Freddie Mac 2011 Annual Report Download - page 171

Our multifamily mortgage portfolio delinquency rate declined to 0.22% at December 31, 2011 from 0.26% at
December 31, 2010. Our delinquency rate for credit-enhanced loans was 0.52% and 0.85% at December 31, 2011 and
2010, respectively, and for non-credit-enhanced loans was 0.11% and 0.12% at December 31, 2011 and 2010, respectively.
As of December 31, 2011, more than one-half of our multifamily loans that were two monthly payments or more past
due, measured both in terms of number of loans and on a UPB basis, had credit enhancements that we currently believe
will mitigate our expected losses on those loans.
Non-Performing Assets
Non-performing assets consist of single-family and multifamily loans that have undergone a TDR, single-family
seriously delinquent loans, multifamily loans that are three or more payments past due or in the process of foreclosure,
and REO assets, net. Non-performing assets also include multifamily loans that are deemed impaired based on
management judgment. We place non-performing loans on non-accrual status when we believe the collectability of interest
and principal on a loan is not reasonably assured, unless the loan is well secured and in the process of collection. When a
loan is placed on non-accrual status, any interest income accrued but uncollected is reversed. Thereafter, interest income is
recognized only upon receipt of cash payments. We did not accrue interest on any loans three monthly payments or more
past due in 2011 or 2010.
We classify TDRs as those loans where we have granted a concession to a borrower that is experiencing financial
difficulties. TDRs remain categorized as non-performing throughout the remaining life of the loan regardless of whether
the borrower makes payments which return the loan to a current payment status after modification. See “NOTE 5:
INDIVIDUALLY IMPAIRED AND NON-PERFORMING LOANS” for further information about our TDRs.
The table below provides detail on non-performing loans and REO assets on our consolidated balance sheets and
non-performing loans underlying our financial guarantees.
Table 60 — Non-Performing Assets
(1)
2011 2010 2009 2008 2007
December 31,
(dollars in millions)
Non-performing mortgage loans — on balance sheet:
Single-family TDRs:
Reperforming (i.e., less than three monthly payments past due) . . . . . . . . . . . $ 44,440 $ 26,612 $ 711 $ 484 $ 282
Seriously delinquent . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,639 3,144 477 163 67
Multifamily TDRs
(2)
.......................................... 893 911 229 150 167
Total TDRs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56,972 30,667 1,417 797 516
Other single-family non-performing loans
(3)
. . . . . . . . . . . . . . . . . . . . . . . . . . 63,205 84,272 12,106 5,590 5,842
Other multifamily non-performing loans
(4)
. . . . . . . . . . . . . . . . . . . . . . . . . . . 1,819 1,750 1,196 197 188
Total non-performing mortgage loans — on balance sheet . . . . . . . . . . . . . . . 121,996 116,689 14,719 6,584 6,546
Non-performing mortgage loans — off-balance sheet:
Single-family loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,230 1,450 85,395 36,718 7,786
Multifamily loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 246 198 178 63 51
Total non-performing mortgage loans — off-balance sheet . . . . . . . . . . . . . 1,476 1,648 85,573 36,781 7,837
Real estate owned, net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,680 7,068 4,692 3,255 1,736
Total non-performing assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $129,152 $125,405 $104,984 $46,620 $16,119
Loan loss reserves as a percentage of our non-performing mortgage loans . . . . 32.0% 33.7% 33.8% 36.0% 19.6%
Total non-performing assets as a percentage of the total mortgage portfolio,
excluding non-Freddie Mac securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.8% 6.4% 5.2% 2.4% 0.9%
(1) Mortgage loan amounts are based on UPB and REO, net is based on carrying values.
(2) As of December 31, 2011, approximately $872 million in UPB of these loans were current.
(3) Represents loans recognized by us on our consolidated balance sheets, including loans removed from PC trusts due to the borrower’s serious
delinquency.
(4) Of this amount, $1.8 billion, $1.6 billion, and $1.1 billion of UPB were current at December 31, 2011, December 31, 2010, and December 31, 2009
respectively.
The amount of non-performing assets increased to $129.2 billion as of December 31, 2011, from $125.4 billion at
December 31, 2010, primarily due to a significant increase in single-family loans classified as TDRs, which was
substantially offset by a decline in the rate at which loans transitioned into serious delinquency. The UPB of loans
categorized as TDRs increased to $57.0 billion at December 31, 2011 from $30.7 billion at December 31, 2010, largely
due to a continued high volume of loan modifications during 2011 in which we extended the term of the loan, decreased
the contractual interest rate, deferred the balance on which contractual interest is computed, or made a combination of
these changes. TDRs during 2011 include HAMP and non-HAMP loan modifications as well as loans in modification trial
periods and certain other loss mitigation actions. See “NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING
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