Fannie Mae 2013 Annual Report Download - page 266

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-42
(4) The average percent current credit enhancement provided by subordination of other securities. Excludes excess interest projections and
monoline bond insurance.
Maturity Information
The following table displays the amortized cost and fair value of our AFS securities by major security type and remaining
contractual maturity, assuming no principal prepayments, as of December 31, 2013. The contractual maturity of mortgage-
backed securities is not a reliable indicator of their expected life because borrowers generally have the right to prepay their
obligations at any time.
As of December 31, 2013
Total
Amortized
Cost
Total
Fair
Value
One Year or Less After One Year Through Five Years After Five Years Through Ten Years After Ten Years
Amortized
Cost Fair Value Amortized Cost Fair Value Amortized Cost Fair Value Amortized Cost Fair Value
(Dollars in millions)
Fannie Mae. . . . . . . . . . . . . . . $ 6,227 $ 6,573 $ — $ — $ 322 $ 341 $ 376 $ 404 $ 5,529 $ 5,828
Freddie Mac . . . . . . . . . . . . . . 6,365 6,842 — — 327 349 674 729 5,364 5,764
Ginnie Mae. . . . . . . . . . . . . . . 512 588 — — 1 1 33 38 478 549
Alt-A private-label securities.6,240 7,349 — — 1 1 — — 6,239 7,348
Subprime private-label
securities . . . . . . . . . . . . . . 6,232 7,068 — — — — — — 6,232 7,068
CMBS . . . . . . . . . . . . . . . . . . 1,526 1,606 — — 1,435 1,513 — — 91 93
Mortgage revenue bonds . . . . 5,645 5,256 40 42 260 264 584 586 4,761 4,364
Other mortgage-related
securities . . . . . . . . . . . . . . 2,943 2,889 — — — 4 40 41 2,903 2,844
Total. . . . . . . . . . . . . . . . . . . . $ 35,690 $ 38,171 $ 40 $ 42 $ 2,346 $ 2,473 $1,707 $ 1,798 $ 31,597 $ 33,858
Weighted average yield(1). . . . 5.42% 5.88% 4.58% 5.94% 5.45%
__________
(1) Yields are determined by dividing interest income (including amortization and accretion of premiums, discounts and other cost basis
adjustments) by amortized cost balances as of year-end. Yields on tax-exempt obligations have been computed on a tax equivalent
basis.
6. Financial Guarantees
We generate revenue by absorbing the credit risk of mortgage loans in unconsolidated trusts in exchange for a guaranty fee.
We also provide credit enhancements on taxable or tax-exempt mortgage revenue bonds issued by state and local
governmental entities to finance multifamily housing for low- and moderate-income families. Additionally, we issue long-
term standby commitments that generally require us to purchase loans from lenders if the loans meet certain delinquency
criteria.
We recognize a guaranty obligation for our obligation to stand ready to perform on our guarantees to unconsolidated trusts
and other guaranty arrangements. These guarantees expose us to credit losses on the mortgage loans or, in the case of
mortgage-related securities, the underlying mortgage loans of the related securities. The contractual terms of our guarantees
range from 30 days to 40 years; however, the actual term of each guaranty may be significantly less than the contractual term
based on the prepayment characteristics of the related mortgage loans.
For those guarantees recognized in our consolidated balance sheets, our maximum potential exposure under these guarantees
is primarily comprised of the unpaid principal balance of the underlying mortgage loans, which totaled $42.6 billion and
$50.6 billion as of December 31, 2013 and 2012, respectively.
In addition, we had maximum potential exposure of $7.3 billion and $8.3 billion for other guarantees not recognized in our
consolidated balance sheets as of December 31, 2013 and 2012, respectively, which primarily represents the unpaid principal
balance of loans underlying guarantees issued prior to January 1, 2010, the effective date of current accounting guidance on
guaranty accounting.
The maximum amount we could recover through available credit enhancements and recourse with third parties on guarantees
recognized in our consolidated balance sheets was $12.0 billion and $13.3 billion as of December 31, 2013 and 2012,
respectively. The maximum amount we could recover through available credit enhancements and recourse with third parties