Fannie Mae 2006 Annual Report Download - page 308

vacancy rates for the mortgaged property. Vacancy rates vary among geographic regions of the United States.
The average mortgage values for multifamily loans are significantly larger than those for single-family
borrowers and therefore individual defaults for multifamily borrowers can be more significant to us. However,
these loans, while individually large, represent a small percentage of our total loan portfolio. Our multifamily
geographic concentrations have been consistently diversified over the three years ended December 31, 2006,
with our largest exposure in the Western region of the United States, which represented 32% of our
multifamily mortgage credit book of business. Except for California, where 26% and 29%, and New York,
where 14% and 12%, of the gross unpaid principal balance of our multifamily mortgage loans held or
securitized in Fannie Mae MBS as of December 31, 2006 and 2005, respectively, were located, no other
significant concentrations existed in any state.
As part of our multifamily risk management activities, we perform detailed loss reviews that evaluate borrower
and geographic concentrations, lender qualifications, counterparty risk, property performance and contract
compliance. We generally require servicers to submit periodic property operating information and condition
reviews so that we may monitor the performance of individual loans. We use this information to evaluate the
credit quality of our portfolio, identify potential problem loans and initiate appropriate loss mitigation
activities.
The following table displays the regional geographic concentration of single-family and multifamily loans in
portfolio and those loans held or securitized in Fannie Mae MBS as of December 31, 2006 and 2005.
2006 2005 2006 2005
As of December 31, As of December 31,
Multifamily
Mortgage Credit
Book
(3)
Single-family
Conventional
Mortgage Credit
Book
(2)
Geographic Concentration
(1)
Midwest ....................................... 17% 17% 9% 9%
Northeast . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 19 22 20
Southeast . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 23 24 23
Southwest ...................................... 16 16 13 13
West.......................................... 24 25 32 35
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100% 100% 100% 100%
(1)
Midwest includes IL, IN, IA, MI, MN, NE, ND, OH, SD and WI. Northeast includes CT, DE, ME, MA, NH, NJ, NY, PA, PR, RI, VT
and VI. Southeast includes AL, DC, FL, GA, KY, MD, NC, MS, SC, TN, VA and WV. Southwest includes AZ, AR, CO, KS, LA,
MO, NM, OK, TX and UT. West includes AK, CA, GU, HI, ID, MT, NV, OR, WA and WY.
(2)
Includes the portion of our conventional single-family mortgage credit book for which we have more detailed loan-level information,
which constituted approximately 95% and 94% of our total conventional single-family mortgage credit book of business as of
December 31, 2006 and 2005 respectively. Excludes non-Fannie Mae mortgage-related securities backed by single-family mortgage
loans and credit enhancements that we provide on single-family mortgage assets.
(3)
Includes mortgage loans in our portfolio, credit enhancements and outstanding Fannie Mae MBS (excluding Fannie Mae MBS backed
by non-Fannie Mae mortgage-related securities) where we have more detailed loan-level information, which constituted approximately
84% and 90% of our total multifamily mortgage credit book of business as of December 31, 2006 and 2005, respectively.
We maintain mortgage loans which include features that may result in increased credit risk when compared to
mortgage loans without those features. These loans are comprised of interest-only and negative-amortizing
loans. As of December 31, 2006 and 2005, interest-only loans comprised 5% and 4% of our single-family
mortgage credit book of business, respectively. As of both December 31, 2006 and 2005, negative-amortizing
loans comprised 2% of our single-family mortgage credit book of business. Additionally, we have loans where
the original loan to value ratio is greater than 80%. As of December 31, 2006 and 2005, these loans comprised
F-77
FANNIE MAE
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)