Fannie Mae 2006 Annual Report Download - page 135

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We provide additional information regarding our off-balance sheet arrangements in “Off-Balance Sheet
Arrangements and Variable Interest Entities” above.
Factors affecting credit risk on loans in our single-family mortgage credit book of business include the
borrower’s financial strength and credit profile; the type of mortgage; the value and characteristics of the
property securing the mortgage; and economic conditions, such as changes in employment and home prices.
Factors that affect credit risk on a multifamily loan include the structure of the financing; the type and
location of the property; the condition and value of the property; the financial strength of the borrower and
lender; market and sub-market trends and growth; and the current and anticipated cash flows from the
property. These and other factors affect both the amount of expected credit loss on a given loan and the
sensitivity of that loss to changes in the economic environment.
Table 34 displays the composition of our entire mortgage credit book of business as of December 31, 2006,
2005 and 2004. Our single-family mortgage credit book of business accounted for approximately 94%, 94%
and 95% of our entire mortgage credit book of business as of December 31, 2006, 2005 and 2004,
respectively.
Table 34: Composition of Mortgage Credit Book of Business
Conventional
(3)
Government
(4)
Conventional
(3)
Government
(4)
Conventional
(3)
Government
(4)
Single-Family
(1)
Multifamily
(2)
Total
As of December 31, 2006
(Dollars in millions)
Mortgage portfolio:
(5)
Mortgage loans
(6)
. . . . . . . . . $ 302,597 $20,106 $ 59,374 $ 968 $ 361,971 $21,074
Fannie Mae MBS
(6)
. . . . . . . . 198,335 709 277 323 198,612 1,032
Agency mortgage-related
securities
(6)(7)
. . . . . . . . . . 29,987 1,995 — 56 29,987 2,051
Mortgage revenue bonds . . . . 3,394 3,284 7,897 2,349 11,291 5,633
Other mortgage-related
securities
(8)
. . . . . . . . . . . . 85,339 2,084 9,681 177 95,020 2,261
Total mortgage portfolio . . . . . . 619,652 28,178 77,229 3,873 696,881 32,051
Fannie Mae MBS held by third
parties
(9)
. . . . . . . . . . . . . . . . 1,714,815 19,069 42,184 1,482 1,756,999 20,551
Other
(10)
. . . . . . . . . . . . . . . . . 3,049 — 16,602 96 19,651 96
Mortgage credit book of
business . . . . . . . . . . . . $2,337,516 $47,247 $136,015 $5,451 $2,473,531 $52,698
120