Freddie Mac 2005 Annual Report Download - page 107

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Description Status
4. Credit Risk Disclosures:
‚ We will make quarterly assessments of the impact on ‚ Our quarterly credit risk sensitivity estimates are as
expected credit losses from an immediate 5 percent follows:
decline in single-family home prices for the entire
U.S. We will disclose the impact in present value
terms and measure our losses both before and after
receipt of private mortgage insurance claims and
other credit enhancements.
(1) Assumes that none of the credit enhancements currently covering our mortgage loans
has any mitigating impact on our credit losses.
(2) Assumes we collect amounts due from credit enhancement providers after giving eÅect
to certain assumptions about counterparty default rates.
(3) Based on single-family Total mortgage portfolio, excluding Structured Securities
backed by Ginnie Mae CertiÑcates.
(4) Calculated as the ratio of net present value of increase in credit losses to the single-
family Total mortgage portfolio, deÑned above.
(5) Beginning with period ended March 31, 2005, results included in this table are based
on the model enhancements implemented on January 1, 2005. Results from March 31,
2005 using the previous model were $756 million or 6.2 bps before receipt of credit
enhancements and $447 million or 3.6 bps after receipt of credit enhancements.
5. Public Disclosure of Risk Rating:
‚ We will seek to obtain a rating, that will be ‚ At June 1, 2006, our ""risk-to-the-government'' rating
continuously monitored by at least one nationally from Standard & Poor's, or S&P, was ""AA¿'' and
recognized statistical rating organization, assessing Moody's Bank Financial Strength Rating for us was
""risk-to-the-government'' or independent Ñnancial ""A¿''.
strength.
Before Receipt After Receipt
of Credit of Credit
Enhancements(1) Enhancements(2)
Net Present NPV Net Present NPV
Value, or NPV(3) Ratio(4) Value, or NPV(3) Ratio(4)
(dollars in (dollars in
millions) millions)
As of:
12/31/05 $873 6.5 bps $564 4.2 bps
09/30/05 844 6.6 516 4.0
06/30/05 787 6.3 471 3.7
03/31/05(5) 814 6.6 505 4.1
12/31/04 794 6.5 463 3.8
91 Freddie Mac