Fannie Mae 2014 Annual Report Download - page 252

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-37
(4) The average percent current credit enhancement provided by subordination of other securities. Excludes excess interest projections and
monoline bond insurance.
The following table displays activity related to the unrealized credit loss component on debt securities held by us and
recognized in our consolidated statements of operations and comprehensive income for the years ended December 31, 2014
and 2013.
For the Year Ended
December 31,
2014 2013
(Dollars in millions)
Balance, beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 7,904 $ 9,214
Additions for the credit component on debt securities for which OTTI was not previously recognized . 1 20
Additions for the credit component on debt securities for which OTTI was previously recognized . . . . 58 10
Reductions for securities no longer in portfolio at period end. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (904)(543)
Reductions for securities which we intend to sell or it is more likely than not that we will be required
to sell before recovery of amortized cost basis. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,453)(399)
Reductions for amortization resulting from changes in cash flows expected to be collected over the
remaining life of the securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (346)(398)
Balance, end of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,260 $ 7,904
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, 2014. 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, 2014
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. . . . . . . . . . . . . . . $ 5,330 $ 5,639 $ — $ — $ 253 $ 266 $ 255 $ 274 $ 4,822 $ 5,099
Freddie Mac . . . . . . . . . . . . . . 5,100 5,528 — — 280 295 488 533 4,332 4,700
Ginnie Mae. . . . . . . . . . . . . . . 416 476 — — — — 62 70 354 406
Alt-A private-label securities.4,638 5,678 — — — — — — 4,638 5,678
Subprime private-label
securities . . . . . . . . . . . . . . 4,103 5,240 — — — — — — 4,103 5,240
CMBS . . . . . . . . . . . . . . . . . . 1,341 1,397 — — 1,264 1,320 — — 77 77
Mortgage revenue bonds . . . . 3,859 4,023 16 16 168 170 340 343 3,335 3,494
Other mortgage-related
securities . . . . . . . . . . . . . . 2,626 2,673 — — — 2 36 38 2,590 2,633
Total. . . . . . . . . . . . . . . . . . . . $ 27,413 $ 30,654 $ 16 $ 16 $ 1,965 $ 2,053 $1,181 $ 1,258 $ 24,251 $ 27,327
Weighted average yield(1). . . . 5.52% 6.72% 4.61% 5.97% 5.58%
__________
(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-