Print Page  |  Close Window

SEC Filings

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

FANNIE MAE
(In conservatorship)

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
(UNAUDITED)
 
The following table displays the modeled attributes, including default rates and severities, which are used to determine whether our senior interests in certain non-agency mortgage-related securities will experience a cash shortfall. Assumption of voluntary prepayment rates is also an input to the present value of expected losses.
 
                                         
    As of June 30, 2011
        Alt-A
    Subprime   Option ARM   Fixed Rate   Variable Rate   Hybrid Rate
    (Dollars in millions)
 
Vintage Year
                                       
2004 & Prior:
                                       
Unpaid principal balance
  $ 2,109     $ 498     $ 3,614     $ 516     $ 2,379  
Weighted average collateral default(1)
    37.9 %     38.5 %     11.4 %     32.9 %     15.8 %
Weighted average collateral severities(2)
    58.5 %     50.6 %     45.5 %     39.9 %     35.6 %
Weighted average voluntary prepayment rates(3)
    6.4 %     9.9 %     9.9 %     8.2 %     9.9 %
Average credit enhancement(4)
    51.2 %     17.3 %     12.0 %     22.1 %     10.6 %
2005
                                       
Unpaid principal balance
  $ 188     $ 1,348     $ 1,231     $ 553     $ 2,452  
Weighted average collateral default(1)
    73.3 %     59.3 %     40.7 %     55.7 %     39.2 %
Weighted average collateral severities(2)
    70.8 %     58.6 %     60.2 %     56.3 %     46.1 %
Weighted average voluntary prepayment rates(3)
    2.3 %     5.4 %     7.3 %     6.6 %     7.8 %
Average credit enhancement(4)
    64.9 %     28.2 %     1.8 %     18.6 %     5.9 %
2006
                                       
Unpaid principal balance
  $ 12,044     $ 1,289     $ 585     $ 1,672     $ 1,786  
Weighted average collateral default(1)
    77.8 %     74.6 %     41.7 %     59.0 %     32.7 %
Weighted average collateral severities(2)
    71.2 %     61.8 %     64.0 %     57.8 %     49.2 %
Weighted average voluntary prepayment rates(3)
    2.2 %     2.8 %     6.8 %     5.9 %     8.3 %
Average credit enhancement(4)
    18.8 %     21.8 %     1.2 %     0.9 %     1.2 %
2007 & After:
                                       
Unpaid principal balance
  $ 624     $     $     $     $ 122  
Weighted average collateral default(1)
    79.5 %     N/A       N/A       N/A       43.5 %
Weighted average collateral severities(2)
    66.9 %     N/A       N/A       N/A       55.7 %
Weighted average voluntary prepayment rates(3)
    1.9 %     N/A       N/A       N/A       6.9 %
Average credit enhancement(4)
    34.1 %     N/A       N/A       N/A       26.1 %
Total
                                       
Unpaid principal balance
  $ 14,965     $ 3,135     $ 5,430     $ 2,741     $ 6,739  
Weighted average collateral default(1)
    72.2 %     62.3 %     21.3 %     53.4 %     29.3 %
Weighted average collateral severities(2)
    69.3 %     58.6 %     50.8 %     54.1 %     43.4 %
Weighted average voluntary prepayment rates(3)
    2.8 %     5.0 %     9.0 %     6.5 %     8.7 %
Average credit enhancement(4)
    24.6 %     23.8 %     8.6 %     8.5 %     6.7 %
 
 
(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.


121