Freddie Mac 2011 Annual Report Download - page 154

Table 50 — Certain Higher-Risk Categories in the Single-Family Credit Guarantee Portfolio
(1)
UPB
Estimated
Current LTV
(2)
Percentage
Modified
(3)
Serious
Delinquency
Rate
(4)
As of December 31, 2011
(dollars in billions)
Loans with one or more specified characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $342.9 105% 7.2% 9.3%
Categories (individual characteristics):
Alt-A
(5)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94.3 107 8.8 11.9
Interest-only
(6)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72.0 120 0.2 17.6
Option ARM
(7)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.4 119 5.5 20.5
Original LTV ratio greater than 90%, non-relief refinance mortgages
(8)
. . . . . . . . . . . . 107.9 108 8.1 8.5
Original LTV ratio greater than 90%, relief refinance mortgages
(8)
. . . . . . . . . . . . . . . 59.3 104 0.1 1.3
Lower FICO scores at origination (less than 620)
(8)
. . . . . . . . . . . . . . . . . . . . . . . . . 55.6 93 13.4 12.9
UPB
Estimated
Current LTV
(2)
Percentage
Modified
(3)
Serious
Delinquency
Rate
(4)
As of December 31, 2010
(dollars in billions)
Loans with one or more specified characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $368.8 100% 5.5% 10.3%
Categories (individual characteristics):
Alt-A
(5)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115.5 99 5.7 12.2
Interest-only
(6)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95.4 112 0.5 18.4
Option ARM
(7)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.4 115 3.1 21.2
Original LTV ratio greater than 90%, non-relief refinance mortgages
(8)
. . . . . . . . . . . . 117.8 105 6.3 9.1
Original LTV ratio greater than 90%, relief refinance mortgages
(8)
. . . . . . . . . . . . . . . 36.5 101 0.1 0.7
Lower FICO scores at origination (less than 620)
(8)
. . . . . . . . . . . . . . . . . . . . . . . . . 61.2 89 10.4 13.9
(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.
Loans with a combination of these characteristics will have an even higher risk of default than those with an individual characteristic.
(2) See endnote (5) to “Table 45 — Characteristics of the Single-Family Credit Guarantee Portfolio” for information on our calculation of current LTV
ratios.
(3) Represents the percentage of loans based on loan count in our single-family credit guarantee portfolio 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. Excludes loans underlying certain Other Guarantee Transactions for which data was not available.
(4) See “Portfolio Management Activities-Credit Performance-Delinquencies” for further information about our reported serious delinquency rates.
(5) Loans within the Alt-A category continue to remain in that category following modification, even though the borrower may have provided full
documentation of assets and income to complete the modification.
(6) The percentages of interest-only loans which have been modified at period end reflect that a number of these loans have not yet been assigned to
their new product category (post-modification), primarily due to delays in processing.
(7) Loans within the option ARM category continue to remain in that category following modification, even though the modified loan no longer
provides for optional payment provisions.
(8) See endnotes (4) and (7) to “Table 45 — Characteristics of the Single-Family Credit Guarantee Portfolio” for information on our calculation of
original LTV ratios and our use of FICO scores, respectively.
Loans with one or more of the above characteristics comprised approximately 20% of our single-family credit
guarantee portfolio as of both December 31, 2011 and 2010. The total UPB of loans in our single-family credit guarantee
portfolio with one or more of these characteristics declined approximately 7% to $343 billion as of December 31, 2011
from $369 billion as of December 31, 2010. This decline was principally due to liquidations resulting from prepayments,
refinancing activity, and liquidations resulting from foreclosure events and foreclosure alternatives, but was partially offset
by increases in loans with original LTV ratios greater than 90% due to our relief refinance mortgage activity in 2011. The
serious delinquency rates associated with these loans declined to 9.3% as of December 31, 2011 from 10.3% as of
December 31, 2010.
Credit Enhancements
The portfolio information below excludes our holdings of non-Freddie Mac mortgage-related securities. See
“CONSOLIDATED BALANCE SHEETS ANALYSIS — Investments in Securities — Mortgage-Related Securities” for
credit enhancement and other information about our investments in non-Freddie Mac mortgage-related securities.
Our charter requires that single-family mortgages with LTV ratios above 80% at the time of purchase be covered by
specified credit enhancements or participation interests. However, as discussed below, under HARP, we allow eligible
borrowers who have mortgages with high current LTV ratios to refinance their mortgages without obtaining new mortgage
insurance in excess of what was already in place. Primary mortgage insurance is the most prevalent type of credit
enhancement protecting our single-family credit guarantee portfolio, and is typically provided on a loan-level basis. In
addition, for some mortgage loans, we elect to share the default risk by transferring a portion of that risk to various third
parties through a variety of other credit enhancements.
At December 31, 2011 and December 31, 2010, our single-family credit-enhanced mortgages represented 14% and
15%, respectively, of our single-family credit guarantee portfolio, excluding those backing Ginnie Mae Certificates and
149 Freddie Mac