Freddie Mac projected a pretax net loss of $20.7 billion from the first quarter of 2018 through the first quarter of 2020 under the severely adverse scenario of the Dodd-Frank stress test.

The severely adverse scenario uses a 7.3% decline in real GDP from the pre-recession peak and the unemployment rate reaching 10%.

Freddie Mac would see $7.4 billion in credit losses, or 0.34% of average portfolio balance during the covered period.

The Federal Housing Finance Agency requires that Freddie Mac disclose stress-test results in the severely adverse scenario under a version that does not reflect having to re-establish the valuation reserve on deferred tax assets and under another version that reflects re-establishing the deferred tax asset valuation allowance.

Without re-establishing valuation allowance on the deferred tax assets, Freddie Mac would post a total comprehensive loss of $22.1 billion and additional Treasury draws of $22.2 billion during the nine quarters, leaving $118 billion remaining under the preferred stock purchase agreement with the U.S. Treasury Department.

With re-establishing valuation allowance on deferred tax assets, Freddie Mac would see a total comprehensive loss of $34.8 billion, $34.9 billion in additional draws and $105.2 billion remaining under the preferred stock purchase agreement.