Freddie Mac 2015 Annual Report Download - page 273

Financial Statements Notes to the Consolidated Financial Statements | Note 9
Freddie Mac 2015 Form 10-K 271
in our credit ratings could also cause the clearinghouses or clearing members we use for our cleared and
exchange-traded derivatives to demand additional collateral.
We also execute forward purchase and sale commitments of mortgage-related securities, including dollar
roll transactions that are treated as derivatives for accounting purposes and utilize the Mortgage Backed
Securities Division of the Fixed Income Clearing Corporation (“MBSD/FICC”) as a clearinghouse. As a
clearing member of the clearinghouse, we post margin to the MBSD/FICC and are exposed to the
institutional credit risk of the organization (including its clearing members). In the event a clearing member
fails and causes losses to the MBSD/FICC clearing system, we could be subject to the loss of any or the
entire margin that we have posted to the MBSD/FICC. Moreover, our exposure could exceed that amount,
as members are generally required to cover losses caused by defaulting members on a pro rata basis. It
is difficult to estimate our maximum exposure under these transactions, as this would require an
assessment of transactions that we and other members of the MBSD/FICC may execute in the future.
The table below summarizes all securities pledged as collateral by us for derivatives and securities
transactions where the secured party may repledge.
(in millions) December 31, 2015 December 31, 2014
Securities pledged with the ability for the secured party to repledge:
Debt securities of consolidated trusts held by third parties(1) $1,293 $2,539
Available-for-sale securities — 9
Trading securities 2,487 1,884
Total securities pledged $ 3,780 $4,432
(1) Represents PCs held by us in our Investments segment mortgage investments portfolio and pledged as collateral which are
recorded as a reduction to debt securities of consolidated trusts held by third parties on our consolidated balance sheets.
Cash Pledged
At December 31, 2015, we pledged $4.0 billion of collateral in the form of cash and cash equivalents, of
which $0.9 billion related to our OTC derivative agreements as we had $1.9 billion of such derivatives in a
net loss position. The remaining $3.1 billion was posted at clearing members or clearinghouses in
connection with derivatives and securities transactions at December 31, 2015.
At December 31, 2014, we pledged $5.4 billion of collateral in the form of cash and cash equivalents, of
which $1.2 billion related to our OTC derivative agreements as we had $3.0 billion of such derivatives in a
net loss position. The remaining $4.2 billion was posted at clearing members or clearinghouses in
connection with derivatives and securities transactions at December 31, 2014.