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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 05/06/2011
Entire Document
 
Table of Contents

Table 23:   Credit Statistics of Loans Underlying Alt-A and Subprime Private-Label Mortgage-Related Securities (Including Wraps)
 
                                                         
    As of March 31, 2011  
    Unpaid Principal Balance                       Monoline
 
          Available-
                Average
    Average
    Financial
 
          for-
          ³ 60 Days
    Loss
    Credit
    Guaranteed
 
    Trading     Sale     Wraps(1)     Delinquent(2)(3)     Severity(3)(4)     Enhancement(3)(5)     Amount(6)  
    (Dollars in millions)  
 
Private-label mortgage-related securities backed by:(7)
Alt-A mortgage loans:
                                                       
Option ARM Alt-A mortgage loans:
                                                       
2004 and prior
  $     $ 511     $       33.1 %     64.5 %     18.2 %   $  
2005
          1,375             45.0       57.4       43.0       268  
2006
          1,335             46.5       65.8       32.3       144  
2007
    2,078                   45.9       61.7       59.5       752  
Other Alt-A mortgage loans:
                                                       
2004 and prior
          6,704             10.2       46.8       12.4       13  
2005
    90       4,347       129       24.4       57.0       6.6        
2006
    67       4,201             30.6       59.8       1.8        
2007
    756             194       44.4       67.2       30.2       314  
2008(8)
          126                                
                                                         
Total Alt-A mortgage loans:
    2,991       18,599       323                               1,491  
                                                         
Subprime mortgage loans:
                                                       
2004 and prior(9)
          2,159       652       24.8       70.4       60.4       674  
2005(8)
          197       1,440       44.6       73.9       58.1       229  
2006
          12,303             49.7       78.0       19.6       52  
2007
    2,724       639       5,728       50.2       76.1       23.6       182  
                                                         
Total subprime mortgage loans:
    2,724       15,298       7,820                               1,137  
                                                         
Total Alt-A and subprime mortgage loans:
  $ 5,715     $ 33,897     $ 8,143                             $ 2,628  
                                                         
 
 
(1) Represents our exposure to private-label Alt-A and subprime mortgage-related securities that have been resecuritized (or wrapped) to include our guarantee.
 
(2) Delinquency data provided by Intex, where available, for loans backing Alt-A and subprime private-label mortgage-related securities that we own or guarantee. The reported Intex delinquency data reflect information from March 2011 remittances for February 2011 payments. For consistency purposes, we have adjusted the Intex delinquency data, where appropriate, to include all bankruptcies, foreclosures and REO in the delinquency rates.
 
(3) The average delinquency, severity and credit enhancement metrics are calculated for each loan pool associated with securities where Fannie Mae has exposure and are weighted based on the unpaid principal balance of those securities.
 
(4) Severity data obtained from CoreLogic, where available, for loans backing Alt-A and subprime private-label mortgage-related securities that we own or guarantee. The CoreLogic severity data reflect information from March 2011 remittances for February 2011 payments. For consistency purposes, we have adjusted the severity data, where appropriate.
 
(5) Average credit enhancement percentage reflects both subordination and financial guarantees. Reflects the ratio of the current amount of the securities that will incur losses in the securitization structure before any losses are allocated to securities that we own or guarantee. Percentage generally calculated based on the quotient of the total unpaid principal balance of all credit enhancements in the form of subordination or financial guarantee of the security divided by the total unpaid principal balance of all of the tranches of collateral pools from which credit support is drawn for the security that we own or guarantee.
 
(6) Reflects amount of unpaid principal balance supported by financial guarantees from monoline financial guarantors.


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