Freddie Mac 2011 Annual Report Download - page 263

The table below summarizes the debt securities of consolidated trusts held by third parties based on underlying
mortgage product type.
Table 8.4 — Debt Securities of Consolidated Trusts Held by Third Parties
(1)
Contractual
Maturity
(2)
UPB
Balance,
Net
(3)
Weighted
Average
Coupon
(2)
Contractual
Maturity
(2)
UPB
Balance,
Net
(3)
Weighted
Average
Coupon
(2)
December 31, 2011 December 31, 2010
(dollars in millions) (dollars in millions)
Single-family:
30-year or more, fixed-
rate . . . . . . . . . . . . . . . 2012 - 2048 $1,034,680 $1,047,556 4.92% 2011 - 2048 $1,110,943 $1,118,994 5.03%
20-year fixed-rate. . . . . . . . 2012 - 2032 67,323 68,502 4.53 2012 - 2031 63,941 64,752 4.78
15-year fixed-rate. . . . . . . . 2012 - 2027 242,077 246,023 4.09 2011 - 2026 227,269 229,510 4.41
Adjustable-rate . . . . . . . . . 2012 - 2047 60,544 61,395 3.18 2011 - 2047 50,904 51,351 3.69
Interest-only
(4)
. . . . . . . . . . 2026 - 2041 45,807 45,884 4.91 2026 - 2040 61,773 61,830 5.30
FHA/VA . . . . . . . . . . . . . . . 2012 - 2041 2,045 2,077 5.67 2011 - 2040 2,171 2,211 5.88
Total debt securities of
consolidated trusts held by
third parties
(5)
. . . . . . . . . . $1,452,476 $1,471,437 $1,517,001 $1,528,648
(1) Debt securities of consolidated trusts held by third parties are prepayable without penalty.
(2) Based on the contractual maturity and interest rate of debt securities of our consolidated trusts held by third parties.
(3) Represents par value, net of associated discounts, premiums, and other basis adjustments.
(4) Includes interest-only securities and interest-only mortgage loans that allow the borrowers to pay only interest for a fixed period of time before the
loans begin to amortize.
(5) The effective rate for debt securities of consolidated trusts held by third parties was 4.22% and 4.57% as of December 31, 2011 and 2010,
respectively.
The table below summarizes the contractual maturities of other long-term debt securities and debt securities of
consolidated trusts held by third parties at December 31, 2011.
Table 8.5 — Contractual Maturity of Other Long-Term Debt and Debt Securities of Consolidated Trusts Held by
Third Parties
Annual Maturities Par Value
(1)(2)
(in millions)
Other debt:
2012 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 127,798
2013 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 142,943
2014 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87,453
2015 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,897
2016 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,526
Thereafter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75,254
Debt securities of consolidated trusts held by third parties
(3)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,452,476
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,965,347
Net discounts, premiums, hedge-related and other basis adjustments
(4)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,237
Total debt securities of consolidated trusts held by third parties and other long-term debt . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,970,584
(1) Represents par value of long-term debt securities and subordinated borrowings and UPB of debt securities of our consolidated trusts held by third
parties.
(2) For other debt denominated in a currency other than the U.S. dollar, the par value is based on the exchange rate at December 31, 2011.
(3) Contractual maturities of debt securities of consolidated trusts held by third parties may not represent expected maturity as they are prepayableat
any time without penalty.
(4) Other basis adjustments primarily represent changes in fair value attributable to instrument-specific credit risk and interest-rate risk related to other
foreign-currency denominated debt.
Lines of Credit
At both December 31, 2011 and 2010, we had one secured, uncommitted intraday line of credit with a third party
totaling $10 billion. We use this line of credit regularly to provide us with additional liquidity to fund our intraday
payment activities through the Fedwire system in connection with the Federal Reserve’s payments system risk policy,
which restricts or eliminates daylight overdrafts by the GSEs. No amounts were drawn on this line of credit at
December 31, 2011 or 2010. We expect to continue to use the current facility to satisfy our intraday financing needs;
however, as the line is uncommitted, we may not be able to draw on it if and when needed.
Subordinated Debt Interest and Principal Payments
In a September 23, 2008 statement concerning the conservatorship, the Director of FHFA stated that we would
continue to make interest and principal payments on our subordinated debt, even if we fail to maintain required capital
258 Freddie Mac