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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)
 
The following table displays the activity in other comprehensive income, net of tax, by major categories for the three months ended March 31, 2011 and 2010.
 
                 
    For the Three
 
    Months Ended
 
    March 31,  
    2011     2010  
    (Dollars in millions)  
 
Comprehensive loss:
               
Net loss
  $ (6,471 )   $ (11,529 )
Other comprehensive income (loss), net of tax:
               
Changes in net unrealized losses on available-for-sale securities (net of tax of $87 and $710, respectively)
    161       1,318  
Reclassification adjustment for other-than-temporary impairments recognized in net loss (net of tax of $13 and $81, respectively)
    32       155  
Reclassification adjustment for gains included in net loss (net of tax of $8 and $56, respectively)
    (14 )     (103 )
Other
    2       2  
                 
Other comprehensive income
    181       1,372  
                 
Total comprehensive loss
  $ (6,290 )   $ (10,157 )
                 
 
6.   Financial Guarantees
 
For our guarantees to unconsolidated trusts and other guaranty arrangements, we recognize a guaranty obligation for our obligation to stand ready to perform on these guarantees. For those guarantees recognized in our condensed consolidated balance sheets, our maximum potential exposure under these guarantees is primarily comprised of the unpaid principal balance of the underlying mortgage loans, which totaled $52.5 billion and $52.4 billion as of March 31, 2011 and December 31, 2010, respectively. The maximum amount we could recover through available credit enhancements and recourse with third parties on guarantees recognized in our condensed consolidated balance sheets was $12.4 billion and $12.6 billion as of March 31, 2011 and December 31, 2010, respectively. In addition, we had exposure of $10.1 billion and $10.3 billion for other guarantees not recognized in our condensed consolidated balance sheets as of March 31, 2011 and December 31, 2010, respectively. The maximum amount we could recover through available credit enhancements and recourse with third parties on guarantees not recognized in our condensed consolidated balance sheets was $3.8 billion and $3.9 billion as of March 31, 2011 and December 31, 2010, respectively. Recoverability of such credit enhancements and recourse is subject to, among other factors, our mortgage insurers’ and financial guarantors’ ability to meet their obligations to us.
 
The fair value of our guaranty obligations associated with the Fannie Mae MBS included in “Investments in securities” was $1.9 billion and $2.0 billion as of March 31, 2011 and December 31, 2010, respectively.
 
Risk Characteristics of our Book of Business
 
We gauge our performance risk under our guaranty based on the delinquency status of the mortgage loans we hold in portfolio, or in the case of mortgage-backed securities, the mortgage loans underlying the related securities. Management also monitors the serious delinquency rate, which is the percentage of single-family loans three or more months past due or in the foreclosure process, and the percentage of multifamily loans 60 days or more past due, of loans that also have higher risk characteristics, such as high mark-to-market loan-to-value ratios and low original debt service coverage ratios. We use this information, in conjunction with


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