Freddie Mac 2011 Annual Report Download - page 241

The table below presents our allowance for loan losses and our recorded investment in mortgage loans, held-for-
investment, by impairment evaluation methodology.
Table 4.4 — Net Investment in Mortgage Loans
Single-family Multifamily Total Single-family Multifamily Total
December 31, 2011 December 31, 2010
(in millions)
Recorded investment:
Collectively evaluated . . . . . . . . . . . . . . . . . . . . . . . $1,677,974 $70,131 $1,748,105 $1,762,490 $76,541 $1,839,031
Individually evaluated . . . . . . . . . . . . . . . . . . . . . . . 60,037 2,670 62,707 36,505 2,637 39,142
Total recorded investment . . . . . . . . . . . . . . . . . . . 1,738,011 72,801 1,810,812 1,798,995 79,178 1,878,173
Ending balance of the allowance for loan losses:
Collectively evaluated . . . . . . . . . . . . . . . . . . . . . . . (23,657) (260) (23,917) (30,477) (382) (30,859)
Individually evaluated . . . . . . . . . . . . . . . . . . . . . . . (15,100) (246) (15,346) (8,484) (348) (8,832)
Total ending balance of the allowance . . . . . . . . . . . (38,757) (506) (39,263) (38,961) (730) (39,691)
Net investment in mortgage loans . . . . . . . . . . . . . . . . . $1,699,254 $72,295 $1,771,549 $1,760,034 $78,448 $1,838,482
A significant number of unsecuritized single-family mortgage loans on our consolidated balance sheets are
individually evaluated for impairment and substantially all single-family mortgage loans held by our consolidated trusts
are collectively evaluated for impairment. The ending balance of the allowance for loan losses associated with our held-
for-investment unsecuritized mortgage loans represented approximately 13.0% and 12.7% of the recorded investment in
such loans at December 31, 2011 and 2010, respectively. The ending balance of the allowance for loan losses associated
with mortgage loans held by our consolidated trusts represented approximately 0.5% and 0.7% of the recorded investment
in such loans as of December 31, 2011 and 2010, respectively.
Credit Protection and Other Forms of Credit Enhancement
In connection with many of our mortgage loans held-for-investment and other mortgage-related guarantees, we have
credit protection in the form of primary mortgage insurance, pool insurance, recourse to lenders, and other forms of credit
enhancements.
The table below presents the UPB of loans on our consolidated balance sheets or underlying our financial guarantees
with credit protection and the maximum amounts of potential loss recovery by type of credit protection.
Table 4.5 — Recourse and Other Forms of Credit Protection
(1)
December 31, 2011 December 31, 2010 December 31, 2011 December 31, 2010
UPB at Maximum Coverage
(2)
at
(in millions)
Single-family:
Primary mortgage insurance . . . . . . . . . . . . . . . . . . . . . . . $198,007 $217,133 $48,741 $52,899
Lender recourse and indemnifications . . . . . . . . . . . . . . . . . 8,798 10,064 8,453 9,566
Pool insurance
(3)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,754 37,868 1,855 2,687
HFA indemnification
(4)
. . . . . . . . . . . . . . . . . . . . . . . . . . . 8,637 9,322 3,023 3,263
Subordination
(5)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,281 3,889 647 825
Other credit enhancements . . . . . . . . . . . . . . . . . . . . . . . . 133 223 99 118
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $245,610 $278,499 $62,818 $69,358
Multifamily:
HFA indemnification
(4)
. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,331 $ 1,551 $ 466 $ 543
Subordination
(5)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,636 12,252 3,359 1,414
Other credit enhancements . . . . . . . . . . . . . . . . . . . . . . . . 8,334 9,004 2,554 2,930
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 33,301 $ 22,807 $ 6,379 $ 4,887
(1) Includes the credit protection associated with unsecuritized mortgage loans, loans held by our consolidated trusts as well as our non-consolidated
mortgage guarantees and excludes FHA/VA and other governmental loans. Except for subordination coverage, these amounts exclude credit
protection associated with $16.6 billion and $19.8 billion in UPB of single-family loans underlying Other Guarantee Transactions as of
December 31, 2011 and December 31, 2010, respectively, for which the information was not available.
(2) Except for subordination, this represents the remaining amount of loss recovery that is available subject to terms of counterparty agreements.
(3) Maximum coverage amounts presented have been limited to the remaining UPB at period end. Prior period amounts have been revised to conform to
current period presentation. Excludes approximately $13.5 billion and $19.7 billion in UPB at December 31, 2011 and 2010, respectively, where the
related loans are also covered by primary mortgage insurance.
(4) Represents the amount of potential reimbursement of losses on securities we have guaranteed that are backed by state and local HFA bonds, under
which Treasury bears initial losses on these securities up to 35% of those issued under the HFA initiative on a combined basis. Treasury will also
bear losses of unpaid interest.
(5) Represents Freddie Mac issued mortgage-related securities with subordination protection, excluding those backed by HFA bonds. Excludes
mortgage-related securities where subordination coverage was exhausted or maximum coverage amounts were limited to the remaining UPB at that
date. Prior period amounts have been revised to conform to current period presentation.
236 Freddie Mac