activities.Managements Discussion and AnalysisLiquidity and Capital ResourcesFreddie Mac 2Q 2024 Form 10-Q36The table below shows the issuance and extinguishment activity for the debt of consolidated trusts.Table 33-Debt of Consolidated Trusts Activity(In millions)2Q 20

280、242Q 2023YTD 2024YTD 2023Beginning balance$3,009,077$2,938,721$2,999,893$2,929,567 Issuances 114,422 114,546 199,295 201,567 Repayments and extinguishments(96,640)(92,271)(172,329)(170,138)Ending balance 3,026,859 2,960,996 3,026,859 2,960,996 Unamortized premiums and discounts 39,380 46,282 39,380

281、46,282 Debt of consolidated trusts$3,066,239$3,007,278$3,066,239$3,007,278 Off-Balance Sheet ArrangementsWe enter into certain business arrangements that are not recorded on our condensed consolidated balance sheets or that may be recorded in amounts that differ from the full contractual or notional

282、 amount of the transaction that affect our short-and long-term liquidity needs.Our off-balance sheet arrangements primarily consist of guarantees and commitments.Certain of these arrangements present credit risk exposure.See Note 2 and Note 4 for additional information on these transactions.See MD&A

283、-Risk Management-Credit Risk for additional information on our credit risk exposure on off-balance sheet arrangements.Cash FlowsCash and cash equivalents(including restricted cash and cash equivalents)remained$5.5 billion as of June30,2024,unchanged from June30,2023.Managements Discussion and Analys

284、isLiquidity and Capital Resources Freddie Mac 2Q 2024 Form 10-Q37Capital ResourcesThe table below presents activity related to our net worth.Table 34-Net Worth Activity(In millions)2Q 20242Q 2023YTD 2024YTD 2023Beginning balance$50,463$39,067$47,722$37,018 Comprehensive income 2,760 2,890 5,501 4,93

285、9 Capital draw from Treasury Senior preferred stock dividends declared Total equity/net worth$53,223$41,957$53,223$41,957 Remaining Treasury funding commitment$140,162$140,162$140,162$140,162 Aggregate draws under Purchase Agreement 71,648 71,648 71,648 71,648 Aggregate cash dividends paid to Treasu

286、ry 119,680 119,680 119,680 119,680 Liquidation preference of the senior preferred stock 123,111 111,715 123,111 111,715 ERCFFHFA published a final rule in November 2023 amending several provisions of the ERCF,with most of the amendments becoming effective in April 2024.For a description of our capit

287、al requirements under the ERCF,including the amended provisions,see the MD&A-Regulation and Supervision section in our 2023 Annual Report.The charts below present the ERCF capital adequacy requirements under the risk-based capital requirement(CET1 capital ratio relative to RWA)and leverage capital r

288、equirement(Tier 1 capital ratio relative to ATA).Risk-Based Capital Requirement:CET1 Capital Ratio 9.9%9.7%9.5%10.1%10.2%4.5%4.5%4.5%4.5%4.5%2.9%2.8%2.7%2.8%2.8%2.5%2.4%2.3%2.8%2.9%Minimum requirementStress capital bufferStability capital buffer06/30/2309/30/2312/31/2303/31/2406/30/24Leverage Capita

289、l Requirement:Tier 1 Capital Ratio 2.8%2.8%2.8%2.9%2.9%2.5%2.5%2.5%2.5%2.5%0.3%0.3%0.3%0.4%0.4%Minimum requirementPLBA06/30/2309/30/2312/31/2303/31/2406/30/24Managements Discussion and AnalysisLiquidity and Capital ResourcesFreddie Mac 2Q 2024 Form 10-Q38Capital MetricsThe table below presents the c

290、omponents of our regulatory capital.Table 35-Regulatory Capital Components(In millions)June 30,2024December 31,2023Total equity$53,223$47,722 Less:Senior preferred stock 72,648 72,648 Preferred stock 14,109 14,109 Common equity(33,534)(39,035)Less:deferred tax assets arising from temporary differenc

