Freddie Mac 2015 Annual Report Download - page 97

Management's Discussion and Analysis Risk Management | SF Credit Risk
Freddie Mac 2015 Form 10-K 95
The table below provides information on the credit enhanced loans in our single-family credit guarantee
portfolio by book as of December 31, 2015 and 2014. The table includes all types of single-family credit
enhancements.
As of December 31, 2015
(dollars in millions) Total Current UPB
Total
Protected
UPB Coverage Remaining
Collateralized
Coverage
Remaining (1)
Percentage of
Coverage
Remaining
Provided By
Credit Risk
Transfer
Transactions(2)
Core single-family book $ 1,128,732 $ 441,426 $69,217 $13,015 23%
HARP and other relief refinance book 302,564 33,900 9,272 ——%
Legacy single-family book 270,591 36,867 11,281 ——%
Total $ 1,701,887 $ 512,193 $89,770 $13,015 18%
As of December 31, 2014
(dollars in millions) Total Current UPB
Total
Protected
UPB Coverage Remaining
Collateralized
Coverage
Remaining (1)
Percentage of
Coverage
Remaining
Provided By
Credit Risk
Transfer
Transactions(2)
Core single-family book $ 994,454 $ 300,379 $50,350 $6,011 13%
HARP and other relief refinance book 331,059 37,804 10,339 ——%
Legacy single-family book 339,609 48,149 14,626 ——%
Total $ 1,665,122 $ 386,332 $75,315 $6,011 8%
(1) Collateralized coverage includes cash received by Freddie Mac upon issuance of STACR debt notes and unguaranteed
whole loan securities, as well as cash and securities pledged for our benefit. All collateralized coverage relates to credit risk
transfer transactions in the Core single-family book.
(2) Credit risk transfer transactions include STACR debt notes, ACIS insurance policies, seller indemnification agreements, and
whole loan securities. The substantial majority of single-family loans covered by these transactions were acquired after
2012.
The table below provides information on estimated recoveries we could receive from our most significant
credit risk transfer transactions (i.e., STACR debt notes and ACIS insurance policies) under various home
price scenarios. The timing of our recognition of the recoveries in our statements of comprehensive
income will depend on the type of credit risk transfer transaction and whether we are reimbursed based
on calculated losses or actual losses, which may result in timing differences between the recognition of
recoveries and the related credit event.
In estimating the recoveries from our STACR debt note and ACIS transactions, we performed a sensitivity
analysis under three scenarios, based on our actual loss and prepayment experience related to loans that
were originated during periods that experienced above average home price appreciation (47%), moderate
home price appreciation (7%), and severe home price depreciation (-24%), over a four-year period. For
this analysis, we grouped loans using LTV ratios and FICO scores and applied historical losses and
prepayments experienced by these groups to similar groups within the reference pools related to our
STACR debt note and ACIS transactions. Our recoveries were estimated based on loan losses, net of
mortgage insurance claim amounts. These are estimated projections prepared for illustrative purposes
only. Our actual losses under the chosen scenarios could differ materially from these estimates. In