Freddie Mac 2012 Annual Report Download - page 104

The table below provides information about our various segment mortgage and credit risk portfolios at December 31,
2012 and December 31, 2011. 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, 2012 December 31, 2011
(in millions)
Segment mortgage portfolios:
Investments — Mortgage investments portfolio:
Single-family unsecuritized mortgage loans(2) ............................................ $ 91,411 $ 109,190
Freddie Mac mortgage-related securities ............................................... 184,381 220,659
Non-agency mortgage-related securities ................................................ 76,457 86,526
Non-Freddie Mac agency securities ................................................... 23,675 32,898
Total Investments — Mortgage investments portfolio ........................................ 375,924 449,273
Single-family Guarantee — Managed loan portfolio:(3)
Single-family unsecuritized mortgage loans(4) ............................................ 53,333 62,469
Single-family Freddie Mac mortgage-related securities held by us ............................. 184,381 220,659
Single-family Freddie Mac mortgage-related securities held by third parties ...................... 1,335,393 1,378,881
Single-family other guarantee commitments(5) ............................................ 13,798 11,120
Total Single-family Guarantee — Managed loan portfolio .................................... 1,586,905 1,673,129
Multifamily — Guarantee portfolio:
Multifamily Freddie Mac mortgage related securities held by us .............................. 2,382 3,008
Multifamily Freddie Mac mortgage related securities held by third parties ....................... 39,884 22,136
Multifamily other guarantee commitments(5) ............................................. 9,657 9,944
Total Multifamily — Guarantee portfolio ................................................. 51,923 35,088
Multifamily — Mortgage investments portfolio:
Multifamily investment securities portfolio ............................................. 51,718 59,260
Multifamily loan portfolio .......................................................... 76,569 82,311
Total Multifamily — Mortgage investments portfolio ........................................ 128,287 141,571
Total Multifamily portfolio ........................................................... 180,210 176,659
Less: Freddie Mac single-family and certain multifamily securities(6) ............................. (186,763) (223,667)
Total mortgage portfolio ............................................................. $1,956,276 $2,075,394
Credit risk portfolios:(7)
Single-family credit guarantee portfolio:(3)
Single-family mortgage loans, on-balance sheet .......................................... $1,621,774 $1,733,215
Non-consolidated Freddie Mac mortgage-related securities .................................. 8,897 10,735
Other guarantee commitments(5) ...................................................... 13,798 11,120
Less: HFA-related guarantees(8) ...................................................... (6,270) (8,637)
Less: Freddie Mac mortgage-related securities backed by Ginnie Mae certificates(8) ................. (654) (779)
Total single-family credit guarantee portfolio .............................................. $1,637,545 $1,745,654
Multifamily mortgage portfolio:
Multifamily mortgage loans, on-balance sheet ........................................... $ 77,017 $ 82,311
Non-consolidated Freddie Mac mortgage-related securities .................................. 41,819 25,144
Other guarantee commitments(5) ...................................................... 9,657 9,944
Less: HFA-related guarantees(8) ...................................................... (1,112) (1,331)
Total multifamily mortgage portfolio .................................................... $ 127,381 $ 116,068
(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. The Single-family Guarantee
segment earns 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 the Single-family Guarantee managed loan portfolio are based on the UPB of the security, whereas the
balances of our single-family credit guarantee portfolio 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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