Freddie Mac 2008 Annual Report Download - page 171

Table 74, below 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 74 — Counterparty Credit Exposure — Cash Equivalents and Federal Funds Sold and Securities Purchased
Under Agreements to Resell
Rating
(1)
Number of
Counterparties
(2)
Contractual
Amount
(3)
Weighted Average
Contractual
Maturity
(in days)
December 31, 2008
(dollars in millions)
On-balance sheet exposure:
Cash equivalents
(4)
—
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:
(5)
Cash equivalents
(6)
—
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
Rating
(1)
Number of
Counterparties
(2)
Contractual
Amount
(3)
Weighted Average
Contractual
Maturity
(in days)
December 31, 2007
(dollars in millions)
On-balance sheet exposure:
Cash equivalents
(4)
—
A-1+. ............................................................ 22 $ 5,521 5
A-1.............................................................. 19 3,029 17
Federal funds sold and securities purchased under agreements to resell —
A-1+............................................................. 4 6,562 2
Subtotal ............................................................ 45 15,112 3
Off-balance sheet exposure:
(5)
Federal funds sold and securities purchased under agreements to resell —
A-1+. ............................................................ 12 8,486 24
A-1.............................................................. 4 2,625 23
A-2.............................................................. 1 1,400 27
Subtotal ............................................................ 17 12,511 24
Total . . ............................................................ 62 $27,623 14
(1) Represents the lower of S&P and Moody’s short-term credit ratings; however, in this table, the rating of the legal entity is stated in terms of the S&P
equivalent.
(2) Based on legal entities. Affiliated legal entities are reported separately.
(3) Represents the par value or outstanding principal balance.
(4) Consists of highly-liquid securities that have an original maturity of three months or less. Excludes $10.3 billion of cash deposited with the Federal
Reserve, and a $2.3 billion demand deposit with a custodial bank having an S&P rating of A-1+ as of December 31, 2008.
(5) Represents the non-mortgage assets managed by us, excluding cash held at the Federal Reserve Bank, on behalf of securitization trusts created for
administration of remittances for our PCs and Structured Securities.
(6) Consists of highly-liquid investments that have an original maturity of three months or less. Excludes $4.9 billion of cash deposited with the Federal
Reserve as of December 31, 2008.
Derivative Counterparty Credit Risk
Counterparty credit risk arises from the possibility that the derivative counterparty will not be able to meet its
contractual obligations. Exchange-traded derivatives, such as futures contracts, do not measurably increase our counterparty
credit risk because changes in the value of open exchange-traded contracts are settled daily through a financial clearinghouse
established by each exchange. Over-the-counter, or OTC, derivatives, however, expose us to counterparty credit risk because
transactions are executed and settled between us and the counterparty. When our net position with an OTC counterparty
subject to a master netting agreement has a market value above zero at a given date (i.e., it is an asset reported as derivative
assets, net on our consolidated balance sheets), then the counterparty could potentially be obligated to deliver cash, securities
or a combination of both having that market value to satisfy its obligation to us under the derivative.
168 Freddie Mac