Freddie Mac 2009 Annual Report Download - page 147

Table 54 summarizes our counterparty credit exposure for cash equivalents, federal funds sold and securities purchased
under agreements to resell that are presented both on our consolidated balance sheets as well as those off-balance sheet that
we have entered on behalf of these securitization trusts.
Table 54 — Counterparty Credit Exposure — Cash Equivalents, Federal Funds Sold and Securities Purchased Under
Agreements to Resell
(1)
Rating
(2)
Number of
Counterparties
(3)
Contractual
Amount
(4)
Weighted Average
Contractual
Maturity
(in days)
December 31, 2009
(dollars in millions)
On-balance sheet exposure:
Cash equivalents
(5)
A-1+ ............................................................ 22 $30,153 3
A-1 ............................................................. 27 9,439 54
Federal funds sold and securities purchased under agreements to resell
A-1 ............................................................. 1 7,000 25
Subtotal ............................................................ 50 46,592 17
Off-balance sheet exposure:
(6)
Cash equivalents
(7)
A-1+ ............................................................ 7 6,775 1
Federal funds sold and securities purchased under agreements to resell
A-1 ............................................................. 1 7,500 26
Subtotal ............................................................ 8 14,275 14
Total . . ............................................................ 58 $60,867 16
Rating
(2)
Number of
Counterparties
(3)
Contractual
Amount
(4)
Weighted Average
Contractual
Maturity
(in days)
December 31, 2008
(dollars in millions)
On-balance sheet exposure:
Cash equivalents
(5)
A-1+ ............................................................ 43 $28,396 2
A-1 ............................................................. 15 4,328 7
Federal funds sold and securities purchased under agreements to resell
A-1+ ............................................................ 2 2,250 2
A-1 ............................................................. 2 7,900 2
Subtotal ............................................................ 62 42,874 2
Off-balance sheet exposure:
(6)
Cash equivalents
(7)
A-1+ ............................................................ 7 3,700 1
Federal funds sold and securities purchased under agreements to resell
A-1+ ............................................................ 1 1,500 2
A-1 ............................................................. 1 1,500 2
Subtotal ............................................................ 9 6,700 1
Total . . ............................................................ 71 $49,574 2
(1) Excludes restricted cash balances as well as cash deposited with the Federal Reserve and other federally chartered institutions.
(2) Represents the lower of S&P and Moody’s short-term credit ratings as of each period end; however, in this table, the rating of the legal entity is stated
in terms of the S&P equivalent.
(3) Based on legal entities. Affiliated legal entities are reported separately.
(4) Represents the par value or outstanding principal balance.
(5) Consists of highly liquid securities that have an original maturity of three months or less. Excludes $25.1 billion and $10.3 billion of cash deposited
with the Federal Reserve as of December 31, 2009 and 2008, respectively, and a $2.3 billion demand deposit with a custodial bank having an S&P
rating of A-1+ as of December 31, 2008.
(6) Represents the non-mortgage assets managed by us, excluding cash held at the Federal Reserve, on behalf of securitization trusts created for
administration of remittances for our PCs and Structured Securities.
(7) Consists of highly liquid investments that have an original maturity of three months or less. Excludes $8.2 billion and $4.9 billion of cash deposited
with the Federal Reserve as of December 31, 2009 and 2008, respectively.
Derivative Counterparties
We are exposed to institutional credit risk arising from the possibility that a derivative counterparty will not be able to
meet its contractual obligations. We are an active user of exchange-traded products, such as Treasury and Eurodollar Futures,
to reduce our overall exposure to derivative counterparties. Exchange-traded derivatives do not measurably increase our
institutional credit risk because changes in the value of open exchange-traded contracts are settled daily through a financial
clearinghouse established by each exchange. OTC derivatives, however, expose us to institutional credit risk because
transactions are executed and settled directly between us and the counterparty. When our net position with an OTC
144 Freddie Mac