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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 05/07/2015
Entire Document
 





FANNIE MAE
(In conservatorship)
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
(UNAUDITED)


(7) 
Gains (losses) are included in “Fair value losses, net” in our condensed consolidated statements of operations and comprehensive income.
(8) 
Gains (losses) are included in “Investment gains, net” in our condensed consolidated statements of operations and comprehensive income.

The following table displays valuation techniques and the range and the weighted average of significant unobservable inputs for our Level 3 assets and liabilities measured at fair value on a recurring basis as of March 31, 2015 and December 31, 2014.
 
 
Fair Value Measurements as of March 31, 2015
 
 
 
Fair Value
 
Significant Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted - Average(1)
 
 
 
(Dollars in millions)
 
Recurring fair value measurements:
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency(2)
 
$
2

 
Other
 
 
 
 
 
 
 
 
 
Alt-A private-label securities(3)
 
95

 
Single Vendor
 
Default Rate (%)
 
8.8
 
8.8

 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.3
 
2.3

 
 
 
 
 
 
 
Severity (%)
 
82.2
 
82.2
 
 
 
 
 
 
 
Spreads (bps)
 
281.2
 
281.2

 
 
 
78

 
Consensus
 
Default Rate (%)
 
4.7
-
14.2
 
6.3
 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.5
-
13.2
 
4.3

 
 
 
 
 
 
 
Severity (%)
 
36.4
-
46.5
 
38.1

 
 
 
 
 
 
 
Spreads (bps)
 
230.0

-
253.6
 
249.6

 
 
 
372

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
27

 
Other
 
 
 
 
 
 
 
 
 
Total Alt-A private-label securities
 
572

 
 
 
 
 
 
 
 
 
 
 
Subprime private-label securities(3)
 
322

 
Consensus
 
Default Rate (%)
 
4.3
-
9.8
 
5.9

 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.0
-
3.3
 
2.4

 
 
 
 
 
 
 
Severity (%)
 
65.0
-
95.0
 
82.9

 
 
 
 
 
 
 
Spreads (bps)
 
255.0
 
255.0

 
 
 
281

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
121

 
Discounted Cash Flow
 
Default Rate (%)
 
5.4
 
5.4

 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.2
 
2.2

 
 
 
 
 
 
 
Severity (%)
 
60.7
 
60.7

 
 
 
 
 
 
 
Spreads (bps)
 
255.0
 
255.0

 
 
 
152

 
Other
 
 
 
 
 
 
 
 
 
Total subprime private-label securities
 
876

 
 
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
 
723

 
Discounted Cash Flow
 
Spreads (bps)
 
27.5

-
323.4
 
253.1

 
 
 
19

 
Other
 
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
 
742

 
 
 
 
 
 
 
 
 
 
 
Other
 
94

 
Single Vendor
 
Spreads (bps)
 
383.4
 
383.4

 
Total trading securities
 
$
2,286

 
 
 
 
 
 
 
 
 
 
 

115