Freddie Mac 2008 Annual Report Download - page 220

Maturities and Weighted Average Yield of Available-For-Sale Securities
Table 5.5 summarizes, by major security type, the remaining contractual maturities and weighted average yield of
available-for-sale securities.
Table 5.5 — Maturities and Weighted Average Yield of Available-For-Sale Securities
(1)
December 31, 2008 Amortized Cost Fair Value
Weighted
Average Yield
(2)
(dollars in millions)
Mortgage-related investments portfolio:
Mortgage-related securities:
Due 1 year or less ..................................................... $ 222 $ 222 5.73%
Due after 1 through 5 years . . . . . . ........................................ 2,687 2,755 5.21
Due after 5 through 10 years . . . . . ........................................ 52,686 53,871 4.78
Due after 10 years..................................................... 438,376 393,256 4.63
Total . ........................................................... $493,971 $450,104 4.65
Cash and other investments portfolio:
Non-mortgage-related securities:
Asset-backed securities
Due 1 year or less ..................................................... $ 12 $ 12 5.48
Due after 1 through 5 years . . . . . . ........................................ 6,835 6,836 2.82
Due after 5 through 10 years . . . . . ........................................ 1,667 1,671 2.09
Due after 10 years..................................................... 274 275 2.09
Total . ........................................................... $ 8,788 $ 8,794 2.66
Total available-for-sale securities for mortgage-related investments portfolio and cash and other
investments portfolio:
Due 1 year or less . ..................................................... $ 234 $ 234 5.72
Due after 1 through 5 years . ............................................... 9,522 9,591 3.49
Due after 5 through 10 years ............................................... 54,353 55,542 4.70
Due after 10 years . ..................................................... 438,650 393,531 4.63
Total . . . ........................................................... $502,759 $458,898 4.62
(1) Maturity information provided is based on contractual maturities, which may not represent expected life, as obligations underlying these securities may
be prepaid at any time without penalty.
(2) The weighted average yield is calculated based on a yield for each individual lot held at December 31, 2008. The numerator for the individual lot yield
consists of the sum of (a) the year-end interest coupon rate multiplied by the year-end unpaid principal balance and (b) the annualized amortization
income or expense calculated for December 2008 (including the accretion of non-credit related other-than-temporary impairments but excluding any
adjustments recorded for changes in the effective rate). The denominator for the individual lot yield consists of the year-end amortized cost of the lot
excluding effects of other-than-temporary impairments on the unpaid principal balances of impaired lots.
AOCI, Net of Taxes, Related to Available-For-Sale Securities
Table 5.6 presents the changes in AOCI, net of taxes, related to available-for-sale securities. The net unrealized holding
losses, net of tax, represents the net fair value adjustments recorded on available-for-sale securities throughout the year, after
the effects of our federal statutory tax rate of 35%. The net reclassification adjustment for net realized losses (gains), net of
tax, represents the amount of those fair value adjustments, after the effects of our federal statutory tax rate of 35%, that have
been recognized in earnings due to a sale of an available-for-sale security or the recognition of an impairment loss. See
“NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES” for further information regarding the component of
AOCI related to available-for-sale securities.
Table 5.6 — AOCI, Net of Taxes, Related to Available-For-Sale Securities
2008 2007 2006
Year Ended December 31,
(in millions)
Beginning balance. . . .............................................................. $ (7,040) $(3,332) $(3,065)
Adjustment to initially apply SFAS 159
(1)
............................................... (854) — —
Net unrealized holding (losses), net of tax
(2)
............................................. (31,753) (3,792) (551)
Net reclassification adjustment for net realized losses, net of tax
(3)(4)
............................. 11,137 84 284
Ending balance ................................................................... $(28,510) $(7,040) $(3,332)
(1) Net of tax benefit of $460 million for the year ended December 31, 2008.
(2) Net of tax benefit of $17.1 billion, $2.0 billion and $0.3 billion for the years ended December 31, 2008, 2007 and 2006, respectively.
(3) Net of tax benefit of $6.0 billion, $45 million and $153 million for the years ended December 31, 2008, 2007 and 2006, respectively.
(4) Includes the reversal of previously recorded unrealized losses that have been recognized on our consolidated statements of operations as impairment
losses on available-for-sale securities of $11.5 billion, $234 million and $193 million, net of taxes, for the years ended December 31, 2008, 2007 and
2006, respectively.
217 Freddie Mac