Fannie Mae 2012 Annual Report Download - page 280

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-46
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* Represents less than 0.5% of the single-family conventional guaranty book of business.
(1) Consists of the portion of our single-family conventional guaranty book of business for which we have detailed loan level information,
which constituted approximately 99% of our total single-family conventional guaranty book of business as of December 31, 2012 and
2011.
(2) Consists of single-family conventional loans that were 90 days or more past due or in the foreclosure process as of December 31, 2012
and 2011.
(3) Calculated based on the aggregate unpaid principal balance of single-family conventional loans for each category divided by the
aggregate unpaid principal balance of loans in our single-family conventional guaranty book of business.
(4) Calculated based on the number of single-family conventional loans that were delinquent divided by the total number of loans in our
single-family conventional guaranty book of business.
(5) Calculated based on the number of single-family conventional loans that were seriously delinquent divided by the total number of
single-family conventional loans for each category included in our guaranty book of business.
(6) Consists of Illinois, Indiana, Michigan, and Ohio.
As of December 31,
2012(1)(2) 2011(1)(2)
30 Days
Delinquent Seriously Delinquent(3) 30 Days Delinquent Seriously Delinquent(3)
Percentage of multifamily guaranty book of business . . . . . . . . . . . . 0.23% 0.24% 0.11% 0.59%
As of December 31,
2012(1) 2011(1)
Percentage of
Multifamily
Guaranty Book
of Business(2)
Percentage
Seriously
Delinquent(3)(4)
Percentage of
Multifamily
Guaranty Book
of Business(2)
Percentage
Seriously
Delinquent(3)(4)
Original loan-to-value ratio:
Greater than 80% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4% 0.36% 5% 2.51%
Less than or equal to 80% . . . . . . . . . . . . . . . . . . . . . . . . 96 0.24 95 0.49
Original debt service coverage ratio:
Less than or equal to 1.10. . . . . . . . . . . . . . . . . . . . . . . . . 8 0.22 8 0.24
Greater than 1.10 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92 0.25 92 0.62
Current debt service coverage ratio less than 1.0(5) . . . . . . . . 5 2.11 7 3.66
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(1) Consists of the portion of our multifamily guaranty book of business for which we have detailed loan level information, which
constituted approximately 99% of our total multifamily guaranty book of business as of December 31, 2012 and 2011 excluding loans
that have been defeased.
(2) Calculated based on the aggregate unpaid principal balance of multifamily loans for each category divided by the aggregate unpaid
principal balance of loans in our multifamily guaranty book of business.
(3) Consists of multifamily loans that were 60 days or more past due as of the dates indicated.
(4) Calculated based on the unpaid principal balance of multifamily loans that were seriously delinquent divided by the aggregate unpaid
principal balance of multifamily loans for each category included in our guaranty book of business.
(5) Our estimates of current DSCRs are based on the latest available income information for these properties. Although we use the most
recently available results of our multifamily borrowers, there is a lag in reporting, which typically can range from 6 to 12 months.
Fannie Mae MBS Included in Investments in Securities
For Fannie Mae MBS included in “Investments in securities” in our consolidated balance sheets, we do not eliminate or
extinguish the guaranty arrangement because it is a contractual arrangement with the unconsolidated MBS trusts. We
determine the fair value of Fannie Mae MBS based on observable market prices because most Fannie Mae MBS are actively
traded. Fannie Mae MBS receive high credit quality ratings primarily because of our guaranty. Absent our guaranty, Fannie
Mae MBS would be subject to the credit risk on the underlying loans. We continue to recognize a guaranty obligation and a
reserve for guaranty losses associated with these securities because we carry these securities in our consolidated financial
statements as guaranteed Fannie Mae MBS. The fair value of the guaranty obligation, net of deferred profit, associated with