Fannie Mae 2009 Annual Report Download - page 123

(1)
Represents our exposure to private-label Alt-A and subprime mortgage-related securities that have been resecuritized
(or wrapped) to include our guaranty. The unpaid principal balance of these Fannie Mae guaranteed securities held by
third parties is included in outstanding and unconsolidated Fannie Mae MBS held by third parties. We include incurred
credit losses related to these wraps in our reserve for guaranty losses.
(2)
Delinquency data provided by Intex, where available, for loans backing Alt-A and subprime private-label securities
that we own or guarantee. The reported Intex delinquency data reflects information from December 2009 remittances
for November 2009 payments. For consistency purposes, we have adjusted the Intex delinquency data, where
appropriate, to include all bankruptcies, foreclosures and real estate owned in the delinquency rates.
(3)
The average delinquency and severity metrics are calculated at loan level for each loan pool associated with securities
where Fannie Mae has exposure and are weighted based on the unpaid principal balance of those securities.
(4)
Severity data obtained from First American CoreLogic, where available, for loans backing Alt-A and subprime private-
label mortgage-related securities that we own or guarantee. The First American CoreLogic severity data reflects
information from December 2009 remittances for November 2009 payments. For consistency purposes, we have
adjusted the severity data, where appropriate.
(5)
Average credit enhancement percentage reflects both subordination and financial guarantees. Reflects the ratio of the
current amount of the securities that will incur losses in the securitization structure before any losses are allocated to
securities that we own or guarantee. Percentage generally calculated based on the quotient of the total unpaid principal
balance of all credit enhancement in the form of subordination or financial guarantee of the security divided by the
total unpaid principal balance of all of the tranches of collateral pools from which credit support is drawn for the
security that we own or guarantee.
(6)
Reflects amount of unpaid principal balance supported by financial guarantees from monoline financial guarantors.
(7)
Vintages are based on series date and not loan origination date.
(8)
The unpaid principal balance includes private-label REMIC securities that have been resecuritized totaling
$145 million for the 2008 vintage of other Alt-A loans and $43 million for the 2005 vintage of subprime loans. These
securities are excluded from the delinquency, severity and credit enhancement statistics reported in this table.
(9)
Includes a wrap transaction that was consolidated on our balance sheet which effectively resulted in the underlying
structure of the transaction being accounted for and reported as available-for-sale securities. Although the wrap
transaction is supported by financial guarantees that cover all of our credit risk, we have not included the amount of
these financial guarantees in this table.
Debt Instruments
We issue debt instruments as the primary means to fund our mortgage investments and manage interest rate
risk exposure. Our total outstanding debt, which consists of federal funds purchased and securities sold under
agreements to repurchase, short-term debt and long-term debt, decreased to $774.6 billion as of December 31,
2009, from $870.5 billion as of December 31, 2008. We provide a summary of our debt activity for 2009,
2008 and 2007 and a comparison of the mix between our outstanding short-term and long-term debt as of
December 31, 2009 and 2008 in “Liquidity and Capital Management—Liquidity Management—Debt
Funding—Debt Funding Activity.” Also see “Note 9, Short-term Borrowings and Long-term Debt” for
additional detail on our outstanding debt.
Derivative Instruments
We supplement our issuance of debt with interest rate-related derivatives to manage the prepayment and
duration risk inherent in our mortgage investments. We aggregate, by derivative counterparty, the net fair value
gain or loss, less any cash collateral paid or received, and report these amounts in our consolidated balance
sheets as either assets or liabilities. We present, by derivative instrument type, the estimated fair value of
derivatives recorded in our consolidated balance sheets and the related outstanding notional amount as of
December 31, 2009 and 2008 in “Note 10, Derivative Instruments and Hedging Activities.”
We refer to the difference between the derivative assets and derivative liabilities recorded on our consolidated
balance sheets as our net derivative asset or liability. Table 27 provides an analysis of the factors driving the
change in the estimated fair value of our net derivative liability, excluding mortgage commitments, recorded in
our consolidated balance sheets between December 31, 2008 and 2009.
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