Freddie Mac 2004 Annual Report Download - page 79

Table 33 provides additional detail regarding the mortgage loans and mortgage-related securities that
comprised our Retained portfolio at December 31, 2004 and 2003.
Table 33 Ì Credit Characteristics of Mortgages and Mortgage-Related Securities in the Retained Portfolio
December 31, 2004 December 31, 2003
% of Total % of Total
% AAA Retained % AAA Retained
Amount Rated Portfolio(1) Amount Rated Portfolio(1)
(dollars in millions)
Mortgage loansÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $ 61,360 N/A 9% $ 60,270 N/A 9%
PCs and Structured Securities(2) ÏÏÏÏÏÏÏÏÏÏ 356,698 N/A 55 393,135 N/A 61
Non-Freddie Mac mortgage-related
securities:
Agency mortgage-related securities:(3)
Fannie Mae ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 58,004 N/A 9 74,529 N/A 12
Ginnie Mae ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 1,711 N/A Ì 2,760 N/A Ì
Total agency mortgage-related
securities ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 59,715 N/A 9 77,289 N/A 12
Non-agency mortgage-related securities:(4)
Single-family and other mortgage-
related securities(5) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 123,411 99.2% 19 72,161 99.8% 11
Commercial mortgage backed
securities(6) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 41,184 100.0 6 33,055 99.3 5
Mortgage revenue bonds(7) ÏÏÏÏÏÏÏÏÏÏÏ 9,077 71.5 2 7,772 77.1 2
Manufactured housing(8)ÏÏÏÏÏÏÏÏÏÏÏÏÏ 1,491 33.4 Ì 1,784 42.0 Ì
Total non-agency mortgage-related
securities ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 175,163 97.4% 27 114,772 97.3% 18
Total unpaid principal balance of Retained
portfolioÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 652,936 100% 645,466 100%
Premiums, discounts, deferred fees and
other basis adjustments ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4,039 4,793
Net unrealized gains on mortgage-related
securities, pre-taxÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6,762 9,601
Participation CertiÑcate residuals at fair
value ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 845 671
Reserve for losses on mortgage loans
held-for-investment ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ (114) (174)
Total Retained portfolio per consolidated
balance sheets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $664,468 $660,357
(1) Based on unpaid principal balance.
(2) With respect to our PCs and Structured Securities, we guarantee the payment of principal and interest and are subject to the credit
risk associated with the underlying mortgage loan collateral (or non-agency mortgage-related security collateral, where applicable).
(3) Agency mortgage-related securities are generally not separately rated by credit rating agencies, but are viewed as having a level of
credit quality at least equivalent to non-agency mortgage securities rated ""AAA'' or equivalent.
(4) Credit rating of most non-agency mortgage-related securities is designated by at least two nationally recognized credit rating
agencies.
(5) The ""other'' component of this line item consists of multifamily mortgage-related securities not structured in a commercial mortgage
backed security.
(6) Consists of pools of mortgages collateralized by multifamily, manufactured housing parks, and commercial (oÇce, retail, industrial,
and a smaller percentage of hotel or other) properties.
(7) Consists of obligations of states and political subdivisions.
(8) 43 percent and 84 percent of mortgage-related securities backed by manufactured housing were rated BBB¿ or above at
December 31, 2004 and 2003, respectively. For the same periods, 96 percent and 90 percent of these securities are supported by
credit-enhancements such as deal structure through subordination and bond insurance.
The non-agency mortgage-related securities portion of the Retained portfolio grew from December 31,
2003 to December 31, 2004 in both unpaid principal balance and as a percentage of the total Retained
portfolio. This growth is a result of the strong supply of non-agency mortgage-related securities, particularly
Öoating rate products, combined with the fact that investment opportunities in agency Ñxed-rate products have
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