The credit performance of Fannie Mae's guaranteed nonprime mortgages continued to deteriorate and the percentage of seriously delinquent Alt-A loans jumped over 100 basis points during the third quarter to 4.92%.
Fannie has guaranteed $298 billion in Alt-A mortgages and MBS, which represent 10% of its single-family credit business but 48% of its credit losses. Nearly
7.25% of the Alt-A mortgages Fannie guaranteed in 2006 are 90 days or more past due and considered seriously delinquent. The percentage of mortgages in the same category for the 2007 book of business is 6.29%.
Also part of the government-sponsored enterprise's $29 billion loss for the third quarter was a $731 million fair value loss on its investments in $54.6 billion of private-label Alt-A and subprime MBS.