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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 08/03/2017
Entire Document
 
 
MD&A | Consolidated Results of Operations


Credit losses and our credit loss ratio decreased in the second quarter and first half of 2017 compared with the second quarter and first half of 2016 primarily due to lower charge-offs as a result of lower delinquencies.
We discuss our expectations regarding our future credit losses in “Executive SummaryOutlook—Credit Losses.”
Table 8 displays concentrations of our single-family credit losses based on geography, credit characteristics and loan vintages.
Table 8: Credit Loss Concentration Analysis
 
Percentage of Single-Family Conventional Guaranty Book of Business Outstanding(1)
 
Percentage of Single-Family Credit Losses(2)
 
As of
 
For the Three Months Ended June 30,
 
For the Six Months Ended June 30,
 
June 30,
 
December 31,
 
June 30,
 
 
2017
 
2016
 
2016
 
2017
 
2016
 
2017
 
2016
Geographical Distribution:
 
 
 
 
 
 
 
 
 
 
 
 
 
California
19
%
 
19
%
 
20
%
 
12
%
 
1
%
 
9
%
 
2
%
Florida
6

 
6

 
6

 
14

 
4

 
13

 
8

Illinois
4

 
4

 
4

 
10

 
8

 
9

 
8

New Jersey
4

 
4

 
4

 
14

 
19

 
13

 
18

New York
5

 
5

 
5

 
9

 
19

 
11

 
22

All other states
62

 
62

 
61

 
41

 
49

 
45

 
42

Select higher-risk product features(3)
21

 
21

 
22

 
73

 
57

 
62

 
58

Vintages:(4)

 
 
 

 

 

 

 

2004 and prior
4

 
5

 
5

 
3

 
16

 
10

 
17

2005 - 2008
7

 
8

 
9

 
69

 
59

 
67

 
65

2009 - 2017
89

 
87

 
86

 
28

 
25

 
23

 
18

__________
(1) 
Calculated based on the unpaid principal balance of loans, where we have detailed loan level information, for each category divided by the unpaid principal balance of our single-family conventional guaranty book of business as of the end of each period.
(2) 
Excludes the impact of recoveries resulting from resolution agreements related to representation and warranty matters and compensatory fee income related to servicing matters that have not been allocated to specific loans.
(3) 
Includes Alt-A loans, subprime loans, interest-only loans, loans with original LTV ratios greater than 90% and loans with FICO® scores less than 620.
(4) 
Credit losses on mortgage loans typically do not peak until the third through sixth years following origination; however, this range can vary based on many factors, including changes in macroeconomic conditions and foreclosure timelines.
As shown in Table 8, the majority of our credit losses for the second quarter and first half of 2017 continued to be driven by loans originated in 2005 through 2008. The percentage of our credit losses in California and Florida were higher in the second quarter and the first half of 2017 compared with the second quarter and first half of 2016 because a large portion of the reperforming loans that were redesignated as HFS and charged-off in the second quarter and first half of 2017 related to properties in those states. We provide more detailed single-family credit performance information, including serious delinquency rate share and foreclosure activity, in “Business SegmentsSingle-Family BusinessSingle-Family Mortgage Credit Risk Management.”
Temporary Payroll Tax Cut Continuation Act of 2011 (“TCCA”) Fees
Pursuant to the TCCA, in 2012, FHFA directed us to increase our single-family guaranty fees by 10 basis points and remit this increase to Treasury. This TCCA-related revenue is included in “Net interest income” and the expense is recognized as “TCCA fees.” TCCA fees increased in the second quarter and first half of 2017 compared with the second quarter and first half of 2016 as our book of business subject to the TCCA continued to grow. We expect the guaranty fees collected and expenses incurred under the TCCA to continue to increase in the future.

Fannie Mae Second Quarter 2017 Form 10-Q
21