Fannie Mae 2013 Annual Report Download - page 89

84
__________
(1) Basis points are based on the amount for each line item presented divided by the average guaranty book of business during the period.
(2) Includes fair value losses from acquired credit-impaired loans.
(3) Single-family and multifamily rates exclude fair value losses on credit-impaired loans acquired from MBS trusts and any costs, gains or
losses associated with REO after initial acquisition through final disposition. Single-family rate excludes charge-offs from short sales
and third-party sales. Multifamily rate is net of any risk sharing agreements.
Credit losses decreased in 2013 compared with 2012 primarily due to the recognition of compensatory fee income in 2013
related to servicing matters and gains resulting from resolution agreements reached in 2013 related to representation and
warranty matters. Also contributing to the decrease in credit losses in 2013 was an improvement in sales prices on
dispositions of our REO properties and lower REO acquisitions primarily driven by lower delinquencies.
The decrease in credit losses in 2012 compared with 2011 was primarily due to improved actual home prices and sales prices
of our REO properties and lower REO acquisitions primarily due to the continued slow pace of foreclosures in 2012.
We discuss our expectations regarding our future credit losses in “Executive Summary—Outlook—Credit Losses.”
Table 16 displays concentrations of our credit losses based on geography, credit characteristics and loan vintages.
Table 16: Credit Loss Concentration Analysis
Percentage of Single-
Family Conventional
Guaranty Book of
Business
Outstanding(1) Percentage of Single- Family Credit Losses(2)
As of December 31, For the Year Ended December 31,
2013 2012 2011 2013 2012 2011
Geographical Distribution:
California . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20% 19% 19% 5% 18% 27%
Florida. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 6 6 29 21 11
Illinois. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 4 4 13 10 4
All other states . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70 71 71 53 51 58
Select higher-risk product features(3). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23 22 21 55 54 56
Vintages:
2005 - 2008. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 22 31 78 82 83
All other vintages . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85 78 69 22 18 17
__________
(1) Calculated based on the unpaid principal balance of loans, where we have detailed loan-level information, for each category divided by
the unpaid principal balance of our single-family conventional guaranty book of business.
(2) Excludes the impact of recoveries resulting from resolution agreements related to representation and warranty matters and
compensatory fee income related to servicing matters, which have not been allocated to specific loans.
(3) Includes Alt-A loans, subprime loans, interest-only loans, loans with original LTV ratios greater than 90% and loans with FICO credit
scores less than 620.
Our new single-family book of business accounted for approximately 10% of our single-family credit losses for 2013,
excluding the impact of recoveries resulting from resolution agreements related to representation and warranty matters and
compensatory fee income related to servicing matters, which have not been allocated to specific loans. Credit losses on
mortgage loans typically do not peak until the third through sixth years following origination; however, this range can vary
based on many factors, including changes in macroeconomic conditions and foreclosure timelines. We provide more detailed
credit performance information, including serious delinquency rates by geographic region and foreclosure activity, in “Risk
Management—Credit Risk Management—Mortgage Credit Risk Management.”
Regulatory Hypothetical Stress Test Scenario
Under a September 2005 agreement with FHFA’s predecessor, OFHEO, we are required to disclose on a quarterly basis the
present value of the change in future expected credit losses from our existing single-family guaranty book of business from
an immediate 5% decline in single-family home prices for the entire United States followed by a return to the average of the