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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)


 
 
473

 
Dealer Mark
 
 
 
 
 
 
 
 
 
 
 
600

 
Discounted Cash Flow
 
Default Rate (%)
 
0.0
-
1.8
 
0.0

 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.0
-
8.0
 
0.0

 
 
 
 
 
 
 
Severity (%)
 
0.0
-
95.0
 
0.2

 
 
 
 
 
 
 
Spreads (bps)
 
230.0

-
336.0
 
321.8

 
 
 
251

 
Other
 
 
 
 
 
 
 
 
 
Total other
 
2,607

 
 
 
 
 
 
 
 
 
 
 
Total available-for-sale securities
 
$
13,471

 
 
 
 
 
 
 
 
 
 
 
 
 
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)
 
Mortgage loans of consolidated trusts:
 
 
 
 
 
 
 
 
 
 
 
 
 
Single-family
 
$
900

 
Build-Up
 
Default Rate (%)
 
0.0
-
98.0
 
14.9
 
 
 
 
 
 
 
Prepayment Speed (%)
 
3.8
-
99.7
 
16.9
 
 
 
 
 
 
 
Severity (%)
 
0.0
-
100.0
 
24.1
 
 
 
363

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
360

 
Discounted Cash Flow
 
Default Rate (%)
 
0.0
-
13.3
 
4.6
 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.1
-
11.6
 
7.3
 
 
 
 
 
 
 
Severity (%)
 
53.3
-
95.0
 
80.3
 
 
 
 
 
 
 
Spreads (bps)
 
145.0

-
655.0
 
212.6
 
 
 
4

 
Other
 
 
 
 
 
 
 
 
 
Total single-family
 
1,627

 
 
 
 
 
 
 
 
 
 
 
Multifamily
 
183

 
Build-Up
 
Spreads (bps)
 
56.0

-
340.4
 
146.5
 
Total mortgage loans of consolidated trusts
 
$
1,810

 
 
 
 
 
 
 
 
 
 
 
Net derivatives
 
$
(119
)
 
Internal Model
 
 
 
 
 
 
 
 
 
 
 
160

 
Dealer Mark
 
 
 
 
 
 
 
 
 
 
 
25

 
Other
 
 
 
 
 
 
 
 
 
Total net derivatives
 
$
66

 
 
 
 
 
 
 
 
 
 
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
 
$
(391
)
 
Discounted Cash Flow
 
 
 
 
 
 
 
 
 
Total of Fannie Mae
 
(391
)
 
 
 
 
 
 
 
 
 
 
 
Of consolidated trusts(4)
 
(290
)
 
Consensus
 
 
 
 
 
 
 
 
 
 
 
(156
)
 
Discounted Cash Flow
 
Default Rate (%)
 
0.0
-
5.0
 
2.3
 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.1
-
100.0
 
30.8
 
 
 
 
 
 
 
Severity (%)
 
60.0
-
95.0
 
76.9
 
 
 
 
 
 
 
Spreads (bps)
 
66.0

-
655.0
 
245.8
 
 
 
(101
)
 
Other
 
 
 
 
 
 
 
 
 
Total of consolidated trusts
 
(547
)
 
 
 
 
 
 
 
 
 
 
 
Total long-term debt
 
$
(938
)
 
 
 
 
 
 
 
 
 
 
 

117