291、es that exceed 10%of CET1 capital and other regulatory adjustments 4,843 4,108 Common equity Tier 1 capital(38,377)(43,143)Add:Preferred stock 14,109 14,109 Tier 1 capital(24,268)(29,034)Tier 2 capital adjustments Adjusted total capital($24,268)($29,034)The table below presents the components of our

292、 statutory capital.Table 36-Statutory Capital Components(In millions)June 30,2024December 31,2023Total equity$53,223$47,722 Less:Senior preferred stock 72,648 72,648 AOCI,net of taxes(52)(22)Core capital(19,373)(24,904)General allowance for foreclosure losses(1)7,347 6,849 Total capital($12,026)($18

293、,055)(1)Represents our allowance for credit losses.Managements Discussion and AnalysisLiquidity and Capital ResourcesFreddie Mac 2Q 2024 Form 10-Q39The table below presents our capital metrics under the ERCF.Table 37-Capital Metrics Under ERCF(In billions)June 30,2024December 31,2023Adjusted total a

294、ssets$3,749$3,775 Risk-weighted assets(standardized approach):Credit risk 880 884 Market risk 53 54 Operational risk 70 71 Total risk-weighted assets$1,003$1,009(In billions)June 30,2024December 31,2023Stress capital buffer$28$28 Stability capital buffer 29 23 Countercyclical capital buffer amount P

295、CCBA$57$51 PLBA$14$11 June 30,2024(Dollars in billions)Minimum Capital RequirementApplicable Buffer(1)Capital Requirement(Including Buffer(1)Available Capital(Deficit)Capital ShortfallRisk-based capital amounts:Total capital$80 N/A$80 ($12)($92)CET1 capital 45$57 102 (38)(140)Tier 1 capital 60 57 11

296、7 (24)(141)Adjusted total capital 80 57 137 (24)(161)Risk-based capital ratios(2):Total capital 8.0%N/A 8.0%(1.2)%(9.2)%CET1 capital 4.5 5.7%10.2 (3.8)(14.0)Tier 1 capital 6.0 5.7 11.7 (2.4)(14.1)Adjusted total capital 8.0 5.7 13.7 (2.4)(16.1)Leverage capital amounts:Core capital$94 N/A$94 ($19)($11

297、3)Tier 1 capital 94$14 108 (24)(132)Leverage capital ratios(3):Core capital 2.5%N/A 2.5%(0.5)%(3.0)%Tier 1 capital 2.5 0.4%2.9 (0.6)(3.5)Referenced footnotes are included after the prior period table.Managements Discussion and AnalysisLiquidity and Capital ResourcesFreddie Mac 2Q 2024 Form 10-Q40Dec

298、ember 31,2023(Dollars in billions)Minimum Capital RequirementApplicable Buffer(1)Capital Requirement(Including Buffer(1)Available Capital(Deficit)Capital ShortfallRisk-based capital amounts:Total capital$81 N/A$81 ($18)($99)CET1 capital 45$51 96 (43)(139)Tier 1 capital 60 51 111 (29)(140)Adjusted to

299、tal capital 81 51 132 (29)(161)Risk-based capital ratios(2):Total capital 8.0%N/A 8.0%(1.8)%(9.8)%CET1 capital 4.5 5.0%9.5 (4.3)(13.8)Tier 1 capital 6.0 5.0 11.0 (2.9)(13.9)Adjusted total capital 8.0 5.0 13.0 (2.9)(15.9)Leverage capital amounts:Core capital$95 N/A$95 ($25)($120)Tier 1 capital 95$11

300、106 (29)(135)Leverage capital ratios(3):Core capital 2.5%N/A 2.5%(0.7)%(3.2)%Tier 1 capital 2.5 0.3%2.8 (0.8)(3.6)(1)PCCBA for risk-based capital and PLBA for leverage capital.(2)As a percentage of RWA.(3)As a percentage of ATA.At June30,2024,our maximum payout ratio under the ERCF was 0.0%.See Note

