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þ
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QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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¨
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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Federally chartered corporation
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52-0883107
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(State or other jurisdiction of
incorporation or organization)
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(I.R.S. Employer
Identification No.)
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|
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3900 Wisconsin Avenue, NW
Washington, DC
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20016
(Zip Code)
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(Address of principal executive offices)
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Large accelerated filer
þ
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Accelerated filer
o
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Non-accelerated filer
o
(Do not check if a smaller reporting company)
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Smaller reporting company
o
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Page
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PART I—Financial Information
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1
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Item 1.
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Item 2.
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Item 3.
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Item 4.
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PART II—Other Information
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Item 1.
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Item 1A.
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Item 2.
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Item 3.
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Item 4.
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Item 5.
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Item 6.
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Table
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Description
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Page
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1
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Single-Family Acquisitions Statistics
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5
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2
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Credit Statistics, Single-Family Guaranty Book of Business
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7
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3
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Summary of Condensed Consolidated Results of Operations
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16
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4
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Analysis of Net Interest Income and Yield
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17
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5
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Rate/Volume Analysis of Changes in Net Interest Income
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18
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6
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Fair Value (Losses) Gains, Net
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19
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7
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Total Loss Reserves
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20
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8
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Allowance for Loan Losses and Reserve for Guaranty Losses (Combined Loss Reserves)
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21
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9
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Troubled Debt Restructurings and Nonaccrual Loans
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23
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10
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Credit Loss Performance Metrics
|
24
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11
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Single-Family Credit Loss Sensitivity
|
25
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12
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Single-Family Business Results
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26
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13
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Multifamily Business Results
|
28
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14
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Capital Markets Group Results
|
30
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15
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Capital Markets Group’s Mortgage Portfolio Activity
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31
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16
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Capital Markets Group’s Mortgage Portfolio Composition
|
32
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17
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Capital Markets Group’s Mortgage Portfolio
|
33
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18
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Summary of Condensed Consolidated Balance Sheets
|
34
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19
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Summary of Mortgage-Related Securities at Fair Value
|
35
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20
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Comparative Measures—GAAP Change in Stockholders’ Equity and Non-GAAP Change in Fair Value of Net Assets
|
36
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21
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Supplemental Non-GAAP Consolidated Fair Value Balance Sheets
|
38
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22
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Activity in Debt of Fannie Mae
|
40
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23
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Outstanding Short-Term Borrowings and Long-Term Debt
|
42
|
24
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Maturity Profile of Outstanding Debt of Fannie Mae Maturing Within One Year
|
43
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25
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Maturity Profile of Outstanding Debt of Fannie Mae Maturing in More Than One Year
|
44
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26
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Cash and Other Investments Portfolio
|
44
|
27
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Fannie Mae Credit Ratings
|
45
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28
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Composition of Mortgage Credit Book of Business
|
48
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29
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Selected Credit Characteristics of Single-Family Conventional Loans Held, by Acquisition Period
|
49
|
30
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Risk Characteristics of Single-Family Conventional Business Volume and Guaranty Book of Business
|
51
|
31
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Selected Credit Characteristics of Single-Family Conventional Loans Acquired under HARP and Refi Plus
|
54
|
32
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Delinquency Status of Single-Family Conventional Loans
|
56
|
33
|
Single-Family Serious Delinquency Rates
|
57
|
34
|
Single-Family Conventional Serious Delinquent Loan Concentration Analysis
|
58
|
35
|
Statistics on Single-Family Loan Workouts
|
59
|
36
|
Percentage of Single-Family Loan Modifications That Were Current or Paid Off at One and Two Years Post-Modification
|
60
|
37
|
Single-Family Foreclosed Properties
|
60
|
38
|
Single-Family Foreclosed Property Status
|
61
|
39
|
Multifamily Lender Risk-Sharing
|
62
|
40
|
Multifamily Guaranty Book of Business Key Risk Characteristics
|
62
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Table
|
Description
|
Page
|
41
|
Multifamily Concentration Analysis
|
63
|
42
|
Multifamily Foreclosed Properties
|
64
|
43
|
Mortgage Insurance Coverage
|
66
|
44
|
Rescission Rates and Claims Resolution of Mortgage Insurance
|
67
|
45
|
Estimated Mortgage Insurance Benefit
|
67
|
46
|
Unpaid Principal Balance of Financial Guarantees
|
68
|
47
|
Credit Loss Exposure of Risk Management Derivative Instruments
|
70
|
48
|
Interest Rate Sensitivity of Net Portfolio to Changes in Interest Rate Level and Slope of Yield Curve
|
73
|
49
|
Derivative Impact on Interest Rate Risk (50 Basis Points)
|
74
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INTRODUCTION
|
EXECUTIVE SUMMARY
|
•
|
achieving strong financial performance and strengthening our book of business;
|
•
|
supporting the housing recovery by providing reliable, large-scale access to affordable mortgage credit and helping struggling homeowners; and
|
•
|
helping to lay the foundation for a safer, transparent and sustainable housing finance system going forward.
|
•
|
Financial Performance.
We reported net income of
$5.3 billion
and pre-tax income of
$7.9 billion
for the first quarter of 2014, compared with net income of
$58.7 billion
and pre-tax income of
$8.1 billion
for the first quarter of 2013. See “Summary of Our Financial Performance” below for an overview of our financial performance for the
first
quarter of 2014, as compared with the
first
quarter of 2013. As of March 31, 2014, we have been profitable for nine consecutive quarters, and we expect to remain profitable for the foreseeable future. For more information regarding our expectations for our future financial performance, see “Outlook—Financial Results” and “Outlook—Revenues” below.
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•
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Dividend Payments to Treasury.
With our expected June 2014 dividend payment to Treasury, we will have paid a total of
$126.8 billion
in dividends to Treasury on our senior preferred stock. The aggregate amount of draws we have received from Treasury to date under the senior preferred stock purchase agreement is $116.1 billion. Under the terms of the senior preferred stock purchase agreement, dividend payments do not offset prior Treasury draws. See “Outlook—Dividend Obligations to Treasury” below for more information regarding our dividend payments to Treasury.
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•
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Book of Business.
Changes we have made beginning in 2008 to strengthen our underwriting and eligibility standards have improved the credit quality of our single-family guaranty book of business. Single-family loans we have acquired since the beginning of 2009 (referred to as our “new single-family book of business”) comprised
78%
of our single-family guaranty book of business as of March 31, 2014, while the single-family loans we acquired prior to 2009 (referred to as our “legacy book of business”) comprised
22%
of our single-family guaranty book of business. As described below in “Strengthening Our Book of Business—New Book of Business,” we expect that our new single-family book of business will be profitable over its lifetime.
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•
|
Credit Performance.
As of March 31, 2014, our single-family serious delinquency rate had declined for sixteen consecutive quarters. Our single-family serious delinquency rate was
2.19%
as of
March 31, 2014
, compared with 2.38% as of December 31, 2013. See “Improving the Credit Performance of our Book of Business” below for additional information on the credit performance of the mortgage loans in our single-family guaranty book of business for each of the last five quarters, and for a description of our strategies for reducing credit losses on our legacy book of business.
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2014
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2013
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||||||||||||||||
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Q1
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Q4
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Q3
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Q2
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Q1
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||||||||||
Single-family average charged guaranty fee on new acquisitions (in basis points)
(1)(2)
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63.0
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61.2
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58.7
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56.9
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54.4
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|||||
Single-family Fannie Mae MBS issuances
(in millions)
(3)
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$
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76,972
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|
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$
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117,809
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|
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$
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186,459
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|
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$
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206,978
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|
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$
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221,865
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|
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Select risk characteristics of single-family conventional acquisitions:
(4)
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|
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||||||||||
Weighted average FICO credit score at origination
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|
741
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745
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750
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754
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757
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|||||
Weighted average original loan-to-value ratio
(5)
|
|
77
|
|
%
|
77
|
|
%
|
76
|
|
%
|
75
|
|
%
|
75
|
|
%
|
|||||
Original loan-to-value ratio over 80%
(5)(6)
|
|
31
|
|
|
33
|
|
|
31
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|
|
29
|
|
|
26
|
|
|
|||||
Loan purpose:
|
|
|
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|
|
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||||||||||
Purchase
|
|
45
|
|
%
|
49
|
|
%
|
38
|
|
%
|
25
|
|
%
|
17
|
|
%
|
|||||
Refinance
|
|
55
|
|
|
51
|
|
|
62
|
|
|
75
|
|
|
83
|
|
|
(1)
|
Includes the impact of the 10 basis point guaranty fee increase implemented pursuant to the Temporary Payroll Tax Cut Continuation Act of 2011 (the “TCCA”), the incremental revenue from which must be remitted to Treasury. The resulting revenue is included in guaranty fee income and the expense is recognized as “TCCA fees.”
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(2)
|
Calculated based on the average contractual fee rate for our single-family guaranty arrangements entered into during the period plus the recognition of any upfront cash payments ratably over an estimated average life, expressed in basis points.
|
(3)
|
Reflects unpaid principal balance of Fannie Mae MBS issued and guaranteed by the Single-Family segment during the period.
|
(4)
|
Calculated based on unpaid principal balance of single-family loans for each category at time of acquisition. Single-family business volume refers to both single-family mortgage loans we purchase for our retained mortgage portfolio and single-family
mortgage loans we guarantee.
|
(5)
|
The original loan-to-value (“LTV”) ratio generally is based on the original unpaid principal balance of the loan divided by the appraised property value reported to us at the time of acquisition of the loan. Excludes loans for which this information is not readily available.
|
(6)
|
We purchase loans with original LTV ratios above 80% as part of our mission to serve the primary mortgage market and provide liquidity to the housing finance system. Except as permitted under HARP, our charter generally requires primary mortgage insurance or other credit enhancement for loans that we acquire that have an LTV ratio over 80%.
|
|
2014
|
|
|
2013
|
|
||||||||||||||||||||||||
|
Q1
|
|
|
Full
Year
|
|
|
Q4
|
|
|
Q3
|
|
|
Q2
|
|
|
Q1
|
|
||||||||||||
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(Dollars in millions)
|
|
|||||||||||||||||||||||||||
As of the end of each period:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Serious delinquency rate
(2)
|
2.19
|
|
%
|
|
2.38
|
|
%
|
|
2.38
|
|
%
|
|
2.55
|
|
%
|
|
2.77
|
|
%
|
|
3.02
|
|
%
|
||||||
Seriously delinquent loan count
|
383,810
|
|
|
|
418,837
|
|
|
|
418,837
|
|
|
|
447,840
|
|
|
|
483,253
|
|
|
|
527,529
|
|
|
||||||
Troubled debt restructurings on accrual status
(3)
|
$
|
144,077
|
|
|
|
$
|
140,512
|
|
|
|
$
|
140,512
|
|
|
|
$
|
138,165
|
|
|
|
$
|
136,558
|
|
|
|
$
|
134,325
|
|
|
Nonaccrual loans
(4)
|
73,972
|
|
|
|
81,355
|
|
|
|
81,355
|
|
|
|
86,848
|
|
|
|
93,883
|
|
|
|
102,602
|
|
|
||||||
Foreclosed property inventory:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Number of properties
(5)
|
102,398
|
|
|
|
103,229
|
|
|
|
103,229
|
|
|
|
100,941
|
|
|
|
96,920
|
|
|
|
101,449
|
|
|
||||||
Carrying value
|
$
|
10,492
|
|
|
|
$
|
10,334
|
|
|
|
$
|
10,334
|
|
|
|
$
|
10,036
|
|
|
|
$
|
9,075
|
|
|
|
$
|
9,263
|
|
|
Combined loss reserves
(6)
|
42,919
|
|
|
|
44,705
|
|
|
|
44,705
|
|
|
|
45,608
|
|
|
|
49,930
|
|
|
|
56,626
|
|
|
||||||
Total loss reserves
(7)
|
44,760
|
|
|
|
46,689
|
|
|
|
46,689
|
|
|
|
47,664
|
|
|
|
52,141
|
|
|
|
59,114
|
|
|
||||||
During the period:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Foreclosed property (number of properties):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Acquisitions
(5)
|
31,896
|
|
|
|
144,384
|
|
|
|
32,208
|
|
|
|
37,353
|
|
|
|
36,106
|
|
|
|
38,717
|
|
|
||||||
Dispositions
|
(32,727
|
)
|
|
|
(146,821
|
)
|
|
|
(29,920
|
)
|
|
|
(33,332
|
)
|
|
|
(40,635
|
)
|
|
|
(42,934
|
)
|
|
||||||
Credit-related income
(8)
|
$
|
1,002
|
|
|
|
$
|
11,205
|
|
|
|
$
|
848
|
|
|
|
$
|
3,642
|
|
|
|
$
|
5,681
|
|
|
|
$
|
1,034
|
|
|
Credit losses
(9)
|
1,127
|
|
|
|
4,452
|
|
|
|
325
|
|
|
|
1,083
|
|
|
|
1,541
|
|
|
|
1,503
|
|
|
||||||
REO net sales prices to unpaid principal balance
(10)
|
68
|
|
%
|
|
67
|
|
%
|
|
68
|
|
%
|
|
68
|
|
%
|
|
68
|
|
%
|
|
65
|
|
%
|
||||||
Short sales net sales price to unpaid principal balance
(11)
|
71
|
|
%
|
|
67
|
|
%
|
|
70
|
|
%
|
|
68
|
|
%
|
|
67
|
|
%
|
|
64
|
|
%
|
||||||
Loan workout activity (number of loans):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Home retention loan workouts
(12)
|
38,299
|
|
|
|
172,029
|
|
|
|
41,053
|
|
|
|
39,559
|
|
|
|
43,782
|
|
|
|
47,635
|
|
|
||||||
Short sales and deeds-in-lieu of foreclosure
|
10,127
|
|
|
|
61,949
|
|
|
|
13,021
|
|
|
|
15,092
|
|
|
|
17,710
|
|
|
|
16,126
|
|
|
||||||
Total loan workouts
|
48,426
|
|
|
|
233,978
|
|
|
|
54,074
|
|
|
|
54,651
|
|
|
|
61,492
|
|
|
|
63,761
|
|
|
||||||
Loan workouts as a percentage of the average balance of delinquent loans in our guaranty book of business
(13)
|
25.70
|
|
%
|
|
26.01
|
|
%
|
|
26.59
|
|
%
|
|
25.32
|
|
%
|
|
26.93
|
|
%
|
|
25.88
|
|
%
|
(1)
|
Our single-family guaranty book of business consists of (a) single-family mortgage loans of Fannie Mae, (b) single-family mortgage loans underlying Fannie Mae MBS, and (c) other credit enhancements that we provide on single-family mortgage assets, such as long-term standby commitments. It excludes non-Fannie Mae mortgage-related securities held in our retained mortgage portfolio for which we do not provide a guaranty.
|
(2)
|
Calculated based on the number of single-family conventional loans that are 90 days or more past due or in the foreclosure process, divided by the number of loans in our single-family conventional guaranty book of business. We include single-family conventional loans that we own and those that back Fannie Mae MBS in the calculation of the single-family serious delinquency rate.
|
(3)
|
A troubled debt restructuring (“TDR”) is a modification to the contractual terms of a loan in which a concession is granted to a borrower experiencing financial difficulty.
|
(4)
|
We generally classify single-family loans as nonaccrual when the payment of principal or interest on the loan is two or more months past due according to its contractual terms. Excludes off-balance sheet loans in unconsolidated Fannie Mae MBS trusts that would meet our criteria for nonaccrual status if the loans had been on-balance sheet.
|
(5)
|
Includes held for use properties, which are reported in our condensed consolidated balance sheets as a component of “Other assets,” and acquisitions through deeds-in-lieu of foreclosure.
|
(6)
|
Consists of the allowance for loan losses for single-family loans recognized in our condensed consolidated balance sheets and the reserve for guaranty losses related to both loans backing Fannie Mae MBS that we do not consolidate in our condensed consolidated balance sheets and loans that we have guaranteed under long-term standby commitments. For additional information on the change in our loss reserves see “Consolidated Results of Operations—Credit-Related Income—Benefit for Credit Losses.”
|
(7)
|
Consists of (a) the combined loss reserves, (b) allowance for accrued interest receivable and (c) allowance for preforeclosure property taxes and insurance receivables.
|
(8)
|
Consists of (a) the benefit for credit losses and (b) foreclosed property income.
|
(9)
|
Consists of (a) charge-offs, net of recoveries and (b) foreclosed property income, adjusted to exclude the impact of fair value losses resulting from credit-impaired loans acquired from MBS trusts.
|
(10)
|
Calculated as the amount of sale proceeds received on disposition of REO properties during the respective period, excluding those subject to repurchase requests made to our sellers or servicers, divided by the aggregate unpaid principal balance of the related loans at the time of foreclosure. Net sales price represents the contract sales price less selling costs for the property and other charges paid by the seller at closing.
|
(11)
|
Calculated as the amount of sale proceeds received on properties sold in short sale transactions during the respective period divided by the aggregate unpaid principal balance of the related loans. Net sales price represents the contract sales price less the selling costs for the property and other charges paid by the seller at the closing, including borrower relocation incentive payments and subordinate lien(s) negotiated payoffs.
|
(12)
|
Consists of (a) modifications, which do not include trial modifications, loans to certain borrowers who have received bankruptcy relief that are classified as TDRs, or repayment plans or forbearances that have been initiated but not completed and (b) repayment plans and forbearances completed. See “
Table 35
:
Statistics on Single-Family Loan Workouts
” in “Risk Management—Credit Risk Management—Single-Family Mortgage Credit Risk Management—Problem Loan Management—Loan Workout Metrics” for additional information on our various types of loan workouts.
|
(13)
|
Calculated based on annualized problem loan workouts during the period as a percentage of the average balance of delinquent loans in our single-family guaranty book of business.
|
•
|
We serve as a stable source of liquidity for purchases of homes and financing of multifamily rental housing, as well as for refinancing existing mortgages. The approximately
$87 billion
in liquidity we provided to the mortgage market in the first quarter of 2014 through our purchases and guarantees of loans and securities enabled borrowers to complete approximately
232,000
mortgage refinancings and approximately
163,000
home purchases, and provided financing for approximately
72,000
units of multifamily housing.
|
•
|
Our role in the market enables borrowers to have reliable access to affordable mortgage credit, including a variety of conforming mortgage products such as the prepayable 30-year fixed-rate mortgage that protects homeowners from fluctuations in interest rates.
|
•
|
We provided over
48,000
loan workouts in the first quarter of 2014 to help homeowners stay in their homes or otherwise avoid foreclosure. These efforts helped to stabilize neighborhoods, home prices and the housing market.
|
•
|
We helped borrowers refinance loans, including through our Refi Plus initiative. We acquired approximately
97,000
Refi Plus loans in the first quarter of 2014. Refinancings delivered to us through Refi Plus in the
first
quarter of
2014
reduced borrowers’ monthly mortgage payments by an average of
$157
. Some borrowers’ monthly payments increased as they took advantage of the ability to refinance through Refi Plus to reduce the term of their loan, to switch from an adjustable-rate mortgage to a fixed-rate mortgage or to switch from an interest-only mortgage to a fully amortizing mortgage.
|
•
|
We support affordability in the multifamily rental market. Over
85%
of the multifamily units we financed in the first quarter of 2014 were affordable to families earning at or below the median income in their area.
|
•
|
In addition to purchasing and guaranteeing loans, we provide funds to the mortgage market through short-term financing and other activities. These activities are described in more detail in our 2013 Form 10-K in “Business—Business Segments—Capital Markets.”
|
LEGISLATIVE AND REGULATORY DEVELOPMENTS
|
CRITICAL ACCOUNTING POLICIES AND ESTIMATES
|
CONSOLIDATED RESULTS OF OPERATIONS
|
|
For the Three Months Ended
|
|
|
|
||||||||||||
|
March 31,
|
|
|
|
||||||||||||
|
|
2014
|
|
|
|
2013
|
|
|
Variance
|
|
||||||
|
|
(Dollars in millions)
|
||||||||||||||
Net interest income
|
|
$
|
4,738
|
|
|
|
|
$
|
6,304
|
|
|
|
$
|
(1,566
|
)
|
|
Fee and other income
|
|
4,355
|
|
|
|
|
568
|
|
|
|
3,787
|
|
|
|||
Net revenues
|
|
9,093
|
|
|
|
|
6,872
|
|
|
|
2,221
|
|
|
|||
Investment gains, net
|
|
146
|
|
|
|
|
118
|
|
|
|
28
|
|
|
|||
Fair value (losses) gains, net
|
|
(1,190
|
)
|
|
|
|
834
|
|
|
|
(2,024
|
)
|
|
|||
Administrative expenses
|
|
(672
|
)
|
|
|
|
(641
|
)
|
|
|
(31
|
)
|
|
|||
Credit-related income
|
|
|
|
|
|
|
|
|
|
|
||||||
Benefit for credit losses
|
|
774
|
|
|
|
|
957
|
|
|
|
(183
|
)
|
|
|||
Foreclosed property income
|
|
262
|
|
|
|
|
260
|
|
|
|
2
|
|
|
|||
Total credit-related income
|
|
1,036
|
|
|
|
|
1,217
|
|
|
|
(181
|
)
|
|
|||
Other non-interest expenses
(1)
|
|
(504
|
)
|
|
|
|
(286
|
)
|
|
|
(218
|
)
|
|
|||
Income before federal income taxes
|
|
7,909
|
|
|
|
|
8,114
|
|
|
|
(205
|
)
|
|
|||
(Provision) benefit for federal income taxes
|
|
(2,584
|
)
|
|
|
|
50,571
|
|
|
|
(53,155
|
)
|
|
|||
Net income attributable to Fannie Mae
|
|
$
|
5,325
|
|
|
|
|
$
|
58,685
|
|
|
|
$
|
(53,360
|
)
|
|
Total comprehensive income attributable to Fannie Mae
|
|
$
|
5,697
|
|
|
|
|
$
|
59,339
|
|
|
|
$
|
(53,642
|
)
|
|
(1)
|
Consists of net other-than-temporary impairments, debt extinguishment losses, net, TCCA fees and other expenses, net.
|
|
For the Three Months Ended March 31,
|
||||||||||||||||||||
|
2014
|
|
2013
|
||||||||||||||||||
|
Average
Balance |
|
Interest
Income/ Expense |
|
Average
Rates Earned/Paid |
|
Average
Balance |
|
Interest
Income/ Expense |
|
Average
Rates Earned/Paid |
||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||
Interest-earning assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Mortgage loans of Fannie Mae
|
$
|
296,018
|
|
|
$
|
2,634
|
|
|
3.56
|
%
|
|
$
|
345,077
|
|
|
$
|
3,830
|
|
|
4.44
|
%
|
Mortgage loans of consolidated trusts
|
2,771,950
|
|
|
25,954
|
|
|
3.75
|
|
|
2,669,149
|
|
|
25,394
|
|
|
3.81
|
|
||||
Total mortgage loans
(1)
|
3,067,968
|
|
|
28,588
|
|
|
3.73
|
|
|
3,014,226
|
|
|
29,224
|
|
|
3.88
|
|
||||
Mortgage-related securities
|
157,595
|
|
|
1,819
|
|
|
4.62
|
|
|
236,309
|
|
|
2,683
|
|
|
4.54
|
|
||||
Elimination of Fannie Mae MBS held in retained mortgage portfolio
|
(107,798
|
)
|
|
(1,258
|
)
|
|
4.67
|
|
|
(152,986
|
)
|
|
(1,797
|
)
|
|
4.70
|
|
||||
Total mortgage-related securities, net
|
49,797
|
|
|
561
|
|
|
4.51
|
|
|
83,323
|
|
|
886
|
|
|
4.25
|
|
||||
Non-mortgage securities
(2)
|
33,626
|
|
|
6
|
|
|
0.07
|
|
|
42,879
|
|
|
13
|
|
|
0.12
|
|
||||
Federal funds sold and securities purchased under agreements to resell or similar arrangements
|
33,395
|
|
|
5
|
|
|
0.06
|
|
|
69,804
|
|
|
27
|
|
|
0.15
|
|
||||
Advances to lenders
|
3,213
|
|
|
19
|
|
|
2.37
|
|
|
6,085
|
|
|
30
|
|
|
1.97
|
|
||||
Total interest-earning assets
|
$
|
3,187,999
|
|
|
$
|
29,179
|
|
|
3.66
|
%
|
|
$
|
3,216,317
|
|
|
$
|
30,180
|
|
|
3.75
|
%
|
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Short-term debt
(3)
|
$
|
62,931
|
|
|
$
|
20
|
|
|
0.13
|
%
|
|
$
|
112,790
|
|
|
$
|
42
|
|
|
0.15
|
%
|
Long-term debt
|
442,368
|
|
|
2,345
|
|
|
2.12
|
|
|
513,910
|
|
|
2,675
|
|
|
2.08
|
|
||||
Total short-term and long-term funding debt
|
505,299
|
|
|
2,365
|
|
|
1.87
|
|
|
626,700
|
|
|
2,717
|
|
|
1.73
|
|
||||
Debt securities of consolidated trusts
|
2,822,418
|
|
|
23,334
|
|
|
3.31
|
|
|
2,754,427
|
|
|
22,956
|
|
|
3.33
|
|
||||
Elimination of Fannie Mae MBS held in retained mortgage portfolio
|
(107,798
|
)
|
|
(1,258
|
)
|
|
4.67
|
|
|
(152,986
|
)
|
|
(1,797
|
)
|
|
4.70
|
|
||||
Total debt securities of consolidated trusts held by third parties
|
2,714,620
|
|
|
22,076
|
|
|
3.25
|
|
|
2,601,441
|
|
|
21,159
|
|
|
3.25
|
|
||||
Total interest-bearing liabilities
|
$
|
3,219,919
|
|
|
$
|
24,441
|
|
|
3.04
|
%
|
|
$
|
3,228,141
|
|
|
$
|
23,876
|
|
|
2.96
|
%
|
Net interest income/net interest yield
|
|
|
$
|
4,738
|
|
|
0.59
|
%
|
|
|
|
$
|
6,304
|
|
|
0.78
|
%
|
|
As of March 31,
|
||||
|
2014
|
|
2013
|
||
Selected benchmark interest rates
(4)
|
|
|
|
|
|
3-month LIBOR
|
0.23
|
%
|
|
0.28
|
%
|
2-year swap rate
|
0.55
|
|
|
0.42
|
|
5-year swap rate
|
1.80
|
|
|
0.95
|
|
30-year Fannie Mae MBS par coupon rate
|
3.44
|
|
|
2.62
|
|
(1)
|
Average balance includes mortgage loans on nonaccrual status. Interest income on nonaccrual mortgage loans is recognized when cash is received. Interest income not recognized for loans on nonaccrual status was
$527 million
for the first quarter of 2014 compared with
$763 million
for the first quarter of 2013.
|
(2)
|
Includes cash equivalents.
|
(3)
|
Includes federal funds purchased and securities sold under agreements to repurchase.
|
(4)
|
Data from IntercontinentalExchange Group, Inc., Thomson Reuters and Bloomberg L.P.
|
|
For the Three Months Ended
|
||||||||||
|
March 31, 2014 vs. 2013
|
||||||||||
|
Total
|
|
Variance Due to:
(1)
|
||||||||
|
Variance
|
|
Volume
|
|
Rate
|
||||||
|
(Dollars in millions)
|
||||||||||
Interest income:
|
|
|
|
|
|
||||||
Mortgage loans of Fannie Mae
|
$
|
(1,196
|
)
|
|
$
|
(499
|
)
|
|
$
|
(697
|
)
|
Mortgage loans of consolidated trusts
|
560
|
|
|
967
|
|
|
(407
|
)
|
|||
Total mortgage loans
|
(636
|
)
|
|
468
|
|
|
(1,104
|
)
|
|||
Total mortgage-related securities, net
|
(325
|
)
|
|
(381
|
)
|
|
56
|
|
|||
Non-mortgage securities
(2)
|
(7
|
)
|
|
(2
|
)
|
|
(5
|
)
|
|||
Federal funds sold and securities purchased under agreements to resell or similar arrangements
|
(22
|
)
|
|
(10
|
)
|
|
(12
|
)
|
|||
Advances to lenders
|
(11
|
)
|
|
(16
|
)
|
|
5
|
|
|||
Total interest income
|
(1,001
|
)
|
|
59
|
|
|
(1,060
|
)
|
|||
Interest expense:
|
|
|
|
|
|
||||||
Short-term debt
(3)
|
(22
|
)
|
|
(17
|
)
|
|
(5
|
)
|
|||
Long-term debt
|
(330
|
)
|
|
(378
|
)
|
|
48
|
|
|||
Total short-term and long-term funding debt
|
(352
|
)
|
|
(395
|
)
|
|
43
|
|
|||
Total debt securities of consolidated trusts held by third parties
|
917
|
|
|
1,090
|
|
|
(173
|
)
|
|||
Total interest expense
|
565
|
|
|
695
|
|
|
(130
|
)
|
|||
Net interest income
|
$
|
(1,566
|
)
|
|
$
|
(636
|
)
|
|
$
|
(930
|
)
|
(1)
|
Combined rate/volume variances are allocated to both rate and volume based on the relative size of each variance
.
|
(2)
|
Includes cash equivalents.
|
(3)
|
Includes federal funds purchased and securities sold under agreements to repurchase.
|
|
For the Three Months Ended March 31,
|
||||||
|
2014
|
|
2013
|
||||
|
(Dollars in millions)
|
||||||
Risk management derivatives fair value (losses) gains attributable to:
|
|
|
|
||||
Net contractual interest expense accruals on interest rate swaps
|
$
|
(199
|
)
|
|
$
|
(200
|
)
|
Net change in fair value during the period
|
(741
|
)
|
|
631
|
|
||
Total risk management derivatives fair value (losses) gains, net
|
(940
|
)
|
|
431
|
|
||
Mortgage commitment derivatives fair value (losses) gains, net
|
(345
|
)
|
|
131
|
|
||
Total derivatives fair value (losses) gains, net
|
(1,285
|
)
|
|
562
|
|
||
Trading securities gains, net
|
145
|
|
|
396
|
|
||
Other, net
(1)
|
(50
|
)
|
|
(124
|
)
|
||
Fair value (losses) gains, net
|
$
|
(1,190
|
)
|
|
$
|
834
|
|
|
|
|
|
||||
|
2014
|
|
2013
|
||||
5-year swap rate:
|
|
|
|
||||
As of January 1
|
1.79
|
%
|
|
0.86
|
%
|
||
As of March 31
|
1.80
|
%
|
|
0.95
|
%
|
||
10-year swap rate:
|
|
|
|
||||
As of January 1
|
3.09
|
%
|
|
1.84
|
%
|
||
As of March 31
|
2.84
|
%
|
|
2.01
|
%
|
(1)
|
Consists of debt fair value gains (losses), net; debt foreign exchange gains (losses), net; and mortgage loans fair value gains (losses), net.
|
|
As of
|
||||||||||
|
March 31,
2014 |
|
December 31, 2013
|
||||||||
|
|
(Dollars in millions)
|
|
||||||||
Allowance for loan losses
|
|
$
|
41,911
|
|
|
|
|
$
|
43,846
|
|
|
Reserve for guaranty losses
(1)
|
|
1,520
|
|
|
|
|
1,449
|
|
|
||
Combined loss reserves
|
|
43,431
|
|
|
|
|
45,295
|
|
|
||
Allowance for accrued interest receivable
|
|
1,048
|
|
|
|
|
1,156
|
|
|
||
Allowance for preforeclosure property taxes and insurance receivable
(2)
|
|
802
|
|
|
|
|
839
|
|
|
||
Total loss reserves
|
|
45,281
|
|
|
|
|
47,290
|
|
|
||
Fair value losses previously recognized on acquired credit-impaired loans
(3)
|
|
10,939
|
|
|
|
|
11,316
|
|
|
||
Total loss reserves and fair value losses previously recognized on acquired credit-impaired loans
|
|
$
|
56,220
|
|
|
|
|
$
|
58,606
|
|
|
(1)
|
Amount included in “Other liabilities” in our condensed consolidated balance sheets.
|
(2)
|
Amount included in “Other assets” in our condensed consolidated balance sheets.
|
(3)
|
Represents the fair value losses on loans purchased out of unconsolidated MBS trusts reflected in our condensed consolidated balance sheets.
|
|
For the Three Months Ended March 31,
|
||||||
|
2014
|
|
2013
|
||||
|
(Dollars in millions)
|
||||||
Changes in combined loss reserves:
|
|
|
|
||||
Allowance for loan losses:
|
|
|
|
||||
Beginning balance
|
$
|
43,846
|
|
|
$
|
58,795
|
|
Benefit for loan losses
|
(872
|
)
|
|
(984
|
)
|
||
Charge-offs
(1)
|
(1,599
|
)
|
|
(2,720
|
)
|
||
Recoveries
|
391
|
|
|
1,272
|
|
||
Other
(2)
|
145
|
|
|
98
|
|
||
Ending balance
|
$
|
41,911
|
|
|
$
|
56,461
|
|
Reserve for guaranty losses:
|
|
|
|
||||
Beginning balance
|
$
|
1,449
|
|
|
$
|
1,231
|
|
Provision for guaranty losses
|
98
|
|
|
27
|
|
||
Charge-offs
|
(28
|
)
|
|
(56
|
)
|
||
Recoveries
|
1
|
|
|
1
|
|
||
Ending balance
|
$
|
1,520
|
|
|
$
|
1,203
|
|
Combined loss reserves:
|
|
|
|
||||
Beginning balance
|
$
|
45,295
|
|
|
$
|
60,026
|
|
Benefit for credit losses
|
(774
|
)
|
|
(957
|
)
|
||
Charge-offs
(1)
|
(1,627
|
)
|
|
(2,776
|
)
|
||
Recoveries
|
392
|
|
|
1,273
|
|
||
Other
(2)
|
145
|
|
|
98
|
|
||
Ending balance
|
$
|
43,431
|
|
|
$
|
57,664
|
|
|
|
As of
|
|||||||||||||||||||
|
|
March 31,
2014 |
|
December 31, 2013
|
|||||||||||||||||
|
|
(Dollars in millions)
|
|||||||||||||||||||
Allocation of combined loss reserves:
|
|
|
|
|
|
|
|
|
|||||||||||||
Balance at end of each period attributable to:
|
|
|
|
|
|
|
|
|
|||||||||||||
Single-family
|
|
|
$
|
42,919
|
|
|
|
|
$
|
44,705
|
|
|
|||||||||
Multifamily
|
|
|
512
|
|
|
|
|
590
|
|
|
|||||||||||
Total
|
|
|
$
|
43,431
|
|
|
|
|
$
|
45,295
|
|
|
|||||||||
Single-family and multifamily combined loss reserves as a percentage of applicable guaranty book of business:
|
|
|
|
|
|
|
|
|
|||||||||||||
Single-family
|
|
|
1.49
|
%
|
|
|
|
1.55
|
%
|
|
|||||||||||
Multifamily
|
|
|
0.26
|
|
|
|
|
0.29
|
|
|
|||||||||||
Combined loss reserves as a percentage of:
|
|
|
|
|
|
|
|
|
|||||||||||||
Total guaranty book of business
|
|
|
1.41
|
%
|
|
|
|
1.47
|
%
|
|
|||||||||||
Recorded investment in nonaccrual loans
(3)
|
|
|
57.29
|
|
|
|
|
54.20
|
|
|
(1)
|
Includes accrued interest of
$94 million
and
$115 million
for the
three months ended March 31, 2014 and 2013
, respectively.
|
(2)
|
Amounts represent the net activity recorded in our allowances for accrued interest receivable and preforeclosure property taxes and insurance receivable from borrowers. The benefit for credit losses, charge-offs and recoveries activity included in this table reflects all changes for both the allowance for loan losses and the valuation allowances for accrued interest and preforeclosure property taxes and insurance receivable that relate to the mortgage loans.
|
(3)
|
Excludes off-balance sheet loans in unconsolidated Fannie Mae MBS trusts that would meet our criteria for nonaccrual status if the loans had been on-balance sheet.
|
•
|
Mortgage interest rates declined in the first quarter of 2014 resulting in higher discounted cash flow projections on our individually impaired loans. Lower mortgage interest rates shorten the expected lives of modified loans, which reduces the impairment on these loans and results in a decrease in the provision for credit losses.
|
•
|
Home prices increased by
0.4%
in the first quarter of 2014 and
1.6%
in the first quarter of 2013. Higher home prices decrease the likelihood that loans will default and reduce the amount of credit loss on loans that default, which reduces our total loss reserves and provision for credit losses.
|
•
|
The number of our seriously delinquent single-family loans declined
27%
to approximately
384,000
as of March 31, 2014 from approximately
528,000
as of March 31, 2013, and the number of “early stage” delinquent loans (loans that are 30 to 89 days past due) declined
19%
to approximately
316,000
as of March 31, 2014 from approximately
392,000
as of March 31, 2013. The reduction in the number of delinquent loans was due to home retention solutions, foreclosure alternatives and completed foreclosures, as well as our acquisition of loans with stronger credit profiles since the beginning of 2009. A decline in the number of loans becoming delinquent or seriously delinquent reduces our total loss reserves and provision for credit losses.
|
|
|
As of
|
|
||||||||
|
March 31,
2014 |
|
December 31, 2013
|
||||||||
|
(Dollars in millions)
|
||||||||||
TDRs on accrual status:
|
|
|
|
|
|
|
|
||||
Single-family
|
|
$
|
144,077
|
|
|
|
|
$
|
140,512
|
|
|
Multifamily
|
|
684
|
|
|
|
|
715
|
|
|
||
Total TDRs on accrual status
|
|
$
|
144,761
|
|
|
|
|
$
|
141,227
|
|
|
Nonaccrual loans:
|
|
|
|
|
|
|
|
||||
Single-family
|
|
$
|
73,972
|
|
|
|
|
$
|
81,355
|
|
|
Multifamily
|
|
1,840
|
|
|
|
|
2,209
|
|
|
||
Total nonaccrual loans
|
|
$
|
75,812
|
|
|
|
|
$
|
83,564
|
|
|
Accruing on-balance sheet loans past due 90 days or more
(1)
|
|
$
|
685
|
|
|
|
|
$
|
719
|
|
|
|
For the Three Months Ended
|
||||||||||
|
|
March 31,
|
|
||||||||
|
|
2014
|
|
|
|
2013
|
|
||||
|
|
(Dollars in millions)
|
|
||||||||
Interest related to on-balance sheet TDRs and nonaccrual loans:
|
|
|
|
|
|
|
|
||||
Interest income forgone
(2)
|
|
$
|
1,760
|
|
|
|
|
$
|
1,998
|
|
|
Interest income recognized for the period
(3)
|
|
1,369
|
|
|
|
|
1,451
|
|
|
(1)
|
Recorded investment in loans that, as of the end of each period, are 90 days or more past due and continuing to accrue interest. The majority of this amount consists of loans insured or guaranteed by the U.S. government and loans for which we have recourse against the seller in the event of a default.
|
(2)
|
Represents the amount of interest income we did not recognize, but would have recognized during the period for nonaccrual loans and TDRs on accrual status as of the end of each period had the loans performed according to their original contractual terms.
|
(3)
|
Represents interest income recognized during the period for loans classified as either nonaccrual loans or TDRs on accrual status as of the end of each period. Includes primarily amounts accrued while the loans were performing and cash payments received on nonaccrual loans.
|
|
|
For the Three Months Ended March 31,
|
|||||||||||||||
|
2014
|
|
2013
|
||||||||||||||
|
Amount
|
|
Ratio
(1)
|
|
Amount
|
|
Ratio
(1)
|
||||||||||
|
(Dollars in millions)
|
||||||||||||||||
Charge-offs, net of recoveries
|
|
$
|
1,235
|
|
|
|
16.0
|
|
bps
|
|
$
|
1,503
|
|
|
19.8
|
|
bps
|
Foreclosed property income
|
|
(262
|
)
|
|
|
(3.4
|
)
|
|
|
(260
|
)
|
|
(3.4
|
)
|
|
||
Credit losses including the effect of fair value losses on acquired credit-impaired loans
|
|
973
|
|
|
|
12.6
|
|
|
|
1,243
|
|
|
16.4
|
|
|
||
Plus: Impact of acquired credit-impaired loans on charge-offs and foreclosed property income
(2)
|
|
160
|
|
|
|
2.1
|
|
|
|
255
|
|
|
3.4
|
|
|
||
Credit losses and credit loss ratio
|
|
$
|
1,133
|
|
|
|
14.7
|
|
bps
|
|
$
|
1,498
|
|
|
19.8
|
|
bps
|
Credit losses attributable to:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Single-family
|
|
$
|
1,127
|
|
|
|
|
|
|
$
|
1,503
|
|
|
|
|
||
Multifamily
|
|
6
|
|
|
|
|
|
|
(5
|
)
|
|
|
|
||||
Total
|
|
$
|
1,133
|
|
|
|
|
|
|
$
|
1,498
|
|
|
|
|
||
Single-family initial charge-off severity rate
(3)
|
|
|
|
|
20.31
|
|
%
|
|
|
|
27.18
|
|
%
|
||||
Multifamily initial charge-off severity rate
(3)
|
|
|
|
|
29.91
|
|
%
|
|
|
|
34.49
|
|
%
|
(1)
|
Basis points are based on the annualized amount for each line item presented divided by the average guaranty book of business during the period.
