Freddie Mac 2009 Annual Report Download - page 107

Table 28 provides unpaid principal balances of our investments in mortgage-related securities.
Table 28 — Characteristics of Mortgage-Related Securities
Fixed
Rate
Variable
Rate Total
Fixed
Rate
Variable
Rate Total
2009 2008
December 31,
(in millions)
PCs and Structured Securities:
(1)
Single-family
(2)
.................................... $294,958 $ 77,708 $372,666 $328,965 $ 93,498 $422,463
Multifamily . . . . . . . . . . . . . . . ........................ 277 1,672 1,949 332 1,729 2,061
Total PCs and Structured Securities . ................ 295,235 79,380 374,615 329,297 95,227 424,524
Non-Freddie Mac mortgage-related securities:
Agency mortgage-related securities:
(3)
Fannie Mae:
Single-family
(2)
................................. 36,549 28,585 65,134 35,142 34,460 69,602
Multifamily . . . . . . . . . . . ........................ 438 90 528 582 92 674
Ginnie Mae:
Single-family
(2)
................................. 341 133 474 398 152 550
Multifamily . . . . . . . . . . . ........................ 35 — 35 26 — 26
Total agency mortgage-related securities . . . ........... 37,363 28,808 66,171 36,148 34,704 70,852
Non-agency mortgage-related securities:
Single-family:
(2)(4)
Subprime . . . . . . . . . . . . . ........................ 395 61,179 61,574 438 74,413 74,851
Option ARM . . . . . . . . . . ........................ — 17,687 17,687 — 19,606 19,606
Alt-A and other. . . . . . . . . ........................ 2,845 18,594 21,439 3,266 21,801 25,067
Commercial mortgage-backed securities
(5)
................ 23,476 38,439 61,915 25,060 39,131 64,191
Obligations of states and political subdivisions
(6)
............ 11,812 42 11,854 12,825 44 12,869
Manufactured housing
(7)
............................ 1,034 167 1,201 1,141 185 1,326
Total non-agency mortgage-related securities
(8)
.......... 39,562 136,108 175,670 42,730 155,180 197,910
Total unpaid principal balance of mortgage-related
securities . . . . . . . . . . ........................ $372,160 $244,296 616,456 $408,175 $285,111 693,286
Premiums, discounts, deferred fees, impairments of unpaid principal
balances and other basis adjustments . . . . . . ................ (5,897) (14,592)
Net unrealized (losses) on mortgage-related securities, pre-tax . . . . . . (22,896) (38,228)
Total carrying value of mortgage-related securities . . . ........... $587,663 $640,466
(1) For our PCs and Structured Securities, we are subject to the credit risk associated with the underlying mortgage loan collateral.
(2) Variable-rate single-family mortgage-related securities include those with a contractual coupon rate that, prior to contractual maturity, is either scheduled
to change or is subject to change based on changes in the composition of the underlying collateral.
(3) Agency mortgage-related securities are generally not separately rated by nationally recognized statistical rating organizations, but are viewed as having a
level of credit quality at least equivalent to non-agency mortgage-related securities AAA-rated or equivalent.
(4) Single-family non-agency mortgage-related securities backed by subprime residential loans include significant credit enhancements, particularly through
subordination. For information about how these securities are rated, see “Table 31 — Ratings of Available-For-Sale Non-Agency Mortgage-Related
Securities backed by Subprime, Option ARM, Alt-A and Other Loans at December 31, 2009 and 2008” and “Table 32 — Ratings Trend of Available-
For-Sale Non-Agency Mortgage-Related Securities backed by Subprime, Option ARM, Alt-A and Other Loans.”
(5) Approximately 53% and 93% of these securities held at December 31, 2009 and 2008, respectively, were AAA-rated as of those dates, based on the
lowest rating available.
(6) Consists of mortgage revenue bonds. Approximately 55% and 58% of these securities held at December 31, 2009 and 2008, respectively, were
AAA-rated as of those dates, based on the lowest rating available.
(7) At December 31, 2009 and 2008, 17% and 32%, respectively, of mortgage-related securities backed by manufactured housing bonds were rated BBB–
or above, based on the lowest rating available. For both dates, 91% of manufactured housing bonds had credit enhancements, including primary
monoline insurance that covered 23%, of the manufactured housing bonds based on the unpaid principal balance. At December 31, 2009 and 2008, we
had secondary insurance on 61% and 60% of these bonds that were not covered by the primary monoline insurance, respectively, based on the unpaid
principal balance. Approximately 3% of the mortgage-related securities backed by manufactured housing bonds were AAA-rated at both December 31,
2009 and 2008, based on the unpaid principal balance and the lowest rating available.
(8) Credit ratings for most non-agency mortgage-related securities are designated by no fewer than two nationally recognized statistical rating organizations.
Approximately 26% and 55% of total non-agency mortgage-related securities held at December 31, 2009 and 2008, respectively, were AAA-rated as of
those dates, based on the unpaid principal balance and the lowest rating available.
The total unpaid principal balance of our investments in mortgage-related securities decreased by $76.8 billion to
$616.5 billion at December 31, 2009 compared to December 31, 2008. Our mortgage-related securities decreased during
2009 due to a relative lack of favorable investment opportunities, as evidenced by tighter spreads on agency mortgage-related
securities. We believe these tighter spread levels were driven by the Federal Reserve’s and Treasury’s agency mortgage-
related securities purchase programs. Treasury’s purchase program expired in December 2009. Investment opportunities for
agency mortgage-related securities could remain limited while the Federal Reserve’s purchase program remains in effect.
104 Freddie Mac