Freddie Mac 2011 Annual Report Download - page 168

The table below presents delinquency and default rate information for loans in our single-family credit guarantee
portfolio based on year of origination.
Table 58 — Single-Family Credit Guarantee Portfolio by Year of Loan Origination
Year of Loan Origination
Percentage
of Portfolio
Foreclosure and
Short Sale
Rate
(1)
Percentage
of Portfolio
Foreclosure and
Short Sale
Rate
(1)
Percentage
of Portfolio
Foreclosure and
Short Sale
Rate
(1)
As of December 31, 2011 As of December 31, 2010 As of December 31,2009
2011 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14% —% —% —% —% —%
2010 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 0.05 18 — — —
2009 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 0.17 21 0.04 23 —
2008 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2.23 9 1.26 12 0.37
2007 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 7.49 11 4.92 14 2.24
2006 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 6.95 9 5.00 11 2.70
2005 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 4.07 10 2.95 12 1.63
2000 through 2004 . . . . . . . . . . . . . . . . . . . . . . . 17 1.04 22 0.88 28 0.69
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100% 100% 100%
(1) Calculated for each year of origination as the number of loans that have proceeded to foreclosure transfer or short sale and resulted in a credit loss,
excluding any subsequent recoveries during the period from origination to December 31, 2011, 2010, and 2009, respectively, divided by the number
of loans in our single-family credit guarantee portfolio originated in that year.
The UPB of loans originated after 2008 comprised 51% of our portfolio as of December 31, 2011, including 11% of
our portfolio that were relief refinance mortgages (regardless of LTV ratio). At December 31, 2011, approximately 32% of
our single-family credit guarantee portfolio consisted of mortgage loans originated from 2005 through 2008. Loans
originated from 2005 through 2008 have experienced higher serious delinquency rates in the earlier years of their terms as
compared to our historical experience. We attribute this serious delinquency performance to a number of factors,
including: (a) the expansion of credit terms under which loans were underwritten during these years; (b) an increase in the
origination and our purchase of interest-only and Alt-A mortgage products in these years; and (c) an environment of
persistently high unemployment, decreasing home sales, and broadly declining home prices in the period following the
loans’ origination. Interest-only and Alt-A products have higher inherent credit risk than traditional fixed-rate mortgage
products.
Multifamily Mortgage Credit Risk
Portfolio diversification, particularly by product and geographical area, is an important aspect of our strategy to
manage mortgage credit risk for multifamily loans. We monitor a variety of mortgage loan characteristics that may affect
the default experience on our multifamily mortgage portfolio, such as the LTV ratio, DSCR, geographic location and loan
maturity. See “NOTE 16: CONCENTRATION OF CREDIT AND OTHER RISKS” for more information about the loans
in our multifamily mortgage portfolio. We also monitor the performance and risk concentrations of our multifamily loans
and the underlying properties throughout the life of the loan.
The table below provides certain attributes of our multifamily mortgage portfolio at December 31, 2011 and 2010.
163 Freddie Mac