Fannie Mae 2014 Annual Report Download - page 11

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Single-Family Mortgage Credit Risk Management,” including “Table 36: Risk Characteristics of Single-Family Conventional
Business Volume and Guaranty Book of Business.”
We continue to experience disproportionately higher credit losses and serious delinquency rates from single-family loans
originated in 2005 through 2008 than from loans originated in other years. Single-family loans originated in 2005 through
2008 constituted 12% of our single-family book of business as of December 31, 2014, but constituted 59% of our seriously
delinquent loans as of December 31, 2014 and drove 75% of our 2014 credit losses. For information on the credit
performance of our single-family book of business based on loan vintage, see “Table 15: Credit Loss Concentration Analysis”
in “MD&A—Consolidated Results of Operations—Credit-Related Income—Credit Loss Performance Metrics” and “Table
39: Single-Family Conventional Seriously Delinquent Loan Concentration Analysis” in “MD&A—Risk Management—
Credit Risk Management—Single-Family Mortgage Credit Risk Management.” For information on certain credit
characteristics of our single-family book of business based on the period in which we acquired the loans, see “Table 33:
Selected Credit Characteristics of Single-Family Conventional Guaranty Book of Business, by Acquisition Period” in
“MD&A—Risk Management—Credit Risk Management—Single-Family Mortgage Credit Risk Management.”
We provide additional information on our credit-related expense or income in “Consolidated Results of Operations—Credit-
Related Income” and on the credit performance of mortgage loans in our single-family book of business in “Risk
Management—Credit Risk Management—Single-Family Mortgage Credit Risk Management.”
We provide more information on our efforts to reduce our credit losses in “MD&A—Risk Management—Credit Risk
Management—Single-Family Mortgage Credit Risk Management” and “MD&A—Risk Management—Institutional
Counterparty Credit Risk Management.” See also “Risk Factors,” where we describe factors that may adversely affect the
success of our efforts, including our reliance on third parties to service our loans, conditions in the foreclosure environment,
and risks relating to our mortgage insurer counterparties.
Recently Acquired Single-Family Loans
Table 2 below displays information regarding our average charged guaranty fee on and select risk characteristics of the
single-family loans we acquired in each of the last five years. Table 2 also displays the volume of our single-family Fannie
Mae MBS issuances for these periods, which is indicative of the volume of single-family loans we acquired in these periods.
Table 2: Single-Family Acquisitions Statistics
For the Year Ended December 31,
2014 2013 2012 2011 2010
(Dollars in millions)
Single-family average charged guaranty fee on new
acquisitions (in basis points)(1)(2) . . . . . . . . . . . . . . 62.9 57.4 39.9 28.8 25.7
Single-family Fannie Mae MBS issuances. . . . . . . . $375,676 $733,111 $827,749 $564,606 $603,247
Select risk characteristics of single-family
conventional acquisitions:(3)
Weighted average FICO® credit score at
origination. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 744 753 761 762 762
FICO credit score at origination less than 660 . . . . 7%5%3%2%2%
Weighted average original LTV ratio(4) . . . . . . . . . 77 %76 %75 %69 %68 %
Original LTV ratio over 80%(4)(5) . . . . . . . . . . . . . . 32 %29 %25 %18 %16 %
Original LTV ratio over 95%(4)(6) . . . . . . . . . . . . . . 4%10 %11 %4%3%
Loan purpose:
Purchase . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52 %30 %21 %24 %22 %
Refinance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48 %70 %79 %76 %78 %
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(1) For the periods 2012 forward, includes the impact of a 10 basis point guaranty fee increase implemented in April 2012 pursuant to the
Temporary Payroll Tax Cut Continuation Act of 2011, the incremental revenue from which must be remitted to Treasury. The resulting
revenue is included in guaranty fee income and the expense is recognized in “TCCA fees.”
(2) Calculated based on the average contractual fee rate for our single-family guaranty arrangements entered into during the period plus the
recognition of any upfront cash payments ratably over an estimated average life, expressed in basis points.
(3) Calculated based on unpaid principal balance of single-family loans for each category at time of acquisition.