Freddie Mac 2015 Annual Report Download - page 236

Financial Statements Notes to the Consolidated Financial Statements | Note 4
Freddie Mac 2015 Form 10-K 234
We discontinued our purchases of Alt-A, interest-only, and option ARM loans a number of years ago. For
reporting purposes:
• Loans within the Alt-A category continue to be presented in that category following modification, even
though the borrower may have provided full documentation of assets and income to complete the
modification; and
• Loans within the option ARM category continue to be presented in that category following
modification, even though the modified loan no longer provides for optional payment provisions.
The table below presents the recorded investment of single-family held-for-investment loans by current
LTV ratios. Our current LTV ratios are estimates based on available data through the end of each
respective period presented.
As of December 31, 2015 As of December 31, 2014
Current LTV Ratio Current LTV Ratio
(in millions) > 80 to 100 > 100(1) Total > 80 to 100 > 100(1) Total
20 and 30-year or more, amortizing
fixed-rate(2) $1,020,227 $ 242,948 $ 50,893 $1,314,068 $ 911,071 $ 258,126 $ 85,398 $1,254,595
15-year amortizing fixed-rate(2) 271,456 12,400 1,754 285,610 265,098 14,101 3,338 282,537
Adjustable-rate 59,724 5,055 249 65,028 60,463 6,701 709 67,873
Alt-A, interest-only, and option ARM 27,014 13,124 8,485 48,623 28,935 18,232 16,448 63,615
Total single-family loans $1,378,421 $ 273,527 $ 61,381 $1,713,329 $1,265,567 $ 297,160 $ 105,893 $1,668,620
(1) The serious delinquency rate for the total of single-family held-for-investment mortgage loans with current LTV ratios in
excess of 100% was 6.03% and 9.01% as of December 31, 2015 and 2014, respectively.
(2) The majority of our loan modifications result in new terms that include fixed interest rates after modification. As of
December 31, 2015 and 2014, we have categorized UPB of approximately $38.3 billion and $42.3 billion, respectively, of
modified loans as fixed-rate loans (instead of as adjustable rate loans), even though the modified loans have rate adjustment
provisions. In these cases, while the terms of the modified loans provide for the interest rate to adjust in the future, such
future rates are determined at the time of modification rather than at a subsequent date.
The following table presents the recorded investment in our multifamily held-for-investment loans, by
credit quality indicator as of December 31, 2015 and 2014. The multifamily credit quality indicator is
based on available data through the end of each period presented. These indicators involve significant
management judgment.
(in millions) December 31, 2015 December 31, 2014
Credit risk profile by internally assigned grade:(1)
Pass $ 29,660 $ 38,518
Special mention 1,135 1,805
Substandard 408 1,030
Doubtful — —
Total $ 31,203 $ 41,353
(1) A loan categorized as: "Pass" is current and adequately protected by the current financial strength and debt service capacity
of the borrower; "Special mention" has signs of potential financial weakness; "Substandard" has a well-defined weakness
that jeopardizes the timely full repayment; and "Doubtful" has a weakness that makes collection or liquidation in full highly
questionable and improbable based on existing conditions.