Fannie Mae 2012 Annual Report Download - page 279

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-45
For single-family loans, management monitors the serious delinquency rate, which is the percentage of single-family loans 90
days or more past due or in the foreclosure process, and loans that have higher risk characteristics, such as high mark-to-
market LTV ratios.
For multifamily loans, management monitors the serious delinquency rate, which is the percentage of loans 60 days or more
past due, and other loans that have higher risk characteristics, to determine our overall credit quality indicator. Higher risk
characteristics include, but are not limited to, original debt service coverage ratios (“DSCR”) below 1.10, current DSCR
below 1.0, and high original and current estimated LTV ratios. We stratify multifamily loans into different internal risk
categories based on the credit risk inherent in each individual loan.
For single-family and multifamily loans, we use this information, in conjunction with housing market and economic
conditions, to structure our pricing and our eligibility and underwriting criteria to reflect the current risk of loans with these
higher-risk characteristics, and in some cases we decide to significantly reduce our participation in riskier loan product
categories. Management also uses this data together with other credit risk measures to identify key trends that guide the
development of our loss mitigation strategies.
The following tables display the current delinquency status and certain higher risk characteristics of our single-family
conventional and total multifamily guaranty book of business as of December 31, 2012 and 2011.
As of December 31,
2012(1) 2011(1)
30 Days
Delinquent 60 Days Delinquent Seriously Delinquent(2) 30 Days Delinquent 60 Days Delinquent Seriously Delinquent(2)
Percentage of single-family conventional guaranty
book of business(3) . . . . . . . . . . . . . . . . . . . . . . . . 1.75% 0.63% 3.66% 1.98% 0.73% 4.47%
Percentage of single-family conventional loans(4). . 1.96 0.66 3.29 2.17 0.74 3.91
As of December 31,
2012(1) 2011(1)
Percentage of
Single-Family
Conventional
Guaranty Book
of Business(3)
Percentage
Seriously
Delinquent(2)(5)
Percentage of
Single-Family
Conventional
Guaranty Book
of Business(3)
Percentage
Seriously
Delinquent(2)(5)
Estimated mark-to-market loan-to-value ratio:
Greater than 100% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13% 13.42% 18% 13.76%
Geographical distribution:
Arizona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 2.14 2 3.65
California . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 1.69 19 2.46
Florida. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 10.06 6 11.80
Nevada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 6.70 1 7.42
Select Midwest states(6) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 3.51 10 4.39
All other states . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62 2.85 62 3.18
Product distribution:
Alt-A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 11.36 7 12.43
Subprime. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . * 20.60 * 23.18
Vintages:
2005. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 7.79 7 7.27
2006. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 12.15 7 11.81
2007. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 12.99 10 12.62
2008. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 6.63 7 5.64
All other vintages . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78 1.36 69 1.59
Select combined risk characteristics:
Original LTV ratio > 90% and FICO score < 620. . . . . . . . . . . 1 14.76 1 18.67