Freddie Mac 2012 Annual Report Download - page 128

Table 30 — Mortgage Loan Purchases and Other Guarantee Commitment Issuances (1)
Year Ended December 31,
2012 2011 2010
UPB
Amount
%of
Total
UPB
Amount
%of
Total
UPB
Amount
%of
Total
(dollars in millions)
Mortgage loan purchases and guarantee issuances:
Single-family:
30-year or more amortizing fixed-rate ................................ $275,632 60% $194,746 57% $258,621 64%
20-year amortizing fixed-rate ...................................... 29,614 7 21,378 6 23,852 6
15-year amortizing fixed-rate ...................................... 103,141 23 78,543 23 83,025 21
Adjustable-rate (2) ................................................ 18,075 4 25,685 8 16,534 4
Interest-only (3) ................................................. — — — — 909 <1
HFA bonds .................................................... — — — — 2,469 1
FHA/VA and other governmental ................................... 387 <1 441 <1 968 <1
Total single-family (4) ........................................... 426,849 94 320,793 94 386,378 96
Multifamily ..................................................... 28,774 6 20,325 6 15,372 4
Total mortgage loan purchases and other guarantee commitment
issuances(5) ............................................... $455,623 100% $341,118 100% $401,750 100%
Percentage of mortgage purchases and other guarantee commitment issuances with
credit enhancements (6) .............................................. 11% 8% 9%
(1) Based on UPB. Excludes mortgage loans traded but not yet settled. Excludes the removal of seriously delinquent loans and balloon/reset mortgages out
of PC trusts. Includes other guarantee commitments associated with mortgage loans. See endnote (5) for further information.
(2) Includes amortizing ARMs with 1-, 3-, 5-, 7-, and 10-year initial fixed-rate periods. We did not purchase any option ARM loans during the years ended
December 31, 2012, 2011, or 2010.
(3) Represents loans where the borrower pays interest only for a period of time before the borrower begins making principal payments. Includes both fixed-
rate and variable-rate interest-only loans.
(4) Includes $32.6 billion, $27.7 billion, and $23.9 billion of mortgage loans in excess of $417,000, which we refer to as conforming jumbo mortgages, for
the years ended December 31, 2012, 2011, and 2010, respectively.
(5) Includes issuances of other guarantee commitments on single-family loans of $6.8 billion, $4.4 billion, and $5.7 billion and issuances of other guarantee
commitments on multifamily loans of $2.4 billion, $1.0 billion, and $1.7 billion during the years ended December 31, 2012, 2011, and 2010,
respectively, which include our unsecuritized guarantees of HFA bonds under the TCLFP in 2010.
(6) See “NOTE 4: MORTGAGE LOANS AND LOAN LOSS RESERVES — Credit Protection and Other Forms of Credit Enhancement” for further
details on credit enhancement of mortgage loans in our multifamily mortgage and single-family credit guarantee portfolios.
See “RISK MANAGEMENT — Credit Risk — Mortgage Credit Risk —Single-Family Mortgage Credit Risk” and
“NOTE 15: CONCENTRATION OF CREDIT AND OTHER RISKS — Table 15.2 — Certain Higher-Risk Categories in the
Single-Family Credit Guarantee Portfolio” for information about mortgage loans in our single-family credit guarantee
portfolio that we believe have higher-risk characteristics.
Derivative Assets and Liabilities, Net
The composition of our derivative portfolio changes from period to period as a result of purchases and terminations of
derivatives, assignments of derivatives prior to their contractual maturity, and expiration of derivatives at their contractual
maturity. We classify net derivative interest receivable or payable, trade/settle receivable or payable, and cash collateral held
or posted on our consolidated balance sheets in derivative assets, net and derivative liabilities, net. Non-cash collateral held is
not recognized on our consolidated balance sheets as we do not obtain effective control over the collateral. See “NOTE 7:
INVESTMENTS IN SECURITIES — Collateral Pledged” for more information about collateral held and posted and
“NOTE 10: DERIVATIVES” for additional information regarding our derivatives.
The table below shows the fair value for each derivative type, the weighted average fixed rate of our pay-fixed and
receive-fixed swaps, and the maturity profile of our derivative positions reconciled to the amounts presented on our
consolidated balance sheets as of December 31, 2012. A positive fair value in the table below for each derivative type is the
estimated amount, prior to netting by counterparty, that we would be entitled to receive if the derivatives of that type were
terminated. A negative fair value for a derivative type is the estimated amount, prior to netting by counterparty, that we
would owe if the derivatives of that type were terminated.
123 Freddie Mac