Freddie Mac 2012 Annual Report Download - page 260

Maturities of Available-For-Sale Securities
The table below summarizes the remaining contractual maturities of available-for-sale securities.
Table 7.7 — Maturities of Available-For-Sale Securities(1)
December 31, 2012 Amortized Cost Fair Value
Weighted
Average Yield(2)
(dollars in millions)
Available-for-sale securities:
Due within 1 year or less ...................................................... $ 87 $ 89 4.53%
Due after 1 through 5 years .................................................... 1,899 2,042 5.42
Due after 5 through 10 years ................................................... 1,985 2,094 4.89
Due after 10 years ........................................................... 173,147 170,671 3.41
Total available-for-sale securities .................................................. $177,118 $174,896 3.45
(1) Maturity information provided is based on contractual maturities, which may not represent the expected life as obligations underlying these securities
may be prepaid at any time without penalty.
(2) The weighted average yield is calculated based on a yield for each individual lot held at December 31, 2012 excluding any fully taxable-equivalent
adjustments related to tax exempt sources of interest income. The numerator for the individual lot yield consists of the sum of: (a) the year-end interest
coupon rate multiplied by the year-end UPB; and (b) the annualized amortization income or expense calculated for December 2012 (excluding the
accretion of non-credit-related other-than-temporary impairments and any adjustments recorded for changes in the effective rate). The denominator for
the individual lot yield consists of the year-end amortized cost of the lot excluding effects of other-than-temporary impairments on the UPB of impaired
lots.
AOCI Related to Available-For-Sale Securities
The table below presents the changes in AOCI related to available-for-sale securities. The net unrealized holding gains
represent the net fair value adjustments recorded on available-for-sale securities throughout the periods presented, after the
effects of our federal statutory tax rate of 35%. The net reclassification adjustment for net realized losses represents the
amount of those fair value adjustments, after the effects of our federal statutory tax rate of 35%, that have been recognized in
earnings due to a sale of an available-for-sale security or the recognition of an impairment loss.
Table 7.8 — AOCI Related to Available-For-Sale Securities
Year Ended December 31,
2012 2011 2010
(in millions)
Beginning balance ...................................................................... $(6,213) $(9,678) $(20,616)
Adjustment to initially apply the adoption of amendments to accounting guidance for transfers of financial
assets and the consolidation of VIEs(1) .................................................... — — (2,683)
Net unrealized holding gains(2) ........................................................... 3,458 2,007 10,876
Net reclassification adjustment for net realized losses(3)(4) ........................................ 1,311 1,458 2,745
Ending balance ........................................................................ $(1,444) $(6,213) $ (9,678)
(1) Net of tax benefit of $1.4 billion for the year ended December 31, 2010.
(2) Net of tax expense of $1.9 billion, $1.1 billion, and $5.9 billion for the years ended December 31, 2012, 2011, and 2010, respectively.
(3) Net of tax benefit of $706 million, $785 million, and $1.5 billion for the years ended December 31, 2012, 2011, and 2010, respectively.
(4) Includes the reversal of previously recorded unrealized losses that have been recognized on our consolidated statements of comprehensive incomeas
impairment losses on available-for-sale securities of $1.4 billion, $1.5 billion, and $2.8 billion, net of taxes, for the years ended December 31, 2012,
2011, and 2010, respectively.
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