Freddie Mac 2015 Annual Report Download - page 122

Management's Discussion and Analysis Risk Management | MF Credit Risk
Freddie Mac 2015 Form 10-K 120
The table below presents information about the composition and delinquency rates of the multifamily
mortgage portfolio.
December 31,
2015 2014
(dollars in billions) UPB Delinquency Rate UPB Delinquency
Rate
Unsecuritized loans $ 49.1 0.04% $ 53.0 0.02%
K Certificates 103.1 0.02%76.0 0.01%
Other securitization products 6.7 —% 5.0 0.64%
Other mortgage-related guarantees 9.5 —% 9.3 —%
Total $ 168.4 0.02% $ 143.3 0.04%
Unsecuritized loans, excluding HFS loans:
Original LTV ratio:
Below 75% $ 21.2 —% $ 30.4 0.04%
75% to 80% 7.1 —% 9.8 —%
Above 80% 1.2 —% 0.7 —%
Total $ 29.5 —% $ 40.9 0.03%
Weighted average LTV ratio at origination 68% 68%
Maturity dates:
2015 N/A N/A $ 3.0 —%
2016 $ 1.9 —% 5.8 —%
2017 4.6 —% 5.8 —%
2018 7.8 —% 8.4 —%
2019 6.9 —% 7.4 0.15%
Thereafter 8.3 —% 10.5 —%
Total $ 29.5 —% $ 40.9 0.03%
Year of acquisition:
2010 and prior $ 23.1 —% $ 35.5 0.03%
2011 and after 6.4 —% 5.4 —%
Total $ 29.5 —% $ 40.9 0.03%
K Certificates and other securitization
products:
Year of issuance:
2010 and prior $ 10.5 0.07% $ 11.0 0.39%
2011 10.7 0.12%11.2 —%
2012 15.8 —% 16.4 —%
2013 22.9 —% 23.9 —%
2014 17.5 —% 18.5 —%
2015 32.4 —% N/A N/A
Total $ 109.8 0.02% $ 81.0 0.05%
Subordination level at issuance:
No subordination $ 2.0 0.01% $ 0.7 0.06%
Less than 10% 5.1 —% 4.4 —%
10% to 15% 44.0 0.05%32.0 0.14%
Greater than 15% 58.7 —% 43.9 —%
Total $ 109.8 0.02% $ 81.0 0.05%
Our REO activity has remained low in the past several years as a result of the strong property
performance of our multifamily mortgage portfolio. As of December 31, 2015, we had one REO property.