Freddie Mac 2011 Annual Report Download - page 103

The table below provides information about our various segment mortgage portfolios at December 31, 2011, 2010,
and 2009. For a discussion of each segment’s portfolios, see “Segment Earnings — Results.”
Table 16 — Composition of Segment Mortgage Portfolios and Credit Risk Portfolios
(1)
December 31, 2011 December 31, 2010
(in millions)
Segment mortgage portfolios:
Investments — Mortgage investments portfolio:
Single-family unsecuritized mortgage loans
(2)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 109,190 $ 79,097
Freddie Mac mortgage-related securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 220,659 263,152
Non-agency mortgage-related securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86,526 99,639
Non-Freddie Mac agency securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,898 39,789
Total Investments — Mortgage investments portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 449,273 481,677
Single -family Guarantee — Managed loan portfolio:
(3)
Single-family unsecuritized mortgage loans
(4)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62,469 69,766
Single-family Freddie Mac mortgage-related securities held by us . . . . . . . . . . . . . . . . . . . . . . . . . 220,659 261,508
Single-family Freddie Mac mortgage-related securities held by third parties . . . . . . . . . . . . . . . . . . . 1,378,881 1,437,399
Single-family other guarantee commitments
(5)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,120 8,632
Total Single-family Guarantee — Managed loan portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,673,129 1,777,305
Multifamily — Guarantee portfolio:
(3)
Multifamily Freddie Mac mortgage related securities held by us . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,008 2,095
Multifamily Freddie Mac mortgage related securities held by third parties . . . . . . . . . . . . . . . . . . . . 22,136 11,916
Multifamily other guarantee commitments
(5)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,944 10,038
Total Multifamily — Guarantee portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,088 24,049
Multifamily — Mortgage investments portfolio
(3)
Multifamily investment securities portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59,260 59,548
Multifamily loan portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82,311 85,883
Total Multifamily — Mortgage investments portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141,571 145,431
Total Multifamily portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 176,659 169,480
Less : Freddie Mac single-family and certain multifamily securities
(6)
. . . . . . . . . . . . . . . . . . . . . . . . (223,667) (263,603)
Total mortgage portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $2,075,394 $2,164,859
Credit risk portfolios:
(7)
Single-family credit guarantee portfolio:
Single-family mortgage loans, on-balance sheet . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,733,215 $1,799,256
Non-consolidated Freddie Mac mortgage-related securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,735 11,268
Other guarantee commitments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,120 8,632
Less: HFA-related guarantees
(8)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (8,637) (9,322)
Less: Freddie Mac mortgage-related securities backed by Ginnie Mae certificates
(8)
. . . . . . . . . . . . . (779) (857)
Total single-family credit guarantee portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,745,654 $1,808,977
Multifamily mortgage portfolio:
Multifamily mortgage loans, on-balance sheet . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 82,311 $ 85,883
Non-consolidated Freddie Mac mortgage-related securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,144 14,011
Other guarantee commitments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,944 10,038
Less: HFA-related guarantees
(8)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,331) (1,551)
Total multifamily mortgage portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 116,068 $ 108,381
(1) Based on UPB and excludes mortgage loans and mortgage-related securities traded, but not yet settled.
(2) Excludes unsecuritized seriously delinquent single-family loans managed by the Single-family Guarantee segment. However, the Single-family
Guarantee segment continues to earn management and guarantee fees associated with unsecuritized single-family loans in the Investments segment’s
mortgage investments portfolio.
(3) The balances of the mortgage-related securities in these portfolios are based on the UPB of the security, whereas the balances of our single-family
credit guarantee and multifamily mortgage portfolios presented in this report are based on the UPB of the mortgage loans underlying the related
security. The differences in the loan and security balances result from the timing of remittances to security holders, which is typically 45 or 75 days
after the mortgage payment cycle of fixed-rate and ARM PCs, respectively.
(4) Represents unsecuritized seriously delinquent single-family loans managed by the Single-family Guarantee segment.
(5) Represents the UPB of mortgage-related assets held by third parties for which we provide our guarantee without our securitization of the related
assets.
(6) Freddie Mac single-family mortgage-related securities held by us are included in both our Investments segment’s mortgage investments portfolio and
our Single-family Guarantee segment’s managed loan portfolio, and Freddie Mac multifamily mortgage-related securities held by us are included in
both the multifamily investment securities portfolio and the multifamily guarantee portfolio. Therefore, these amounts are deducted in order to
reconcile to our total mortgage portfolio.
(7) Represents the UPB of loans for which we present characteristics, delinquency data, and certain other statistics in this report. See “GLOSSARY” for
further description.
(8) We exclude HFA-related guarantees and our resecuritizations of Ginnie Mae certificates from our credit risk portfolios and most related statistics
because these guarantees do not expose us to meaningful amounts of credit risk due to the credit enhancement provided on them by the U.S.
government.
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