Freddie Mac 2010 Annual Report Download - page 207

Table 4.2 — Variable Interests in VIEs for which We are not the Primary Beneficiary
Asset-Backed
Investment Trusts
(1)
Freddie Mac
Securities
(2)
Non-Freddie Mac
Securities
(1)
Unsecuritized
Multifamily
Loans
(3)
Other
(1)(4)
Mortgage-Related Security Trusts
December 31, 2010
(in millions)
Assets and Liabilities Recorded on our Consolidated Balance
Sheets
Assets:
Cash and cash equivalents ......................... $ 9,909 $ — $ — $ — $ —
Restricted cash and cash equivalents . . . ............... — 52 — 34 464
Investments in securities:
Available-for-sale, at fair value .................... — 85,689 137,568 — —
Trading, at fair value . .......................... 44 13,437 18,914 — —
Mortgage loans:
Held-for-investment, unsecuritized . . . ............... — — — 78,448 —
Held-for-sale . . . . . . . .......................... — — — 6,413 —
Accrued interest receivable ......................... — 419 717 372 5
Derivative assets, net . . . .......................... — — — — 2
Other assets . .................................. — 277 6 23 381
Liabilities:
Derivative liabilities, net. .......................... — (2) — — (41)
Other liabilities . . . . . . . .......................... — (408) (3) (36) (1,034)
Maximum Exposure to Loss......................... $ 9,953 $26,392 $ 176,533 $ 85,290 $11,375
Total Assets of Non-Consolidated VIEs
(5)
............... $129,479 $29,368 $1,036,975 $138,330 $25,875
(1) For our involvement with non-consolidated asset-backed investment trusts, non-Freddie Mac security trusts and certain other VIEs where we do not
provide a guarantee, our maximum exposure to loss is computed as the carrying amount if the security is classified as trading or the amortized cost if
the security is classified as available-for-sale for our investments and related assets recorded on our consolidated balance sheets, including any
unrealized amounts recorded in AOCI for securities classified as available-for-sale.
(2) Freddie Mac securities include our variable interests in single-family multiclass REMICs and Other Structured Securities, Multifamily PCs, Multifamily
Other Structured Securities, and Other Guarantee Transactions that we do not consolidate. For our variable interests in other Freddie Mac security trusts
for which we have provided a guarantee, our maximum exposure to loss is the outstanding UPB of the underlying mortgage loans or securities that we
have guaranteed, which is the maximum contractual amount under such guarantees. However, our investments in single-family REMICs and Other
Structured Securities that are not consolidated do not give rise to any additional exposure to loss as we already consolidate the underlying collateral.
(3) For unsecuritized multifamily loans, our maximum exposure to loss is based on the UPB of these loans, as adjusted for loan level basis adjustments, any
associated allowance for loan losses, accrued interest receivable, and fair value adjustments on held-for-sale loans.
(4) For other non-consolidated VIEs where we have provided a guarantee, our maximum exposure to loss is the contractual amount that could be lost under
the guarantee if the counterparty or borrower defaulted, without consideration of possible recoveries under credit enhancement arrangements. The
maximum exposure disclosed above is not representative of the actual loss we are likely to incur, based on our historical loss experience and after
consideration of proceeds from related collateral liquidation including possible recoveries under credit enhancement arrangements.
(5) Represents the remaining UPB of assets held by non-consolidated VIEs using the most current information available, where our continuing involvement
is significant. We do not include the assets of our non-consolidated trusts related to single-family REMICs and Other Structured Securities in this
amount as we already consolidate the underlying collateral of these trusts on our consolidated balance sheets.
Asset-Backed Investment Trusts
We invest in a variety of non-mortgage-related, asset-backed investment trusts. These investments represent interests in
trusts consisting of a pool of receivables or other financial assets, typically credit card receivables, auto loans, or student
loans. These trusts act as vehicles to allow originators to securitize assets. Securities are structured from the underlying pool
of assets to provide for varying degrees of risk. Primary risks include potential loss from the credit risk and interest-rate risk
of the underlying pool. The originators of the financial assets or the underwriters of the deal create the trusts and typically
own the residual interest in the trust assets. See “NOTE 8: INVESTMENTS IN SECURITIES” for additional information
regarding our asset-backed investments.
At December 31, 2010, we had investments in 23 asset-backed investment trusts in which we had a variable interest but
were not considered the primary beneficiary. Our investments in these asset-backed investment trusts were made in 2010. At
December 31, 2010, we were not the primary beneficiary of any such trusts because our investments are passive in nature
and do not provide us with the power to direct the activities of the trusts that most significantly impact their economic
performance. As such, our investments in these asset-backed investment trusts are accounted for as investment securities as
described in “NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES.” Our investments in these trusts totaled
$10.0 billion and $12.7 billion as of December 31, 2010 and 2009, respectively, and are included as cash and cash
equivalents, available-for-sale securities or trading securities on our consolidated balance sheets. At December 31, 2010 and
2009, we did not guarantee any obligations of these investment trusts and our exposure was limited to the amount of our
investment.
Mortgage-Related Security Trusts
Freddie Mac Securities
Freddie Mac securities related to our variable interests in non-consolidated VIEs primarily consist of our REMICs and
Other Structured Securities and Other Guarantee Transactions. REMICs and Other Structured Securities are created by using
204 Freddie Mac