Freddie Mac 2011 Annual Report Download - page 151

of these loans were originated in 2005 through 2008 and are located in geographical areas that have been most impacted
by declines in home prices since 2006, we believe that the serious delinquency rate for interest-only loans will remain
high in 2012.
Option ARM Loans
Most option ARM loans have initial periods during which the borrower has various options as to the amount of each
monthly payment, until a specified date, when the terms are recast. At both December 31, 2011 and December 31, 2010,
option ARM loans represented less than 1% of the UPB of our single-family credit guarantee portfolio. Included in this
exposure was $7.3 billion and $8.4 billion of option ARM securities underlying certain of our Other Guarantee
Transactions at December 31, 2011 and December 31, 2010, respectively. While we have not categorized these option
ARM securities as either subprime or Alt-A securities for presentation within this Form 10-K and elsewhere in our
reporting, they could exhibit similar credit performance to collateral identified as subprime or Alt-A. We have not
purchased option ARM loans in our single-family credit guarantee portfolio since 2007. For information on our exposure
to option ARM loans through our holdings of non-agency mortgage-related securities, see “CONSOLIDATED BALANCE
SHEETS ANALYSIS — Investments in Securities.”
Adjustable-Rate Mortgage Loans
The table below presents information for single-family mortgage loans in our single-family credit guarantee portfolio,
excluding Other Guarantee Transactions, at December 31, 2011 that contain adjustable payment terms. The reported
balances in the table below are aggregated by product type and categorized by year of the next scheduled contractual reset
date. At December 31, 2011, approximately 59% of these loans have interest rates that are scheduled to reset in 2012 or
2013. The timing of the actual reset dates may differ from those presented due to a number of factors, including
prepayments or exercising of provisions within the terms of the mortgage (certain of which could delay or accelerate the
timing of the reset date).
Table 48 — Single-Family Scheduled Adjustable-Rate Resets by Year at December 31, 2011
(1)
2012 2013 2014 2015 2016 Thereafter Total
(in millions)
ARMs/amortizing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $29,540 $ 2,557 $2,103 $ 8,329 $14,802 $12,838 $ 70,169
ARMs/interest-only
(2)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,650 7,825 3,611 2,805 2,531 3,609 54,031
Balloon/resets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 384 62 11 9 ⬍1 2 468
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $63,574 $10,444 $5,725 $11,143 $17,333 $16,449 $124,668
(1) Based on the UPBs of mortgage products that contain adjustable-rate interest provisions and are scheduled to reset during the periods specified
above. These reported balances are based on the UPB of the underlying mortgage loans and do not reflect the publicly-available security balances
we use to report the composition of our PCs and REMICs and Other Structured Securities. Excludes: (a) mortgage loans underlying Other Guarantee
Transactions since rate reset information is not available to us for these loans; and (b) any amortizing ARM loans which completed a modification
before the end of the respective period and for which the terms of the loan were changed to a fixed-rate loan product.
(2) Reflects the UPB of interest-only loans that reset in each of the years shown. We report loans in the interest-only category if their original terms
include interest-only provisions for a pre-determined period of time before the monthly payment changes to include amortization of principal.
Includes $13.0 billion of loans that were interest-only at origination that have converted to include amortization of principal as of December 31,
2011.
The table below presents serious delinquency information for single-family adjustable-rate mortgage loans in our
single-family credit guarantee portfolio, excluding Other Guarantee Transactions, categorized by the year in which the
loan first had an interest rate reset. Loans where the year of first interest rate reset is 2011 or prior have already had one
or more interest rate resets as of December 31, 2011; loans where the year of first interest rate reset is 2012 or later have
not yet had an interest rate reset as of December 31, 2011 and will not have an interest rate reset until a future period.
Table 49 — Serious Delinquency Rates by Year of First Rate Reset
(1)
Year of payment change: 2011 2010 2009
As of December 31,
2009 and prior . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.48% 3.70% 4.45%
2010 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.63 9.90 8.38
2011 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17.50 18.01 17.31
2012 and after . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.16 13.24 14.62
(1) Based on loans remaining in the single-family credit guarantee portfolio as of December 31, 2011, 2010, and 2009, rather than all loans guaranteed
by us and originated in the respective year. Excludes mortgage loans which completed a modification before the end of the respective period and for
which the terms of the loan were changed to a fixed-rate loan product.
As shown in the table above, the trend in serious delinquency rates of adjustable-rate loans that experienced an
interest rate reset during the last three years has not been significantly impacted by the change in interest rate of the loan.
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