|
(2)
|
Includes fair value losses from acquired credit-impaired loans.
|
(3)
|
Single-family and multifamily rates exclude fair value losses on credit-impaired loans acquired from MBS trusts and any costs, gains or losses associated with REO after initial acquisition through final disposition. Single-family rate excludes charge-offs from short sales and third-party sales. Multifamily rate is net of risk-sharing agreements.
|
|
As of
|
||||||
|
March 31,
2014 |
|
December 31, 2013
|
||||
|
(Dollars in millions)
|
||||||
Gross single-family credit loss sensitivity
|
$
|
9,475
|
|
|
$
|
9,109
|
|
Less: Projected credit risk sharing proceeds
|
(1,102
|
)
|
|
(1,062
|
)
|
||
Net single-family credit loss sensitivity
|
$
|
8,373
|
|
|
$
|
8,047
|
|
Single-family loans in our retained mortgage portfolio and loans underlying Fannie Mae MBS
|
$
|
2,819,111
|
|
|
$
|
2,828,395
|
|
Single-family net credit loss sensitivity as a percentage of outstanding single-family loans in our retained mortgage portfolio and Fannie Mae MBS
|
0.30
|
%
|
|
0.28
|
%
|
(1)
|
Represents total economic credit losses, which consist of credit losses and forgone interest. Calculations are based on
98%
of our total single-family guaranty book of business as of March 31, 2014 and December 31, 2013. The mortgage loans and mortgage-related securities that are included in these estimates consist of: (a) single-family Fannie Mae MBS (whether held in our retained mortgage portfolio or held by third parties), excluding certain whole loan Real Estate Mortgage Investment Conduits (“REMICs”) and private-label wraps; (b) single-family mortgage loans, excluding mortgages secured only by second liens, subprime mortgages, manufactured housing chattel loans and reverse mortgages; and (c) long-term standby commitments. We expect the inclusion in our estimates of the excluded products may impact the estimated sensitivities set forth in this table.
|
BUSINESS SEGMENT RESULTS
|
|
For the Three Months Ended March 31,
|
|
|||||||||||
|
2014
|
|
2013
|
|
Variance
|
|
|||||||
|
(Dollars in millions)
|
||||||||||||
Net interest (loss) income
(2)
|
$
|
(48
|
)
|
|
|
$
|
520
|
|
|
$
|
(568
|
)
|
|
Guaranty fee income
(3)(4)
|
2,870
|
|
|
|
2,375
|
|
|
495
|
|
|
|||
Credit-related income
(5)
|
1,002
|
|
|
|
1,034
|
|
|
(32
|
)
|
|
|||
TCCA fees
(4)
|
(322
|
)
|
|
|
(186
|
)
|
|
(136
|
)
|
|
|||
Other expenses
(6)
|
(466
|
)
|
|
|
(422
|
)
|
|
(44
|
)
|
|
|||
Income before federal income taxes
|
3,036
|
|
|
|
3,321
|
|
|
(285
|
)
|
|
|||
(Provision) benefit for federal income taxes
(7)
|
(927
|
)
|
|
|
31,578
|
|
|
(32,505
|
)
|
|
|||
Net income attributable to Fannie Mae
|
$
|
2,109
|
|
|
|
$
|
34,899
|
|
|
$
|
(32,790
|
)
|
|
Other key performance data:
|
|
|
|
|
|
|
|
||||||
Single-family effective guaranty fee rate (in basis points)
(4)(8)
|
39.8
|
|
|
|
33.5
|
|
|
|
|
||||
Single-family average charged guaranty fee on new acquisitions (in basis points)
(4)(9)
|
63.0
|
|
|
|
54.4
|
|
|
|
|
||||
Average single-family guaranty book of business
(10)
|
$
|
2,884,653
|
|
|
|
$
|
2,834,490
|
|
|
|
|
||
Single-family Fannie Mae MBS issuances
(11)
|
$
|
76,972
|
|
|
|
$
|
221,865
|
|
|
|
|
(1)
|
Certain prior period amounts have been reclassified to conform with the current period presentation.
|
(2)
|
Includes the cost to reimburse the Capital Markets group for interest income not recognized for loans in our retained mortgage portfolio on nonaccrual status, the cost to reimburse MBS trusts for interest income not recognized for loans in consolidated trusts on nonaccrual status and income from cash payments received on loans that have been placed on nonaccrual status.
|
(3)
|
Guaranty fee income related to unconsolidated Fannie Mae MBS trusts and other credit enhancement arrangements is included in fee and other income in our condensed consolidated statements of operations and comprehensive income.
|
(4)
|
Includes the impact of the 10 basis point guaranty fee increase implemented pursuant to the TCCA, the incremental revenue from which must be remitted to Treasury. The resulting revenue is included in guaranty fee income and the expense is recognized as “TCCA fees.”
|
(5)
|
Consists of the benefit for credit losses and foreclosed property income.
|
(6)
|
Consists of investment gains, net, fair value losses, net, fee and other income, administrative expenses and other expenses.
|
(7)
|
The benefit for the first quarter of 2013 represented the release of the substantial majority of our valuation allowance against the portion of our deferred tax assets that we attribute to our Single-Family segment based on the nature of the item.
|
(8)
|
Calculated based on annualized Single-Family segment guaranty fee income divided by the average single-family guaranty book of business, expressed in basis points.
|
(9)
|
Calculated based on the average contractual fee rate for our single-family guaranty arrangements entered into during the period plus the recognition of any upfront cash payments ratably over an estimated average life, expressed in basis points.
|
(10)
|
Our single-family guaranty book of business consists of (a) single-family mortgage loans of Fannie Mae, (b) single-family mortgage loans underlying Fannie Mae MBS, and (c) other credit enhancements that we provide on single-family mortgage assets, such as long-term standby commitments. It excludes non-Fannie Mae mortgage-related securities held in our retained mortgage portfolio for which we do not provide a guaranty.
|
(11)
|
Consists of unpaid principal balance of Fannie Mae MBS issued and guaranteed by the Single-Family segment during the period.
|
|
For the Three Months Ended March 31,
|
||||||||||||
|
2014
|
|
2013
|
|
Variance
|
||||||||
|
(Dollars in millions)
|
||||||||||||
Guaranty fee income
(1)
|
$
|
311
|
|
|
$
|
291
|
|
|
|
$
|
20
|
|
|
Fee and other income
|
24
|
|
|
51
|
|
|
|
(27
|
)
|
|
|||
Gains from partnership investments
(2)
|
45
|
|
|
59
|
|
|
|
(14
|
)
|
|
|||
Credit-related income
(3)
|
34
|
|
|
183
|
|
|
|
(149
|
)
|
|
|||
Other expenses
(4)
|
(93
|
)
|
|
(73
|
)
|
|
|
(20
|
)
|
|
|||
Income before federal income taxes
|
321
|
|
|
511
|
|
|
|
(190
|
)
|
|
|||
Benefit for federal income taxes
(5)
|
9
|
|
|
7,988
|
|
|
|
(7,979
|
)
|
|
|||
Net income attributable to Fannie Mae
|
$
|
330
|
|
|
$
|
8,499
|
|
|
|
$
|
(8,169
|
)
|
|
Other key performance data:
|
|
|
|
|
|
|
|
||||||
Multifamily effective guaranty fee rate (in basis points)
(6)
|
62.3
|
|
|
56.6
|
|
|
|
|
|
||||
Multifamily credit loss ratio (in basis points)
(7)
|
1.2
|
|
|
(1.0
|
)
|
|
|
|
|
||||
Average multifamily guaranty book of business
(8)
|
$
|
199,829
|
|
|
$
|
205,800
|
|
|
|
|
|
||
Multifamily new business volume
(9)
|
$
|
3,520
|
|
|
$
|
8,216
|
|
|
|
|
|
||
Multifamily units financed from new business volume
|
72,000
|
|
|
143,000
|
|
|
|
|
|
||||
Multifamily Fannie Mae MBS issuances
(10)
|
$
|
4,879
|
|
|
$
|
9,074
|
|
|
|
|
|
||
Multifamily Fannie Mae structured securities issuances (issued by Capital Markets group)
|
$
|
3,262
|
|
|
$
|
3,236
|
|
|
|
|
|
||
Additional net interest income earned on Fannie Mae multifamily mortgage loans and MBS (included in Capital Markets group’s results)
(11)
|
$
|
121
|
|
|
$
|
198
|
|
|
|
|
|
||
Average Fannie Mae multifamily mortgage loans and MBS in Capital Markets group’s portfolio
(12)
|
$
|
56,655
|
|
|
$
|
85,715
|
|
|
|
|
|
|
As of
|
|
|||||||||
|
March 31,
2014 |
|
|
December 31, 2013
|
|
||||||
|
(Dollars in millions)
|
||||||||||
Multifamily serious delinquency rate
|
|
0.10
|
|
%
|
|
|
0.10
|
|
%
|
||
Percentage of multifamily guaranty book of business with credit enhancement
|
|
91
|
|
%
|
|
|
91
|
|
%
|
||
Fannie Mae percentage of total multifamily mortgage debt outstanding
(13)
|
|
20
|
|
%
|
|
|
20
|
|
%
|
||
Multifamily Fannie Mae MBS outstanding
(14)
|
|
$
|
150,693
|
|
|
|
|
$
|
148,724
|
|
|
(1)
|
Guaranty fee income related to unconsolidated Fannie Mae MBS trusts and other credit enhancement arrangements is included in fee and other income in our condensed consolidated statements of operations and comprehensive income.
|
(2)
|
Gains from partnership investments are included in other expenses in our condensed consolidated statements of operations and comprehensive income. Gains from partnership investments are reported using the equity method of accounting. As a result, net income attributable to noncontrolling interest from partnership investments is not included in income for the Multifamily segment.
|
(3)
|
Consists of the benefit for credit losses and foreclosed property income.
|
(4)
|
Consists of net interest loss, investment gains, net, administrative expenses and other (expenses) income.
|
(5)
|
The benefit for the first quarter of 2013 represented the release of the substantial majority of our valuation allowance against the portion of our deferred tax assets that we attribute to our Multifamily segment based on the nature of the item.
|
(6)
|
Calculated based on annualized Multifamily segment guaranty fee income divided by the average multifamily guaranty book of business, expressed in basis points.
|
(7)
|
Calculated based on annualized Multifamily segment credit losses divided by the average multifamily guaranty book of business, expressed in basis points. The credit loss ratio may be negative as a result of recoveries on previously charged off amounts.
|
(8)
|
Our Multifamily guaranty book of business consists of (a) multifamily mortgage loans of Fannie Mae, (b) multifamily mortgage loans underlying Fannie Mae MBS, and (c) other credit enhancements that we provide on multifamily mortgage assets. It excludes non-Fannie Mae mortgage-related securities held in our retained mortgage portfolio for which we do not provide a guaranty.
|
(9)
|
Reflects unpaid principal balance of multifamily Fannie Mae MBS issued (excluding portfolio securitizations) and multifamily loans purchased during the period.
|
(10)
|
Reflects unpaid principal balance of multifamily Fannie Mae MBS issued during the period. Includes (a) issuances of new MBS, (b) Fannie Mae portfolio securitization transactions of
$1.4 billion
and
$825 million
for the three months ended March 31, 2014 and 2013, respectively, and (c) conversions of adjustable-rate loans to fixed-rate loans and discount MBS (“DMBS”) to MBS of
$44 million
for the three months ended March 31, 2013. We did not have any conversions of adjustable-rate loans to fixed-rate loans or DMBS to MBS for the three months ended March 31, 2014.
|
(11)
|
Interest expense estimate is based on allocated duration-matched funding costs. Net interest income was reduced by guaranty fees allocated to Multifamily from the Capital Markets group on multifamily loans in our retained mortgage portfolio.
|
(12)
|
Based on unpaid principal balance.
|
(13)
|
Includes mortgage loans and Fannie Mae MBS guaranteed by the Multifamily segment. Information labeled as of
March 31, 2014
is as of
December 31, 2013
and is based on the Federal Reserve’s
December 2013
mortgage debt outstanding release, the latest date for which the Federal Reserve has estimated mortgage debt outstanding for multifamily residences. Prior period amounts may have been changed to reflect revised historical data from the Federal Reserve.
|
(14)
|
Includes
$20.5 billion
and
$22.4 billion
of Fannie Mae multifamily MBS held in the retained mortgage portfolio, the vast majority of which have been consolidated to loans in our condensed consolidated balance sheets, as of
March 31, 2014
and December 31, 2013, respectively, and
$1.2 billion
of Fannie Mae MBS collateralized by bonds issued by state and local housing finance agencies as of both
March 31, 2014
and December 31, 2013.
|
|
For the Three Months Ended March 31,
|
|||||||||||||||
|
2014
|
|
2013
|
|
Variance
|
|||||||||||
|
(Dollars in millions)
|
|||||||||||||||
Net interest income
(1)
|
$
|
1,830
|
|
|
|
|
$
|
2,742
|
|
|
|
|
$
|
(912
|
)
|
|
Investment gains, net
(2)
|
1,336
|
|
|
|
|
1,349
|
|
|
|
|
(13
|
)
|
|
|||
Fair value (losses) gains, net
(3)
|
(1,337
|
)
|
|
|
|
875
|
|
|
|
|
(2,212
|
)
|
|
|||
Fee and other income
|
4,133
|
|
|
|
|
349
|
|
|
|
|
3,784
|
|
|
|||
Other expenses
(4)
|
(461
|
)
|
|
|
|
(435
|
)
|
|
|
|
(26
|
)
|
|
|||
Income before federal income taxes
|
5,501
|
|
|
|
|
4,880
|
|
|
|
|
621
|
|
|
|||
(Provision) benefit for federal income taxes
(5)
|
(1,666
|
)
|
|
|
|
11,005
|
|
|
|
|
(12,671
|
)
|
|
|||
Net income attributable to Fannie Mae
|
$
|
3,835
|
|
|
|
|
$
|
15,885
|
|
|
|
|
$
|
(12,050
|
)
|
|
(1)
|
Includes contractual interest income, excluding recoveries, on nonaccrual loans received from the Single-Family segment of
$743 million
and
$1.1 billion
for the three months ended March 31, 2014 and 2013, respectively. The Capital Markets group’s net interest income is reported based on the mortgage-related assets held in the segment’s retained mortgage portfolio and excludes interest income on mortgage-related assets held by consolidated MBS trusts that are owned by third parties and the interest expense on the corresponding debt of such trusts.
|
(2)
|
We include the securities that we own regardless of whether the trust has been consolidated in reporting of gains and losses on securitizations and sales of available-for-sale securities.
|
(3)
|
Includes fair value gains or losses on derivatives and trading securities that we own, regardless of whether the trust has been consolidated.
|
(4)
|
Includes allocated guaranty fee expense, debt extinguishment losses, net, administrative expenses, net other-than-temporary impairments and other (expenses) income. Gains or losses related to the extinguishment of debt issued by consolidated trusts are excluded from the Capital Markets group’s results because purchases of securities are recognized as such.
|
(5)
|
The benefit for the first quarter of 2013 represented the release of the substantial majority of our valuation allowance against the portion of our deferred tax assets that we attribute to our Capital Markets group based on the nature of the item.
|
|
For the Three Months
|
||||||
|
Ended March 31,
|
||||||
|
2014
|
|
2013
|
||||
|
(Dollars in millions)
|
||||||
Mortgage loans:
|
|
|
|
||||
Beginning balance
|
$
|
314,664
|
|
|
$
|
371,708
|
|
Purchases
|
30,900
|
|
|
72,264
|
|
||
Securitizations
(2)
|
(26,543
|
)
|
|
(64,787
|
)
|
||
Liquidations and sales
(3)
|
(13,032
|
)
|
|
(27,186
|
)
|
||
Mortgage loans, ending balance
|
305,989
|
|
|
351,999
|
|
||
|
|
|
|
||||
Mortgage securities:
|
|
|
|
||||
Beginning balance
|
176,037
|
|
|
261,346
|
|
||
Purchases
(4)
|
3,530
|
|
|
9,462
|
|
||
Securitizations
(2)
|
26,543
|
|
|
64,787
|
|
||
Sales
|
(37,242
|
)
|
|
(75,207
|
)
|
||
Liquidations
(3)
|
(7,145
|
)
|
|
(14,608
|
)
|
||
Mortgage securities, ending balance
|
161,723
|
|
|
245,780
|
|
||
Total Capital Markets group’s mortgage portfolio
|
$
|
467,712
|
|
|
$
|
597,779
|
|
(1)
|
Based on unpaid principal balance.
|
(2)
|
Includes portfolio securitization transactions that do not qualify for sale treatment under GAAP.
|
(3)
|
Includes scheduled repayments, prepayments, foreclosures, and lender repurchases.
|
(4)
|
Includes purchases of Fannie Mae MBS issued by consolidated trusts.
|
|
As of
|
||||||||||
|
March 31,
|
|
December 31,
|
||||||||
|
2014
|
|
2013
|
||||||||
|
(Dollars in millions)
|
||||||||||
Capital Markets group’s mortgage loans:
|
|
|
|
|
|
|
|
||||
Single-family loans:
|
|
|
|
|
|
|
|
||||
Government insured or guaranteed
|
|
$
|
38,786
|
|
|
|
|
$
|
39,399
|
|
|
Conventional:
|
|
|
|
|
|
|
|
||||
Long-term, fixed-rate
|
|
212,988
|
|
|
|
|
215,945
|
|
|
||
Intermediate-term, fixed-rate
|
|
8,150
|
|
|
|
|
8,385
|
|
|
||
Adjustable-rate
|
|
12,273
|
|
|
|
|
13,171
|
|
|
||
Total single-family conventional
|
|
233,411
|
|
|
|
|
237,501
|
|
|
||
Total single-family loans
|
|
272,197
|
|
|
|
|
276,900
|
|
|
||
Multifamily loans:
|
|
|
|
|
|
|
|
||||
Government insured or guaranteed
|
|
261
|
|
|
|
|
267
|
|
|
||
Conventional:
|
|
|
|
|
|
|
|
||||
Long-term, fixed-rate
|
|
2,488
|
|
|
|
|
2,687
|
|
|
||
Intermediate-term, fixed-rate
|
|
23,866
|
|
|
|
|
27,325
|
|
|
||
Adjustable-rate
|
|
7,177
|
|
|
|
|
7,485
|
|
|
||
Total multifamily conventional
|
|
33,531
|
|
|
|
|
37,497
|
|
|
||
Total multifamily loans
|
|
33,792
|
|
|
|
|
37,764
|
|
|
||
Total Capital Markets group’s mortgage loans
|
|
305,989
|
|
|
|
|
314,664
|
|
|
||
Capital Markets group’s mortgage-related securities:
|
|
|
|
|
|
|
|
||||
Fannie Mae
|
|
117,283
|
|
|
|
|
129,841
|
|
|
||
Freddie Mac
|
|
7,616
|
|
|
|
|
8,124
|
|
|
||
Ginnie Mae
|
|
719
|
|
|
|
|
899
|
|
|
||
Alt-A private-label securities
|
|
10,886
|
|
|
|
|
11,153
|
|
|
||
Subprime private-label securities
|
|
12,088
|
|
|
|
|
12,322
|
|
|
||
CMBS
|
|
3,925
|
|
|
|
|
3,983
|
|
|
||
Mortgage revenue bonds
|
|
5,896
|
|
|
|
|
6,319
|
|
|
||
Other mortgage-related securities
|
|
3,310
|
|
|
|
|
3,396
|
|
|
||
Total Capital Markets group’s mortgage-related securities
(2)
|
|
161,723
|
|
|
|
|
176,037
|
|
|
||
Total Capital Markets group’s mortgage portfolio
|
|
$
|
467,712
|
|
|
|
|
$
|
490,701
|
|
|
(1)
|
Based on unpaid principal balance.
|
(2)
|
The fair value of these mortgage-related securities was $
165.8 billion
and $
179.5 billion
as of
March 31, 2014
and
December 31, 2013
, respectively.
|
|
As of
|
||||||||||||
|
March 31, 2014
|
|
December 31, 2013
|
||||||||||
|
Unpaid Principal Balance
|
|
% of total
|
|
Unpaid Principal Balance
|
|
% of total
|
||||||
|
(Dollars in millions)
|
||||||||||||
TDRs on accrual status
|
$
|
139,975
|
|
|
30
|
%
|
|
$
|
136,237
|
|
|
28
|
%
|
Nonaccrual loans
|
68,513
|
|
|
15
|
%
|
|
75,006
|
|
|
15
|
%
|
||
All other mortgage-related assets
|
259,224
|
|
|
55
|
%
|
|
279,458
|
|
|
57
|
%
|
||
Total Capital Markets group’s mortgage portfolio
|
$
|
467,712
|
|
|
100
|
%
|
|
$
|
490,701
|
|
|
100
|
%
|
CONSOLIDATED BALANCE SHEET ANALYSIS
|
|
As of
|
|
|
||||||||
|
March 31, 2014
|
|
December 31, 2013
|
|
Variance
|
||||||
|
(Dollars in millions)
|
||||||||||
Assets
|
|
|
|
|
|
||||||
Cash and cash equivalents and federal funds sold and securities purchased under agreements to resell or similar arrangements
|
$
|
26,806
|
|
|
$
|
58,203
|
|
|
$
|
(31,397
|
)
|
Restricted cash
|
24,583
|
|
|
28,995
|
|
|
(4,412
|
)
|
|||
Investments in securities
(1)
|
68,923
|
|
|
68,939
|
|
|
(16
|
)
|
|||
Mortgage loans:
|
|
|
|
|
|
||||||
Of Fannie Mae
|
292,196
|
|
|
300,508
|
|
|
(8,312
|
)
|
|||
Of consolidated trusts
|
2,767,731
|
|
|
2,769,578
|
|
|
(1,847
|
)
|
|||
Allowance for loan losses
|
(41,911
|
)
|
|
(43,846
|
)
|
|
1,935
|
|
|||
Mortgage loans, net of allowance for loan losses
|
3,018,016
|
|
|
3,026,240
|
|
|
(8,224
|
)
|
|||
Deferred tax assets, net
|
45,366
|
|
|
47,560
|
|
|
(2,194
|
)
|
|||
Other assets
(2)
|
42,811
|
|
|
40,171
|
|
|
2,640
|
|
|||
Total assets
|
$
|
3,226,505
|
|
|
$
|
3,270,108
|
|
|
$
|
(43,603
|
)
|
Liabilities and equity
|
|
|
|
|
|
||||||
Debt:
|
|
|
|
|
|
||||||
Of Fannie Mae
|
$
|
481,853
|
|
|
$
|
529,434
|
|
|
$
|
(47,581
|
)
|
Of consolidated trusts
|
2,712,842
|
|
|
2,705,089
|
|
|
7,753
|
|
|||
Other liabilities
(3)
|
23,718
|
|
|
25,994
|
|
|
(2,276
|
)
|
|||
Total liabilities
|
3,218,413
|
|
|
3,260,517
|
|
|
(42,104
|
)
|
|||
Total equity
(4)
|
8,092
|
|
|
9,591
|
|
|
(1,499
|
)
|
|||
Total liabilities and equity
|
$
|
3,226,505
|
|
|
$
|
3,270,108
|
|
|
$
|
(43,603
|
)
|
(1)
|
Includes
$17.6 billion
as of
March 31, 2014
and
$16.3 billion
as of
December 31, 2013
of non-mortgage-related securities that are included in our other investments portfolio, which we present in “
Table 26
: Cash and Other Investments Portfolio.”
|
(2)
|
Consists of accrued interest receivable, net; acquired property, net; and other assets.
|
(3)
|
Consists of accrued interest payable, federal funds purchased and securities sold under agreements to repurchase and other liabilities.
|
(4)
|
Consists of preferred stock, senior preferred stock, common stock, accumulated deficit, accumulated other comprehensive income, treasury stock, and noncontrolling interest.
|
|
|
As of
|
|
||||||||
|
March 31, 2014
|
|
December 31, 2013
|
||||||||
|
|
(Dollars in millions)
|
|
||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
||||
Fannie Mae
|
|
$
|
12,238
|
|
|
|
|
$
|
12,443
|
|
|
Freddie Mac
|
|
8,172
|
|
|
|
|
8,681
|
|
|
||
Ginnie Mae
|
|
805
|
|
|
|
|
995
|
|
|
||
Alt-A private-label securities
|
|
8,834
|
|
|
|
|
8,865
|
|
|
||
Subprime private-label securities
|
|
8,483
|
|
|
|
|
8,516
|
|
|
||
CMBS
|
|
4,245
|
|
|
|
|
4,324
|
|
|
||
Mortgage revenue bonds
|
|
5,609
|
|
|
|
|
5,821
|
|
|
||
Other mortgage-related securities
|
|
2,950
|
|
|
|
|
2,988
|
|
|
||
Total
|
|
$
|
51,336
|
|
|
|
|
$
|
52,633
|
|
|
SUPPLEMENTAL NON-GAAP INFORMATION—FAIR VALUE BALANCE SHEETS
|
|
For the Three Months Ended March 31, 2014
|
||||||
|
(Dollars in millions)
|
||||||
GAAP condensed consolidated balance sheets:
|
|
|
|
|
|
||
Fannie Mae stockholders’ equity as of December 31, 2013
(1)
|
|
|
$
|
9,541
|
|
|
|
Total comprehensive income
|
|
|
5,697
|
|
|
|
|
Senior preferred stock dividend paid
|
|
|
(7,191
|
)
|
|
|
|
Other
|
|
|
(5
|
)
|
|
|
|
Fannie Mae stockholders’ equity as of March 31, 2014
(1)
|
|
|
$
|
8,042
|
|
|
|
Non-GAAP consolidated fair value balance sheets:
|
|
|
|
|
|
||
Estimated fair value of net assets as of December 31, 2013
|
|
|
$
|
(33,368
|
)
|
|
|
Senior preferred stock dividends payable
(2)
|
|
|
(5,692
|
)
|
|
|
|
Change in estimated fair value of net assets excluding the senior preferred stock dividends payable
|
|
|
12,729
|
|
|
|
|
Increase in estimated fair value of net assets, net
|
|
|
7,037
|
|
|
|
|
Estimated fair value of net assets as of March 31, 2014
|
|
|
$
|
(26,331
|
)
|
|
|
(1)
|
Our net worth, as defined under the senior preferred stock purchase agreement, is equivalent to the “Total equity” amount reported in our condensed consolidated balance sheets, which consists of “Total Fannie Mae stockholders’ equity” and “Noncontrolling interest.”
|
(2)
|
Represents the dividend we expect to pay Treasury in the second quarter of 2014 on the senior preferred stock, which, for purposes of our non-GAAP fair value balance sheets, we present as a liability. Under the terms of the senior preferred stock, effective January 1, 2013, we are required to pay Treasury each quarter a dividend, when, as and if declared, equal to the excess of our net worth as of the end of the immediately preceding fiscal quarter over an applicable capital reserve amount. The applicable capital reserve amount is
$2.4 billion
for all quarterly dividend periods in 2014 and will be reduced by
$600 million
each year until it reaches zero on January 1, 2018. The Director of FHFA directs us to make dividend payments on the senior preferred stock on a quarterly basis.
|
•
|
The estimated fair value of our guaranty obligations on mortgage loans significantly exceeds the projected credit losses we would expect to incur, as fair value takes into account certain assumptions about liquidity and required rates of return that a market participant may demand in assuming a credit obligation, and
|
•
|
The fair value of our net assets reflects a point in time estimate of the fair value of our existing assets and liabilities, and does not incorporate the value associated with new business that may be added in the future.
|
|
As of March 31, 2014
|
|
As of December 31, 2013
|
|
||||||||||||||||||||
|
GAAP Carrying Value
|
|
Fair Value Adjustment
(1)
|
|
Estimated Fair Value
|
|
GAAP Carrying Value
|
|
Fair Value Adjustment
(1)
|
|
Estimated Fair Value
|
|
||||||||||||
|
(Dollars in millions)
|
|||||||||||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Cash and cash equivalents
|
$
|
38,639
|
|
|
$
|
—
|
|
|
$
|
38,639
|
|
|
$
|
48,223
|
|
|
$
|
—
|
|
|
$
|
48,223
|
|
|
Federal funds sold and securities purchased under agreements to resell or similar arrangements
|
12,750
|
|
|
—
|
|
|
12,750
|
|
|
38,975
|
|
|
—
|
|
|
38,975
|
|
|
||||||
Trading securities
|
31,795
|
|
|
—
|
|
|
31,795
|
|
|
30,768
|
|
|
—
|
|
|
30,768
|
|
|
||||||
Available-for-sale securities
|
37,128
|
|
|
—
|
|
|
37,128
|
|
|
38,171
|
|
|
—
|
|
|
38,171
|
|
|
||||||
Mortgage loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Mortgage loans held for sale
|
1,494
|
|
|
8
|
|
|
1,502
|
|
|
380
|
|
|
—
|
|
|
380
|
|
|
||||||
Mortgage loans held for investment, net of allowance for loan losses:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Of Fannie Mae
|
251,899
|
|
|
(9,993
|
)
|
|
241,906
|
|
|
259,638
|
|
|
(13,758
|
)
|
|
245,880
|
|
|
||||||
Of consolidated trusts
|
2,764,623
|
|
|
5,325
|
|
(2)(3)
|
2,769,948
|
|
|
2,766,222
|
|
|
(20,080
|
)
|
(2)(3)
|
2,746,142
|
|
|
||||||
Total mortgage loans
|
3,018,016
|
|
|
(4,660
|
)
|
|
3,013,356
|
|
(4)
|
3,026,240
|
|
|
(33,838
|
)
|
|
2,992,402
|
|
(4)
|
||||||
Advances to lenders
|
3,904
|
|
|
(24
|
)
|
|
3,880
|
|
(5)
|
3,727
|
|
|
(39
|
)
|
|
3,688
|
|
(5)
|
||||||
Derivative assets at fair value
|
836
|
|
|
—
|
|
|
836
|
|
(5)
|
2,073
|
|
|
—
|
|
|
2,073
|
|
(5)
|
||||||
Guaranty assets and buy-ups, net
|
261
|
|
|
449
|
|
|
710
|
|
(5)
|
267
|
|
|
439
|
|
|
706
|
|
(5)
|
||||||
Total financial assets
|
3,143,329
|
|
|
(4,235
|
)
|
|
3,139,094
|
|
(6)
|
3,188,444
|
|
|
(33,438
|
)
|
|
3,155,006
|
|
(6)
|
||||||
Credit enhancements
|
547
|
|
|
717
|
|
|
1,264
|
|
(5)
|
548
|
|
|
984
|
|
|
1,532
|
|
(5)
|
||||||
Deferred tax assets, net
|
45,366
|
|
|
—
|
|
|
45,366
|
|
(7)
|
47,560
|
|
|
—
|
|
|
47,560
|
|
(7)
|
||||||
Other assets
|
37,263
|
|
|
(213
|
)
|
|
37,050
|
|
(5)
|
33,556
|
|
|
(235
|
)
|
|
33,321
|
|
(5)
|
||||||
Total assets
|
$
|
3,226,505
|
|
|
$
|
(3,731
|
)
|
|
$
|
3,222,774
|
|
|
$
|
3,270,108
|
|
|
$
|
(32,689
|
)
|
|
$
|
3,237,419
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Federal funds purchased and securities sold under agreements to repurchase
|
$
|
25
|
|
|
$
|
—
|
|
|
$
|
25
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Short-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Of Fannie Mae
|
65,448
|
|
|
12
|
|
|
65,460
|
|
|
72,295
|
|
|
9
|
|
|
72,304
|
|
|
||||||
Of consolidated trusts
|
1,899
|
|
|
—
|
|
|
1,899
|
|
|
2,154
|
|
|
—
|
|
|
2,154
|
|
|
||||||
Long-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Of Fannie Mae
|
416,405
|
|
|
10,980
|
|
|
427,385
|
|
|
457,139
|
|
|
8,409
|
|
|
465,548
|
|
|
||||||
Of consolidated trusts
|
2,710,943
|
|
|
14,362
|
|
(2)
|
2,725,305
|
|
|
2,702,935
|
|
|
(5,349
|
)
|
(2)
|
2,697,586
|
|
|
||||||
Derivative liabilities at fair value
|
209
|
|
|
—
|
|
|
209
|
|
(8)
|
1,469
|
|
|
—
|
|
|
1,469
|
|
(8)
|
||||||
Guaranty obligations
|
467
|
|
|
1,640
|
|
|
2,107
|
|
(8)
|
485
|
|
|
1,948
|
|
|
2,433
|
|
(8)
|
||||||
Total financial liabilities
|
3,195,396
|
|
|
26,994
|
|
|
3,222,390
|
|
(6)
|
3,236,477
|
|
|
5,017
|
|
|
3,241,494
|
|
(6)
|
||||||
Senior preferred stock dividend
(9)
|
—
|
|
|
5,692
|
|
|
5,692
|
|
|
—
|
|
|
7,191
|
|
|
7,191
|
|
|
||||||
Other liabilities
|
23,017
|
|
|
(2,044
|
)
|
|
20,973
|
|
(8)
|
24,040
|
|
|
(1,988
|
)
|
|
22,052
|
|
(8)
|
||||||
Total liabilities
|
3,218,413
|
|
|
30,642
|
|
|
3,249,055
|
|
|
3,260,517
|
|
|
10,220
|
|
|
3,270,737
|
|
|
||||||
Equity (deficit):
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fannie Mae stockholders’ equity (deficit):
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Senior preferred
(10)
|
117,149
|
|
|
—
|
|
|
117,149
|
|
|
117,149
|
|
|
—
|
|
|
117,149
|
|
|
||||||
Preferred
|
19,130
|
|
|
(11,615
|
)
|
|
7,515
|
|
|
19,130
|
|
|
(13,004
|
)
|
|
6,126
|
|
|
||||||
Common
|
(128,237
|
)
|
|
(22,758
|
)
|
|
(150,995
|
)
|
|
(126,738
|
)
|
|
(29,905
|
)
|
|
(156,643
|
)
|
|
||||||
Total Fannie Mae stockholders’ equity (deficit)/non-GAAP fair value of net assets
|
$
|
8,042
|
|
|
$
|
(34,373
|
)
|
|
$
|
(26,331
|
)
|
|
$
|
9,541
|
|
|
$
|
(42,909
|
)
|
|
$
|
(33,368
|
)
|
|
Noncontrolling interest
|
50
|
|
|
—
|
|
|
50
|
|
|
50
|
|
|
—
|
|
|
50
|
|
|
||||||
Total equity (deficit)
|
8,092
|
|
|
(34,373
|
)
|
|
(26,281
|
)
|
|
9,591
|
|
|
(42,909
|
)
|
|
(33,318
|
)
|
|
||||||
Total liabilities and equity (deficit)
|
$
|
3,226,505
|
|
|
$
|
(3,731
|
)
|
|
$
|
3,222,774
|
|
|
$
|
3,270,108
|
|
|
$
|
(32,689
|
)
|
|
$
|
3,237,419
|
|
|
(1)
|
Each of the amounts listed as a “fair value adjustment” represents the difference between the carrying value included in our GAAP condensed consolidated balance sheets and our best judgment of the estimated fair value of the listed item.
|
(2)
|
Fair value of consolidated loans is impacted by credit risk, which has no corresponding impact on the consolidated debt.
|
(3)
|
Includes the estimated fair value of our liability to Treasury for TCCA-related guaranty fee payments over the expected life of the loans.
|
(4)
|
Performing loans had a fair value and an unpaid principal balance of
$2.9 trillion
as of
March 31, 2014
and
December 31, 2013
. Nonperforming loans, which for the purposes of our non-GAAP fair value balance sheets consists of loans that are delinquent by one or more payments, had a fair value of
$98.9 billion
and an unpaid principal balance of
$138.9 billion
as of
March 31, 2014
, compared with a fair value of
$103.8 billion
and an unpaid principal balance of
$149.3 billion
as of
December 31, 2013
. See “
Note 16, Fair Value
” for additional information on valuation techniques for performing and nonperforming loans.
|
(5)
|
“Other assets” include (a) Accrued interest receivable, net and (b) Acquired property, net as reported in our GAAP consolidated balance sheets. “Other assets” in our GAAP consolidated balance sheets include the following: (a) Advances to lenders; (b) Derivative assets at fair value; (c) Guaranty assets and buy-ups, net; and (d) Credit enhancements. The carrying value of these items totaled
$5.5 billion
and
$6.6 billion
as of
March 31, 2014
and
December 31, 2013
, respectively.
|
(6)
|
We estimated the fair value of these financial instruments in accordance with the fair value accounting guidance as described in “
Note 16, Fair Value
.”
|
(7)
|
The amount included in “estimated fair value” of deferred tax assets, net represents the GAAP carrying value and does not reflect fair value.
|
(8)
|
“Other liabilities” include Accrued interest payable as reported in our GAAP consolidated balance sheets. “Other liabilities” in our GAAP consolidated balance sheets include the following: (a) Derivative liabilities at fair value and (b) Guaranty obligations. The carrying value of these items totaled
$676 million
and
$2.0 billion
as of
March 31, 2014
and
December 31, 2013
.
|
(9)
|
Represents the dividend we expect to pay to Treasury in the subsequent quarter on the senior preferred stock, which, for purposes of our non-GAAP fair balance sheets, we present as a liability.
|
(10)
|
The amount included in “estimated fair value” of the senior preferred stock is the liquidation preference, which is the same as the GAAP carrying value, and does not reflect fair value.
|
LIQUIDITY AND CAPITAL MANAGEMENT
|
|
|
For the Three Months
Ended March 31,
|
|
||||||
|
|
2014
|
|
2013
|
|
||||
|
|
(Dollars in millions)
|
|
||||||
Issued during the period:
|
|
|
|
|
|
||||
Short-term:
|
|
|
|
|
|
||||
Amount
|
|
$
|
32,438
|
|
|
$
|
84,711
|
|
|
Weighted-average interest rate
|
|
0.05
|
%
|
|
0.13
|
%
|
|
||
Long-term:
|
|
|
|
|
|
||||
Amount
|
|
$
|
8,060
|
|
|
$
|
62,708
|
|
|
Weighted-average interest rate
|
|
1.63
|
%
|
|
1.00
|
%
|
|
||
Total issued:
|
|
|
|
|
|
||||
Amount
|
|
$
|
40,498
|
|
|
$
|
147,419
|
|
|
Weighted-average interest rate
|
|
0.37
|
%
|
|
0.50
|
%
|
|
||
Paid off during the period:
(1)
|
|
|
|
|
|
||||
Short-term:
|
|
|
|
|
|
||||
Amount
|
|
$
|
39,272
|
|
|
$
|
74,419
|
|
|
Weighted-average interest rate
|
|
0.08
|
%
|
|
0.14
|
%
|
|
||
Long-term:
|
|
|
|
|
|
||||
Amount
|
|
$
|
49,117
|
|
|
$
|
58,651
|
|
|
Weighted-average interest rate
|
|
1.85
|
%
|
|
2.14
|
%
|
|
||
Total paid off:
|
|
|
|
|
|
||||
Amount
|
|
$
|
88,389
|
|
|
$
|
133,070
|
|
|
Weighted-average interest rate
|
|
1.06
|
%
|
|
1.02
|
%
|
|
(1)
|
Consists of all payments on debt, including regularly scheduled principal payments, payments at maturity, payments resulting from calls and payments for any other repurchases. Repurchases of debt and early retirements of zero-coupon debt are reported at original face value, which does not equal the amount of actual cash payment.
