Fannie Mae 2008 Annual Report Download - page 336

The following table displays some key characteristics of the securities retained in portfolio securitizations.
Fannie Mae
Single-class
MBS & Fannie
Mae Megas
REMICS &
SMBS
(Dollars in millions)
As of December 31, 2008
Unpaid principal balance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 17,872 $ 27,117
Fair value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,360 27,345
Impact on value from a 10% adverse change. . . . . . . . . . . . . . . . . . . . . . . . . (1,836) (2,735)
Impact on value from a 20% adverse change. . . . . . . . . . . . . . . . . . . . . . . . . (3,672) (5,469)
Weighted-average coupon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.92% 7.03%
Weighted-average loan age . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.9 years 4.2 years
Weighted-average maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24.5 years 27.0 years
As of December 31, 2007
Unpaid principal balance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 10,376 $ 33,789
Fair value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,553 33,465
Impact on value from a 10% adverse change. . . . . . . . . . . . . . . . . . . . . . . . . (1,055) (3,347)
Impact on value from a 20% adverse change. . . . . . . . . . . . . . . . . . . . . . . . . (2,111) (6,693)
Weighted-average coupon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.93% 7.21%
Weighted-average loan age . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.5 years 3.2 years
Weighted-average maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24.2 years 28.2 years
The following table displays the key assumptions used in measuring the fair value at the time of portfolio
securitization of our continuing involvement with the assets we transferred into trusts in the form of our
guaranty assets for the years ended December 31, 2008 and 2007.
Guaranty
Assets
(4)
For the year ended December 31, 2008
Weighted-average life
(1)
..................................................... 7.5years
Average 12-month CPR
(2)
.................................................... 11.48%
Average discount rate assumption
(3)
............................................. 6.66%
For the year ended December 31, 2007
Weighted-average life
(1)
..................................................... 6.9years
Average 12-month CPR
(2)
.................................................... 10.55%
Average discount rate assumption
(3)
............................................. 8.86%
(1)
The average number of years for which each dollar of unpaid principal on a loan or mortgage-related security remains
outstanding.
(2)
Represents the expected 12-month average payment rate, which is based on the constant annualized prepayment rate
for mortgage loans.
(3)
The interest rate used in determining the present value of future cash flows.
(4)
The weighted-average life and average 12-month CPR assumptions for our guaranty asset approximate the assumptions
used for our guaranty obligation at time of securitization.
F-58
FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)