Company: FMCCN
Filing Date: 2025-05-01
Form Type: 10-Q
Source: 0001026214-25-000060
Chunk: 23

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-05-01
Form: 10-Q
Item: Item 15
Chunk 23
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10-Q26

Management's Discussion and AnalysisRisk Management

Multifamily Mortgage Portfolio CRT Issuance

While we continue to obtain credit enhancement through subordination, we have increased our use of MSCR and MCIP transactions as a result of larger volumes of fully-guaranteed securitizations. Through MSCR and MCIP transactions, we generally retain first loss exposure, while transferring a portion of the credit risk on our mortgage portfolio. 

The table below provides the UPB of the multifamily mortgage loans covered by CRT transactions issued during the periods presented as well as the maximum coverage provided by those transactions. 

Table 22 - Multifamily Mortgage Portfolio CRT Issuance1Q 20251Q 2024(In millions)UPB(1)Maximum Coverage(2)(3)UPB(1)Maximum Coverage(2)(3)Subordination$6,604 $384 $6,598 $399 MSCR11,574 279 — — MCIP11,574 215 — — Lender risk-sharing147 8 — — Less: UPB with more than one type of CRT(11,574)— — — Total CRT issuance$18,325 $886 $6,598 $399 

(1)     Represents the UPB of the assets included in the associated reference pool or securitization trust, as applicable.

(2)     For subordination, represents the UPB of the securities that are held by third parties at issuance and are subordinate to the securities we guarantee. For MSCR transactions, represents the UPB of securities held by third parties at issuance. For MCIP transactions, represents the aggregate limit of insurance purchased from third parties at issuance. For lender risk-sharing, represents the maximum amount of loss recovery that is available subject to the terms of counterparty agreements at issuance.

(3)     The credit risk positions to which the maximum coverage applies may vary on a transaction-by-transaction basis. 

Multifamily Mortgage Portfolio Credit Enhancement Coverage Outstanding

While we have obtained various forms of credit protection in connection with the acquisition, guarantee, and/or securitization of a loan or group of loans, our principal credit enhancement type has been subordination, which is created through our senior subordinate securitization transactions. Our maximum coverage provided by subordination in nonconsolidated VIEs was $36.3 billion and $37.4 billion, as of March 31,