Fannie Mae 2012 Annual Report Download - page 103

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The Capital Markets Group’s Mortgage Portfolio
The Capital Markets group’s mortgage portfolio consists of mortgage loans and mortgage-related securities that we own.
Mortgage-related securities held by the Capital Markets group include Fannie Mae MBS and non-Fannie Mae mortgage-
related securities. The Fannie Mae MBS that we own are maintained as securities on the Capital Markets group’s balance
sheets. Mortgage-related assets held by consolidated MBS trusts are not included in the Capital Markets group’s mortgage
portfolio.
The amount of mortgage assets that we may own is restricted by our senior preferred stock purchase agreement with
Treasury. Under the agreement, the maximum allowable amount of mortgage assets we may own was reduced to $650 billion
as of December 31, 2012. Beginning in 2013, by December 31 of each year, we are required to reduce our mortgage assets to
85% of the maximum allowable amount that we were permitted to own as of December 31 of the immediately preceding
calendar year, until the amount of our mortgage assets reaches $250 billion. As of December 31, 2012, we owned $633.1
billion in mortgage assets, compared with $708.4 billion as of December 31, 2011. The terms of the senior preferred stock
purchase agreement were amended in 2012 and the amended terms are described in “Business—Conservatorship and
Treasury Agreements.”
Table 26 displays our Capital Markets group’s mortgage portfolio activity for the periods indicated.
Table 26: Capital Markets Group’s Mortgage Portfolio Activity(1)
For the Year Ended
December 31,
2012 2011
(Dollars in millions)
Mortgage loans:
Beginning balance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 398,271 $ 427,074
Purchases . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 261,463 153,218
Securitizations (2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (211,455)(101,705)
Liquidations (3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (76,571)(80,316)
Mortgage loans, ending balance. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 371,708 398,271
Mortgage securities:
Beginning balance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 310,143 361,697
Purchases (4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,874 20,760
Securitizations (2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211,455 101,705
Sales. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (224,208)(108,430)
Liquidations (3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (62,918)(65,589)
Mortgage securities, ending balance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 261,346 310,143
Total Capital Markets mortgage portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 633,054 $ 708,414
__________
(1) Based on unpaid principal balance.
(2) Includes portfolio securitization transactions that do not qualify for sale treatment under GAAP.
(3) Includes scheduled repayments, prepayments, foreclosures and lender repurchases.
(4) Includes purchases of Fannie Mae MBS issued by consolidated trusts.