Freddie Mac 2011 Annual Report Download - page 236

of the securities offering create the trusts and typically own the residual interest in the trust assets. See “NOTE 7:
INVESTMENTS IN SECURITIES” for additional information regarding our asset-backed investments.
At December 31, 2011 and 2010, we had investments in 11 and 23 asset-backed investment trusts in which we had a
variable interest but were not considered the primary beneficiary, respectively. Our investments in these asset-backed
investment trusts as of December 31, 2011 were made in 2011. At both December 31, 2011 and 2010, we were not the
primary beneficiary of any such trusts because our investments are passive in nature and do not provide us with the power
to direct the activities of the trusts that most significantly impact their economic performance. As such, our investments in
these asset-backed investment trusts are accounted for as investment securities as described in “NOTE 1: SUMMARY OF
SIGNIFICANT ACCOUNTING POLICIES.” Our investments in these trusts totaled $0.7 billion and $10.0 billion as of
December 31, 2011 and 2010, respectively, and are included as cash and cash equivalents, available-for-sale securities or
trading securities on our consolidated balance sheets. At both December 31, 2011 and 2010, we did not guarantee any
obligations of these investment trusts and our exposure was limited to the amount of our investment.
Mortgage-Related Security Trusts
Freddie Mac Securities
Freddie Mac securities related to our variable interests in non-consolidated VIEs primarily consist of our REMICs
and Other Structured Securities and Other Guarantee Transactions. REMICs and Other Structured Securities are created
by using PCs or previously issued REMICs and Other Structured Securities as collateral. Our involvement with the
resecuritization trusts that issue these securities does not provide us with rights to receive benefits or obligations to absorb
losses nor does it provide any power that would enable us to direct the most significant activities of these VIEs because
the ultimate underlying assets are PCs for which we have already provided a guarantee (i.e., all significant rights,
obligations and powers are associated with the underlying PC trusts). As a result, we have concluded that we are not the
primary beneficiary of these resecuritization trusts.
Other Guarantee Transactions are created by using non-Freddie Mac mortgage-related securities as collateral. At both
December 31, 2011 and 2010, our involvement with certain Other Guarantee Transactions does not provide us with the
power to direct the activities that most significantly impact the economic performance of these VIEs. As a result, we hold
a variable interest in, but are not the primary beneficiary of, certain Other Guarantee Transactions.
For non-consolidated REMICs and Other Structured Securities and Other Guarantee Transactions, our investments are
primarily included in either available-for-sale securities or trading securities on our consolidated balance sheets. See
“NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES — Securitization Activities through Issuances of
Freddie Mac Mortgage-Related Securities” for additional information on accounting for purchases of PCs and beneficial
interests issued by resecuritization trusts. Our investments in these trusts are funded through the issuance of unsecured
debt, which is recorded as other debt on our consolidated balance sheets.
Non-Freddie Mac Securities
We invest in a variety of mortgage-related securities issued by third-parties, including non-Freddie Mac agency
securities, CMBS, other private-label securities backed by various mortgage-related assets, and obligations of states and
political subdivisions. These investments typically represent interests in trusts that consist of a pool of mortgage-related
assets and act as vehicles to allow originators to securitize those assets. Securities are structured from the underlying pool
of assets to provide for varying degrees of risk. Primary risks include potential loss from the credit risk and interest-rate
risk of the underlying pool. The originators of the financial assets or the underwriters of the securities offering create the
trusts and typically own the residual interest in the trust assets. See “NOTE 7: INVESTMENTS IN SECURITIES” for
additional information regarding our non-Freddie Mac securities.
Our investments in these non-Freddie Mac securities at December 31, 2011 were made between 1994 and 2011. We
are not generally the primary beneficiary of non-Freddie Mac securities trusts because our investments are passive in
nature and do not provide us with the power to direct the activities of the trusts that most significantly impact their
economic performance. We were not the primary beneficiary of any significant non-Freddie Mac securities trusts as of
December 31, 2011 and 2010. Our investments in non-consolidated non-Freddie Mac mortgage-related securities are
accounted for as investment securities as described in “NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES.” At both December 31, 2011 and 2010, we did not guarantee any obligations of these investment trusts and
our exposure was limited to the amount of our investment. Our investments in these trusts are funded through the issuance
of unsecured debt, which is recorded as other debt on our consolidated balance sheets.
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