Freddie Mac 2004 Annual Report Download - page 35

OUR RETAINED AND TOTAL MORTGAGE PORTFOLIOS
Our Total mortgage portfolio includes the unpaid principal balances of mortgages and mortgage-related
securities held in our Retained portfolio and the unpaid principal balances of PCs and Structured Securities
held by third parties; PCs and Structured Securities held by third parties are considered outstanding and are
not included on our consolidated balance sheets. Table 8 provides information about our Total mortgage
portfolio as of December 31, 2004 and 2003 based on unpaid principal balances. For purposes of Table 8, the
unpaid principal balances reÖect all PCs issued and only that portion of Structured Securities that is backed by
non-Freddie Mac mortgage-related securities as of December 31, 2004 and 2003. The unpaid principal
balances of Structured Securities that directly or indirectly relate to issued PCs are excluded because such
amounts are included in the amounts reported in Table 8 that relate to issued PCs.
Table 8 Ì Freddie Mac's Total Mortgage Portfolio Based on Unpaid Principal Balances(1)(2)
As of December 31,
2004 2003
% of % of
Total Total
Dollars in Mortgage Dollars in Mortgage
Millions Portfolio Millions Portfolio
Outstanding PCs and Structured Securities ÏÏÏÏÏÏÏÏÏÏÏ $ 852,270 56% $ 752,164 53%
Retained portfolio:
PCs and Structured Securities ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 356,698 24 393,135 28
Non-Freddie Mac mortgage-related securities:
Agency mortgage-related securities ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 59,715 4 77,289 6
Non-agency mortgage-related securities ÏÏÏÏÏÏÏÏÏÏ 175,163 12 114,772 8
Total non-Freddie Mac mortgage-related securities ÏÏ 234,878 16 192,061 14
Total mortgage-related securitiesÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 591,576 40 585,196 42
Mortgage loans ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 61,360 4 60,270 4
Total Retained portfolio(3) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 652,936 44 645,466 46
PCs and Structured Securities in the Cash and
investments portfolio(4) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Ì Ì 16,769 1
Total mortgage portfolio ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $1,505,206 100% $1,414,399 100%
(1) Excludes mortgage loans and mortgage-related securities traded, but not yet settled.
(2) Due to timing diÅerences in our receipt of principal and interest payments from mortgage servicers and the subsequent pass-through
of payments to PC investors, the unpaid principal balances of the underlying mortgage loans do not always equal the unpaid principal
balance of issued PCs and Structured Securities. See ""NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLI-
CIES Ì Due to Participation CertiÑcate Investors'' to the consolidated Ñnancial statements for more information.
(3) The Retained portfolio presented in this table diÅers from the Retained portfolio presented in our consolidated balance sheets
because the amounts presented in our consolidated balance sheets include valuation adjustments (e.g., fair value adjustments for
securities classiÑed as available-for-sale and trading and the Reserve for losses on mortgage loans held-for-investment) and deferred
balances (e.g., premiums and discounts). ""Table 9 Ì Reconciliation of Retained Portfolio Unpaid Principal Balances to the
Consolidated Balance Sheets'' provides a reconciliation of the Retained portfolio amounts shown in this table to the amounts shown
under such caption in accordance with GAAP on our consolidated balance sheets.
(4) Represents PCs and Structured Securities we held in connection with PC market-making and support activities, which are reÖected
in Investments on our consolidated balance sheets. In the fourth quarter of 2004, we ceased our PC market-making and support
activities accomplished through our Securities Sales & Trading Group business unit and our external Money Manager program.
For a discussion of purchases into the Total mortgage portfolio, see ""VOLUME STATISTICS.''
Freddie Mac
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