Fannie Mae 2012 Annual Report Download - page 262

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-28
resecuritization trusts that are not consolidated do not give rise to any additional exposure to loss as we already consolidate
the underlying collateral.
Transfers of Financial Assets
We issue Fannie Mae MBS through portfolio securitization transactions by transferring pools of mortgage loans or mortgage-
related securities to one or more trusts or special purpose entities. We are considered to be the transferor when we transfer
assets from our own portfolio in a portfolio securitization transaction. For the years ended December 31, 2012, 2011 and
2010, the unpaid principal balance of portfolio securitizations was $225.1 billion, $118.5 billion and $120.0 billion,
respectively.
The following table displays some key characteristics of the securities retained in unconsolidated portfolio securitization
trusts as of December 31, 2012 and 2011.
Fannie Mae
Single-class
MBS & Fannie
Mae Megas REMICS & SMBS
(Dollars in millions)
As of December 31, 2012
Unpaid principal balance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 456 $ 8,667
Fair value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 504 9,818
Weighted-average coupon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.20 % 5.53 %
Weighted-average loan age . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.4 years 4.6 years
Weighted-average maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22.5 years 15.0 years
As of December 31, 2011
Unpaid principal balance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 588 $ 12,697
Fair value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 654 14,043
Weighted-average coupon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.21 % 5.86 %
Weighted-average loan age . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.4 years 4.5 years
Weighted-average maturity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23.5 years 18.6 years
For the years ended December 31, 2012, 2011 and 2010, the principal and interest received on retained interests was $2.4
billion, $3.0 billion and $3.5 billion, respectively.
Managed Loans
We define “managed loans” as on-balance sheet mortgage loans as well as mortgage loans that we have securitized in
unconsolidated portfolio securitization trusts. The following table displays the unpaid principal balances of managed loans,
including those managed loans that were delinquent as of December 31, 2012 and 2011.
As of December 31,
2012 2011
Unpaid
Principal
Balance
Principal Amount
of Delinquent
Loans(1)
Unpaid
Principal
Balance
Principal Amount
of Delinquent
Loans(1)
(Dollars in millions)
Loans held for investment:
Of Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 370,354 $ 102,504 $ 396,276 $ 122,392
Of consolidated trusts. . . . . . . . . . . . . . . . . . . . . . . . . 2,607,880 17,829 2,570,339 24,893
Loans held for sale. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 459 135 312 57
Securitized loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,272 4 2,273 71
Total loans managed. . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,980,965 $ 120,472 $ 2,969,200 $ 147,413
__________
(1) Represents the unpaid principal balance of loans held for investment, loans held for sale and securitized loans for which we are no
longer accruing interest and loans 90 days or more delinquent which are continuing to accrue interest.