Freddie Mac 2012 Annual Report Download - page 290

Table 15.1 — Concentration of Credit Risk — Single-Family Credit Guarantee Portfolio
December 31, 2012 December 31, 2011
Percent of Credit Losses(1)
Year Ended
Percentage of
Portfolio (2)
Serious
Delinquency Rate
Percentage of
Portfolio (2)
Serious
Delinquency Rate
December 31,
2012
December 31,
2011
Year of Origination
2012 ................................. 22% 0.1% N/A N/A <1% N/A
2011 ................................. 14 0.3 14% 0.1% <1 —%
2010 ................................. 15 0.5 19 0.3 2 <1
2009 ................................. 12 0.9 18 0.5 2 1
2008 ................................. 6 6.8 7 5.7 9 8
2007 ................................. 7 12.4 10 11.6 36 36
2006 ................................. 5 11.4 7 10.8 25 28
2005 ................................. 6 7.2 8 6.5 17 18
2004 and prior .......................... 13 3.2 17 2.8 9 9
Total ............................... 100% 3.3% 100% 3.6% 100% 100%
Region (3)
West ................................. 28% 2.8% 28% 3.6% 44% 53%
Northeast .............................. 25 3.8 25 3.4 8 7
North Central ........................... 18 2.5 18 2.9 20 16
Southeast .............................. 17 5.0 17 5.5 24 20
Southwest ............................. 12 1.7 12 1.8 4 4
Total ............................... 100% 3.3% 100% 3.6% 100% 100%
State (4)
California ............................. 16% 2.3% 16% 3.4% 24% 29%
Florida ............................... 6 9.9 6 10.9 17 13
Illinois ............................... 5 4.1 5 4.7 9 5
Arizona ............................... 2 2.5 2 4.3 7 11
Nevada ............................... 1 8.1 1 9.8 6 7
Michigan .............................. 3 1.9 3 2.3 4 4
Georgia ............................... 3 2.8 3 3.3 4 4
All other .............................. 64 2.8 64 2.8 29 27
Total ............................... 100% 3.3% 100% 3.6% 100% 100%
(1) Credit losses consist of the aggregate amount of charge-offs, net of recoveries, and REO operations expense in each of the respective periods and
exclude foregone interest on non-performing loans and other market-based losses recognized on our consolidated statements of comprehensive income.
(2) Based on the UPB of our single-family credit guarantee portfolio, which includes unsecuritized single-family mortgage loans held by us on our
consolidated balance sheets and those underlying Freddie Mac mortgage-related securities, or covered by our other guarantee commitments.
(3) Region designation: West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA); Northeast (CT, DE, DC, MA, ME, MD, NH, NJ, NY, PA, RI, VT, VA,
WV); North Central (IL, IN, IA, MI, MN, ND, OH, SD, WI); Southeast (AL, FL, GA, KY, MS, NC, PR, SC, TN, VI); Southwest (AR, CO, KS, LA,
MO, NE, NM, OK, TX, WY).
(4) States presented are those with the highest percentage of credit losses during the year ended December 31, 2012. Our top seven states based on the
highest percentage of UPB as of December 31, 2012 are: California (16%), Florida (6%), Illinois (5%), New York (5%), Texas (4%), New Jersey (4%),
and Virginia (4%), which collectively comprised 44% of our single-family credit guarantee portfolio as of December 31, 2012.
Credit Performance of Certain Higher Risk Single-Family Loan Categories
Participants in the mortgage market often characterize single-family loans based upon their overall credit quality at the
time of origination, generally considering them to be prime or subprime. Many mortgage market participants classify single-
family loans with credit characteristics that range between their prime and subprime categories as Alt-A because these loans
have a combination of characteristics of each category, may be underwritten with lower or alternative income or asset
documentation requirements compared to a full documentation mortgage loan, or both. However, there is no universally
accepted definition of subprime or Alt-A. Although we discontinued new purchases of mortgage loans with lower
documentation standards for assets or income beginning March 1, 2009 (or later, as our customers’ contracts permitted), we
continued to purchase certain amounts of these mortgages in cases where the loan was either: (a) purchased pursuant to a
previously issued other guarantee commitment; (b) part of our relief refinance mortgage initiative; or (c) in another refinance
mortgage initiative and the pre-existing mortgage (including Alt-A loans) was originated under less than full documentation
standards. In the event we purchase a refinance mortgage and the original loan had been previously identified as Alt-A, such
refinance loan may no longer be categorized or reported as Alt-A in the table below because the new refinance loan replacing
the original loan would not be identified by the seller/servicer as an Alt-A loan. As a result, our reported Alt-A balances may
be lower than would otherwise be the case had such refinancing not occurred.
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