Freddie Mac 2015 Annual Report Download - page 163

Management's Discussion and Analysis Conservatorship and Related Matters
Freddie Mac 2015 Form 10-K 161
• Less Liquid: assets that are less liquid than agency securities and loans in the securitization pipeline
(e.g., reperforming loans and performing modified loans and non-agency mortgage-related
securities).
The table below presents the UPB of our mortgage-related investments portfolio, for purposes of the limit
imposed by the Purchase Agreement and FHFA regulation.
December 31, 2015 December 31, 2014
(dollars in millions) Liquid
Securitiz-
ation
Pipeline Less Liquid Total Liquid
Securitiz-
ation
Pipeline Less Liquid Total
Investments segment - Mortgage
investments portfolio:
Single-family unsecuritized loans
Performing loans $ — $ 10,041 $ — $ 10,041 $ — $ 7,497 $ — $ 7,497
Reperforming loans and performing
modified loans — — 67,036 67,036 — — 75,281 75,281
Total single-family unsecuritized loans — 10,041 67,036 77,077 — 7,497 75,281 82,778
Freddie Mac mortgage-related
securities 135,869 — 6,076 141,945 150,852 — 7,363 158,215
Non-agency mortgage-related
securities — — 27,754 27,754 — — 44,230 44,230
Non-Freddie Mac agency mortgage-
related securities 12,958 — — 12,958 16,341 — — 16,341
Total Investment segment - Mortgage
investments portfolio 148,827 10,041 100,866 259,734 167,193 7,497 126,874 301,564
Single-family Guarantee segment -
Single-family unsecuritized seriously
delinquent loans — — 19,501 19,501 — — 28,738 28,738
Multifamily segment - unsecuritized
loans and mortgage-related securities 7,304 19,563 40,809 67,676 1,911 12,111 64,090 78,112
Total mortgage-related investments
portfolio $156,131 $ 29,604 $161,176 $346,911 $169,104 $ 19,608 $219,702 $408,414
Percentage of total mortgage-related
investments portfolio 45% 9% 46% 100% 41% 5% 54% 100%
Mortgage-related investments portfolio
cap at December 31, 2015 and 2014,
respectively $399,181 $469,625
90% of mortgage-related investments
portfolio cap at December 31, 2015(1) $359,263
(1) Represents the amount that we manage to under our Retained Portfolio Plan, subject to certain exceptions.
We are particularly focused on reducing, in an economically sensible manner, the balance of less liquid
assets that we hold in our portfolio. Our efforts to reduce our holdings of these assets help satisfy several
objectives, including to improve the overall liquidity of our mortgage-related investments portfolio and
comply with the mortgage-related investments portfolio limits. The decline in our holdings of less liquid
assets included pay-downs and active dispositions and accounted for the majority of the decline in our
mortgage-related investments portfolio during 2015. Our active dispositions of less liquid assets included
the following:
• Sales of $14.7 billion of less liquid assets, including $11.4 billion in UPB of non-agency mortgage-
related securities and $2.9 billion in UPB of seriously delinquent unsecuritized single-family loans;
• Securitization of $8.2 billion of single-family reperforming loans and performing modified loans, which
included HAMP loans; and
• Enhanced the liquidity of $2.9 billion of multifamily non-agency mortgage-related securities through
resecuritization. We retained these more liquid securities in our mortgage-related investments
portfolio.