Freddie Mac 2015 Annual Report Download - page 96

Management's Discussion and Analysis Risk Management | SF Credit Risk
Freddie Mac 2015 Form 10-K 94
previously guaranteed. As a result, we are not required to repay principal to the extent that the
notional credit risk position is reduced as a result of a specified credit event.
• ACIS insurance policies - Provide credit protection on a portion of the non-issued notional credit risk
positions we retain in a STACR debt note transaction. We receive compensation from the insurance
policy up to an aggregate limit when specified credit events occur.
• Whole loan security - We issue guaranteed senior securities and unguaranteed subordinated
securities backed by certain single-family loans that we purchased previously. The unguaranteed
subordinated securities will absorb first losses on the related loans. We retain a portion of the
subordinated securities.
See "Our Business Segments - Single-Family Guarantee" for additional information on these credit risk
transfer transactions.
The table below provides information on the credit-enhanced loans in our single-family credit guarantee
portfolio. "Other" credit-enhanced loans include loans covered by our credit risk transfer transactions. The
credit enhanced categories are not mutually exclusive as a single loan may be covered by both primary
mortgage insurance and other credit protection.
As of December 31,
2015 2014 2013
(Percentage of portfolio based on
UPB) % of Portfolio
Serious
Delinquency
Rate % of Portfolio
Serious
Delinquency
Rate % of Portfolio
Serious
Delinquency
Rate
Non-credit-enhanced 70% 1.30% 77% 1.74% 83% 2.09%
Credit-enhanced:
Primary mortgage insurance 15% 2.06% 14% 3.10% 12% 4.40%
Other 20% 0.58% 12% 1.21% 5% 3.66%
Total N/A 1.32% N/A 1.88% N/A 2.39%