The attached chart provides information regarding delinquent loans backing our CL prefix MBS and our non-CL prefix MBS. The information is categorized by MBS pass-through rates with corresponding product type and vintage information (year of MBS issuance). The chart shows the total scheduled unpaid principal balances of loans that were delinquent as to four or more consecutive monthly payments and those balances as a percentage of total scheduled unpaid principal balances of all loans in the related MBS as of February 28, 2010. In addition, the corresponding delinquent loan count is now reflected in the chart.
The scheduled unpaid principal balance of single-family MBS loans that were delinquent as to four or more consecutive monthly payments as of February 28, 2010 was approximately $127.3 billion, compared to approximately $127.0 billion as of December 31, 2009. The changes between the amounts, as of December 31, 2009 and as of February 28, 2010, are the result of a variety of off-setting factors, which include additional loans becoming delinquent as to four consecutive monthly payments, purchases of delinquent loans out of MBS trusts and, to a lesser degree, payments received on loans.
Market participants should consult our June 1, 2009 MBS Prospectus for additional information regarding our trust agreement provisions and servicing practices regarding troubled loans, including purchases of delinquent loans from MBS trusts.
Please Note: Since the data contained in the chart is as of February 28, 2010, the chart does not reflect the March 2010 purchase activity from MBS, referenced in our March 18, 2010 announcement.
Last revised: 04/06/10