Freddie Mac 2008 Annual Report Download - page 96

Table 24 provides unpaid principal balances of the mortgage loans and mortgage-related securities in our mortgage-
related investments portfolio. Table 24 includes securities classified as either available-for-sale or trading on our consolidated
balance sheets.
Table 24 — Characteristics of Mortgage Loans and Mortgage-Related Securities in our Mortgage-Related Investments
Portfolio
Fixed
Rate
Variable
Rate Total
Fixed
Rate
Variable
Rate Total
2008 2007
December 31,
(in millions)
Mortgage loans:
Single-family:
(1)
Conventional:
(2)
Amortizing ......................................... $ 34,630 $ 1,295 $ 35,925 $ 20,461 $ 1,266 $ 21,727
Interest-only ......................................... 440 841 1,281 246 1,434 1,680
Total conventional . ..................................... 35,070 2,136 37,206 20,707 2,700 23,407
USDA Rural Development/FHA/VA ........................... 1,549 — 1,549 1,182 — 1,182
Total Single-family . . ..................................... 36,619 2,136 38,755 21,889 2,700 24,589
Multifamily
(3)
........................................... 65,322 7,399 72,721 53,114 4,455 57,569
Total unpaid principal balance of mortgage loans . . . ............ 101,941 9,535 111,476 75,003 7,155 82,158
PCs and Structured Securities:
(4)
Single-family
(1)
.......................................... 328,965 93,498 422,463 269,896 84,415 354,311
Multifamily . . .......................................... 332 1,729 2,061 2,522 137 2,659
Total PCs and Structured Securities . . ...................... 329,297 95,227 424,524 272,418 84,552 356,970
Non-Freddie Mac mortgage-related securities:
Agency mortgage-related securities:
(5)
Fannie Mae:
Single-family
(1)
....................................... 35,142 34,460 69,602 23,140 23,043 46,183
Multifamily ......................................... 582 92 674 759 163 922
Ginnie Mae:
Single-family
(1)
....................................... 398 152 550 468 181 649
Multifamily ......................................... 26 — 26 82 — 82
Total agency mortgage-related securities ..................... 36,148 34,704 70,852 24,449 23,387 47,836
Non-agency mortgage-related securities:
Single-family:
(1)
Subprime
(6)
......................................... 438 74,413 74,851 498 100,827 101,325
Alt-A and other
(7)
..................................... 3,266 21,801 25,067 3,720 26,343 30,063
MTA
(7)
............................................ — 19,606 19,606 — 21,250 21,250
Commercial mortgage-backed securities . . ...................... 25,060 39,131 64,191 25,709 39,095 64,804
Obligations of states and political subdivisions
(8)
.................. 12,825 44 12,869 14,870 65 14,935
Manufactured housing
(9)
.................................. 1,141 185 1,326 1,250 222 1,472
Total non-agency mortgage-related securities
(10)
................ 42,730 155,180 197,910 46,047 187,802 233,849
Total unpaid principal balance of mortgage-related investments portfolio ...... $510,116 $294,646 804,762 $417,917 $302,896 720,813
Premiums, discounts, deferred fees, impairments of unpaid principal balances and
other basis adjustments ..................................... (17,788) (655)
Net unrealized (losses) on mortgage-related securities, pre-tax . ............ (38,228) (10,116)
Allowance for loan losses on mortgage loans held-for-investment
(11)
......... (690) (256)
Total carrying value of mortgage-related investments portfolio . ............ $748,056 $709,786
(1) Variable-rate single-family mortgage loans and mortgage-related securities include those with a contractual coupon rate that, prior to contractual maturity, is either scheduled
to change or is subject to change based on changes in the composition of the underlying collateral. Single-family mortgage loans also include mortgages with balloon/reset
provisions.
(2) See “CREDIT RISKS — Mortgage Credit Risk” for information on Alt-A and subprime loans, which are a component of our single-family conventional mortgage loans.
(3) Variable-rate multifamily mortgage loans include only those loans that, as of the reporting date, have a contractual coupon rate that is subject to change.
(4) For our PCs and Structured Securities, we are subject to the credit risk associated with the underlying mortgage loan collateral.
(5) Agency mortgage-related securities are generally not separately rated by nationally recognized statistical rating organizations, but are viewed as having a level of credit
quality at least equivalent to non-agency mortgage-related securities AAA-rated or equivalent.
(6) Single-family non-agency mortgage-related securities backed by subprime residential loans include significant credit enhancements, particularly through subordination. For
information about how these securities are rated, see “Table 25 — Investments in Available-For-Sale Non-Agency Mortgage-Related Securities backed by Subprime Loans,
Alt-A and Other Loans and MTA Loans in our Mortgage-Related Investments Portfolio,” “Table 32 — Ratings of Available-For-Sale Non-Agency Mortgage-Related
Securities backed by Subprime Loans at December 31, 2008” and “Table 33 — Ratings of Available-For-Sale Non-Agency Mortgage-Related Securities backed by Subprime
Loans at December 31, 2008 and March 2, 2009.”
(7) Single-family non-agency mortgage-related securities backed by MTA and Alt-A and other mortgage loans include significant credit enhancements, particularly through
subordination. For information about how these securities are rated, see “Table 25 — Investments in Available-For-Sale Non-Agency Mortgage-Related Securities backed by
Subprime Loans, Alt-A and Other Loans and MTA Loans in our Mortgage-Related Investments Portfolio,” “Table 34 — Ratings of Available-For-Sale Non-Agency
Mortgage-Related Securities backed by Alt-A and Other Loans and MTA Loans at December 31, 2008” and “Table 35 — Ratings of Available-For-Sale Non-Agency
Mortgage-Related Securities backed by Alt-A and Other Loans and MTA Loans at December 31, 2008 and March 2, 2009.” Certain prior period amounts have been revised
to conform to the current year presentation.
(8) Consists of mortgage revenue bonds. Approximately 58% and 67% of these securities held at December 31, 2008 and 2007, respectively, were AAA-rated as of those dates,
based on the lowest rating available.
(9) At December 31, 2008 and 2007, 32% and 34%, respectively, of mortgage-related securities backed by manufactured housing bonds were rated BBB⫺or above, based on
the lowest rating available. For the same dates, 91% and 93% of manufactured housing bonds had credit enhancements, respectively, including primary monoline insurance
that covered 23% and 24%, respectively, of the manufactured housing bonds based on the unpaid principal balance. At December 31, 2008 and 2007, we had secondary
insurance on 60% and 72% of these bonds that were not covered by the primary monoline insurance, respectively, based on the unpaid principal balance. Approximately 3%
and 28% of the mortgage-related securities backed by manufactured housing bonds were AAA-rated at December 31, 2008 and 2007, respectively, based on the unpaid
principal balance and the lowest rating available.
(10) Credit ratings for most non-agency mortgage-related securities are designated by no fewer than two nationally recognized statistical rating organizations. Approximately 55%
and 96% of total non-agency mortgage-related securities held at December 31, 2008 and 2007, respectively, were AAA-rated as of those dates, based on the unpaid principal
balance and the lowest rating available.
(11) See “CREDIT RISKS — Mortgage Credit Risk — Loan Loss Reserves” for information about our allowance for loan losses on mortgage loans held-for-investment.
93 Freddie Mac