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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)
 
 
(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 June 30, 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 June 30, 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
  $ 18,717     $ 20,065     $     $     $ 1     $ 1     $ 3,363     $ 3,570     $ 15,353     $ 16,494  
Freddie Mac
    13,564       14,535       2       2       36       39       1,404       1,516       12,122       12,978  
Ginnie Mae
    838       966                               5       6       833       960  
Alt-A private-label securities
    14,913       13,102                   1       1       264       268       14,648       12,833  
Subprime private-label securities
    10,905       8,909                                           10,905       8,909  
CMBS
    14,802       14,845                   3,631       3,693       10,560       10,556       611       596  
Mortgage revenue bonds
    10,931       10,473       58       58       364       374       756       765       9,753       9,276  
Other mortgage-related securities
    3,887       3,721                                     14       3,887       3,707  
                                                                                 
Total
  $ 88,557     $ 86,616     $ 60     $ 60     $ 4,033     $ 4,108     $ 16,352     $ 16,695     $ 68,112     $ 65,753  
                                                                                 
 
Accumulated Other Comprehensive Loss
 
The following table displays our accumulated other comprehensive loss by major categories as of June 30, 2011 and December 31, 2010.
 
                 
    As of  
    June 30,
    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, net of tax
  $ 862     $ 304  
Net unrealized losses on available-for-sale securities for which we have recorded other-than-temporary impairment, net of tax
    (2,123 )     (1,736 )
Other
    (238 )     (250 )
                 
Accumulated other comprehensive loss
  $ (1,499 )   $ (1,682 )
                 


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