Freddie Mac 2012 Annual Report Download - page 121

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Higher-Risk Components of Our Investments in Mortgage-Related Securities
As discussed below, we have exposure to subprime, option ARM, interest-only, and Alt-A and other loans as part of our
investments in mortgage-related securities as follows:
•Single-family non-agency mortgage-related securities: We hold non-agency mortgage-related securities backed by
subprime, option ARM, and Alt-A and other loans.
•Single-family Freddie Mac mortgage-related securities: We hold certain Other Guarantee Transactions as part of our
investments in securities. There are subprime and option ARM loans underlying some of these Other Guarantee
Transactions. For more information on single-family loans with certain higher-risk characteristics underlying our
issued securities, see “RISK MANAGEMENT — Credit Risk — Mortgage Credit Risk.”
Non-Agency Mortgage-Related Securities Backed by Subprime, Option ARM, and Alt-A Loans
We categorize our investments in non-agency mortgage-related securities as subprime, option ARM, or Alt-A 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, CMBS, obligations of states and political subdivisions, and manufactured housing securities as either
subprime or Alt-A securities. Since the first quarter of 2008, we have not purchased any non-agency mortgage-related
securities backed by subprime, option ARM, or Alt-A loans. The two tables below present information about our holdings of
available-for-sale non-agency mortgage-related securities backed by subprime, option ARM and Alt-A loans.
116 Freddie Mac