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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)


 
As of March 31, 2015
 
 
 
Alt-A
 
Subprime
 
Option ARM
 
Fixed Rate
 
Variable Rate
 
Hybrid Rate
 
(Dollars in millions)
 
Vintage Year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2004 & Prior:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
105

 
 
$
108

 
 
 
$
758

 
 
 
$
115

 
 
 
$
296

 
Weighted average collateral default(1)
25.9
%
 
 
24.9
%
 
 
 
8.1
%
 
 
 
16.5
%
 
 
 
11.0
%
 
Weighted average collateral severities(2)
54.7

 
 
55.0

 
 
 
44.3

 
 
 
38.0

 
 
 
33.7

 
Weighted average voluntary prepayment rates(3)
8.0

 
 
9.6

 
 
 
13.4

 
 
 
9.4

 
 
 
11.0

 
Average credit enhancement(4)
38.8

 
 
3.6

 
 
 
11.3

 
 
 
24.3

 
 
 
10.1

 
2005:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
7

 
 
$
440

 
 
 
$
689

 
 
 
$
131

 
 
 
$
508

 
Weighted average collateral default(1)
44.0
%
 
 
30.0
%
 
 
 
17.9
%
 
 
 
26.2
%
 
 
 
15.5
%
 
Weighted average collateral severities(2)
65.0

 
 
54.2

 
 
 
46.0

 
 
 
54.1

 
 
 
39.2

 
Weighted average voluntary prepayment rates(3)
3.9

 
 
7.7

 
 
 
10.0

 
 
 
8.5

 
 
 
10.0

 
Average credit enhancement(4)
59.5

 
 
6.8

 
 
 
0.7

 
 
 
28.1

 
 
 
6.1

 
2006:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
5,850

 
 
$
318

 
 
 
$
363

 
 
 
$
653

 
 
 
$
786

 
Weighted average collateral default(1)
46.0
%
 
 
36.3
%
 
 
 
21.9
%
 
 
 
23.3
%
 
 
 
10.1
%
 
Weighted average collateral severities(2)
63.3

 
 
35.5

 
 
 
53.2

 
 
 
37.2

 
 
 
38.4

 
Weighted average voluntary prepayment rates(3)
2.4

 
 
6.8

 
 
 
8.3

 
 
 
7.9

 
 
 
13.2

 
Average credit enhancement(4)
15.3

 
 

 
 
 
0.1

 
 
 
1.5

 
 
 

 
2007 & After:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
322

 
 
$

 
 
 
$

 
 
 
$

 
 
 
$

 
Weighted average collateral default(1)
43.2
%
 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
Weighted average collateral severities(2)
20.7

 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
Weighted average voluntary prepayment rates(3)
1.4

 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
Average credit enhancement(4)
19.6

 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
Total:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
6,284

 
 
$
866

 
 
 
$
1,810

 
 
 
$
899

 
 
 
$
1,590

 
Weighted average collateral default(1)
45.5
%
 
 
31.7
%
 
 
 
14.6
%
 
 
 
22.8
%
 
 
 
12.0
%
 
Weighted average collateral severities(2)
61.1

 
 
46.4

 
 
 
47.8

 
 
 
40.1

 
 
 
37.9

 
Weighted average voluntary prepayment rates(3)
2.5

 
 
7.6

 
 
 
11.0

 
 
 
8.1

 
 
 
11.8

 
Average credit enhancement(4)
15.9

 
 
3.9

 
 
 
5.0

 
 
 
8.3

 
 
 
3.8

 
__________

(1) 
The expected remaining cumulative default rate of the collateral pool backing the securities, as a percentage of the current collateral unpaid principal balance, weighted by security unpaid principal balance.
(2) 
The expected remaining loss given default of the collateral pool backing the securities, calculated as the ratio of remaining cumulative loss divided by cumulative defaults, weighted by security unpaid principal balance.
(3) 
The average monthly voluntary prepayment rate, weighted by security unpaid principal balance.

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