Freddie Mac 2010 Annual Report Download - page 95

Table 23 — Characteristics of Mortgage-Related Securities on Our Consolidated Balance Sheets
Fixed
Rate
Variable
Rate
(1)
Total
Fixed
Rate
Variable
Rate
(1)
Total
2010 2009
December 31,
(in millions)
Freddie Mac mortgage-related securities:
(2)
Single-family. . . . . . . . . . . . . . ........................ $ 79,955 $ 8,118 $ 88,073 $294,958 $ 77,708 $372,666
Multifamily . . . . . . . . . . . . . . . ........................ 339 1,756 2,095 277 1,672 1,949
Total Freddie Mac mortgage-related securities .......... 80,294 9,874 90,168 295,235 79,380 374,615
Non-Freddie Mac mortgage-related securities:
Agency securities:
(3)
Fannie Mae:
Single-family . . . . . . . . . . ........................ 21,238 18,139 39,377 36,549 28,585 65,134
Multifamily . . . . . . . . . . . ........................ 228 88 316 438 90 528
Ginnie Mae:
Single-family . . . . . . . . . . ........................ 296 117 413 341 133 474
Multifamily . . . . . . . . . . . ........................ 27 — 27 35 — 35
Total agency securities . . ........................ 21,789 18,344 40,133 37,363 28,808 66,171
Non-agency mortgage-related securities:
Single-family:
(4)
Subprime . . . . . . . . . . . . . ........................ 363 53,855 54,218 395 61,179 61,574
Option ARM . . . . . . . . . . ........................ — 15,646 15,646 — 17,687 17,687
Alt-A and other. . . . . . . . . ........................ 2,405 16,438 18,843 2,845 18,594 21,439
CMBS . . . . . . . . . . . . . . . . ........................ 21,401 37,327 58,728 23,476 38,439 61,915
Obligations of states and political subdivisions
(5)
............ 9,851 26 9,877 11,812 42 11,854
Manufactured housing . . . . . . ........................ 930 150 1,080 1,034 167 1,201
Total non-agency mortgage-related securities
(6)
.......... 34,950 123,442 158,392 39,562 136,108 175,670
Total UPB of mortgage-related securities . . . ........... $137,033 $151,660 288,693 $372,160 $244,296 616,456
Premiums, discounts, deferred fees, impairments of UPB and other
basis adjustments . . . . . . . . . . . ........................ (11,839) (5,897)
Net unrealized (losses) on mortgage-related securities, pre-tax . . . . . . (11,854) (22,896)
Total carrying value of mortgage-related securities . . . ........... $265,000 $587,663
(1) Variable-rate 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.
(2) For our Freddie Mac mortgage-related securities we are subject to the credit risk associated with the mortgage loans underlying our securities. On
January 1, 2010, we began prospectively recognizing on our consolidated balance sheets the mortgage loans underlying our issued single-family PCs and
certain Other Guarantee Transactions as held-for-investment mortgage loans, at amortized cost. We do not consolidate our resecuritization trusts since
we are not deemed to be the primary beneficiary of such trusts. See “NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES —
Investments in Securities” for further information.
(3) Agency 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) For information about how these securities are rated, see “Table 28 — Ratings of Available-For-Sale Non-Agency Mortgage-Related Securities Backed
by Subprime, Option ARM, Alt-A and Other Loans, and CMBS.”
(5) Consists of housing revenue bonds. Approximately 50% and 55% of these securities held at December 31, 2010 and 2009, respectively, were AAA-rated
as of those dates, based on the lowest rating available.
(6) Credit ratings for most non-agency mortgage-related securities are designated by no fewer than two nationally recognized statistical rating organizations.
Approximately 23% and 26% of total non-agency mortgage-related securities held at December 31, 2010 and 2009, respectively, were AAA-rated as of
those dates, based on the UPB and the lowest rating available.
The total UPB of our investments in mortgage-related securities on our consolidated balance sheets decreased from
$616.5 billion at December 31, 2009 to $288.7 billion at December 31, 2010 primarily as a result of a decrease of
$286.5 billion related to our adoption of the amendments to the accounting standards for the transfer of financial assets and
the consolidation of VIEs on January 1, 2010.
Table 24 summarizes our mortgage-related securities purchase activity for 2010, 2009, and 2008. The purchase activity
for all years presented includes our purchase activity related to the single-family PCs and certain Other Guarantee
Transactions issued by trusts that we consolidated. Due to the accounting changes noted above, effective January 1, 2010,
purchases of single-family PCs and certain Other Guarantee Transactions issued by trusts that we consolidated are recorded
as an extinguishment of debt securities of consolidated trusts held by third parties on our consolidated balance sheets.
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