Freddie Mac 2014 Annual Report Download - page 84

79 Freddie Mac
The table below provides the UPB and fair value of our investments in agency and non-agency mortgage-related
securities on our consolidated balance sheets.
Table 28 — Additional Characteristics of Mortgage-Related Securities on Our Consolidated Balance Sheets
December 31, 2014 December 31, 2013
UPB Fair Value UPB Fair Value
(in millions)
Agency pass-through securities $ 11,289 $ 12,196 $ 12,951 $ 13,867
Other agency securities:
Interest-only securities — 2,093 — 1,966
Principal-only securities 2,427 2,086 2,724 2,252
Inverse floating-rate securities(1) 1,156 1,619 1,594 2,280
REMICs and Other Structured Securities 52,699 56,201 45,298 47,885
Total agency securities 67,571 74,195 62,567 68,250
Non-agency securities 66,048 56,110 94,775 77,437
Total mortgage-related securities $ 133,619 $ 130,305 $ 157,342 $ 145,687
(1) Represents securities where the holder receives interest cash flows that change inversely with the reference rate (i.e., higher cash flows when reference
rates are low and lower cash flows when reference rates are high). Additionally, these securities receive a portion of principal cash flows associated
with the underlying collateral.
The total UPB of our investments in mortgage-related securities on our consolidated balance sheets decreased from
$157.3 billion at December 31, 2013 to $133.6 billion at December 31, 2014, while the fair value of these investments
decreased from $145.7 billion at December 31, 2013 to $130.3 billion at December 31, 2014. The reduction in non-agency
mortgage-related securities was due to liquidations and sales, consistent with our efforts to reduce the amount of less liquid
assets in our mortgage-related investments portfolio, as described in “BUSINESS — Conservatorship and Related Matters —
Limits on Investment Activity and Our Mortgage-Related Investments Portfolio.”
The table below summarizes the UPB of our mortgage-related securities purchase activity.
Table 29 — Mortgage-Related Securities Purchase Activity
Year Ended December 31,
2014 2013 2012
(in millions)
Non-Freddie Mac mortgage-related securities purchased for resecuritization:
Ginnie Mae Certificates $ — $ 26 $ 21
Non-Freddie Mac mortgage-related securities purchased as investments in securities:
Agency securities:
Fannie Mae:
Fixed-rate 2,695 4,251 —
Variable-rate 5,005 50 170
Total Fannie Mae 7,700 4,301 170
Ginnie Mae:
Variable-rate 73 — —
Total non-Freddie Mac agency securities 7,773 4,301 170
Non-agency mortgage-related securities:
CMBS:(1)
Variable-rate 35 — —
Total non-agency mortgage-related securities 35 — —
Total non-Freddie Mac mortgage-related securities purchased as investments in securities 7,808 4,301 170
Total non-Freddie Mac mortgage-related securities purchased $ 7,808 $ 4,327 $ 191
Freddie Mac mortgage-related securities purchased:(2)
Single-family:
Fixed-rate $ 43,922 $ 44,760 $ 13,272
Variable-rate 7,568 296 3,045
Multifamily:
Fixed-rate 392 — 119
Total Freddie Mac mortgage-related securities purchased $ 51,882 $ 45,056 $ 16,436
(1) Consists of our purchases of subordinated tranches issued in K Certificate transactions.
(2) Primarily consists of purchases of Freddie Mac mortgage-related securities from third parties.
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