Freddie Mac 2014 Annual Report Download - page 191

186 Freddie Mac
Guarantee Transactions). Debt securities of consolidated trusts held by third parties are prepayable as the loans that
collateralize the debt may prepay without penalty at any time.
The table below summarizes the debt securities of consolidated trusts held by third parties based on underlying mortgage
product type.
Table 8.3 — Debt Securities of Consolidated Trusts Held by Third Parties
December 31, 2014 December 31, 2013
Contractual
Maturity UPB Carrying Amount
Weighted
Average
Coupon(1) Contractual Maturity UPB Carrying Amount
Weighted
Average
Coupon(1)
(dollars in millions) (dollars in millions)
Single-family:
30-year or more, fixed-rate 2015 - 2053 $ 1,018,357 $ 1,047,302 4.04% 2014 - 2052 $ 969,270 $ 993,683 4.14%
20-year fixed-rate 2015 - 2035 71,545 73,764 3.74 2014 - 2034 75,910 78,252 3.81
15-year fixed-rate 2015 - 2030 266,117 272,538 3.13 2014 - 2029 270,513 277,018 3.23
Adjustable-rate 2015 - 2047 65,082 66,518 2.62 2014 - 2047 60,683 61,830 2.64
Interest-only 2026 - 2041 17,474 17,524 3.29 2026 - 2041 21,352 21,390 3.70
FHA/VA 2015 - 2044 1,226 1,250 5.42 2014 - 2041 1,284 1,303 5.67
Total single-family 1,439,801 1,478,896 1,399,012 1,433,476
Multifamily(2) 2017 - 2019 524 577 4.93 2018 - 2019 444 508 4.96
Total debt securities of consolidated trusts held by
third parties $ 1,440,325 $ 1,479,473 $ 1,399,456 $ 1,433,984
(1) The effective rate for debt securities of consolidated trusts held by third parties was 3.19% and 3.39% as of December 31, 2014 and 2013, respectively.
(2) Carrying amount includes interest-only securities recorded at fair value.
The table below summarizes the contractual maturities of other long-term debt securities and debt securities of
consolidated trusts held by third parties at December 31, 2014.
Table 8.4 — Contractual Maturity of Other Long-Term Debt and Debt Securities of Consolidated Trusts Held by Third
Parties
Annual Maturities Par Value
(in millions)
Other long-term debt:
2015 $ 58,841
2016 72,503
2017 77,482
2018 30,850
2019 30,671
Thereafter 49,012
Debt securities of consolidated trusts held by third parties(1) 1,440,325
Total 1,759,684
Net discounts, premiums, hedge-related and other basis adjustments(2) 35,239
Total debt securities of consolidated trusts held by third parties and other long-term debt $ 1,794,923
(1) Contractual maturities of debt securities of consolidated trusts held by third parties may not represent expected maturity as they are prepayable at any
time without penalty.
(2) Other basis adjustments primarily represent changes in fair value attributable to instrument-specific credit risk.
Subordinated Debt Interest and Principal Payments
The terms of certain of our subordinated debt securities provide for us to defer payments of interest in the event we fail to
maintain specified capital levels. However, in a September 23, 2008 statement concerning the conservatorship, the Director of
FHFA stated that we would continue to make interest and principal payments on our subordinated debt, even if we fail to
maintain required capital levels.
NOTE 9: DERIVATIVES
Use of Derivatives
We use derivatives primarily to manage the interest rate risk associated with our investments in financial assets and
related liabilities. We analyze the interest-rate sensitivity of financial assets and liabilities on a daily basis across a variety of
interest-rate scenarios based on market prices, models and economics. We use derivatives to hedge interest-rate sensitivity
mismatches between our assets and liabilities. For example, if rates increase and the duration of our assets extends more than
the duration of our liabilities, we would rebalance our interest-rate exposure by entering into pay-fixed interest-rate swaps or
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