|
|
As of
|
||||||||||||||||
|
March 31, 2014
|
|
December 31, 2013
|
||||||||||||||
|
Maturities
|
|
Outstanding
|
|
Weighted-
Average
Interest
Rate
|
|
Maturities
|
|
Outstanding
|
|
Weighted-
Average
Interest
Rate
|
||||||
|
(Dollars in millions)
|
||||||||||||||||
Federal funds purchased and securities sold under agreements to repurchase
(2)
|
—
|
|
$
|
25
|
|
|
—
|
%
|
|
—
|
|
$
|
—
|
|
|
—
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Short-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fixed-rate:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Discount notes
|
—
|
|
$
|
65,248
|
|
|
0.12
|
%
|
|
—
|
|
$
|
71,933
|
|
|
0.12
|
%
|
Foreign exchange discount notes
|
—
|
|
200
|
|
|
0.81
|
|
|
—
|
|
362
|
|
|
1.07
|
|
||
Total short-term debt of Fannie Mae
(3)
|
|
|
65,448
|
|
|
0.13
|
|
|
|
|
72,295
|
|
|
0.13
|
|
||
Debt of consolidated trusts
|
—
|
|
1,900
|
|
|
0.10
|
|
|
—
|
|
2,154
|
|
|
0.09
|
|
||
Total short-term debt
|
|
|
$
|
67,348
|
|
|
0.12
|
%
|
|
|
|
$
|
74,449
|
|
|
0.13
|
%
|
Long-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Senior fixed:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Benchmark notes and bonds
|
2014 - 2030
|
|
$
|
197,233
|
|
|
2.42
|
%
|
|
2014 - 2030
|
|
$
|
212,234
|
|
|
2.45
|
%
|
Medium-term notes
(4)
|
2014 - 2023
|
|
137,654
|
|
|
1.33
|
|
|
2014 - 2023
|
|
161,445
|
|
|
1.28
|
|
||
Foreign exchange notes and bonds
|
2021 - 2028
|
|
662
|
|
|
5.40
|
|
|
2021 - 2028
|
|
682
|
|
|
5.41
|
|
||
Other
(5)
|
2014 - 2038
|
|
37,754
|
|
|
4.96
|
|
|
2014 - 2038
|
|
38,444
|
|
|
4.99
|
|
||
Total senior fixed
|
|
|
373,303
|
|
|
2.28
|
|
|
|
|
412,805
|
|
|
2.24
|
|
||
Senior floating:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Medium-term notes
(4)
|
2014 - 2019
|
|
37,492
|
|
|
0.18
|
|
|
2014 - 2019
|
|
38,441
|
|
|
0.20
|
|
||
Other
(5)(6)
|
2020 - 2037
|
|
1,775
|
|
|
4.19
|
|
|
2020 - 2037
|
|
955
|
|
|
5.18
|
|
||
Total senior floating
|
|
|
39,267
|
|
|
0.35
|
|
|
|
|
39,396
|
|
|
0.32
|
|
||
Subordinated fixed:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Qualifying subordinated
|
—
|
|
—
|
|
|
—
|
|
|
2014
|
|
1,169
|
|
|
5.27
|
|
||
Subordinated debentures
(7)
|
2019
|
|
3,589
|
|
|
9.92
|
|
|
2019
|
|
3,507
|
|
|
9.92
|
|
||
Total subordinated fixed
|
|
|
3,589
|
|
|
9.92
|
|
|
|
|
4,676
|
|
|
8.76
|
|
||
Secured borrowings
(8)
|
2021 - 2022
|
|
246
|
|
|
1.87
|
|
|
2021 - 2022
|
|
262
|
|
|
1.86
|
|
||
Total long-term debt of Fannie Mae
(9)
|
|
|
416,405
|
|
|
2.16
|
|
|
|
|
457,139
|
|
|
2.14
|
|
||
Debt of consolidated trusts
(5)
|
2014 - 2054
|
|
2,710,942
|
|
|
3.28
|
|
|
2014 - 2053
|
|
2,702,935
|
|
|
3.26
|
|
||
Total long-term debt
|
|
|
$
|
3,127,347
|
|
|
3.13
|
%
|
|
|
|
$
|
3,160,074
|
|
|
3.10
|
%
|
Outstanding callable debt of Fannie Mae
(10)
|
|
|
$
|
140,919
|
|
|
1.66
|
%
|
|
|
|
$
|
168,397
|
|
|
1.59
|
%
|
(1)
|
Outstanding debt amounts and weighted-average interest rates reported in this table include the effects of discounts, premiums and other cost basis adjustments. Reported amounts include fair value gains and losses associated with debt that we elected to carry at fair value. The unpaid principal balance of outstanding debt of Fannie Mae, which excludes unamortized discounts and premiums, other cost basis adjustments, fair value adjustments and debt of consolidated trusts, totaled
$486.4 billion
and
$534.3 billion
as of
March 31, 2014
and
December 31, 2013
, respectively.
|
(2)
|
Securities sold under agreements to repurchase represent agreements to repurchase securities for a specified price, with repayment generally occurring on the following day.
|
(3)
|
Short-term debt of Fannie Mae consists of borrowings with an original contractual maturity of one year or less and, therefore, does not include the current portion of long-term debt. Reported amounts include unamortized discounts and premiums, other cost basis adjustments and fair value adjustments of
$22 million
and
$30 million
as of
March 31, 2014
and
December 31, 2013
, respectively.
|
(4)
|
Includes long-term debt with an original contractual maturity of greater than 1 year and up to 10 years, excluding zero-coupon debt.
|
(5)
|
Includes a portion of structured debt instruments that is reported at fair value.
|
(6)
|
Includes credit risk sharing securities issued under our Connecticut Avenue Securities series, which transfers some of the credit risk on our mortgage loans to the investors in these securities.
|
(7)
|
Consists of subordinated debt with an interest deferral feature.
|
(8)
|
Represents remaining liability for transfer of financial assets from our condensed consolidated balance sheets that did not qualify as a sale.
|
(9)
|
Long-term debt of Fannie Mae consists of borrowings with an original contractual maturity of greater than one year. Reported amounts include the current portion of long-term debt that is due within one year, which totaled
$80.9 billion
and
$89.8 billion
as of
March 31, 2014
and December 31, 2013, respectively. Reported amounts also include unamortized discounts and premiums, other cost basis adjustments and fair value adjustments of
$4.5 billion
and
$4.8 billion
as of
March 31, 2014
and
December 31, 2013
, respectively. The unpaid principal balance of long-term debt of Fannie Mae, which excludes unamortized discounts and premiums, other cost basis adjustments and fair value adjustments and amounts related to debt of consolidated trusts, totaled
$420.9 billion
and
$462.0 billion
as of
March 31, 2014
and
December 31, 2013
, respectively.
|
(10)
|
Consists of the unpaid principal balance of long-term callable debt of Fannie Mae that can be paid off in whole or in part at our option or the option of the investor at any time on or after a specified date.
|
(1)
|
Includes unamortized discounts and premiums and other cost basis adjustments of
$124 million
as of
March 31, 2014
. Excludes debt of consolidated trusts maturing within one year of
$3.1 billion
as of
March 31, 2014
.
|
(1)
|
Includes unamortized discounts and premiums, other cost basis adjustments and fair value adjustments of
$4.4 billion
as of
March 31, 2014
. Excludes debt of consolidated trusts of
$2.7 trillion
as of
March 31, 2014
.
|
|
As of
|
||||||||||
|
March 31, 2014
|
|
December 31, 2013
|
||||||||
|
(Dollars in millions)
|
||||||||||
Cash and cash equivalents
|
|
$
|
14,056
|
|
|
|
|
$
|
19,228
|
|
|
Federal funds sold and securities purchased under agreements to resell or similar arrangements
|
|
12,750
|
|
|
|
|
38,975
|
|
|
||
U.S. Treasury securities
(1)
|
|
17,587
|
|
|
|
|
16,306
|
|
|
||
Total cash and other investments
|
|
$
|
44,393
|
|
|
|
|
$
|
74,509
|
|
|
(1)
|
Excludes U.S. Treasury securities that had a maturity at the date of acquisition of three months or less and would therefore be included in cash and cash equivalents.
|
|
As of April 30, 2014
|
||||
|
S&P
|
|
Moody’s
|
|
Fitch
|
Long-term senior debt
|
AA+
|
|
Aaa
|
|
AAA
|
Short-term senior debt
|
A-1+
|
|
P-1
|
|
F1+
|
Subordinated debt
|
AA-
|
|
Aa2
|
|
AA-
|
Preferred stock
|
D
|
|
Ca
|
|
C/RR6
|
Outlook
|
Stable
|
|
Stable
|
|
Stable
|
|
(for Long Term Senior Debt and Subordinated Debt)
|
|
(for Long Term Senior Debt and Preferred Stock)
|
|
(for AAA rated Long Term Issuer Default Rating)
|
OFF-BALANCE SHEET ARRANGEMENTS
|
RISK MANAGEMENT
|
|
As of
|
||||||||||||||||||||||||||
|
March 31, 2014
|
|
December 31, 2013
|
||||||||||||||||||||||||
|
Single-Family
|
|
Multifamily
|
|
Total
|
|
Single-Family
|
|
Multifamily
|
|
Total
|
||||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||||||
Mortgage loans and Fannie Mae MBS
(2)
|
$
|
2,852,649
|
|
|
|
$
|
182,502
|
|
|
|
$
|
3,035,151
|
|
|
$
|
2,862,306
|
|
|
|
$
|
183,891
|
|
|
|
$
|
3,046,197
|
|
Unconsolidated Fannie Mae MBS, held by third parties
(3)
|
12,131
|
|
|
|
1,299
|
|
|
|
13,430
|
|
|
12,430
|
|
|
|
1,314
|
|
|
|
13,744
|
|
||||||
Other credit guarantees
(4)
|
14,607
|
|
|
|
15,238
|
|
|
|
29,845
|
|
|
15,183
|
|
|
|
15,414
|
|
|
|
30,597
|
|
||||||
Guaranty book of business
|
$
|
2,879,387
|
|
|
|
$
|
199,039
|
|
|
|
$
|
3,078,426
|
|
|
$
|
2,889,919
|
|
|
|
$
|
200,619
|
|
|
|
$
|
3,090,538
|
|
Agency mortgage-related securities
(5)
|
8,304
|
|
|
|
32
|
|
|
|
8,336
|
|
|
8,992
|
|
|
|
32
|
|
|
|
9,024
|
|
||||||
Other mortgage-related securities
(6)
|
26,834
|
|
|
|
9,301
|
|
|
|
36,135
|
|
|
27,563
|
|
|
|
9,640
|
|
|
|
37,203
|
|
||||||
Mortgage credit book of business
|
$
|
2,914,525
|
|
|
|
$
|
208,372
|
|
|
|
$
|
3,122,897
|
|
|
$
|
2,926,474
|
|
|
|
$
|
210,291
|
|
|
|
$
|
3,136,765
|
|
Guaranty Book of Business Detail:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Conventional Guaranty Book of Business
(7)
|
$
|
2,817,912
|
|
|
|
$
|
197,373
|
|
|
|
$
|
3,015,285
|
|
|
$
|
2,827,169
|
|
|
|
$
|
198,906
|
|
|
|
$
|
3,026,075
|
|
Government Guaranty Book of Business
(8)
|
$
|
61,475
|
|
|
|
$
|
1,666
|
|
|
|
$
|
63,141
|
|
|
$
|
62,750
|
|
|
|
$
|
1,713
|
|
|
|
$
|
64,463
|
|
(1)
|
Based on unpaid principal balance.
|
(2)
|
Consists of mortgage loans and Fannie Mae MBS recognized in our condensed consolidated balance sheets. The principal balance of resecuritized Fannie Mae MBS is included only once in the reported amount.
|
(3)
|
Reflects unpaid principal balance of unconsolidated Fannie Mae MBS, held by third-party investors. The principal balance of resecuritized Fannie Mae MBS is included only once in the reported amount.
|
(4)
|
Consists of single-family and multifamily credit enhancements that we have provided and that are not otherwise reflected in the table.
|
(5)
|
Consists of mortgage-related securities issued by Freddie Mac and Ginnie Mae.
|
(6)
|
Consists primarily of mortgage revenue bonds, Alt-A and subprime private-label securities and CMBS.
|
(7)
|
Refers to mortgage loans and mortgage-related securities that are not guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies.
|
(8)
|
Refers to mortgage loans and mortgage-related securities guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies.
|
|
As of March 31, 2014
|
|
||||||||||
|
% of
|
|
|
|
|
|
|
|
|
|
||
|
Single-Family
|
|
Current
|
|
Current
|
|
|
|
||||
|
Conventional
|
|
Estimated
|
|
Mark-to-Market
|
|
Serious
|
|||||
|
Guaranty Book
|
|
Mark-to-Market
|
|
LTV Ratio
|
|
Delinquency
|
|||||
|
of Business
(1)
|
|
LTV Ratio
(2)
|
|
>100%
(3)
|
|
Rate
(4)
|
|||||
New Single-Family Book of Business:
|
|
|
|
|
|
|
|
|
|
|
|
|
Refi Plus
(5)
|
20
|
%
|
|
75
|
%
|
|
14
|
%
|
|
0.59
|
|
%
|
Non-Refi Plus
(6)
|
58
|
|
|
61
|
|
|
*
|
|
|
0.22
|
|
|
Total New Single-Family Book of Business
(7)
|
78
|
%
|
|
65
|
%
|
|
4
|
%
|
|
0.32
|
|
%
|
Legacy Book of Business:
|
|
|
|
|
|
|
|
|
|
|
|
|
2005-2008
|
14
|
%
|
|
85
|
%
|
|
27
|
%
|
|
8.80
|
|
%
|
2004 and prior
|
8
|
|
|
50
|
|
|
3
|
|
|
3.37
|
|
|
Total Single-Family Book of Business
|
100
|
%
|
|
66
|
%
|
|
7
|
%
|
|
2.19
|
|
%
|
(1)
|
Calculated based on the aggregate unpaid principal balance of single-family loans for each category divided by the aggregate unpaid principal balance of loans in our single-family conventional guaranty book of business as of
March 31, 2014
.
|
(2)
|
The aggregate estimated mark-to-market LTV ratio is based on the unpaid principal balance of the loans as of the end of the period divided by the estimated current value of the properties, which we calculate using an internal valuation model that estimates periodic changes in home value. Excludes loans for which this information is not readily available.
|
(3)
|
The majority of loans in our new single-family book of business as of
March 31, 2014
with mark-to-market LTV ratios over 100% were loans acquired under the Administration’s Home Affordable Refinance Program. See “HARP and Refi Plus Loans” below for more information on our recent acquisitions of loans with high LTV ratios.
|
(4)
|
The serious delinquency rates for loans acquired in more recent years will be higher after the loans have aged, but we do not expect them to approach the levels of the
March 31, 2014
serious delinquency rates of loans in our legacy book of business. The serious delinquency rate as of
March 31, 2014
for loans we acquired in 2009, the oldest vintage in our new book of business, was
1.02%
.
|
(5)
|
Includes loans acquired through the HARP program.
|
(6)
|
Includes primarily other refinancings and home purchase mortgages.
|
(7)
|
Refers to single-family mortgage loans we have acquired since the beginning of 2009.
|
|
Percent of Single-Family Conventional Business Volume
(2)
|
|
|
|
|
|
|
|
|||||||||||
|
For the
Three Months
Ended
March 31,
|
|
Percent of Single-Family
Conventional Guaranty
Book of Business
(3)(4)
As of
|
||||||||||||||||
|
2014
|
|
2013
|
|
March 31, 2014
|
|
December 31, 2013
|
||||||||||||
Original LTV ratio:
(5)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
<= 60%
|
17
|
|
%
|
26
|
|
%
|
|
22
|
|
%
|
|
|
22
|
|
%
|
||||
60.01% to 70%
|
13
|
|
|
15
|
|
|
|
15
|
|
|
|
|
15
|
|
|
||||
70.01% to 80%
|
39
|
|
|
33
|
|
|
|
38
|
|
|
|
|
38
|
|
|
||||
80.01% to 90%
(6)
|
12
|
|
|
9
|
|
|
|
10
|
|
|
|
|
10
|
|
|
||||
90.01% to 100%
(6)
|
15
|
|
|
8
|
|
|
|
10
|
|
|
|
|
10
|
|
|
||||
100.01% to 125%
(6)
|
3
|
|
|
5
|
|
|
|
3
|
|
|
|
|
3
|
|
|
||||
Greater than 125%
(6)
|
1
|
|
|
4
|
|
|
|
2
|
|
|
|
|
2
|
|
|
||||
Total
|
100
|
|
%
|
100
|
|
%
|
|
100
|
|
%
|
|
|
100
|
|
%
|
||||
Weighted-average
|
77
|
|
%
|
75
|
|
%
|
|
74
|
|
%
|
|
|
74
|
|
%
|
||||
Average loan amount
|
$
|
193,053
|
|
|
$
|
211,454
|
|
|
|
$
|
160,174
|
|
|
|
|
$
|
160,357
|
|
|
Estimated mark-to-market LTV ratio:
(7)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
<= 60%
|
|
|
|
|
|
38
|
|
%
|
|
|
38
|
|
%
|
||||||
60.01% to 70%
|
|
|
|
|
|
19
|
|
|
|
|
19
|
|
|
||||||
70.01% to 80%
|
|
|
|
|
|
19
|
|
|
|
|
19
|
|
|
||||||
80.01% to 90%
|
|
|
|
|
|
11
|
|
|
|
|
11
|
|
|
||||||
90.01% to 100%
|
|
|
|
|
|
6
|
|
|
|
|
6
|
|
|
||||||
100.01% to 125%
|
|
|
|
|
|
5
|
|
|
|
|
5
|
|
|
||||||
Greater than 125%
|
|
|
|
|
|
2
|
|
|
|
|
2
|
|
|
||||||
Total
|
|
|
|
|
|
100
|
|
%
|
|
|
100
|
|
%
|
||||||
Weighted-average
|
|
|
|
|
|
66
|
|
%
|
|
|
67
|
|
%
|
||||||
Product type:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Fixed-rate:
(8)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Long-term
|
75
|
|
%
|
76
|
|
%
|
|
73
|
|
%
|
|
|
72
|
|
%
|
||||
Intermediate-term
|
20
|
|
|
22
|
|
|
|
18
|
|
|
|
|
18
|
|
|
||||
Interest-only
|
—
|
|
|
*
|
|
|
1
|
|
|
|
|
1
|
|
|
|||||
Total fixed-rate
|
95
|
|
|
98
|
|
|
|
92
|
|
|
|
|
91
|
|
|
||||
Adjustable-rate:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Interest-only
|
*
|
|
*
|
|
|
2
|
|
|
|
|
2
|
|
|
||||||
Other ARMs
|
5
|
|
|
2
|
|
|
|
6
|
|
|
|
|
7
|
|
|
||||
Total adjustable-rate
|
5
|
|
|
2
|
|
|
|
8
|
|
|
|
|
9
|
|
|
||||
Total
|
100
|
|
%
|
100
|
|
%
|
|
100
|
|
%
|
|
|
100
|
|
%
|
||||
Number of property units:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
1 unit
|
96
|
|
%
|
98
|
|
%
|
|
97
|
|
%
|
|
|
97
|
|
%
|
||||
2-4 units
|
4
|
|
|
2
|
|
|
|
3
|
|
|
|
|
3
|
|
|
||||
Total
|
100
|
|
%
|
100
|
|
%
|
|
100
|
|
%
|
|
|
100
|
|
%
|
||||
Property type:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Single-family homes
|
89
|
|
%
|
90
|
|
%
|
|
91
|
|
%
|
|
|
91
|
|
%
|
||||
Condo/Co-op
|
11
|
|
|
10
|
|
|
|
9
|
|
|
|
|
9
|
|
|
||||
Total
|
100
|
|
%
|
100
|
|
%
|
|
100
|
|
%
|
|
|
100
|
|
%
|
|
Percent of Single-Family
Conventional Business Volume
(2)
|
|
|
|
|
|
|
|
|||||||
|
For the
Three Months
Ended
March 31,
|
|
Percent of Single-Family
Conventional Guaranty
Book of Business
(3)(4)
As of
|
||||||||||||
|
2014
|
|
2013
|
|
March 31, 2014
|
|
December 31, 2013
|
||||||||
Occupancy type:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Primary residence
|
85
|
|
%
|
88
|
|
%
|
|
88
|
|
%
|
|
|
88
|
|
%
|
Second/vacation home
|
4
|
|
|
4
|
|
|
|
4
|
|
|
|
|
4
|
|
|
Investor
|
11
|
|
|
8
|
|
|
|
8
|
|
|
|
|
8
|
|
|
Total
|
100
|
|
%
|
100
|
|
%
|
|
100
|
|
%
|
|
|
100
|
|
%
|
FICO credit score at origination:
|
|
|
|
|
|
|
|
|
|
|
|
||||
< 620
|
2
|
|
%
|
1
|
|
%
|
|
3
|
|
%
|
|
|
3
|
|
%
|
620 to < 660
|
6
|
|
|
3
|
|
|
|
5
|
|
|
|
|
5
|
|
|
660 to < 700
|
14
|
|
|
8
|
|
|
|
12
|
|
|
|
|
12
|
|
|
700 to < 740
|
21
|
|
|
17
|
|
|
|
19
|
|
|
|
|
19
|
|
|
>= 740
|
57
|
|
|
71
|
|
|
|
61
|
|
|
|
|
61
|
|
|
Total
|
100
|
|
%
|
100
|
|
%
|
|
100
|
|
%
|
|
|
100
|
|
%
|
Weighted-average
|
741
|
|
|
757
|
|
|
|
744
|
|
|
|
|
744
|
|
|
Loan purpose:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Purchase
|
45
|
|
%
|
17
|
|
%
|
|
28
|
|
%
|
|
|
28
|
|
%
|
Cash-out refinance
|
16
|
|
|
15
|
|
|
|
21
|
|
|
|
|
21
|
|
|
Other refinance
|
39
|
|
|
68
|
|
|
|
51
|
|
|
|
|
51
|
|
|
Total
|
100
|
|
%
|
100
|
|
%
|
|
100
|
|
%
|
|
|
100
|
|
%
|
Geographic concentration:
(9)
|
|
|
|
|
|
|
|
|
|
|
|
||||
Midwest
|
14
|
|
%
|
15
|
|
%
|
|
15
|
|
%
|
|
|
15
|
|
%
|
Northeast
|
16
|
|
|
17
|
|
|
|
19
|
|
|
|
|
19
|
|
|
Southeast
|
21
|
|
|
20
|
|
|
|
22
|
|
|
|
|
22
|
|
|
Southwest
|
19
|
|
|
15
|
|
|
|
16
|
|
|
|
|
16
|
|
|
West
|
30
|
|
|
33
|
|
|
|
28
|
|
|
|
|
28
|
|
|
Total
|
100
|
|
%
|
100
|
|
%
|
|
100
|
|
%
|
|
|
100
|
|
%
|
Origination year:
|
|
|
|
|
|
|
|
|
|
|
|
||||
< = 2004
|
|
|
|
|
|
9
|
|
%
|
|
|
9
|
|
%
|
||
2005
|
|
|
|
|
|
3
|
|
|
|
|
4
|
|
|
||
2006
|
|
|
|
|
|
3
|
|
|
|
|
3
|
|
|
||
2007
|
|
|
|
|
|
5
|
|
|
|
|
5
|
|
|
||
2008
|
|
|
|
|
|
3
|
|
|
|
|
3
|
|
|
||
2009
|
|
|
|
|
|
7
|
|
|
|
|
7
|
|
|
||
2010
|
|
|
|
|
|
10
|
|
|
|
|
10
|
|
|
||
2011
|
|
|
|
|
|
11
|
|
|
|
|
11
|
|
|
||
2012
|
|
|
|
|
|
25
|
|
|
|
|
26
|
|
|
||
2013
|
|
|
|
|
|
23
|
|
|
|
|
22
|
|
|
||
2014
|
|
|
|
|
|
1
|
|
|
|
|
—
|
|
|
||
Total
|
|
|
|
|
|
100
|
|
%
|
|
|
100
|
|
%
|
*
|
Represents less than 0.5% of single-family conventional business volume or book of business.
|
(1)
|
Second lien mortgage loans held by third parties are not reflected in the original LTV or mark-to-market LTV ratios in this table. Second lien mortgage loans represented less than
0.5%
of our single-family conventional guaranty book of business as of
March 31, 2014
and
December 31, 2013
.
|
(2)
|
Calculated based on unpaid principal balance of single-family loans for each category at time of acquisition. Single-family business volume refers to both single-family mortgage loans we purchase for our retained mortgage portfolio and single-family
mortgage loans we guarantee.
|
(3)
|
Calculated based on the aggregate unpaid principal balance of single-family loans for each category divided by the aggregate unpaid principal balance of loans in our single-family conventional guaranty book of business as of the end of each period.
|
(4)
|
Our single-family conventional guaranty book of business includes jumbo-conforming and high-balance loans that represented approximately
5%
of our single-family conventional guaranty book of business as of
March 31, 2014
and
December 31, 2013
. See “Business—Our Charter and Regulation of Our Activities—Charter Act—Loan Standards” and “MD&A—Risk Management—Credit Risk Management—Single-Family Mortgage Credit Risk Management—Credit Profile Summary—Jumbo Conforming and High-Balance Loans” in our 2013 Form 10-K for information on our loan limits.
|
(5)
|
The original LTV ratio generally is based on the original unpaid principal balance of the loan divided by the appraised property value reported to us at the time of acquisition of the loan. Excludes loans for which this information is not readily available.
|
(6)
|
We purchase loans with original LTV ratios above 80% as part of our mission to serve the primary mortgage market and provide liquidity to the housing finance system. Except as permitted under HARP, our charter generally requires primary mortgage insurance or other credit enhancement for loans that we acquire that have an LTV ratio over 80%.
|
(7)
|
The aggregate estimated mark-to-market LTV ratio is based on the unpaid principal balance of the loan as of the end of each reported period divided by the estimated current value of the property, which we calculate using an internal valuation model that estimates periodic changes in home value. Excludes loans for which this information is not readily available.
|
(8)
|
Long-term fixed-rate consists of mortgage loans with maturities greater than 15 years, while intermediate-term fixed-rate loans have maturities equal to or less than 15 years. Loans with interest-only terms are included in the interest-only category regardless of their maturities.
|
(9)
|
Midwest consists of IL, IN, IA, MI, MN, NE, ND, OH, SD and WI. Northeast consists of CT, DE, ME, MA, NH, NJ, NY, PA, PR, RI, VT and VI. Southeast consists of AL, DC, FL, GA, KY, MD, MS, NC, SC, TN, VA and WV. Southwest consists of AZ, AR, CO, KS, LA, MO, NM, OK, TX and UT. West consists of AK, CA, GU, HI, ID, MT, NV, OR, WA and WY.
|
|
As of March 31, 2014
|
|||||||||||
|
Percentage of New Book
|
|
Current
Mark-to-Market
LTV Ratio
> 100%
|
|
FICO Credit Score at Origination
(1)
|
|
Serious Delinquency Rate
|
|||||
HARP
(2)
|
|
14
|
%
|
|
25
|
%
|
|
734
|
|
|
0.85
|
%
|
Other Refi Plus
(3)
|
|
11
|
|
|
*
|
|
748
|
|
|
0.32
|
|
|
Total Refi Plus
|
|
25
|
|
|
14
|
|
|
740
|
|
|
0.59
|
|
Non-Refi Plus
(4)
|
|
75
|
|
|
*
|
|
761
|
|
|
0.22
|
|
|
Total new book of business
(5)
|
|
100
|
%
|
|
4
|
%
|
|
755
|
|
|
0.32
|
%
|
*
|
Represents less than 0.5%.
|
(1)
|
In the case of refinancings, represents FICO credit score at the time of the refinancing.
|
(2)
|
HARP loans have LTV ratios at origination in excess of 80%. In the fourth quarter of 2012, we revised our presentation of the data to reflect all loans under our Refi Plus program with LTV ratios at origination in excess of 80% as HARP loans. Previously we did not reflect loans that were backed by second homes or investor properties as HARP loans.
|
(3)
|
Other Refi Plus includes all other Refi Plus loans that are not HARP loans.
|
(4)
|
Includes primarily other refinancings and home purchase mortgages.
|
(5)
|
Refers to single-family mortgage loans we have acquired since the beginning of 2009.
|
|
As of
|
|||||||
|
March 31,
2014 |
|
December 31, 2013
|
|
March 31,
2013 |
|||
Delinquency status:
|
|
|
|
|
|
|||
30 to 59 days delinquent
|
1.40
|
%
|
|
1.64
|
%
|
|
1.72
|
%
|
60 to 89 days delinquent
|
0.40
|
|
|
0.49
|
|
|
0.53
|
|
Seriously delinquent
|
2.19
|
|
|
2.38
|
|
|
3.02
|
|
Percentage of seriously delinquent loans that have been delinquent for more than 180 days
|
74
|
%
|
|
73
|
%
|
|
74
|
%
|
|
As of
|
||||||||||||||||||||||||||||
|
March 31, 2014
|
|
December 31, 2013
|
|
March 31, 2013
|
||||||||||||||||||||||||
|
Percentage of
Book Outstanding
|
|
Serious
Delinquency Rate
|
|
Percentage of
Book Outstanding
|
|
Serious
Delinquency Rate
|
|
Percentage of
Book Outstanding
|
|
Serious
Delinquency Rate
|
||||||||||||||||||
Single-family conventional delinquency rates by geographic region:
(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Midwest
|
|
15
|
%
|
|
|
|
1.81
|
%
|
|
|
|
15
|
%
|
|
|
|
2.00
|
%
|
|
|
|
15
|
%
|
|
|
|
2.61
|
%
|
|
Northeast
|
|
19
|
|
|
|
|
3.74
|
|
|
|
|
19
|
|
|
|
|
3.88
|
|
|
|
|
19
|
|
|
|
|
4.30
|
|
|
Southeast
|
|
22
|
|
|
|
|
3.00
|
|
|
|
|
22
|
|
|
|
|
3.33
|
|
|
|
|
23
|
|
|
|
|
4.38
|
|
|
Southwest
|
|
16
|
|
|
|
|
1.11
|
|
|
|
|
16
|
|
|
|
|
1.23
|
|
|
|
|
16
|
|
|
|
|
1.56
|
|
|
West
|
|
28
|
|
|
|
|
1.25
|
|
|
|
|
28
|
|
|
|
|
1.40
|
|
|
|
|
27
|
|
|
|
|
2.00
|
|
|
Total single-family conventional loans
|
|
100
|
%
|
|
|
|
2.19
|
%
|
|
|
|
100
|
%
|
|
|
|
2.38
|
%
|
|
|
|
100
|
%
|
|
|
|
3.02
|
%
|
|
Single-family conventional loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Credit enhanced
(2)
|
|
15
|
%
|
|
|
|
4.27
|
%
|
|
|
|
15
|
%
|
|
|
|
4.75
|
%
|
|
|
|
14
|
%
|
|
|
|
6.43
|
%
|
|
Non-credit enhanced
|
|
85
|
|
|
|
|
1.85
|
|
|
|
|
85
|
|
|
|
|
2.00
|
|
|
|
|
86
|
|
|
|
|
2.49
|
|
|
Total single-family conventional loans
|
|
100
|
%
|
|
|
|
2.19
|
%
|
|
|
|
100
|
%
|
|
|
|
2.38
|
%
|
|
|
|
100
|
%
|
|
|
|
3.02
|
%
|
|
(1)
|
See footnote 9 to “
Table 30
:
Risk Characteristics of Single-Family Conventional Business Volume and Guaranty Book of Business
” for states included in each geographic region.
|
(2)
|
Refers to loans included in an agreement used to reduce credit risk by requiring collateral, letters of credit, mortgage insurance, corporate guarantees, or other agreements to provide an entity with some assurance that it will be compensated to some degree in the event of a financial loss.
|
|
As of
|
|||||||||||||||||||||||||
|
March 31, 2014
|
|
December 31, 2013
|
|
March 31, 2013
|
|||||||||||||||||||||
|
Percentage of Book Outstanding
|
|
Serious Delinquency Rate
|
|
Estimated Mark-to-Market LTV
Ratio
(1)
|
|
Percentage of Book Outstanding
|
|
Serious Delinquency Rate
|
|
Estimated Mark-to-Market LTV
Ratio
(1)
|
|
Percentage of Book Outstanding
|
|
Serious Delinquency Rate
|
|
Estimated Mark-to-Market LTV
Ratio
(1)
|
|||||||||
|
(Dollars in millions)
|
|||||||||||||||||||||||||
States:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
California
|
20
|
%
|
|
0.86
|
%
|
|
56
|
%
|
|
20
|
%
|
|
0.98
|
%
|
|
58
|
%
|
|
19
|
%
|
|
1.46
|
%
|
|
69
|
%
|
Florida
|
6
|
|
|
6.12
|
|
|
78
|
|
|
6
|
|
|
6.89
|
|
|
80
|
|
|
6
|
|
|
9.36
|
|
|
93
|
|
Illinois
|
4
|
|
|
2.79
|
|
|
77
|
|
|
4
|
|
|
3.12
|
|
|
76
|
|
|
4
|
|
|
4.20
|
|
|
86
|
|
New Jersey
|
4
|
|
|
6.08
|
|
|
70
|
|
|
4
|
|
|
6.25
|
|
|
69
|
|
|
4
|
|
|
6.89
|
|
|
74
|
|
New York
|
5
|
|
|
4.31
|
|
|
61
|
|
|
5
|
|
|
4.42
|
|
|
61
|
|
|
6
|
|
|
4.70
|
|
|
65
|
|
All other states
|
61
|
|
|
1.70
|
|
|
68
|
|
|
61
|
|
|
1.85
|
|
|
68
|
|
|
61
|
|
|
2.32
|
|
|
73
|
|
Product type:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Alt-A
|
5
|
|
|
8.72
|
|
|
83
|
|
|
5
|
|
|
9.23
|
|
|
83
|
|
|
5
|
|
|
10.80
|
|
|
94
|
|
Subprime
|
*
|
|
16.17
|
|
|
94
|
|
|
*
|
|
16.93
|
|
|
95
|
|
|
*
|
|
19.49
|
|
|
105
|
|
|||
Vintages:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
2005
|
3
|
|
|
6.81
|
|
|
78
|
|
|
4
|
|
|
7.26
|
|
|
78
|
|
|
5
|
|
|
7.71
|
|
|
88
|
|
2006
|
3
|
|
|
10.58
|
|
|
92
|
|
|
3
|
|
|
11.26
|
|
|
92
|
|
|
5
|
|
|
11.96
|
|
|
103
|
|
2007
|
5
|
|
|
11.53
|
|
|
94
|
|
|
5
|
|
|
12.18
|
|
|
94
|
|
|
6
|
|
|
12.71
|
|
|
105
|
|
2008
|
3
|
|
|
6.40
|
|
|
77
|
|
|
3
|
|
|
6.69
|
|
|
77
|
|
|
4
|
|
|
6.67
|
|
|
87
|
|
All other vintages
|
86
|
|
|
0.96
|
|
|
63
|
|
|
85
|
|
|
1.02
|
|
|
63
|
|
|
80
|
|
|
1.25
|
|
|
68
|
|
Estimated mark-to-market LTV ratio:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Greater than 100%
(1)
|
7
|
|
|
11.27
|
|
|
121
|
|
|
7
|
|
|
12.22
|
|
|
122
|
|
|
13
|
|
|
12.83
|
|
|
126
|
|
Select combined risk characteristics:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Original LTV ratio > 90% and FICO score < 620
|
1
|
|
|
9.84
|
|
|
103
|
|
|
1
|
|
|
10.90
|
|
|
103
|
|
|
1
|
|
|
13.14
|
|
|
112
|
|
*
|
Percentage is less than 0.5%.
|
(1)
|
Second lien mortgage loans held by third parties are not included in the calculation of the estimated mark-to-market LTV ratios.
|
|
|
For the Three Months Ended March 31,
|
|
|
||||||||||||||||||
|
|
2014
|
|
|
|
2013
|
|
|
||||||||||||||
|
Unpaid Principal Balance
|
|
Number of Loans
|
|
Unpaid Principal Balance
|
|
Number of Loans
|
|
||||||||||||||
|
|
(Dollars in millions)
|
|
|
||||||||||||||||||
Home retention strategies:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Modifications
|
|
$
|
6,191
|
|
|
|
|
36,044
|
|
|
|
|
$
|
7,917
|
|
|
|
|
43,153
|
|
|
|
Repayment plans and forbearances completed
(1)
|
|
296
|
|
|
|
|
2,255
|
|
|
|
|
575
|
|
|
|
|
4,482
|
|
|
|
||
Total home retention strategies
|
|
6,487
|
|
|
|
|
38,299
|
|
|
|
|
8,492
|
|
|
|
|
47,635
|
|
|
|
||
Foreclosure alternatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Short sales
|
|
1,374
|
|
|
|
|
6,804
|
|
|
|
|
2,593
|
|
|
|
|
12,139
|
|
|
|
||
Deeds-in-lieu of foreclosure
|
|
528
|
|
|
|
|
3,323
|
|
|
|
|
660
|
|
|
|
|
3,987
|
|
|
|
||
Total foreclosure alternatives
|
|
1,902
|
|
|
|
|
10,127
|
|
|
|
|
3,253
|
|
|
|
|
16,126
|
|
|
|
||
Total loan workouts
|
|
$
|
8,389
|
|
|
|
|
48,426
|
|
|
|
|
$
|
11,745
|
|
|
|
|
63,761
|
|
|
|
Loan workouts as a percentage of single-family guaranty book of business
(2)
|
|
1.17
|
|
%
|
|
1.10
|
|
%
|
|
1.66
|
|
%
|
|
1.46
|
|
%
|
(1)
|
Repayment plans reflect only those plans associated with loans that were 60 days or more delinquent. Forbearances reflect loans that were 90 days or more delinquent.
|
(2)
|
Calculated based on loan workouts during the period as a percentage of our single-family guaranty book of business as of the end of the period.
|
|
2013
|
|
2012
|
|
2011
|
||||||||||||||||||
|
Q1
|
|
Q4
|
|
Q3
|
|
Q2
|
|
Q1
|
|
Q4
|
|
Q3
|
|
Q2
|
||||||||
One Year Post-Modification
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
HAMP modifications
|
83
|
%
|
|
82
|
%
|
|
82
|
%
|
|
81
|
%
|
|
79
|
%
|
|
78
|
%
|
|
78
|
%
|
|
78
|
%
|
Non-HAMP modifications
|
73
|
|
|
74
|
|
|
74
|
|
|
72
|
|
|
70
|
|
|
66
|
|
|
68
|
|
|
69
|
|
Total
|
75
|
|
|
76
|
|
|
76
|
|
|
75
|
|
|
73
|
|
|
71
|
|
|
72
|
|
|
75
|
|
Two Years Post-Modification
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
HAMP modifications
|
|
|
|
|
|
|
|
|
78
|
%
|
|
77
|
%
|
|
76
|
%
|
|
75
|
%
|
||||
Non-HAMP modifications
|
|
|
|
|
|
|
|
|
71
|
|
|
67
|
|
|
67
|
|
|
67
|
|
||||
Total
|
|
|
|
|
|
|
|
|
73
|
|
|
71
|
|
|
71
|
|
|
73
|
|
(1)
|
Excludes loans that were classified as subprime ARMs that were modified into fixed-rate mortgages. Modifications do not reflect loans currently in trial modifications.
|
|
For the Three Months
|
||||||||
|
Ended March 31,
|
||||||||
|
2014
|
|
2013
|
||||||
Single-family foreclosed properties (number of properties):
|
|
|
|
|
|
||||
Beginning of period inventory of single-family foreclosed properties (REO)
(1)
|
103,229
|
|
|
|
105,666
|
|
|
||
Acquisitions by geographic area:
(2)
|
|
|
|
|
|
||||
Midwest
|
7,542
|
|
|
|
11,983
|
|
|
||
Northeast
|
3,417
|
|
|
|
2,454
|
|
|
||
Southeast
|
13,524
|
|
|
|
14,294
|
|
|
||
Southwest
|
4,097
|
|
|
|
5,317
|
|
|
||
West
|
3,316
|
|
|
|
4,669
|
|
|
||
Total properties acquired through foreclosure
(1)
|
31,896
|
|
|
|
38,717
|
|
|
||
Dispositions of REO
|
(32,727
|
)
|
|
|
(42,934
|
)
|
|
||
End of period inventory of single-family foreclosed properties (REO)
(1)
|
102,398
|
|
|
|
101,449
|
|
|
||
Carrying value of single-family foreclosed properties (dollars in millions)
(3)
|
$
|
10,492
|
|
|
|
$
|
9,263
|
|
|
Single-family foreclosure rate
(4)
|
0.73
|
|
%
|
|
0.89
|
|
%
|
(1)
|
Includes acquisitions through deeds-in-lieu of foreclosure. Also includes held for use properties, which are reported in our condensed consolidated balance sheets as a component of “Other assets.”
|
(2)
|
See footnote 9 to “
Table 30
: Risk Characteristics of Single-Family Conventional Business Volume and Guaranty Book of Business” for states included in each geographic region.
|
(3)
|
Excludes foreclosed property claims receivables, which are reported in our condensed consolidated balance sheets as a component of “Acquired property, net.”
|
(4)
|
Estimated based on the annualized total number of properties acquired through foreclosure or deeds-in-lieu of foreclosure as a percentage of the total number of loans in our single-family guaranty book of business as of the end of each respective period.
|
|
Percent of Single-Family
|
|
||||
|
Foreclosed Properties
|
|
||||
|
As of
|
|
||||
|
March 31, 2014
|
|
December 31, 2013
|
|
||
Available-for-sale
|
|
27
|
%
|
|
33
|
%
|
Offer accepted
(1)
|
|
19
|
|
|
14
|
|
Appraisal stage
(2)
|
|
14
|
|
|
17
|
|
Unable to market:
|
|
|
|
|
|
|
Occupied status
(3)
|
|
11
|
|
|
10
|
|
Redemption status
(4)
|
|
8
|
|
|
9
|
|
Properties being repaired
|
|
13
|
|
|
9
|
|
Rental property
(5)
|
|
3
|
|
|
3
|
|
Other
|
|
5
|
|
|
5
|
|
Total unable to market
|
|
40
|
|
|
36
|
|
Total
|
|
100
|
%
|
|
100
|
%
|
(1)
|
Properties for which an offer has been accepted, but the property has not yet been sold.
|
(2)
|
Properties that are pending appraisals and being prepared to be listed for sale.
|
(3)
|
Properties that are still occupied, and for which the eviction process is not yet complete.
|
(4)
|
Properties that are within the period during which state laws allow the former mortgagor and second lien holders to redeem the property.
|
(5)
|
Properties with a tenant living in the home under our tenant in place or deed for lease programs.
|
|
As of
|
||||||||
|
March 31,
2014 |
|
December 31, 2013
|
||||||
Lender risk-sharing
|
|
|
|
|
|
|
|
||
DUS
|
|
81
|
%
|
|
|
|
80
|
%
|
|
Non-DUS negotiated
|
|
5
|
|
|
|
|
5
|
|
|
No recourse to the lender
|
|
14
|
|
|
|
|
15
|
|
|
|
As of
|
|||||||||||
|
March 31,
2014 |
|
December 31, 2013
|
|
March 31,
2013 |
|||||||
Weighted average original LTV ratio
|
|
66
|
|
%
|
|
|
66
|
%
|
|
|
66
|
%
|
Original LTV ratio greater than 80%
|
|
3
|
|
|
|
|
3
|
|
|
|
4
|
|
Original DSCR less than or equal to 1.10
|
|
7
|
|
|
|
|
7
|
|
|
|
7
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentage of
|
|
|||||
|
As of
|
|
Multifamily
|
|
|||||||||||||||||||||||||||
|
March 31, 2014
|
|
December 31, 2013
|
|
March 31, 2013
|
|
Credit Losses
|
|
|||||||||||||||||||||||
|
Percentage of Book Outstanding
|
|
Serious Delinquency Rate
|
|
Percentage of Book Outstanding
|
|
Serious Delinquency Rate
|
|
Percentage of Book Outstanding
|
|
Serious Delinquency Rate
|
|
For the Three Months Ended
|
|
|||||||||||||||||
|
|
March 31,
|
|
||||||||||||||||||||||||||||
|
|
2014
(1)
|
|
2013
(1)
|
|||||||||||||||||||||||||||
DUS small balance loans
(2)
|
|
8
|
%
|
|
|
0.23
|
%
|
|
|
8
|
%
|
|
|
0.24
|
%
|
|
|
8
|
%
|
|
|
0.34
|
%
|
|
116
|
|
%
|
|
2
|
|
%
|
DUS non small balance loans
(3)
|
|
82
|
|
|
|
0.05
|
|
|
|
82
|
|
|
|
0.06
|
|
|
|
77
|
|
|
|
0.34
|
|
|
(87
|
)
|
|
|
(233
|
)
|
|
Non-DUS small balance loans
(2)
|
|
5
|
|
|
|
0.56
|
|
|
|
5
|
|
|
|
0.50
|
|
|
|
7
|
|
|
|
0.96
|
|
|
49
|
|
|
|
(78
|
)
|
|
Non-DUS non small balance loans
(3)
|
|
5
|
|
|
|
0.24
|
|
|
|
5
|
|
|
|
0.17
|
|
|
|
8
|
|
|
|
0.46
|
|
|
22
|
|
|
|
409
|
|
|
Total multifamily loans
|
|
100
|
%
|
|
|
0.10
|
%
|
|
|
100
|
%
|
|
|
0.10
|
%
|
|
|
100
|
%
|
|
|
0.39
|
%
|
|
100
|
|
%
|
|
100
|
|
%
|
(1)
|
The percentage of credit losses may be negative as a result of recoveries on previously charged off amounts.
|
(2)
|
Loans with original unpaid principal balances of up to $3 million as well as loans in high cost markets with original unpaid principal balances up to $5 million.
|
(3)
|
Loans with original unpaid principal balances greater than $3 million as well as loans in high cost markets with original unpaid principal balances greater than $5 million.
|
|
For the Three
|
||||||||||
|
Months Ended
|
||||||||||
|
March 31,
|
||||||||||
|
2014
|
|
2013
|
||||||||
Multifamily foreclosed properties held for sale (number of properties):
|
|
|
|
|
|
|
|
||||
Beginning of period inventory of multifamily foreclosed properties (REO)
|
|
118
|
|
|
|
|
128
|
|
|
||
Total properties acquired through foreclosure
|
|
17
|
|
|
|
|
16
|
|
|
||
Transfers (from) to held for sale
(1)
|
|
(1
|
)
|
|
|
|
4
|
|
|
||
Dispositions of REO
|
|
(17
|
)
|
|
|
|
(26
|
)
|
|
||
End of period inventory of multifamily foreclosed properties (REO)
|
|
117
|
|
|
|
|
122
|
|
|
||
Carrying value of multifamily foreclosed properties (dollars in millions)
|
|
$
|
575
|
|
|
|
|
$
|
298
|
|
|
(1)
|
Represents the transfer of properties between held for use and held for sale. Held for use properties are reported in our condensed consolidated balance sheets as a component of
“O
ther assets.
