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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)


(4) 
The average percent current credit enhancement provided by subordination of other securities. Excludes excess interest projections and monoline bond insurance.
The following table displays activity related to the unrealized credit loss component on debt securities held by us and recognized in our condensed consolidated statements of operations and comprehensive income.
 
For the Three Months Ended
  
March 31,
  
2015
 
2014
 
(Dollars in millions)
Balance, beginning of period
$
5,260

 
$
7,904

Additions for the credit component on debt securities for which OTTI was not previously recognized

 
1

Additions for the credit component on debt securities for which OTTI was previously recognized
4

 
39

Reductions for securities no longer in portfolio at period end
(1,093
)
 
(53
)
Reductions for securities which we intend to sell or it is more likely than not that we will be required to sell before recovery of amortized cost basis
(1,369
)
 
(698
)
Reductions for amortization resulting from changes in cash flows expected to be collected over the remaining life of the securities
(58
)
 
(97
)
Balance, end of period
$
2,744

 
$
7,096

Maturity Information
The following table displays the amortized cost and fair value of our AFS securities by major security type and remaining contractual maturity, assuming no principal prepayments, as of March 31, 2015. The contractual maturity of mortgage-backed securities is not a reliable indicator of their expected life because borrowers generally have the right to prepay their obligations at any time.
  
As of March 31, 2015
 
Total Amortized Cost
 
Total
Fair
Value
 
One Year or Less
 
After One Year Through Five Years
 
After Five Years Through Ten Years
 
After Ten Years
 
 
 
Amortized Cost
 
Fair Value
 
Amortized Cost
 
Fair Value
 
Amortized Cost
 
Fair Value
 
Amortized Cost
 
Fair Value
  
(Dollars in millions)
Fannie Mae
 
$
5,086

 
 
$
5,407

 
 
$

 
 
$

 
 
$
253

 
 
$
264

 
 
$
208

 
 
$
226

 
 
$
4,625

 
 
$
4,917

Freddie Mac
 
4,842

 
 
5,257

 
 

 
 

 
 
260

 
 
274

 
 
444

 
 
485

 
 
4,138

 
 
4,498

Ginnie Mae
 
398

 
 
458

 
 

 
 

 
 
1

 
 
1

 
 
59

 
 
67

 
 
338

 
 
390

Alt-A private-label securities
 
3,649

 
 
4,464

 
 

 
 

 
 

 
 

 
 

 
 

 
 
3,649

 
 
4,464

Subprime private-label securities
 
3,572

 
 
4,608

 
 

 
 

 
 

 
 

 
 

 
 

 
 
3,572

 
 
4,608

CMBS
 
1,318

 
 
1,370

 
 

 
 

 
 
1,244

 
 
1,296

 
 

 
 

 
 
74

 
 
74

Mortgage revenue bonds
 
3,344

 
 
3,560

 
 
14

 
 
14

 
 
106

 
 
108

 
 
272

 
 
274

 
 
2,952

 
 
3,164

Other mortgage-related securities
 
2,421

 
 
2,608

 
 

 
 

 
 

 
 

 
 
34

 
 
38

 
 
2,387

 
 
2,570

Total
 
$
24,630

 
 
$
27,732

 
 
$
14

 
 
$
14

 
 
$
1,864

 
 
$
1,943

 
 
$
1,017

 
 
$
1,090

 
 
$
21,735

 
 
$
24,685

6.  Financial Guarantees
We recognize a guaranty obligation for our obligation to stand ready to perform on our guarantees to unconsolidated trusts and other guaranty arrangements. These guarantees expose us to credit losses on the mortgage loans or, in the case of mortgage-related securities, the underlying mortgage loans of the related securities. The remaining contractual terms of our guarantees range from 30 days to 38 years; however, the actual term of each guaranty may be significantly less than the contractual term based on the prepayment characteristics of the related mortgage loans.

92