Freddie Mac 2015 Annual Report Download - page 121
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Management's Discussion and Analysis Risk Management | MF Credit Risk
Freddie Mac 2015 Form 10-K 119
In addition, after the loans have been securitized and the vast majority of the expected credit losses has
been transferred to third-party investors, we monitor the performance of our K Certificates and other
similar types of transactions to assess our potential exposure to losses. Due to the subordination
protection associated with our K Certificates and most of our other securitization products, our primary
credit risk exposure in our multifamily mortgage portfolio results from our unsecuritized loans. By their
nature, loans awaiting securitization that we hold for sale remain on our balance sheet for a shorter period
of time than loans we hold for investment.
We report multifamily delinquency rates based on UPB of loans in our multifamily mortgage portfolio that
are two monthly payments or more past due or in the process of foreclosure, as reported by our servicers.
Loans that have been modified are not counted as delinquent as long as the borrower is less than two
monthly payments past due under the modified terms.