Freddie Mac 2009 Annual Report Download - page 113

with a fair value of $535 million and a book value of $545 million and (iv) 2005-LDP5 with a fair value of
$435 million and a book value of $445 million;
• JP Morgan Mortgage Acquisition Corporation 2006-CH2 with a fair value of $252 million and a book value of
$477 million;
• Lehman Commercial Conduit Mortgage Trust 2007-C3 with a fair value of $391 million and a book value of
$448 million;
• Lehman XS Trust 2007-7N with a fair value of $229 million and a book value of $463 million;
• Merrill Lynch Mortgage Trust 2007-C1 with a fair value of $529 million and a book value of $649 million;
• Merrill Lynch/Countrywide Commercial Mortgage: (i) 2007-5 with a fair value of $645 million and a book value of
$856 million and (ii) 2007-8 with a fair value of $390 million and a book value of $518 million;
• Morgan Stanley Capital 2006-HQ8 with a fair value of $471 million and a book value of $495 million;
• Novastar Home Equity Loan 2007-2 with a fair value of $277 million and a book value of $486 million;
• Soundview Home Equity Loan Trust 2007-OPT1 with a fair value of $295 million and a book value of $624 million;
• Virginia St Housing Development Authority with a fair value of $495 million and a book value of $505 million;
• Wachovia Bank Commercial Mortgage Trust: (i) 2007-C30 with a fair value of $1.2 billion and a book value of
$1.5 billion, (ii) 2007-C31 with a fair value of $687 million and a book value of $878 million and (iii) 2007-C32 with
a fair value of $369 million and a book value of $439 million; and
• Washington Mutual Asset Securities Corporation: (i) 2007-SL3 with a fair value of $346 million and a book value of
$641 million and (ii) 2007-SL2 with a fair value of $220 million and a book value of $448 million.
No other individual issuer at the individual trust level exceeded 10% of total equity (deficit) at December 31, 2009.
Mortgage Loans
Mortgage loans consist of (i) mortgage loans held-for-sale, at lower-of-cost-or-fair-value, and (ii) mortgage loans held-
for-investment, at amortized cost. As of December 31, 2009 and 2008, our carrying values of mortgage loans held-for-sale
were $16.3 billion and $16.2 billion, respectively, and the carrying values of mortgage loans held-for-investment were
$111.6 billion and $91.3 billion, respectively. The increase in the amount of mortgage loans held-for-investment from
December 31, 2008 to December 31, 2009 is due to increased investment in multifamily mortgage loans and purchases of
modified and delinquent single-family loans out of PC pools in 2009.
Table 33 provides detail regarding single-family and multifamily mortgage loans held on our consolidated balance
sheets.
Table 33 — Characteristics of Mortgage Loans
Fixed
Rate
Variable
Rate Total
Fixed
Rate
Variable
Rate Total
2009 2008
December 31,
(in millions)
Mortgage loans:
Single-family:
(1)
Conventional:
Amortizing . . . . . ................................. $ 49,033 $ 1,250 $ 50,283 $ 34,630 $1,295 $ 35,925
Interest-only . . . . ................................. 425 1,060 1,485 440 841 1,281
Total conventional . . ................................. 49,458 2,310 51,768 35,070 2,136 37,206
USDA Rural Development/FHA/VA. . . .................... 3,110 — 3,110 1,549 — 1,549
Total single-family . . . ................................. 52,568 2,310 54,878 36,619 2,136 38,755
Multifamily
(2)
....................................... 71,939 11,999 83,938 65,322 7,399 72,721
Total unpaid principal balance of mortgage loans . . . ....... $124,507 $14,309 138,816 $101,941 $9,535 111,476
Premiums, discounts, deferred fees and other basis adjustments ....... (9,317) (3,178)
Lower of cost or fair value adjustments on loans held-for-sale . ....... (188) (17)
Allowance for loan losses on mortgage loans held-for-investment
(3)
..... (1,441) (690)
Total carrying value of mortgage loans, net . .................... $127,870 $107,591
(1) Variable-rate single-family mortgage loans include those with a contractual coupon rate that is scheduled to change prior to contractual maturity. Single-
family mortgage loans also include mortgages with balloon/reset provisions.
(2) 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.
(3) See “NOTE 7: MORTGAGE LOANS AND LOAN LOSS RESERVES” to our consolidated financial statements for information about our allowance for
loan losses on mortgage loans held-for-investment.
110 Freddie Mac