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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 05/07/2015
Entire Document
 





FANNIE MAE
(In conservatorship)
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
(UNAUDITED)


The table below displays changes in AOCI, net of tax.
 
 
For the Three Months Ended March 31,
 
 
2015
 
2014
 
 
AFS(1)
 
Other(2)
 
Total
 
 AFS(1)
 
Other
 
Total
 
(Dollars in millions)
Beginning balance
 
$
2,121

 
 
$
(388
)
 
$
1,733

 
 
$
1,627

 
 
$
(424
)
 
$
1,203

OCI before reclassifications
 
24

 
 

 
24

 
 
340

 
 

 
340

Amounts reclassified from OCI
 
(115
)
 
 
(1
)
 
(116
)
 
 
32

 
 

 
32

Net OCI
 
(91
)
 
 
(1
)
 
(92
)
 
 
372

 
 

 
372

Ending balance
 
$
2,030

 
 
$
(389
)
 
$
1,641

 
 
$
1,999

 
 
$
(424
)
 
$
1,575

__________
(1) 
The amounts reclassified from AOCI represent the gain or loss recognized in earnings due to a sale of an AFS security or the recognition of a net impairment recognized in earnings, which are recorded in “Investments gains, net” in our condensed consolidated statements of operations and comprehensive income.
(2) 
The amounts reclassified from AOCI represent activity from our defined benefit pension plans, which is recorded in “Salaries and employee benefits” in our condensed consolidated statements of operations and comprehensive income.
13. Concentrations of Credit Risk
Risk Characteristics of our Book of Business
We gauge our performance risk under our guaranty based on the delinquency status of the mortgage loans we hold in our retained mortgage portfolio, or in the case of mortgage-backed securities, the mortgage loans underlying the related securities.
For single-family loans, management monitors the serious delinquency rate, which is the percentage of single-family loans 90 days or more past due or in the foreclosure process, and loans that have higher risk characteristics, such as high mark-to-market loan-to-value (“LTV”) ratios.
For multifamily loans, management monitors the serious delinquency rate, which is the percentage of loans, based on unpaid principal balance, that are 60 days or more past due, and other loans that have higher risk characteristics, to determine our overall credit quality indicator. Higher risk characteristics include, but are not limited to, current debt service coverage ratio (“DSCR”) below 1.0 and high original and current estimated LTV ratios. We stratify multifamily loans into different internal risk categories based on the credit risk inherent in each individual loan.
For single-family and multifamily loans, we use this information, in conjunction with housing market and economic conditions, to structure our pricing and our eligibility and underwriting criteria to reflect the current risk of loans with these higher-risk characteristics, and in some cases we decide to significantly reduce our participation in riskier loan product categories. Management also uses this data together with other credit risk measures to identify key trends that guide the development of our loss mitigation strategies.
The following tables display the current delinquency status and certain higher risk characteristics of our single-family conventional and total multifamily guaranty book of business as of March 31, 2015 and December 31, 2014.
 
As of
 
March 31, 2015(1)
 
December 31, 2014(1)
 
30 Days Delinquent
 
60 Days Delinquent
 
Seriously Delinquent(2)
 
30 Days Delinquent
 
60 Days Delinquent
 
Seriously Delinquent(2)
Percentage of single-family conventional guaranty book of business(3)
1.11
%
 
0.33
%
 
1.87
%
 
1.27
%
 
0.38
%
 
1.99
%
Percentage of single-family conventional loans(4)
1.26

 
0.36

 
1.78

 
1.47

 
0.43

 
1.89



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