Fannie Mae 2010 Annual Report Download - page 317

Credit Quality Indicators
The following table displays the total recorded investment in our HFI loans, excluding loans for which we
have elected the fair value option, by portfolio segment, class and credit quality indicators as of December 31,
2010. The single-family credit quality indicator is updated quarterly and the multifamily credit quality
indicators are as of the origination date of each loan.
Primary
(3)
Alt-A Other
(4)
As of December 31, 2010
(1)(2)
(Dollars in millions)
Single-family
Estimated mark-to-market LTV ratio:
(5)
Less than or equal to 80% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,561,202 $ 79,305 $ 29,854
80.01% to 90% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 376,414 27,472 13,394
90.01% to 100% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 217,193 24,392 12,935
100.01% to 110%. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112,376 18,022 11,400
110.01% to 120%. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62,283 12,718 8,967
120.01% to 125%. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,729 5,083 3,733
Greater than 125% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106,288 40,160 25,096
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $2,457,485 $207,152 $105,379
As of December 31, 2010
(1)
(Dollars in millions)
Multifamily
Originating LTV ratio:
Less than or equal to 70%. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 96,844
70.01% to 80% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71,560
Greater than 80% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,110
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $172,514
Originating debt service coverage ratio:
Less than or equal to 1.10% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 15,034
1.11% to 1.25% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,745
Greater than 1.25% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106,735
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $172,514
(1)
Recorded investment consists of unpaid principal balance, net of unamortized premiums and discounts, other cost basis
and fair value adjustments and accrued interest receivable on HFI loans, excluding loans for which we have elected the
fair value option.
(2)
Excludes $52.5 billion of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of
its agencies that are not Alt-A loans. The segment class is primarily reverse mortgages for which we do not calculate
an estimated mark-to-market LTV.
(3)
Consists of mortgage loans that are not included in other loan classes.
(4)
Includes loans with higher-risk loan characteristics, such as interest-only loans and negative-amortizing loans that are
neither government nor Alt-A.
(5)
The aggregate estimated mark-to-market LTV ratio is based on the unpaid principal balance of the loan as of the end
of each reported period divided by the estimated current value of the property, which we calculate using an internal
valuation model that estimates periodic changes in home value.
F-59
FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)