Freddie Mac 2012 Annual Report Download - page 118

Table 23 — Characteristics of Mortgage-Related Securities on Our Consolidated Balance Sheets
December 31, 2012 December 31, 2011
Fixed
Rate
Variable
Rate (1) Total
Fixed
Rate
Variable
Rate (1) Total
(in millions)
Freddie Mac mortgage-related securities:(2)
Single-family .......................................... $50,979 $ 7,256 $ 58,235 $ 72,795 $ 9,753 $ 82,548
Multifamily ............................................ 750 1,632 2,382 1,216 1,792 3,008
Total Freddie Mac mortgage-related securities ............. 51,729 8,888 60,617 74,011 11,545 85,556
Non-Freddie Mac mortgage-related securities:
Agency securities:(3)
Fannie Mae:
Single-family ....................................... 10,864 12,518 23,382 16,543 15,998 32,541
Multifamily ........................................ 35 49 84 52 76 128
Ginnie Mae:
Single-family ....................................... 202 91 293 253 104 357
Multifamily ........................................ 15 — 15 16 — 16
Total Non-Freddie Mac agency securities ................. 11,116 12,658 23,774 16,864 16,178 33,042
Non-agency mortgage-related securities:
Single-family:(4)
Subprime .......................................... 311 44,086 44,397 336 48,696 49,032
Option ARM ....................................... — 12,012 12,012 — 13,949 13,949
Alt-A and other ..................................... 1,774 13,036 14,810 2,128 14,662 16,790
CMBS .............................................. 17,657 30,300 47,957 19,735 34,375 54,110
Obligations of states and political subdivisions(5) ................ 5,637 19 5,656 7,771 22 7,793
Manufactured housing .................................. 741 121 862 831 129 960
Total non-agency mortgage-related securities(6) ............. 26,120 99,574 125,694 30,801 111,833 142,634
Total UPB of mortgage-related securities ................. $88,965 $121,120 210,085 $121,676 $139,556 261,232
Premiums, discounts, deferred fees, impairments of UPB
and other basis adjustments ................................ (13,922) (12,363)
Net unrealized (losses) on mortgage-related securities,
pre-tax ............................................... (288) (6,678)
Total carrying value of mortgage-related securities ................. $195,875 $242,191
(1) Variable-rate mortgage-related securities include those with a contractual coupon rate that, prior to contractual maturity, is either scheduled to change or
is subject to change based on changes in the composition of the underlying collateral.
(2) When we purchase REMICs and Other Structured Securities and certain Other Guarantee Transactions that we have issued, we account for these
securities as investments in debt securities as we are investing in the debt securities of a non-consolidated entity. We do not consolidate our
resecuritization trusts unless we are deemed to be the primary beneficiary of such trusts. We are subject to the credit risk associated with the mortgage
loans underlying our Freddie Mac mortgage-related securities. Mortgage loans underlying our issued single-family PCs and certain Other Guarantee
Transactions are recognized on our consolidated balance sheets as held-for-investment mortgage loans, at amortized cost. See “NOTE 1: SUMMARY
OF SIGNIFICANT ACCOUNTING POLICIES — Investments in Securities” for further information.
(3) Agency securities are generally not separately rated by nationally recognized statistical rating organizations, but have historically been viewed as having
a level of credit quality at least equivalent to non-agency mortgage-related securities AAA-rated or equivalent.
(4) For information about how these securities are rated, see ‘‘Table 29 — Ratings of Non-Agency Mortgage-Related Securities Backed by Subprime,
Option ARM, Alt-A and Other Loans, and CMBS.’’
(5) Consists of housing revenue bonds. Approximately 36% and 37% of these securities held at December 31, 2012 and 2011, respectively, were AAA-rated
as of those dates, based on the UPB and the lowest rating available.
(6) Credit ratings for most non-agency mortgage-related securities are designated by no fewer than two nationally recognized statistical rating organizations.
Approximately 21% of total non-agency mortgage-related securities held at both December 31, 2012 and 2011, were AAA-rated as of those dates, based
on the UPB and the lowest rating available.
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