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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)
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency(2)
 
$
6

 
Other
 
 
 
 
 
 
 
 
 
Alt-A private-label securities(3)
 
322

 
Single Vendor
 
Default Rate (%)
 
0.2
-
13.1
 
4.6
 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.2
-
20.5
 
8.2
 
 
 
 
 
 
 
Severity (%)
 
27.8
-
89.7
 
61.0
 
 
 
 
 
 
 
Spreads (bps)
 
190.0

-
315.0
 
264.9
 
 
 
493

 
Single Vendor
 
 
 
 
 
 
 
 
 
 
 
1,187

 
Consensus
 
Default Rate (%)
 
0.4
-
31.2
 
5.1
 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.1
-
48.9
 
11.0
 
 
 
 
 
 
 
Severity (%)
 
0.2
-
95.0
 
59.6
 
 
 
 
 
 
 
Spreads (bps)
 
183.8

-
240.0
 
236.7
 
 
 
691

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
403

 
Discounted Cash Flow
 
Default Rate (%)
 
5.0
-
11.5
 
7.0
 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.5
-
8.4
 
3.4
 
 
 
 
 
 
 
Severity (%)
 
35.1
-
92.4
 
54.2
 
 
 
 
 
 
 
Spreads (bps)
 
188.0

-
340.0
 
243.4
 
 
 
44

 
Other
 
 
 
 
 
 
 
 
 
Total Alt-A private-label securities
 
3,140

 
 
 
 
 
 
 
 
 
 
 
Subprime private-label securities(3)
 
383

 
Single Vendor
 
Default Rate (%)
 
2.1
-
8.3
 
5.5
 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.5
-
3.3
 
2.1
 
 
 
 
 
 
 
Severity (%)
 
65.4
-
95.0
 
78.5
 
 
 
 
 
 
 
Spreads (bps)
 
215.0

-
262.0
 
230.0
 
 
 
2,722

 
Consensus
 
Default Rate (%)
 
1.5
-
37.4
 
6.3
 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.1
-
17.7
 
2.6
 
 
 
 
 
 
 
Severity (%)
 
1.5
-
95.0
 
84.4
 
 
 
 
 
 
 
Spreads (bps)
 
155.0

-
265.0
 
220.0
 
 
 
1,755

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
317

 
Discounted Cash Flow
 
Default Rate (%)
 
3.0
-
12.3
 
7.0
 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.1
-
9.0
 
4.1
 
 
 
 
 
 
 
Severity (%)
 
28.9
-
91.8
 
81.2
 
 
 
 
 
 
 
Spreads (bps)
 
155.0

-
895.0
 
250.5
 
 
 
63

 
Other
 
 
 
 
 
 
 
 
 
Total subprime private-label securities
 
5,240

 
 
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
 
1,504

 
Single Vendor
 
Spreads (bps)
 
(11.5
)
-
361.5
 
52.7
 
 
 
418

 
Single Vendor
 
 
 
 
 
 
 
 
 
 
 
510

 
Dealer Mark
 
Spreads (bps)
 
222.8

-
322.1
 
265.9
 
 
 
1,581

 
Discounted Cash Flow
 
Spreads (bps)
 
(11.5
)
-
620.2
 
251.4
 
 
 
10

 
Other
 
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
 
4,023

 
 
 
 
 
 
 
 
 
 
 
Other
 
337

 
Single Vendor
 
Default Rate (%)
 
1.7
-
5.0
 
4.4
 
 
 
 
 
 
 
Prepayment Speed (%)
 
3.0
-
9.3
 
3.8
 
 
 
 
 
 
 
Severity (%)
 
4.0
-
94.6
 
69.6
 
 
 
 
 
 
 
Spreads (bps)
 
263.1

-
427.2
 
291.5
 
 
 
720

 
Consensus
 
Default Rate (%)
 
0.1
-
6.6
 
3.9
 
 
 
 
 
 
 
Prepayment Speed (%)
 
3.0
-
30.4
 
4.8
 
 
 
 
 
 
 
Severity (%)
 
0.4
-
95.0
 
62.4
 
 
 
 
 
 
 
Spreads (bps)
 
215.0

-
481.4
 
320.6
 
 
 
1,215

 
Dealer Mark
 
 
 
 
 
 
 
 
 
 
 
399

 
Other
 
 
 
 
 
 
 
 
 
Total other
 
2,671

 
 
 
 
 
 
 
 
 
 
 
Total available-for-sale securities
 
$
15,080

 
 
 
 
 
 
 
 
 
 
 

119