Freddie Mac 2015 Annual Report Download - page 301

Financial Statements Notes to the Consolidated Financial Statements | Note 13
Freddie Mac 2015 Form 10-K 299
$83.8 billion and $71.4 billion, respectively, of cash and securities purchased under agreements to resell
invested with institutional counterparties, Treasury securities classified as cash equivalents, or cash
deposited with the Federal Reserve Bank of New York. As of December 31, 2015 these included:
• $42.7 billion of securities purchased under agreements to resell with 13 counterparties that had short-
term S&P ratings of A-1 or above;
• $9.7 billion of securities purchased under agreements to resell with four counterparties that had
short-term S&P ratings of A-2;
• $11.1 billion of securities purchased under agreements to resell with three counterparties that do not
have short-term S&P or other third-party credit ratings, but were evaluated under the company's
counterparty credit risk system and were determined to be eligible for these transactions (by providing
more than 100% in approved collateral);
• $0.4 billion of cash equivalents invested in Treasury securities; and
• $19.7 billion of cash deposited with the Federal Reserve Bank of New York (as a non-interest bearing
deposit).
NON-AGENCY MORTGAGE-RELATED SECURITY ISSUERS
We are engaged in various loss mitigation efforts concerning certain investments in non-agency
mortgage-related securities.
In 2011, FHFA, as Conservator for Freddie Mac and Fannie Mae, filed lawsuits against a number of
corporate families of financial institutions and related defendants alleging securities laws violations and, in
some cases, fraud. In March 2015, FHFA’s case against Nomura Holding America, Inc. (or Nomura) went
to trial in the U.S. District Court for the Southern District of New York. The trial was completed in April
2015. In May 2015, the judge ruled against Nomura and co-defendant RBS Securities Inc. and ordered
the defendants to pay an aggregate of $806 million, of which $779 million will be paid to Freddie Mac. The
order also provides for Freddie Mac to transfer the mortgage-related securities at issue in this trial to the
defendants. The defendants have agreed to pay for certain costs, legal fees and expenses if FHFA
prevails in the litigation. This expense reimbursement payment is subject to various conditions, and is
capped at $33 million (half of any such payment would be made to Freddie Mac). The defendants have
filed a notice of appeal and the Court has stayed enforcement of the judgment during the pendency of the
appeal.
We have been working with an investor consortium that seeks to enforce certain claims relating to certain
Countrywide non-agency mortgage-related securities. In June 2011, Bank of America Corporation, BAC
Home Loans Servicing, LP, Countrywide Financial Corporation and Countrywide Home Loans, Inc.
entered into a settlement agreement with The Bank of New York Mellon, as trustee, to resolve certain
claims with respect to a number of Countrywide mortgage securitization trusts. In January 2014, a New
York state court approved a significant portion of the settlement. In March 2015, a New York intermediate
appellate court upheld the settlement in full. The conditions to the settlement have been satisfied. On
February 5, 2016, the trustee filed a petition in New York state court seeking the court's resolution of a
dispute among the investors over the proper allocation of the settlement proceeds through certain trusts
covered by the agreement. As a result of this action, it is uncertain when the trustee will distribute the
settlement funds to the trusts.