”
|
|
Risk in Force
(1)
|
|
Insurance in Force
(2)
|
||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
As of
|
|
|
|
As of
|
|||||||||||||||||||||||
|
As of March 31, 2014
|
|
December 31,
|
|
As of March 31, 2014
|
|
December 31,
|
||||||||||||||||||||||||||||
|
Primary
|
|
Pool
|
|
Total
|
|
2013
|
|
Primary
|
|
Pool
|
|
Total
|
|
2013
|
||||||||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||||||||||||||
Counterparty:
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Radian Guaranty, Inc.
|
$
|
22,678
|
|
|
$
|
121
|
|
|
$
|
22,799
|
|
|
|
$
|
22,435
|
|
|
|
$
|
90,211
|
|
|
$
|
599
|
|
|
$
|
90,810
|
|
|
|
$
|
89,644
|
|
|
United Guaranty Residential Insurance Co.
|
22,595
|
|
|
45
|
|
|
22,640
|
|
|
|
22,096
|
|
|
|
88,464
|
|
|
209
|
|
|
88,673
|
|
|
|
86,936
|
|
|
||||||||
Mortgage Guaranty Insurance Corp.
|
20,781
|
|
|
279
|
|
|
21,060
|
|
|
|
21,000
|
|
|
|
80,965
|
|
|
1,229
|
|
|
82,194
|
|
|
|
82,823
|
|
|
||||||||
Genworth Mortgage Insurance Corp.
|
14,626
|
|
|
25
|
|
|
14,651
|
|
|
|
14,602
|
|
|
|
58,486
|
|
|
98
|
|
|
58,584
|
|
|
|
58,475
|
|
|
||||||||
PMI Mortgage Insurance Co.
(4)
|
6,776
|
|
|
48
|
|
|
6,824
|
|
|
|
7,123
|
|
|
|
27,208
|
|
|
480
|
|
|
27,688
|
|
|
|
29,034
|
|
|
||||||||
Republic Mortgage Insurance Co.
(4)
|
5,354
|
|
|
214
|
|
|
5,568
|
|
|
|
5,801
|
|
|
|
21,034
|
|
|
1,918
|
|
|
22,952
|
|
|
|
23,970
|
|
|
||||||||
Essent Guaranty, Inc.
|
4,764
|
|
|
—
|
|
|
4,764
|
|
|
|
4,394
|
|
|
|
19,135
|
|
|
—
|
|
|
19,135
|
|
|
|
17,748
|
|
|
||||||||
Arch Mortgage Insurance Co.
(5)
|
2,795
|
|
|
—
|
|
|
2,795
|
|
|
|
2,868
|
|
|
|
11,353
|
|
|
—
|
|
|
11,353
|
|
|
|
11,825
|
|
|
||||||||
Triad Guaranty Insurance Corp.
(4)
|
1,628
|
|
|
195
|
|
|
1,823
|
|
|
|
1,908
|
|
|
|
6,038
|
|
|
1,089
|
|
|
7,127
|
|
|
|
7,523
|
|
|
||||||||
National Mortgage Insurance Corp.
|
55
|
|
|
93
|
|
|
148
|
|
|
|
109
|
|
|
|
253
|
|
|
5,002
|
|
|
5,255
|
|
|
|
5,142
|
|
|
||||||||
Others
|
178
|
|
|
—
|
|
|
178
|
|
|
|
180
|
|
|
|
1,020
|
|
|
—
|
|
|
1,020
|
|
|
|
1,032
|
|
|
||||||||
Total
|
$
|
102,230
|
|
|
$
|
1,020
|
|
|
$
|
103,250
|
|
|
|
$
|
102,516
|
|
|
|
$
|
404,167
|
|
|
$
|
10,624
|
|
|
$
|
414,791
|
|
|
|
$
|
414,152
|
|
|
Total as a percentage of single-family guaranty book of business
|
|
|
|
|
4
|
|
%
|
|
4
|
|
%
|
|
|
|
|
|
14
|
|
%
|
|
14
|
|
%
|
(1)
|
Risk in force is generally the maximum potential loss recovery under the applicable mortgage insurance policies in force and is based on the loan level insurance coverage percentage and, if applicable, any aggregate pool loss limit, as specified in the policy.
|
(2)
|
Insurance in force represents the unpaid principal balance of single-family loans in our guaranty book of business covered under the applicable mortgage insurance policies.
|
(3)
|
Insurance coverage amounts provided for each counterparty may include coverage provided by consolidated affiliates and subsidiaries of the counterparty.
|
(4)
|
These mortgage insurers are under various forms of supervised control by their state regulators and are in run-off.
|
(5)
|
In January 2014, we approved the acquisition of CMG Mortgage Insurance Company (“CMG”) and its affiliates by Arch U.S. MI Holdings, Inc. CMG has since changed its name to Arch Mortgage Insurance Company in Wisconsin, its state of domicile.
|
|
As of March 31, 2014
|
||||||||
|
Cumulative Rescission Rate
(1)
|
|
Cumulative Claims Resolution Percentage
(2)
|
||||||
Primary mortgage insurance claims filed in:
|
|
|
|
|
|
|
|
||
First nine months of 2013
|
|
2
|
%
|
|
|
|
57
|
%
|
|
2012
|
|
4
|
|
|
|
|
79
|
|
|
2011
|
|
8
|
|
|
|
|
86
|
|
|
Pool mortgage insurance claim filed in:
|
|
|
|
|
|
|
|
||
First nine months of 2013
|
|
6
|
%
|
|
|
|
66
|
%
|
|
2012
|
|
10
|
|
|
|
|
92
|
|
|
2011
|
|
10
|
|
|
|
|
97
|
|
|
(1)
|
Represents claims filed during the period where coverage was rescinded as of
March 31, 2014
, divided by total claims filed during the same period. Denied claims are excluded from the rescinded population (numerator) but included in the population of total claims (denominator).
|
(2)
|
Represents claims filed during the period that were resolved as of
March 31, 2014
, divided by the total claims filed during the same period. Claims resolved primarily consist of settled claims, claims for which coverage has been rescinded by the mortgage insurer, and denied claims for which we have determined that the mortgage insurer’s objection cannot be addressed.
|
|
As of
|
||||||||||
|
March 31, 2014
|
|
December 31, 2013
|
||||||||
|
(Dollars in millions)
|
||||||||||
Contractual mortgage insurance benefit
|
|
$
|
6,400
|
|
|
|
|
$
|
6,751
|
|
|
Less: Collectibility adjustment
(1)
|
|
409
|
|
|
|
|
431
|
|
|
||
Estimated benefit included in total loss reserves
|
|
$
|
5,991
|
|
|
|
|
$
|
6,320
|
|
|
(1)
|
Represents an adjustment that reduces the contractual benefit for our assessment of our mortgage insurer counterparties
’
inability to fully pay the contractual mortgage insurance claims.
|
|
As of
|
||||||||||
|
March 31, 2014
|
|
December 31, 2013
|
||||||||
|
(Dollars in millions)
|
||||||||||
Alt-A private-label securities
|
|
$
|
472
|
|
|
|
|
$
|
511
|
|
|
Subprime private-label securities
|
|
859
|
|
|
|
|
868
|
|
|
||
Mortgage revenue bonds
|
|
3,815
|
|
|
|
|
3,911
|
|
|
||
Other mortgage-related securities
|
|
257
|
|
|
|
|
264
|
|
|
||
Total
|
|
$
|
5,403
|
|
|
|
|
$
|
5,554
|
|
|
|
As of March 31, 2014
|
||||||||||||||||||||||||||
|
Credit Rating
(1)
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
AA+/ AA/AA-
|
|
A+/A/A-
|
|
BBB+/BBB/BBB-
|
|
Subtotal
(2)
|
|
Exchange- Traded/Cleared
(3)
|
|
Other
(4)
|
|
Total
|
||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||||||
Credit loss exposure
(5)
|
$
|
48
|
|
|
$
|
885
|
|
|
$
|
34
|
|
|
$
|
967
|
|
|
$
|
358
|
|
|
$
|
29
|
|
|
$
|
1,354
|
|
Less: Collateral held
(6)
|
36
|
|
|
842
|
|
|
34
|
|
|
912
|
|
|
319
|
|
|
—
|
|
|
1,231
|
|
|||||||
Exposure net of collateral
|
$
|
12
|
|
|
$
|
43
|
|
|
$
|
—
|
|
|
$
|
55
|
|
|
$
|
39
|
|
|
$
|
29
|
|
|
$
|
123
|
|
Additional information:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Notional amount
|
$
|
28,735
|
|
|
$
|
342,037
|
|
|
$
|
42,490
|
|
|
$
|
413,262
|
|
|
$
|
125,389
|
|
|
$
|
281
|
|
|
$
|
538,932
|
|
Number of counterparties
(7)
|
4
|
|
|
10
|
|
|
2
|
|
|
16
|
|
|
|
|
|
|
|
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
|
As of December 31, 2013
|
||||||||||||||||||||||||||
|
Credit Rating
(1)
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
AA+/ AA/AA-
|
|
A+/A/A-
|
|
BBB+/BBB/BBB-
|
|
Subtotal
(2)
|
|
Exchange- Traded/Cleared
(3)
|
|
Other
(4)
|
|
Total
|
||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||||||
Credit loss exposure
(5)
|
$
|
79
|
|
|
$
|
1,008
|
|
|
$
|
—
|
|
|
$
|
1,087
|
|
|
$
|
1,475
|
|
|
$
|
28
|
|
|
$
|
2,590
|
|
Less: Collateral held
(6)
|
66
|
|
|
972
|
|
|
—
|
|
|
1,038
|
|
|
1,382
|
|
|
—
|
|
|
2,420
|
|
|||||||
Exposure net of collateral
|
$
|
13
|
|
|
$
|
36
|
|
|
$
|
—
|
|
|
$
|
49
|
|
|
$
|
93
|
|
|
$
|
28
|
|
|
$
|
170
|
|
Additional information:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Notional amount
|
$
|
25,005
|
|
|
$
|
338,905
|
|
|
$
|
78,799
|
|
|
$
|
442,709
|
|
|
$
|
109,740
|
|
|
$
|
281
|
|
|
$
|
552,730
|
|
Number of counterparties
(7)
|
4
|
|
|
10
|
|
|
2
|
|
|
16
|
|
|
|
|
|
|
|
(1)
|
We manage collateral requirements based on the lower credit rating of the legal entity, as issued by S&P and Moody’s. The credit rating reflects the equivalent S&P rating for any ratings based on Moody’s scale.
|
(2)
|
We had credit loss exposure to
six
counterparties with a notional balance of
$141.1 billion
as of
March 31, 2014
and
seven
counterparties with a notional balance of
$227.7 billion
as of
December 31, 2013
.
|
(3)
|
Represents contracts entered through an agent on our behalf with derivatives clearing organizations.
|
(4)
|
Includes mortgage insurance contracts and swap credit enhancements accounted for as derivatives.
|
(5)
|
Represents the exposure to credit loss on derivative instruments, which we estimate using the fair value of all outstanding derivative contracts in a gain position. For our risk management derivatives transactions, we net derivative gains and losses with the same counterparty where a legal right of offset exists under enforceable master netting arrangements. As of March 31, 2014, we net OTC-cleared derivative assets and derivative liabilities where we have enforceable master netting arrangements. This table excludes mortgage commitments accounted for as derivatives.
|
(6)
|
Represents cash and non-cash collateral posted by our counterparties to us. Does not include collateral held in excess of exposure. We reduce the value of non-cash collateral in accordance with the counterparty arrangements to ensure recovery of any loss through the disposition of the collateral.
|
(7)
|
Represents counterparties to OTC derivatives transactions with which we have enforceable master netting arrangements.
|
•
|
A 50 basis point shift in interest rates.
|
•
|
A 25 basis point change in the slope of the yield curve.
|
|
As of
|
||||||||||
|
March 31, 2014
(2)
|
|
December 31, 2013
(2)
|
||||||||
|
(Dollars in billions)
|
||||||||||
Rate level shock:
|
|
|
|
|
|
|
|
||||
-100 basis points
|
|
$
|
0.2
|
|
|
|
|
$
|
0.1
|
|
|
-50 basis points
|
|
—
|
|
|
|
|
—
|
|
|
||
+50 basis points
|
|
—
|
|
|
|
|
(0.1
|
)
|
|
||
+100 basis points
|
|
(0.3
|
)
|
|
|
|
(0.5
|
)
|
|
||
Rate slope shock:
|
|
|
|
|
|
|
|
||||
-25 basis points (flattening)
|
|
—
|
|
|
|
|
—
|
|
|
||
+25 basis points (steepening)
|
|
—
|
|
|
|
|
—
|
|
|
|
For the Three Months Ended March 31, 2014
(3)
|
||||||||||||
|
Duration Gap
|
|
Rate Slope Shock 25 Bps
|
|
Rate Level Shock 50 Bps
|
||||||||
|
|
|
Exposure
|
||||||||||
|
(In months)
|
|
(Dollars in billions)
|
||||||||||
Average
|
(0.1)
|
|
|
$
|
—
|
|
|
|
|
$
|
0.1
|
|
|
Minimum
|
(0.5)
|
|
|
—
|
|
|
|
|
—
|
|
|
||
Maximum
|
0.3
|
|
|
0.1
|
|
|
|
|
0.1
|
|
|
||
Standard deviation
|
0.1
|
|
|
—
|
|
|
|
|
—
|
|
|
||
|
|
|
|
|
|
|
|
|
|
||||
|
For the Three Months Ended March 31, 2013
(3)
|
||||||||||||
|
Duration Gap
|
|
Rate Slope Shock
25 Bps
|
|
Rate Level Shock 50 Bps
|
||||||||
|
|
|
Exposure
|
||||||||||
|
(In months)
|
|
(Dollars in billions)
|
||||||||||
Average
|
0.0
|
|
|
$
|
—
|
|
|
|
|
$
|
—
|
|
|
Minimum
|
(0.3)
|
|
|
—
|
|
|
|
|
(0.1
|
)
|
|
||
Maximum
|
0.5
|
|
|
—
|
|
|
|
|
0.2
|
|
|
||
Standard deviation
|
0.2
|
|
|
—
|
|
|
|
|
0.1
|
|
|
(1)
|
Computed based on changes in U.S. LIBOR interest rates swap curve.
|
(2)
|
Measured on the last day of each period presented.
|
(3)
|
Computed based on daily values during the period presented.
|
|
As of
|
||||||||||
|
March 31, 2014
|
|
December 31, 2013
|
||||||||
|
(Dollars in billions)
|
||||||||||
Before Derivatives
|
|
$
|
(0.7
|
)
|
|
|
|
$
|
(0.3
|
)
|
|
After Derivatives
|
|
—
|
|
|
|
|
(0.1
|
)
|
|
||
Effect of Derivatives
|
|
0.6
|
|
|
|
|
0.1
|
|
|
(1)
|
Measured on the last day of each period presented.
|
IMPACT OF FUTURE ADOPTION OF NEW ACCOUNTING PRONOUNCEMENTS
|
FORWARD-LOOKING STATEMENTS
|
•
|
Our expectation that we will remain profitable for the foreseeable future;
|
•
|
Our expectation that, while our annual net income will remain strong over the next few years, our annual net income will be substantially lower than our net income for 2013;
|
•
|
Our expectation that our earnings will be affected by a number of factors, including changes in home prices, changes in interest rates, our guaranty fee rates, the volume of single-family mortgage originations in the future, and the size, composition and quality of our retained mortgage portfolio and guaranty book of business, and economic and housing market conditions; and our expectation that some of these factors, such as changes in interest rates or home prices, could result in significant variability in our earnings from quarter to quarter or year to year;
|
•
|
Our expectation of volatility from period to period in our financial results due to changes in market conditions that result in periodic fluctuations in the estimated fair value of the financial instruments that we mark to market through our earnings;
|
•
|
Our expectation that we will pay Treasury a senior preferred stock dividend of
$5.7 billion
in the second quarter of 2014;
|
•
|
Our expectation that we will retain only a limited amount of any future net worth because we are required by the dividend provisions of the senior preferred stock and quarterly directives from our conservator to pay Treasury each quarter the amount, if any, by which our net worth as of the end of the immediately preceding fiscal quarter exceeds an applicable capital reserve amount;
|
•
|
Our expectation that the single-family loans we have acquired since January 1, 2009, in the aggregate, will be profitable over their lifetime, by which we mean that we expect our guaranty fee income on these loans to exceed our credit losses and administrative costs for them;
|
•
|
Our expectation that the single-family loans we acquired from 2005 through 2008, in the aggregate, will not be profitable over their lifetime;
|
•
|
Our expectation that the recent trend relating to the shift in the primary sources of our revenues will continue and, in the near future, the guaranty fees we receive for managing the credit risk on loans underlying Fannie Mae MBS held by third parties will become the primary source of our revenues;
|
•
|
Our expectation that continued decreases in the size of our retained mortgage portfolio will continue to negatively impact our net interest income and revenues;
|
•
|
Our expectation that increases in our guaranty fee revenues will at least partially offset the negative impact of the decline in our retained mortgage portfolio, and that the extent to which the positive impact of increased guaranty fee revenues will offset the negative impact of the decline in the size of our retained mortgage portfolio will depend on many factors, including: changes to guaranty fee pricing we may make in the future; the size, composition and quality of our guaranty book of business; the life of the loans in our guaranty book of business; the size, composition and quality of our retained mortgage portfolio; economic and housing market conditions; and legislative and regulatory changes;
|
•
|
Our expectation that we will receive significantly less revenue from PLS settlements in future periods;
|
•
|
Our expectation that refinancings will continue to constitute a smaller portion of our single-family business volume in 2014 than in 2013;
|
•
|
Our expectation that we will continue to acquire a higher proportion of loans with higher LTV ratios in 2014 than in 2013;
|
•
|
Our expectation that the trend of lower origination volumes will continue in 2014;
|
•
|
Our expectation that our single-family acquisition volumes this year will continue to remain lower than prior year volumes;
|
•
|
Our expectation that these lower volumes will not have a material adverse effect on the size of our single-family guaranty book of business or on our single-family guaranty fee revenues in the near term;
|
•
|
Our expectation that approximately
280,000
new multifamily units will be completed this year;
|
•
|
Our expectation that, despite steady demand and stable fundamentals at the national level, the multifamily sector may continue to exhibit below average fundamentals in certain local markets and with certain properties;
|
•
|
Our expectation that the level of multifamily foreclosures in 2014 will generally remain commensurate with 2013 levels;
|
•
|
Our expectation that single-family mortgage loan serious delinquency and severity rates will continue their downward trend, but that single-family serious delinquency and severity rates will remain high compared with pre-housing crisis levels because it will take some time for the remaining delinquent high mark-to-market LTV ratio loans originated prior to 2009 to work their way through the foreclosure process;
|
•
|
Our belief that the increase in mortgage rates since the first half of 2013 will result in a decline in overall single-family mortgage originations in 2014 as compared with 2013, driven by a decline in refinancings;
|
•
|
Our forecast that total originations in the U.S. single-family mortgage market in 2014 will decrease from 2013 levels by approximately
40%
, from an estimated
$1.91 trillion
in 2013 to
$1.14 trillion
in 2014;
|
•
|
Our forecast that the amount of originations in the U.S. single-family mortgage market that are refinancings will decrease from an estimated
$1.18 trillion
in 2013 to
$416.6 billion
in 2014;
|
•
|
Our forecast that total single-family mortgage debt outstanding will increase slightly in 2014, increasing from an estimated
$9.86 trillion
as of December 31, 2013 to
$9.94 trillion
as of December 31, 2014;
|
•
|
Our expectation that home price growth will continue in 2014, but that the rate of home price growth on a national basis in 2014 will be lower than in 2013;
|
•
|
Our expectation of significant regional variation in the timing and rate of home price growth;
|
•
|
Our expectation that our credit losses in 2014 and 2015 will be higher than in 2013 because: (1) the amounts we recognized in 2013 pursuant to a number of repurchase and compensatory fee resolution agreements reduced our 2013 credit losses from what they otherwise would have been; and (2) we expect our implementation of the charge-off provisions required by FHFA’s Advisory Bulletin AB 2012-02 in 2015 will increase our credit losses for 2015 from what they otherwise would have been;
|
•
|
Our expectation that our credit losses will resume their downward trend beginning in 2016;
|
•
|
Our belief that our total loss reserves peaked at
$76.9 billion
as of December 31, 2011;
|
•
|
Our expectation that our loss reserves will continue to decline in 2014, but at a slower pace than in 2013;
|
•
|
Our expectation that our loss reserves will remain elevated relative to the levels experienced prior to the 2008 housing crisis for an extended period because (1) we expect future defaults on loans that we acquired prior to 2009 and the resulting charge-offs will occur over a period of years and (2) a significant portion of our reserves represents concessions granted to borrowers upon modification of their loans and our reserves will continue to reflect these concessions until the loans are fully repaid or default;
|
•
|
Our expectation that significant uncertainty regarding the future of our company and the housing finance system will continue;
|
•
|
Our expectation that Congress will continue to consider housing finance reform legislation;
|
•
|
Our expectation that we will provide FHFA with information regarding the asset classification provisions of FHFA’s Advisory Bulletin AB 2012-02 in May 2014;
|
•
|
Our expectation that, in the period in which we adopt FHFA’s Advisory Bulletin AB 2012-02, our allowance for loan losses on the impacted loans will be eliminated and the corresponding recorded investment in the loan will be reduced by the amounts that are charged off;
|
•
|
Our expectation that, although the streamlined modification program we introduced in July 2013 may accelerate the timing of our modifications, a meaningful number of modifications will be initiated after our loans become 180 days past due;
|
•
|
Our expectation that the adoption of FHFA’s Advisory Bulletin AB 2012-02 will not have a material impact on our financial position or results of operations;
|
•
|
Our expectation that guaranty fees collected and expenses incurred under the TCCA will continue to increase in the future;
|
•
|
Our belief that our liquidity contingency plan may be difficult or impossible to execute for a company of our size and in our circumstances;
|
•
|
Our intention to repay our short-term and long-term debt obligations as they become due primarily through proceeds from the issuance of additional debt securities;
|
•
|
Our expectation that we may also use proceeds from our mortgage assets to pay our debt obligations;
|
•
|
Our expectations regarding our credit ratings and their impact on us as set forth in “MD&A—Liquidity and Capital Management—Liquidity Management—Credit Ratings” in this report and “Risk Factors” in our 2013 Form 10-K;
|
•
|
Our expectation that we will not eliminate our deficit of core capital over statutory minimum capital;
|
•
|
Our expectation that the serious delinquency rates for single-family loans acquired in more recent years will be higher after the loans have aged, but will not be as high as the March 31, 2014 serious delinquency rates of loans in our legacy book of business;
|
•
|
Our expectation that the ultimate performance of all our loans will be affected by borrower behavior, public policy and macroeconomic trends, including unemployment, the economy and home prices;
|
•
|
Our belief that loans we acquire under Refi Plus and HARP may not perform as well as the other loans we have acquired since the beginning of 2009, but they will perform better than the loans they replace because they should either reduce the borrowers’ monthly payments or provide more stable terms than the borrowers’ old loans (for example, by refinancing into a mortgage with a fixed interest rate instead of an adjustable rate);
|
•
|
Our expectation that the volume of refinancings under HARP will continue to decline due to the increase in interest rates and a decrease in the population of borrowers with loans that have high LTV ratios who are willing to refinance and would benefit from refinancing;
|
•
|
Our expectation that our acquisitions of Alt-A mortgage loans (which are limited to refinancings of existing Fannie Mae loans) will continue to be minimal in future periods and the percentage of the book of business attributable to Alt-A will continue to decrease over time;
|
•
|
Our belief that the slow pace of foreclosures will continue to negatively affect our single-family serious delinquency rates, foreclosure timelines and credit-related income (expense);
|
•
|
Our expectation that the number of our single-family loans in our book of business that are seriously delinquent will remain above pre-2008 levels for years;
|
•
|
Our belief that the performance of our workouts will be highly dependent on economic factors, such as unemployment rates, household wealth and income, and home prices;
|
•
|
Our belief that our use of our three largest non-depository servicers will result in a decrease in our credit losses from what they otherwise would have been through more effective servicing and an improved experience for the borrower while producing limited repurchase requests and compensatory fee claims;
|
•
|
Our expectation, based on the stressed financial condition of many of our non-governmental financial guarantor counterparties, that we will receive full cash payment from half of these counterparties;
|
•
|
Our expectation, given the stressed financial condition of some of our single-family lenders, that in some cases we will recover less than the amount the lender is obligated to provide us under our risk sharing arrangement with them;
|
•
|
Our expectation that we will receive only a portion of our allowed amount under the terms of the Lehman Brothers plan of reorganization;
|
•
|
Our expectation that we will enter into additional agreements relating to the Common Securitization Solutions, LLC joint venture in the future; and
|
•
|
Our expectation that we will not remediate the material weakness relating to our disclosure controls and procedures while we are in conservatorship.
|
|
As of
|
||||||||||
|
March 31,
|
|
December 31,
|
||||||||
|
2014
|
|
2013
|
||||||||
ASSETS
|
|||||||||||
Cash and cash equivalents
|
|
$
|
14,056
|
|
|
|
|
$
|
19,228
|
|
|
Restricted cash (includes $20,550 and $23,982, respectively, related to consolidated trusts)
|
|
24,583
|
|
|
|
|
28,995
|
|
|
||
Federal funds sold and securities purchased under agreements to resell or similar arrangements
|
|
12,750
|
|
|
|
|
38,975
|
|
|
||
Investments in securities:
|
|
|
|
|
|
|
|
||||
Trading, at fair value
|
|
31,795
|
|
|
|
|
30,768
|
|
|
||
Available-for-sale, at fair value (includes $949 and $998, respectively, related to consolidated trusts)
|
|
37,128
|
|
|
|
|
38,171
|
|
|
||
Total investments in securities
|
|
68,923
|
|
|
|
|
68,939
|
|
|
||
Mortgage loans:
|
|
|
|
|
|
|
|
||||
Loans held for sale, at lower of cost or fair value (includes $201 and $31, respectively, related to consolidated trusts)
|
|
1,494
|
|
|
|
|
380
|
|
|
||
Loans held for investment, at amortized cost:
|
|
|
|
|
|
|
|
||||
Of Fannie Mae
|
|
290,903
|
|
|
|
|
300,159
|
|
|
||
Of consolidated trusts (includes $14,637 and $14,268 respectively, at fair value and loans pledged as collateral that may be sold or repledged of $415 and $442, respectively)
|
|
2,767,530
|
|
|
|
|
2,769,547
|
|
|
||
Total loans held for investment
|
|
3,058,433
|
|
|
|
|
3,069,706
|
|
|
||
Allowance for loan losses
|
|
(41,911
|
)
|
|
|
|
(43,846
|
)
|
|
||
Total loans held for investment, net of allowance
|
|
3,016,522
|
|
|
|
|
3,025,860
|
|
|
||
Total mortgage loans
|
|
3,018,016
|
|
|
|
|
3,026,240
|
|
|
||
Accrued interest receivable, net (includes $7,463 and $7,271, respectively, related to consolidated trusts)
|
|
8,459
|
|
|
|
|
8,319
|
|
|
||
Acquired property, net
|
|
11,960
|
|
|
|
|
11,621
|
|
|
||
Deferred tax assets, net
|
|
45,366
|
|
|
|
|
47,560
|
|
|
||
Other assets (includes cash pledged as collateral of $1,291 and $1,590, respectively)
|
|
22,392
|
|
|
|
|
20,231
|
|
|
||
Total assets
|
|
$
|
3,226,505
|
|
|
|
|
$
|
3,270,108
|
|
|
LIABILITIES AND EQUITY
|
|||||||||||
Liabilities:
|
|
|
|
|
|
|
|
||||
Accrued interest payable (includes $8,262 and $8,276, respectively, related to consolidated trusts)
|
|
$
|
10,681
|
|
|
|
|
$
|
10,553
|
|
|
Federal funds purchased and securities sold under agreements to repurchase
|
|
25
|
|
|
|
|
—
|
|
|
||
Debt:
|
|
|
|
|
|
|
|
||||
Of Fannie Mae (includes $1,775 and $1,308, respectively, at fair value)
|
|
481,853
|
|
|
|
|
529,434
|
|
|
||
Of consolidated trusts (includes $15,373 and $14,976, respectively, at fair value)
|
|
2,712,842
|
|
|
|
|
2,705,089
|
|
|
||
Other liabilities (includes $444 and $488, respectively, related to consolidated trusts)
|
|
13,012
|
|
|
|
|
15,441
|
|
|
||
Total liabilities
|
|
3,218,413
|
|
|
|
|
3,260,517
|
|
|
||
Commitments and contingencies (Note 17)
|
|
—
|
|
|
|
|
—
|
|
|
||
Fannie Mae stockholders’ equity:
|
|
|
|
|
|
|
|
||||
Senior preferred stock, 1,000,000 shares issued and outstanding
|
|
117,149
|
|
|
|
|
117,149
|
|
|
||
Preferred stock, 700,000,000 shares are authorized—555,374,922 shares issued and outstanding
|
|
19,130
|
|
|
|
|
19,130
|
|
|
||
Common stock, no par value, no maximum authorization—1,308,762,703 shares issued and 1,158,080,657 shares outstanding
|
|
687
|
|
|
|
|
687
|
|
|
||
Accumulated deficit
|
|
(123,098
|
)
|
|
|
|
(121,227
|
)
|
|
||
Accumulated other comprehensive income
|
|
1,575
|
|
|
|
|
1,203
|
|
|
||
Treasury stock, at cost, 150,682,046 shares
|
|
(7,401
|
)
|
|
|
|
(7,401
|
)
|
|
||
Total Fannie Mae stockholders’ equity
|
|
8,042
|
|
|
|
|
9,541
|
|
|
||
Noncontrolling interest
|
|
50
|
|
|
|
|
50
|
|
|
||
Total equity (See Note 1:
Impact of U.S. Government Support
for information on our dividend obligation to Treasury)
|
|
8,092
|
|
|
|
|
9,591
|
|
|
||
Total liabilities and equity
|
|
$
|
3,226,505
|
|
|
|
|
$
|
3,270,108
|
|
|
|
For the Three
|
||||||||||
|
Months Ended
|
||||||||||
|
March 31,
|
||||||||||
|
2014
|
|
2013
|
||||||||
Interest income:
|
|
|
|
|
|
|
|
||||
Trading securities
|
|
$
|
127
|
|
|
|
|
$
|
226
|
|
|
Available-for-sale securities
|
|
440
|
|
|
|
|
673
|
|
|
||
Mortgage loans (includes $25,954 and $25,394, respectively, related to consolidated trusts)
|
|
28,588
|
|
|
|
|
29,224
|
|
|
||
Other
|
|
24
|
|
|
|
|
57
|
|
|
||
Total interest income
|
|
29,179
|
|
|
|
|
30,180
|
|
|
||
Interest expense:
|
|
|
|
|
|
|
|
||||
Short-term debt
|
|
20
|
|
|
|
|
43
|
|
|
||
Long-term debt (includes $22,076 and $21,158, respectively, related to consolidated trusts)
|
|
24,421
|
|
|
|
|
23,833
|
|
|
||
Total interest expense
|
|
24,441
|
|
|
|
|
23,876
|
|
|
||
Net interest income
|
|
4,738
|
|
|
|
|
6,304
|
|
|
||
Benefit for credit losses
|
|
774
|
|
|
|
|
957
|
|
|
||
Net interest income after benefit for credit losses
|
|
5,512
|
|
|
|
|
7,261
|
|
|
||
Investment gains, net
|
|
146
|
|
|
|
|
118
|
|
|
||
Net other-than-temporary impairments
|
|
(51
|
)
|
|
|
|
(9
|
)
|
|
||
Fair value (losses) gains, net
|
|
(1,190
|
)
|
|
|
|
834
|
|
|
||
Debt extinguishment losses, net
|
|
—
|
|
|
|
|
(23
|
)
|
|
||
Fee and other income
|
|
4,355
|
|
|
|
|
568
|
|
|
||
Non-interest income
|
|
3,260
|
|
|
|
|
1,488
|
|
|
||
Administrative expenses:
|
|
|
|
|
|
|
|
||||
Salaries and employee benefits
|
|
325
|
|
|
|
|
317
|
|
|
||
Professional services
|
|
242
|
|
|
|
|
223
|
|
|
||
Occupancy expenses
|
|
50
|
|
|
|
|
46
|
|
|
||
Other administrative expenses
|
|
55
|
|
|
|
|
55
|
|
|
||
Total administrative expenses
|
|
672
|
|
|
|
|
641
|
|
|
||
Foreclosed property income
|
|
(262
|
)
|
|
|
|
(260
|
)
|
|
||
Temporary Payroll Tax Cut Continuation Act of 2011 (“TCCA”) fees
|
|
322
|
|
|
|
|
186
|
|
|
||
Other expenses, net
|
|
131
|
|
|
|
|
68
|
|
|
||
Total expenses
|
|
863
|
|
|
|
|
635
|
|
|
||
Income before federal income taxes
|
|
7,909
|
|
|
|
|
8,114
|
|
|
||
(Provision) benefit for federal income taxes
|
|
(2,584
|
)
|
|
|
|
50,571
|
|
|
||
Net income
|
|
5,325
|
|
|
|
|
58,685
|
|
|
||
Other comprehensive income:
|
|
|
|
|
|
|
|
||||
Changes in unrealized gains on available-for-sale securities, net of reclassification adjustments and taxes
|
|
372
|
|
|
|
|
648
|
|
|
||
Other
|
|
—
|
|
|
|
|
6
|
|
|
||
Total other comprehensive income
|
|
372
|
|
|
|
|
654
|
|
|
||
Total comprehensive income attributable to Fannie Mae
|
|
$
|
5,697
|
|
|
|
|
$
|
59,339
|
|
|
Net income attributable to Fannie Mae
|
|
5,325
|
|
|
|
|
58,685
|
|
|
||
Dividends available for distribution to senior preferred stockholder (Note 11)
|
|
(5,692
|
)
|
|
|
|
(59,368
|
)
|
|
||
Net loss attributable to common stockholders (Note 11)
|
|
$
|
(367
|
)
|
|
|
|
$
|
(683
|
)
|
|
Loss per share: basic and diluted
|
|
$
|
(0.06
|
)
|
|
|
|
$
|
(0.12
|
)
|
|
Weighted-average common shares outstanding: basic and diluted
|
|
5,762
|
|
|
|
|
5,762
|
|
|
|
For the Three Months Ended March 31,
|
||||||||||
|
2014
|
|
2013
|
||||||||
Net cash used in operating activities
|
|
$
|
(1,321
|
)
|
|
|
|
$
|
(6,420
|
)
|
|
Cash flows provided by investing activities:
|
|
|
|
|
|
|
|
||||
Purchases of trading securities held for investment
|
|
—
|
|
|
|
|
(2,021
|
)
|
|
||
Proceeds from maturities and paydowns of trading securities held for investment
|
|
333
|
|
|
|
|
659
|
|
|
||
Proceeds from sales of trading securities held for investment
|
|
486
|
|
|
|
|
781
|
|
|
||
Proceeds from maturities and paydowns of available-for-sale securities
|
|
1,446
|
|
|
|
|
2,689
|
|
|
||
Proceeds from sales of available-for-sale securities
|
|
35
|
|
|
|
|
270
|
|
|
||
Purchases of loans held for investment
|
|
(24,486
|
)
|
|
|
|
(60,504
|
)
|
|
||
Proceeds from repayments and sales of loans acquired as held for investment of Fannie Mae
|
|
6,217
|
|
|
|
|
18,470
|
|
|
||
Proceeds from repayments and sales of loans acquired as held for investment of consolidated trusts
|
|
80,610
|
|
|
|
|
201,345
|
|
|
||
Net change in restricted cash
|
|
4,412
|
|
|
|
|
10,688
|
|
|
||
Advances to lenders
|
|
(20,501
|
)
|
|
|
|
(38,471
|
)
|
|
||
Proceeds from disposition of acquired property and preforeclosure sales
|
|
6,329
|
|
|
|
|
13,057
|
|
|
||
Net change in federal funds sold and securities purchased under agreements to resell or similar arrangements
|
|
26,225
|
|
|
|
|
(46,850
|
)
|
|
||
Other, net
|
|
(385
|
)
|
|
|
|
7
|
|
|
||
Net cash provided by investing activities
|
|
80,721
|
|
|
|
|
100,120
|
|
|
||
Cash flows used in financing activities:
|
|
|
|
|
|
|
|
||||
Proceeds from issuance of debt of Fannie Mae
|
|
69,086
|
|
|
|
|
155,561
|
|
|
||
Payments to redeem debt of Fannie Mae
|
|
(117,058
|
)
|
|
|
|
(141,422
|
)
|
|
||
Proceeds from issuance of debt of consolidated trusts
|
|
58,216
|
|
|
|
|
122,408
|
|
|
||
Payments to redeem debt of consolidated trusts
|
|
(87,643
|
)
|
|
|
|
(223,943
|
)
|
|
||
Payments of cash dividends on senior preferred stock to Treasury
|
|
(7,191
|
)
|
|
|
|
(4,224
|
)
|
|
||
Other, net
|
|
18
|
|
|
|
|
216
|
|
|
||
Net cash used in financing activities
|
|
(84,572
|
)
|
|
|
|
(91,404
|
)
|
|
||
Net (decrease) increase in cash and cash equivalents
|
|
(5,172
|
)
|
|
|
|
2,296
|
|
|
||
Cash and cash equivalents at beginning of period
|
|
19,228
|
|
|
|
|
21,117
|
|
|
||
Cash and cash equivalents at end of period
|
|
$
|
14,056
|
|
|
|
|
$
|
23,413
|
|
|
Cash paid during the period for:
|
|
|
|
|
|
|
|
||||
Interest
|
|
$
|
26,567
|
|
|
|
|
$
|
27,824
|
|
|
Income taxes
|
|
425
|
|
|
|
|
—
|
|
|
|
As of
|
||||||||||
|
March 31, 2014
|
|
December 31, 2013
|
||||||||
|
(Dollars in millions)
|
||||||||||
Assets and liabilities recorded in our condensed consolidated balance sheets related to mortgage-backed trusts:
|
|
|
|
|
|
|
|
||||
Assets:
|
|
|
|
|
|
|
|
||||
Trading securities:
|
|
|
|
|
|
|
|
||||
Fannie Mae securities
|
|
$
|
5,785
|
|
|
|
|
$
|
5,660
|
|
|
Non-Fannie Mae securities
|
|
8,197
|
|
|
|
|
8,559
|
|
|
||
Total trading securities
|
|
13,982
|
|
|
|
|
14,219
|
|
|
||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|||
Fannie Mae securities
|
|
5,593
|
|
|
|
|
5,866
|
|
|
||
Non-Fannie Mae securities
|
|
27,063
|
|
|
|
|
27,441
|
|
|
||
Total available-for-sale securities
|
|
32,656
|
|
|
|
|
33,307
|
|
|
||
Other assets
|
|
119
|
|
|
|
|
119
|
|
|
||
Other liabilities
|
|
(1,734
|
)
|
|
|
|
(1,668
|
)
|
|
||
Net carrying amount
|
|
$
|
45,023
|
|
|
|
|
$
|
45,977
|
|
|
Maximum exposure to loss
(1)
|
|
$
|
52,360
|
|
|
|
|
$
|
54,148
|
|
|
Total assets of unconsolidated mortgage-backed trusts
|
|
$
|
281,719
|
|
|
|
|
$
|
313,202
|
|
|
(1)
|
Our maximum exposure to loss generally represents the greater of our recorded investment in the entity or the unpaid principal balance of the assets covered by our guaranty. However, our securities issued by Fannie Mae multi-class resecuritization trusts that are not consolidated do not give rise to any additional exposure to loss as we already consolidate the underlying collateral.
