Freddie Mac 2011 Annual Report Download - page 117

Table 25 — Total Mortgage-Related Securities Purchase Activity
(1)
2011 2010 2009
Year Ended December 31,
(in millions)
Non-Freddie Mac mortgage-related securities purchased for resecuritization:
Ginnie Mae Certificates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 77 $ 69 $ 56
Non-agency mortgage-related securities purchased for Other Guarantee Transactions
(2)
. . . . . . . . . . . . . . 11,527 9,579 10,189
Total non-Freddie Mac mortgage-related securities purchased for resecuritization . . . . . . . . . . . . . . . . 11,604 9,648 10,245
Non-Freddie Mac mortgage-related securities purchased as investments in securities:
Agency securities:
Fannie Mae:
Fixed-rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,835 — 43,298
Variable-rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,297 373 2,697
Total Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,132 373 45,995
Ginnie Mae fixed-rate ......................................................... — — 27
Total agency securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,132 373 46,022
Non-agency mortgage-related securities:
CMBS:
Fixed-rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 — —
Variable-rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 179 40 —
Total CMBS .............................................................. 193 40 —
Obligations of states and political subdivisions fixed-rated ................................. — 180
Total non-agency mortgage-related securities ........................................ 193 40 180
Total non-Freddie Mac mortgage-related securities purchased as investments in securities . . . . . . . . 8,325 413 46,202
Total non-Freddie Mac mortgage-related securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 19,929 $10,061 $ 56,447
Freddie Mac mortgage-related securities purchased:
Single-family:
Fixed-rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 94,543 $40,462 $176,974
Variable-rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,057 923 5,414
Multifamily:
Fixed-rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 355 271 —
Variable-rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117 111 —
Total Freddie Mac mortgage-related securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $100,072 $41,767 $182,388
(1) Based on UPB. Excludes mortgage-related securities traded but not yet settled.
(2) Purchases in 2011 and 2010 include HFA bonds we acquired and resecuritized under the NIBP. See “NOTE 2: CONSERVATORSHIP AND
RELATED MATTERS” for further information on this component of the HFA Initiative.
During the year ended December 31, 2011, we increased our participation in dollar roll transactions, primarily to
support the market and pricing of our PCs. When these transactions involve our consolidated PC trusts, the purchase and
sale represents an extinguishment and issuance of debt securities, respectively, and impacts our net interest income and
recognition of gain or loss on the extinguishment of debt on our consolidated statements of income and comprehensive
income. These transactions can cause short-term fluctuations in the balance of our mortgage-related investments portfolio.
The increase in our purchases of agency securities in 2011, reflected in “Table 25 — Total Mortgage-Related Securities
Purchase Activity” is attributed primarily to these transactions. For more information, see “RISK FACTORS —
Competitive and Market Risks — Any decline in the price performance of or demand for our PCs could have an adverse
effect on the volume and profitability of our new single-family guarantee business.”
Unrealized Losses on Available-For-Sale Mortgage-Related Securities
At December 31, 2011, our gross unrealized losses, pre-tax, on available-for-sale mortgage-related securities were
$20.1 billion, compared to $23.1 billion at December 31, 2010. The decrease was primarily due to gains on our agency
securities and CMBS as a result of the impact of declining rates and the recognition in earnings of other-than-temporary
impairments on our non-agency mortgage-related securities, partially offset by losses on our single-family non-agency
mortgage-related securities primarily due to widening OAS levels. We believe the unrealized losses related to these
securities at December 31, 2011 were mainly attributable to poor underlying collateral performance, limited liquidity and
large risk premiums in the market for residential non-agency mortgage-related securities. All available-for-sale securities
in an unrealized loss position are evaluated to determine if the impairment is other-than-temporary. See “Total Equity
(Deficit)” and “NOTE 7: INVESTMENTS IN SECURITIES” for additional information regarding unrealized losses on
our available-for-sale securities.
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