Freddie Mac 2011 Annual Report Download - page 235

Table 3.2 — 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, 2011
(in millions)
Assets and Liabilities Recorded on our
Consolidated Balance Sheets
Assets:
Cash and cash equivalents. . . . . . . . . . . . . . . . . . . . . . . . $ 447 $ — $ — $ — $ —
Restricted cash and cash equivalents. . . . . . . . . . . . . . . . . — 53 — 33 167
Investments in securities:
Available-for-sale, at fair value. . . . . . . . . . . . . . . . . . . — 81,092 121,743 — —
Trading, at fair value . . . . . . . . . . . . . . . . . . . . . . . . . 302 16,047 15,473 — —
Mortgage loans:
Held-for-investment, unsecuritized . . . . . . . . . . . . . . . . — — — 72,295 —
Held-for-sale . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — 9,710 —
Accrued interest receivable . . . . . . . . . . . . . . . . . . . . . . . — 471 420 353 6
Derivative assets, net . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — — 1
Other assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 432 1 375 434
Liabilities:
Derivative liabilities, net . . . . . . . . . . . . . . . . . . . . . . . . . — (1) — — (42)
Other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (585) — (39) (675)
Maximum Exposure to Loss . . . . . . . . . . . . . . . . . . . . . . . $ 749 $36,438 $153,620 $ 82,766 $11,198
Total Assets of Non-Consolidated VIEs
(5)
. . . . . . . . . . . . . . $16,748 $41,740 $921,219 $134,145 $25,616
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 non-consolidated
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 credit 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.
(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 short-term non-mortgage-related, asset-backed investment trusts. These short-term
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
230 Freddie Mac