Freddie Mac 2015 Annual Report Download - page 103

Management's Discussion and Analysis Risk Management | SF Credit Risk
Freddie Mac 2015 Form 10-K 101
December 31, 2015
(dollars in billions) UPB CLTV % Modified SDQ Rate
Original LTV ratio greater than 90%, HARP loans $ 134.2 89% 1.3% 1.16%
Original LTV ratio greater than 90%, all other loans $ 144.8 84% 8.4% 2.72%
Loans with credit scores below 620 at origination $ 41.3 74% 20.7%6.67%
December 31, 2014
(dollars in billions) UPB CLTV % Modified SDQ Rate
Original LTV ratio greater than 90%, HARP loans $ 149.0 96% 0.8% 1.18%
Original LTV ratio greater than 90%, all other loans $ 123.2 87% 9.4% 3.97%
Loans with credit scores below 620 at origination $ 44.9 79% 19.2%8.57%
In addition, certain combinations of loan attributes can indicate an even higher degree of credit risk, such
as loans with both higher LTV ratios and lower credit scores. The following tables show the combination
of credit score and current LTV ratio attributes of loans in our single-family credit guarantee portfolio.
December 31, 2015
CLTV > 80 to 100 CLTV > 100 All Loans
(credit score) % Portfolio SDQ Rate % Portfolio SDQ Rate % Portfolio SDQ Rate % Portfolio SDQ Rate % Modified
Core single-family book:
< 620 0.2% 2.32% —% 4.71% —% 14.84% 0.2% 2.74% 2.9%
620 to 659 1.3 1.05% 0.2 1.49% — 7.80% 1.5 1.13% 1.2%
55.8 0.15% 8.7 0.28% 0.1 1.85%64.6 0.17% 0.2%
Not available — 1.58% 0.1 4.41% — 9.97% 0.1 3.41% 3.1%
Total 57.3% 0.18% 9.0% 0.34% 0.1% 3.49%66.4%0.21% 0.2%
Relief refinance book:
< 620 0.6% 1.65% 0.2% 3.06% 0.1% 4.65% 0.9% 2.38% 3.4%
620 to 659 0.7 1.03% 0.4 2.12% 0.2 3.31% 1.3 1.60% 2.0%
10.7 0.29% 3.4 1.02% 1.5 1.85%15.6 0.56% 0.6%
Not available — 1.37% — —% — 5.08% — 1.47% 0.6%
Total 12.0% 0.40% 4.0% 1.25% 1.8% 2.20%17.8%0.72% 0.8%
Legacy single-family
book
< 620 0.8% 6.57% 0.3% 13.74% 0.2% 21.39% 1.3% 9.09%30.7%
620 to 659 1.5 4.73% 0.5 10.85% 0.4 17.73% 2.4 6.82%25.0%
8.5 1.99% 2.2 7.26% 1.2 12.84%11.9 3.08%11.6%
Not available 0.2 5.12% — 17.07% — 21.12% 0.2 5.95%13.5%
Total 11.0% 2.74% 3.0% 8.66% 1.8% 15.03%15.8%4.12%14.9%