Freddie Mac 2012 Annual Report Download - page 382

Single-family credit guarantee portfolio — Consists of unsecuritized single-family loans, single-family loans held by
consolidated trusts, and single-family loans underlying non-consolidated Other Guarantee Transactions and covered by other
guarantee commitments. Excludes our REMICs and Other Structured Securities that are backed by Ginnie Mae Certificates
and our guarantees under the HFA initiative.
Single-family mortgage — A mortgage loan secured by a property containing four or fewer residential dwelling units.
Spread — The difference between the yields of two debt securities, or the difference between the yield of a debt security and
a benchmark yield, such as LIBOR.
Strips — Mortgage pass-through securities created by separating the principal and interest payments on a pool of mortgage
loans. A principal-only strip entitles the security holder to principal cash flows, but no interest cash flows, from the
underlying mortgages. An interest-only strip entitles the security holder to interest cash flows, but no principal cash flows,
from the underlying mortgages.
Subprime — Participants in the mortgage market may characterize single-family loans based upon their overall credit
quality at the time of origination, generally considering them to be prime or subprime. Subprime generally refers to the credit
risk classification of a loan. There is no universally accepted definition of subprime. The subprime segment of the mortgage
market primarily serves borrowers with poorer credit payment histories and such loans typically have a mix of credit
characteristics that indicate a higher likelihood of default and higher loss severities than prime loans. Such characteristics
might include, among other factors, a combination of high LTV ratios, low credit scores or originations using lower
underwriting standards, such as limited or no documentation of a borrower’s income. While we have not historically
characterized the loans in our single-family credit guarantee portfolio as either prime or subprime, we do monitor the amount
of loans we have guaranteed with characteristics that indicate a higher degree of credit risk. Notwithstanding our historical
characterizations of the single family credit guarantee portfolio, certain security collateral underlying our Other Guarantee
Transactions has been identified as subprime based on information provided to Freddie Mac when the transactions were
entered into. We also categorize our investments in non-agency mortgage-related securities as subprime if they were
identified as such based on information provided to us when we entered into these transactions.
SVP — Senior Vice President
Swaption — An option contract to enter into an interest-rate swap. In exchange for an option premium, a buyer obtains the
right but not the obligation to enter into a specified swap agreement with the issuer on a specified future date.
TBA — To be announced
TCLFP — Temporary Credit and Liquidity Facility Program is a component of the HFA initiative in which we and Fannie
Mae issued credit and liquidity guarantees to holders of variable-rate demand obligations issued by various state and local
HFAs. Treasury is obligated to absorb any losses under the program up to a certain level before we are exposed to any losses.
The program was scheduled to expire on December 31, 2012. However, Treasury gave participants the option to extend their
individual TCLFP facilities to December 31, 2015. Certain participants elected to extend their TCLFP facilities to December
2015.
TDC — Total direct compensation
TDR — Troubled debt restructuring — A type of loan modification in which the changes to the contractual terms result in
concessions to borrowers that are experiencing financial difficulties. Beginning in the third quarter of 2012, TDRs also
include single-family loans discharged in Chapter 7 bankruptcy, regardless of the borrowers’ payment status.
Thrift/401(k) SERP Benefit — The component of the SERP that relates to the Thrift/401(k) Savings Plan.
TO — Target Incentive Opportunity, or Target Opportunity
Total comprehensive income (loss) — Consists of net income (loss) plus total other comprehensive income (loss).
Total other comprehensive income (loss) — Consists of the after-tax changes in: (a) the unrealized gains and losses on
available-for-sale securities; (b) the effective portion of derivatives accounted for as cash flow hedge relationships; and
(c) defined benefit plans.
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