Freddie Mac 2014 Annual Report Download - page 102

97 Freddie Mac
Table 41 — Risk Transfer Transactions
Year Ended December 31,
2014 2013
Retained by
Freddie Mac Transferred to Third Parties Total Retained by Freddie Mac Transferred to Third Parties Total
(in millions)
Issuance information:
First loss positions $ 683 $ — $ 683 $ 174 $ — $ 174
Mezzanine loss positions:
STACR debt notes — 4,916 4,916 — 1,130 1,130
Non-issued (and ACIS)(1) 1,623 439 2,062 356 78 434
Subtotal mezzanine loss positions $ 1,623 $ 5,355 6,978 $ 356 $ 1,208 1,564
Senior (remaining) loss positions $ 139,823 $ — 139,823 $ 56,174 $ — 56,174
Total reference pools $ 147,484 $ 57,912
Additional ACIS transactions(2) $ 270 $ —
As of December 31, 2014 As of December 31, 2013
Retained by
Freddie Mac Transferred to Third Parties Total Retained by Freddie Mac Transferred to Third Parties Total
(in millions)
Remaining balance information:
First loss positions $ 853 $ — $ 853 $ 174 $ — $ 174
Mezzanine loss positions:
STACR debt notes — 5,896 5,896 — 1,107 1,107
Non-issued (and ACIS)(1) 1,680 761 2,441 350 76 426
Subtotal mezzanine loss positions $ 1,680 $ 6,657 8,337 $ 350 $ 1,183 1,533
Senior (remaining) loss positions $ 183,336 $ — 183,336 $ 55,196 $ — 55,196
Total reference pools $ 192,526 $ 56,903
(1) Amounts retained by Freddie Mac represent the balance of our mezzanine loss positions in STACR transactions reduced by coverage under ACIS
transactions. Amounts transferred to third parties represent coverage under ACIS transactions, and are the maximum amount of coverage provided by
insurance counterparties to absorb a portion of our mezzanine losses. Not all of our non-issued, mezzanine positions had coverage under ACIS
transactions at December 31, 2014.
(2) Represents an ACIS transaction during 2014 that relates to the mezzanine loss position of a STACR transaction completed in 2013.
For loans in our New single-family book that are covered by credit enhancement in the form of STACR debt notes and
ACIS transactions, we may receive recoveries when the loans experience a credit event, which includes a loan becoming 180
days delinquent. We would receive such recoveries by writing down the principal in STACR debt notes transactions and
through the payment of insurance claims in ACIS transactions. However, we retained all of the first loss position for loans
covered by STACR transactions completed in 2014 and 2013. As shown in the table above, as of December 31, 2014, we are
exposed to the first $853 million of losses on the $192.5 billion total reference pools of covered loans. As of December 31,
2014 there has not been a significant amount of loans in our STACR debt note reference pools that had experienced a credit
event. As a result, we have not recognized any credit-related write downs on any of our STACR debt notes nor have we made
any claims for loss recoveries under our ACIS transactions.
As of December 31, 2014 and 2013, approximately $3.2 billion and $6.5 billion, respectively, in UPB of loans in our
single-family credit guarantee portfolio were covered by pool insurance, and we had coverage on these loans totaling $0.9
billion and $1.2 billion, respectively. We may exhaust the insurance coverage on the contracts before the policies expire.
Certain of our single-family Other Guarantee Transactions use subordinated security structures as a form of credit
enhancement. At December 31, 2014 and 2013, the UPB of single-family Other Guarantee Transactions with subordination
coverage at origination was $2.4 billion and $2.6 billion, respectively, and the subordination coverage on these securities was
$339 million and $399 million, respectively. At December 31, 2014 and 2013, the serious delinquency rate on single-family
Other Guarantee Transactions with subordination coverage was 17.1% and 19.0%, respectively.
See “NOTE 4: MORTGAGE LOANS AND LOAN LOSS RESERVES” for additional information about credit protection
and other forms of credit enhancements covering loans in our single-family credit guarantee portfolio. See “CONSOLIDATED
BALANCE SHEETS ANALYSIS — Investments in Securities — Mortgage-Related Securities” for credit enhancement and
other information about our investments in non-Freddie Mac mortgage-related securities.
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