Freddie Mac 2011 Annual Report Download - page 257

Table 7.5 — Other-Than-Temporary Impairments Related to Credit Losses on Available-For-Sale Securities
(1)
Year Ended
December 31, 2011
(in millions)
Credit-related other-than-temporary impairments on available-for-sale securities recognized in earnings:
Beginning balance — remaining credit losses to be realized on available-for-sale securities held at the beginning of the
period where other-than-temporary impairments were recognized in earnings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $15,049
Additions:
Amounts related to credit losses for which an other-than-temporary impairment was not previously recognized . . . . . . . . . 80
Amounts related to credit losses for which an other-than-temporary impairment was previously recognized . . . . . . . . . . . 2,070
Reductions:
Amounts related to securities which were sold, written off or matured . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (957)
Amounts previously recognized in other comprehensive income that were recognized in earnings because we intend to sell
the security or it is more likely than not that we will be required to sell the security before recovery of its amortized
cost basis. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (161)
Amounts related to amortization resulting from significant increases in cash flows expected to be collected that are
recognized over the remaining life of the security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (93)
Ending balance — remaining credit losses to be realized on available-for-sale securities held at period end where other-than-
temporary impairments were recognized in earnings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $15,988
(1) Excludes other-than-temporary impairments on securities that we intend to sell or it is more likely than not that we will be required to sell before
recovery of the unrealized losses.
Realized Gains and Losses on Sales of Available-For-Sale Securities
The table below illustrates the gross realized gains and gross realized losses received from the sale of available-for-
sale securities.
Table 7.6 — Gross Realized Gains and Gross Realized Losses on Sales of Available-For-Sale Securities
2011 2010 2009
Year Ended December 31,
(in millions)
Gross realized gains
Mortgage-related securities:
Freddie Mac . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 77 $27 $ 879
Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 54 2
CMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 — —
Obligations of states and political subdivisions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 3 2
Total mortgage-related securities gross realized gains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139 84 883
Non-mortgage-related securities:
Asset-backed securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 10 313
Total non-mortgage-related securities gross realized gains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 10 313
Gross realized gains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139 94 1,196
Gross realized losses
Mortgage related securities:
(1)
Freddie Mac . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (1) (113)
CMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (81) — —
Option ARM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (6) —
Total mortgage-related securities gross realized losses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (81) (7) (113)
Gross realized losses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (81) (7) (113)
Net realized gains (losses) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 58 $87 $1,083
(1) These individual sales do not change our conclusion that we do not intend to sell the majority of our remaining mortgage-related securities and it is
not more likely than not that we will be required to sell such securities before a recovery of the unrealized losses.
252 Freddie Mac