Freddie Mac 2011 Annual Report Download - page 377

Mortgage assets — Refers to both mortgage loans and the mortgage-related securities we hold in our mortgage-related
investments portfolio.
Mortgage-related investments portfolio — Our investment portfolio, which consists principally of mortgage-related
securities and single-family and multifamily mortgage loans. The size of our mortgage-related investments portfolio under
the Purchase Agreement is determined without giving effect to the January 1, 2010 change in accounting guidance related
to transfers of financial assets and consolidation of VIEs. Accordingly, for purposes of the portfolio limit, when PCs and
certain Other Guarantee Transactions are purchased into the mortgage-related investments portfolio, this is considered the
acquisition of assets rather than the reduction of debt.
Mortgage-to-debt OAS — The net OAS between the mortgage and agency debt sectors. This is an important factor in
determining the expected level of net interest yield on a new mortgage asset. Higher mortgage-to-debt OAS means that a
newly purchased mortgage asset is expected to provide a greater return relative to the cost of the debt issued to fund the
purchase of the asset and, therefore, a higher net interest yield. Mortgage-to-debt OAS tends to be higher when there is
weak demand for mortgage assets and lower when there is strong demand for mortgage assets.
MRA — Matter requiring attention
Multifamily mortgage — A mortgage loan secured by a property with five or more residential rental units.
Multifamily mortgage portfolio — Consists of multifamily mortgage loans held by us on our consolidated balance sheets
as well as those underlying non-consolidated Freddie Mac mortgage-related securities, and other guarantee commitments,
but excluding those underlying our guarantees of HFA bonds under the HFA Initiative.
Net worth (deficit) — The amount by which our total assets exceed (or are less than) our total liabilities as reflected on
our consolidated balance sheets prepared in conformity with GAAP.
NIBP — New Issue Bond Program is a component of the Housing Finance Agency Initiative in which we and Fannie
Mae issued partially-guaranteed pass-through securities to Treasury that are backed by bonds issued by various state and
local HFAs. The program provides financing for HFAs to issue new housing bonds. Treasury is obligated to absorb any
losses under the program up to a certain level before we are exposed to any losses.
NPV — Net present value
NYSE — New York Stock Exchange
OAS — Option-adjusted spread — An estimate of the incremental yield spread between a particular financial instrument
(e.g., a security, loan or derivative contract) and a benchmark yield curve (e.g., LIBOR or agency or U.S. Treasury
securities). This includes consideration of potential variability in the instrument’s cash flows resulting from any options
embedded in the instrument, such as prepayment options.
OCC — Office of the Comptroller of the Currency
OFHEO — Office of Federal Housing Enterprise Oversight
Option ARM loan — Mortgage loans that permit a variety of repayment options, including minimum, interest-only, fully
amortizing 30-year and fully amortizing 15-year payments. The minimum payment alternative for option ARM loans
allows the borrower to make monthly payments that may be less than the interest accrued for the period. The unpaid
interest, known as negative amortization, is added to the principal balance of the loan, which increases the outstanding
loan balance. For our non-agency mortgage-related securities that are backed by option ARM loans, we categorize
securities as option ARM if the securities were identified as such based on information provided to us when we entered
into these transactions. We have not identified option ARM securities as either subprime or Alt-A securities.
OTC — Over-the-counter
Other guarantee commitments — Mortgage-related assets held by third parties for which we provide our guarantee
without our securitization of the related assets.
Other Guarantee Transactions — Transactions in which third parties transfer non-Freddie Mac mortgage-related
securities to trusts specifically created for the purpose of issuing mortgage-related securities, or certificates, in the Other
Guarantee Transactions.
PCs — Participation Certificates — Securities that we issue as part of a securitization transaction. Typically we purchase
mortgage loans from parties who sell mortgage loans, place a pool of loans into a PC trust and issue PCs from that trust.
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