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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 08/05/2011
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Table of Contents

The Capital Markets Group’s Mortgage Portfolio
 
The Capital Markets group’s mortgage portfolio consists of mortgage-related securities and mortgage loans that we own. Mortgage-related securities held by Capital Markets include Fannie Mae MBS and non-Fannie Mae mortgage-related securities. The Fannie Mae MBS that we own are maintained as securities on the Capital Markets group’s balance sheets. Mortgage-related assets held by consolidated MBS trusts are not included in the Capital Markets group’s mortgage portfolio.
 
We are restricted by our senior preferred stock purchase agreement with Treasury in the amount of mortgage assets that we may own. Beginning on each December 31 and thereafter, we are required to reduce our mortgage assets to 90% of the maximum allowable amount that we were permitted to own as of December 31 of the immediately preceding calendar year, until the amount of our mortgage assets reaches $250 billion. The maximum allowable amount of mortgage assets we may own was reduced to $810 billion as of December 31, 2010 and will be reduced to $729 billion as of December 31, 2011. As of June 30, 2011, we owned $731.8 billion in mortgage assets, compared with $788.8 billion as of December 31, 2010.
 
Table 19 summarizes our Capital Markets group’s mortgage portfolio activity for the periods indicated.
 
Table 19:  Capital Markets Group’s Mortgage Portfolio Activity(1)
 
                                 
    For the Three Months
    For the Six Months
 
    Ended June 30,     Ended June 30,  
    2011     2010     2011     2010  
    (Dollars in millions)  
 
Mortgage loans:
                               
Beginning balance
  $ 421,856     $ 330,277     $ 427,074     $ 281,162  
Purchases
    28,290       130,028       66,364       200,589  
Securitizations(2)
    (22,559 )     (13,912 )     (46,542 )     (28,166 )
Liquidations(3)
    (22,170 )     (20,208 )     (41,479 )     (27,400 )
                                 
Mortgage loans, ending balance
    405,417       426,185       405,417       426,185  
Mortgage securities:
                               
Beginning balance
  $ 335,762     $ 434,532     $ 361,697     $ 491,566  
Purchases(4)
    4,533       4,678       9,623       33,864  
Securitizations(2)
    22,559       13,912       46,542       28,166  
Sales
    (21,635 )     (35,604 )     (57,061 )     (115,388 )
Liquidations(3)
    (14,835 )     (25,903 )     (34,417 )     (46,593 )
                                 
Mortgage securities, ending balance
    326,384       391,615       326,384       391,615  
                                 
Total Capital Markets mortgage portfolio
  $ 731,801     $ 817,800     $ 731,801     $ 817,800  
                                 
 
 
(1) Based on unpaid principal balance.
 
(2) Includes portfolio securitization transactions that do not qualify for sale treatment under the accounting standards on the transfers of financial assets.
 
(3) Includes scheduled repayments, prepayments, foreclosures and lender repurchases.
 
(4) Includes purchases of Fannie Mae MBS issued by consolidated trusts.
 
Purchases of mortgage loans decreased in the second quarter and first half of 2011 compared with the second quarter and first half of 2010 because we purchased fewer loans that were four or more months delinquent from MBS trusts in the second quarter and first half of 2011. We began to significantly increase our purchases of delinquent loans in 2010 and during the first half of 2010, we purchased the substantial majority of our delinquent loan population, which included $127 billion of loans that were four or more months delinquent as of December 31, 2009.
 
We expect to continue to purchase loans from MBS trusts as they become four or more consecutive monthly payments delinquent subject to market conditions, economic benefit, servicer capacity, and other factors


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