Freddie Mac 2015 Annual Report Download - page 127

Management's Discussion and Analysis Risk Management | MRS Credit Risk
Freddie Mac 2015 Form 10-K 125
The following table presents certain credit-related statistics concerning our available-for-sale, non-agency
mortgage-related securities backed by subprime, option ARM, and Alt-A loans.
As of
(in millions) 12/31/2015 9/30/2015 6/30/2015 3/31/2015 12/31/2014
UPB:
Subprime $ 17,295 $ 18,539 $ 20,987 $ 23,790 $ 27,682
Option ARM 5,309 5,604 6,938 7,704 8,287
Alt-A 2,696 3,066 3,622 4,318 4,549
Gross unrealized losses, pre-tax:
Subprime $ 350 $ 394 $388 $497 $610
Option ARM 62 74 85 164 183
Alt-A 13 22 22 30 32
Present value of expected future credit
losses:
Subprime $ 2,712 $ 2,717 $3,196 $2,894 $4,262
Option ARM 676 731 885 745 987
Alt-A 188 219 262 290 457
Principal repayments:
Subprime $ 580 $ 602 $631 $649 $770
Option-ARM 153 191 156 149 154
Alt-A 187 232 213 198 199
Principal cash shortfalls:
Subprime $ 4 $ 4 $ 37 $ 18 $ 2
Option ARM 9 23 42 50 52
Alt-A 13 20 22 (1) 21
Collateral delinquency rate:
Subprime 27% 28% 29% 31% 32%
Option ARM 23 23 24 26 27
Alt-A 18 18 19 20 20
Average credit enhancement:
Subprime 6% 7% 8% 9% 9%
Option ARM (1) (1) (1) — —
Alt-A 1 1 1 2 2
Cumulative collateral loss:
Subprime 34% 33% 33% 33% 32%
Option ARM 26 26 25 25 25
Alt-A 16 15 16 15 15
The UPB of our investments in non-agency mortgage-related securities shown above includes many
securities that were subject to litigation settlements in recent years. The UPB amounts were not affected
by the amounts we received in the settlements. See Note 13 for information on recent settlements.
Since the beginning of 2007, we experienced actual principal cash shortfalls of $4.4 billion on impaired
available-for-sale non-agency mortgage-related securities. Most of these shortfalls occurred on securities
backed by subprime, option ARM, and Alt-A loans.