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10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 11/02/2018
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MD&A | Business Segments


serious delinquency rate to continue to decline, but at a more modest pace than in the past several years, and to experience period-to-period fluctuations.
Certain higher-risk loan categories, such as Alt-A loans, loans with higher estimated mark-to-market LTV ratios, and our 2005 through 2008 loan vintages, continue to exhibit higher than average delinquency rates and/or account for a higher share of our credit losses. Single-family loans originated in 2005 through 2008 constituted 5% of our single-family book of business as of September 30, 2018, but constituted 41% of our seriously delinquent single-family loans as of September 30, 2018. In addition, single-family loans originated in 2005 through 2008 drove 58% of our single-family credit losses in the third quarter of 2018 and 65% in the first nine months of 2018. Loans in certain judicial foreclosure states such as Florida, New Jersey and New York with historically long foreclosure timelines have exhibited higher than average delinquency rates and/or account for a higher share of our credit losses.
The table below displays the serious delinquency rates for, and the percentage of our total seriously delinquent single-family conventional loans represented by, the specified loan categories. We also include information for our loans in California, as this state accounts for a large share of our single-family conventional guaranty book of business. The reported categories are not mutually exclusive. Percentage of book outstanding calculations are based on the unpaid principal balance of loans for each category divided by the unpaid principal balance of our total single-family guaranty book of business for which we have detailed loan level information.
Single-Family Conventional Seriously Delinquent Loan Concentration Analysis
 
As of
 
September 30, 2018
December 31, 2017
September 30, 2017
 
 
Percentage of Book Outstanding
 
Percentage of Seriously Delinquent Loans(1)
 
Serious Delinquency Rate
 
Percentage of Book Outstanding
 
Percentage of Seriously Delinquent Loans(1)
 
Serious Delinquency Rate
 
Percentage of Book Outstanding
 
Percentage of Seriously Delinquent Loans(1)
 
Serious Delinquency Rate
States:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
California
 
19
%
 
6
%
 
0.34
%
 
19
%
 
5
%
 
0.42
%
 
19
%
 
6
%
 
0.43
%
Florida
 
6

 
12

 
1.51

 
6

 
19

 
3.71

 
6

 
10

 
1.50

New Jersey
 
4

 
6

 
1.51

 
4

 
5

 
2.15

 
4

 
7

 
2.36

New York
 
5

 
8

 
1.55

 
5

 
7

 
2.02

 
5

 
9

 
2.13

All other states
 
66

 
68

 
0.77

 
66

 
64

 
1.09

 
66

 
68

 
0.94

Product type:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Alt-A(2)
 
2

 
12

 
3.68

 
2

 
12

 
4.95

 
3

 
14

 
4.54

Vintages:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2004 and prior
 
3

 
23

 
2.77

 
4

 
23

 
3.28

 
4

 
25

 
2.75

2005-2008
 
5

 
41

 
4.90

 
6

 
42

 
6.55

 
7

 
48

 
5.83

2009-2018
 
92

 
36

 
0.34

 
90

 
35

 
0.53

 
89

 
27

 
0.33

Estimated mark-to-market LTV ratio:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
<= 60%
 
56

 
47

 
0.61

 
52

 
41

 
0.84

 
53

 
40

 
0.66

60.01% to 70%
 
18

 
17

 
0.91

 
18

 
18

 
1.34

 
19

 
17

 
1.05

70.01% to 80%
 
15

 
15

 
0.99

 
17

 
16

 
1.48

 
16

 
15

 
1.17

80.01% to 90%
 
7

 
10

 
1.38

 
8

 
11

 
2.09

 
8

 
11

 
1.77

90.01% to 100%
 
3

 
5

 
1.74

 
4

 
6

 
2.62

 
3

 
7

 
2.72

Greater than 100%
 
1

 
6

 
10.65

 
1

 
8

 
11.70

 
1

 
10

 
10.73

Credit enhanced:(3)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Primary MI & other(4)
 
21

 
25

 
1.19

 
20

 
26

 
1.95

 
19

 
26

 
1.62

Credit risk transfer(5)
 
38

 
8

 
0.23

 
32

 
8

 
0.42

 
31

 
4

 
0.16

Non-credit enhanced
 
55

 
70

 
0.90

 
60

 
69

 
1.27

 
60

 
72

 
1.05

__________
(1) 
Calculated based on the number of single-family loans that were seriously delinquent for each category divided by the total number of single-family conventional loans that were seriously delinquent.

Fannie Mae Third Quarter 2018 Form 10-Q
32