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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)


 
 
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)
 
Mortgage loans of consolidated trusts:
 
 
 
 
 
 
 
 
 
 
 
 
 
Single-family
 
$
934

 
Build-Up
 
Default Rate (%)
 
0.0

-
99.0
 
14.9

 
 
 
 
 
 
 
Prepayment Speed (%)
 
3.6

-
99.8
 
16.3

 
 
 
 
 
 
 
Severity (%)
 
3.4
-
100.0
 
23.7

 
 
 
279

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
402

 
Discounted Cash Flow
 
Default Rate (%)
 
2.7
-
13.1
 
5.5

 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.1
-
13.5
 
7.5

 
 
 
 
 
 
 
Severity (%)
 
35.5
-
95.0
 
61.3

 
 
 
 
 
 
 
Spreads (bps)
 
155.0

-
665.0
 
227.4

 
 
 
39

 
Other
 
 
 
 
 
 
 
 
 
Total single-family
 
1,654

 
 
 
 
 
 
 
 
 
 
 
Multifamily
 
179

 
Build-Up
 
Spreads (bps)
 
59.0

-
323.4
 
137.3

 
Total mortgage loans of consolidated trusts
 
$
1,833

 
 
 
 
 
 
 
 
 
 
 
Net derivatives
 
$
(107
)
 
Internal Model
 
 
 
 
 
 
 
 
 
 
 
150

 
Dealer Mark
 
 
 
 
 
 
 
 
 
 
 
2

 
Other
 
 
 
 
 
 
 
 
 
Total net derivatives
 
$
45

 
 
 
 
 
 
 
 
 
 
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
 
$
(363
)
 
Discounted Cash Flow
 
 
 
 
 
 
 
 
 
Of consolidated trusts(4)
 
(219
)
 
Consensus
 
 
 
 
 
 
 
 
 
 
 
(205
)
 
Discounted Cash Flow
 
Default Rate (%)
 
2.7

-
11.9
 
4.0

 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.1

-
100.0
 
33.4

 
 
 
 
 
 
 
Severity (%)
 
35.5

-
95.0
 
54.6

 
 
 
 
 
 
 
Spreads (bps)
 
88.0

-
665.0
 
249.4

 
 
 
(103
)
 
Other
 
 
 
 
 
 
 
 
 
Total of consolidated trusts
 
(527
)
 
 
 
 
 
 
 
 
 
 
 
Total long-term debt
 
$
(890
)
 
 
 
 
 
 
 
 
 
 
 
_________
(1) 
Valuation techniques for which no unobservable inputs are disclosed generally reflect the use of third-party pricing services or dealers, and the range of unobservable inputs applied by these sources is not readily available or cannot be reasonably estimated. Where we have disclosed unobservable inputs for consensus and single vendor techniques, those inputs are based on our validations performed at the security level using discounted cash flows.
(2) 
Includes Fannie Mae and Freddie Mac securities.
(3) 
Default Rate as disclosed represents the estimated beginning annualized rate of default and is used as a basis to forecast the future default rates that serve as an input for valuation.
(4) 
Includes instruments for which the prepayment speed as disclosed represents the estimated annualized rate of prepayment after all prepayment penalty provisions have expired and also instruments for which prepayment speed as disclosed represents the estimated rate of prepayment over the remaining life of the instrument.
In our condensed consolidated balance sheets certain assets and liabilities are measured at fair value on a nonrecurring basis; that is, the instruments are not measured at fair value on an ongoing basis but are subject to fair value adjustments in certain circumstances (for example, when we evaluate loans for impairment). We did not have any Level 1 assets or liabilities that were measured at fair value on a nonrecurring basis as of March 31, 2015 and December 31, 2014. We held $7 million and $93 million Level 2 assets, comprised of mortgage loans held for sale, and no Level 2 liabilities that were measured at fair value on a nonrecurring basis as of March 31, 2015 and December 31, 2014, respectively.
The following table displays valuation techniques for our Level 3 assets measured at fair value on a nonrecurring basis as of March 31, 2015 and December 31, 2014. The significant unobservable inputs related to these techniques primarily relate to

120