Freddie Mac 2014 Annual Report Download - page 83

78 Freddie Mac
Non-Mortgage-Related Securities
Our investments in non-mortgage-related securities provide an additional source of liquidity. We held investments in non-
mortgage-related securities with a fair value of $6.7 billion and $6.6 billion as of December 31, 2014 and 2013, respectively.
For more information on liquid assets, see "Cash and Cash Equivalents, Federal Funds Sold and Securities Purchased Under
Agreements to Resell."
Mortgage-Related Securities
Our investments in mortgage-related securities consist of securities issued by Fannie Mae, Ginnie Mae, other financial
institutions, and our own mortgage-related securities. When we purchase certain REMICs and Other Structured Securities and
certain Other Guarantee Transactions, we account for these securities as investments in debt securities as we are investing in
the debt securities of a non-consolidated entity. We do not consolidate our resecuritization trusts unless we are deemed to be the
primary beneficiary of such trusts. We are subject to the credit risk associated with the mortgage loans underlying our Freddie
Mac mortgage-related securities. Mortgage loans underlying our issued single-family PCs and certain Other Guarantee
Transactions are recognized on our consolidated balance sheets as held-for-investment mortgage loans, at amortized cost. See
“NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — Investments in Securities” for further information.
The table below provides information regarding our investments in mortgage-related securities classified as available-for-
sale or trading on our consolidated balance sheets, based on UPB. The table does not include our holdings of our own single-
family PCs and certain Other Guarantee Transactions. For information on our holdings of such securities, see “Table 21 —
Composition of Segment Mortgage Portfolios and Credit Risk Portfolios.”
Table 27 — Characteristics of Mortgage-Related Securities on Our Consolidated Balance Sheets
December 31, 2014 December 31, 2013
Fixed
Rate Variable Rate(1) Total Fixed Rate Variable Rate(1) Total
(in millions)
Freddie Mac mortgage-related securities:
Single-family $ 41,340 $ 6,552 $ 47,892 $ 38,472 $ 4,401 $ 42,873
Multifamily 1,897 1,429 3,326 1,318 1,469 2,787
Total Freddie Mac mortgage-related securities 43,237 7,981 51,218 39,790 5,870 45,660
Non-Freddie Mac mortgage-related securities:
Agency securities:(2)
Fannie Mae:
Single-family 6,852 9,303 16,155 7,240 9,421 16,661
Multifamily — — — 3 — 3
Ginnie Mae:
Single-family 119 67 186 150 78 228
Multifamily 12 — 12 15 — 15
Total Non-Freddie Mac agency securities 6,983 9,370 16,353 7,408 9,499 16,907
Non-agency mortgage-related securities:
Single-family:(3)
Subprime 11 27,675 27,686 116 39,583 39,699
Option ARM — 8,287 8,287 — 10,426 10,426
Alt-A and other 955 5,035 5,990 1,417 9,594 11,011
CMBS(3) 9,326 11,886 21,212 13,069 16,254 29,323
Obligations of states and political subdivisions(4) 2,157 12 2,169 3,524 14 3,538
Manufactured housing 521 183 704 577 201 778
Total non-agency mortgage-related securities 12,970 53,078 66,048 18,703 76,072 94,775
Total UPB of mortgage-related securities $ 63,190 $ 70,429 133,619 $ 65,901 $ 91,441 157,342
Premiums, discounts, deferred fees, impairments of UPB and other basis
adjustments (8,187) (14,036)
Net unrealized gains (losses) on mortgage-related securities, pre-tax 4,873 2,381
Total carrying value of mortgage-related securities $ 130,305 $ 145,687
(1) Variable-rate mortgage-related securities include those with a contractual coupon rate that, prior to contractual maturity, is either scheduled to change or
subject to change based on changes in the composition of the underlying collateral.
(2) Agency securities are generally not separately rated by nationally recognized statistical rating organizations, but have historically been viewed as
having a level of credit quality at least equivalent to non-agency mortgage-related securities AAA-rated or equivalent.
(3) For information about how these securities are rated, see ‘‘Table 32 — Ratings of Non-Agency Mortgage-Related Securities Backed by Subprime,
Option ARM, Alt-A and Other Loans, and CMBS.’’
(4) Consists of housing revenue bonds. Approximately 31% and 28% of these securities held at December 31, 2014 and 2013, respectively, were AAA-
rated as of those dates, based on the UPB and the lowest rating available.
Table of Contents