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{ 69 } Fannie Mae 2001 Annual Report
The following table presents the distribution of conventional
single-family loans in portfolio and underlying MBS
outstanding by original LTV and primary default risk at
December 31, 2001 and 2000.
LTV Ratio
2001 Gross 60% Over
Dollars in millions UPB or less 61–70% 71–75% 76–80% 81–90% 90% Total
Fannie Mae risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,260,770 19% 15% 15% 29% 11% 11% 100%
Lender or shared risk . . . . . . . . . . . . . . . . . . . . . . . 187,998 5 7 11 35 21 21 100
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,448,768 17% 14% 14% 29% 13% 13% 100%
LTV Ratio
2000 Gross 60% Over
Dollars in millions UPB or less 61–70% 71–75% 76–80% 81–90% 90% Total
Fannie Mae risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,003,068 19% 15% 15% 26% 14% 11% 100%
Lender or shared risk . . . . . . . . . . . . . . . . . . . . . . . . . 208,464 5 8 11 34 22 20 100
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,211,532 16% 14% 15% 27% 15% 13% 100%
The rate at which mortgage loans prepay tends to be
sensitive to the level and direction of prevailing market
interest rates. In a declining interest rate environment,
higher-rate mortgage loans will pay off at a faster rate.
Conversely, in an increasing interest rate environment,
lower-rate mortgage loans will prepay at a slower rate.
The following table presents the distribution of fixed-rate,
single-family loans in the mortgage portfolio or underlying
MBS by note rate at December 31, 2001 and 2000.
Fixed-Rate Loans by Note Rate1
7.00% 8.00% 9.00% 10.00%
Gross UPB at December 31, Under to to to and
Dollars in billions 7.00% 7.99% 8.99% 9.99% over Total
2001 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $478 $641 $159 $24 $10 $1,312
Percent of total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36% 49% 12% 2% 1% 100%
2000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $285 $536 $ 218 $28 $10 $ 1,077
Percent of total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26% 50% 20% 3% 1% 100%
1Excludes housing revenue bonds and non-Fannie Mae securities.
16. Disclosures of Fair Value of
Financial Instruments
The basic assumptions used and the estimates disclosed in
the Fair Value Balance Sheets represent management’s best
judgment of appropriate valuation methods. These estimates
are based on pertinent information available to management
as of December 31, 2001 and 2000. In certain cases, fair
values are not subject to precise quantification or verification
and may change as economic and market factors, and
management’s evaluation of those factors, change.
Although management uses its best judgment in estimating
the fair value of these financial instruments, there are
inherent limitations in any estimation technique. Therefore,
these fair value estimates are not necessarily indicative of the
amounts that Fannie Mae would realize in a market
transaction. The accompanying Fair Value Balance Sheets
do not represent an estimate of the overall market value of
Fannie Mae as a going concern, which would take into
account future business opportunities.