Fannie Mae 2010 Annual Report Download - page 129

(4)
Excludes resecuritizations, or wraps, of private-label securities backed by subprime loans that we have guaranteed and
hold in our mortgage portfolio as Fannie Mae securities.
(5)
Includes a wrap transaction that has been partially consolidated on our balance sheet, which effectively resulted in a
portion of the underlying structure of the transaction being accounted for and reported as available-for-sale securities.
Table 27 presents the 60 days or more delinquency rates and average loss severities for the loans underlying
our Alt-A and subprime private-label mortgage-related securities for the most recent remittance period of the
current reporting quarter. The delinquency rates and average loss severities are based on available data
provided by Intex Solutions, Inc. (“Intex”) and First American CoreLogic, LoanPerformance (“First American
CoreLogic”). We also present the average credit enhancement and monoline financial guaranteed amount for
these securities as of December 31, 2010. Based on the stressed condition of some of our financial guarantors,
we believe some of these counterparties will not fully meet their obligation to us in the future. See “Risk
Management—Credit Risk Management—Institutional Counterparty Credit Risk Management—Financial
Guarantors” for additional information on our financial guarantor exposure and the counterparty risk
associated with our financial guarantors.
Table 27: Credit Statistics of Loans Underlying Alt-A and Subprime Private-Label Mortgage-Related Securities
(Including Wraps)
Trading
Available-
for-
Sale Wraps
(1)
ⱖ60 Days
Delinquent
(2)(3)
Average
Loss
Severity
(3)(4)
Average
Credit
Enhancement
(3)(5)
Monoline
Financial
Guaranteed
Amount
(6)
Unpaid Principal Balance
As of December 31, 2010
(Dollars in millions)
Private-label mortgage-related securities backed by:
(7)
Alt-A mortgage loans:
Option ARM Alt-A
mortgage loans:
2004 and prior . . . . . . . . $ — $ 521 $ — 33.5% 48.8% 19.5% $ —
2005 . . . . . . . . . . . . . . . — 1,401 — 44.3 54.1 43.8 272
2006 . . . . . . . . . . . . . . . — 1,379 — 46.6 58.9 33.9 155
2007 . . . . . . . . . . . . . . . 2,145 — — 45.8 60.0 60.2 781
Other Alt-A mortgage
loans:
2004 and prior . . . . . . . . — 6,927 — 10.1 56.8 12.3 14
2005 . . . . . . . . . . . . . . . 93 4,460 136 24.6 54.8 7.2 —
2006 . . . . . . . . . . . . . . . 68 4,384 — 30.6 56.0 2.3 —
2007 . . . . . . . . . . . . . . . 776 — 200 44.8 65.2 33.3 322
2008
(8)
............. — 129 — — — — —
Total Alt-A mortgage
loans: . . . . . . . . . . . . . . 3,082 19,201 336 1,544
Subprime mortgage loans:
2004 and prior
(9)
. . . . . . — 2,216 679 24.6 87.2 60.0 688
2005
(8)
. . . . . . . . . . . . . — 206 1,504 45.0 78.4 58.1 229
2006 . . . . . . . . . . . . . . . — 12,565 — 50.2 76.7 20.7 52
2007 . . . . . . . . . . . . . . . 2,767 656 5,833 49.5 73.2 24.2 183
Total subprime mortgage
loans: . . . . . . . . . . . . . . 2,767 15,643 8,016 1,152
Total Alt-A and subprime
mortgage loans: . . . . . . . $5,849 $34,844 $8,352 $2,696
(1)
Represents our exposure to private-label Alt-A and subprime mortgage-related securities that have been resecuritized
(or wrapped) to include our guarantee.
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