Freddie Mac 2004 Annual Report Download - page 132

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These investments are included in the single-family and other mortgage-related securities portion of our non-
Freddie Mac mortgage-related securities portfolio shown in ""Table 33 Ì Credit Characteristics of Mortgages
and Mortgage-Related Securities in the Retained Portfolio.'' Second, we guarantee securities backed by
subprime mortgages. (These securities comprise a portion of our ""alternative collateral deals.'') These
securities have previously been credit enhanced and at the time of our purchase most of these securities were
""shadow rated'' at least ""BBB'' (based on the S&P rating scale) by at least one nationally recognized credit
rating agency which assessed the risks of the securities without regard to the beneÑts of our guarantee. In
addition to the non-Freddie Mac mortgage-related securities discussed above, our Retained portfolio makes
investments in some of the Structured Securities issued in these transactions.
The distribution of the single-family loans underlying our Total mortgage portfolio (excluding non-
Freddie Mac mortgage-related securities, alternative collateral deals and that portion of Structured Securities
that is backed by Ginnie Mae CertiÑcates) by original and estimated current loan-to-value ratio ranges, credit
scores, loan purpose, property type and occupancy type is shown in Table 62.
Freddie Mac
120