Freddie Mac 2010 Annual Report Download - page 341

Mortgage-to-debt OAS — The net OAS between the mortgage and agency debt sectors. This is an important factor in
determining the expected level of net interest yield on a new mortgage asset. Higher mortgage-to-debt OAS means that a
newly purchased mortgage asset is expected to provide a greater return relative to the cost of the debt issued to fund the
purchase of the asset and, therefore, a higher net interest yield. Mortgage-to-debt OAS tends to be higher when there is weak
demand for mortgage assets and lower when there is strong demand for mortgage assets.
MRA — Matter requiring attention
Multifamily mortgage — A mortgage loan secured by a property with five or more residential rental units.
Multifamily mortgage portfolio — Consists of multifamily mortgage loans held by us on our consolidated balance sheets as
well as those underlying non-consolidated Freddie Mac mortgage-related securities, and other guarantee commitments, but
excluding those underlying our guarantees of HFA bonds under the HFA Initiative.
NASD — National Association of Securities Dealers
Net worth — The amount by which our total assets exceed our total liabilities as reflected on our consolidated balance
sheets prepared in conformity with GAAP.
NIBP — New Issue Bond Program
NPV — Net present value
NYSE — New York Stock Exchange
OAS — Option-adjusted spread — An estimate of the incremental yield spread between a particular financial instrument
(e.g., a security, loan or derivative contract) and a benchmark yield curve (e.g., LIBOR or agency or U.S. Treasury
securities). This includes consideration of potential variability in the instrument’s cash flows resulting from any options
embedded in the instrument, such as prepayment options.
Option ARM loan — Mortgage loans that permit a variety of repayment options, including minimum, interest only, fully
amortizing 30-year and fully amortizing 15-year payments. The minimum payment alternative for option ARM loans allows
the borrower to make monthly payments that may be less than the interest accrued for the period. The unpaid interest, known
as negative amortization, is added to the principal balance of the loan, which increases the outstanding loan balance. For our
non-agency mortgage-related securities that are backed by option ARM loans, we categorize securities as option ARM if the
securities were identified as such based on information provided to us when we entered into these transactions. We have not
identified option ARM securities as either subprime or Alt-A securities.
OTC — Over-the-counter
Other guarantee commitments — Mortgage-related assets held by third parties for which we provide our guarantee without
our securitization of the related assets.
Other Guarantee Transactions — Transactions in which third parties transfer non-Freddie Mac mortgage-related securities
to trusts specifically created for the purpose of issuing mortgage-related securities, or certificates, in the Other Guarantee
Transactions.
PCs — Participation Certificates — Securities that we issue as part of a securitization transaction. Typically we purchase
mortgage loans from parties who sell mortgage loans, place a pool of loans into a PC trust and issue PCs from that trust. The
PCs are generally transferred to the seller of the mortgage loans in consideration of the loans or are sold to third party
investors if we purchased the mortgage loans for cash.
Pension Plan — Employees’ Pension Plan
Pension SERP Benefit — The component of the SERP that relates to the Pension Plan.
Primary mortgage market — The market where lenders originate mortgage loans and lend funds to borrowers. We do not
lend money directly to homeowners, and do not participate in this market.
PMVS — Portfolio Market Value Sensitivity — Our primary interest-rate risk measurement. PMVS measures are estimates of
the amount of average potential pre-tax loss in the market value of our net assets due to parallel (PMVS-L) and non-parallel
(PMVS-YC) changes in LIBOR.
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