Fannie Mae 2011 Annual Report Download - page 299

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
model combines these factors with available current information regarding attributes of loans in pools backing
the private-label mortgage-related securities to project prepayment speeds, conditional default rates, loss
severities and delinquency rates. It incorporates detailed information on security-level subordination levels and
cash flow priority of payments to project security level cash flows. We have recorded other-than-temporary
impairments for the year ended December 31, 2011 based on this analysis, with amounts related to credit loss
recognized in our consolidated statements of operations and comprehensive loss. For securities we determined
were not other-than-temporarily impaired, we concluded that either the bond had no projected credit loss or if we
projected a loss, that the present value of expected cash flows was greater than the security’s cost basis.
The following table displays the modeled attributes, including default rates and severities, which are used to
determine whether our senior interests in certain non-agency mortgage-related securities will experience a cash
shortfall. Assumption of voluntary prepayment rates is also an input to the present value of expected losses.
As of December 31, 2011
Alt-A
Subprime Option ARM Fixed Rate Variable Rate Hybrid Rate
(Dollars in millions)
Vintage Year
2004 & Prior:
Unpaid principal balance ..................... $ 1,642 $ 479 $3,369 $ 487 $2,242
Weighted average collateral default(1) ............ 38.8% 37.8% 11.1% 32.1% 16.6%
Weighted average collateral severities(2) .......... 61.1 54.0 49.4 43.6 40.5
Weighted average voluntary prepayment rates(3) . . . 6.2 11.0 12.6 9.2 12.7
Average credit enhancement(4) ................. 51.3 15.5 12.1 22.5 10.4
2005
Unpaid principal balance ..................... $ 170 $1,297 $1,171 $ 525 $2,325
Weighted average collateral default(1) ............ 71.7% 56.1% 40.1% 53.7% 38.8%
Weighted average collateral severities(2) .......... 72.9 61.6 64.4 59.5 48.8
Weighted average voluntary prepayment rates(3) . . . 2.2 6.3 8.9 7.3 9.1
Average credit enhancement(4) ................. 65.8 23.4 1.3 16.9 5.1
2006
Unpaid principal balance ..................... $11,532 $1,192 $ 518 $1,576 $1,662
Weighted average collateral default(1) ............ 76.9% 68.9% 40.9% 59.0% 32.5%
Weighted average collateral severities(2) .......... 73.4 64.1 65.8 59.1 51.4
Weighted average voluntary prepayment rates(3) . . . 2.1 3.7 8.0 6.3 9.8
Average credit enhancement(4) ................. 17.3 17.3 1.6 1.5 0.3
2007 & After:
Unpaid principal balance ..................... $ 602 $ — $ — $ — $ 117
Weighted average collateral default(1) ............ 77.9% N/A N/A N/A 40.7%
Weighted average collateral severities(2) .......... 68.0 N/A N/A N/A 59.6
Weighted average voluntary prepayment rates(3) . . . 1.7 N/A N/A N/A 9.0
Average credit enhancement(4) ................. 33.3 N/A N/A N/A 25.9
Total
Unpaid principal balance ..................... $13,946 $2,968 $5,058 $2,588 $6,346
Weighted average collateral default(1) ............ 72.4% 58.3% 20.9% 52.8% 29.3%
Weighted average collateral severities(2) .......... 71.8 61.4 54.6 56.3 46.7
Weighted average voluntary prepayment rates(3) . . . 2.6 6.0 11.3 7.0 10.5
Average credit enhancement(4) ................. 22.6 19.7 8.5 8.6 6.1
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