Freddie Mac 2011 Annual Report Download - page 115

respectively. While balances may fluctuate from period to period, we continue to meet required liquidity and contingency
levels.
Mortgage-Related Securities
We are primarily a buy-and-hold investor in mortgage-related securities, which consist of securities issued by Fannie
Mae, Ginnie Mae, and other financial institutions. We also invest in our own mortgage-related securities. However, the
single-family PCs and certain Other Guarantee Transactions we purchase as investments are not accounted for as
investments in securities because we recognize the underlying mortgage loans on our consolidated balance sheets through
consolidation of the related trusts.
The table below provides the UPB of our investments in mortgage-related securities classified as available-for-sale or
trading on our consolidated balance sheets. The table below does not include our holdings of our own single-family PCs
and certain Other Guarantee Transactions. For further information on our holdings of such securities, see “Table 16 —
Composition of Segment Mortgage Portfolios and Credit Risk Portfolios.”
Table 23 — Characteristics of Mortgage-Related Securities on Our Consolidated Balance Sheets
Fixed
Rate
Variable
Rate
(1)
Total
Fixed
Rate
Variable
Rate
(1)
Total
December 31, 2011 December 31, 2010
(in millions)
Freddie Mac mortgage-related securities:
(2)
Single-family . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 72,795 $ 9,753 $ 82,548 $ 79,955 $ 8,118 $ 88,073
Multifamily . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,216 1,792 3,008 339 1,756 2,095
Total Freddie Mac mortgage-related securities . . . . . . . . . 74,011 11,545 85,556 80,294 9,874 90,168
Non-Freddie Mac mortgage-related securities:
Agency securities:
(3)
Fannie Mae:
Single-family . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,543 15,998 32,541 21,238 18,139 39,377
Multifamily . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52 76 128 228 88 316
Ginnie Mae:
Single-family . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 253 104 357 296 117 413
Multifamily . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 — 16 27 — 27
Total Non-Freddie Mac agency securities . . . . . . . . . . . . 16,864 16,178 33,042 21,789 18,344 40,133
Non-agency mortgage-related securities:
Single-family:
(4)
Subprime . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 336 48,696 49,032 363 53,855 54,218
Option ARM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 13,949 13,949 — 15,646 15,646
Alt-A and other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,128 14,662 16,790 2,405 16,438 18,843
CMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,735 34,375 54,110 21,401 37,327 58,728
Obligations of states and political subdivisions
(5)
. . . . . . . . . . . 7,771 22 7,793 9,851 26 9,877
Manufactured housing . . . . . . . . . . . . . . . . . . . . . . . . . . . . 831 129 960 930 150 1,080
Total non-agency mortgage-related securities
(6)
. . . . . . . . 30,801 111,833 142,634 34,950 123,442 158,392
Total UPB of mortgage-related securities . . . . . . . . . . . . $121,676 $139,556 261,232 $137,033 $151,660 288,693
Premiums, discounts, deferred fees, impairments of
UPB and other basis adjustments . . . . . . . . . . . . . . . . . . . . . . . (12,363) (11,839)
Net unrealized (losses) on mortgage-related securities,
pre-tax. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (6,678) (11,854)
Total carrying value of mortgage-related securities . . . . . . . . . . . . . $242,191 $265,000
(1) Variable-rate 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.
(2) When we purchase REMICs and Other Structured Securities and certain Other Guarantee Transactions that we have issued, we account for these
securities as investments in debt securities as we are investing in the debt securities of a non-consolidated entity. We do not consolidate our
resecuritization trusts since we are not deemed to be the primary beneficiary of such trusts. We are subject to the credit risk associated with the
mortgage loans underlying our Freddie Mac mortgage-related securities. Mortgage loans underlying our issued single-family PCs and certain Other
Guarantee Transactions are recognized on our consolidated balance sheets as held-for-investment mortgage loans, at amortized cost. See “NOTE 1:
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — Investments in Securities” for further information.
(3) Agency securities are generally not separately rated by nationally recognized statistical rating organizations, but have historically been viewed as
having a level of credit quality at least equivalent to non-agency mortgage-related securities AAA-rated or equivalent.
(4) For information about how these securities are rated, see “Table 29 — Ratings of Non-Agency Mortgage-Related Securities Backed by Subprime,
Option ARM, Alt-A and Other Loans, and CMBS.”
(5) Consists of housing revenue bonds. Approximately 37% and 50% of these securities held at December 31, 2011 and 2010, respectively, were AAA-
rated as of those dates, based on the lowest rating available.
(6) Credit ratings for most non-agency mortgage-related securities are designated by no fewer than two nationally recognized statistical rating
organizations. Approximately 21% and 23% of total non-agency mortgage-related securities held at December 31, 2011 and 2010, respectively, were
AAA-rated as of those dates, based on the UPB and the lowest rating available.
110 Freddie Mac