Freddie Mac 2015 Annual Report Download - page 272

Financial Statements Notes to the Consolidated Financial Statements | Note 9
Freddie Mac 2015 Form 10-K 270
(1) For derivatives, includes cash collateral posted or held in excess of exposure.
(2) Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability
presented on the consolidated balance sheets. For cleared and exchange-traded derivatives, does not include non-cash
collateral posted by us with an aggregate fair value of $2.8 billion and $2.3 billion as of December 31, 2015 and 2014,
respectively.
COLLATERAL PLEDGED
Collateral Pledged to Freddie Mac
Our counterparties are required to pledge collateral for transactions involving securities purchased under
agreements to resell. Also, most derivative instruments are subject to collateral posting thresholds as
prescribed by the collateral agreements with our counterparties. Under the derivative collateral
agreements, U.S. Treasury securities, Freddie Mac mortgage-related securities, and cash may be
pledged. We consider the types of securities being pledged to us as collateral when determining how
much we lend in transactions involving securities purchased under agreements to resell. Additionally, we
regularly review the market values of these securities compared to amounts loaned and derivative
counterparty collateral posting thresholds in an effort to manage our exposure to losses.
We had cash and cash equivalents pledged to us related to OTC derivative instruments of $1.5 billion and
$2.1 billion at December 31, 2015 and 2014, respectively. Certain of these amounts have been invested
in non-mortgage-related assets. At December 31, 2015 and 2014, we had $269 million and $453 million,
respectively, of collateral in the form of securities pledged to and held by us related to OTC derivative
instruments. Although it is our practice not to repledge assets held as collateral, a portion of the collateral
may be repledged based on master netting agreements related to our derivative instruments. In addition,
we had $22 million and $0 million of cash pledged to us related to cleared derivatives at December 31,
2015 and 2014, respectively.
Also, at December 31, 2015 and 2014, we had $0.7 billion and $0.0 billion, respectively, of securities
pledged to us for transactions involving securities purchased under agreements to resell that we had the
right to repledge. From time to time we may obtain pledges of collateral from certain seller/servicers as
additional security for certain of their obligations to us, including their obligations to repurchase loans sold
to us in breach of representations and warranties. This collateral may, at our discretion, take the form of
cash, cash equivalents, or agency securities.
Collateral Pledged by Freddie Mac
We are required to pledge collateral for margin requirements with third-party custodians in connection
with secured financings and derivative transactions with some counterparties. The amount of collateral
pledged related to our derivative instruments is determined after giving consideration to our credit rating.
The aggregate fair value of all OTC derivative instruments that were in a liability position on
December 31, 2015, was $1.9 billion for which we posted cash and non-cash collateral of $1.8 billion in
the normal course of business. A reduction in our credit ratings may trigger additional collateral
requirements related to our OTC derivative instruments. If a reduction in our credit ratings had triggered
additional collateral requirements related to our OTC derivative instruments on December 31, 2015, we
would have been required to post an additional $0.1 billion of collateral to our counterparties. A reduction