301、 15 for additional information on our capital amounts and ratios under the ERCF.Managements Discussion and AnalysisLiquidity and Capital ResourcesFreddie Mac 2Q 2024 Form 10-Q41CRITICAL ACCOUNTING ESTIMATESOur critical accounting estimates and policies relate to the Single-Family allowance for credi

302、t losses.For additional information about our critical accounting estimates and other significant accounting policies,see Note 1 and Critical Accounting Estimates in our 2023 Annual Report.Single-Family Allowance for Credit LossesThe Single-Family allowance for credit losses represents our estimate

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

304、r credit losses is a complex process that is subject to numerous estimates and assumptions requiring significant management judgment about matters that involve a high degree of subjectivity.This process involves the use of models that require us to make judgments about matters that are difficult to

305、predict.Changes in forecasted house price growth rates can have a significant effect on our allowance for credit losses estimates.The table below shows our nationwide forecasted house price growth rates that were used in determining our allowance for credit losses.See Note 5 for additional informati

306、on regarding our current period provision for credit losses.Table 38-Forecasted House Price Growth Rates12-Month Forward13-to 24-Month ForwardJune 30,2024 0.6%0.5%March 31,2024 0.2 0.6 December 31,2023 2.8 2.0 Managements Discussion and AnalysisCritical Accounting EstimatesFreddie Mac 2Q 2024 Form 1

307、0-Q42REGULATION AND SUPERVISIONIn addition to oversight by FHFA as our Conservator,we are subject to regulation and oversight by FHFA under our Charter and the GSE Act and to certain regulation by other government agencies.FHFA has the power to require us from time to time to change our processes,ta

308、ke action and/or stop taking action that could impact our business.Furthermore,regulatory activities by other government agencies can affect us indirectly,even if we are not directly subject to such agencies regulation or oversight.For example,regulations that modify requirements applicable to the p

309、urchase or servicing of mortgages can affect us.Federal Housing Finance AgencyClosed-End Second-Lien Mortgage PilotOn June 21,2024,FHFA announced its conditional approval for Freddie Mac to engage in a limited pilot to purchase certain single-family closed-end second-lien mortgages,following FHFAs i

310、nitial publication of the proposed new product for public comment under FHFAs Prior Approval for Enterprise Products requirement.This conditional approval includes several incremental limitations on the product,including:n A maximum volume of$2.5 billion in purchases for the pilot;n A maximum durati

311、on of 18 months for the pilot;n A maximum loan amount of$78,277,corresponding to certain subordinate-lien loan thresholds in the CFPBs definition of Qualified Mortgage;n A minimum seasoning period of 24 months for the first mortgage;andn Eligibility only for primary residences.Upon the pilots conclu

312、sion,FHFA will analyze the data on Freddie Macs purchases of second-lien mortgages to determine whether the objectives of the pilot were met.FHFA has determined that any increase to the volume or extension of the duration of the pilot,or a conversion of the pilot to a programmatic activity,would be

313、treated as a new product that is subject to public notice and comment and FHFA approval.Any subsequent approval would be informed by the preliminary results of the pilot.FICO 10T and VantageScore 4.0On July 11,2024,FHFA announced the publication of historical VantageScore 4.0 credit scores to suppor

314、t the implementation of Freddie Mac and Fannie Maes updated credit score and credit reporting requirements.For additional information on this initiative,see our Quarterly Report on Form 10-Q for the quarter ended March 31,2024.Multifamily Tenant ProtectionsOn July 12,2024,FHFA announced a set of req

315、uired tenant protections for multifamily properties financed by the Enterprises.Covered housing providers will be required to provide tenants with the following:n 30-day written notice of a rent increase;n 30-day written notice of a leases scheduled expiration;andn 5-day grace period for late rent p

316、ayments.Freddie Mac will monitor and enforce these tenant protections,and failure to comply could result in the exercise of remedies under the applicable loan documents.These protections will apply to properties for which new loan applications are signed on or after the policy effective date,Februar

