Freddie Mac 2015 Annual Report Download - page 270

Financial Statements Notes to the Consolidated Financial Statements | Note 9
Freddie Mac 2015 Form 10-K 268
approximately $61 million. A significant majority of our net uncollateralized exposure to OTC derivative
counterparties is concentrated among three counterparties, all of which were rated "A-" or higher as of
December 31, 2015.
Exposure to Certain Counterparties
Beginning with contracts executed or modified on or after June 10, 2013, the types of interest-rate swaps
that we use most frequently became subject to the central clearing requirement. We net our exposure to
cleared derivatives by clearinghouse and clearing member. Exchange-traded derivatives are settled on a
daily basis through the payment of variation margin. For information about margin we have posted in
connection with cleared and exchange-traded derivatives, see “- Collateral Pledged.”
The total exposure on our forward purchase and sale commitments, which are treated as derivatives,
was $34 million and $40 million at December 31, 2015 and 2014, respectively. Many of our transactions
involving forward purchase and sale commitments of mortgage-related securities, including our dollar roll
transactions, utilize the Mortgage Backed Securities Division of the Fixed Income Clearing Corporation
(“MBSD/FICC”) as a clearinghouse. As a clearing member of the clearinghouse, we post margin to the
MBSD/FICC and are exposed to the institutional credit risk of the organization (including its clearing
members).
SECURITIES PURCHASED UNDER AGREEMENTS TO RESELL
As an investor, we enter into arrangements to purchase securities under agreements to subsequently
resell the identical or substantially the same security to our counterparty. While such transactions involve
the legal transfer of securities, they are accounted for as secured financings because the transferor does
not relinquish effective control over the securities transferred.