Freddie Mac 2015 Annual Report Download - page 125

Management's Discussion and Analysis Risk Management | MRS Credit Risk
Freddie Mac 2015 Form 10-K 123
MORTGAGE-RELATED SECURITIES CREDIT RISK
Our mortgage-related securities portfolio consists of investments in agency and non-agency mortgage-
related securities. Agency mortgage-related securities have historically presented minimal credit risk as a
result of the guarantee provided by, and the U.S. government’s support of, the institutions that issue
agency securities. Substantially all of our purchases of mortgage-related securities in recent years
consisted of agency securities, as we generally no longer purchase non-agency mortgage-related
securities. As a result, the amount of our non-agency mortgage-related securities, relative to our overall
mortgage-related securities portfolio, declined in recent years. As our investments in non-agency
mortgage-related securities do not include a guarantee from a GSE or governmental agency, we have
credit risk exposure to the underlying collateral of these securities. Such credit risk exposure principally
arises from the non-agency mortgage-related securities that we purchased prior to entering into
conservatorship.
The following two tables present the composition of our mortgage-related securities portfolio by product
and include our holdings of Freddie Mac mortgage-related securities issued by non-consolidated trusts.
While we hold certain investments in Freddie Mac mortgage-related securities issued by consolidated
trusts (e.g., PCs), these securities are eliminated in consolidation and are excluded from these tables.
Available-For-Sale Securities
December 31,
2015 2014 2013
(in millions) Amortized Cost Fair Value Amortized Cost Fair Value Amortized Cost Fair Value
Available-for-sale mortgage-related
securities:
Freddie Mac $ 32,684 $ 33,527 $37,710 $39,099 $39,001 $40,659
Fannie Mae 7,033 7,262 10,860 11,313 10,140 10,797
Ginnie Mae 150 162 183 199 149 167
CMBS 12,009 12,448 20,988 21,822 29,151 30,338
Subprime 12,499 12,802 20,210 20,589 29,897 27,499
Option ARM 3,423 3,678 5,460 5,649 6,617 6,574
Alt-A and other 2,788 3,278 4,500 5,043 8,322 8,706
Obligations of states and political
subdivisions 1,187 1,205 2,166 2,198 3,533 3,495
Manufactured housing 488 575 556 638 629 684
Total investments in available-for-sale
mortgage-related securities $ 72,261 $ 74,937 $ 102,633 $ 106,550 $ 127,439 $ 128,919