Fannie Mae 2014 Annual Report Download - page 132

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Table 39 displays the serious delinquency rates for, and the percentage of our total seriously delinquent single-family
conventional loans represented by, the specified loan categories. We also include information for our loans in California, as
this state accounts for a large share of our single-family conventional guaranty book of business. The reported categories are
not mutually exclusive.
Table 39: Single-Family Conventional Seriously Delinquent Loan Concentration Analysis
As of December 31,
2014 2013 2012
Percentage
of Book
Outstanding
Percentage
of Seriously
Delinquent
Loans(1)
Serious
Delinquency
Rate
Percentage
of Book
Outstanding
Percentage
of Seriously
Delinquent
Loans(1)
Serious
Delinquency
Rate
Percentage
of Book
Outstanding
Percentage
of Seriously
Delinquent
Loans(1)
Serious
Delinquency
Rate
States:
California. . . . . . . 20% 5% 0.70% 20% 6% 0.98% 19% 7% 1.69%
Florida . . . . . . . . . 6 15 4.42 6 19 6.89 6 21 10.06
Illinois . . . . . . . . . 4 6 2.36 4 6 3.12 4 6 4.70
New Jersey . . . . . 4 10 5.78 4 8 6.25 4 7 6.92
New York. . . . . . . 5 10 4.17 5 9 4.42 6 7 4.70
All other states. . . 61 54 1.52 61 52 1.85 61 52 2.56
Product type:
Alt-A . . . . . . . . . . 4 18 7.77 5 19 9.23 6 20 11.36
Vintages(2):
2004 and prior . . . 7 28 3.26 9 27 3.50 13 27 3.61
2005. . . . . . . . . . . 3 12 6.18 4 13 7.26 5 14 7.79
2006. . . . . . . . . . . 3 16 9.61 3 18 11.26 5 19 12.15
2007. . . . . . . . . . . 4 23 10.79 5 25 12.18 7 26 12.99
2008. . . . . . . . . . . 2 8 6.27 3 8 6.69 5 9 6.63
2009. . . . . . . . . . . 6 3 1.00 7 3 0.98 11 2 0.88
2010. . . . . . . . . . . 9 3 0.59 10 2 0.56 13 2 0.48
2011. . . . . . . . . . . 10 2 0.42 11 2 0.34 15 1 0.22
2012. . . . . . . . . . . 24 3 0.27 26 2 0.17 26 * 0.04
2013. . . . . . . . . . . 21 2 0.22 22 * 0.04 — — —
2014. . . . . . . . . . . 11 * 0.04 — — — — — —
Estimated mark-to-
market LTV ratio:
<= 60% . . . . . . . . 42 23 0.88 38 19 0.97 28 12 1.08
60.01% to 70% . . 19 12 1.36 19 11 1.47 15 8 1.84
70.01% to 80% . . 18 14 1.75 19 13 1.90 22 11 1.86
80.01% to 90% . . 10 14 3.04 11 14 3.53 13 12 3.50
90.01% to 100% .6 12 4.59 6 12 5.53 9 12 5.37
Greater than 100% .5 25 10.98 7 31 12.22 13 45 13.42
Credit
enhancement:
Credit enhanced. . 16 27 3.47 15 27 4.75 14 28 7.09
Non-credit
enhanced . . . . . 84 73 1.62 85 73 2.00 86 72 2.70
__________
* Represents less than 0.5% of single-family conventional business volume or book of business.
(1) Calculated based on the number of single-family loans that were seriously delinquent for each category divided by the total number of
single-family conventional loans that were seriously delinquent.
(2) The serious delinquency rates for loans acquired in more recent years will be higher after the loans have aged, but we do not expect
them to approach the levels of the December 31, 2014 serious delinquency rates of loans acquired in 2005 through 2008.