Freddie Mac 2011 Annual Report Download - page 239

mortgages. For further information about concentrations of risk associated with our single-family and multifamily
mortgage loans, see “NOTE 16: CONCENTRATION OF CREDIT AND OTHER RISKS.”
The table below presents information on the estimated current LTV ratios of single-family loans on our consolidated
balance sheets, all of which are held-for-investment. Our current LTV ratio estimates are based on available data through
December of each year presented.
Table 4.2 — Recorded Investment of Held-For-Investment Mortgage Loans, by LTV Ratio
⬍=80 ⬎80 to 100 ⬎100
(2)
Total ⬍=80 ⬎80 to 100 ⬎100
(2)
Total
Estimated Current LTV Ratio
(1)
Estimated Current LTV Ratio
(1)
As of December 31, 2011 As of December 31, 2010
(in millions)
Single-family loans:
20 and 30-year or more,
amortizing fixed-rate
(3)
. . . . . . $641,698 $383,320 $247,468 $1,272,486 $ 704,882 $393,853 $216,388 $1,315,123
15-year amortizing fixed-rate . . . . 238,287 18,280 2,966 259,533 233,422 16,432 2,523 252,377
Adjustable-rate
(3)(4)
. . . . . . . . . . 43,728 13,826 9,180 66,734 34,252 13,273 9,149 56,674
Alt-A, interest-only, and option
ARM
(5)
. . . . . . . . . . . . . . . . . 30,589 29,251 79,418 139,258 45,068 44,540 85,213 174,821
Total single-family loans . . . . . . . . $954,302 $444,677 $339,032 1,738,011 $1,017,624 $468,098 $313,273 1,798,995
Multifamily loans . . . . . . . . . . . . . 72,801 79,178
Total recorded investment of held-
for-investment loans . . . . . . . . . . $1,810,812 $1,878,173
(1) The current LTV ratios are management estimates, which are updated on a monthly basis. Current market values are estimated by adjusting the value
of the property at origination based on changes in the market value of homes in the same geographical area since that time. The value of a property
at origination is based on the sales price for purchase mortgages and third-party appraisal for refinance mortgages. Changes in market value are
derived from our internal index which measures price changes for repeat sales and refinancing activity on the same properties using Freddie Mac
and Fannie Mae single-family mortgage acquisitions, including foreclosure sales. Estimates of the current LTV ratio include the credit-enhanced
portion of the loan and exclude any secondary financing by third parties. The existence of a second lien reduces the borrower’s equity in the
property and, therefore, can increase the risk of default.
(2) The serious delinquency rate for the total of single-family mortgage loans with estimated current LTV ratios in excess of 100% was 12.8% and
14.9% as of December 31, 2011 and December 31, 2010, respectively.
(3) The majority of our loan modifications result in new terms that include fixed interest rates after modification. However, our HAMP loan
modifications result in an initial interest rate that subsequently adjusts to a new rate that is fixed for the remaining life of the loan. We have
classified these loans as fixed-rate for presentation even though they have a rate adjustment provision, because the change in rate is determined at
the time of the modification rather than at a future date.
(4) Includes balloon/reset mortgage loans and excludes option ARMs.
(5) We discontinued purchases of Alt-A loans on March 1, 2009 (or later, as customers’ contracts permitted), and interest-only loans effective
September 1, 2010, and have not purchased option ARM loans since 2007. Modified loans within the Alt-A category remain as such, even though
the borrower may have provided full documentation of assets and income to complete the modification. Modified loans within the option ARM
category remain as such even though the modified loan no longer provides for optional payment provisions.
For information about the payment status of single-family and multifamily mortgage loans, including the amount of
such loans we deem impaired, see “NOTE 5: INDIVIDUALLY IMPAIRED AND NON-PERFORMING LOANS.” For a
discussion of certain indicators of credit quality for the multifamily loans on our consolidated balance sheets, see
“NOTE 16: CONCENTRATION OF CREDIT AND OTHER RISKS — Multifamily Mortgage Portfolio.”
Allowance for Loan Losses and Reserve for Guarantee Losses, or Loan Loss Reserve
We maintain an allowance for loan losses on mortgage loans that we classify as held-for-investment on our
consolidated balance sheets. Our reserve for guarantee losses is associated with Freddie Mac mortgage-related securities
backed by multifamily loans, certain single-family Other Guarantee Transactions, and other guarantee commitments, for
which we have incremental credit risk.
234 Freddie Mac