Freddie Mac 2008 Annual Report Download - page 221

Trading Securities
Table 5.7 summarizes the estimated fair values by major security type for trading securities held in our mortgage-related
investments portfolio.
Table 5.7 — Trading Securities in our Mortgage-Related Investments Portfolio
2008 2007
December 31,
(in millions)
Mortgage-related securities issued by:
Freddie Mac . . . . ...................................................................... $158,822 $12,216
Fannie Mae . . . . . ...................................................................... 31,309 1,697
Ginnie Mae. . . . . ...................................................................... 198 175
Other . . . . . . . . . ...................................................................... 32 1
Total trading securities in our mortgage-related investments portfolio . . . ............................... $190,361 $14,089
For the years ended December 31, 2008, 2007 and 2006 we recorded net unrealized gains (losses) on trading securities
held at December 31, 2008, 2007 and 2006 of $1.6 billion, $505 million and $(114) million, respectively.
Total trading securities in our mortgage-related investments portfolio include $3.9 billion and $4.2 billion, respectively,
of SFAS 155 related assets as of December 31, 2008 and 2007. Gains (losses) on trading securities on our consolidated
statements of operations include gains of $249 million and $315 million, respectively, related to these SFAS 155 trading
securities for the years ended December 31, 2008 and 2007.
Impact of the Purchase Agreement and FHFA Regulation on the Mortgage-Related Investments Portfolio
Under the Purchase Agreement and FHFA regulation, our mortgage-related investments portfolio as of December 31,
2009 may not exceed $900 billion, and must decline by 10% per year thereafter until it reaches $250 billion.
Mortgage-Related Investments Portfolio Voluntary Growth Limit
As of March 1, 2008, we are no longer subject to the voluntary growth limit on our mortgage-related investments
portfolio of 2% annually.
Collateral Pledged
Collateral Pledged to Freddie Mac
Our counterparties are required to pledge collateral for reverse repurchase transactions and most derivative instruments
subject to collateral posting thresholds generally related to a counterparty’s credit rating. We had cash pledged to us related
to derivative instruments of $4.3 billion and $6.5 billion at December 31, 2008 and 2007, respectively. Although it is our
practice not to repledge assets held as collateral, a portion of the collateral may be repledged based on master agreements
related to our derivative instruments. At December 31, 2008 and 2007, we did not have collateral in the form of securities
pledged to and held by us under these master agreements. Also at December 31, 2008 and 2007, we did not have securities
pledged to us for reverse repurchase transactions that we had the right to repledge.
Collateral Pledged by Freddie Mac
We are also required to pledge collateral for margin requirements with third-party custodians in connection with secured
financings, interest-rate swap agreements, futures and daily trade activities with some counterparties. The level of collateral
pledged related to our derivative instruments is determined after giving consideration to our credit rating. As of
December 31, 2008, we had two uncommitted intraday lines of credit with third parties, both of which are secured, in
connection with the Federal Reserve’s revised payments system risk policy, which restricts or eliminates delinquent
overdrafts by the government-sponsored enterprises, or GSEs, in connection with our use of the fedwire system. In certain
limited circumstances, the lines of credit agreements give the secured parties the right to repledge the securities underlying
our financing to other third parties, including the Federal Reserve Bank. See “NOTE 8: DEBT SECURITIES AND
SUBORDINATED BORROWINGS — Lending Agreement” for a discussion of our GSE Credit Facility. We pledge collateral
to meet these requirements upon demand by the respective counterparty.
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