Freddie Mac 2012 Annual Report Download - page 119

The table below provides the UPB and fair value of our investments in mortgage-related securities classified as
available-for-sale or trading on our consolidated balance sheets.
Table 24 — Additional Characteristics of Mortgage-Related Securities on Our Consolidated Balance Sheets
December 31, 2012 December 31, 2011
UPB Fair Value UPB Fair Value
(in millions)
Agency pass-through securities(1) ............................................... $ 17,614 $ 19,125 $ 24,283 $ 26,193
Agency REMICs and Other Structured Securities:
Interest-only securities(2) .................................................... — 2,023 — 2,863
Principal-only securities(3) ................................................... 2,291 2,169 3,569 3,344
Inverse floating-rate securities(4) .............................................. 2,804 4,106 4,839 6,826
Other(5) ................................................................ 61,682 67,404 85,907 93,805
Total agency securities ................................................... 84,391 94,827 118,598 133,031
Non-agency securities(6) ...................................................... 125,694 101,048 142,634 109,160
Total mortgage-related securities ............................................... $210,085 $195,875 $261,232 $242,191
(1) Represents an undivided beneficial interest in trusts that hold pools of mortgages.
(2) Represents securities where the holder receives only the interest cash flows.
(3) Represents securities where the holder receives only the principal cash flows.
(4) Represents securities where the holder receives interest cash flows that change inversely with the reference rate (i.e., higher cash flows when interest
rates are low and lower cash flows when interest rates are high). Additionally, these securities receive a portion of principal cash flows associated with
the underlying collateral.
(5) Includes REMICs and Other Structured Securities. See “GLOSSARY” for more information on these securities.
(6) Includes fair values of $3 million and $2 million of interest-only securities at December 31, 2012 and 2011, respectively.
The total UPB of our investments in mortgage-related securities on our consolidated balance sheets decreased from
$261.2 billion at December 31, 2011 to $210.1 billion at December 31, 2012, while the fair value of these investments
decreased from $242.2 billion at December 31, 2011 to $195.9 billion at December 31, 2012. The reduction in UPB resulted
from liquidations, consistent with our efforts to reduce the size of our mortgage-related investments portfolio, as described in
“BUSINESS — Conservatorship and Related Matters — Limits on Investment Activity and Our Mortgage-Related
Investments Portfolio.”
The table below summarizes our mortgage-related securities purchase activity for 2012, 2011, and 2010. This activity
primarily consists of purchases of single-family PCs and multifamily Other Guarantee Transactions. Our purchases of single-
family PCs and certain Other Guarantee Transactions issued by trusts that we consolidated are recorded as an extinguishment
of debt securities of consolidated trusts held by third parties on our consolidated balance sheets.
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