Freddie Mac 2010 Annual Report Download - page 127

Table 44 — Certain Higher-Risk
(1)
Categories in the Single-Family Credit Guarantee Portfolio
UPB
Estimated
Current LTV
(2)
Percentage
Modified
(3)
Serious
Delinquency
Rate
(4)
As of December 31, 2010
(dollars in billions)
Loans with one or more specified characteristics .............................. $369.0 100% 5.5% 10.3%
Categories (individual characteristics):
Alt-A . ......................................................... 116.1 99% 5.8% 12.2%
Interest-only loans . . . . . ............................................ 95.4 112% 0.5% 18.4%
Option ARM loans . . . . . ............................................ 9.4 115% 3.1% 21.2%
Original LTV ratio greater than 90%
(5)
................................... 154.3 104% 5.3% 7.8%
Lower original FICO scores (less than 620)
(5)
............................... 61.2 89% 10.4% 13.9%
UPB
Estimated
Current LTV
(2)
Percentage
Modified
(3)
Serious
Delinquency
Rate
(4)
As of December 31, 2009
(dollars in billions)
Loans with one or more specified characteristics .............................. $413.3 97% 2.6% 10.8%
Categories (individual characteristics):
Alt-A . ......................................................... 147.9 94% 1.9% 12.3%
Interest-only loans . . . . . ............................................ 129.9 106% 0.2% 17.6%
Option ARM loans . . . . . ............................................ 10.8 111% 1.4% 17.9%
Original LTV ratio greater than 90%
(5)
................................... 144.4 104% 3.0% 9.1%
Lower original FICO scores (less than 620)
(5)
............................... 67.7 87% 6.1% 14.9%
(1) Categories are not additive and a single loan may be included in multiple categories if more than one characteristic is associated with the loan. Loans
with a combination of these characteristics will have an even higher risk of default than those with an individual characteristic.
(2) Based on our first lien exposure on the property and excludes secondary financing by third parties, if applicable. For refinance mortgages, the original
LTV ratios are based on third-party appraisals used in loan origination, whereas new purchase mortgages are based on the property sales price.
(3) Represents the percentage of loans based on loan count in our single-family credit guarantee portfolio that have been modified under agreement with the
borrower, including those with no changes in the interest rate or maturity date, but where past due amounts are added to the outstanding principal
balance of the loan. Excludes loans underlying certain Other Guarantee Transactions for which data was not available.
(4) See “Portfolio Management Activities — Credit Performance — Delinquencies” for further information about our reported serious delinquency rates.
(5) See endnotes (4) and (7) to “Table 42 — Characteristics of the Single-Family Credit Guarantee Portfolio” for information on our calculation of original
LTV ratios and our use of FICO scores, respectively.
Loans with one or more of the above attributes comprised approximately 20% and 22% of our single-family credit
guarantee portfolio as of December 31, 2010 and 2009, respectively. The total UPB of loans in our single-family credit
guarantee portfolio with one or more of these characteristics declined approximately 11%, to $369.0 billion as of
December 31, 2010 from $413.3 billion as of December 31, 2009. This decline was principally due to liquidations resulting
from repayments, payoffs, refinancing activity and other principal curtailments as well as those resulting from foreclosure
events. The serious delinquency rates associated with these loans decreased slightly to 10.3% as of December 31, 2010 from
10.8% as of December 31, 2009.
Multifamily Mortgage Portfolio Diversification, Characteristics and Product Types
Portfolio diversification is an important aspect of our strategy to manage mortgage credit risk. We monitor a variety of
mortgage loan characteristics which may affect the default experience on our overall mortgage portfolio, such as the LTV
ratio, DSCR, geographic concentrations and loan duration. We also monitor the performance and risk concentrations of our
multifamily loans and the underlying properties throughout the life of the loan.
124 Freddie Mac