Fannie Mae 2008 Annual Report Download - page 135

Table 24: Delinquency Status of Loans Underlying Alt-A and Subprime Private-Label Securities
Loan Categories:
December 31,
2008
September 30,
2008
June 30,
2008
⭓60 Days Delinquent
(1)
Option ARM Alt-A loans:
2004 and prior . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22.97% 18.88% 15.95%
2005 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26.48 21.65 17.35
2006 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32.84 27.97 21.44
2007 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24.16 17.17 10.79
Other Alt-A loans:
2004 and prior . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.75 3.87 3.36
2005 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12.18 10.27 8.78
2006 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19.70 16.99 15.40
2007 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26.05 21.55 17.55
Subprime loans:
2004 and prior . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21.09 20.71 21.51
2005 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39.86 38.58 36.51
2006 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44.60 40.19 36.13
2007 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35.37 29.62 23.87
(1)
Delinquency data provided by Intex for Alt-A and subprime loans backing private-label securities that we own or
guarantee. However, we have adjusted the Intex delinquency data for consistency purposes, where appropriate, to
include in the delinquency rates all bankruptcies, foreclosures and real estate owned.
Other-than-temporary Impairment Assessment on Alt-A and Subprime Private-Label Securities
Our other-than-temporary impairment assessment as of December 31, 2008, which included an evaluation of
the individual performance of the securities and the potential for continued adverse developments, indicated a
continued increase in the level of uncertainty as to whether we would collect all principal and interest amounts
due in accordance with the contractual terms. As a result, we determined that we did not have sufficient
persuasive evidence to conclude that the impairment of certain available-for-sale securities was temporary. For
these securities, we recognized other-than-temporary impairment totaling $4.6 billion in the fourth quarter of
2008, of which $3.4 billion related to Alt-A securities with an unpaid principal balance of $10.1 billion as of
December 31, 2008, and $967 million related to subprime securities with an unpaid principal balance of
$4.0 billion as of December 31, 2008. Table 25 presents the other-than-temporary impairment losses recorded
on our investments in Alt-A and subprime private-label securities in 2008, including the fourth quarter of
2008, 2007 and the cumulative other-than-temporary impairment losses that we have recognized on these
investments as of December 31, 2008.
Table 25: Other-than-temporary Impairment Losses on Alt-A and Subprime Private-Label Securities
Q4
2008 2008 2007 Cumulative
For the Year
Ended
December 31,
As of December 31,
2008
(Dollars in millions)
Other-than-temporary impairment on private-label mortgage-related
securities backed by:
Alt-A mortgage loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $3,406 $4,820 $ — $4,820
Subprime mortgage loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 967 1,932 160 2,092
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $4,373 $6,752 $160 $6,912
The current market pricing of Alt-A and subprime securities, which reflects a significant discount to cost, has
been adversely affected by a significant reduction in the liquidity of these securities and market perceptions
that defaults on the mortgages underlying these securities will increase significantly. As a result, the current
fair value of some of these securities is substantially less than what we believe is indicated by the performance
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