Freddie Mac 2009 Annual Report Download - page 115

Table 34 — Credit Performance of Certain Higher Risk Single-Family Mortgage Loans on our Consolidated Balance
Sheets
Unpaid Principal
Balance
Estimated
Current LTV
(2)
Percentage
Modified
(3)
Delinquency
Rate
(4)
As of December 31, 2009
(dollars in millions)
Loans with one or more specified characteristics . ........................ $19,473 106% 42% 27%
Categories (individual characteristics):
(1)
Alt-A . .................................................. 4,434 122% 65% 44%
Interest-only loans . ......................................... 1,113 110% 2% 48%
Underwriting characteristics:
Original LTV ratio greater than 90%
(5)
............................ 10,396 108% 34% 21%
Lower original FICO scores (less than 620) . ........................ 7,458 98% 51% 35%
Unpaid Principal
Balance
Estimated
Current LTV
(2)
Percentage
Modified
(3)
Delinquency
Rate
(4)
As of December 31, 2008
(dollars in millions)
Loans with one or more specified characteristics . ........................ $13,492 91% 29% 20%
Categories (individual characteristics):
(1)
Alt-A . .................................................. 2,374 103% 41% 35%
Interest-only loans . ......................................... 1,280 101% 9% 38%
Underwriting characteristics:
Original LTV ratio greater than 90%
(5)
............................ 7,418 95% 25% 16%
Lower original FICO scores (less than 620)
(5)
........................ 5,388 84% 37% 25%
(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.
(2) Based on our first lien exposure on the property and excludes secondary financing by third parties, if applicable. For refinancing mortgages, the original
LTV ratio is 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 held on our consolidated balance sheets 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.
(4) Based on the number of mortgages 90 days or more delinquent or in foreclosure. See “RISK MANAGEMENT — Credit Risks — Portfolio Management
Activities — Credit Performance Delinquencies” for further information about our delinquency rates.
(5) See endnotes (2) and (4) to “Table 58 — Characteristics of the Single-Family Mortgage Portfolio” for information about our calculation of originalLTV
ratios and our use of FICO scores, respectively.
Loans with a combination of the above characteristics will generally have a higher risk of default than those with an
individual characteristic. For example, we estimate that there were $2.3 billion and $1.7 billion at December 31, 2009 and
December 31, 2008, respectively, of loans with both original LTV ratios greater than 90% and FICO credit scores less than
620 at the time of loan origination. See “RISK MANAGEMENT — Credit Risks — Mortgage Credit Risk” for further
information on single-family mortgage product types and higher risk categories, including those loans underlying our
guaranteed PCs and Structured Securities.
112 Freddie Mac