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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 05/06/2011
Entire Document
 
Table of Contents

FANNIE MAE
(In conservatorship)

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
(UNAUDITED)
 
 
(2) The expected remaining loss given default of the collateral pool backing the securities, calculated as the ratio of remaining cumulative loss divided by cumulative defaults, weighted by security unpaid principal balance.
 
(3) The average monthly voluntary prepayment rate, weighted by security unpaid principal balance.
 
(4) The average percent current credit enhancement provided by subordination of other securities. Excludes excess interest projections and monoline bond insurance.
 
Maturity Information
 
The following table displays the amortized cost and fair value of our AFS securities by major security type and remaining maturity, assuming no principal prepayments, as of March 31, 2011. 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, 2011  
                            After One Year
    After Five Years
             
    Total
    Total
    One Year or Less     Through Five Years     Through Ten Years     After Ten Years  
    Amortized
    Fair
    Amortized
    Fair
    Amortized
    Fair
    Amortized
    Fair
    Amortized
    Fair
 
    Cost     Value     Cost     Value     Cost     Value     Cost     Value     Cost     Value  
    (Dollars in millions)  
 
Fannie Mae
  $ 19,426     $ 20,643     $     $     $ 1     $ 1     $ 3,576     $ 3,774     $ 15,849     $ 16,868  
Freddie Mac
    14,435       15,356       4       4       32       33       1,492       1,595       12,907       13,724  
Ginnie Mae
    873       1,004                               5       6       868       998  
Alt-A private-label securities
    15,337       13,692                   1       1       279       281       15,057       13,410  
Subprime private-label securities
    11,109       9,660                                           11,109       9,660  
CMBS
    15,097       14,924                   1,990       1,989       12,472       12,328       635       607  
Mortgage revenue bonds
    11,273       10,542       55       55       370       380       771       772       10,077       9,335  
Other mortgage-related securities
    3,997       3,792                                     16       3,997       3,776  
                                                                                 
Total
  $ 91,547     $ 89,613     $ 59     $ 59     $ 2,394     $ 2,404     $ 18,595     $ 18,772     $ 70,499     $ 68,378  
                                                                                 
 
Accumulated Other Comprehensive Loss
 
The following table displays our accumulated other comprehensive loss by major categories as of March 31, 2011 and December 31, 2010.
 
                 
    As of  
    March 31,
    December 31,
 
    2011     2010  
    (Dollars in millions)  
 
Net unrealized gains on available-for-sale securities for which we have not recorded other-than-temporary impairment
  $ 446     $ 304  
Net unrealized gains (losses) on available-for-sale securities for which we have recorded other-than-temporary impairment
    (1,703 )     (1,736 )
Other
    (244 )     (250 )
                 
Accumulated other comprehensive loss
  $ (1,501 )   $ (1,682 )
                 


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