Freddie Mac 2009 Annual Report Download - page 172

Table 67 presents the delinquency rates of our single-family mortgages on our consolidated balance sheets and those
that underlie our PCs and Structured Securities, categorized by product type.
Table 67 — Single-Family — Delinquency Rates — By Product
Percent of
Number of
Single-Family
Loans
Delinquency
Rate
Percent of
Number of
Single-Family
Loans
Delinquency
Rate
Percent of
Number of
Single-Family
Loans
Delinquency
Rate
2009 2008 2007
Non-Credit-Enhanced, December 31,
Conventional:
30-year amortizing fixed-rate
(1)
............... 65% 2.96% 61% 1.14% 60% 0.46%
15-year amortizing fixed-rate. . ............... 26 0.71 27 0.33 29 0.18
ARMs/adjustable-rate . ..................... 3 4.54 4 1.87 4 0.36
Interest-only . . . ......................... 4 16.66 5 6.90 5 1.85
Balloon/resets . . ......................... G1 3.63 1 1.04 1 0.33
Total mortgage loans, PCs and Structured Securities . . . . 98 3.00 98 1.26 99 0.45
Structured Transactions . . . ..................... 2 3.96 2 2.21 1 1.88
Total single-family mortgage portfolio .............. 100% 3.02 100% 1.27 100% 0.45
Number of single-family loans (in millions) . . ........ 10.39 10.32 10.10
Percent of
Number of
Single-Family
Loans
Delinquency
Rate
Percent of
Number of
Single-Family
Loans
Delinquency
Rate
Percent of
Number of
Single-Family
Loans
Delinquency
Rate
2009 2008 2007
Credit-Enhanced
(2)
, December 31,
Conventional:
30-year amortizing fixed-rate
(1)
............... 82% 7.96% 82% 3.51% 80% 1.60%
15-year amortizing fixed-rate. . ............... 5 2.19 5 1.07 5 0.63
ARMs/adjustable-rate . ..................... 3 9.54 4 4.97 4 1.14
Interest-only . . . ......................... 4 22.93 4 11.53 4 3.11
Balloon/resets . . ......................... G1 10.04 G1 3.35 G1 1.55
FHA/VA . . . . . . . ......................... 2 3.25 1 4.17 2 2.96
USDA Rural Development and other federally
guaranteed loans ......................... 1 4.23 1 4.39 1 2.85
Total mortgage loans, PCs and Structured Securities . . . . 97 8.17 97 3.79 96 1.62
Structured Transactions
(3)
...................... 3 24.10 3 18.32 4 13.79
Total single-family mortgage portfolio .............. 100% 8.68 100% 4.27 100% 2.14
Number of single-family loans (in millions) . . ........ 2.14 2.34 2.23
Percent of
Number of
Single-Family
Loans
Delinquency
Rate
Percent of
Number of
Single-Family
Loans
Delinquency
Rate
Percent of
Number of
Single-Family
Loans
Delinquency
Rate
2009 2008 2007
Total, December 31,
Conventional:
30-year amortizing fixed-rate
(1)
............... 68% 4.00% 66% 1.69% 64% 0.72%
15-year amortizing fixed-rate. . ............... 23 0.76 23 0.36 25 0.20
ARMs/adjustable-rate . ..................... 3 5.40 4 2.40 4 0.50
Interest-only . . . ......................... 4 17.60 5 7.59 5 2.03
Balloon/resets . . ......................... G1 4.10 G1 1.20 1 0.41
FHA/VA . . . . . . . ......................... G1 3.25 G1 4.17 G1 2.96
USDA Rural Development and other federally
guaranteed loans ......................... G1 4.23 G1 4.39 G1 2.85
Total mortgage loans, PCs and Structured Securities . . . . 98 3.87 98 1.72 99 0.65
Structured Transactions
(3)(4)
..................... 2 9.44 2 7.23 1 9.86
Total single-family mortgage portfolio .............. 100% 3.98 100% 1.83 100% 0.76
Number of single-family loans (in millions) . . ........ 12.53 12.66 12.33
(1) Includes 40-year and 20-year fixed-rate mortgages.
(2) Credit-enhanced loans are primarily those mortgage loans for which a third party has primary default risk. The total credit-enhanced unpaid principal
balance as of December 31, 2009, 2008 and 2007 was $326 billion, $357 billion and $326 billion, respectively, for which the maximum coverage of
third party primary liability was $75 billion, $79 billion and $72 billion, respectively.
(3) Structured Transactions generally have underlying mortgage loans with a variety of risk characteristics. Structured Transactions with credit enhancement
represent those using collateral securities that benefit from senior/subordinated structures as well as other forms of credit enhancements, which represent
the amount of protection against financial loss. Credit enhancement data is based on information from third-party financial data providers.
(4) Includes $10 billion, $11 billion and $13 billion of option ARM loans that are underlying our Structured Transactions as of December 31, 2009, 2008
and 2007, respectively.
169 Freddie Mac