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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 08/03/2017
Entire Document
 
 
Notes to Condensed Consolidated Financial Statements | Fair Value


The following tables display valuation techniques and the range and the weighted average of significant unobservable inputs for our Level 3 assets and liabilities measured at fair value on a recurring basis.
 
 
Fair Value Measurements as of June 30, 2017
 
 
 
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)
 
$
1,815

 
Single Vendor
 
Prepayment Speed (%)
 
0.0
-
177.0
 
170.4
 
 
 
 
 
 
 
Spreads (bps)
 
32.7
-
210.0
 
186.0
 
 
 
56

 
Various
 
 
 
 
 
 
 
 
 
Total agency
 
1,871

 
 
 
 
 
 
 
 
 
 
 
Alt-A and subprime private-label securities
 
264

 
Consensus
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
 
1

 
Various
 
 
 
 
 
 
 
 
 
Total trading securities
 
$
2,136

 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency(2)
 
$
206

 
Various
 
 
 
 
 
 
 
 
 
Alt-A and subprime private-label securities
 
178

 
Various
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
 
656

 
Single Vendor
 
Spreads (bps)
 
4.5
-
366.8
 
58.1
 
 
 
145

 
Discounted Cash Flow
 
Spreads (bps)
 
4.5
-
413.3
 
193.6
 
 
 
72

 
Various
 
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
 
873

 
 
 
 
 
 
 
 
 
 
 
Other
 
309

 
Discounted Cash Flow
 
Default Rate (%)
 
1.2
 
1.2
 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.5
 
0.5
 
 
 
 
 
 
 
Severity (%)
 
95.0
 
95.0
 
 
 
 
 
 
 
Spreads (bps)
 
102.0
-
610.0
 
604.4
 
 
 
71

 
Various
 
 
 
 
 
 
 
 
 
Total other
 
380

 
 
 
 
 
 
 
 
 
 
 
Total available-for-sale securities
 
$
1,637

 
 
 
 
 
 
 
 
 
 
 

Fannie Mae (In conservatorship) Second Quarter 2017 Form 10-Q
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