Freddie Mac 2009 Annual Report Download - page 200

Table 82 presents origination year delinquency rates for loans underlying the approximately $1,839 billion in unpaid principal balances of our issued PCs
and Structured Securities, excluding Structured Transactions as of December 31, 2009. Table 82 — Delinquency Rates — Loans in PC Pools, By Loan Origination Year — UPB $ in millions
(1)
UPB for
Delinquent
Loans
(3),(4)
120+ Day
Delinquency
Rate
(3)
Number of
Delinquent
Loans
(3)
UPB for
Delinquent
Loans
(3),(4)
120+ Day
Delinquency
Rate
(3)
Number of Delinquent
Loans
(3)
UPB for
Delinquent
Loans
(3),(4)
120+ Day
Delinquency
Rate
(3)
Number of
Delinquent
Loans
(3)
UPB for
Delinquent
Loans
(3),(4)
120+ Day
Delinquency
Rate
(3)
Number of
Delinquent
Loans
(3)
UPB for
Delinquent
Loans
(3),(4)
120+ Day
Delinquency
Rate
(3)
Number of
Delinquent
Loans
(3)
UPB for
Delinquent
Loans
(3),(4)
120+ Day
Delinquency
Rate
(3)
Number of
Delinquent
Loans
(3)
UPB for
Delinquent
Loans
(3),(4)
120+ Day
Delinquency
Rate
(3)
Number of
Delinquent
Loans
(3)
UPB for
Delinquent
Loans
(3),(4)
120+ Day
Delinquency
Rate
(3)
Number of
Delinquent
Loans
(3)
4.0% PC Coupon
(2)
4.5% PC Coupon 5.0% PC Coupon 5.5% PC Coupon 6.0% PC Coupon 6.5% PC Coupon 7.0% PC Coupon and over Total
As of December 31, 2009
Fixed-rate
30 year maturity —
Loan origination year:
2009 ................ $ 5 0.01% 21 $ 47 0.02% 193 $ 28 0.03% 123 $ 18 0.17% 71 $ 11 0.65% 57 $ — 0.62% 3 $ — 5.88% 1 $ 109 0.03% 469
2008 ................ 1 0.04% 3 25 0.22% 94 815 1.25% 3,027 1,894 2.43% 7,620 1,916 4.18% 8,309 936 7.75% 4,350 367 13.41% 1,888 5,954 2.89% 25,291
2007 ................ 2 3.50% 5 21 1.59% 92 729 3.52% 2,918 3,785 4.72% 16,165 6,653 7.08% 32,092 3,621 11.76% 19,891 1,038 20.02% 6,123 15,849 7.13% 77,286
2006 ................ — 2.15% 2 14 1.51% 55 412 3.50% 1,703 2,461 4.73% 10,566 4,923 6.01% 24,007 1,885 8.49% 10,461 268 12.20% 1,757 9,963 5.97% 48,551
2005 ................ — 0.44% 3 216 1.61% 990 2,177 2.76% 10,468 2,721 3.85% 14,642 1,177 5.89% 6,826 158 8.47% 1,055 25 13.06% 183 6,474 3.59% 34,167
2004 and Prior .............. 3 0.63% 18 137 0.79% 792 1,319 1.20% 7,953 2,171 1.81% 14,616 965 2.20% 7,990 547 2.27% 5,504 390 2.26% 5,186 5,532 1.75% 42,059
15 year maturity —
Loan origination year:
2009 ................ 1 0.00% 6 3 0.01% 17 1 0.05% 4 — 0.00% — — 0.00% — N/A N/A N/A N/A N/A N/A 5 0.01% 27
2008 ................ 1 0.20% 6 28 0.32% 140 43 0.45% 255 17 0.55% 126 9 1.12% 83 2 3.10% 14 1 40.00% 2 101 0.47% 626
2007 ................ — 0.97% 2 10 0.92% 51 54 1.20% 293 79 1.36% 496 47 2.04% 385 9 4.54% 87 2 6.04% 11 201 1.51% 1,325
2006 ................ — 0.00% — 4 1.03% 27 31 1.21% 174 90 1.45% 601 72 2.05% 577 7 2.54% 77 — 8.05% 7 204 1.63% 1,463
2005 ................ 8 0.56% 54 45 0.68% 321 109 0.96% 889 53 1.35% 466 6 2.19% 63 — 2.60% 4 — 10.00% 1 221 0.96% 1,798
2004 and Prior .............. 64 0.29% 628 246 0.38% 2,504 230 0.48% 2,597 91 0.61% 1,246 54 0.66% 954 19 0.75% 473 12 1.18% 493 716 0.47% 8,895
Initial Interest —
Loan origination year:
2009 ................ N/A N/A N/A N/A N/A N/A N/A N/A N/A — N/A — N/A N/A N/A N/A N/A N/A N/A N/A N/A — N/A —
2008 ................ N/A N/A N/A — 0.00% — 8 3.86% 27 82 6.37% 272 123 10.20% 398 48 16.03% 150 6 31.34% 21 267 8.75% 868
2007 ................ N/A N/A N/A 1 3.25% 4 28 5.82% 93 599 9.63% 2,069 1,835 13.33% 6,632 652 21.00% 2,475 106 35.54% 430 3,221 13.61% 11,703
2006 ................ N/A N/A N/A 1 8.00% 2 4 4.49% 15 145 9.68% 504 455 14.15% 1,747 191 20.91% 782 42 32.31% 189 838 14.57% 3,239
