Freddie Mac 2010 Annual Report Download - page 117

Table 40 — 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, 2010
(dollars in millions)
On-balance sheet exposure:
Unrestricted:
Cash equivalents, unrestricted
(5)
—
A-1+ ........................................................... 17 $15,270 5
A-1............................................................ 22 9,752 38
Federal funds sold, unrestricted —
A-1............................................................ 1 1,100 3
A-2............................................................ 1 300 3
Securities purchased under agreements to resell, unrestricted —
A-1+ ........................................................... 1 5,500 22
A-1............................................................ 6 9,574 18
A-2............................................................ 1 700 3
Subtotal ......................................................... 49 42,196 18
Restricted, held by consolidated trusts:
(6)
Cash equivalents, restricted
(7)
—
A-1+ ........................................................... 6 6,250 1
Federal funds sold, restricted —
A-1............................................................ 2 2,350 3
Securities purchased under agreements to resell, restricted —
A-1+ ........................................................... 1 10,000 27
A-1............................................................ 1 17,000 23
Subtotal ......................................................... 10 35,600 19
Off-balance sheet exposure .............................................. — — —
Total . . ............................................................ 59 $77,796 18
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
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
Securities purchased under agreements to resell —
A-1.............................................................. 1 7,500 26
Subtotal ............................................................ 8 14,275 14
Total . . ............................................................ 58 $60,867 16
(1) Excludes restricted cash balances as well as cash deposited with the Federal Reserve Bank 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 investments that have an original maturity of three months or less. Excludes $12.0 billion and $25.1 billion of cash deposited
with the Federal Reserve Bank as of December 31, 2010 and 2009, respectively.
(6) Represents the non-mortgage-related assets managed by us on behalf of securitization trusts created for administration of remittances for Freddie Mac
mortgage-related securities. Due to our January 1, 2010 adoption of the amendments to accounting standards on accounting for transfers of financial
assets and consolidation of VIEs, the assets of single-family PCs were consolidated on our balance sheet, which caused a significant increase in on-
balance sheet restricted assets and a corresponding decrease in off-balance sheet restricted assets as of December 31, 2010. These assets may only be
used to settle the obligations of the trusts.
(7) Consists of highly liquid investments that have an original maturity of three months or less. Excludes $1.3 billion and $8.2 billion of cash deposited
with the Federal Reserve Bank as of December 31, 2010 and 2009, 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,
114 Freddie Mac