Fannie Mae 2009 Annual Report Download - page 317

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, 2009
Unpaid principal balance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 34,260 $ 19,472
Fair value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,455 20,224
Impact on value from a 10% adverse change. . . . . . . . . . . . . . . . . . . . . . . . . (3,546) (2,022)
Impact on value from a 20% adverse change. . . . . . . . . . . . . . . . . . . . . . . . . (7,091) (4,045)
Weighted-average coupon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.62% 6.82%
Weighted-average loan age . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.9 years 4.6 years
Weighted-average maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24.2 years 26.1 years
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
The following table displays the key assumptions we 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, 2009 and 2008.
Guaranty
Assets
(1)
For the year ended December 31, 2009
Weighted-average life
(2)
..................................................... 5.1years
Average 12-month CPR
(3)
.................................................... 27.4%
Average discount rate assumption
(4)
............................................. 4.3%
For the year ended December 31, 2008
Weighted-average life
(2)
..................................................... 7.5years
Average 12-month CPR
(3)
.................................................... 11.5%
Average discount rate assumption
(4)
............................................. 6.7%
(1)
The weighted-average life and average 12-month CPR assumptions for our guaranty assets approximate the
assumptions used for our guaranty obligation at time of securitization.
(2)
The average number of years for which each dollar of unpaid principal on a loan or mortgage-related security remains
outstanding.
(3)
Represents the expected 12-month average prepayment rate, which is based on the constant annualized prepayment
rate for mortgage loans.
(4)
The interest rate used in determining the present value of future cash flows, derived from the forward curve based on
interest rate swaps, excluding the option adjusted spreads.
F-59
FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)