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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 11/02/2018
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Notes to Condensed Consolidated Financial Statements | Consolidations and Transfers of Financial Assets


2.  Consolidations and Transfers of Financial Assets
We have interests in various entities that are considered to be VIEs. The primary types of entities are securitization trusts and limited partnerships. These interests include investments in securities issued by VIEs, such as Fannie Mae MBS created pursuant to our securitization transactions and our guaranty to the entity. We consolidate the substantial majority of our single-class securitization trusts because our role as guarantor and master servicer provides us with the power to direct matters (primarily the servicing of mortgage loans) that impact the credit risk to which we are exposed. In contrast, we do not consolidate single-class securitization trusts when other organizations have the power to direct these activities.
Unconsolidated VIEs
We do not consolidate VIEs when we are not deemed to be the primary beneficiary. Our unconsolidated VIEs include securitization trusts and limited partnerships. The following table displays the carrying amount and classification of our assets and liabilities that relate to our involvement with unconsolidated securitization trusts.
 
As of
 
September 30, 2018
 
December 31, 2017
 
(Dollars in millions)
Assets:
 
 
 
 
 
 
 
Trading securities:
 
 
 
 
 
 
 
Fannie Mae
 
$
1,420

 
 
 
$
3,809

 
Non-Fannie Mae
 
5,009

 
 
 
1,580

 
Total trading securities
 
6,429

 
 
 
5,389

 
Available-for-sale securities:
 
 
 
 
 


 
Fannie Mae
 
1,754

 
 
 
2,032

 
Non-Fannie Mae
 
1,254

 
 
 
2,062

 
Total available-for-sale securities
 
3,008

 
 
 
4,094

 
Other assets
 
69

 
 
 
74

 
Other liabilities
 
(108
)
 
 
 
(467
)
 
Net carrying amount
 
$
9,398

 
 
 
$
9,090

 

Our maximum exposure to loss generally represents the greater of our recorded investment in the entity or the unpaid principal balance of the assets covered by our guaranty. However, our securities issued by Fannie Mae multi-class resecuritization trusts that are not consolidated do not give rise to any additional exposure to loss as we already consolidate the underlying collateral. The maximum exposure to loss related to unconsolidated mortgage-backed trusts was approximately $14 billion and $15 billion as of September 30, 2018 and December 31, 2017, respectively. The total assets of our unconsolidated securitization trusts were approximately $90 billion and $70 billion as of September 30, 2018 and December 31, 2017, respectively.
The maximum exposure to loss for our unconsolidated limited partnerships and similar legal entities, which consist of low-income housing tax credit investments, community investments and other entities, was $105 million and the related carrying value was $83 million as of September 30, 2018. As of December 31, 2017, the maximum exposure to loss was $105 million and the related carrying value was $82 million. The total assets of these limited partnership investments were $2.4 billion and $3.2 billion as of September 30, 2018 and December 31, 2017, respectively.
The unpaid principal balance of our multifamily loan portfolio was $284.3 billion as of September 30, 2018. As our lending relationship does not provide us with a controlling financial interest in the borrower entity, we do not consolidate these borrowers regardless of their status as either a VIE or a voting interest entity. We have excluded these entities from our VIE disclosures. However, the disclosures we have provided in “Note 3, Mortgage Loans,” “Note 4, Allowance for Loan Losses” and “Note 6, Financial Guarantees” with respect to this population are consistent with the FASB’s stated objectives for the disclosures related to unconsolidated VIEs.
Transfers of Financial Assets
We issue Fannie Mae MBS through portfolio securitization transactions by transferring pools of mortgage loans or mortgage-related securities to one or more trusts or special purpose entities. We are considered to be the

Fannie Mae (In conservatorship) Third Quarter 2018 Form 10-Q
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