Fannie Mae 2014 Annual Report Download - page 102

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Table 23: Summary of Mortgage-Related Securities at Fair Value
As of December 31,
2014 2013 2012
(Dollars in millions)
Mortgage-related securities:
Fannie Mae. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 10,579 $ 12,443 $ 16,683
Freddie Mac . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,897 8,681 12,173
Ginnie Mae. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 642 995 1,188
Alt-A private-label securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,598 8,865 12,405
Subprime private-label securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,547 8,516 8,766
CMBS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,912 4,324 22,923
Mortgage revenue bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,745 5,821 8,517
Other mortgage-related securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,772 2,988 3,271
Total. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 42,692 $ 52,633 $ 85,926
The decrease in mortgage-related securities at fair value in 2014 was primarily driven by sales and liquidations outpacing
purchases. We continue to reduce the size of our retained mortgage portfolio to comply with the requirement of our senior
preferred stock purchase agreement with Treasury and FHFA’s request to further cap our portfolio. See “Business Segment
Results—The Capital Markets Group’s Mortgage Portfolio” for additional information related to the reduction in our retained
mortgage portfolio.
See “Note 5, Investments in Securities” for additional information on our investments in mortgage-related securities,
including the composition of our trading and available-for-sale securities at amortized cost and fair value and the gross
unrealized gains and losses related to our available-for-sale securities as of December 31, 2014 and 2013.
Mortgage Loans
The mortgage loans reported in our consolidated balance sheets include loans owned by Fannie Mae and loans held in
consolidated trusts and are classified as either held for sale or held for investment. The increase in the balance of mortgage
loans, net of the allowance for loan losses, as of December 31, 2014 compared with the balance as of December 31, 2013 was
primarily driven by an increase in mortgage loans held for investment due to securitization activity from our lender swap and
portfolio securitization programs and a decrease in our allowance for loan losses. For additional information on our mortgage
loans, see “Note 3, Mortgage Loans,” and for changes in our allowance for loan losses, see “Note 4, Allowance for Loan
Losses.” For additional information on the mortgage loan purchase and sale activities reported by our Capital Markets group,
see “Business Segment Results—Capital Markets Group Results.”
The decrease in our allowance for loan losses during 2014 was primarily due to the recognition of a benefit for credit losses
and a decline in the number of seriously delinquent single-family loans. The number of our seriously delinquent single-family
loans declined 21% to approximately 330,000 as of December 31, 2014 from approximately 419,000 as of December 31,
2013. The reduction in the number of delinquent loans was due to home retention solutions, foreclosure alternatives,
completed foreclosures and improved loan payment performance. For additional information on our seriously delinquent
single-family conventional loans, see “Risk Management—Credit Risk Management—Single-Family Mortgage Credit Risk
Management—Problem Loan Management—Problem Loan Statistics.” For information on our benefit for credit losses, see
“Consolidated Results of Operations—Credit-Related Income—(Benefit) Provision for Credit Losses.”
Debt
Debt of Fannie Mae is the primary means of funding our mortgage investments. Debt of consolidated trusts represents the
amount of Fannie Mae MBS issued from consolidated trusts and held by third-party certificateholders. We provide a
summary of the activity of the debt of Fannie Mae and a comparison of the mix between our outstanding short-term and long-
term debt in “Liquidity and Capital Management—Liquidity Management—Debt Funding.” Also see “Note 8, Short-Term
Borrowings and Long-Term Debt” for additional information on our outstanding debt.
The decrease in debt of Fannie Mae in 2014 was primarily driven by lower funding needs, as our retained mortgage portfolio
decreased. The increase in the balance of debt of consolidated trusts during 2014 was primarily driven by sales of Fannie Mae