317、y 28,2025.Freddie Mac expects to publish a detailed description of the tenant protection policy in August 2024.Quality Control Standards for Automated Valuation ModelsOn July 17,2024,six federal regulatory agencies,including FHFA,issued a final rule,pursuant to the Dodd-Frank Act,designed to help en

318、sure the credibility and integrity of models used in valuations for certain mortgages secured by a consumers principal dwelling.In particular,the rule will implement quality control standards for automated valuation models(AVMs)used by mortgage originators and secondary market issuers in valuing tho

319、se homes.Under the final rule,the agencies will require institutions that engage in certain transactions secured by a consumers principal dwelling to adopt policies,practices,procedures,and control systems designed to ensure a high level of confidence in Managements Discussion and AnalysisRegulation

320、 and SupervisionFreddie Mac 2Q 2024 Form 10-Q43estimates produced by AVMs;protect against data manipulation;seek to avoid conflicts of interest;require random sample testing and reviews;and comply with nondiscrimination laws.The rule takes effect on the first day of the calendar quarter following on

321、e year after publication in the Federal Register.Managements Discussion and AnalysisRegulation and SupervisionFreddie Mac 2Q 2024 Form 10-Q44FORWARD-LOOKING STATEMENTSWe regularly communicate information concerning our business activities to investors,the news media,securities analysts,and others as

322、 part of our normal operations.Some of these communications,including this Form 10-Q,contain forward-looking statements.Examples of forward-looking statements include,but are not limited to,statements pertaining to the conservatorship,our current expectations and objectives for the Single-Family and

323、 Multifamily segments of our business,our efforts to assist the housing market,our liquidity and capital management,economic and market conditions and trends including,but not limited to,changes in house prices and house price forecasts,our market share,the effect of legislative and regulatory devel

324、opments and new accounting guidance,the credit quality of loans we own or guarantee,the costs and benefits of our CRT transactions,the impact of banking crises or failures,the effects of catastrophic events or significant climate change effects and actions taken in response thereto on our business,a

325、nd our results of operations and financial condition.Forward-looking statements involve known and unknown risks and uncertainties,some of which are beyond our control.Forward-looking statements are often accompanied by,and identified with,terms such as could,may,will,believe,expect,anticipate,foreca

326、st,and similar phrases.These statements are not historical facts,but rather represent our expectations based on current information,plans,judgments,assumptions,estimates,and projections.Actual results may differ significantly from those described in or implied by such forward-looking statements due

327、to various factors and uncertainties,including those described in the Risk Factors section in our 2023 Annual Report,and including,without limitation,the following:nThe actions the federal government(including FHFA,Treasury,and Congress)and state governments may take,require us to take,or restrict u

328、s from taking,including actions 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 fair lending,and other objectives for us;nChanges in

329、the fiscal and monetary policies of the Federal Reserve,including changes in target interest rates and in the amount of agency MBS and agency CMBS held by the Federal Reserve;nThe effect of the restrictions on our business due to the conservatorship and the Purchase Agreement;nThe impact of any chan

330、ges in our credit ratings or those of the U.S.government;n Changes in our Charter,applicable legislative or regulatory requirements(including any legislation affecting the future status of our company),or the Purchase Agreement;nChanges to our capital requirements and potential effects of such chang

331、es on our business strategies;nChanges in tax laws;nChanges in privacy and cybersecurity laws and regulations;nChanges in accounting policies,practices,standards,or guidance;nChanges in economic and market conditions,including volatility in the financial services industry,changes in employment rates

332、,inflation,interest rates,spreads,and house prices;nChanges in the U.S.mortgage market,including changes in the supply and type of loan products;nThe success of our efforts to mitigate our losses;nThe success of our strategy to transfer mortgage credit risk;nOur ability to maintain adequate liquidit

333、y to fund our operations;nOur ability to maintain the security and resiliency of our operational systems and infrastructure,including against cybersecurity incidents or other security incidents,whether due to insider error or malfeasance or system errors or vulnerabilities in our or our third parties systems;nOur ability to effectively execute our business strategies,implement significant changes,