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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 December 31, 2014
 
 
 
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)(4)
 
$
153

 
Single Vendor
 
Prepayment Speed (%)
 
100.0
 
100.0
 
 
 
 
 
 
 
Spreads (bps)
 
256.5
-
350.8
 
293.4
 
 
 
130

 
Consensus
 
Prepayment Speed (%)
 
100.0
 
100.0
 
 
 
 
 
 
 
Spreads (bps)
 
184.6
-
219.5
 
197.5
 
 
 
22

 
Other
 
 
 
 
 
 
 
 
 
Total Agency
 
305

 
 
 
 
 
 
 
 
 
 
 
Alt-A private-label securities(3)
 
290

 
Single Vendor
 
Default Rate (%)
 
8.3
-
9.1
 
8.5
 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.9
-
3.2
 
3.1
 
 
 
 
 
 
 
Severity (%)
 
79.5
-
95.0
 
90.4
 
 
 
 
 
 
 
Spreads (bps)
 
267.2
-
308.2
 
279.4
 
 
 
66

 
Consensus
 
Default Rate (%)
 
5.4
 
5.4
 
 
 
 
 
 
 
Prepayment Speed (%)
 
7.0
 
7.0
 
 
 
 
 
 
 
Severity (%)
 
48.8
 
48.8
 
 
 
 
 
 
 
Spreads (bps)
 
264.8
 
264.8
 
 
 
151

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
90

 
Other
 
 
 
 
 
 
 
 
 
Total Alt-A private-label securities
 
597

 
 
 
 
 
 
 
 
 
 
 
Subprime private-label securities(3)
 
422

 
Consensus
 
Default Rate (%)
 
3.5
-
11.8
 
7.2
 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.4
-
5.2
 
2.8
 
 
 
 
 
 
 
Severity (%)
 
72.1
-
95.0
 
85.9
 
 
 
 
 
 
 
Spreads (bps)
 
265.0
 
265.0
 
 
 
549

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
290

 
Discounted Cash Flow
 
Default Rate (%)
 
4.3
-
6.2
 
5.2
 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.3
-
4.2
 
3.3
 
 
 
 
 
 
 
Severity (%)
 
62.2
-
95.0
 
73.8
 
 
 
 
 
 
 
Spreads (bps)
 
265.0
-
382.1
 
283.7
 
 
 
46

 
Other
 
 
 
 
 
 
 
 
 
Total subprime private-label securities
 
1,307

 
 
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
 
161

 
Dealer Mark
 
Spreads (bps)
 
288.1
 
288.1
 
 
 
540

 
Discounted Cash Flow
 
Spreads (bps)
 
6.0
-
318.0
 
263.0
 
 
 
21

 
Other
 
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
 
722

 
 
 
 
 
 
 
 
 
 
 
Other
 
99

 
Dealer Mark
 
 
 
 
 
 
 
Total trading securities
 
$
3,030

 
 
 
 
 
 
 
 
 
 
 



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