Freddie Mac 2009 Annual Report Download - page 174

Table 69 provides detail on non-performing loans and REO assets on our consolidated balance sheets and
nonperforming loans underlying our financial guarantees.
Table 69 — Non-Performing Assets
(1)
2009 2008 2007 2006 2005
December 31,
(dollars in millions)
Non-performing mortgage loans
(2)
— on balance sheet:
Single-family troubled debt restructurings:
Reperforming or less than 90 days delinquent . . . . . ....................... $ 2,208 $ 2,280 $ 2,690 $2,219 $ 2,108
90 days or more delinquent . . . ...................................... 1,416 838 609 470 497
Multifamily troubled debt restructurings
(3)
................................ 402 238 264 362 425
Total troubled debt restructurings ...................................... 4,026 3,356 3,563 3,051 3,030
Other single-family non-performing loans
(4)
............................... 11,166 4,915 5,300 2,952 2,889
Other multifamily non-performing loans . . ................................ 91 35 10 — 1
Total non-performing mortgage loans — on balance sheet . ................... 15,283 8,306 8,873 6,003 5,920
Non-performing mortgage loans — underlying financial guarantees:
(5)
Single-family loans
(6)
.............................................. 85,395 36,718 7,786 2,718 3,549
Multifamily loans ................................................. 218 63 51 82 52
Total non-performing mortgage loans — underlying financial guarantees .......... 85,613 36,781 7,837 2,800 3,601
Real estate owned, net ............................................. 4,692 3,255 1,736 743 629
Total non-performing assets ......................................... $105,588 $48,342 $18,446 $9,546 $10,150
Loan loss reserves as a percentages of our non-performing mortgage loans .......... 33.6% 34.6% 16.9% 7.0% 5.8%
Total non-performing assets as a percentage of the total mortgage portfolio, excluding
non-Freddie Mac securities . . . ...................................... 5.3% 2.5% 1.0% 0.6% 0.7%
(1) Non-performing assets consist of non-performing loans that have undergone a troubled debt restructuring, loans that are more than 90 days past due,
multifamily loans that are deemed impaired based on management’s judgment and are at least 30 days delinquent and REO assets, net. Mortgage loan
amounts are based on unpaid principal balances and REO, net is based on carrying values. In 2009, we revised our classification of multifamily non-
performing loans. Prior periods have been revised to conform with the current period presentation.
(2) We discontinue accruing interest on a non-performing loan to the extent that the loan is more than 90 days past due and was not purchased under our
financial guarantee and accounted for in accordance with accounting standards for loans and debt securities acquired with deteriorated credit quality.
(3) Includes multifamily loans 90 days or more delinquent where principal and interest are being paid to us under the terms of a credit enhancement
agreement.
(4) Represents loans recognized by us on our consolidated balance sheets, including loans purchased from the mortgage pools underlying our financial
guarantees due to the borrower’s delinquency.
(5) Includes loans more than 90 days past due that underlie all our issued PCs and Structured Securities and long-term standby agreements, regardless of
whether such securities are held by us or held by third parties.
(6) Includes mortgages that underlie our Structured Transactions. Beginning December 2007, we changed our operational practice for purchasing loans from
PC pools, which effectively delayed when we purchase nonperforming loans from PC pools. This change, combined with higher delinquency rates,
caused an increase in nonperforming loans underlying our financial guarantees during 2008 and 2009.
The amount of non-performing assets, both on our balance sheet and underlying our issued PCs and Structured
Securities, increased to approximately $105.6 billion as of December 31, 2009, from $48.3 billion at December 31, 2008,
due to continued deterioration in single-family housing market fundamentals, rising rates of unemployment, extended
timelines of foreclosure in many states and constraints on servicers’ capacity to service high volumes of delinquent loans. In
addition, as discussed below, HAMP and other programs depressed the rate at which loans transition to REO, which caused
us to build up a substantial backlog of non-performing loans in 2009. In addition, the average size of the unpaid principal
balance of non-performing loans rose in 2009 and 2008 as compared to prior years. We expect our non-performing assets
will continue to increase in 2010.
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