Freddie Mac 2009 Annual Report Download - page 249

Available-For-Sale Securities in a Gross Unrealized Loss Position
Table 6.2 shows the fair value of available-for-sale securities in a gross unrealized loss position and whether they have
been in that position less than 12 months or 12 months or greater including the non-credit-related portion of other-than-
temporary impairments which have been recognized in AOCI.
Table 6.2 — Available-For-Sale Securities in a Gross Unrealized Loss Position
December 31, 2009
Fair
Value
Other-Than-
Temporary
Impairment
(1)
Temporary
Impairment
(2)
Total
Fair
Value
Other-Than-
Temporary
Impairment
(1)
Temporary
Impairment
(2)
Total
Fair
Value
Other-Than-
Temporary
Impairment
(1)
Temporary
Impairment
(2)
Total
Gross Unrealized Losses Gross Unrealized Losses Gross Unrealized Losses
Less than 12 Months 12 Months or Greater Total
(in millions)
Mortgage-related securities:
Freddie Mac . . . . . . . . . $ 4,219 $ — $ (52) $ (52) $ 11,068 $ — $ (1,089) $ (1,089) $ 15,287 $ — $ (1,141) $ (1,141)
Subprime . . . . . . . . . . . 6,173 (4,219) (62) (4,281) 29,540 (9,238) (7,583) (16,821) 35,713 (13,457) (7,645) (21,102)
Commercial mortgage-
backed securities . . . . . 3,580 — (56) (56) 48,067 (1,017) (6,715) (7,732) 51,647 (1,017) (6,771) (7,788)
Option ARM . . . . . . . . . 2,457 (2,165) (36) (2,201) 4,712 (3,784) (490) (4,274) 7,169 (5,949) (526) (6,475)
Alt-A and other . . . . . . . 4,268 (2,162) (43) (2,205) 8,954 (1,833) (1,509) (3,342) 13,222 (3,995) (1,552) (5,547)
Fannie Mae . . . . . . . . . . 473 — (2) (2) 124 — (6) (6) 597 — (8) (8)
Obligations of states and
political subdivisions . . . 949 — (14) (14) 6,996 — (426) (426) 7,945 — (440) (440)
Manufactured housing . . . . 212 (58) — (58) 685 (57) (59) (116) 897 (115) (59) (174)
GinnieMae.......... 17 — — — — — — — 17 — — —
Total mortgage-related
securities . . . . . . . . . . 22,348 (8,604) (265) (8,869) 110,146 (15,929) (17,877) (33,806) 132,494 (24,533) (18,142) (42,675)
Total available-for-sale
securities in a gross
unrealized loss position . . . $22,348 $(8,604) $(265) $(8,869) $110,146 $(15,929) $(17,877) $(33,806) $132,494 $(24,533) $(18,142) $(42,675)
December 31, 2008
Fair
Value
Gross
Unrealized
Losses
Fair
Value
Gross
Unrealized
Losses
Fair
Value
Gross
Unrealized
Losses
Less than 12 Months 12 Months or Greater Total
(in millions)
Mortgage-related securities:
Freddie Mac. . . .................................... $14,423 $ (425) $ 15,466 $ (2,496) $ 29,889 $ (2,921)
Subprime ......................................... 3,040 (862) 46,585 (18,283) 49,625 (19,145)
Commercial mortgage-backed securities . . .................. 24,783 (8,226) 24,479 (6,490) 49,262 (14,716)
Option ARM . . .................................... 4,186 (2,919) 1,299 (1,820) 5,485 (4,739)
Alt-A and other .................................... 3,444 (1,526) 7,159 (5,261) 10,603 (6,787)
Fannie Mae . . . .................................... 5,977 (75) 971 (13) 6,948 (88)
Obligations of states and political subdivisions ............... 5,302 (743) 5,077 (1,606) 10,379 (2,349)
Manufactured housing . ............................... 498 (110) 73 (73) 571 (183)
Ginnie Mae . . . .................................... 18 — 1 — 19 —
Total mortgage-related securities ....................... 61,671 (14,886) 101,110 (36,042) 162,781 (50,928)
Total available-for-sale securities in a gross unrealized loss position . . . $61,671 $(14,886) $101,110 $(36,042) $162,781 $(50,928)
(1) Represents the pre-tax amount of non-credit-related other-than-temporary impairments on available-for-sale securities not expected to be sold which are
recognized in AOCI.
(2) Represents the pre-tax amount of temporary impairments on available-for-sale securities recognized in AOCI.
At December 31, 2009, total gross unrealized losses on available-for-sale securities were $42.7 billion, as noted in
Table 6.2. The gross unrealized losses relate to approximately 5,940 individual lots representing approximately
3,430 separate securities, including securities with non-credit-related other-than-temporary impairments recognized in AOCI.
We routinely purchase multiple lots of individual securities at different times and at different costs. We determine gross
unrealized gains and gross unrealized losses by specifically identifying investment positions at the lot level; therefore, some
of the lots we hold for a single security may be in an unrealized gain position while other lots for that security are in an
unrealized loss position, depending upon the amortized cost of the specific lot.
Evaluation of Other-Than-Temporary Impairments
We adopted an amendment to the accounting standards for investments in debt and equity securities on April 1, 2009,
which provides additional guidance in accounting for and presenting impairment losses on debt securities. This amendment
was effective and was applied prospectively by us in the second quarter of 2009. See “NOTE 1: SUMMARY OF
SIGNIFICANT ACCOUNTING POLICIES — Recently Adopted Accounting Standards — Change in the Impairment Model
for Debt Securities” for further additional information regarding the impact of this amendment on our consolidated financial
statements.
We conduct quarterly reviews to identify and evaluate each available-for-sale security that has an unrealized loss, in
accordance with the amendment to the accounting standards for investments in debt and equity securities. An unrealized loss
exists when the current fair value of an individual security is less than its amortized cost basis.
246 Freddie Mac