Print Page  |  Close Window

SEC Filings

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

FANNIE MAE
(In conservatorship)

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
(UNAUDITED)
 
$27.3 billion and $15.1 billion, respectively. For the six months ended June 30, 2011 and 2010, the unpaid principal balance of portfolio securitizations was $56.6 billion and $32.9 billion, respectively.
 
The majority of our portfolio securitization transactions do not qualify for sale treatment. As a result, our continuing involvement in the form of guaranty assets and guaranty liabilities with assets that were transferred into unconsolidated trusts is not material. We report the assets and liabilities of consolidated trusts created via portfolio securitization transactions that do not qualify as sales in our condensed consolidated balance sheets.
 
The following table displays some key characteristics of the securities retained in unconsolidated portfolio securitization trusts.
 
                 
    Fannie Mae
       
    Single-class
       
    MBS & Fannie
    REMICS &
 
    Mae Megas     SMBS  
    (Dollars in millions)  
 
As of June 30, 2011
               
Unpaid principal balance
  $ 654     $ 14,053  
Fair value
    713       15,071  
Weighted-average coupon
    6.23 %     6.05 %
Weighted-average loan age
    4.9 years       4.7 years  
Weighted-average maturity
    24.0 years       20.0 years  
As of December 31, 2010
               
Unpaid principal balance
  $ 63     $ 15,771  
Fair value
    68       16,745  
Weighted-average coupon
    6.58 %     6.28 %
Weighted-average loan age
    4.2 years       4.4 years  
Weighted-average maturity
    25.6 years       22.0 years  
 
For the three months ended June 30, 2011 and 2010, the principal and interest received on retained interests was $715 million and $887 million, respectively. For the six months ended June 30, 2011 and 2010, the principal and interest received on retained interests was $1.5 billion and $1.7 billion, respectively.


105