Freddie Mac has disclosed that it held $124 billion of securities backed by subprime home loans at the end of last year, though virtually all were triple-A rated tranches from mortgage securities deals.That accounted for about 18% of Freddie Mac's $704 billion retained portfolio. In total, nonagency mortgage-backed securities accounted for $238 billion of the retained portfolio, consisting of both prime and subprime credits. Nearly all -- 96% -- of the nonagency mortgage securities were rated triple-A, Freddie Mac said. The government-sponsored enterprise said that by most measures, its credit risk exposure remains low. The guarantee portfolio had a loan-to-value ratio of 57% at the end of 2006. Fixed-rate loans constituted 82% of the company's guarantee portfolio. Freddie can be found online at http://www.freddiemac.com.

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