Freddie Mac 2014 Annual Report Download - page 107

102 Freddie Mac
(3) Consists of single-family mortgage loans covered by financial arrangements (other than primary mortgage insurance) that are designed to reduce our
credit risk exposure, including loans in reference pools covered by STACR transactions as well as other forms of credit protection.
(4) As of December 31, 2014, 2013, and 2012, approximately 53%, 61%, and 68%, respectively, of the single-family loans reported as seriously delinquent
were in the process of foreclosure.
(5) States presented have the highest number of seriously delinquent loans as of December 31, 2014.
(6) Excludes loans underlying certain single-family Other Guarantee Transactions since the geographic information is not available to us for these loans.
The serious delinquency rate for all single-family Other Guarantee Transactions was 10.11%, 10.91%, and 10.60% as of December 31, 2014, 2013, and
2012, respectively. Single-family Other Guarantee Transactions generally have underlying mortgage loans with higher risk characteristics.
(7) The states and territories classified as having a judicial foreclosure process consist of: CT, DC, DE, FL, HI, IA, IL, IN, KS, KY, LA, ME, ND, NE, NJ,
NM, NY, OH, OK, OR, PA, PR, SC, SD, VI, VT, and WI. All other states are classified as having a non-judicial foreclosure process.
Higher-Risk Loans
We also monitor certain higher-risk loans in our portfolio. The table below presents information about certain categories
of single-family mortgage loans in our single-family credit guarantee portfolio that we believe have certain higher-risk
characteristics. These loans include categories based on product type and borrower characteristics present at origination. The
table includes a presentation of each higher risk category in isolation. A single loan may fall within more than one category (for
example, an interest-only loan may also have an original LTV ratio greater than 90%). Loans with a combination of these
characteristics will have an even higher risk of default than those with a single characteristic.
Table 45 — Certain Higher-Risk Categories in the Single-Family Credit Guarantee Portfolio(1)
As of December 31, 2014
UPB Estimated
Current LTV(2) Percentage Modified
Serious
Delinquency
Rate
(dollars in billions)
Loans with one or more specified characteristics $ 364.3 88% 8.5% 4.16%
Categories (individual characteristics):
Alt-A 48.3 82 19.9 8.53
Interest-only(3) 27.8 87 0.2 9.36
Option ARM(4) 5.7 79 12.5 9.87
Original LTV ratio greater than 90%, non-HARP mortgages 123.2 87 9.4 3.97
Original LTV ratio greater than 90%, HARP mortgages 149.0 96 0.8 1.18
Lower credit scores at origination (less than 620) 44.9 79 19.2 8.57
As of December 31, 2013
UPB Estimated
Current LTV(2) Percentage Modified
Serious
Delinquency
Rate
(dollars in billions)
Loans with one or more specified characteristics $ 364.5 94% 8.1% 5.31%
Categories (individual characteristics):
Alt-A 56.9 87 16.3 10.06
Interest-only(3) 34.7 93 0.2 12.51
Option ARM(4) 6.4 86 11.0 12.30
Original LTV ratio greater than 90%, non-HARP mortgages 103.4 91 10.1 5.66
Original LTV ratio greater than 90%, HARP mortgages 154.3 103 0.5 0.97
Lower credit scores at origination (less than 620) 47.8 83 17.4 9.99
(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.
Excludes loans underlying certain Other Guarantee Transactions for which data was not available.
(2) See endnote (3) to “Table 42 — Characteristics of the Single-Family Credit Guarantee Portfolio” for information about current LTV ratios.
(3) When an interest-only loan is modified to require repayment of principal, the loan is removed from the interest-only category. The percentages of
interest-only loans which have been modified at period end reflect loans that have not yet been assigned to their new product category (post-
modification), primarily due to delays in processing.
(4) For reporting purposes, loans in the option ARM category continue to be reported in that category following modification, even though the modified
loan no longer provides for optional payment provisions.
A significant portion of the loans in the higher-risk categories presented in the table above (other than HARP loans) are
included in our 2005-2008 Legacy single-family book. The UPB of loans with one or more of these higher-risk characteristics
in our single-family credit guarantee portfolio was $364.3 billion and $364.5 billion at December 31, 2014 and 2013,
respectively. Additional information about certain of these categories is provided below.
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