|
|
Fannie Mae Single-class MBS & Fannie Megas
|
|
REMICS & SMBS
(1)
|
||||||
|
(Dollars in millions)
|
||||||||
As of March 31, 2014
|
|
|
|
|
|
||||
Unpaid principal balance
|
$
|
331
|
|
|
|
$
|
6,879
|
|
|
Fair value
|
366
|
|
|
|
8,012
|
|
|
||
Weighted-average coupon
|
6.20
|
|
%
|
|
5.35
|
|
%
|
||
Weighted-average loan age
|
7.7
|
|
years
|
|
5.5
|
|
years
|
||
Weighted-average maturity
|
21.2
|
|
years
|
|
11.9
|
|
years
|
||
|
|
|
|
|
|
||||
As of December 31, 2013
|
|
|
|
|
|
||||
Unpaid principal balance
|
$
|
349
|
|
|
|
$
|
6,899
|
|
|
Fair value
|
383
|
|
|
|
7,959
|
|
|
||
Weighted-average coupon
|
6.21
|
|
%
|
|
5.36
|
|
%
|
||
Weighted-average loan age
|
7.4
|
|
years
|
|
5.4
|
|
years
|
||
Weighted-average maturity
|
21.5
|
|
years
|
|
12.6
|
|
years
|
(1)
|
Consists of real estate mortgage investment conduits (“REMICs”) and stripped mortgage-backed securities (“SMBS”).
|
|
As of
|
||||||||||||||||||||||||||||||||||
|
March 31, 2014
|
|
December 31, 2013
|
||||||||||||||||||||||||||||||||
|
Of Fannie Mae
|
|
Of Consolidated Trusts
|
|
Total
|
|
Of Fannie Mae
|
|
Of Consolidated Trusts
|
|
Total
|
||||||||||||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||||||||||||||
Single-family
|
|
$
|
271,947
|
|
|
|
|
$
|
2,574,278
|
|
|
|
|
$
|
2,846,225
|
|
|
|
|
$
|
276,644
|
|
|
|
|
$
|
2,579,024
|
|
|
|
|
$
|
2,855,668
|
|
|
Multifamily
|
|
33,680
|
|
|
|
|
148,822
|
|
|
|
|
182,502
|
|
|
|
|
37,642
|
|
|
|
|
146,249
|
|
|
|
|
183,891
|
|
|
||||||
Total unpaid principal balance of mortgage loans
|
|
305,627
|
|
|
|
|
2,723,100
|
|
|
|
|
3,028,727
|
|
|
|
|
314,286
|
|
|
|
|
2,725,273
|
|
|
|
|
3,039,559
|
|
|
||||||
Cost basis and fair value adjustments, net
|
|
(13,431
|
)
|
|
|
|
44,631
|
|
|
|
|
31,200
|
|
|
|
|
(13,778
|
)
|
|
|
|
44,305
|
|
|
|
|
30,527
|
|
|
||||||
Allowance for loan losses for loans held for investment
|
|
(39,004
|
)
|
|
|
|
(2,907
|
)
|
|
|
|
(41,911
|
)
|
|
|
|
(40,521
|
)
|
|
|
|
(3,325
|
)
|
|
|
|
(43,846
|
)
|
|
||||||
Total mortgage loans
|
|
$
|
253,192
|
|
|
|
|
$
|
2,764,824
|
|
|
|
|
$
|
3,018,016
|
|
|
|
|
$
|
259,987
|
|
|
|
|
$
|
2,766,253
|
|
|
|
|
$
|
3,026,240
|
|
|
|
As of March 31, 2014
(1)
|
||||||||||||||||||||||||||||||||||||||||
|
30 - 59 Days
Delinquent
|
|
60 - 89 Days Delinquent
|
|
Seriously Delinquent
(2)
|
|
Total Delinquent
|
|
Current
|
|
Total
|
|
Recorded Investment in Loans 90 Days or More Delinquent and Accruing Interest
|
|
Recorded Investment in Nonaccrual Loans
|
||||||||||||||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||||||||||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Primary
(3)
|
|
$
|
27,858
|
|
|
|
|
$
|
8,090
|
|
|
|
|
$
|
44,625
|
|
|
|
|
$
|
80,573
|
|
|
|
$
|
2,566,501
|
|
|
$
|
2,647,074
|
|
|
|
$
|
65
|
|
|
|
$
|
52,614
|
|
Government
(4)
|
|
59
|
|
|
|
|
23
|
|
|
|
|
348
|
|
|
|
|
430
|
|
|
|
47,466
|
|
|
47,896
|
|
|
|
348
|
|
|
|
—
|
|
||||||||
Alt-A
|
|
4,488
|
|
|
|
|
1,501
|
|
|
|
|
14,227
|
|
|
|
|
20,216
|
|
|
|
103,452
|
|
|
123,668
|
|
|
|
9
|
|
|
|
15,716
|
|
||||||||
Other
(5)
|
|
1,699
|
|
|
|
|
552
|
|
|
|
|
4,866
|
|
|
|
|
7,117
|
|
|
|
44,003
|
|
|
51,120
|
|
|
|
25
|
|
|
|
5,361
|
|
||||||||
Total single-family
|
|
34,104
|
|
|
|
|
10,166
|
|
|
|
|
64,066
|
|
|
|
|
108,336
|
|
|
|
2,761,422
|
|
|
2,869,758
|
|
|
|
447
|
|
|
|
73,691
|
|
||||||||
Multifamily
(6)
|
|
45
|
|
|
|
|
N/A
|
|
|
|
|
187
|
|
|
|
|
232
|
|
|
|
183,127
|
|
|
183,359
|
|
|
|
—
|
|
|
|
1,840
|
|
||||||||
Total
|
|
$
|
34,149
|
|
|
|
|
$
|
10,166
|
|
|
|
|
$
|
64,253
|
|
|
|
|
$
|
108,568
|
|
|
|
$
|
2,944,549
|
|
|
$
|
3,053,117
|
|
|
|
$
|
447
|
|
|
|
$
|
75,531
|
|
|
As of December 31, 2013
(1)
|
||||||||||||||||||||||||||||||||||||||||
|
30 - 59 Days
Delinquent
|
|
60 - 89 Days Delinquent
|
|
Seriously Delinquent
(2)
|
|
Total Delinquent
|
|
Current
|
|
Total
|
|
Recorded Investment in Loans 90 Days or More Delinquent and Accruing Interest
|
|
Recorded Investment in Nonaccrual Loans
|
||||||||||||||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||||||||||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Primary
(3)
|
|
$
|
32,371
|
|
|
|
|
$
|
9,755
|
|
|
|
|
$
|
48,345
|
|
|
|
|
$
|
90,471
|
|
|
|
$
|
2,558,826
|
|
|
$
|
2,649,297
|
|
|
|
$
|
81
|
|
|
|
$
|
57,973
|
|
Government
(4)
|
|
66
|
|
|
|
|
32
|
|
|
|
|
346
|
|
|
|
|
444
|
|
|
|
48,150
|
|
|
48,594
|
|
|
|
346
|
|
|
|
—
|
|
||||||||
Alt-A
|
|
4,748
|
|
|
|
|
1,692
|
|
|
|
|
15,425
|
|
|
|
|
21,865
|
|
|
|
105,644
|
|
|
127,509
|
|
|
|
11
|
|
|
|
17,102
|
|
||||||||
Other
(5)
|
|
1,940
|
|
|
|
|
659
|
|
|
|
|
5,404
|
|
|
|
|
8,003
|
|
|
|
45,288
|
|
|
53,291
|
|
|
|
22
|
|
|
|
5,999
|
|
||||||||
Total single-family
|
|
39,125
|
|
|
|
|
12,138
|
|
|
|
|
69,520
|
|
|
|
|
120,783
|
|
|
|
2,757,908
|
|
|
2,878,691
|
|
|
|
460
|
|
|
|
81,074
|
|
||||||||
Multifamily
(6)
|
|
59
|
|
|
|
|
N/A
|
|
|
|
|
186
|
|
|
|
|
245
|
|
|
|
185,733
|
|
|
185,978
|
|
|
|
—
|
|
|
|
2,209
|
|
||||||||
Total
|
|
$
|
39,184
|
|
|
|
|
$
|
12,138
|
|
|
|
|
$
|
69,706
|
|
|
|
|
$
|
121,028
|
|
|
|
$
|
2,943,641
|
|
|
$
|
3,064,669
|
|
|
|
$
|
460
|
|
|
|
$
|
83,283
|
|
(1)
|
Recorded investment consists of unpaid principal balance, unamortized premiums, discounts and other cost basis adjustments, and accrued interest receivable.
|
(2)
|
Single-family seriously delinquent loans are loans that are
90 days
or more past due or in the foreclosure process. Multifamily seriously delinquent loans are loans that are
60 days
or more past due.
|
(3)
|
Consists of mortgage loans that are not included in other loan classes.
|
(4)
|
Consists of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies that are not Alt-A. Primarily consists of reverse mortgages which, due to their nature, are not aged and are included in the current column.
|
(5)
|
Includes loans with higher-risk characteristics, such as interest-only loans and negative-amortizing loans, that are neither government nor Alt-A.
|
(6)
|
Multifamily loans 60-89 days delinquent are included in the seriously delinquent column.
|
|
As of
|
||||||||||||||||||||||||||
|
March 31, 2014
(1)(2)
|
|
December 31, 2013
(1)(2)
|
||||||||||||||||||||||||
|
Primary
(3)
|
|
Alt-A
|
|
Other
(4)
|
|
Primary
(3)
|
|
Alt-A
|
|
Other
(4)
|
||||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||||||
Estimated mark-to-market loan-to-value ratio:
(5)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Less than or equal to 80%
|
$
|
2,059,320
|
|
|
$
|
60,043
|
|
|
|
$
|
23,524
|
|
|
|
$
|
2,073,079
|
|
|
$
|
61,670
|
|
|
|
$
|
24,112
|
|
|
Greater than 80%
and less than or equal to 90%
|
281,067
|
|
|
16,352
|
|
|
|
6,593
|
|
|
|
276,011
|
|
|
16,794
|
|
|
|
6,947
|
|
|
||||||
Greater than 90%
and less than or equal to 100%
|
161,156
|
|
|
14,327
|
|
|
|
6,150
|
|
|
|
153,474
|
|
|
14,709
|
|
|
|
6,402
|
|
|
||||||
Greater than 100%
and less than or equal to 110%
|
60,429
|
|
|
10,873
|
|
|
|
4,871
|
|
|
|
59,630
|
|
|
11,006
|
|
|
|
5,146
|
|
|
||||||
Greater than 110%
and less than or equal to 120%
|
33,952
|
|
|
7,615
|
|
|
|
3,538
|
|
|
|
33,954
|
|
|
7,742
|
|
|
|
3,691
|
|
|
||||||
Greater than 120%
and less than or equal to 125%
|
11,191
|
|
|
2,826
|
|
|
|
1,343
|
|
|
|
11,256
|
|
|
2,951
|
|
|
|
1,406
|
|
|
||||||
Greater than 125%
|
39,959
|
|
|
11,632
|
|
|
|
5,101
|
|
|
|
41,893
|
|
|
12,637
|
|
|
|
5,587
|
|
|
||||||
Total
|
$
|
2,647,074
|
|
|
$
|
123,668
|
|
|
|
$
|
51,120
|
|
|
|
$
|
2,649,297
|
|
|
$
|
127,509
|
|
|
|
$
|
53,291
|
|
|
(1)
|
Recorded investment consists of unpaid principal balance, unamortized premiums, discounts and other cost basis adjustments, and accrued interest receivable.
|
(2)
|
Excludes
$47.9 billion
and
$48.6 billion
as of
March 31, 2014
and
December 31, 2013
, respectively, of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies that are not Alt-A loans. The segment class is primarily reverse mortgages for which we do not calculate an estimated mark-to-market LTV ratio.
|
(3)
|
Consists of mortgage loans that are not included in other loan classes.
|
(4)
|
Includes loans with higher-risk characteristics, such as interest-only loans and negative-amortizing loans, that are neither government nor Alt-A.
|
(5)
|
The aggregate estimated mark-to-market LTV ratio is based on the unpaid principal balance of the loan as of the end of each reported period divided by the estimated current value of the property, which we calculate using an internal valuation model that estimates periodic changes in home value.
|
|
As of
|
||||||||||
|
March 31,
|
|
December 31,
|
||||||||
|
2014
(1)
|
|
2013
(1)
|
||||||||
|
(Dollars in millions)
|
||||||||||
Credit risk profile by internally assigned grade:
(2)
|
|
|
|
|
|
|
|
||||
Pass
|
|
$
|
174,805
|
|
|
|
|
$
|
176,528
|
|
|
Special Mention
|
|
2,166
|
|
|
|
|
2,234
|
|
|
||
Substandard
|
|
6,027
|
|
|
|
|
6,758
|
|
|
||
Doubtful
|
|
361
|
|
|
|
|
458
|
|
|
||
Total
|
|
$
|
183,359
|
|
|
|
|
$
|
185,978
|
|
|
(1)
|
Recorded investment consists of unpaid principal balance, unamortized premiums, discounts and other cost basis adjustments, and accrued interest receivable.
|
(2)
|
Pass (loan is current and adequately protected by the current financial strength and debt service capacity of the borrower); special mention (loan with signs of potential weakness); substandard (loan with a well defined weakness that jeopardizes the timely full repayment); and doubtful (loan with a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions and values).
|
|
As of
|
||||||||||||||||||||||||||||||||||||||
|
March 31, 2014
|
|
December 31, 2013
|
||||||||||||||||||||||||||||||||||||
|
Unpaid Principal Balance
|
|
Total Recorded Investment
(1)
|
|
Related Allowance for Loan Losses
|
|
Related Allowance for Accrued Interest Receivable
|
|
Unpaid Principal Balance
|
|
Total Recorded Investment
(1)
|
|
Related Allowance for Loan Losses
|
|
Related Allowance for Accrued Interest Receivable
|
||||||||||||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||||||||||||||||||
Individually impaired loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
With related allowance recorded:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Primary
(2)
|
|
$
|
130,023
|
|
|
|
|
$
|
123,571
|
|
|
|
$
|
23,662
|
|
|
$
|
394
|
|
|
|
$
|
130,080
|
|
|
|
|
$
|
123,631
|
|
|
|
$
|
24,145
|
|
|
$
|
430
|
|
Government
(3)
|
|
272
|
|
|
|
|
276
|
|
|
|
39
|
|
|
12
|
|
|
|
213
|
|
|
|
|
210
|
|
|
|
35
|
|
|
5
|
|
||||||||
Alt-A
|
|
37,108
|
|
|
|
|
34,219
|
|
|
|
9,125
|
|
|
172
|
|
|
|
37,356
|
|
|
|
|
34,479
|
|
|
|
9,364
|
|
|
187
|
|
||||||||
Other
(4)
|
|
15,586
|
|
|
|
|
14,803
|
|
|
|
3,754
|
|
|
51
|
|
|
|
15,789
|
|
|
|
|
15,023
|
|
|
|
3,879
|
|
|
56
|
|
||||||||
Total single-family
|
|
182,989
|
|
|
|
|
172,869
|
|
|
|
36,580
|
|
|
629
|
|
|
|
183,438
|
|
|
|
|
173,343
|
|
|
|
37,423
|
|
|
678
|
|
||||||||
Multifamily
|
|
1,882
|
|
|
|
|
1,897
|
|
|
|
258
|
|
|
7
|
|
|
|
2,257
|
|
|
|
|
2,276
|
|
|
|
306
|
|
|
10
|
|
||||||||
Total individually impaired loans with related allowance recorded
|
|
184,871
|
|
|
|
|
174,766
|
|
|
|
36,838
|
|
|
636
|
|
|
|
185,695
|
|
|
|
|
175,619
|
|
|
|
37,729
|
|
|
688
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
With no related allowance recorded:
(5)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Primary
(2)
|
|
14,392
|
|
|
|
|
12,849
|
|
|
|
—
|
|
|
—
|
|
|
|
14,076
|
|
|
|
|
12,305
|
|
|
|
—
|
|
|
—
|
|
||||||||
Government
(3)
|
|
66
|
|
|
|
|
61
|
|
|
|
—
|
|
|
—
|
|
|
|
120
|
|
|
|
|
120
|
|
|
|
—
|
|
|
—
|
|
||||||||
Alt-A
|
|
3,396
|
|
|
|
|
2,595
|
|
|
|
—
|
|
|
—
|
|
|
|
3,290
|
|
|
|
|
2,428
|
|
|
|
—
|
|
|
—
|
|
||||||||
Other
(4)
|
|
1,069
|
|
|
|
|
907
|
|
|
|
—
|
|
|
—
|
|
|
|
1,039
|
|
|
|
|
868
|
|
|
|
—
|
|
|
—
|
|
||||||||
Total single-family
|
|
18,923
|
|
|
|
|
16,412
|
|
|
|
—
|
|
|
—
|
|
|
|
18,525
|
|
|
|
|
15,721
|
|
|
|
—
|
|
|
—
|
|
||||||||
Multifamily
|
|
1,706
|
|
|
|
|
1,715
|
|
|
|
—
|
|
|
—
|
|
|
|
1,927
|
|
|
|
|
1,939
|
|
|
|
—
|
|
|
—
|
|
||||||||
Total individually impaired loans with no related allowance recorded
|
|
20,629
|
|
|
|
|
18,127
|
|
|
|
—
|
|
|
—
|
|
|
|
20,452
|
|
|
|
|
17,660
|
|
|
|
—
|
|
|
—
|
|
||||||||
Total individually impaired loans
(6)
|
|
$
|
205,500
|
|
|
|
|
$
|
192,893
|
|
|
|
$
|
36,838
|
|
|
$
|
636
|
|
|
|
$
|
206,147
|
|
|
|
|
$
|
193,279
|
|
|
|
$
|
37,729
|
|
|
$
|
688
|
|
|
For the Three Months Ended March 31,
|
||||||||||||||||||||||||||||||||||
|
2014
|
|
2013
|
||||||||||||||||||||||||||||||||
|
Average Recorded Investment
|
|
Total Interest Income Recognized
(7)
|
|
Interest Income Recognized on a Cash Basis
|
|
Average Recorded Investment
|
|
Total Interest Income Recognized
(7)
|
|
Interest Income Recognized on a Cash Basis
|
||||||||||||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||||||||||||||
Individually impaired loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
With related allowance recorded:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Primary
(2)
|
|
$
|
123,465
|
|
|
|
|
$
|
1,094
|
|
|
|
|
$
|
140
|
|
|
|
|
$
|
125,968
|
|
|
|
|
$
|
1,102
|
|
|
|
|
$
|
173
|
|
|
Government
(3)
|
|
238
|
|
|
|
|
3
|
|
|
|
|
—
|
|
|
|
|
208
|
|
|
|
|
3
|
|
|
|
|
—
|
|
|
||||||
Alt-A
|
|
34,337
|
|
|
|
|
270
|
|
|
|
|
28
|
|
|
|
|
35,534
|
|
|
|
|
277
|
|
|
|
|
39
|
|
|
||||||
Other
(4)
|
|
14,910
|
|
|
|
|
103
|
|
|
|
|
11
|
|
|
|
|
15,984
|
|
|
|
|
109
|
|
|
|
|
14
|
|
|
||||||
Total single-family
|
|
172,950
|
|
|
|
|
1,470
|
|
|
|
|
179
|
|
|
|
|
177,694
|
|
|
|
|
1,491
|
|
|
|
|
226
|
|
|
||||||
Multifamily
|
|
2,086
|
|
|
|
|
23
|
|
|
|
|
—
|
|
|
|
|
2,607
|
|
|
|
|
31
|
|
|
|
|
—
|
|
|
||||||
Total individually impaired loans with related allowance recorded
|
|
175,036
|
|
|
|
|
1,493
|
|
|
|
|
179
|
|
|
|
|
180,301
|
|
|
|
|
1,522
|
|
|
|
|
226
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
With no related allowance recorded:
(5)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Primary
(2)
|
|
12,646
|
|
|
|
|
185
|
|
|
|
|
48
|
|
|
|
|
10,830
|
|
|
|
|
641
|
|
|
|
|
59
|
|
|
||||||
Government
(3)
|
|
93
|
|
|
|
|
1
|
|
|
|
|
—
|
|
|
|
|
109
|
|
|
|
|
2
|
|
|
|
|
—
|
|
|
||||||
Alt-A
|
|
2,520
|
|
|
|
|
41
|
|
|
|
|
10
|
|
|
|
|
2,078
|
|
|
|
|
175
|
|
|
|
|
10
|
|
|
||||||
Other
(4)
|
|
891
|
|
|
|
|
11
|
|
|
|
|
2
|
|
|
|
|
662
|
|
|
|
|
63
|
|
|
|
|
5
|
|
|
||||||
Total single-family
|
|
16,150
|
|
|
|
|
238
|
|
|
|
|
60
|
|
|
|
|
13,679
|
|
|
|
|
881
|
|
|
|
|
74
|
|
|
||||||
Multifamily
|
|
1,826
|
|
|
|
|
20
|
|
|
|
|
—
|
|
|
|
|
1,686
|
|
|
|
|
22
|
|
|
|
|
1
|
|
|
||||||
Total individually impaired loans with no related allowance recorded
|
|
17,976
|
|
|
|
|
258
|
|
|
|
|
60
|
|
|
|
|
15,365
|
|
|
|
|
903
|
|
|
|
|
75
|
|
|
||||||
Total individually impaired loans
(6)
|
|
$
|
193,012
|
|
|
|
|
$
|
1,751
|
|
|
|
|
$
|
239
|
|
|
|
|
$
|
195,666
|
|
|
|
|
$
|
2,425
|
|
|
|
|
$
|
301
|
|
|
(1)
|
Recorded investment consists of unpaid principal balance, unamortized premiums, discounts and other cost basis adjustments, and accrued interest receivable.
|
(2)
|
Consists of mortgage loans that are not included in other loan classes.
|
(3)
|
Consists of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies that are not Alt-A.
|
(4)
|
Includes loans with higher-risk characteristics, such as interest-only loans and negative-amortizing loans, that are neither government nor Alt-A.
|
(5)
|
The discounted cash flows or collateral value equals or exceeds the carrying value of the loan and, as such, no valuation allowance is required.
|
(6)
|
Includes single-family loans restructured in a TDR with a recorded investment of
$187.9 billion
and
$187.6 billion
as of
March 31, 2014
and
December 31, 2013
, respectively. Includes multifamily loans restructured in a TDR with a recorded investment of
$897 million
and
$911 million
as of
March 31, 2014
and
December 31, 2013
, respectively.
|
(7)
|
Total single-family interest income recognized of
$1.7 billion
for the three months ended March 31, 2014 consists of
$1.4 billion
of contractual interest and
$275 million
of effective yield adjustments. Total single-family interest income recognized of
$2.4 billion
for the three months ended March 31, 2013 consists of
$1.4 billion
of contractual interest and
$941 million
of effective yield adjustments.
|
|
For the Three Months Ended March 31,
|
||||||||||||||||||||
|
2014
|
|
2013
|
||||||||||||||||||
|
Number of Loans
|
|
Recorded
Investment
(1)
|
|
Number of Loans
|
|
Recorded
Investment
(1)
|
||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Primary
(2)
|
|
28,842
|
|
|
|
|
$
|
4,110
|
|
|
|
|
38,251
|
|
|
|
|
$
|
5,644
|
|
|
Government
(3)
|
|
62
|
|
|
|
|
8
|
|
|
|
|
90
|
|
|
|
|
11
|
|
|
||
Alt-A
|
|
4,396
|
|
|
|
|
740
|
|
|
|
|
7,110
|
|
|
|
|
1,223
|
|
|
||
Other
(4)
|
|
1,038
|
|
|
|
|
219
|
|
|
|
|
2,057
|
|
|
|
|
452
|
|
|
||
Total single-family
|
|
34,338
|
|
|
|
|
5,077
|
|
|
|
|
47,508
|
|
|
|
|
7,330
|
|
|
||
Multifamily
|
|
6
|
|
|
|
|
34
|
|
|
|
|
8
|
|
|
|
|
33
|
|
|
||
Total troubled debt restructurings
|
|
34,344
|
|
|
|
|
$
|
5,111
|
|
|
|
|
47,516
|
|
|
|
|
$
|
7,363
|
|
|
(1)
|
Recorded investment consists of unpaid principal balance, unamortized premiums, discounts and other cost basis adjustments, and accrued interest receivable. Based on the nature of our modification programs, which do not include principal or past-due interest forgiveness, there is not a material difference between the recorded investment in our loans pre- and post- modification, therefore amounts represent recorded investment post-modification.
|
(2)
|
Consists of mortgage loans that are not included in other loan classes.
|
(3)
|
Consists of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies that are not Alt-A.
|
(4)
|
Includes loans with higher-risk characteristics, such as interest-only loans and negative-amortizing loans, that are neither government nor Alt-A.
|
|
For the Three Months Ended March 31,
|
||||||||||||||||||||
|
2014
|
|
2013
|
||||||||||||||||||
|
Number of Loans
|
|
Recorded
Investment
(1)
|
|
Number of Loans
|
|
Recorded
Investment
(1)
|
||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||
Single-family:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Primary
(2)
|
|
8,598
|
|
|
|
|
$
|
1,310
|
|
|
|
|
12,060
|
|
|
|
|
$
|
1,867
|
|
|
Government
(3)
|
|
18
|
|
|
|
|
2
|
|
|
|
|
29
|
|
|
|
|
4
|
|
|
||
Alt-A
|
|
1,444
|
|
|
|
|
260
|
|
|
|
|
2,672
|
|
|
|
|
484
|
|
|
||
Other
(4)
|
|
504
|
|
|
|
|
115
|
|
|
|
|
823
|
|
|
|
|
185
|
|
|
||
Total single-family
|
|
10,564
|
|
|
|
|
1,687
|
|
|
|
|
15,584
|
|
|
|
|
2,540
|
|
|
||
Multifamily
|
|
4
|
|
|
|
|
14
|
|
|
|
|
3
|
|
|
|
|
15
|
|
|
||
Total TDRs that subsequently defaulted
|
|
10,568
|
|
|
|
|
$
|
1,701
|
|
|
|
|
15,587
|
|
|
|
|
$
|
2,555
|
|
|
(1)
|
Recorded investment consists of unpaid principal balance, unamortized premiums, discounts and other cost basis adjustments, and accrued interest receivable. Represents our recorded investment in the loan at time of payment default.
|
(2)
|
Consists of mortgage loans that are not included in other loan classes.
|
(3)
|
Consists of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies that are not Alt-A.
|
(4)
|
Includes loans with higher-risk characteristics, such as interest-only loans and negative-amortizing loans, that are neither government nor Alt-A.
|
|
For the Three Months Ended March 31,
|
||||||||||||||||||||||||||
|
2014
|
|
2013
|
||||||||||||||||||||||||
|
Of Fannie Mae
|
|
Of Consolidated Trusts
|
|
Total
|
|
Of Fannie Mae
|
|
Of Consolidated Trusts
|
|
Total
|
||||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||||||
Single-family allowance for loan losses:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Beginning balance
|
$
|
40,202
|
|
|
|
$
|
3,105
|
|
|
|
$
|
43,307
|
|
|
$
|
49,848
|
|
|
|
$
|
7,839
|
|
|
|
$
|
57,687
|
|
(Benefit) provision for loan losses
(1)
|
(882
|
)
|
|
|
38
|
|
|
|
(844
|
)
|
|
(436
|
)
|
|
|
(403
|
)
|
|
|
(839
|
)
|
||||||
Charge-offs
(2)
|
(1,447
|
)
|
|
|
(101
|
)
|
|
|
(1,548
|
)
|
|
(2,670
|
)
|
|
|
(49
|
)
|
|
|
(2,719
|
)
|
||||||
Recoveries
|
320
|
|
|
|
71
|
|
|
|
391
|
|
|
1,027
|
|
|
|
245
|
|
|
|
1,272
|
|
||||||
Transfers
(3)
|
420
|
|
|
|
(420
|
)
|
|
|
—
|
|
|
1,123
|
|
|
|
(1,123
|
)
|
|
|
—
|
|
||||||
Other
(4)
|
133
|
|
|
|
9
|
|
|
|
142
|
|
|
75
|
|
|
|
25
|
|
|
|
100
|
|
||||||
Ending balance
|
$
|
38,746
|
|
|
|
$
|
2,702
|
|
|
|
$
|
41,448
|
|
|
$
|
48,967
|
|
|
|
$
|
6,534
|
|
|
|
$
|
55,501
|
|
Multifamily allowance for loan losses:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Beginning balance
|
$
|
319
|
|
|
|
$
|
220
|
|
|
|
$
|
539
|
|
|
$
|
671
|
|
|
|
$
|
437
|
|
|
|
$
|
1,108
|
|
Benefit for loan losses
(1)
|
(12
|
)
|
|
|
(16
|
)
|
|
|
(28
|
)
|
|
(91
|
)
|
|
|
(54
|
)
|
|
|
(145
|
)
|
||||||
Charge-offs
(2)
|
(51
|
)
|
|
|
—
|
|
|
|
(51
|
)
|
|
(1
|
)
|
|
|
—
|
|
|
|
(1
|
)
|
||||||
Transfers
(3)
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
9
|
|
|
|
(9
|
)
|
|
|
—
|
|
||||||
Other
(4)
|
2
|
|
|
|
1
|
|
|
|
3
|
|
|
(2
|
)
|
|
|
—
|
|
|
|
(2
|
)
|
||||||
Ending balance
|
$
|
258
|
|
|
|
$
|
205
|
|
|
|
$
|
463
|
|
|
$
|
586
|
|
|
|
$
|
374
|
|
|
|
$
|
960
|
|
Total allowance for loan losses:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Beginning balance
|
$
|
40,521
|
|
|
|
$
|
3,325
|
|
|
|
$
|
43,846
|
|
|
$
|
50,519
|
|
|
|
$
|
8,276
|
|
|
|
$
|
58,795
|
|
(Benefit) provision for loan losses
(1)
|
(894
|
)
|
|
|
22
|
|
|
|
(872
|
)
|
|
(527
|
)
|
|
|
(457
|
)
|
|
|
(984
|
)
|
||||||
Charge-offs
(2)(5)
|
(1,498
|
)
|
|
|
(101
|
)
|
|
|
(1,599
|
)
|
|
(2,671
|
)
|
|
|
(49
|
)
|
|
|
(2,720
|
)
|
||||||
Recoveries
|
320
|
|
|
|
71
|
|
|
|
391
|
|
|
1,027
|
|
|
|
245
|
|
|
|
1,272
|
|
||||||
Transfers
(3)
|
420
|
|
|
|
(420
|
)
|
|
|
—
|
|
|
1,132
|
|
|
|
(1,132
|
)
|
|
|
—
|
|
||||||
Other
(4)
|
135
|
|
|
|
10
|
|
|
|
145
|
|
|
73
|
|
|
|
25
|
|
|
|
98
|
|
||||||
Ending balance
|
$
|
39,004
|
|
|
|
$
|
2,907
|
|
|
|
$
|
41,911
|
|
|
$
|
49,553
|
|
|
|
$
|
6,908
|
|
|
|
$
|
56,461
|
|
(1)
|
(Benefit) provision for loan losses is included in “Benefit for credit losses” in our condensed consolidated statements of operations and comprehensive income.
|
(2)
|
While we purchase the substantial majority of loans that are four or more months delinquent from our MBS trusts, we do not exercise this option to purchase loans during a forbearance period. Charge-offs of consolidated trusts generally represent loans that remained in our consolidated trusts at the time of default.
|
(3)
|
Includes transfers from trusts for delinquent loan purchases.
|
(4)
|
Amounts represent the net activity recorded in our allowances for accrued interest receivable and preforeclosure property taxes and insurance receivable from borrowers. The (benefit) provision for loan losses, charge-offs, recoveries and transfer activity included in this table reflect all changes for both the allowance for loan losses and the valuation allowances for accrued interest and preforeclosure property taxes and insurance receivable that relate to the mortgage loans.
|
(5)
|
Total charge-offs include accrued interest of
$94 million
and
$115 million
for the
three months ended March 31, 2014 and 2013
, respectively.
|
|
As of
|
||||||||||||||||||||||||||
|
March 31, 2014
|
|
December 31, 2013
|
||||||||||||||||||||||||
|
Single-Family
|
|
Multifamily
|
|
Total
|
|
Single-Family
|
|
Multifamily
|
|
Total
|
||||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||||||
Allowance for loan losses by segment:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Individually impaired loans
(1)
|
$
|
36,580
|
|
|
|
$
|
258
|
|
|
|
$
|
36,838
|
|
|
$
|
37,423
|
|
|
|
$
|
306
|
|
|
|
$
|
37,729
|
|
Collectively reserved loans
|
4,868
|
|
|
|
205
|
|
|
|
5,073
|
|
|
5,884
|
|
|
|
233
|
|
|
|
6,117
|
|
||||||
Total allowance for loan losses
|
$
|
41,448
|
|
|
|
$
|
463
|
|
|
|
$
|
41,911
|
|
|
$
|
43,307
|
|
|
|
$
|
539
|
|
|
|
$
|
43,846
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Recorded investment in loans by segment:
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Individually impaired loans
(1)
|
$
|
189,281
|
|
|
|
$
|
3,612
|
|
|
|
$
|
192,893
|
|
|
$
|
189,064
|
|
|
|
$
|
4,215
|
|
|
|
$
|
193,279
|
|
Collectively reserved loans
|
2,680,477
|
|
|
|
179,747
|
|
|
|
2,860,224
|
|
|
2,689,627
|
|
|
|
181,763
|
|
|
|
2,871,390
|
|
||||||
Total recorded investment in loans
|
$
|
2,869,758
|
|
|
|
$
|
183,359
|
|
|
|
$
|
3,053,117
|
|
|
$
|
2,878,691
|
|
|
|
$
|
185,978
|
|
|
|
$
|
3,064,669
|
|
(1)
|
Includes acquired credit-impaired loans.
|
(2)
|
Recorded investment consists of unpaid principal balance, unamortized premiums, discounts and other cost basis adjustments, and accrued interest receivable.
|
|
As of
|
||||||||||
|
March 31, 2014
|
|
December 31, 2013
|
||||||||
|
(Dollars in millions)
|
||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
||||
Fannie Mae
|
|
$
|
5,983
|
|
|
|
|
$
|
5,870
|
|
|
Freddie Mac
|
|
1,657
|
|
|
|
|
1,839
|
|
|
||
Ginnie Mae
|
|
248
|
|
|
|
|
407
|
|
|
||
Alt-A private-label securities
|
|
1,488
|
|
|
|
|
1,516
|
|
|
||
Subprime private-label securities
|
|
1,453
|
|
|
|
|
1,448
|
|
|
||
CMBS
|
|
2,676
|
|
|
|
|
2,718
|
|
|
||
Mortgage revenue bonds
|
|
601
|
|
|
|
|
565
|
|
|
||
Other mortgage-related securities
|
|
102
|
|
|
|
|
99
|
|
|
||
Total mortgage-related securities
|
|
14,208
|
|
|
|
|
14,462
|
|
|
||
U.S. Treasury securities
|
|
17,587
|
|
|
|
|
16,306
|
|
|
||
Total trading securities
|
|
$
|
31,795
|
|
|
|
|
$
|
30,768
|
|
|
|
For the Three
|
||||||||||
|
Months Ended
|
||||||||||
|
March 31,
|
||||||||||
|
2014
|
|
2013
|
||||||||
|
(Dollars in millions)
|
||||||||||
Net trading gains
|
|
$
|
145
|
|
|
|
|
$
|
396
|
|
|
Net trading gains recognized in the period related to securities still held at period end
|
|
135
|
|
|
|
|
397
|
|
|
|
|
For the Three
|
|
||||||||
|
|
Months Ended
|
|
||||||||
|
|
March 31,
|
|
||||||||
|
2014
|
|
2013
|
||||||||
|
(Dollars in millions)
|
|
|||||||||
Gross realized gains
|
|
$
|
3
|
|
|
|
|
$
|
9
|
|
|
Gross realized losses
|
|
2
|
|
|
|
|
4
|
|
|
||
Total proceeds
(1)
|
|
35
|
|
|
|
|
94
|
|
|
(1)
|
Excludes proceeds from the initial sale of securities from new portfolio securitizations included in “Note 2, Consolidations and Transfers of Financial Assets.”
