From Freddie Mac. Lots of interesting stuff there, including a breakdown that says that over 15 percent of some of their riskiest loans are non-owner-occupied. See pl. 30. However, it is not clear that they have all of the risk on those loans–there may be others on the hook to take credit losses before Freddie does.

If I read the table on p. 31 correctly, roughly three out of every four mortgages Freddie booked in 2006 and 2007 was either “Alt-A,” an option ARM or an interest-only ARM (I assume those categories don’t overlap). That means that only a small minority of the loans that that they guaranteed were traditional investment-quality loans. Hmmm…

Here is a comparable report from Fannie Mae.