Freddie Mac 2015 Annual Report Download - page 401

Glossary
Freddie Mac 2015 Form 10-K 399
OAS - Option-adjusted spread - An estimate of the incremental yield spread between a particular financial
instrument (e.g., a security, loan or derivative contract) and a benchmark yield curve (e.g., LIBOR or
agency or U.S. Treasury securities). This includes consideration of potential variability in the instrument’s
cash flows resulting from any options embedded in the instrument, such as prepayment options. When
the OAS on a given asset widens, the fair value of that asset will typically decline, all other market factors
being equal. The opposite is true when the OAS on a given asset tightens.
Option ARM loan - Loans that permit a variety of repayment options, including minimum, interest-only,
fully amortizing 30-year and fully amortizing 15-year payments. The minimum payment alternative for
option ARM loans allows the borrower to make monthly payments that may be less than the interest
accrued for the period. The unpaid interest is added to the principal balance of the loan, known as
negative amortization. For our non-agency mortgage-related securities that are backed by option ARM
loans, we categorize securities as option ARM if the securities were identified as such based on
information provided to us when we entered into these transactions. We have not identified option ARM
securities as either subprime or Alt-A securities.
Original LTV Ratio - A credit measure for loans, calculated as the UPB of the loan divided by the lesser
of the appraised value of the property at the time of loan origination or the borrower’s purchase price.
Second liens not owned or guaranteed by us are excluded from the LTV ratio calculation. The existence
of a second-lien loan reduces the borrower’s equity in the home and, therefore, can increase the risk of
default and the amount of the gross loss if a default occurs.
OTC - Over-the-counter
OTCQB - A marketplace, operated by the OTC Markets Group Inc., for OTC-traded U.S. companies that
are registered and current in their reporting with the SEC or a U.S. banking or insurance regulator.
PCs - Participation Certificates - Single-class pass-through securities that we issue and guarantee as part
of a securitization transaction. Typically we purchase loans from sellers, place a pool of loans into a PC
trust and issue PCs from that trust. The PCs are generally transferred to the seller of the loans in
consideration of the loans or are sold to third-party investors or retained by us if we purchased the loans
for cash.
Pension plan - Employees’ Pension Plan
Performing loan - A loan where the borrower is less than three monthly payments past due, and not in
the process of foreclosure. Conversely, a non-performing loan is one where the borrower is three months
or more past due or is in the process of foreclosure. A reperforming loan is a loan that was previously
classified as non-performing, but the borrower subsequently made payments such that the loan returns to
less than three months past due.
PMVS - Portfolio Market Value Sensitivity - One of our primary interest-rate risk measures. PMVS
measures are estimates of the amount of average potential pre-tax loss in the market value of our net
assets due to parallel (PMVS-L) and non-parallel (PMVS-YC) changes in LIBOR.
Primary mortgage market - The market where lenders originate loans by lending funds to borrowers.
We do not lend money directly to homeowners and do not participate in this market.
Purchase Agreement / Senior Preferred Stock Purchase Agreement - An agreement the Conservator,
acting on our behalf, entered into with Treasury on September 7, 2008, relating to Treasury's purchase of