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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 08/05/2011
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Table of Contents

information on our financial guarantor exposure and the counterparty risk associated with our financial guarantors.
 
Table 24:   Credit Statistics of Loans Underlying Alt-A and Subprime Private-Label Mortgage-Related Securities (Including Wraps)
 
                                                         
    As of June 30, 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
  $     $ 498     $       31.9 %     48.6 %     17.3 %   $  
2005
          1,349             45.1       57.8       42.2       262  
2006
          1,289             47.2       64.2       31.9       130  
2007
    2,010                   45.5       65.8       58.3       716  
Other Alt-A mortgage loans:
                                                       
2004 and prior
          6,508             10.3       58.8       12.4       13  
2005
    87       4,236       123       23.7       58.3       6.1        
2006
    66       4,043             29.6       59.0       1.1        
2007
    728             188       42.8       66.5       28.6       298  
2008(8)
          122                                
                                                         
Total Alt-A mortgage
                                                       
loans:
    2,891       18,045       311                               1,419  
                                                         
Subprime mortgage loans:
                                                       
2004 and prior(9)
          2,109       631       24.1       75.3       60.6       661  
2005(8)
          188       1,378       42.5       77.2       58.2       228  
2006
          12,044             47.9       77.6       18.6       52  
2007
    2,675       624       5,631       48.7       76.0       22.9       180  
                                                         
Total subprime mortgage loans:
    2,675       14,965       7,640                               1,121  
                                                         
Total Alt-A and subprime mortgage loans:
  $ 5,566     $ 33,010     $ 7,951                             $ 2,540  
                                                         
 
 
(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 June 2011 remittances for May 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 June 2011 remittances for May 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


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