Fannie Mae 2012 Annual Report Download - page 276

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-42
As of December 31, 2012
Alt-A
Subprime Option ARM Fixed Rate Variable Rate Hybrid Rate
(Dollars in millions)
Vintage Year
2004 & Prior:
Unpaid principal balance . . . . . . . . . . . . . . . . . . . $ 1,404 $ 438 $2,836 $ 431 $ 1,955
Weighted average collateral default(1) . . . . . . . . . 39.9%37.3%12.8%26.6%16.3%
Weighted average collateral severities(2) . . . . . . . 69.0 60.0 53.7 53.0 47.1
Weighted average voluntary prepayment rates(3) . 6.6 6.2 12.1 6.5 9.4
Average credit enhancement(4) . . . . . . . . . . . . . . . 51.9 11.4 12.1 23.0 9.2
2005
Unpaid principal balance . . . . . . . . . . . . . . . . . . . $ 136 $ 1,171 $1,015 $ 467 $ 2,058
Weighted average collateral default(1) . . . . . . . . . 66.5%51.0%36.6%46.7%33.3%
Weighted average collateral severities(2) . . . . . . . 74.3 66.1 64.5 62.7 54.7
Weighted average voluntary prepayment rates(3) . 2.6 4.8 7.3 5.4 6.0
Average credit enhancement(4) . . . . . . . . . . . . . . . 65.3 17.1 0.8 11.8 3.9
2006
Unpaid principal balance . . . . . . . . . . . . . . . . . . . $10,543 $ 995 $ 464 $ 1,400 $ 1,434
Weighted average collateral default(1) . . . . . . . . . 69.2%65.2%38.3%51.8%30.9%
Weighted average collateral severities(2) . . . . . . . 76.4 67.4 66.4 63.4 55.3
Weighted average voluntary prepayment rates(3) . 2.4 3.6 5.8 4.2 6.0
Average credit enhancement(4) . . . . . . . . . . . . . . . 13.1 11.2 0.2 0.6 —
2007 & After:
Unpaid principal balance . . . . . . . . . . . . . . . . . . . $ 570 $ — $ — $ — $ 101
Weighted average collateral default(1) . . . . . . . . . 64.6%N/A N/A N/A 37.1%
Weighted average collateral severities(2) . . . . . . . 66.9 N/A N/A N/A 57.2
Weighted average voluntary prepayment rates(3) . 1.9 N/A N/A N/A 6.9
Average credit enhancement(4) . . . . . . . . . . . . . . . 27.4 N/A N/A N/A 21.7
Total
Unpaid principal balance . . . . . . . . . . . . . . . . . . . $12,653 $ 2,604 $4,315 $ 2,298 $ 5,548
Weighted average collateral default(1) . . . . . . . . . 65.8%54.1%21.1%46.0%26.8%
Weighted average collateral severities(2) . . . . . . . 75.2 65.6 57.6 61.3 52.2
Weighted average voluntary prepayment rates(3) . 2.8 4.6 10.3 4.9 7.2
Average credit enhancement(4) . . . . . . . . . . . . . . . 18.6 13.9 8.2 7.1 5.1
__________
(1) The expected remaining cumulative default rate of the collateral pool backing the securities, as a percentage of the current collateral
unpaid principal balance, weighted by security unpaid principal balance.
(2) The expected remaining loss given default of the collateral pool backing the securities, calculated as the ratio of remaining cumulative
loss divided by cumulative defaults, weighted by security unpaid principal balance.
(3) The average monthly voluntary prepayment rate, weighted by security unpaid principal balance.
(4) The average percent current credit enhancement provided by subordination of other securities. Excludes excess interest projections and
monoline bond insurance.