Freddie Mac 2010 Annual Report Download - page 96

Table 24 — Total Mortgage-Related Securities Purchase Activity
(1)
2010 2009 2008
Year Ended December 31,
(in millions)
Non-Freddie Mac mortgage-related securities purchased for resecuritization:
Ginnie Mae Certificates.......................................................... $ 69 $ 56 $ 36
Non-agency mortgage-related securities purchased for Other Guarantee Transactions
(2)
............... 9,579 10,189 8,246
Total Non-Freddie Mac mortgage related securities purchased for resecuritization . . ............... 9,648 10,245 8,282
Non-Freddie Mac mortgage-related securities purchased as investments in securities:
Agency securities:
Fannie Mae:
Fixed-rate . . . . . ............................................................ — 43,298 49,534
Variable-rate. . . . ............................................................ 373 2,697 18,519
Total Fannie Mae .......................................................... 373 45,995 68,053
Ginnie Mae fixed-rate ........................................................... — 27 8
Total agency securities ......................................................... 373 46,022 68,061
Non-agency mortgage-related securities:
Single-family variable-rate ........................................................ — — 618
CMBS:
Fixed-rate . . . . . ............................................................ — — 713
Variable-rate. . . . ............................................................ 40 — 703
Total CMBS .............................................................. 40 — 1,416
Obligations of states and political subdivisions fixed-rate ................................... — 180 81
Total non-agency mortgage-related securities ......................................... 40 180 2,115
Total non-Freddie Mac mortgage-related securities purchased as investments in securities ......... 413 46,202 70,176
Total non-Freddie Mac mortgage-related securities purchased ................................ $10,061 $ 56,447 $ 78,458
Freddie Mac mortgage-related securities repurchased:
Single-family:
Fixed-rate . . . . . ............................................................ $40,462 $176,974 $192,701
Variable-rate. . . . ............................................................ 923 5,414 26,344
Multifamily:
Fixed-rate . . . . . ............................................................ 271 — 111
Variable-rate. . . . ............................................................ 111 — —
Total Freddie Mac mortgage-related securities repurchased ................................. $41,767 $182,388 $219,156
(1) Based on UPB. Excludes mortgage-related securities traded but not yet settled.
(2) Purchases in 2010 and 2009 include HFA bonds we acquired and resecuritized under the NIBP. See “NOTE 3: CONSERVATORSHIP AND RELATED
MATTERS” for further information on this component of the HFA Initiative.
Unrealized Losses on Available-For-Sale Mortgage-Related Securities
At December 31, 2010, our gross unrealized losses, pre-tax, on available-for-sale mortgage-related securities were
$23.1 billion, compared to $42.7 billion at December 31, 2009. This improvement in unrealized losses reflects: (a) a decline
in market interest rates; and (b) fair value gains related to the movement of securities with unrealized losses towards
maturity. We believe the unrealized losses related to these securities at December 31, 2010 were mainly attributable to poor
underlying collateral performance, limited liquidity and large risk premiums in the market for residential non-agency
mortgage-related securities. All securities in an unrealized loss position are evaluated to determine if the impairment is other-
than-temporary. See “Total Equity (Deficit)” and “NOTE 8: INVESTMENTS IN SECURITIES” for additional information
regarding unrealized losses on our available-for-sale securities.
Higher-Risk Components of Our Investments in Mortgage-Related Securities
As discussed below, we have exposure to subprime, option ARM, interest-only, and Alt-A and other loans as part of our
investments in mortgage-related securities as follows:
•Single-family non-agency mortgage-related securities: We hold non-agency mortgage-related securities backed by
subprime, option ARM, and Alt-A and other loans.
•Single-family Freddie Mac mortgage-related securities: We hold certain Other Guarantee Transactions as part of our
investments in securities. There are subprime and option ARM loans underlying some of these Other Guarantee
Transactions. For more information on single-family loans with certain higher-risk characteristics underlying our
issued securities, see “RISK MANAGEMENT — Credit Risk — Mortgage Credit Risk.”
Non-Agency Mortgage-Related Securities Backed by Subprime, Option ARM, and Alt-A Loans
We categorize our investments in non-agency mortgage-related securities as subprime, option ARM, or Alt-A if the
securities were identified as such based on information provided to us when we entered into these transactions. We have not
93 Freddie Mac