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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 05/07/2015
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FANNIE MAE
(In conservatorship)
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
(UNAUDITED)


 
 
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)
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency(2)
 
$
210

 
Other
 
 
 
 
 
 
 
 
 
Alt-A private-label securities(3)
 
266

 
Single Vendor
 
Default Rate (%)
 
1.7
-
10.4
 
4.7

 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.4
-
9.1
 
4.5

 
 
 
 
 
 
 
Severity (%)
 
34.4
-
94.9
 
60.7

 
 
 
 
 
 
 
Spreads (bps)
 
190.1

-
330.0
 
246.5

 
 
 
784

 
Consensus
 
Default Rate (%)
 
0.0
-
15.2
 
4.3

 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.2
-
34.4
 
12.0

 
 
 
 
 
 
 
Severity (%)
 
15.9
-
95.0
 
65.3

 
 
 
 
 
 
 
Spreads (bps)
 
144.9

-
230.0
 
225.8

 
 
 
795

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
224

 
Dealer Mark
 
 
 
 
 
 
 
 
 
 
 
243

 
Discounted Cash Flow
 
Default Rate (%)
 
1.8
-
5.4
 
3.0

 
 
 
 
 
 
 
Prepayment Speed (%)
 
6.2
-
15.2
 
9.4

 
 
 
 
 
 
 
Severity (%)
 
35.0
-
64.0
 
54.6

 
 
 
 
 
 
 
Spreads (bps)
 
188.0

-
348.5
 
296.8

 
 
 
174

 
Other
 
 
 
 
 
 
 
 
 
Total Alt-A private-label securities
 
2,486

 
 
 
 
 
 
 
 
 
 
 
Subprime private-label securities(3)
 
286

 
Single Vendor
 
 
 
 
 
 
 
 
 
 
 
2,362

 
Consensus
 
Default Rate (%)
 
1.0
-
91.8
 
6.6

 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.1
-
21.5
 
2.4

 
 
 
 
 
 
 
Severity (%)
 
28.0
-
95.0
 
82.8

 
 
 
 
 
 
 
Spreads (bps)
 
145.0

-
255.0
 
208.9

 
 
 
1,233

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
232

 
Dealer Mark
 
Default Rate (%)
 
8.5
-
9.0
 
8.8

 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.8
-
2.0
 
1.9

 
 
 
 
 
 
 
Severity (%)
 
77.8
-
95.0
 
86.9

 
 
 
 
 
 
 
Spreads (bps)
 
205.0
 
205.0

 
 
 
247

 
Dealer Mark
 
 
 
 
 
 
 
 
 
 
 
248

 
Other
 
 
 
 
 
 
 
 
 
Total subprime private-label securities
 
4,608

 
 
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
 
1,365

 
Single Vendor
 
Spreads (bps)
 
10.0

-
466.6
 
71.3

 
 
 
229

 
Single Vendor
 
 
 
 
 
 
 
 
 
 
 
267

 
Dealer Mark
 
Spreads (bps)
 
197.2

-
316.1
 
299.0

 
 
 
1,517

 
Discounted Cash Flow
 
Spreads (bps)
 
10.0

-
396.6
 
244.6

 
 
 
182

 
Other
 
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
 
3,560

 
 
 
 
 
 
 
 
 
 
 
Other
 
713

 
Consensus
 
Default Rate (%)
 
0.0
-
5.0
 
4.2

 
 
 
 
 
 
 
Prepayment Speed (%)
 
3.0
-
14.2
 
4.3

 
 
 
 
 
 
 
Severity (%)
 
0.0
-
95.0
 
61.1

 
 
 
 
 
 
 
Spreads (bps)
 
205.0

-
428.3
 
289.2

 
 
 
206

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
364

 
Dealer Mark
 
Default Rate (%)
 
5.0
 
5.0

 
 
 
 
 
 
 
Prepayment Speed (%)
 
3.0
 
3.0

 
 
 
 
 
 
 
Severity (%)
 
85.0
 
85.0

 
 
 
 
 
 
 
Spreads (bps)
 
245.4

-
410.5
 
299.6

 

116