Freddie Mac 2014 Annual Report Download - page 175

170 Freddie Mac
Table 4.4 — Net Investment in Mortgage Loans
December 31, 2014 December 31, 2013
Single-family Multifamily Total Single-family Multifamily Total
(in millions)
Recorded investment:
Collectively evaluated $ 1,568,237 $ 40,451 $ 1,608,688 $ 1,551,667 $ 49,598 $ 1,601,265
Individually evaluated 100,383 902 101,285 98,140 1,276 99,416
Total recorded investment 1,668,620 41,353 1,709,973 1,649,807 50,874 1,700,681
Ending balance of the allowance for loan losses:
Collectively evaluated (3,847) (25) (3,872) (5,939) (45) (5,984)
Individually evaluated (17,837) (52) (17,889) (18,554) (80) (18,634)
Total ending balance of the allowance (21,684) (77) (21,761) (24,493) (125) (24,618)
Net investment in mortgage loans $ 1,646,936 $ 41,276 $ 1,688,212 $ 1,625,314 $ 50,749 $ 1,676,063
A significant number of unsecuritized single-family mortgage loans on our consolidated balance sheets are individually
evaluated for impairment while 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 12.7% and 12.9% of the recorded investment in such loans at
December 31, 2014 and 2013, respectively, and a substantial portion of the allowance associated with these loans represented
interest rate concessions provided to borrowers as part of loan modifications. The ending balance of the allowance for loan
losses associated with mortgage loans held by our consolidated trusts represented approximately 0.2% of the recorded
investment in such loans as of both December 31, 2014 and 2013.
Credit Protection and Other Forms of Credit Enhancement
In connection with many of our mortgage loans and other mortgage-related guarantees, we have credit protection in the
form of primary mortgage insurance, pool insurance, recourse to lenders, credit risk transfer transactions, 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)
UPB at Maximum Coverage(2) at
December 31, 2014 December 31, 2013 December 31, 2014 December 31, 2013
(in millions)
Single-family:
Primary mortgage insurance $ 227,495 $ 203,470 $ 57,938 $ 50,823
Other credit protection:
Credit risk transfer transactions(3) 144,272 56,903 6,657 1,183
Lender recourse and indemnifications 6,527 7,119 6,092 6,726
Pool insurance(4) 2,284 4,683 947 1,186
HFA indemnification 3,357 4,051 3,324 3,323
Subordination(5) 2,377 2,644 339 399
Other credit enhancements 20 38 18 38
Total $ 386,332 $ 278,908 $ 75,315 $ 63,678
Multifamily:
K Certificates $ 75,541 $ 59,326 $ 13,576 $ 10,601
Subordination(5) 4,724 4,435 796 756
HFA indemnification 772 905 699 699
Other credit enhancements 5,706 6,666 1,685 1,834
Total $ 86,743 $ 71,332 $ 16,756 $ 13,890
(1) Except for our credit risk transfer transactions, our credit enhancements generally provide protection for the first, or initial credit losses associated with
the related loans. Excludes: (a) FHA/VA and other governmental loans; (b) purchased credit protection associated with $9.8 billion and $11.5 billion in
UPB of single-family loans underlying Other Guarantee Transactions as of December 31, 2014 and 2013, respectively; and (c) repurchase rights
(subject to certain conditions and limitations) we have under representations and warranties provided by our agreements with seller/servicers to
underwrite loans and service them in accordance with our standards.
(2) Except for subordination and K Certificates, this represents the remaining amount of loss recovery that is available subject to terms of counterparty
agreements. For subordination and K Certificates coverage, this represents the UPB of the securities that are subordinate to our guarantee, which could
provide protection by absorbing first losses.
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