|
|
|
As of March 31, 2014
|
|||||||||||||||||||||||||
|
Total Amortized Cost
(1)
|
|
Gross Unrealized Gains
|
|
Gross Unrealized Losses - OTTI
(2)
|
|
Gross Unrealized Losses - Other
(3)
|
|
Total Fair Value
|
||||||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||||||
Fannie Mae
|
|
$
|
5,901
|
|
|
|
|
$
|
395
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
(41
|
)
|
|
|
$
|
6,255
|
|
Freddie Mac
|
|
6,048
|
|
|
|
|
467
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
6,515
|
|
|||||
Ginnie Mae
|
|
486
|
|
|
|
|
71
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
557
|
|
|||||
Alt-A private-label securities
|
|
6,107
|
|
|
|
|
1,260
|
|
|
|
|
(21
|
)
|
|
|
|
—
|
|
|
|
7,346
|
|
|||||
Subprime private-label securities
|
|
5,975
|
|
|
|
|
1,141
|
|
|
|
|
(40
|
)
|
|
|
|
(46
|
)
|
|
|
7,030
|
|
|||||
CMBS
|
|
1,490
|
|
|
|
|
79
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
1,569
|
|
|||||
Mortgage revenue bonds
|
|
5,205
|
|
|
|
|
57
|
|
|
|
|
(158
|
)
|
|
|
|
(96
|
)
|
|
|
5,008
|
|
|||||
Other mortgage-related securities
|
|
2,861
|
|
|
|
|
180
|
|
|
|
|
(15
|
)
|
|
|
|
(178
|
)
|
|
|
2,848
|
|
|||||
Total
|
|
$
|
34,073
|
|
|
|
|
$
|
3,650
|
|
|
|
|
$
|
(234
|
)
|
|
|
|
$
|
(361
|
)
|
|
|
$
|
37,128
|
|
|
|
As of December 31, 2013
|
|||||||||||||||||||||||||
|
Total Amortized Cost
(1)
|
|
Gross Unrealized Gains
|
|
Gross Unrealized Losses - OTTI
(2)
|
|
Gross Unrealized Losses - Other
(3)
|
|
Total Fair Value
|
||||||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||||||
Fannie Mae
|
|
$
|
6,227
|
|
|
|
|
$
|
390
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
(44
|
)
|
|
|
$
|
6,573
|
|
Freddie Mac
|
|
6,365
|
|
|
|
|
477
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
6,842
|
|
|||||
Ginnie Mae
|
|
512
|
|
|
|
|
76
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
588
|
|
|||||
Alt-A private-label securities
|
|
6,240
|
|
|
|
|
1,151
|
|
|
|
|
(40
|
)
|
|
|
|
(2
|
)
|
|
|
7,349
|
|
|||||
Subprime private-label securities
|
|
6,232
|
|
|
|
|
991
|
|
|
|
|
(102
|
)
|
|
|
|
(53
|
)
|
|
|
7,068
|
|
|||||
CMBS
|
|
1,526
|
|
|
|
|
80
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
1,606
|
|
|||||
Mortgage revenue bonds
|
|
5,645
|
|
|
|
|
35
|
|
|
|
|
(228
|
)
|
|
|
|
(196
|
)
|
|
|
5,256
|
|
|||||
Other mortgage-related securities
|
|
2,943
|
|
|
|
|
164
|
|
|
|
|
(15
|
)
|
|
|
|
(203
|
)
|
|
|
2,889
|
|
|||||
Total
|
|
$
|
35,690
|
|
|
|
|
$
|
3,364
|
|
|
|
|
$
|
(385
|
)
|
|
|
|
$
|
(498
|
)
|
|
|
$
|
38,171
|
|
(1)
|
Amortized cost consists of unpaid principal balance, unamortized premiums, discounts and other cost basis adjustments as well as net other-than-temporary impairments (“OTTI”) recognized in our condensed consolidated statements of operations and comprehensive income.
|
(2)
|
Represents the noncredit component of other-than-temporary impairments losses recorded in “Accumulated other comprehensive income” as well as cumulative changes in fair value of securities for which we previously recognized the credit component of other-than-temporary impairments.
|
(3)
|
Represents the gross unrealized losses on securities for which we have not recognized other-than-temporary impairments.
|
|
|
As of March 31, 2014
|
|||||||||||||||||
|
Less Than 12 Consecutive Months
|
|
12 Consecutive Months or Longer
|
||||||||||||||||
|
Gross Unrealized Losses
|
|
Fair Value
|
|
Gross Unrealized Losses
|
|
Fair Value
|
||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||
Fannie Mae
|
|
$
|
(36
|
)
|
|
|
$
|
825
|
|
|
|
$
|
(5
|
)
|
|
|
$
|
94
|
|
Alt-A private-label securities
|
|
(4
|
)
|
|
|
216
|
|
|
|
(17
|
)
|
|
|
206
|
|
||||
Subprime private-label securities
|
|
(21
|
)
|
|
|
299
|
|
|
|
(65
|
)
|
|
|
928
|
|
||||
Mortgage revenue bonds
|
|
(50
|
)
|
|
|
749
|
|
|
|
(204
|
)
|
|
|
1,040
|
|
||||
Other mortgage-related securities
|
|
—
|
|
|
|
—
|
|
|
|
(193
|
)
|
|
|
1,060
|
|
||||
Total
|
|
$
|
(111
|
)
|
|
|
$
|
2,089
|
|
|
|
$
|
(484
|
)
|
|
|
$
|
3,328
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
As of December 31, 2013
|
|||||||||||||||||
|
Less Than 12 Consecutive Months
|
|
12 Consecutive Months or Longer
|
||||||||||||||||
|
Gross Unrealized Losses
|
|
Fair Value
|
|
Gross Unrealized Losses
|
|
Fair Value
|
||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||
Fannie Mae
|
|
$
|
(40
|
)
|
|
|
$
|
975
|
|
|
|
$
|
(4
|
)
|
|
|
$
|
126
|
|
Alt-A private-label securities
|
|
(12
|
)
|
|
|
490
|
|
|
|
(30
|
)
|
|
|
308
|
|
||||
Subprime private-label securities
|
|
(24
|
)
|
|
|
448
|
|
|
|
(131
|
)
|
|
|
1,332
|
|
||||
Mortgage revenue bonds
|
|
(147
|
)
|
|
|
1,662
|
|
|
|
(277
|
)
|
|
|
970
|
|
||||
Other mortgage-related securities
|
|
—
|
|
|
|
5
|
|
|
|
(218
|
)
|
|
|
1,066
|
|
||||
Total
|
|
$
|
(223
|
)
|
|
|
$
|
3,580
|
|
|
|
$
|
(660
|
)
|
|
|
$
|
3,802
|
|
|
As of March 31, 2014
|
||||||||||||||||||||||||||
|
|
|
Alt-A
|
||||||||||||||||||||||||
|
Subprime
|
|
Option ARM
|
|
Fixed Rate
|
|
Variable Rate
|
|
Hybrid Rate
|
||||||||||||||||||
|
(Dollars in millions)
|
|
|||||||||||||||||||||||||
Vintage Year
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
2004 & Prior:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Unpaid principal balance
|
$
|
437
|
|
|
|
$
|
207
|
|
|
|
|
$
|
967
|
|
|
|
|
$
|
163
|
|
|
|
|
$
|
552
|
|
|
Weighted average collateral default
(1)
|
29.6
|
%
|
|
|
24.2
|
%
|
|
|
|
10.1
|
%
|
|
|
|
20.0
|
%
|
|
|
|
14.2
|
%
|
|
|||||
Weighted average collateral severities
(2)
|
55.7
|
|
|
|
52.7
|
|
|
|
|
51.9
|
|
|
|
|
40.7
|
|
|
|
|
36.7
|
|
|
|||||
Weighted average voluntary prepayment rates
(3)
|
7.3
|
|
|
|
8.3
|
|
|
|
|
12.1
|
|
|
|
|
8.6
|
|
|
|
|
9.0
|
|
|
|||||
Average credit enhancement
(4)
|
46.4
|
|
|
|
4.4
|
|
|
|
|
11.2
|
|
|
|
|
21.6
|
|
|
|
|
6.5
|
|
|
|||||
2005:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Unpaid principal balance
|
$
|
44
|
|
|
|
$
|
800
|
|
|
|
|
$
|
858
|
|
|
|
|
$
|
405
|
|
|
|
|
$
|
1,382
|
|
|
Weighted average collateral default
(1)
|
50.5
|
%
|
|
|
35.7
|
%
|
|
|
|
23.9
|
%
|
|
|
|
34.7
|
%
|
|
|
|
27.9
|
%
|
|
|||||
Weighted average collateral severities
(2)
|
60.7
|
|
|
|
54.6
|
|
|
|
|
54.0
|
|
|
|
|
47.4
|
|
|
|
|
44.5
|
|
|
|||||
Weighted average voluntary prepayment rates
(3)
|
2.8
|
|
|
|
7.1
|
|
|
|
|
9.7
|
|
|
|
|
7.9
|
|
|
|
|
8.6
|
|
|
|||||
Average credit enhancement
(4)
|
48.4
|
|
|
|
6.9
|
|
|
|
|
0.6
|
|
|
|
|
12.4
|
|
|
|
|
2.9
|
|
|
|||||
2006:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Unpaid principal balance
|
$
|
9,252
|
|
|
|
$
|
810
|
|
|
|
|
$
|
404
|
|
|
|
|
$
|
1,115
|
|
|
|
|
$
|
1,227
|
|
|
Weighted average collateral default
(1)
|
54.5
|
%
|
|
|
43.8
|
%
|
|
|
|
25.2
|
%
|
|
|
|
38.7
|
%
|
|
|
|
19.6
|
%
|
|
|||||
Weighted average collateral severities
(2)
|
62.3
|
|
|
|
48.8
|
|
|
|
|
55.8
|
|
|
|
|
48.4
|
|
|
|
|
44.0
|
|
|
|||||
Weighted average voluntary prepayment rates
(3)
|
2.3
|
|
|
|
5.6
|
|
|
|
|
7.8
|
|
|
|
|
7.4
|
|
|
|
|
9.5
|
|
|
|||||
Average credit enhancement
(4)
|
9.6
|
|
|
|
3.5
|
|
|
|
|
0.1
|
|
|
|
|
0.6
|
|
|
|
|
—
|
|
|
|||||
2007 & After:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Unpaid principal balance
|
$
|
468
|
|
|
|
$
|
—
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
85
|
|
|
Weighted average collateral default
(1)
|
51.1
|
%
|
|
|
N/A
|
|
|
|
|
N/A
|
|
|
|
|
N/A
|
|
|
|
|
23.0
|
%
|
|
|||||
Weighted average collateral severities
(2)
|
38.2
|
|
|
|
N/A
|
|
|
|
|
N/A
|
|
|
|
|
N/A
|
|
|
|
|
41.4
|
|
|
|||||
Weighted average voluntary prepayment rates
(3)
|
1.6
|
|
|
|
N/A
|
|
|
|
|
N/A
|
|
|
|
|
N/A
|
|
|
|
|
8.9
|
|
|
|||||
Average credit enhancement
(4)
|
22.8
|
|
|
|
N/A
|
|
|
|
|
N/A
|
|
|
|
|
N/A
|
|
|
|
|
20.2
|
|
|
|||||
Total:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Unpaid principal balance
|
$
|
10,201
|
|
|
|
$
|
1,817
|
|
|
|
|
$
|
2,229
|
|
|
|
|
$
|
1,683
|
|
|
|
|
$
|
3,246
|
|
|
Weighted average collateral default
(1)
|
53.2
|
%
|
|
|
38.0
|
%
|
|
|
|
18.2
|
%
|
|
|
|
35.9
|
%
|
|
|
|
22.3
|
%
|
|
|||||
Weighted average collateral severities
(2)
|
61.0
|
|
|
|
51.5
|
|
|
|
|
54.0
|
|
|
|
|
47.8
|
|
|
|
|
43.4
|
|
|
|||||
Weighted average voluntary prepayment rates
(3)
|
2.5
|
|
|
|
6.6
|
|
|
|
|
10.4
|
|
|
|
|
7.6
|
|
|
|
|
9.0
|
|
|
|||||
Average credit enhancement
(4)
|
12.0
|
|
|
|
5.1
|
|
|
|
|
5.1
|
|
|
|
|
5.5
|
|
|
|
|
2.8
|
|
|
(1)
|
The expected remaining cumulative default rate of the collateral pool backing the securities, as a percentage of the current collateral unpaid principal balance, weighted by security unpaid principal balance.
|
(2)
|
The expected remaining loss given default of the collateral pool backing the securities, calculated as the ratio of remaining cumulative loss divided by cumulative defaults, weighted by security unpaid principal balance.
|
(3)
|
The average monthly voluntary prepayment rate, weighted by security unpaid principal balance.
|
(4)
|
The average percent current credit enhancement provided by subordination of other securities. Excludes excess interest projections and monoline bond insurance.
|
|
For the Three Months Ended
|
||||||
|
March 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
|
|
|
5
|
|
||
Additions for the credit component on debt securities for which OTTI was previously recognized
|
39
|
|
|
4
|
|
||
Reductions for securities no longer in portfolio at period end
|
(53
|
)
|
|
(2
|
)
|
||
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
|
(698
|
)
|
|
—
|
|
||
Reductions for amortization resulting from changes in cash flows expected to be collected over the remaining life of the securities
|
(97
|
)
|
|
(85
|
)
|
||
Balance, end of period
|
$
|
7,096
|
|
|
$
|
9,136
|
|
|
|
As of March 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
|
|
$
|
5,901
|
|
|
|
$
|
6,255
|
|
|
|
$
|
—
|
|
|
|
$
|
—
|
|
|
|
$
|
311
|
|
|
|
$
|
329
|
|
|
|
$
|
345
|
|
|
|
$
|
371
|
|
|
|
$
|
5,245
|
|
|
|
$
|
5,555
|
|
Freddie Mac
|
|
6,048
|
|
|
|
6,515
|
|
|
|
—
|
|
|
|
—
|
|
|
|
328
|
|
|
|
348
|
|
|
|
632
|
|
|
|
685
|
|
|
|
5,088
|
|
|
|
5,482
|
|
||||||||||
Ginnie Mae
|
|
486
|
|
|
|
557
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
52
|
|
|
|
59
|
|
|
|
434
|
|
|
|
498
|
|
||||||||||
Alt-A private-label securities
|
|
6,107
|
|
|
|
7,346
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
6,107
|
|
|
|
7,346
|
|
||||||||||
Subprime private-label securities
|
|
5,975
|
|
|
|
7,030
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
5,975
|
|
|
|
7,030
|
|
||||||||||
CMBS
|
|
1,490
|
|
|
|
1,569
|
|
|
|
—
|
|
|
|
—
|
|
|
|
1,402
|
|
|
|
1,479
|
|
|
|
—
|
|
|
|
—
|
|
|
|
88
|
|
|
|
90
|
|
||||||||||
Mortgage revenue bonds
|
|
5,205
|
|
|
|
5,008
|
|
|
|
33
|
|
|
|
34
|
|
|
|
236
|
|
|
|
240
|
|
|
|
558
|
|
|
|
561
|
|
|
|
4,378
|
|
|
|
4,173
|
|
||||||||||
Other mortgage-related securities
|
|
2,861
|
|
|
|
2,848
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
4
|
|
|
|
38
|
|
|
|
40
|
|
|
|
2,823
|
|
|
|
2,804
|
|
||||||||||
Total
|
|
$
|
34,073
|
|
|
|
$
|
37,128
|
|
|
|
$
|
33
|
|
|
|
$
|
34
|
|
|
|
$
|
2,277
|
|
|
|
$
|
2,400
|
|
|
|
$
|
1,625
|
|
|
|
$
|
1,716
|
|
|
|
$
|
30,138
|
|
|
|
$
|
32,978
|
|
|
As of
|
|||||||||||||||||||||||||||
|
March 31, 2014
|
|
|
December 31, 2013
|
||||||||||||||||||||||||
|
Maximum Exposure
(1)
|
Guaranty Obligation
|
|
Maximum Recovery
(2)
|
|
Maximum Exposure
(1)
|
|
Guaranty Obligation
|
|
Maximum Recovery
(2)
|
||||||||||||||||||
|
(Dollars in millions)
|
|||||||||||||||||||||||||||
Non-consolidated Fannie Mae MBS
|
$
|
18,799
|
|
|
|
$
|
226
|
|
|
|
$
|
10,318
|
|
|
|
$
|
19,317
|
|
|
|
$
|
232
|
|
|
|
$
|
10,541
|
|
Other guaranty arrangements
(3)
|
29,845
|
|
|
|
241
|
|
|
|
4,645
|
|
|
|
30,598
|
|
|
|
253
|
|
|
|
4,525
|
|
||||||
Total
|
$
|
48,644
|
|
|
|
$
|
467
|
|
|
|
$
|
14,963
|
|
|
|
$
|
49,915
|
|
|
|
$
|
485
|
|
|
|
$
|
15,066
|
|
(1)
|
Primarily consists of the unpaid principal balance of the underlying mortgage loans.
|
(2)
|
Recoverability of such credit enhancements and recourse is subject to, among other factors, our mortgage insurers’ and financial guarantors’ ability to meet their obligations to us. For information on our mortgage insurers, see “
Note 14, Concentrations of Credit Risk
.”
|
(3)
|
Primarily consists of credit enhancements, long-term standby commitments, and our commitment under the TCLF program.
|
|
As of
|
||||||||||||||||
|
March 31, 2014
(1)
|
|
December 31, 2013
(1)
|
||||||||||||||
|
30 Days Delinquent
|
|
60 Days Delinquent
|
|
Seriously Delinquent
(2)
|
|
30 Days Delinquent
|
|
60 Days Delinquent
|
|
Seriously Delinquent
(2)
|
||||||
Percentage of single-family conventional guaranty book of business
(3)
|
1.23
|
%
|
|
0.37
|
%
|
|
2.33
|
%
|
|
1.41
|
%
|
|
0.44
|
%
|
|
2.54
|
%
|
Percentage of single-family conventional loans
(4)
|
1.40
|
|
|
0.40
|
|
|
2.19
|
|
|
1.64
|
|
|
0.49
|
|
|
2.38
|
|
|
As of
|
||||||||||
|
March 31, 2014
(1)
|
|
December 31, 2013
(1)
|
||||||||
|
Percentage of
Single-Family
Conventional
Guaranty Book of Business
(3)
|
|
Percentage Seriously Delinquent
(2)(5)
|
|
Percentage of
Single-Family
Conventional
Guaranty Book of Business
(3)
|
|
Percentage Seriously Delinquent
(2)(5)
|
||||
Estimated mark-to-market loan-to-value ratio:
|
|
|
|
|
|
|
|
||||
Greater than 100%
|
7
|
%
|
|
11.27
|
%
|
|
7
|
%
|
|
12.22
|
%
|
Geographical distribution:
|
|
|
|
|
|
|
|
||||
California
|
20
|
|
|
0.86
|
|
|
20
|
|
|
0.98
|
|
Florida
|
6
|
|
|
6.12
|
|
|
6
|
|
|
6.89
|
|
Illinois
|
4
|
|
|
2.79
|
|
|
4
|
|
|
3.12
|
|
New Jersey
|
4
|
|
|
6.08
|
|
|
4
|
|
|
6.25
|
|
New York
|
5
|
|
|
4.31
|
|
|
5
|
|
|
4.42
|
|
All other states
|
61
|
|
|
1.70
|
|
|
61
|
|
|
1.85
|
|
Product distribution:
|
|
|
|
|
|
|
|
||||
Alt-A
|
5
|
|
|
8.72
|
|
|
5
|
|
|
9.23
|
|
Subprime
|
*
|
|
16.17
|
|
|
*
|
|
16.93
|
|
||
Vintages:
|
|
|
|
|
|
|
|
||||
2005
|
3
|
|
|
6.81
|
|
|
4
|
|
|
7.26
|
|
2006
|
3
|
|
|
10.58
|
|
|
3
|
|
|
11.26
|
|
2007
|
5
|
|
|
11.53
|
|
|
5
|
|
|
12.18
|
|
2008
|
3
|
|
|
6.40
|
|
|
3
|
|
|
6.69
|
|
All other vintages
|
86
|
|
|
0.96
|
|
|
85
|
|
|
1.02
|
|
Select combined risk characteristics:
|
|
|
|
|
|
|
|
||||
Original LTV ratio > 90% and FICO score < 620
|
1
|
|
|
9.84
|
|
|
1
|
|
|
10.90
|
|
*
|
Represents less than
0.5%
of the single-family conventional guaranty book of business.
|
(1)
|
Consists of the portion of our single-family conventional guaranty book of business for which we have detailed loan level information, which constituted approximately
99%
of our total single-family conventional guaranty book of business as of
March 31, 2014
and
December 31, 2013
.
|
(2)
|
Consists of single-family conventional loans that were
90
days or more past due or in the foreclosure process as of
March 31, 2014
and
December 31, 2013
.
|
(3)
|
Calculated based on the aggregate unpaid principal balance of single-family conventional loans for each category divided by the aggregate unpaid principal balance of loans in our single-family conventional guaranty book of business.
|
(4)
|
Calculated based on the number of single-family conventional loans that were delinquent divided by the total number of loans in our single-family conventional guaranty book of business.
|
(5)
|
Calculated based on the number of single-family conventional loans that were seriously delinquent divided by the total number of single-family conventional loans for each category included in our guaranty book of business.
|
|
As of
|
||||||||||
|
March 31, 2014
(1)(2)
|
|
December 31, 2013
(1)(2)
|
||||||||
|
30 Days Delinquent
|
|
Seriously Delinquent
(3)
|
|
30 Days Delinquent
|
|
Seriously Delinquent
(3)
|
||||
Percentage of multifamily guaranty book of business
|
0.06
|
%
|
|
0.10
|
%
|
|
0.03
|
%
|
|
0.10
|
%
|
|
As of
|
||||||||||
|
March 31, 2014
(1)
|
|
December 31, 2013
(1)
|
||||||||
|
Percentage of Multifamily Guaranty Book of Business
(2)
|
|
Percentage Seriously Delinquent
(3)(4)
|
|
Percentage of Multifamily Guaranty Book of Business
(2)
|
|
Percentage Seriously Delinquent
(3)(4)
|
||||
Original LTV ratio:
|
|
|
|
|
|
|
|
||||
Greater than 80%
|
3
|
%
|
|
0.16
|
%
|
|
3
|
%
|
|
0.23
|
%
|
Less than or equal to 80%
|
97
|
|
|
0.09
|
|
|
97
|
|
|
0.10
|
|
Current debt service coverage ratio less than 1.0
(5)
|
3
|
|
|
0.92
|
|
|
4
|
|
|
1.09
|
|
(1)
|
Consists of the portion of our multifamily guaranty book of business for which we have detailed loan level information, which constituted approximately
99%
of our total multifamily guaranty book of business as of
March 31, 2014
and
December 31, 2013
excluding loans that have been defeased.
|
(2)
|
Calculated based on the aggregate unpaid principal balance of multifamily loans for each category divided by the aggregate unpaid principal balance of loans in our multifamily guaranty book of business.
|
(3)
|
Consists of multifamily loans that were
60
days or more past due as of the dates indicated.
|
(4)
|
Calculated based on the unpaid principal balance of multifamily loans that were seriously delinquent divided by the aggregate unpaid principal balance of multifamily loans for each category included in our guaranty book of business.
|
(5)
|
Our estimates of current DSCRs are based on the latest available income information for these properties. Although we use the most recently available results of our multifamily borrowers, there is a lag in reporting, which typically can range from 3 to 6 months but in some cases may be longer.
|
|
For the Three Months
Ended March 31,
|
||||||
|
2014
|
|
2013
|
||||
|
(Dollars in millions)
|
||||||
Beginning balance — Acquired property
|
$
|
12,307
|
|
|
$
|
11,158
|
|
Additions
|
3,772
|
|
|
3,774
|
|
||
Disposals
|
(3,335
|
)
|
|
(4,213
|
)
|
||
Ending balance — Acquired property
|
$
|
12,744
|
|
|
$
|
10,719
|
|
Beginning balance — Valuation allowance
|
(686
|
)
|
|
(669
|
)
|
||
(Increase) decrease in valuation allowance
|
(98
|
)
|
|
99
|
|
||
Ending balance — Valuation allowance
|
(784
|
)
|
|
(570
|
)
|
||
Ending balance — Acquired property, net
|
$
|
11,960
|
|
|
$
|
10,149
|
|
|
As of
|
||||||||||||||||||||
|
March 31, 2014
|
|
December 31, 2013
|
||||||||||||||||||
|
Outstanding
|
|
Weighted- Average Interest Rate
(1)
|
|
Outstanding
|
|
Weighted- Average Interest Rate
(1)
|
||||||||||||||
|
|
(Dollars in millions)
|
|
||||||||||||||||||
Federal funds purchased and securities sold under agreements to repurchase
(2)
|
|
$
|
25
|
|
|
|
|
—
|
%
|
|
|
|
$
|
—
|
|
|
|
|
—
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fixed-rate short-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Discount notes
(3)
|
|
$
|
65,248
|
|
|
|
|
0.12
|
%
|
|
|
|
$
|
71,933
|
|
|
|
|
0.12
|
%
|
|
Foreign exchange discount notes
(4)
|
|
200
|
|
|
|
|
0.81
|
|
|
|
|
362
|
|
|
|
|
1.07
|
|
|
||
Total short-term debt of Fannie Mae
|
|
65,448
|
|
|
|
|
0.13
|
|
|
|
|
72,295
|
|
|
|
|
0.13
|
|
|
||
Debt of consolidated trusts
|
|
1,900
|
|
|
|
|
0.10
|
|
|
|
|
2,154
|
|
|
|
|
0.09
|
|
|
||
Total short-term debt
|
|
$
|
67,348
|
|
|
|
|
0.12
|
%
|
|
|
|
$
|
74,449
|
|
|
|
|
0.13
|
%
|
|
(1)
|
Includes the effects of discounts, premiums and other cost basis adjustments.
|
(2)
|
Securities sold under agreements to repurchase represent agreements to repurchase for a specified price, with repayment generally occurring on the following day.
|
(3)
|
Represents unsecured general obligations with maturities ranging from
overnight
to
360
days from the date of issuance.
|
(4)
|
Represents foreign exchange discount notes issued in the Euro commercial paper market with maturities ranging from
5
to
360
days which enable investors to hold short-term investments in different currencies. We do not incur foreign exchange risk on these transactions, as we simultaneously enter into foreign currency swaps that have the effect of converting debt that we issue in foreign denominated currencies into U.S. dollars.
|
|
As of
|
||||||||||||||||||||
|
March 31, 2014
|
|
December 31, 2013
|
||||||||||||||||||
|
Maturities
|
|
Outstanding
|
|
Weighted- Average Interest Rate
(1)
|
|
Maturities
|
|
Outstanding
|
|
Weighted- Average Interest Rate
(1)
|
||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||
Senior fixed:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Benchmark notes and bonds
|
2014 - 2030
|
|
|
$
|
197,233
|
|
|
|
2.42
|
%
|
|
2014 - 2030
|
|
|
$
|
212,234
|
|
|
|
2.45
|
%
|
Medium-term notes
(2)
|
2014 - 2023
|
|
|
137,654
|
|
|
|
1.33
|
|
|
2014 - 2023
|
|
|
161,445
|
|
|
|
1.28
|
|
||
Foreign exchange notes and bonds
|
2021 - 2028
|
|
|
662
|
|
|
|
5.40
|
|
|
2021 - 2028
|
|
|
682
|
|
|
|
5.41
|
|
||
Other
(3)
|
2014 - 2038
|
|
|
37,754
|
|
|
|
4.96
|
|
|
2014 - 2038
|
|
|
38,444
|
|
|
|
4.99
|
|
||
Total senior fixed
|
|
|
|
373,303
|
|
|
|
2.28
|
|
|
|
|
|
412,805
|
|
|
|
2.24
|
|
||
Senior floating:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Medium-term notes
(2)
|
2014 - 2019
|
|
|
37,492
|
|
|
|
0.18
|
|
|
2014 - 2019
|
|
|
38,441
|
|
|
|
0.20
|
|
||
Other
(3)(4)
|
2020 - 2037
|
|
|
1,775
|
|
|
|
4.19
|
|
|
2020 - 2037
|
|
|
955
|
|
|
|
5.18
|
|
||
Total senior floating
|
|
|
|
39,267
|
|
|
|
0.35
|
|
|
|
|
|
39,396
|
|
|
|
0.32
|
|
||
Subordinated fixed:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Qualifying subordinated
|
—
|
|
|
—
|
|
|
|
—
|
|
|
2014
|
|
|
1,169
|
|
|
|
5.27
|
|
||
Subordinated debentures
(5)
|
2019
|
|
|
3,589
|
|
|
|
9.92
|
|
|
2019
|
|
|
3,507
|
|
|
|
9.92
|
|
||
Total subordinated fixed
|
|
|
|
3,589
|
|
|
|
9.92
|
|
|
|
|
|
4,676
|
|
|
|
8.76
|
|
||
Secured borrowings
(6)
|
2021 - 2022
|
|
|
246
|
|
|
|
1.87
|
|
|
2021 - 2022
|
|
|
262
|
|
|
|
1.86
|
|
||
Total long-term debt of Fannie Mae
(7)
|
|
|
|
416,405
|
|
|
|
2.16
|
|
|
|
|
|
457,139
|
|
|
|
2.14
|
|
||
Debt of consolidated trusts
(3)
|
2014 - 2054
|
|
|
2,710,942
|
|
|
|
3.28
|
|
|
2014 - 2053
|
|
|
2,702,935
|
|
|
|
3.26
|
|
||
Total long-term debt
|
|
|
|
$
|
3,127,347
|
|
|
|
3.13
|
%
|
|
|
|
|
$
|
3,160,074
|
|
|
|
3.10
|
%
|
(1)
|
Includes the effects of discounts, premiums and other cost basis adjustments.
|
(2)
|
Includes long-term debt with an original contractual maturity of greater than 1 year and up to 10 years, excluding zero-coupon debt.
|
(3)
|
Includes a portion of structured debt instruments that is reported at fair value.
|
(4)
|
Includes credit risk sharing securities issued under our Connecticut Avenue Securities series, which transfers some of the credit risk of our mortgage loans to the investors in these securities.
|
(5)
|
Consists of subordinated debt issued with an interest deferral feature.
|
(6)
|
Represents our remaining liability resulting from the transfer of financial assets from our condensed consolidated balance sheets that did not qualify as a sale under the accounting guidance for the transfer of financial instruments.
|
(7)
|
Reported amounts include unamortized discounts and premiums, other cost basis adjustments and fair value adjustments of
$4.5 billion
and
$4.8 billion
as of
March 31, 2014
and
December 31, 2013
, respectively.
|
|
As of March 31, 2014
|
|
As of December 31, 2013
|
||||||||||||||||||||||||||||
|
Asset Derivatives
|
|
Liability Derivatives
|
|
Asset Derivatives
|
|
Liability Derivatives
|
||||||||||||||||||||||||
|
Notional Amount
|
|
Estimated Fair Value
|
|
Notional Amount
|
|
Estimated Fair Value
|
|
Notional Amount
|
|
Estimated Fair Value
|
|
Notional Amount
|
|
Estimated Fair Value
|
||||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||||||||||
Risk management derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Swaps:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Pay-fixed
|
$
|
68,984
|
|
|
$
|
3,746
|
|
|
$
|
94,488
|
|
|
$
|
(5,083
|
)
|
|
$
|
68,637
|
|
|
$
|
5,378
|
|
|
$
|
93,428
|
|
|
$
|
(4,759
|
)
|
Receive-fixed
|
67,408
|
|
|
3,842
|
|
|
144,897
|
|
|
(2,833
|
)
|
|
67,527
|
|
|
3,320
|
|
|
156,250
|
|
|
(3,813
|
)
|
||||||||
Basis
|
23,414
|
|
|
70
|
|
|
600
|
|
|
—
|
|
|
27,014
|
|
|
36
|
|
|
600
|
|
|
—
|
|
||||||||
Foreign currency
|
368
|
|
|
126
|
|
|
492
|
|
|
(26
|
)
|
|
389
|
|
|
120
|
|
|
653
|
|
|
(38
|
)
|
||||||||
Swaptions:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Pay-fixed
|
34,450
|
|
|
259
|
|
|
46,025
|
|
|
(475
|
)
|
|
33,400
|
|
|
445
|
|
|
48,025
|
|
|
(600
|
)
|
||||||||
Receive-fixed
|
8,000
|
|
|
154
|
|
|
49,025
|
|
|
(572
|
)
|
|
8,000
|
|
|
117
|
|
|
48,025
|
|
|
(484
|
)
|
||||||||
Other
(1)
|
769
|
|
|
29
|
|
|
12
|
|
|
(1
|
)
|
|
769
|
|
|
28
|
|
|
13
|
|
|
(1
|
)
|
||||||||
Total gross risk management derivatives
|
203,393
|
|
|
8,226
|
|
|
335,539
|
|
|
(8,990
|
)
|
|
205,736
|
|
|
9,444
|
|
|
346,994
|
|
|
(9,695
|
)
|
||||||||
Accrued interest receivable (payable)
|
—
|
|
|
927
|
|
|
—
|
|
|
(1,143
|
)
|
|
—
|
|
|
786
|
|
|
—
|
|
|
(930
|
)
|
||||||||
Netting adjustment
(2)
|
—
|
|
|
(8,422
|
)
|
|
—
|
|
|
10,042
|
|
|
—
|
|
|
(8,422
|
)
|
|
—
|
|
|
9,370
|
|
||||||||
Total net risk management derivatives
|
$
|
203,393
|
|
|
$
|
731
|
|
|
$
|
335,539
|
|
|
$
|
(91
|
)
|
|
$
|
205,736
|
|
|
$
|
1,808
|
|
|
$
|
346,994
|
|
|
$
|
(1,255
|
)
|
Mortgage commitment derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Mortgage commitments to purchase whole loans
|
$
|
2,205
|
|
|
$
|
3
|
|
|
$
|
3,665
|
|
|
$
|
(11
|
)
|
|
$
|
1,138
|
|
|
$
|
1
|
|
|
$
|
4,353
|
|
|
$
|
(31
|
)
|
Forward contracts to purchase mortgage-related securities
|
11,553
|
|
|
24
|
|
|
21,370
|
|
|
(62
|
)
|
|
3,276
|
|
|
4
|
|
|
20,861
|
|
|
(168
|
)
|
||||||||
Forward contracts to sell mortgage-related securities
|
27,810
|
|
|
78
|
|
|
18,301
|
|
|
(45
|
)
|
|
35,423
|
|
|
260
|
|
|
7,886
|
|
|
(15
|
)
|
||||||||
Total mortgage commitment derivatives
|
$
|
41,568
|
|
|
$
|
105
|
|
|
$
|
43,336
|
|
|
$
|
(118
|
)
|
|
$
|
39,837
|
|
|
$
|
265
|
|
|
$
|
33,100
|
|
|
$
|
(214
|
)
|
Derivatives at fair value
|
$
|
244,961
|
|
|
$
|
836
|
|
|
$
|
378,875
|
|
|
$
|
(209
|
)
|
|
$
|
245,573
|
|
|
$
|
2,073
|
|
|
$
|
380,094
|
|
|
$
|
(1,469
|
)
|
(1)
|
Includes interest rate caps, futures, swap credit enhancements and mortgage insurance contracts that we account for as derivatives. The mortgage insurance contracts have payment provisions that are not based on a notional amount.
|
(2)
|
The netting adjustment for our risk management derivatives transactions represents the effect of the legal right to offset under legally enforceable master netting arrangements to settle with the same counterparty on a net basis, including cash collateral posted and received. Cash collateral posted was
$2.8 billion
and
$2.0 billion
as of
March 31, 2014
and
December 31, 2013
, respectively. Cash collateral received was
$1.2 billion
and
$1.0 billion
as of
March 31, 2014
and
December 31, 2013
, respectively.
|
|
For the
|
||||||
|
Three Months
|
||||||
|
Ended March 31,
|
||||||
|
2014
|
|
2013
|
||||
|
(Dollars in millions)
|
||||||
Risk management derivatives:
|
|
|
|
||||
Swaps:
|
|
|
|
||||
Pay-fixed
|
$
|
(2,118
|
)
|
|
$
|
2,590
|
|
Receive-fixed
|
1,465
|
|
|
(1,910
|
)
|
||
Basis
|
35
|
|
|
(27
|
)
|
||
Foreign currency
|
21
|
|
|
(70
|
)
|
||
Swaptions:
|
|
|
|
||||
Pay-fixed
|
(99
|
)
|
|
17
|
|
||
Receive-fixed
|
(42
|
)
|
|
21
|
|
||
Other
(1)
|
(3
|
)
|
|
10
|
|
||
Accrual of periodic settlements:
|
|
|
|
||||
Pay-fixed interest-rate swaps
|
(903
|
)
|
|
(1,198
|
)
|
||
Receive-fixed interest-rate swaps
|
691
|
|
|
982
|
|
||
Basis
|
9
|
|
|
10
|
|
||
Foreign-currency swaps
|
4
|
|
|
4
|
|
||
Other
(1)
|
—
|
|
|
2
|
|
||
Total risk management derivatives fair value (losses) gains, net
|
$
|
(940
|
)
|
|
$
|
431
|
|
Mortgage commitment derivatives fair value (losses) gains, net
|
(345
|
)
|
|
131
|
|
||
Total derivatives fair value (losses) gains, net
|
$
|
(1,285
|
)
|
|
$
|
562
|
|
(1)
|
Includes interest rate caps, futures, swap credit enhancements and mortgage insurance contracts.
|
|
For the Three Months Ended March 31,
|
||||||||||
|
2014
|
|
2013
|
||||||||
|
(Dollars and shares in millions, except per share amounts)
|
||||||||||
Net income attributable to Fannie Mae
|
|
$
|
5,325
|
|
|
|
|
$
|
58,685
|
|
|
Dividends available for distribution to senior preferred stockholder
(1)
|
|
(5,692
|
)
|
|
|
|
(59,368
|
)
|
|
||
Net loss attributable to common stockholders
|
|
$
|
(367
|
)
|
|
|
|
$
|
(683
|
)
|
|
Weighted-average common shares outstanding—basic and diluted
(2)
|
|
5,762
|
|
|
|
|
5,762
|
|
|
||
Loss per share: basic and diluted
|
|
$
|
(0.06
|
)
|
|
|
|
$
|
(0.12
|
)
|
|
(1)
|
Represents our dividend payments to Treasury under the terms of the senior preferred stock. Dividends available for distribution as of March 31, 2014 (relating to the dividend period for the three months ended June 30, 2014) were calculated based on our net worth as of March 31, 2014 less the applicable capital reserve amount of
$2.4 billion
. Dividends available for distribution as of March 31, 2013 (relating to the dividend period for the three months ended June 30, 2013) were calculated based on our net worth as of March 31, 2013 less the applicable capital reserve amount of
$3.0 billion
.
|
(2)
|
Includes
4.6 billion
of weighted average shares of common stock that would be issued upon the full exercise of the warrant issued to Treasury from the date the warrant was issued through March 31, 2014.
