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SEC Filings

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

 
Table 14:  Credit Loss Performance Metrics
 
                                                                 
    For the Three Months Ended June 30,     For the Six Months Ended June 30,  
    2011     2010     2011     2010  
    Amount     Ratio(1)     Amount     Ratio(1)     Amount     Ratio(1)     Amount     Ratio(1)(2)  
    (Dollars in millions)  
 
Charge-offs, net of recoveries
  $ 3,881       50.4 bp   $ 6,093       79.7 bp   $ 8,585       55.9 bp   $ 10,937       71.2 bp
Foreclosed property expense (income)
    (478 )     (6.2 )     487       6.4       10       0.1       468       3.1  
                                                                 
Credit losses including the effect of fair value losses on acquired credit-impaired loans
    3,403       44.2       6,580       86.1       8,595       56.0       11,405       74.3  
Less: Fair value losses resulting from acquired credit-impaired loans
    (31 )     (0.4 )     (47 )     (0.6 )     (62 )     (0.4 )     (105 )     (0.7 )
Plus: Impact of acquired credit-impaired loans on charge-offs and foreclosed property expense
    560       7.3       512       6.7       1,085       7.1       892       5.8  
                                                                 
Credit losses and credit loss ratio
  $ 3,932       51.1 bp   $ 7,045       92.2 bp   $ 9,618       62.7 bp   $ 12,192       79.4 bp
                                                                 
Credit losses attributable to:
                                                               
Single-family
  $ 3,810             $ 6,923             $ 9,414             $ 11,985          
Multifamily
    122               122               204               207          
                                                                 
Total
  $ 3,932             $ 7,045             $ 9,618             $ 12,192          
                                                                 
Average single-family default rate
            0.46 %             0.53 %             0.90 %             0.99 %
Average single-family initial charge-off severity rate(3)
            34.47 %             34.30 %             35.29 %             34.80 %
Average multifamily default rate
            0.17 %             0.14 %             0.29 %             0.24 %
Average multifamily initial charge-off severity rate(3)
            35.82 %             38.74 %             36.23 %             39.34 %
 
 
(1) Basis points are based on the annualized amount for each line item presented divided by the average guaranty book of business during the period.
 
(2) Beginning in the second quarter of 2010, expenses relating to preforeclosure taxes and insurance were recorded as charge-offs. These expenses were recorded as foreclosed property expense in the first quarter of 2010. The impact of including these costs in charge-offs was 3.0 basis points for the six months ended June 30, 2010.
 
(3) Single-family and multifamily rates exclude fair value losses on credit-impaired loans acquired from MBS trusts and any costs, gains or losses associated with REO after initial acquisition through final disposition; single-family rate excludes charge-offs from preforeclosure sales.
 
The decrease in our credit losses in the second quarter and first half of 2011 compared with both the second quarter and first half of 2010 was primarily due to an increase in estimated amounts due to or received by us related to outstanding repurchase requests. While defaults remain high, defaults in the second quarter and first half of 2011 were lower than they would have been due to delays in the foreclosure process. See “Executive Summary—Foreclosure Delays and Changes in the Foreclosure Environment” for information regarding the current foreclosure environment.
 
Our 2009, 2010 and 2011 vintages accounted for approximately 2% of our single-family credit losses for the second quarter and first half of 2011. Typically, credit losses on mortgage loans do not peak until later years in the loan cycle following origination. We provide more detailed credit performance information, including serious delinquency rates by geographic region, statistics on nonperforming loans and foreclosure activity in “Risk Management—Credit Risk Management—Mortgage Credit Risk Management.”
 
Regulatory Hypothetical Stress Test Scenario
 
Under a September 2005 agreement with FHFA’s predecessor, the Office of Federal Housing Enterprise Oversight, we are required to disclose on a quarterly basis the present value of the change in future expected


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