Fannie Mae 2013 Annual Report Download - page 322

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-98
Fair Value Measurements as of December 31, 2012
Valuation Techniques Significant Unobservable
Inputs(1) Range(1) Weighted Average(1) Fair Value
(Dollars in millions)
Mortgage loans of consolidated
trusts:
Single-family . . . . . . . . . . . . . . . Build-Up Default Rate (%) 0.1 - 99.3 18.4
Prepayment Speed (%) 4.4 - 92.0 19.4
Severity (%) 5.6 - 97.3 33.3 $ 1,698
Consensus 303
Consensus Default Rate (%) 0.0 - 9.0 6.4
Prepayment Speed (%) 1.7 - 14.4 10.4
Severity (%) 65.0 - 70.0 67.1
Spreads (bps) 468.0 - 851.0 567.9 302
Discounted Cash Flow Default Rate (%) 0.0 - 8.5 6.0
Prepayment Speed (%) 1.7 - 14.4 5.3
Severity (%) 65.0 - 70.0 65.0
Spreads (bps) 507.0 - 1,030.0 733.4 106
Single Vendor 50
Total single-family . . . . . . . . . 2,459
Multifamily . . . . . . . . . . . . . . . . Build-Up Spreads (bps) 77.0 - 363.4 154.5 175
Total mortgage loans of
consolidated trusts. . . . . . . . . . . $ 2,634
Net derivatives . . . . . . . . . . . . . . . . . Dealer Mark $ 144
Internal Model (130)
Total net derivatives . . . . . . . . . . . . $ 14
Long-term debt:
Of Fannie Mae:
Senior floating. . . . . . . . . . . . . Discounted Cash Flow $ (400)
Of consolidated trusts . . . . . . . . Consensus (370)
Discounted Cash Flow Default Rate (%) 0.0 - 10.0 5.8
Prepayment Speed (%) 0.0 - 100.0 36.9
Severity (%) 50.0 - 70.0 63.4
Spreads (bps) 98.0 - 1,030.0 331.4 (330)
Consensus Default Rate (%) 0.0 - 9.0 6.2
Prepayment Speed (%) 1.7 - 14.4 10.9
Severity (%) 65.0 - 70.0 67.5
Spreads (bps) 468.0 - 851.0 584.3 (271)
Single Vendor (157)
Total of consolidated trusts . . . . (1,128)
Total long-term debt. . . . . . . . . . . . . $ (1,528)
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(1) Valuation techniques for which no unobservable inputs are disclosed generally reflect the use of third-party pricing services or dealers,
and the range of unobservable inputs applied by these sources is not readily available or cannot be reasonably estimated. Where we
have disclosed unobservable inputs for consensus and single vendor techniques, those inputs are based on our validations performed at
the security level using discounted cash flows.
(2) Includes Fannie Mae, Freddie Mac and Ginnie Mae securities.
(3) Default Rate as disclosed represents the estimated beginning annualized rate of default and is used as a basis to forecast the future
default rates that serve as an input for valuation.
The following table displays valuation techniques for our Level 3 assets measured at fair value on a nonrecurring basis as of
December 31, 2013 and 2012. The significant unobservable inputs related to these techniques primarily relate to collateral
dependent valuations. The related ranges and weighted averages are not meaningful when aggregated as they vary
significantly from property to property.