Freddie Mac 2010 Annual Report Download - page 101

Ratings of Available-For-Sale Non-Agency Mortgage-Related Securities
Table 28 shows the ratings of available-for-sale non-agency mortgage-related securities backed by subprime, option
ARM, Alt-A and other loans, and CMBS held at December 31, 2010 based on their ratings as of December 31, 2010 as well
as those held at December 31, 2009 based on their ratings as of December 31, 2009 using the lowest rating available for
each security.
Table 28 — Ratings of Available-For-Sale Non-Agency Mortgage-Related-Securities Backed by Subprime, Option
ARM, Alt-A and Other Loans, and CMBS
Credit Ratings as of December 31, 2010 UPB
Percentage
of UPB
Amortized
Cost
Gross
Unrealized
Losses
Monoline
Insurance
Coverage
(1)
(dollars in millions)
Subprime loans:
AAA-rated ................................................ $ 2,085 4% $ 2,085 $ (199) $ 31
Other investment grade ........................................ 3,407 6 3,408 (436) 449
Below investment grade
(2)
...................................... 48,718 90 42,423 (13,421) 1,789
Total . . ................................................. $54,210 100% $47,916 $(14,056) $2,269
Option ARM loans:
AAA-rated ................................................ $ — —% $ — $ — $ —
Other investment grade ........................................ 139 1 140 (18) 129
Below investment grade
(2)
...................................... 15,507 99 10,586 (3,835) 50
Total . . ................................................. $15,646 100% $10,726 $ (3,853) $ 179
Alt-A and other loans:
AAA-rated ................................................ $ 1,293 7% $ 1,301 $ (87) $ 7
Other investment grade ........................................ 2,761 15 2,765 (362) 368
Below investment grade
(2)
...................................... 14,789 78 11,495 (2,002) 2,443
Total . . ................................................. $18,843 100% $15,561 $ (2,451) $2,818
CMBS:
AAA-rated ................................................ $28,007 48% $28,071 $ (52) $ 42
Other investment grade ........................................ 26,777 45 26,740 (676) 1,655
Below investment grade
(2)
...................................... 3,897 7 3,644 (1,191) 1,704
Total . . ................................................. $58,681 100% $58,455 $ (1,919) $3,401
Credit Ratings as of December 31, 2009
Subprime loans:
AAA-rated ................................................ $ 4,600 7% $ 4,597 $ (643) $ 34
Other investment grade ........................................ 6,248 10 6,247 (1,562) 625
Below investment grade
(2)
...................................... 50,716 83 45,977 (18,897) 1,895
Total . . ................................................. $61,564 100% $56,821 $(21,102) $2,554
Option ARM loans:
AAA-rated ................................................ $ — —% $ — $ — $ —
Other investment grade ........................................ 350 2 345 (152) 166
Below investment grade
(2)
...................................... 17,337 98 13,341 (6,323) 163
Total . . ................................................. $17,687 100% $13,686 $ (6,475) $ 329
Alt-A and other loans:
AAA-rated ................................................ $ 1,825 9% $ 1,844 $ (247) $ 9
Other investment grade ........................................ 4,829 23 4,834 (1,051) 530
Below investment grade
(2)
...................................... 14,785 68 12,267 (4,249) 2,752
Total . . ................................................. $21,439 100% $18,945 $ (5,547) $3,291
CMBS:
AAA-rated ................................................ $32,831 53% $32,914 $ (2,108) $ 43
Other investment grade ........................................ 26,233 42 26,167 (4,661) 1,658
Below investment grade
(2)
...................................... 2,813 5 2,711 (1,019) 1,701
Total . . ................................................. $61,877 100% $61,792 $ (7,788) $3,402
(1) Represents the amount of UPB covered by monoline insurance coverage. This amount does not represent the maximum amount of losses we could
recover, as the monoline insurance also covers interest.
(2) Includes securities with S&P credit ratings below BBB- and certain securities that are no longer rated.
Mortgage Loans
The UPB of mortgage loans on our consolidated balance sheet increased to $1.9 trillion as of December 31, 2010 from
$138.8 billion as of December 31, 2009, primarily due to a change in the accounting for consolidation of VIEs discussed in
“Change in Accounting Principles,” which resulted in our consolidation of assets underlying approximately $1.8 trillion of
our PCs and $21 billion of Other Guarantee Transactions as of January 1, 2010. See “NOTE 2: CHANGE IN
ACCOUNTING PRINCIPLES” for further information on the impact of these accounting changes, and “NOTE 5:
98 Freddie Mac