Freddie Mac 2010 Annual Report Download - page 224

Realized Gains and Losses on Available-For-Sale Securities
Table 8.6 below illustrates the gross realized gains and gross realized losses received from the sale of available-for-sale
securities.
Table 8.6 — Gross Realized Gains and Gross Realized Losses on Sales of Available-For-Sale Securities
2010 2009 2008
Year Ended December 31,
(in millions)
Gross realized gains
Mortgage-related securities:
Freddie Mac ....................................................................... $27 $ 879 $423
Fannie Mae ....................................................................... 54 2 67
Obligations of states and political subdivisions . . . ............................................. 3 2 75
Total mortgage-related securities gross realized gains. . . . . . . . . . . ............................... 84 883 565
Non-mortgage-related securities:
Asset-backed securities ................................................................ 10 313 1
Total non-mortgage-related securities gross realized gains. . . . . . . . ............................... 10 313 1
Gross realized gains ..................................................................... 94 1,196 566
Gross realized losses
Mortgage-related securities:
(1)
Freddie Mac ....................................................................... (1) (113) (13)
Fannie Mae ....................................................................... — — (2)
Option ARM....................................................................... (6) — —
Obligations of states and political subdivisions . . . ............................................. — — (5)
Total mortgage-related securities gross realized losses . . . . . . . . . . ............................... (7) (113) (20)
Gross realized losses ..................................................................... (7) (113) (20)
Net realized gains (losses) ................................................................. $87 $1,083 $546
(1) These individual sales do not change our conclusion that we do not intend to sell our remaining mortgage-related securities and it is not more likely
than not that we will be required to sell such securities before a recovery of the unrealized losses.
Maturities and Weighted Average Yield of Available-For-Sale Securities
Table 8.7 summarizes, by major security type, the remaining contractual maturities and weighted average yield of
available-for-sale securities.
Table 8.7 — Maturities and Weighted Average Yield of Available-For-Sale Securities
(1)
December 31, 2010 Amortized Cost Fair Value
Weighted
Average Yield
(2)
(dollars in millions)
Mortgage-related securities:
Due within 1 year or less . ............................................... $ 164 $ 167 6.13%
Due after 1 through 5 years . . . . . . ........................................ 998 1,047 5.18
Due after 5 through 10 years . . . . . ........................................ 7,761 8,127 5.04
Due after 10 years..................................................... 238,600 223,293 3.68
Total mortgage-related securities . ........................................ 247,523 232,634 3.73
Total available-for-sale securities . . . . . . ........................................ $247,523 $232,634 3.73
(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, 2010. The numerator for the individual lot yield
consists of the sum of: (a) the year-end interest coupon rate multiplied by the year-end UPB; and (b) the annualized amortization income or expense
calculated for December 2010 (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 UPB of impaired lots.
AOCI Related to Available-For-Sale Securities
Table 8.8 presents the changes in AOCI related to available-for-sale securities. The net unrealized holding gains (losses)
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 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.
221 Freddie Mac