Freddie Mac 2015 Annual Report Download - page 248

Financial Statements Notes to the Consolidated Financial Statements | Note 4
Freddie Mac 2015 Form 10-K 246
(1) Except for the majority of our single-family credit risk transfer transactions, our credit enhancements generally provide
protection for the first, or initial, credit losses associated with the related loans. Excludes: (a) FHA/VA and other governmental
loans; (b) purchased credit protection associated with $8.3 billion and $9.8 billion in UPB of single-family loans underlying
other securitization products as of December 31, 2015 and 2014, respectively; and (c) repurchase rights (subject to certain
conditions and limitations) we have under representations and warranties provided by our agreements with seller/servicers to
underwrite loans and service them in accordance with our standards. The UPB of single-family loans covered by insurance
or partial guarantees issued by federal agencies (such as FHA, VA and USDA) was $3.2 billion and $3.6 billion as of
December 31, 2015, and December 31, 2014, respectively.
(2) Except for subordination, this represents the remaining amount of loss recovery that is available subject to terms of
counterparty agreements. For subordination, this represents the UPB of the securities that are subordinate to our guarantee,
which could provide protection by absorbing first losses.
(3) Excludes $87.4 billion and $48.3 billion in UPB at December 31, 2015 and 2014, respectively, where the related loans are
also covered by primary mortgage insurance. Maximum coverage amounts presented represent the outstanding balance of
STACR debt notes held by third parties as well as the remaining aggregate limit of insurance purchased from third parties in
ACIS transactions.
(4) Excludes approximately $0.6 billion and $0.9 billion in UPB at December 31, 2015 and 2014, respectively, where the related
loans are also covered by primary mortgage insurance.
Primary mortgage insurance and credit risk transfers are the most prevalent types of credit enhancement
protecting our single-family credit guarantee portfolio. Pool insurance contracts provide insurance on a
group of mortgage loans up to a stated aggregate loss limit. We have not purchased pool insurance on
single-family mortgage loans since March 2008. For information about counterparty risk associated with
mortgage insurers, see Note 13.
Our credit risk transfer transactions provide credit enhancement by transferring a portion of credit losses
on single-family mortgage loans to third-party investors and insurers. The value of these transactions to
us is dependent on various economic scenarios, and we will primarily benefit from these transactions if
we experience significant mortgage loan defaults.
NON-CASH INVESTING AND FINANCING ACTIVITIES
During the years ended December 31, 2015, 2014, and 2013, we acquired $237.5 billion, $187.1 billion,
and $340.9 billion, respectively, of loans held-for-investment in exchange for the issuance of debt
securities of consolidated trusts in guarantor swap transactions. These guarantor swap transactions in
2015 included approximately $11.6 billion of loans received from sellers to satisfy advances that were
recorded in other assets on our consolidated balance sheets.