|
|
For the Three Months Ended March 31, 2014
|
|
||||||||||||||||||||||||||||
|
Business Segments
|
|
Other Activity/Reconciling Items
|
|
|
|
||||||||||||||||||||||||
|
Single-Family
|
|
Multifamily
|
|
Capital Markets
|
|
Consolidated Trusts
(1)
|
|
Eliminations/ Adjustments
(2)
|
|
Total Results
|
|
||||||||||||||||||
|
(Dollars in millions)
|
|
||||||||||||||||||||||||||||
Net interest (loss) income
|
$
|
(48
|
)
|
|
|
$
|
(22
|
)
|
|
|
$
|
1,830
|
|
|
|
$
|
2,698
|
|
|
|
|
$
|
280
|
|
(3)
|
|
$
|
4,738
|
|
|
Benefit for credit losses
|
745
|
|
|
|
29
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
774
|
|
|
||||||
Net interest income after benefit for credit losses
|
697
|
|
|
|
7
|
|
|
|
1,830
|
|
|
|
2,698
|
|
|
|
|
280
|
|
|
|
5,512
|
|
|
||||||
Guaranty fee income (expense)
(4)
|
2,870
|
|
|
|
311
|
|
|
|
(246
|
)
|
|
|
(1,427
|
)
|
(5)
|
|
|
(1,463
|
)
|
(5)
|
|
45
|
|
(5)
|
||||||
Investment gains (losses), net
|
—
|
|
|
|
3
|
|
|
|
1,336
|
|
|
|
(58
|
)
|
|
|
|
(1,135
|
)
|
(6)
|
|
146
|
|
|
||||||
Net other-than-temporary impairments
|
—
|
|
|
|
—
|
|
|
|
(51
|
)
|
|
|
—
|
|
|
|
|
—
|
|
|
|
(51
|
)
|
|
||||||
Fair value (losses) gains, net
|
(5
|
)
|
|
|
—
|
|
|
|
(1,337
|
)
|
|
|
48
|
|
|
|
|
104
|
|
(7)
|
|
(1,190
|
)
|
|
||||||
Debt extinguishment (losses) gains, net
|
—
|
|
|
|
—
|
|
|
|
(7
|
)
|
|
|
7
|
|
|
|
|
—
|
|
|
|
—
|
|
|
||||||
Gains from partnership investments
(8)
|
—
|
|
|
|
45
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
45
|
|
|
||||||
Fee and other income (expense)
|
144
|
|
|
|
24
|
|
|
|
4,133
|
|
|
|
(76
|
)
|
|
|
|
85
|
|
|
|
4,310
|
|
|
||||||
Administrative expenses
|
(450
|
)
|
|
|
(73
|
)
|
|
|
(149
|
)
|
|
|
—
|
|
|
|
|
—
|
|
|
|
(672
|
)
|
|
||||||
Foreclosed property income
|
257
|
|
|
|
5
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
262
|
|
|
||||||
TCCA fees
(4)
|
(322
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
(322
|
)
|
|
||||||
Other expenses
|
(155
|
)
|
|
|
(1
|
)
|
|
|
(8
|
)
|
|
|
—
|
|
|
|
|
(12
|
)
|
|
|
(176
|
)
|
|
||||||
Income before federal income taxes
|
3,036
|
|
|
|
321
|
|
|
|
5,501
|
|
|
|
1,192
|
|
|
|
|
(2,141
|
)
|
|
|
7,909
|
|
|
||||||
(Provision) benefit for federal income taxes
|
(927
|
)
|
|
|
9
|
|
|
|
(1,666
|
)
|
|
|
—
|
|
|
|
|
—
|
|
|
|
(2,584
|
)
|
|
||||||
Net income attributable to Fannie Mae
|
$
|
2,109
|
|
|
|
$
|
330
|
|
|
|
$
|
3,835
|
|
|
|
$
|
1,192
|
|
|
|
|
$
|
(2,141
|
)
|
|
|
$
|
5,325
|
|
|
|
For the Three Months Ended March 31, 2013
(9)
|
|
||||||||||||||||||||||||||||
|
Business Segments
|
|
Other Activity/Reconciling Items
|
|
|
|
||||||||||||||||||||||||
|
Single-Family
|
|
Multifamily
|
|
Capital Markets
|
|
Consolidated Trusts
(1)
|
|
Eliminations/ Adjustments
(2)
|
|
Total Results
|
|
||||||||||||||||||
|
(Dollars in millions)
|
|
||||||||||||||||||||||||||||
Net interest income (loss)
|
$
|
520
|
|
|
|
$
|
(11
|
)
|
|
|
$
|
2,742
|
|
|
|
$
|
2,597
|
|
|
|
|
$
|
456
|
|
(3)
|
|
$
|
6,304
|
|
|
Benefit for credit losses
|
781
|
|
|
|
176
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
957
|
|
|
||||||
Net interest income after benefit for credit losses
|
1,301
|
|
|
|
165
|
|
|
|
2,742
|
|
|
|
2,597
|
|
|
|
|
456
|
|
|
|
7,261
|
|
|
||||||
Guaranty fee income (expense)
(4)
|
2,375
|
|
|
|
291
|
|
|
|
(299
|
)
|
|
|
(1,204
|
)
|
(5)
|
|
|
(1,109
|
)
|
(5)
|
|
54
|
|
(5)
|
||||||
Investment gains (losses), net
|
2
|
|
|
|
7
|
|
|
|
1,349
|
|
|
|
(67
|
)
|
|
|
|
(1,173
|
)
|
(6)
|
|
118
|
|
|
||||||
Net other-than-temporary impairments
|
—
|
|
|
|
—
|
|
|
|
(9
|
)
|
|
|
—
|
|
|
|
|
—
|
|
|
|
(9
|
)
|
|
||||||
Fair value (losses) gains, net
|
(2
|
)
|
|
|
—
|
|
|
|
875
|
|
|
|
(204
|
)
|
|
|
|
165
|
|
(7)
|
|
834
|
|
|
||||||
Debt extinguishment (losses) gains, net
|
—
|
|
|
|
—
|
|
|
|
(40
|
)
|
|
|
17
|
|
|
|
|
—
|
|
|
|
(23
|
)
|
|
||||||
Gains from partnership investments
(8)
|
—
|
|
|
|
59
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
59
|
|
|
||||||
Fee and other income (expense)
|
172
|
|
|
|
51
|
|
|
|
349
|
|
|
|
(84
|
)
|
|
|
|
26
|
|
|
|
514
|
|
|
||||||
Administrative expenses
|
(426
|
)
|
|
|
(70
|
)
|
|
|
(145
|
)
|
|
|
—
|
|
|
|
|
—
|
|
|
|
(641
|
)
|
|
||||||
Foreclosed property income
|
253
|
|
|
|
7
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
260
|
|
|
||||||
TCCA fees
(4)
|
(186
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
(186
|
)
|
|
||||||
Other (expenses) income
|
(168
|
)
|
|
|
1
|
|
|
|
58
|
|
|
|
—
|
|
|
|
|
(18
|
)
|
|
|
(127
|
)
|
|
||||||
Income before federal income taxes
|
3,321
|
|
|
|
511
|
|
|
|
4,880
|
|
|
|
1,055
|
|
|
|
|
(1,653
|
)
|
|
|
8,114
|
|
|
||||||
Benefit for federal income taxes
(10)
|
31,578
|
|
|
|
7,988
|
|
|
|
11,005
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
50,571
|
|
|
||||||
Net income attributable to Fannie Mae
|
$
|
34,899
|
|
|
|
$
|
8,499
|
|
|
|
$
|
15,885
|
|
|
|
$
|
1,055
|
|
|
|
|
$
|
(1,653
|
)
|
|
|
$
|
58,685
|
|
|
(1)
|
Represents activity related to the assets and liabilities of consolidated trusts in our condensed consolidated balance sheets.
|
(2)
|
Represents the elimination of intercompany transactions occurring between the three business segments and our consolidated trusts, as well as other adjustments to reconcile to our consolidated results.
|
(3)
|
Represents the amortization expense of cost basis adjustments on securities in the Capital Markets group’s retained mortgage portfolio that on a GAAP basis are eliminated.
|
(4)
|
Includes the impact of the 10 basis point guaranty fee increase implemented pursuant to the TCCA, the incremental revenue from which must be remitted to Treasury. The resulting revenue is included in guaranty fee income and the expense is recognized as “TCCA fees.”
|
(5)
|
Represents the guaranty fees paid from consolidated trusts to the Single-Family and Multifamily segments. The adjustment to guaranty fee income in the Eliminations/Adjustments column represents the elimination of the amortization of deferred cash fees related to consolidated trusts that were re-established for segment reporting. Total guaranty fee income related to unconsolidated Fannie Mae MBS trusts and other credit enhancement arrangements is included in fee and other income in our condensed consolidated statements of operations and comprehensive income.
|
(6)
|
Primarily represents the removal of realized gains and losses on sales of Fannie Mae MBS classified as available-for-sale securities that are issued by consolidated trusts and in the Capital Markets group’s retained mortgage portfolio. The adjustment also includes the removal of securitization gains (losses) recognized in the Capital Markets segment relating to portfolio securitization transactions that do not qualify for sale accounting under GAAP.
|
(7)
|
Represents the removal of fair value adjustments on consolidated Fannie Mae MBS classified as trading that are in the Capital Markets group’s retained mortgage portfolio.
|
(8)
|
Gains from partnership investments are included in other expenses in our condensed consolidated statements of operations and comprehensive income.
|
(9)
|
Certain prior period amounts have been reclassified to conform with the current period presentation.
|
(10)
|
Represented the release of the valuation allowance for our deferred tax assets that generally is directly attributable to each segment based on the nature of the item.
|
|
|
As of
|
|
||||||||
|
March 31,
|
|
December 31,
|
||||||||
|
2014
|
|
2013
|
||||||||
|
(Dollars in millions)
|
|
|||||||||
Net unrealized gains on AFS securities for which we have not recorded OTTI, net of tax
|
|
$
|
481
|
|
|
|
|
$
|
365
|
|
|
Net unrealized gains on AFS securities for which we have recorded OTTI, net of tax
|
|
1,518
|
|
|
|
|
1,262
|
|
|
||
Prior service cost and actuarial losses, net of amortization, net of tax
|
|
(395
|
)
|
|
|
|
(395
|
)
|
|
||
Other losses
|
|
(29
|
)
|
|
|
|
(29
|
)
|
|
||
Accumulated other comprehensive income
|
|
$
|
1,575
|
|
|
|
|
$
|
1,203
|
|
|
|
For the Three Months Ended March 31,
|
||||||
|
2014
|
|
2013
|
||||
|
(Dollars in millions)
|
||||||
Net income
|
$
|
5,325
|
|
|
$
|
58,685
|
|
Other comprehensive income, net of tax effect:
|
|
|
|
||||
Changes in net unrealized gains on AFS securities (net of tax of $184 and $349, respectively)
|
340
|
|
|
649
|
|
||
Reclassification adjustment for OTTI recognized in net income (net of tax of $18 and $3, respectively)
|
33
|
|
|
5
|
|
||
Reclassification adjustment for gains on AFS securities included in net income (net of tax of $- and $3)
|
(1
|
)
|
|
(6
|
)
|
||
Other
|
—
|
|
|
6
|
|
||
Total other comprehensive income
|
372
|
|
|
654
|
|
||
Total comprehensive income
|
$
|
5,697
|
|
|
$
|
59,339
|
|
|
For the Three Months Ended March 31,
|
|||||||||||||||||||||||||||||||||
|
2014
|
|
2013
|
|||||||||||||||||||||||||||||||
|
Available-for-Sale Securities
(1)
|
|
Other
(2)
|
|
Total
|
|
Available-for-Sale Securities
(1)
|
|
Other
(2)
|
|
Total
|
|||||||||||||||||||||||
|
(Dollars in millions)
|
|||||||||||||||||||||||||||||||||
Beginning balance
|
|
$
|
1,627
|
|
|
|
$
|
(424
|
)
|
|
|
|
$
|
1,203
|
|
|
|
|
$
|
934
|
|
|
|
|
$
|
(550
|
)
|
|
|
|
$
|
384
|
|
|
OCI before reclassifications
|
|
340
|
|
|
|
—
|
|
|
|
|
340
|
|
|
|
|
649
|
|
|
|
|
—
|
|
|
|
|
649
|
|
|
||||||
Amounts reclassified from OCI
|
|
32
|
|
|
|
—
|
|
|
|
|
32
|
|
|
|
|
(1
|
)
|
|
|
|
6
|
|
|
|
|
5
|
|
|
||||||
Net other comprehensive income
|
|
372
|
|
|
|
—
|
|
|
|
|
372
|
|
|
|
|
648
|
|
|
|
|
6
|
|
|
|
|
654
|
|
|
||||||
Ending balance
|
|
$
|
1,999
|
|
|
|
$
|
(424
|
)
|
|
|
|
$
|
1,575
|
|
|
|
|
$
|
1,582
|
|
|
|
|
$
|
(544
|
)
|
|
|
|
$
|
1,038
|
|
|
(1)
|
The amounts reclassified from AOCI represent the gain or loss recognized in earnings due to a sale of an available-for-sale security or the recognition of a net impairment recognized in earnings, which are recorded in “Investments gains, net” and “Net other-than-temporary impairments,” respectively, in our condensed consolidated statements of operations.
|
(2)
|
Primarily represents activity from our defined benefit pension plans, which is recorded in “Salaries and employee benefits” in our condensed consolidated statements of operations.
|
|
As of
|
||||||||||
|
March 31, 2014
|
|
December 31, 2013
|
||||||||
|
|
(Dollars in millions)
|
|
||||||||
Contractual mortgage insurance benefit
|
|
$
|
6,400
|
|
|
|
|
$
|
6,751
|
|
|
Less: Collectibility adjustment
(1)
|
|
409
|
|
|
|
|
431
|
|
|
||
Estimated benefit included in total loss reserves
|
|
$
|
5,991
|
|
|
|
|
$
|
6,320
|
|
|
(1)
|
Represents an adjustment that reduces the contractual benefit for our assessment of our mortgage insurer counterparties’ inability to fully pay the contractual mortgage insurance claims.
|
|
|
As of March 31, 2014
|
|||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
Net Amount Presented in the Condensed Consolidated Balance Sheets
|
|
Amounts Not Offset in the Condensed Consolidated Balance Sheets
|
|
|
|
|
||||||||||||||||||||
|
|
Gross Amount
|
|
Gross Amount Offset
(1)
|
|
|
Financial Instruments
(2)
|
|
Collateral
(3)
|
|
Net Amount
|
||||||||||||||||||||||||
|
|
(Dollars in millions)
|
|
||||||||||||||||||||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
OTC risk management derivatives
|
|
$
|
7,781
|
|
|
|
|
$
|
(7,678
|
)
|
|
|
|
$
|
103
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
(46
|
)
|
|
|
|
$
|
57
|
|
|
OTC-cleared risk management derivatives
(4)
|
|
1,343
|
|
|
|
|
(744
|
)
|
|
|
|
599
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
599
|
|
|
||||||
Mortgage commitment derivatives
|
|
105
|
|
|
|
|
—
|
|
|
|
|
105
|
|
|
|
|
(91
|
)
|
|
|
|
—
|
|
|
|
|
14
|
|
|
||||||
Total derivative assets
|
|
9,229
|
|
|
|
|
(8,422
|
)
|
|
|
|
807
|
|
(5)
|
|
|
(91
|
)
|
|
|
|
(46
|
)
|
|
|
|
670
|
|
|
||||||
Securities purchased under agreements to resell or similar arrangements
(6)
|
|
22,150
|
|
|
|
|
—
|
|
|
|
|
22,150
|
|
|
|
|
—
|
|
|
|
|
(22,150
|
)
|
|
|
|
—
|
|
|
||||||
Total assets
|
|
$
|
31,379
|
|
|
|
|
$
|
(8,422
|
)
|
|
|
|
$
|
22,957
|
|
|
|
|
$
|
(91
|
)
|
|
|
|
$
|
(22,196
|
)
|
|
|
|
$
|
670
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
OTC risk management derivatives
|
|
$
|
(9,143
|
)
|
|
|
|
$
|
9,053
|
|
|
|
|
$
|
(90
|
)
|
|
|
|
$
|
—
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
(90
|
)
|
|
OTC-cleared risk management derivatives
(4)
|
|
(989
|
)
|
|
|
|
989
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
||||||
Mortgage commitment derivatives
|
|
(118
|
)
|
|
|
|
—
|
|
|
|
|
(118
|
)
|
|
|
|
91
|
|
|
|
|
—
|
|
|
|
|
(27
|
)
|
|
||||||
Total derivative liabilities
|
|
(10,250
|
)
|
|
|
|
10,042
|
|
|
|
|
(208
|
)
|
(5)
|
|
|
91
|
|
|
|
|
—
|
|
|
|
|
(117
|
)
|
|
||||||
Securities sold under agreements to repurchase or similar arrangements
|
|
(25
|
)
|
|
|
|
—
|
|
|
|
|
(25
|
)
|
|
|
|
—
|
|
|
|
|
25
|
|
|
|
|
—
|
|
|
||||||
Total liabilities
|
|
$
|
(10,275
|
)
|
|
|
|
$
|
10,042
|
|
|
|
|
$
|
(233
|
)
|
|
|
|
$
|
91
|
|
|
|
|
$
|
25
|
|
|
|
|
$
|
(117
|
)
|
|
|
|
As of December 31, 2013
|
|
|||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
Net Amount Presented in the Condensed Consolidated Balance Sheets
|
|
Amounts Not Offset in the Condensed Consolidated Balance Sheets
|
|
|
|
|
|||||||||||||||||||||
|
|
Gross Amount
|
|
Gross Amount Offset
(1)
|
|
|
Financial Instruments
(2)
|
|
Collateral
(3)
|
|
Net Amount
|
|||||||||||||||||||||||||
|
|
(Dollars in millions)
|
|
|||||||||||||||||||||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
OTC risk management derivatives
|
|
$
|
8,491
|
|
|
|
|
$
|
(8,422
|
)
|
|
|
|
$
|
69
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
(20
|
)
|
|
|
|
$
|
49
|
|
|
|
Mortgage commitment derivatives
|
|
265
|
|
|
|
|
—
|
|
|
|
|
265
|
|
|
|
|
(83
|
)
|
|
|
|
—
|
|
|
|
|
182
|
|
|
|||||||
Total derivative assets
|
|
8,756
|
|
|
|
|
(8,422
|
)
|
|
|
|
334
|
|
(5
|
)
|
|
|
(83
|
)
|
|
|
|
(20
|
)
|
|
|
|
231
|
|
|
||||||
Securities purchased under agreements to resell or similar arrangements
(6)
|
|
50,565
|
|
|
|
|
—
|
|
|
|
|
50,565
|
|
|
|
|
—
|
|
|
|
|
(50,565
|
)
|
|
|
|
—
|
|
|
|||||||
Total assets
|
|
$
|
59,321
|
|
|
|
|
$
|
(8,422
|
)
|
|
|
|
$
|
50,899
|
|
|
|
|
$
|
(83
|
)
|
|
|
|
$
|
(50,585
|
)
|
|
|
|
$
|
231
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
OTC risk management derivatives
|
|
$
|
(9,503
|
)
|
|
|
|
$
|
9,370
|
|
|
|
|
$
|
(133
|
)
|
|
|
|
$
|
—
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
(133
|
)
|
|
|
Mortgage commitment derivatives
|
|
(214
|
)
|
|
|
|
—
|
|
|
|
|
(214
|
)
|
|
|
|
83
|
|
|
|
|
—
|
|
|
|
|
(131
|
)
|
|
|||||||
Total liabilities
|
|
$
|
(9,717
|
)
|
|
|
|
$
|
9,370
|
|
|
|
|
$
|
(347
|
)
|
(5
|
)
|
|
|
$
|
83
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
(264
|
)
|
|
(1)
|
Represents the effect of the right to offset under legally enforceable master netting arrangements to settle with the same counterparty on a net basis, including cash collateral posted and received and accrued interest.
|
(2)
|
Mortgage commitment derivative amounts reflect where we have recognized both an asset and a liability with the same counterparty under an enforceable master netting arrangement but we have not elected to offset the related amounts in our condensed consolidated balance sheets.
|
(3)
|
Represents collateral posted or received that has neither been recognized nor offset in our condensed consolidated balance sheets. Does not include collateral held in excess of our exposure.
|
(5)
|
Excludes derivative assets of
$29 million
and
$1.7 billion
and derivative liabilities of
$1 million
and
$1.1 billion
recognized in our condensed consolidated balance sheets as of
March 31, 2014
and
December 31, 2013
, respectively, that are not subject to enforceable master netting arrangements.
|
(6)
|
Includes
$9.4 billion
and
$11.6 billion
of securities purchased under agreements to resell or similar arrangements classified as “cash and cash equivalents” in our condensed consolidated balance sheets as of
March 31, 2014
and
December 31, 2013
, respectively.
|
|
|
Fair Value Measurements as of March 31, 2014
|
|
||||||||||||||||||||||||||
|
Quoted Prices in Active Markets for Identical Assets (Level 1)
|
|
Significant Other Observable Inputs (Level 2)
|
|
Significant Unobservable Inputs (Level 3)
|
|
Netting Adjustment
(1)
|
|
Estimated Fair Value
|
||||||||||||||||||||
|
|
(Dollars in millions)
|
|
||||||||||||||||||||||||||
Recurring fair value measurements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Trading securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Fannie Mae
|
|
$
|
—
|
|
|
|
|
$
|
5,983
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
5,983
|
|
|
Freddie Mac
|
|
—
|
|
|
|
|
1,657
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
1,657
|
|
|
|||||
Ginnie Mae
|
|
—
|
|
|
|
|
248
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
248
|
|
|
|||||
Alt-A private-label securities
|
|
—
|
|
|
|
|
833
|
|
|
|
|
655
|
|
|
|
|
—
|
|
|
|
|
1,488
|
|
|
|||||
Subprime private-label securities
|
|
—
|
|
|
|
|
—
|
|
|
|
|
1,453
|
|
|
|
|
—
|
|
|
|
|
1,453
|
|
|
|||||
CMBS
|
|
—
|
|
|
|
|
2,676
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
2,676
|
|
|
|||||
Mortgage revenue bonds
|
|
—
|
|
|
|
|
—
|
|
|
|
|
601
|
|
|
|
|
—
|
|
|
|
|
601
|
|
|
|||||
Other
|
|
—
|
|
|
|
|
—
|
|
|
|
|
102
|
|
|
|
|
—
|
|
|
|
|
102
|
|
|
|||||
Non-mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
U.S. Treasury securities
|
|
17,587
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
17,587
|
|
|
|||||
Total trading securities
|
|
17,587
|
|
|
|
|
11,397
|
|
|
|
|
2,811
|
|
|
|
|
—
|
|
|
|
|
31,795
|
|
|
|||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Fannie Mae
|
|
—
|
|
|
|
|
6,250
|
|
|
|
|
5
|
|
|
|
|
—
|
|
|
|
|
6,255
|
|
|
|||||
Freddie Mac
|
|
—
|
|
|
|
|
6,507
|
|
|
|
|
8
|
|
|
|
|
—
|
|
|
|
|
6,515
|
|
|
|||||
Ginnie Mae
|
|
—
|
|
|
|
|
557
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
557
|
|
|
|||||
Alt-A private-label securities
|
|
—
|
|
|
|
|
3,776
|
|
|
|
|
3,570
|
|
|
|
|
—
|
|
|
|
|
7,346
|
|
|
|||||
Subprime private-label securities
|
|
—
|
|
|
|
|
—
|
|
|
|
|
7,030
|
|
|
|
|
—
|
|
|
|
|
7,030
|
|
|
|||||
CMBS
|
|
—
|
|
|
|
|
1,569
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
1,569
|
|
|
|||||
Mortgage revenue bonds
|
|
—
|
|
|
|
|
2
|
|
|
|
|
5,006
|
|
|
|
|
—
|
|
|
|
|
5,008
|
|
|
|||||
Other
|
|
—
|
|
|
|
|
4
|
|
|
|
|
2,844
|
|
|
|
|
—
|
|
|
|
|
2,848
|
|
|
|||||
Total available-for-sale securities
|
|
—
|
|
|
|
|
18,665
|
|
|
|
|
18,463
|
|
|
|
|
—
|
|
|
|
|
37,128
|
|
|
|||||
Mortgage loans of consolidated trusts
|
|
—
|
|
|
|
|
12,029
|
|
|
|
|
2,608
|
|
|
|
|
—
|
|
|
|
|
14,637
|
|
|
|||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Risk management derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Swaps
|
|
—
|
|
|
|
|
8,643
|
|
|
|
|
68
|
|
|
|
|
—
|
|
|
|
|
8,711
|
|
|
|||||
Swaptions
|
|
—
|
|
|
|
|
413
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
413
|
|
|
|||||
Other
|
|
—
|
|
|
|
|
—
|
|
|
|
|
29
|
|
|
|
|
—
|
|
|
|
|
29
|
|
|
|||||
Netting adjustment
|
|
—
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
(8,422
|
)
|
|
|
|
(8,422
|
)
|
|
|||||
Mortgage commitment derivatives
|
|
—
|
|
|
|
|
104
|
|
|
|
|
1
|
|
|
|
|
—
|
|
|
|
|
105
|
|
|
|||||
Total other assets
|
|
—
|
|
|
|
|
9,160
|
|
|
|
|
98
|
|
|
|
|
(8,422
|
)
|
|
|
|
836
|
|
|
|||||
Total assets at fair value
|
|
$
|
17,587
|
|
|
|
|
$
|
51,251
|
|
|
|
|
$
|
23,980
|
|
|
|
|
$
|
(8,422
|
)
|
|
|
|
$
|
84,396
|
|
|
|
|
Fair Value Measurements as of March 31, 2014
|
|
||||||||||||||||||||||||||
|
Quoted Prices in Active Markets for Identical Assets (Level 1)
|
|
Significant Other Observable Inputs (Level 2)
|
|
Significant Unobservable Inputs (Level 3)
|
|
Netting Adjustment
(1)
|
|
|
Estimated Fair Value
|
|||||||||||||||||||
|
|
(Dollars in millions)
|
|
||||||||||||||||||||||||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Long-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Of Fannie Mae:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Senior floating
|
|
$
|
—
|
|
|
|
|
$
|
1,465
|
|
|
|
|
$
|
310
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
1,775
|
|
|
Total of Fannie Mae
|
|
—
|
|
|
|
|
1,465
|
|
|
|
|
310
|
|
|
|
|
—
|
|
|
|
|
1,775
|
|
|
|||||
Of consolidated trusts
|
|
—
|
|
|
|
|
14,867
|
|
|
|
|
506
|
|
|
|
|
—
|
|
|
|
|
15,373
|
|
|
|||||
Total long-term debt
|
|
—
|
|
|
|
|
16,332
|
|
|
|
|
816
|
|
|
|
|
—
|
|
|
|
|
17,148
|
|
|
|||||
Other liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Risk management derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Swaps
|
|
—
|
|
|
|
|
8,970
|
|
|
|
|
115
|
|
|
|
|
—
|
|
|
|
|
9,085
|
|
|
|||||
Swaptions
|
|
—
|
|
|
|
|
1,047
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
1,047
|
|
|
|||||
Other
|
|
—
|
|
|
|
|
—
|
|
|
|
|
1
|
|
|
|
|
—
|
|
|
|
|
1
|
|
|
|||||
Netting adjustment
|
|
—
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
(10,042
|
)
|
|
|
|
(10,042
|
)
|
|
|||||
Mortgage commitment derivatives
|
|
—
|
|
|
|
|
113
|
|
|
|
|
5
|
|
|
|
|
—
|
|
|
|
|
118
|
|
|
|||||
Total other liabilities
|
|
—
|
|
|
|
|
10,130
|
|
|
|
|
121
|
|
|
|
|
(10,042
|
)
|
|
|
|
209
|
|
|
|||||
Total liabilities at fair value
|
|
$
|
—
|
|
|
|
|
$
|
26,462
|
|
|
|
|
$
|
937
|
|
|
|
|
$
|
(10,042
|
)
|
|
|
|
$
|
17,357
|
|
|
|
|
Fair Value Measurements as of December 31, 2013
|
|
||||||||||||||||||||||||||
|
Quoted Prices in Active Markets for Identical Assets (Level 1)
|
|
Significant Other Observable Inputs (Level 2)
|
|
Significant Unobservable Inputs
(Level 3)
|
|
Netting Adjustment
(1)
|
|
Estimated Fair Value
|
||||||||||||||||||||
|
|
(Dollars in millions)
|
|
||||||||||||||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Trading securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Fannie Mae
|
|
$
|
—
|
|
|
|
|
$
|
5,828
|
|
|
|
|
$
|
42
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
5,870
|
|
|
Freddie Mac
|
|
—
|
|
|
|
|
1,837
|
|
|
|
|
2
|
|
|
|
|
—
|
|
|
|
|
1,839
|
|
|
|||||
Ginnie Mae
|
|
—
|
|
|
|
|
407
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
407
|
|
|
|||||
Alt-A private-label securities
|
|
—
|
|
|
|
|
898
|
|
|
|
|
618
|
|
|
|
|
—
|
|
|
|
|
1,516
|
|
|
|||||
Subprime private-label securities
|
|
—
|
|
|
|
|
—
|
|
|
|
|
1,448
|
|
|
|
|
—
|
|
|
|
|
1,448
|
|
|
|||||
CMBS
|
|
—
|
|
|
|
|
2,718
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
2,718
|
|
|
|||||
Mortgage revenue bonds
|
|
—
|
|
|
|
|
—
|
|
|
|
|
565
|
|
|
|
|
—
|
|
|
|
|
565
|
|
|
|||||
Other
|
|
—
|
|
|
|
|
—
|
|
|
|
|
99
|
|
|
|
|
—
|
|
|
|
|
99
|
|
|
|||||
Non-mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. Treasury securities
|
|
16,306
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
16,306
|
|
|
|||||
Total trading securities
|
|
16,306
|
|
|
|
|
11,688
|
|
|
|
|
2,774
|
|
|
|
|
—
|
|
|
|
|
30,768
|
|
|
|||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Fannie Mae
|
|
—
|
|
|
|
|
6,566
|
|
|
|
|
7
|
|
|
|
|
—
|
|
|
|
|
6,573
|
|
|
|||||
Freddie Mac
|
|
—
|
|
|
|
|
6,834
|
|
|
|
|
8
|
|
|
|
|
—
|
|
|
|
|
6,842
|
|
|
|||||
Ginnie Mae
|
|
—
|
|
|
|
|
588
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
588
|
|
|
|||||
Alt-A private-label securities
|
|
—
|
|
|
|
|
3,558
|
|
|
|
|
3,791
|
|
|
|
|
—
|
|
|
|
|
7,349
|
|
|
|||||
Subprime private-label securities
|
|
—
|
|
|
|
|
—
|
|
|
|
|
7,068
|
|
|
|
|
—
|
|
|
|
|
7,068
|
|
|
|||||
CMBS
|
|
—
|
|
|
|
|
1,606
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
1,606
|
|
|
|||||
Mortgage revenue bonds
|
|
—
|
|
|
|
|
3
|
|
|
|
|
5,253
|
|
|
|
|
—
|
|
|
|
|
5,256
|
|
|
|||||
Other
|
|
—
|
|
|
|
|
4
|
|
|
|
|
2,885
|
|
|
|
|
—
|
|
|
|
|
2,889
|
|
|
|||||
Total available-for-sale securities
|
|
—
|
|
|
|
|
19,159
|
|
|
|
|
19,012
|
|
|
|
|
—
|
|
|
|
|
38,171
|
|
|
|||||
Mortgage loans of consolidated trusts
|
|
—
|
|
|
|
|
11,564
|
|
|
|
|
2,704
|
|
|
|
|
—
|
|
|
|
|
14,268
|
|
|
|||||
Other assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Risk management derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Swaps
|
|
—
|
|
|
|
|
9,604
|
|
|
|
|
36
|
|
|
|
|
—
|
|
|
|
|
9,640
|
|
|
|||||
Swaptions
|
|
—
|
|
|
|
|
561
|
|
|
|
|
1
|
|
|
|
|
—
|
|
|
|
|
562
|
|
|
|||||
Other
|
|
—
|
|
|
|
|
—
|
|
|
|
|
28
|
|
|
|
|
—
|
|
|
|
|
28
|
|
|
|||||
Netting adjustment
|
|
—
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
(8,422
|
)
|
|
|
|
(8,422
|
)
|
|
|||||
Mortgage commitment derivatives
|
|
—
|
|
|
|
|
265
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
265
|
|
|
|||||
Total other assets
|
|
—
|
|
|
|
|
10,430
|
|
|
|
|
65
|
|
|
|
|
(8,422
|
)
|
|
|
|
2,073
|
|
|
|||||
Total assets at fair value
|
|
$
|
16,306
|
|
|
|
|
$
|
52,841
|
|
|
|
|
$
|
24,555
|
|
|
|
|
$
|
(8,422
|
)
|
|
|
|
$
|
85,280
|
|
|
|
|
Fair Value Measurements as of December 31, 2013
|
|
||||||||||||||||||||||||||
|
Quoted Prices in Active Markets for Identical Assets (Level 1)
|
|
Significant Other Observable Inputs (Level 2)
|
|
Significant Unobservable Inputs
(Level 3)
|
|
Netting Adjustment
(1)
|
|
Estimated Fair Value
|
||||||||||||||||||||
|
|
(Dollars in millions)
|
|
||||||||||||||||||||||||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Long-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Of Fannie Mae:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Senior fixed
|
|
$
|
—
|
|
|
|
|
$
|
353
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
353
|
|
|
Senior floating
|
|
—
|
|
|
|
|
—
|
|
|
|
|
955
|
|
|
|
|
—
|
|
|
|
|
955
|
|
|
|||||
Total of Fannie Mae
|
|
—
|
|
|
|
|
353
|
|
|
|
|
955
|
|
|
|
|
—
|
|
|
|
|
1,308
|
|
|
|||||
Of consolidated trusts
|
|
—
|
|
|
|
|
14,458
|
|
|
|
|
518
|
|
|
|
|
—
|
|
|
|
|
14,976
|
|
|
|||||
Total long-term debt
|
|
—
|
|
|
|
|
14,811
|
|
|
|
|
1,473
|
|
|
|
|
—
|
|
|
|
|
16,284
|
|
|
|||||
Other liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Risk management derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Swaps
|
|
—
|
|
|
|
|
9,444
|
|
|
|
|
96
|
|
|
|
|
—
|
|
|
|
|
9,540
|
|
|
|||||
Swaptions
|
|
—
|
|
|
|
|
1,084
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
1,084
|
|
|
|||||
Other
|
|
—
|
|
|
|
|
—
|
|
|
|
|
1
|
|
|
|
|
—
|
|
|
|
|
1
|
|
|
|||||
Netting adjustment
|
|
—
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
|
(9,370
|
)
|
|
|
|
(9,370
|
)
|
|
|||||
Mortgage commitment derivatives
|
|
—
|
|
|
|
|
206
|
|
|
|
|
8
|
|
|
|
|
—
|
|
|
|
|
214
|
|
|
|||||
Total other liabilities
|
|
—
|
|
|
|
|
10,734
|
|
|
|
|
105
|
|
|
|
|
(9,370
|
)
|
|
|
|
1,469
|
|
|
|||||
Total liabilities at fair value
|
|
$
|
—
|
|
|
|
|
$
|
25,545
|
|
|
|
|
$
|
1,578
|
|
|
|
|
$
|
(9,370
|
)
|
|
|
|
$
|
17,753
|
|
|
(1)
|
Derivative contracts are reported on a gross basis by level. The netting adjustment represents the effect of the legal right to offset under legally enforceable master netting agreements to settle with the same counterparty on a net basis, including cash collateral posted and received.
|
|
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
|
||||||||||||||||||||||||||||||||||||||||||||||
|
For the Three Months Ended March 31, 2014
|
||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
Total (Losses) or Gains (Realized/Unrealized)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2014
(5)
|
||||||||||||||||||||||||||||
|
Balance, December 31, 2013
|
|
Included in Net Income
|
|
Included in
Other Comprehensive
Income
(1)
|
|
Purchases
(2)
|
|
Sales
(2)
|
|
Issues
(3)
|
|
Settlements
(3)
|
|
Transfers out of Level 3
(4)
|
|
Transfers into
Level 3
(4)
|
|
Balance,
March 31, 2014
|
|
|||||||||||||||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Trading securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Mortgage-related:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Fannie Mae
|
$
|
42
|
|
|
$
|
(1
|
)
|
|
|
$
|
—
|
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(2
|
)
|
|
$
|
(39
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
$
|
—
|
|
|
Freddie Mac
|
2
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|||||||||||
Alt-A private-label securities
|
618
|
|
|
19
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(16
|
)
|
|
(76
|
)
|
|
110
|
|
|
655
|
|
|
|
17
|
|
|
|||||||||||
Subprime private-label securities
|
1,448
|
|
|
76
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(71
|
)
|
|
—
|
|
|
—
|
|
|
1,453
|
|
|
|
76
|
|
|
|||||||||||
Mortgage revenue bonds
|
565
|
|
|
40
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(4
|
)
|
|
—
|
|
|
—
|
|
|
601
|
|
|
|
40
|
|
|
|||||||||||
Other
|
99
|
|
|
5
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
102
|
|
|
|
5
|
|
|
|||||||||||
Total trading securities
|
$
|
2,774
|
|
|
$
|
139
|
|
|
|
$
|
—
|
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(95
|
)
|
|
$
|
(117
|
)
|
|
$
|
110
|
|
|
$
|
2,811
|
|
|
|
$
|
138
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Mortgage-related:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Fannie Mae
|
$
|
7
|
|
|
$
|
—
|
|
|
|
$
|
—
|
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(2
|
)
|
|
$
|
—
|
|
|
$
|
5
|
|
|
|
$
|
—
|
|
|
Freddie Mac
|
8
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8
|
|
|
|
—
|
|
|
|||||||||||
Alt-A private-label securities
|
3,791
|
|
|
13
|
|
|
|
73
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(88
|
)
|
|
(609
|
)
|
|
390
|
|
|
3,570
|
|
|
|
—
|
|
|
|||||||||||
Subprime private-label securities
|
7,068
|
|
|
33
|
|
|
|
219
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(290
|
)
|
|
—
|
|
|
—
|
|
|
7,030
|
|
|
|
—
|
|
|
|||||||||||
Mortgage revenue bonds
|
5,253
|
|
|
(20
|
)
|
|
|
193
|
|
|
|
—
|
|
|
(19
|
)
|
|
—
|
|
|
(401
|
)
|
|
—
|
|
|
—
|
|
|
5,006
|
|
|
|
—
|
|
|
|||||||||||
Other
|
2,885
|
|
|
3
|
|
|
|
41
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(85
|
)
|
|
—
|
|
|
—
|
|
|
2,844
|
|
|
|
—
|
|
|
|||||||||||
Total available-for-sale securities
|
$
|
19,012
|
|
|
$
|
29
|
|
|
|
$
|
526
|
|
|
|
$
|
—
|
|
|
$
|
(19
|
)
|
|
$
|
—
|
|
|
$
|
(864
|
)
|
|
$
|
(611
|
)
|
|
$
|
390
|
|
|
$
|
18,463
|
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Mortgage loans of consolidated trusts
|
$
|
2,704
|
|
|
$
|
25
|
|
|
|
$
|
—
|
|
|
|
$
|
24
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(81
|
)
|
|
$
|
(148
|
)
|
|
$
|
84
|
|
|
$
|
2,608
|
|
|
|
$
|
11
|
|
|
Net derivatives
|
(40
|
)
|
|
30
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(12
|
)
|
|
(1
|
)
|
|
—
|
|
|
(23
|
)
|
|
|
11
|
|
|
|||||||||||
Long-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Of Fannie Mae:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Senior floating
|
$
|
(955
|
)
|
|
$
|
(90
|
)
|
|
|
$
|
—
|
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(750
|
)
|
|
$
|
20
|
|
|
$
|
1,465
|
|
|
$
|
—
|
|
|
$
|
(310
|
)
|
|
|
$
|
(44
|
)
|
|
Of consolidated trusts
|
(518
|
)
|
|
(1
|
)
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
18
|
|
|
19
|
|
|
(24
|
)
|
|
(506
|
)
|
|
|
(1
|
)
|
|
|||||||||||
Total long-term debt
|
$
|
(1,473
|
)
|
|
$
|
(91
|
)
|
|
|
$
|
—
|
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(750
|
)
|
|
$
|
38
|
|
|
$
|
1,484
|
|
|
$
|
(24
|
)
|
|
$
|
(816
|
)
|
|
|
$
|
(45
|
)
|
|
|
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
|
||||||||||||||||||||||||||||||||||||||||||||||
|
For the Three Months Ended March 31, 2013
|
||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
Total (Losses) or Gains or (Realized/Unrealized)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Unrealized (Losses) Gains Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2013
(5)
|
||||||||||||||||||||||||||||
|
Balance, December 31,
2012
|
|
Included in Net Income
|
|
Included in Other Comprehensive Income
(1)
|
|
Purchases
(2)
|
|
Sales
(2)
|
|
Issues
(3)
|
|
Settlements
(3)
|
|
Transfers out of Level 3
(4)
|
|
Transfers into
Level 3
(4)
|
|
Balance, March 31, 2013
|
|
|||||||||||||||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||||||||||||||||||||||||||
Trading securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Mortgage-related:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Fannie Mae
|
$
|
68
|
|
|
$
|
(3
|
)
|
|
|
$
|
—
|
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(4
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
61
|
|
|
|
$
|
(2
|
)
|
|
Freddie Mac
|
2
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2
|
|
|
|
—
|
|
|
|||||||||||
Ginnie Mae
|
1
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|||||||||||
Alt-A private-label securities
|
104
|
|
|
95
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(16
|
)
|
|
(44
|
)
|
|
325
|
|
|
464
|
|
|
|
90
|
|
|
|||||||||||
Subprime private-label securities
|
1,319
|
|
|
159
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(32
|
)
|
|
—
|
|
|
—
|
|
|
1,446
|
|
|
|
160
|
|
|
|||||||||||
Mortgage revenue bonds
|
675
|
|
|
(13
|
)
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
661
|
|
|
|
(13
|
)
|
|
|||||||||||
Other
|
117
|
|
|
2
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
118
|
|
|
|
1
|
|
|
|||||||||||
Total trading securities
|
$
|
2,286
|
|
|
$
|
240
|
|
|
|
$
|
—
|
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(55
|
)
|
|
$
|
(44
|
)
|
|
$
|
325
|
|
|
$
|
2,752
|
|
|
|
$
|
236
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Mortgage-related:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Fannie Mae
|
$
|
29
|
|
|
$
|
—
|
|
|
|
$
|
—
|
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(3
|
)
|
|
$
|
(14
|
)
|
|
$
|
—
|
|
|
$
|
12
|
|
|
|
$
|
—
|
|
|
Freddie Mac
|
10
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
9
|
|
|
|
—
|
|
|
|||||||||||
Alt-A private-label securities
|
6,564
|
|
|
9
|
|
|
|
218
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(268
|
)
|
|
(1,192
|
)
|
|
781
|
|
|
6,112
|
|
|
|
—
|
|
|
|||||||||||
Subprime private-label securities
|
7,447
|
|
|
44
|
|
|
|
677
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(300
|
)
|
|
—
|
|
|
—
|
|
|
7,868
|
|
|
|
—
|
|
|
|||||||||||
Mortgage revenue bonds
|
7,837
|
|
|
(2
|
)
|
|
|
(29
|
)
|
|
|
—
|
|
|
(19
|
)
|
|
—
|
|
|
(436
|
)
|
|
—
|
|
|
—
|
|
|
7,351
|
|
|
|
—
|
|
|
|||||||||||
Other
|
3,147
|
|
|
4
|
|
|
|
44
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(96
|
)
|
|
—
|
|
|
—
|
|
|
3,099
|
|
|
|
—
|
|
|
|||||||||||
Total available-for-sale securities
|
$
|
25,034
|
|
|
$
|
55
|
|
|
|
$
|
910
|
|
|
|
$
|
—
|
|
|
$
|
(19
|
)
|
|
$
|
—
|
|
|
$
|
(1,104
|
)
|
|
$
|
(1,206
|
)
|
|
$
|
781
|
|
|
$
|
24,451
|
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Mortgage loans of consolidated trusts
|
$
|
2,634
|
|
|
$
|
27
|
|
|
|
$
|
—
|
|
|
|
$
|
158
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(112
|
)
|
|
$
|
(38
|
)
|
|
$
|
213
|
|
|
$
|
2,882
|
|
|
|
$
|
22
|
|
|
Net derivatives
|
14
|
|
|
(40
|
)
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
23
|
|
|
—
|
|
|
(4
|
)
|
|
(7
|
)
|
|
|
(18
|
)
|
|
|||||||||||
Long-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Of Fannie Mae:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Senior floating
|
$
|
(400
|
)
|
|
$
|
17
|
|
|
|
$
|
—
|
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(383
|
)
|
|
|
$
|
17
|
|
|
Of consolidated trusts
|
(1,128
|
)
|
|
(54
|
)
|
|
|
—
|
|
|
|
—
|
|
|
—
|
|
|
(15
|
)
|
|
49
|
|
|
113
|
|
|
(42
|
)
|
|
(1,077
|
)
|
|
|
(55
|
)
|
|
|||||||||||
Total long-term debt
|
$
|
(1,528
|
)
|
|
$
|
(37
|
)
|
|
|
$
|
—
|
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(15
|
)
|
|
$
|
49
|
|
|
$
|
113
|
|
|
$
|
(42
|
)
|
|
$
|
(1,460
|
)
|
|
|
$
|
(38
|
)
|
|
(1)
|
Gains (losses) included in other comprehensive income are included in “Changes in unrealized gains on available-for-sale securities, net of reclassification adjustments and taxes” in the condensed consolidated statements of operations and comprehensive income.
