Freddie Mac 2009 Annual Report Download - page 256

Maturities and Weighted Average Yield of Available-For-Sale Securities
Table 6.7 summarizes, by major security type, the remaining contractual maturities and weighted average yield of
available-for-sale securities.
Table 6.7 — Maturities and Weighted Average Yield of Available-For-Sale Securities
(1)
December 31, 2009 Amortized Cost Fair Value
Weighted
Average Yield
(2)
(dollars in millions)
Mortgage-related securities:
Due within 1 year or less . ............................................... $ 186 $ 188 4.51%
Due after 1 through 5 years .............................................. 2,644 2,774 5.45
Due after 5 through 10 years ............................................. 34,930 36,345 4.80
Due after 10 years .................................................... 376,196 342,824 4.08
Total . ........................................................... $413,956 $382,131 4.15
Non-mortgage-related securities:
Asset-backed securities
Due within 1 year or less . ............................................... $ — $ — —
Due after 1 through 5 years .............................................. 2,294 2,400 1.20
Due after 5 through 10 years ............................................. 87 88 0.31
Due after 10 years .................................................... 63 65 0.28
Total . ........................................................... $ 2,444 $ 2,553 1.14
Total available-for-sale securities:
Due within 1 year or less . . ............................................... $ 186 $ 188 4.51
Due after 1 through 5 years . ............................................... 4,938 5,174 3.47
Due after 5 through 10 years ............................................... 35,017 36,433 4.79
Due after 10 years . ..................................................... 376,259 342,889 4.08
Total . . . ........................................................... $416,400 $384,684 4.13
(1) Maturity information provided is based on contractual maturities, which may not represent expected life, as obligations underlying these securities may
be prepaid at any time without penalty.
(2) The weighted average yield is calculated based on a yield for each individual lot held at December 31, 2009. The numerator for the individual lot yield
consists of the sum of (a) the year-end interest coupon rate multiplied by the year-end unpaid principal balance and (b) the annualized amortization
income or expense calculated for December 2009 (excluding the accretion of non-credit-related other-than-temporary impairments and any adjustments
recorded for changes in the effective rate). The denominator for the individual lot yield consists of the year-end amortized cost of the lot excluding
effects of other-than-temporary impairments on the unpaid principal balances of impaired lots.
AOCI, Net of Taxes, Related to Available-For-Sale Securities
Table 6.8 presents the changes in AOCI, net of taxes, related to available-for-sale securities. The net unrealized holding
losses, net of tax, represents the net fair value adjustments recorded on available-for-sale securities throughout the year, after
the effects of our federal statutory tax rate of 35%. The net reclassification adjustment for net realized losses (gains), net of
tax, represents the amount of those fair value adjustments, after the effects of our federal statutory tax rate of 35%, that have
been recognized in earnings due to a sale of an available-for-sale security or the recognition of an impairment loss.
Table 6.8 — AOCI, Net of Taxes, Related to Available-For-Sale Securities
2009 2008 2007
Year Ended December 31,
(in millions)
Beginning balance. . . . . . . . . . . ..................................................... $(28,510) $ (7,040) $(3,332)
Adjustment to initially apply the adoption of an amendment to the accounting standards for investments in
debt and equity securities
(1)
...................................................... (9,931) — —
Adjustment to initially apply the accounting standards on the fair value option for financial assets and
liabilities
(2)
................................................................. — (854) —
Net unrealized holding gains (losses), net of tax
(3)
........................................ 11,250 (31,753) (3,792)
Net reclassification adjustment for net realized losses, net of tax
(4)(5)
............................ 6,575 11,137 84
Ending balance . . . . . . . . . . . . . ..................................................... $(20,616) $(28,510) $(7,040)
(1) Net of tax benefit of $5.3 billion for the year ended December 31, 2009.
(2) Net of tax benefit of $460 million for the year ended December 31, 2008.
(3) Net of tax benefit (expense) of $(6.1) billion, $17.1 billion and $2.0 billion for the years ended December 31, 2009, 2008 and 2007, respectively.
(4) Net of tax benefit of $3.5 billion, $6.0 billion and $45 million for the years ended December 31, 2009, 2008 and 2007, respectively.
(5) Includes the reversal of previously recorded unrealized losses that have been recognized on our consolidated statements of operations as impairment
losses on available-for-sale securities of $7.3 billion, $11.5 billion and $234 million, net of taxes, for the years ended December 31, 2009, 2008 and
2007, respectively.
253 Freddie Mac