2005 ................ N/A N/A N/A — 0.00% — 5 5.63% 20 47 9.05% 204 88 13.71% 372 22 25.78% 99 4 43.64% 24 166 12.47% 719
2004 and Prior .............. N/A N/A N/A — 0.00% — — 2.70% 1 2 5.67% 8 1 13.89% 5 N/A N/A N/A N/A N/A N/A 3 6.48% 14
Combined ................. $85 0.11% 748 $ 798 0.27% 5,282 $5,993 1.21% 30,560 $14,255 2.81% 69,672 $18,335 5.00% 90,497 $8,097 6.59% 45,425 $2,261 4.89% 16,316 $49,824 2.46% 258,500
Adjustable-rate (ARM)
(5)
Fully amortizing —
Loan origination year:
2009 ................ $— 0.00% — $ — 0.00% — $ — 0.00% — $ — 0.00% — N/A N/A N/A N/A N/A N/A N/A N/A N/A $ — 0.00% —
2008 ................ $— 1.15% 1 46 3.38% 160 72 2.89% 261 24 2.93% 83 $ 1 5.10% 5 $ — 20.00% 1 N/A N/A N/A 143 3.04% 511
2007 ................ — 22.22% 2 6 8.76% 17 17 7.23% 62 146 10.39% 608 384 18.93% 1,628 114 28.39% 505 $ 29 33.42% 122 696 16.68% 2,944 2006 ................ 5 11.21% 25 8 12.28% 41 28 6.48% 127 285 7.27% 1,221 342 11.24% 1,521 151 24.32% 729 47 30.15% 253 866 10.68% 3,917 2005 ................ 11 4.56% 58 143 4.35% 708 340 4.66% 1,679 141 7.46% 668 47 17.37% 225 2 15.71% 11 — 0.00% — 684 5.24% 3,349
2004 and Prior .............. 51 2.43% 298 137 2.13% 786 91 2.25% 534 10 2.48% 97 5 2.92% 60 1 3.06% 20 1 2.24% 9 296 2.26% 1,804
Initial Interest:
Loan origination year:
2009 ................ — 0.00% — 1 0.13% 1 — 0.52% 1 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1 0.15% 2
2008 ................ — 0.00% — 61 4.28% 187 295 4.43% 933 128 4.55% 411 2 9.38% 9 — 100.00% 1 — 0.00% — 486 4.45% 1,541
2007 ................ — 4.76% 1 24 19.82% 87 166 17.67% 585 2,623 17.72% 8,993 3,963 24.22% 13,822 421 34.92% 1,559 111 49.59% 423 7,308 21.79% 25,470
2006 ................ 17 15.84% 64 39 17.72% 149 172 12.97% 607 1,426 13.20% 5,183 3,358 18.62% 12,187 1,271 32.72% 5,172 257 38.90% 1,153 6,540 18.94% 24,515
2005 ................ 26 7.75% 97 213 6.72% 860 817 9.17% 3,297 642 13.99% 2,656 276 22.44% 1,223 27 29.74% 146 25 37.67% 136 2,026 11.17% 8,415
2004 and Prior .............. 17 6.45% 67 55 7.04% 238 25 7.78% 104 2 3.96% 9 2 9.86% 7 — 12.50% 1 — N/A — 101 7.03% 426
Combined ................. $127 3.31% 613 $ 733 3.95% 3,234 $2,023 5.92% 8,190 $ 5,427 12.72% 19,929 $ 8,380 19.96% 30,687 $1,987 31.00% 8,145 $ 470 36.23% 2,096 $19,147 12.54% 72,894
(1) Table does not include loans underlying Fixed-rate 20, Fixed-rate 40 and Balloon PCs, as well as certain conforming Jumbo loans underlying non-TBA PCs. As of December 31, 2009, the
outstanding unpaid principal balance (UPB) of mortgage loans that were 120 days or more delinquent for these categories was $1.2 billion, which will be purchased. An N/A indicates there were no PCs issued in the specified PC category or loan origination year.
(2) Loans in PCs with coupons less than 4.0% have been excluded. As of December 31, 2009, the outstanding UPB of mortgage loans that were 120 days or more delinquent for this category was
$1.0 billion.
(3) Based on the number of mortgage loans 120 days or more delinquent. The delinquency rate is calculated as the number of delinquent loans divided by the total number of loans in the relevant PC
category.
(4) Represents loan-level UPB. The loan-level UPB may vary from the Fixed-rate PC UPB primarily due to guaranteed principal payments made by Freddie Mac on the PCs. In the case of Fixed-rate
Initial Interest PCs, if they have not begun to amortize, there is no variance.
(5) ARM PC coupons are rounded to the nearest whole or half-percent-coupon. For example, the 5.0% PC Coupon category includes ARM PCs with coupons between 4.75% and 5.24%.
197 Freddie Mac