Freddie Mac 2004 Annual Report Download - page 138

the Ñnancial incentive and credit derivative agreements may result in us making payments to the
seller/servicer.
Credit Performance. The eÅectiveness of our credit risk management activities is reÖected, in part, in
the level of credit losses relative to our Total mortgage portfolio (excluding non-Freddie Mac mortgage-
related securities and that portion of Structured Securities that is backed by Ginnie Mae CertiÑcates). To the
extent we take on riskier assets, such as A- mortgages, and charge higher guarantee fees, credit losses may rise
despite eÅective credit risk management activities. Therefore, while credit losses are a useful indicator of
management activities, they must ultimately be considered relative to the revenue received for assuming the
underlying credit risk. Several key statistics associated with potential and actual credit losses are detailed in
the tables below.
Delinquencies. Table 65 summarizes the delinquency performance of our single-family and multifamily
mortgage portfolios. ""Table 66 Ì Single-Family Ì Non-Credit-Enhanced Delinquencies Ì By Region'' and
""Table 67 Ì Composition of Single-Family Mortgages by Year of Origination Ì Mortgage Portfolio and
Non-Credit-Enhanced Delinquencies'' provide a more detailed analysis of single-family delinquencies, by
geographic region and year of origination.
Table 65 Ì Delinquency Performance(1)
December 31,
2004 2003 2002
Single-family(2)
Non-credit-enhanced portfolio
Delinquency rate(3) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 0.24% 0.27% 0.28%
Total number of delinquent loans ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 19,691 21,063 20,946
Credit-enhanced portfolio(4)
Delinquency rate(3) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 2.75% 2.96% 2.07%
Total number of delinquent loans ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 54,913 66,283 58,768
Total portfolio
Delinquency rate(3) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 0.73% 0.86% 0.77%
Total number of delinquent loans ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 74,604 87,346 79,714
Multifamily(4)
Total portfolio
Delinquency rate ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 0.06% 0.05% 0.13%
Net carrying value of delinquent loans (in millions) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $ 35 $ 24 $ 49
(1) Based on the Total mortgage portfolio, excluding both non-Freddie Mac mortgage-related securities and that portion of Structured
Securities that is backed by Ginnie Mae CertiÑcates.
(2) Based on the number of mortgages 90 days or more delinquent or in foreclosure.
(3) Includes alternative collateral deals.
(4) Based on net carrying value of mortgages 60 days or more delinquent or in foreclosure.
The single-family total portfolio delinquency rate decreased by 13 basis points from December 31, 2003
to 0.73 percent at December 31, 2004. This decrease was driven by the single-family credit-enhanced
delinquency rate, which decreased by 21 basis points from December 31, 2003 to 2.75 percent at
December 31, 2004 and a 3 basis point decline in the single-family non-credit-enhanced portfolio. The
decrease in the credit-enhanced delinquency rate was primarily associated with reduced delinquencies in our
alternative collateral deals, the drop in the unemployment rate and continued house price appreciation. The
multifamily delinquency rate was 0.06 percent at December 31, 2004, up from 0.05 percent at December 31,
2003. Multifamily delinquencies include certain mortgage loans where the borrowers are not paying as agreed,
but principal and interest are being paid to us under the terms of a credit enhancement agreement.
Freddie Mac
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