Freddie Mac 2011 Annual Report Download - page 125

Table 30 — Mortgage Loan Purchase and Other Guarantee Commitment Activity
(1)
UPB
Amount
%of
Total
UPB
Amount
%of
Total
UPB
Amount
%of
Total
2011 2010 2009
Year Ended December 31,
(dollars in millions)
Mortgage loan purchases and guarantee issuances:
Single-family:
30-year or more amortizing fixed-rate. . . . . . . . . . . . . . . . . . . . . . . . . . . . $194,746 57% $258,621 64% $392,291 80%
20-year amortizing fixed-rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,378 6 23,852 6 11,895 2
15-year amortizing fixed-rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78,543 23 83,025 21 64,590 13
Adjustable-rate
(2)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,685 8 16,534 4 2,809 1
Interest-only
(3)
........................................... — — 909 ⬍1 845 ⬍1
HFA bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 2,469 1 802 ⬍1
FHA/VA and other governmental . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 441 ⬍1 968 ⬍1 2,118 1
Total single-family
(4)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 320,793 94 386,378 96 475,350 97
Multifamily
(5)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,325 6 15,372 4 16,571 3
Total mortgage loan purchases and other guarantee commitment
activity
(5)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $341,118 100% $401,750 100% $491,921 100%
Percentage of mortgage purchases and other guarantee commitment activity with
credit enhancements
(6)
........................................ 8% 9% 8%
(1) Based on UPB. Excludes mortgage loans traded but not yet settled. Excludes the removal of seriously delinquent loans and balloon/reset mortgages
out of PC trusts. Includes other guarantee commitments associated with mortgage loans. See endnote (5) for further information.
(2) Includes amortizing ARMs with 1-, 3-, 5-, 7-, and 10-year initial fixed-rate periods. We did not purchase any option ARM loans during the years
ended December 31, 2011, 2010, or 2009.
(3) Represents loans where the borrower pays interest only for a period of time before the borrower begins making principal payments. Includes both
fixed-rate and variable-rate interest-only loans.
(4) Includes $27.7 billion, $23.9 billion, and $26.3 billion of mortgage loans in excess of $417,000, which we refer to as conforming jumbo mortgages,
for the years ended December 31, 2011, 2010, and 2009 respectively.
(5) Includes issuances of other guarantee commitments on single-family loans of $4.4 billion, $5.7 billion, and $2.4 billion and issuances of other
guarantee commitments on multifamily loans of $1.0 billion, $1.7 billion, and $0.5 billion during the years ended December 31, 2011, 2010, and
2009, respectively, which include our unsecuritized guarantees of HFA bonds under the TCLFP in 2010 and 2009.
(6) See “NOTE 4: MORTGAGE LOANS AND LOAN LOSS RESERVES — Credit Protection and Other Forms of Credit Enhancement” for further
details on credit enhancement of mortgage loans in our multifamily mortgage and single-family credit guarantee portfolios.
See “RISK MANAGEMENT — Credit Risk — Mortgage Credit Risk” and “NOTE 16: CONCENTRATION OF
CREDIT AND OTHER RISKS — Table 16.2 — Certain Higher-Risk Categories in the Single-Family Credit Guarantee
Portfolio” for information about mortgage loans in our single-family credit guarantee portfolio that we believe have
higher-risk characteristics.
Derivative Assets and Liabilities, Net
The composition of our derivative portfolio changes from period to period as a result of derivative purchases,
terminations, or assignments prior to contractual maturity, and expiration of the derivatives at their contractual maturity.
We classify net derivative interest receivable or payable, trade/settle receivable or payable, and cash collateral held or
posted on our consolidated balance sheets in derivative assets, net and derivative liabilities, net. See “NOTE 11:
DERIVATIVES” for additional information regarding our derivatives.
The table below shows the fair value for each derivative type, the weighted average fixed rate of our pay-fixed and
receive-fixed swaps, and the maturity profile of our derivative positions reconciled to the amounts presented on our
consolidated balance sheets as of December 31, 2011. A positive fair value in the table below for each derivative type is
the estimated amount, prior to netting by counterparty, that we would be entitled to receive if the derivatives of that type
were terminated. A negative fair value for a derivative type is the estimated amount, prior to netting by counterparty, that
we would owe if the derivatives of that type were terminated.
120 Freddie Mac