Fannie Mae 2010 Annual Report Download - page 125

Table 24: Capital Markets Group’s Mortgage Portfolio Composition
December 31,
2010
January 1,
2010
As of
(Dollars in millions)
Capital Markets Group’s mortgage loans:
Single-family loans
Government insured or guaranteed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 51,783 $ 51,395
Conventional:
Long-term, fixed-rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 237,096 94,236
Intermediate-term, fixed-rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,446 8,418
Adjustable-rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,526 18,493
Total single-family conventional . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 280,068 121,147
Total single-family loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 331,851 172,542
Multifamily loans
Government insured or guaranteed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 431 521
Conventional:
Long-term, fixed-rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,413 4,941
Intermediate-term, fixed-rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71,010 81,610
Adjustable-rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,369 21,548
Total multifamily conventional . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94,792 108,099
Total multifamily loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95,223 108,620
Total Capital Markets Group’s mortgage loans. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 427,074 281,162
Capital Markets Group’s mortgage-related securities:
Fannie Mae. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 260,429 358,495
Freddie Mac . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,332 41,390
Ginnie Mae. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,425 1,255
Alt-A private-label securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,283 25,133
Subprime private-label securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,038 20,001
CMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,052 25,703
Mortgage revenue bonds. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,525 14,448
Other mortgage-related securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,613 5,141
Total Capital Markets Group’s mortgage-related securities
(1)
. . . . . . . . . . . . . . . . . . . . . 361,697 491,566
Total Capital Markets Group’s mortgage portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $788,771 $772,728
(1)
The fair value of these mortgage-related securities was $365.8 billion as of December 31, 2010.
The increase in our portfolio balance from January 1, 2010 to December 31, 2010 was driven by the increase
in purchases of delinquent loans from single-family MBS trusts. The total unpaid principal balance of
nonperforming loans in the Capital Markets Group’s mortgage portfolio was $228.0 billion as of December 31,
2010. This population includes loans that have been modified and have been classified as TDRs as well as
unmodified delinquent loans that are on nonaccrual status in our consolidated financial statements.
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 constraints
including the limit on the mortgage assets that we may own pursuant to the senior preferred stock purchase
agreement. As of December 31, 2010, the total unpaid principal balance of all loans in single-family MBS
trusts that were delinquent as to four or more consecutive monthly payments was approximately $8 billion. In
January 2011, we purchased approximately 39,000 delinquent loans with an unpaid principal balance of
$6.9 billion from our single-family MBS trusts.
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