Freddie Mac 2012 Annual Report Download - page 120

Table 25 — Mortgage-Related Securities Purchase Activity (1)
Year Ended December 31,
2012 2011 2010
(in millions)
Non-Freddie Mac mortgage-related securities purchased for resecuritization:
Ginnie Mae Certificates ............................................................... $ 21 $ 77 $ 69
Non-agency mortgage-related securities purchased for Other Guarantee Transactions (2) ................. 17,908 11,527 9,579
Total non-Freddie Mac mortgage-related securities purchased for resecuritization ................... 17,929 11,604 9,648
Non-Freddie Mac mortgage-related securities purchased as investments in securities:
Agency securities:
Fannie Mae:
Fixed-rate ..................................................................... — 5,835 —
Variable-rate ................................................................... 170 2,297 373
Total agency securities ............................................................ 170 8,132 373
Non-agency mortgage-related securities:
CMBS:
Fixed-rate ..................................................................... 10 14 —
Variable-rate ................................................................... 69 179 40
Total non-agency mortgage-related securities ........................................... 79 193 40
Total non-Freddie Mac mortgage-related securities purchased as investments in securities ......... 249 8,325 413
Total non-Freddie Mac mortgage-related securities purchased ................................... $18,178 $ 19,929 $10,061
Freddie Mac mortgage-related securities purchased:
Single-family:
Fixed-rate ....................................................................... $52,882 $ 94,543 $40,462
Variable-rate ..................................................................... 4,856 5,057 923
Multifamily:
Fixed-rate ....................................................................... 119 355 271
Variable-rate ..................................................................... — 117 111
Total Freddie Mac mortgage-related securities purchased ...................................... $57,857 $100,072 $41,767
(1) Based on UPB. Excludes mortgage-related securities traded but not yet settled.
(2) Purchases in 2010 include HFA bonds we acquired and resecuritized under the NIBP. See “NOTE 2: CONSERVATORSHIP AND RELATED
MATTERS” for further information on this component of the HFA initiative.
The purchases of Freddie Mac mortgage-related securities we made during 2012, as reflected in the table above,
primarily related to our securitization of mortgage loans that we had purchased for cash, and our subsequent retention of the
PCs created from such securitizations. During 2011, as reflected in the table above, we increased our participation in dollar
roll transactions compared to 2010, primarily in an effort to support the liquidity and price performance of our PCs. When
these transactions involve our consolidated PC trusts, the purchase and sale represents an extinguishment and issuance of
debt securities, respectively, and impacts our net interest income and recognition of gain or loss on the extinguishment of
debt on our consolidated statements of comprehensive income. These dollar roll transactions can cause short-term
fluctuations in the balance of our mortgage-related investments portfolio. For more information, see “BUSINESS — Our
Business Segments — Investments Segment — PC Support Activities” and “RISK FACTORS — Competitive and Market
Risks — A significant decline in the price performance of or demand for our PCs could have an adverse effect on the volume
and/or profitability of our new single-family guarantee business.”
Unrealized Losses on Available-For-Sale Mortgage-Related Securities
At December 31, 2012, our gross unrealized losses, pre-tax, on available-for-sale mortgage-related securities were $12.4
billion, compared to $20.1 billion at December 31, 2011. The decrease was primarily due to fair value gains related to:
(a) our investments in single-family non-agency mortgage-related securities, primarily due to the movement of these
securities with unrealized losses towards maturity; (b) the impact of spread tightening on our CMBS; and (c) the impact of
declining interest rates. We believe the unrealized losses related to these securities at December 31, 2012 were mainly
attributable to poor underlying collateral performance, limited liquidity and large risk premiums in the market for residential
non-agency mortgage-related securities. All available-for-sale securities in an unrealized loss position are evaluated to
determine if the impairment is other-than-temporary. See “Total Equity (Deficit)” and “NOTE 7: INVESTMENTS IN
SECURITIES” for additional information regarding unrealized losses on our available-for-sale securities.
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