Freddie Mac 2015 Annual Report Download - page 51

Management's Discussion and Analysis Our Business Segments | Single-Family Guarantee
Freddie Mac 2015 Form 10-K 49
Credit Risk Transfer Activity
Since 2013, STACR debt note and ACIS transactions have been our principal method of transferring a
portion of the mortgage credit risk subsequent to loan acquisition in our Core single-family book. The
following charts present transactions that occurred in 2015 and the cumulative amount of transactions at
December 31, 2015.
New STACR Debt Note and ACIS
Transactions for the Year Ended December
31, 2015(1)
(In billions)
Senior
Freddie Mac
$169.4
Reference
Pool(2)
$179.2
Mezzanine
Freddie
Mac
$0.4
ACIS
$1.7
STACR Debt
Notes
$5.6
First
Loss
Freddie Mac
$1.0
ACIS
$0.4
STACR
Debt
Notes
$0.7
(1) The amounts represent the UPB upon issuance of
STACR debt notes and execution of ACIS transactions.
(2) Excludes additional STACR debt note and ACIS
transactions of $0.4 billion and $0.7 billion, respectively,
related to reference pools in transactions executed in
prior periods.
Cumulative STACR Debt Note and ACIS
Transactions as of December 31, 2015(1)
(In billions)
Senior
Freddie Mac
$365.5
Reference
Pool
$384.6
Mezzanine
Freddie
Mac
$0.9
ACIS
$3.2
STACR Debt
Notes
$12.0
First
Loss
Freddie Mac
$1.9
ACIS
$0.4
STACR
Debt
Notes
$0.7
(1) The amounts represent the UPB upon issuance of
STACR debt notes and execution of ACIS transactions.
Commentary
• We continued to transfer a portion of credit losses to third-party investors, insurers, and selected
sellers through credit risk transfer transactions. In 2015, we transferred a portion of the credit risk
associated with $181.2 billion in UPB of loans in our Core single-family book using four types of credit
risk transfer transactions. Significant developments in 2015 include completion of the following credit
risk transfer transactions:
STACR debt notes and ACIS transactions that transferred some of the credit risk related to
the first loss positions. Prior to 2015, we retained all of the first loss positions of these
transactions;
STACR debt notes and ACIS transactions that allocated credit losses based on actual losses
rather than calculated losses. Five of our eight STACR debt notes transactions completed in
2015 followed this new approach as did seven of our ten ACIS transactions;