|
(2)
|
Purchases and sales include activity related to the consolidation and deconsolidation of assets of securitization trusts.
|
(3)
|
Issues and settlements include activity related to the consolidation and deconsolidation of liabilities of securitization trusts.
|
(4)
|
Transfers out of Level 3 consisted primarily of private-label mortgage-related securities backed by Alt-A loans and credit risk sharing securities issued under our Connecticut Avenue Securities series. Prices for these securities were obtained from multiple third-party
|
(5)
|
Amount represents temporary changes in fair value. Amortization, accretion and other-than-temporary impairments are not considered unrealized and are not included in this amount.
|
|
|
For the Three Months Ended March 31, 2014
|
|
||||||||||||||||||||||||||
|
Interest Income
|
|
Fair Value Gains, net
|
|
Net OTTI
|
|
Other
|
|
Total
|
||||||||||||||||||||
|
|
(Dollars in millions)
|
|
||||||||||||||||||||||||||
Total realized and unrealized gains (losses) included in net income
|
|
$
|
70
|
|
|
|
|
$
|
106
|
|
|
|
|
$
|
(45
|
)
|
|
|
|
$
|
1
|
|
|
|
|
$
|
132
|
|
|
Net unrealized gains related to Level 3 assets and liabilities still held as of March 31, 2014
|
|
$
|
—
|
|
|
|
|
$
|
115
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
115
|
|
|
|
|
For the Three Months Ended March 31, 2013
|
|
||||||||||||||||||||||||||
|
Interest Income
|
|
Fair Value Gains, net
|
|
Net OTTI
|
|
Other
|
|
Total
|
||||||||||||||||||||
|
|
(Dollars in millions)
|
|
||||||||||||||||||||||||||
Total realized and unrealized gains (losses) included in net income
|
|
$
|
55
|
|
|
|
|
$
|
192
|
|
|
|
|
$
|
(5
|
)
|
|
|
|
$
|
3
|
|
|
|
|
$
|
245
|
|
|
Net unrealized gains related to Level 3 assets and liabilities still held as of March 31, 2013
|
|
$
|
—
|
|
|
|
|
$
|
202
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
—
|
|
|
|
|
$
|
202
|
|
|
|
|
Fair Value Measurements as of March 31, 2014
|
|
||||||||||||||||||||
|
Quoted Prices in Active Markets for Identical Assets (Level 1)
|
|
Significant Other Observable Inputs (Level 2)
|
|
Significant Unobservable Inputs
(Level 3)
|
|
Estimated Fair Value
|
||||||||||||||||
|
|
(Dollars in millions)
|
|
||||||||||||||||||||
Nonrecurring fair value measurements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Mortgage loans held for sale, at lower of cost or fair value
|
|
$
|
—
|
|
|
|
|
$
|
73
|
|
|
|
|
$
|
232
|
|
|
|
|
$
|
305
|
|
|
Single-family mortgage loans held for investment, at amortized cost:
(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Of Fannie Mae
|
|
—
|
|
|
|
|
—
|
|
|
|
|
18,039
|
|
|
|
|
18,039
|
|
|
||||
Of consolidated trusts
|
|
—
|
|
|
|
|
—
|
|
|
|
|
56
|
|
|
|
|
56
|
|
|
||||
Multifamily mortgage loans held for investment, at amortized cost
(2)
|
|
—
|
|
|
|
|
—
|
|
|
|
|
1,714
|
|
|
|
|
1,714
|
|
|
||||
Acquired property, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Single-family
|
|
—
|
|
|
|
|
—
|
|
|
|
|
4,537
|
|
|
|
|
4,537
|
|
|
||||
Multifamily
|
|
—
|
|
|
|
|
—
|
|
|
|
|
112
|
|
|
|
|
112
|
|
|
||||
Other assets
|
|
—
|
|
|
|
|
—
|
|
|
|
|
65
|
|
|
|
|
65
|
|
|
||||
Total nonrecurring fair value measurements
|
|
$
|
—
|
|
|
|
|
$
|
73
|
|
|
|
|
$
|
24,755
|
|
|
|
|
$
|
24,828
|
|
|
|
|
Fair Value Measurements as of December 31, 2013
|
|
||||||||||||||||||||
|
Quoted Prices in Active Markets for Identical Assets (Level 1)
|
|
Significant Other Observable Inputs (Level 2)
|
|
Significant Unobservable Inputs
(Level 3)
|
|
Estimated Fair Value
|
||||||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Mortgage loans held for sale, at lower of cost or fair value
|
|
$
|
—
|
|
|
|
|
$
|
101
|
|
|
|
|
$
|
132
|
|
|
|
|
$
|
233
|
|
|
Single-family mortgage loans held for investment, at amortized cost:
(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Of Fannie Mae
|
|
—
|
|
|
|
|
—
|
|
|
|
|
19,966
|
|
|
|
|
19,966
|
|
|
||||
Of consolidated trusts
|
|
—
|
|
|
|
|
—
|
|
|
|
|
79
|
|
|
|
|
79
|
|
|
||||
Multifamily mortgage loans held for investment, at amortized cost
|
|
—
|
|
|
|
|
—
|
|
|
|
|
1,533
|
|
|
|
|
1,533
|
|
|
||||
Acquired property, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Single-family
|
|
—
|
|
|
|
|
—
|
|
|
|
|
4,041
|
|
|
|
|
4,041
|
|
|
||||
Multifamily
|
|
—
|
|
|
|
|
—
|
|
|
|
|
98
|
|
|
|
|
98
|
|
|
||||
Other assets
|
|
—
|
|
|
|
|
—
|
|
|
|
|
121
|
|
|
|
|
121
|
|
|
||||
Total nonrecurring fair value measurements
|
|
$
|
—
|
|
|
|
|
$
|
101
|
|
|
|
|
$
|
25,970
|
|
|
|
|
$
|
26,071
|
|
|
(1)
|
Excludes estimated recoveries from mortgage insurance proceeds.
|
(2)
|
Includes $
522 million
of mortgage loans held for investment that were redesignated to mortgage loans held for sale as of March 31, 2014.
|
|
|
Fair Value Measurements as of March 31, 2014
|
|
||||||||||||||
|
|
Fair Value
|
|
Significant Valuation Techniques
|
|
Significant Unobservable Inputs
(1)
|
|
Range
(1)
|
|
Weighted - Average
(1)
|
|
||||||
|
|
(Dollars in millions)
|
|
||||||||||||||
Recurring fair value measurements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Trading securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Alt-A private-label securities
(3)
|
|
$
|
322
|
|
|
Consensus
|
|
Default Rate (%)
|
|
0.7
|
|
-
|
8.2
|
|
6.3
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
1.5
|
|
-
|
4.6
|
|
2.3
|
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
55.8
|
|
-
|
77.1
|
|
72.9
|
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
278.0
|
|
-
|
462.0
|
|
335.6
|
|
|
||
|
|
290
|
|
|
Discounted Cash Flow
|
|
Default Rate (%)
|
|
0.7
|
|
-
|
9.5
|
|
8.4
|
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
2.0
|
|
-
|
4.6
|
|
2.7
|
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
62.3
|
|
-
|
81.5
|
|
76.6
|
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
305.5
|
|
-
|
386.0
|
|
371.9
|
|
|
||
|
|
43
|
|
|
Other
|
|
|
|
|
|
|
|
|
|
|||
Total Alt-A private-label securities
|
|
655
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Subprime private-label securities
(3)
|
|
451
|
|
|
Consensus
|
|
Default Rate (%)
|
|
1.7
|
|
-
|
10.9
|
|
4.4
|
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
0.2
|
|
-
|
4.1
|
|
1.9
|
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
33.3
|
|
-
|
95.0
|
|
64.9
|
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
290.0
|
|
-
|
390.0
|
|
383.6
|
|
|
||
|
|
738
|
|
|
Consensus
|
|
|
|
|
|
|
|
|
|
|||
|
|
264
|
|
|
Other
|
|
|
|
|
|
|
|
|
|
|||
Total subprime private-label securities
|
|
1,453
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Mortgage revenue bonds
|
|
582
|
|
|
Discounted Cash Flow
|
|
Spreads (bps)
|
|
103.1
|
|
-
|
440.0
|
|
342.1
|
|
|
|
|
|
19
|
|
|
Other
|
|
|
|
|
|
|
|
|
|
|||
Total mortgage revenue bonds
|
|
601
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Other
|
|
102
|
|
|
Discounted Cash Flow
|
|
Spreads (bps)
|
|
490.0
|
|
490.0
|
|
|
||||
Total trading securities
|
|
$
|
2,811
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements as of March 31, 2014
|
|
||||||||||||||
|
|
Fair Value
|
|
Significant Valuation Techniques
|
|
Significant Unobservable Inputs
(1)
|
|
Range
(1)
|
|
Weighted - Average
(1)
|
|
||||||
|
|
(Dollars in millions)
|
|
||||||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency
(2)
|
|
$
|
13
|
|
|
Other
|
|
|
|
|
|
|
|
|
|
||
Alt-A private-label securities
(3)
|
|
1,740
|
|
|
Consensus
|
|
Default Rate (%)
|
|
0.2
|
|
-
|
9.9
|
|
3.8
|
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
0.4
|
|
-
|
39.0
|
|
7.2
|
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
0.8
|
|
-
|
81.3
|
|
55.8
|
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
192.0
|
|
-
|
365.0
|
|
296.6
|
|
|
||
|
|
649
|
|
|
Consensus
|
|
|
|
|
|
|
|
|
|
|||
|
|
621
|
|
|
Discounted Cash Flow
|
|
Default Rate (%)
|
|
1.6
|
|
-
|
17.2
|
|
6.3
|
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
0.0
|
|
-
|
17.4
|
|
5.0
|
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
0.2
|
|
-
|
78.3
|
|
57.2
|
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
195.0
|
|
-
|
399.6
|
|
315.3
|
|
|
||
|
|
560
|
|
|
Other
|
|
|
|
|
|
|
|
|
|
|||
Total Alt-A private-label securities
|
|
3,570
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Subprime private-label securities
(3)
|
|
2,826
|
|
|
Consensus
|
|
Default Rate (%)
|
|
0.0
|
|
-
|
25.0
|
|
6.0
|
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
0.1
|
|
-
|
7.9
|
|
2.1
|
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
0.5
|
|
-
|
99.1
|
|
80.5
|
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
160.0
|
|
-
|
440.0
|
|
293.0
|
|
|
||
|
|
2,796
|
|
|
Consensus
|
|
|
|
|
|
|
|
|
|
|||
|
|
1,068
|
|
|
Discounted Cash Flow
|
|
Default Rate (%)
|
|
0.9
|
|
-
|
9.3
|
|
4.9
|
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
0.4
|
|
-
|
13.2
|
|
3.0
|
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
7.7
|
|
-
|
100.0
|
|
83.7
|
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
160.0
|
|
-
|
390.0
|
|
278.2
|
|
|
||
|
|
340
|
|
|
Other
|
|
|
|
|
|
|
|
|
|
|||
Total subprime private-label securities
|
|
7,030
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Mortgage revenue bonds
|
|
2,165
|
|
|
Single Vendor
|
|
Spreads (bps)
|
|
0.0
|
|
-
|
393.9
|
|
75.8
|
|
|
|
|
|
1,064
|
|
|
Single Vendor
|
|
|
|
|
|
|
|
|
|
|||
|
|
1,767
|
|
|
Discounted Cash Flow
|
|
Spreads (bps)
|
|
0.0
|
|
-
|
644.9
|
|
330.2
|
|
|
|
|
|
10
|
|
|
Other
|
|
|
|
|
|
|
|
|
|
|||
Total mortgage revenue bonds
|
|
5,006
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Other
|
|
371
|
|
|
Consensus
|
|
Default Rate (%)
|
|
0.7
|
|
-
|
9.8
|
|
4.7
|
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
3.0
|
|
-
|
7.6
|
|
3.2
|
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
60.8
|
|
-
|
100.0
|
|
85.9
|
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
236.4
|
|
-
|
484.8
|
|
331.7
|
|
|
||
|
|
397
|
|
|
Consensus
|
|
|
|
|
|
|
|
|
|
|||
|
|
915
|
|
|
Discounted Cash Flow
|
|
Default Rate (%)
|
|
1.4
|
|
-
|
5.0
|
|
4.2
|
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
3.0
|
|
-
|
8.0
|
|
4.0
|
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
4.5
|
|
-
|
85.0
|
|
67.5
|
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
182.1
|
|
-
|
476.0
|
|
367.2
|
|
|
||
|
|
1,161
|
|
|
Other
|
|
|
|
|
|
|
|
|
|
|||
Total Other
|
|
2,844
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total available-for-sale securities
|
|
$
|
18,463
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements as of March 31, 2014
|
|
||||||||||||||
|
|
Fair Value
|
|
Significant Valuation Techniques
|
|
Significant Unobservable Inputs
(1)
|
|
Range
(1)
|
|
Weighted - Average
(1)
|
|
||||||
|
|
(Dollars in millions)
|
|
||||||||||||||
Mortgage loans of consolidated trusts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Single-family
|
|
$
|
1,751
|
|
|
Build-Up
|
|
Default Rate (%)
|
|
0.1
|
|
-
|
98.6
|
|
15.6
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
2.5
|
|
-
|
50.4
|
|
15.5
|
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
5.1
|
|
-
|
100.0
|
|
28.0
|
|
|
||
|
|
613
|
|
|
Discounted Cash Flow
|
|
Default Rate (%)
|
|
1.2
|
|
-
|
12.3
|
|
3.8
|
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
0.5
|
|
-
|
14.2
|
|
5.4
|
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
43.5
|
|
-
|
100.0
|
|
83.5
|
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
160.0
|
|
-
|
915.0
|
|
326.6
|
|
|
||
|
|
66
|
|
|
Other
|
|
|
|
|
|
|
|
|
|
|||
Total single-family
|
|
2,430
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Multifamily
|
|
178
|
|
|
Build-Up
|
|
Spreads (bps)
|
|
53.0
|
|
-
|
266.4
|
|
115.4
|
|
|
|
Total mortgage loans of consolidated trusts
|
|
$
|
2,608
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Net derivatives
|
|
$
|
(84
|
)
|
|
Internal Model
|
|
|
|
|
|
|
|
|
|
||
|
|
66
|
|
|
Dealer Mark
|
|
|
|
|
|
|
|
|
|
|||
|
|
(5
|
)
|
|
Other
|
|
|
|
|
|
|
|
|
|
|||
Total net derivatives
|
|
$
|
(23
|
)
|
|
|
|
|
|
|
|
|
|
|
|
||
Long-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Of Fannie Mae:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Senior floating
|
|
$
|
(310
|
)
|
|
Discounted Cash Flow
|
|
|
|
|
|
|
|
|
|
||
Of consolidated trusts
|
|
(352
|
)
|
|
Discounted Cash Flow
|
|
Default Rate (%)
|
|
1.2
|
|
-
|
5.5
|
|
2.9
|
|
||
|
|
|
|
|
|
Prepayment Speed (%)
|
|
0.5
|
|
-
|
100.0
|
|
10.3
|
|
|||
|
|
|
|
|
|
Severity (%)
|
|
43.5
|
|
-
|
100.0
|
|
87.3
|
|
|||
|
|
|
|
|
|
Spreads (bps)
|
|
120.1
|
|
-
|
915.0
|
|
416.6
|
|
|||
|
|
(154
|
)
|
|
Other
|
|
|
|
|
|
|
|
|
|
|||
Total of consolidated trusts
|
|
(506
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total long-term debt
|
|
$
|
(816
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements as of December 31, 2013
|
|
||||||||||||
|
|
Fair Value
|
|
Significant Valuation Techniques
|
|
Significant Unobservable Inputs
(1)
|
|
Range
(1)
|
|
Weighted - Average
(1)
|
|
||||
|
|
(Dollars in millions)
|
|
||||||||||||
Recurring fair value measurements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Trading securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Agency
(2)
|
|
$
|
44
|
|
|
Other
|
|
|
|
|
|
|
|
|
|
Alt-A private-label securities
(3)
|
|
60
|
|
|
Single Vendor
|
|
Default Rate (%)
|
|
6.0
|
-
|
10.8
|
|
8.7
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
4.1
|
-
|
5.4
|
|
4.6
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
76.1
|
-
|
92.7
|
|
83.1
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
414.3
|
-
|
421.7
|
|
417.5
|
|
||
|
|
325
|
|
|
Consensus
|
|
Default Rate (%)
|
|
6.9
|
-
|
10.4
|
|
8.9
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
1.9
|
-
|
2.5
|
|
2.2
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
77.3
|
-
|
97.8
|
|
88.7
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
298.3
|
-
|
420.2
|
|
366.3
|
|
||
|
|
85
|
|
|
Consensus
|
|
|
|
|
|
|
|
|
|
|
|
|
148
|
|
|
Discounted Cash Flow
|
|
Default Rate (%)
|
|
4.0
|
-
|
6.9
|
|
6.5
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
1.9
|
-
|
3.4
|
|
2.2
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
42.7
|
-
|
77.3
|
|
67.6
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
325.4
|
-
|
439.4
|
|
418.6
|
|
||
Total Alt-A private-label securities
|
|
618
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subprime private-label securities
(3)
|
|
113
|
|
|
Single Vendor
|
|
Default Rate (%)
|
|
3.1
|
-
|
7.5
|
|
3.9
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
1.8
|
-
|
2.5
|
|
2.0
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
75.0
|
-
|
87.2
|
|
75.8
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
325.0
|
|
325.0
|
|
||||
|
|
77
|
|
|
Single Vendor
|
|
|
|
|
|
|
|
|
|
|
|
|
400
|
|
|
Consensus
|
|
Default Rate (%)
|
|
3.0
|
-
|
9.2
|
|
6.4
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
1.4
|
-
|
2.2
|
|
1.9
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
50.4
|
-
|
87.2
|
|
74.4
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
325.0
|
-
|
425.0
|
|
353.0
|
|
||
|
|
808
|
|
|
Consensus
|
|
|
|
|
|
|
|
|
|
|
|
|
50
|
|
|
Discounted Cash Flow
|
|
Default Rate (%)
|
|
6.9
|
|
6.9
|
|
|||
|
|
|
|
|
|
Prepayment Speed (%)
|
|
0.1
|
|
0.1
|
|
||||
|
|
|
|
|
|
Severity (%)
|
|
75.0
|
|
75.0
|
|
||||
|
|
|
|
|
|
Spreads (bps)
|
|
325.0
|
|
325.0
|
|
||||
Total subprime private-label securities
|
|
1,448
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage revenue bonds
|
|
539
|
|
|
Discounted Cash Flow
|
|
Spreads (bps)
|
|
35.0
|
-
|
440.0
|
|
340.6
|
|
|
|
|
26
|
|
|
Other
|
|
|
|
|
|
|
|
|
|
|
Total mortgage revenue bonds
|
|
565
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other
|
|
99
|
|
|
Discounted Cash Flow
|
|
Spreads (bps)
|
|
525.0
|
|
525.0
|
|
|||
Total trading securities
|
|
$
|
2,774
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements as of December 31, 2013
|
|
||||||||||||
|
|
Fair Value
|
|
Significant Valuation Techniques
|
|
Significant Unobservable Inputs
(1)
|
|
Range
(1)
|
|
Weighted - Average
(1)
|
|
||||
|
|
(Dollars in millions)
|
|
||||||||||||
Available-for-sale securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Mortgage-related securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Agency
(2)
|
|
$
|
15
|
|
|
Other
|
|
|
|
|
|
|
|
|
|
Alt-A private-label securities
(3)
|
|
139
|
|
|
Single Vendor
|
|
Default Rate (%)
|
|
0.9
|
-
|
6.4
|
|
3.9
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
9.3
|
-
|
11.9
|
|
11.3
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
53.7
|
-
|
82.6
|
|
68.8
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
300.0
|
-
|
400.0
|
|
349.3
|
|
||
|
|
435
|
|
|
Single Vendor
|
|
|
|
|
|
|
|
|
|
|
|
|
1,948
|
|
|
Consensus
|
|
Default Rate (%)
|
|
0.1
|
-
|
10.3
|
|
3.5
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
0.1
|
-
|
32.9
|
|
9.9
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
7.2
|
-
|
100.0
|
|
62.3
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
210.6
|
-
|
404.2
|
|
336.7
|
|
||
|
|
740
|
|
|
Consensus
|
|
|
|
|
|
|
|
|
|
|
|
|
420
|
|
|
Discounted Cash Flow
|
|
Default Rate (%)
|
|
2.3
|
-
|
10.1
|
|
5.1
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
1.2
|
-
|
7.0
|
|
3.4
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
45.2
|
-
|
79.5
|
|
60.5
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
220.2
|
-
|
500.0
|
|
381.3
|
|
||
|
|
109
|
|
|
Other
|
|
|
|
|
|
|
|
|
|
|
Total Alt-A private-label securities
|
|
3,791
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subprime private-label securities
(3)
|
|
442
|
|
|
Single Vendor
|
|
Default Rate (%)
|
|
1.8
|
-
|
11.0
|
|
7.4
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
1.0
|
-
|
9.4
|
|
2.0
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
65.0
|
-
|
100.0
|
|
82.2
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
275.0
|
-
|
375.0
|
|
315.2
|
|
||
|
|
322
|
|
|
Single Vendor
|
|
|
|
|
|
|
|
|
|
|
|
|
2,981
|
|
|
Consensus
|
|
Default Rate (%)
|
|
0.0
|
-
|
36.8
|
|
7.4
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
0.3
|
-
|
9.7
|
|
2.3
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
36.8
|
-
|
100.0
|
|
81.7
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
175.0
|
-
|
375.0
|
|
319.9
|
|
||
|
|
2,442
|
|
|
Consensus
|
|
|
|
|
|
|
|
|
|
|
|
|
816
|
|
|
Discounted Cash Flow
|
|
Default Rate (%)
|
|
0.7
|
-
|
7.6
|
|
5.1
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
0.2
|
-
|
12.5
|
|
4.1
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
43.8
|
-
|
98.0
|
|
79.5
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
175.0
|
-
|
375.0
|
|
292.4
|
|
||
|
|
65
|
|
|
Other
|
|
|
|
|
|
|
|
|
|
|
Total subprime private-label securities
|
|
7,068
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage revenue bonds
|
|
1,937
|
|
|
Single Vendor
|
|
Spreads (bps)
|
|
0.0
|
-
|
463.2
|
|
112.1
|
|
|
|
|
1,386
|
|
|
Single Vendor
|
|
|
|
|
|
|
|
|
|
|
|
|
1,899
|
|
|
Discounted Cash Flow
|
|
Spreads (bps)
|
|
5.5
|
-
|
490.0
|
|
310.0
|
|
|
|
|
31
|
|
|
Other
|
|
|
|
|
|
|
|
|
|
|
Total mortgage revenue bonds
|
|
5,253
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other
|
|
122
|
|
|
Single Vendor
|
|
|
|
|
|
|
|
|
|
|
|
|
483
|
|
|
Consensus
|
|
Default Rate (%)
|
|
0.1
|
-
|
5.0
|
|
5.0
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
3.0
|
-
|
11.4
|
|
3.0
|
|
||
|
|
|
|
|
|
Severity (%)
|
|
65.0
|
-
|
85.0
|
|
84.6
|
|
||
|
|
|
|
|
|
Spreads (bps)
|
|
275.0
|
-
|
925.0
|
|
526.4
|
|
||
|
|
625
|
|
|
Consensus
|
|
|
|
|
|
|
|
|
|
|
|
|
610
|
|
|
Discounted Cash Flow
|
|
Default Rate (%)
|
|
5.0
|
|
5.0
|
|
|||
|
|
|
|
|
|
Prepayment Speed (%)
|
|
10.0
|
|
10.0
|
|
||||
|
|
|
|
|
|
Severity (%)
|
|
55.0
|
|
55.0
|
|
||||
|
|
|
|
|
|
Spreads (bps)
|
|
300.0
|
-
|
511.0
|
|
469.5
|
|
||
|
|
1,045
|
|
|
Other
|
|
|
|
|
|
|
|
|
|
|
Total Other
|
|
2,885
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total available-for-sale securities
|
|
$
|
19,012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements as of December 31, 2013
|
|
|||||||||||||||
|
|
Fair Value
|
|
Significant Valuation Techniques
|
|
Significant Unobservable Inputs
(1)
|
|
Range
(1)
|
|
Weighted - Average
(1)
|
|
|||||||
|
|
(Dollars in millions)
|
|
|||||||||||||||
Mortgage loans of consolidated trusts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Single-family
|
|
$
|
1,828
|
|
|
Build-Up
|
|
Default Rate (%)
|
|
0.1
|
|
-
|
95.6
|
|
15.7
|
|
|
|
|
|
|
|
|
|
Prepayment Speed (%)
|
|
2.3
|
|
-
|
37.6
|
|
14.1
|
|
|
|||
|
|
|
|
|
|
Severity (%)
|
|
0.0
|
|
-
|
100.0
|
|
26.6
|
|
|
|||
|
|
219
|
|
|
Consensus
|
|
|
|
|
|
|
|
|
|
||||
|
|
112
|
|
|
Consensus
|
|
Default Rate (%)
|
|
1.1
|
|
-
|
4.7
|
|
3.2
|
|
|
||
|
|
|
|
|
|
Prepayment Speed (%)
|
|
0.2
|
|
-
|
16.7
|
|
15.2
|
|
|
|||
|
|
|
|
|
|
Severity (%)
|
|
63.9
|
|
-
|
89.5
|
|
85.6
|
|
|
|||
|
|
|
|
|
|
Spreads (bps)
|
|
175.0
|
|
-
|
950.0
|
|
293.9
|
|
|
|||
|
|
310
|
|
|
Discounted Cash Flow
|
|
Default Rate (%)
|
|
1.2
|
|
-
|
15.7
|
|
7.0
|
|
|
||
|
|
|
|
|
|
Prepayment Speed (%)
|
|
1.9
|
|
-
|
16.7
|
|
7.0
|
|
|
|||
|
|
|
|
|
|
Severity (%)
|
|
58.8
|
|
-
|
97.7
|
|
75.5
|
|
|
|||
|
|
|
|
|
|
Spreads (bps)
|
|
175.0
|
|
-
|
360.6
|
|
252.1
|
|
|
|||
|
|
60
|
|
|
Other
|
|
|
|
|
|
|
|
|
|
||||
Total single-family
|
|
2,529
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Multifamily
|
|
175
|
|
|
Build-Up
|
|
Spreads (bps)
|
|
62.0
|
|
-
|
243.4
|
|
114.3
|
|
|
||
Total mortgage loans of consolidated trusts
|
|
$
|
2,704
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Net derivatives
|
|
$
|
(64
|
)
|
|
Internal Model
|
|
|
|
|
|
|
|
|
|
|||
|
|
32
|
|
|
Dealer Mark
|
|
|
|
|
|
|
|
|
|
||||
|
|
(8
|
)
|
|
Other
|
|
|
|
|
|
|
|
|
|
||||
Total net derivatives
|
|
$
|
(40
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|||
Long-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Of Fannie Mae:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Senior floating
|
|
$
|
(266
|
)
|
|
Discounted Cash Flow
|
|
|
|
|
|
|
|
|
|
|||
|
|
(689
|
)
|
|
Consensus
|
|
Default Rate (%)
|
|
0.2
|
|
0.2
|
|
|
|||||
|
|
|
|
|
|
Prepayment Speed (%)
|
|
8.4
|
|
8.4
|
|
|
||||||
|
|
|
|
|
|
Spreads (bps)
|
|
171.000
|
|
-
|
438.000
|
|
|
306.2
|
|
|
||
Total of Fannie Mae
|
|
(955
|
)
|
|
|
|
|
|
|
|
|
|
|
|
||||
Of consolidated trusts
|
|
(227
|
)
|
|
Consensus
|
|
|
|
|
|
|
|
|
|
||||
|
|
(116
|
)
|
|
Consensus
|
|
Default Rate (%)
|
|
1.1
|
|
-
|
4.7
|
|
3.2
|
|
|
||
|
|
|
|
|
|
Prepayment Speed (%)
|
|
0.2
|
|
-
|
16.7
|
|
15.2
|
|
|
|||
|
|
|
|
|
|
Severity (%)
|
|
63.9
|
|
-
|
89.5
|
|
85.6
|
|
|
|||
|
|
|
|
|
|
Spreads (bps)
|
|
175.0
|
|
-
|
950.0
|
|
295.1
|
|
|
|||
|
|
(80
|
)
|
|
Single Vendor
|
|
|
|
|
|
|
|
|
|
||||
|
|
(95
|
)
|
|
Other
|
|
|
|
|
|
|
|
|
|
||||
Total of consolidated trusts
|
|
(518
|
)
|
|
|
|
|
|
|
|
|
|
|
|
||||
Total long-term debt
|
|
$
|
(1,473
|
)
|
|
|
|
|
|
|
|
|
|
|
|
(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.
|
|
|
|
Fair Value Measurements as of
|
||||||
|
Valuation Techniques
|
|
March 31, 2014
|
|
December 31, 2013
|
||||
|
|
|
(Dollars in millions)
|
||||||
Nonrecurring fair value measurements:
|
|
|
|
|
|
||||
Mortgage loans held for sale, at lower of cost or fair value
|
Consensus
|
|
$
|
118
|
|
|
$
|
132
|
|
|
Build-Up
|
|
114
|
|
|
—
|
|
||
Total mortgage loans held for sale, at lower of cost or fair value
|
|
|
232
|
|
|
132
|
|
||
Single-family mortgage loans held for investment, at amortized cost:
|
|
|
|
|
|
||||
Of Fannie Mae
|
Internal Model
|
|
18,039
|
|
|
19,966
|
|
||
Of consolidated trusts
|
Internal Model
|
|
56
|
|
|
79
|
|
||
Multifamily mortgage loans held for investment, at amortized cost
|
Appraisals
|
|
36
|
|
|
39
|
|
||
|
Broker Price Opinions
|
|
196
|
|
|
248
|
|
||
|
Build-Up
|
|
522
|
|
|
—
|
|
||
|
Asset Manager Estimate
|
|
949
|
|
|
1,230
|
|
||
|
Other
|
|
11
|
|
|
16
|
|
||
Total multifamily mortgage loans held for investment, at amortized cost
|
|
|
1,714
|
|
|
1,533
|
|
||
Acquired property, net:
|
|
|
|
|
|
||||
Single-family
|
Accepted Offers
|
|
993
|
|
|
691
|
|
||
|
Appraisals
|
|
1,251
|
|
|
1,077
|
|
||
|
Walk Forwards
|
|
1,151
|
|
|
1,106
|
|
||
|
Internal Model
|
|
957
|
|
|
1,049
|
|
||
|
Other
|
|
185
|
|
|
118
|
|
||
Total single-family
|
|
|
4,537
|
|
|
4,041
|
|
||
Multifamily
|
Accepted Offers
|
|
15
|
|
|
24
|
|
||
|
Appraisals
|
|
52
|
|
|
65
|
|
||
|
Broker Price Opinions
|
|
45
|
|
|
9
|
|
||
Total multifamily
|
|
|
112
|
|
|
98
|
|
||
Other Assets
|
Appraisals
|
|
1
|
|
|
26
|
|
||
|
Walk Forwards
|
|
4
|
|
|
9
|
|
||
|
Internal Model
|
|
56
|
|
|
81
|
|
||
|
Other
|
|
4
|
|
|
5
|
|
||
Total other assets
|
|
|
65
|
|
|
121
|
|
||
Total nonrecurring assets at fair value
|
|
|
$
|
24,755
|
|
|
$
|
25,970
|
|
|
As of March 31, 2014
|
||||||||||||||||||||||
|
Carrying
Value |
|
Quoted Price in Active Markets for Identical Assets
(Level 1) |
|
Significant Other Observable Inputs
(Level 2) |
|
Significant Unobservable Inputs
(Level 3) |
|
Netting Adjustment
|
|
Estimated
Fair Value |
||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||
Financial assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Cash and cash equivalents and restricted cash
|
$
|
38,639
|
|
|
$
|
29,239
|
|
|
$
|
9,400
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
38,639
|
|
Federal funds sold and securities purchased under agreements to resell or similar arrangements
|
12,750
|
|
|
—
|
|
|
12,750
|
|
|
—
|
|
|
—
|
|
|
12,750
|
|
||||||
Trading securities
|
31,795
|
|
|
17,587
|
|
|
11,397
|
|
|
2,811
|
|
|
—
|
|
|
31,795
|
|
||||||
Available-for-sale securities
|
37,128
|
|
|
—
|
|
|
18,665
|
|
|
18,463
|
|
|
—
|
|
|
37,128
|
|
||||||
Mortgage loans held for sale
|
1,494
|
|
|
—
|
|
|
157
|
|
|
1,345
|
|
|
—
|
|
|
1,502
|
|
||||||
Mortgage loans held for investment, net of allowance for loan losses:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Of Fannie Mae
|
251,899
|
|
|
—
|
|
|
28,725
|
|
|
213,181
|
|
|
—
|
|
|
241,906
|
|
||||||
Of consolidated trusts
|
2,764,623
|
|
|
—
|
|
|
2,588,130
|
|
|
181,818
|
|
|
—
|
|
|
2,769,948
|
|
||||||
Mortgage loans held for investment
|
3,016,522
|
|
|
—
|
|
|
2,616,855
|
|
|
394,999
|
|
|
—
|
|
|
3,011,854
|
|
||||||
Advances to lenders
|
3,904
|
|
|
—
|
|
|
3,362
|
|
|
518
|
|
|
—
|
|
|
3,880
|
|
||||||
Derivative assets at fair value
|
836
|
|
|
—
|
|
|
9,160
|
|
|
98
|
|
|
(8,422
|
)
|
|
836
|
|
||||||
Guaranty assets and buy-ups
|
261
|
|
|
—
|
|
|
—
|
|
|
710
|
|
|
—
|
|
|
710
|
|
||||||
Total financial assets
|
$
|
3,143,329
|
|
|
$
|
46,826
|
|
|
$
|
2,681,746
|
|
|
$
|
418,944
|
|
|
$
|
(8,422
|
)
|
|
$
|
3,139,094
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Financial liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Federal funds purchased and securities sold under agreements to repurchase
|
$
|
25
|
|
|
$
|
—
|
|
|
$
|
25
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
25
|
|
Short-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Of Fannie Mae
|
65,448
|
|
|
—
|
|
|
65,460
|
|
|
—
|
|
|
—
|
|
|
65,460
|
|
||||||
Of consolidated trusts
|
1,899
|
|
|
—
|
|
|
—
|
|
|
1,899
|
|
|
—
|
|
|
1,899
|
|
||||||
Long-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Of Fannie Mae
|
416,405
|
|
|
—
|
|
|
426,479
|
|
|
906
|
|
|
—
|
|
|
427,385
|
|
||||||
Of consolidated trusts
|
2,710,943
|
|
|
—
|
|
|
2,711,787
|
|
|
13,518
|
|
|
—
|
|
|
2,725,305
|
|
||||||
Derivative liabilities at fair value
|
209
|
|
|
—
|
|
|
10,130
|
|
|
121
|
|
|
(10,042
|
)
|
|
209
|
|
||||||
Guaranty obligations
|
467
|
|
|
—
|
|
|
—
|
|
|
2,107
|
|
|
—
|
|
|
2,107
|
|
||||||
Total financial liabilities
|
$
|
3,195,396
|
|
|
$
|
—
|
|
|
$
|
3,213,881
|
|
|
$
|
18,551
|
|
|
$
|
(10,042
|
)
|
|
$
|
3,222,390
|
|
|
As of December 31, 2013
|
||||||||||||||||||||||
|
Carrying
Value |
|
Quoted Price in Active Markets for Identical Assets
(Level 1) |
|
Significant Other Observable Inputs
(Level 2) |
|
Significant Unobservable Inputs
(Level 3) |
|
Netting Adjustment
|
|
Estimated
Fair Value |
||||||||||||
|
(Dollars in millions)
|
||||||||||||||||||||||
Financial assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Cash and cash equivalents and restricted cash
|
$
|
48,223
|
|
|
$
|
36,633
|
|
|
$
|
11,590
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
48,223
|
|
Federal funds sold and securities purchased under agreements to resell or similar arrangements
|
38,975
|
|
|
—
|
|
|
38,975
|
|
|
—
|
|
|
—
|
|
|
38,975
|
|
||||||
Trading securities
|
30,768
|
|
|
16,306
|
|
|
11,688
|
|
|
2,774
|
|
|
—
|
|
|
30,768
|
|
||||||
Available-for-sale securities
|
38,171
|
|
|
—
|
|
|
19,159
|
|
|
19,012
|
|
|
—
|
|
|
38,171
|
|
||||||
Mortgage loans held for sale
|
380
|
|
|
—
|
|
|
185
|
|
|
195
|
|
|
—
|
|
|
380
|
|
||||||
Mortgage loans held for investment, net of allowance for loan losses:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Of Fannie Mae
|
259,638
|
|
|
—
|
|
|
29,920
|
|
|
215,960
|
|
|
—
|
|
|
245,880
|
|
||||||
Of consolidated trusts
|
2,766,222
|
|
|
—
|
|
|
2,569,747
|
|
|
176,395
|
|
|
—
|
|
|
2,746,142
|
|
||||||
Mortgage loans held for investment
|
3,025,860
|
|
|
—
|
|
|
2,599,667
|
|
|
392,355
|
|
|
—
|
|
|
2,992,022
|
|
||||||
Advances to lenders
|
3,727
|
|
|
—
|
|
|
3,165
|
|
|
523
|
|
|
—
|
|
|
3,688
|
|
||||||
Derivative assets at fair value
|
2,073
|
|
|
—
|
|
|
10,430
|
|
|
65
|
|
|
(8,422
|
)
|
|
2,073
|
|
||||||
Guaranty assets and buy-ups
|
267
|
|
|
—
|
|
|
—
|
|
|
706
|
|
|
—
|
|
|
706
|
|
||||||
Total financial assets
|
$
|
3,188,444
|
|
|
$
|
52,939
|
|
|
$
|
2,694,859
|
|
|
$
|
415,630
|
|
|
$
|
(8,422
|
)
|
|
$
|
3,155,006
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Financial liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Short-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Of Fannie Mae
|
$
|
72,295
|
|
|
$
|
—
|
|
|
$
|
72,304
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
72,304
|
|
Of consolidated trusts
|
2,154
|
|
|
—
|
|
|
—
|
|
|
2,154
|
|
|
—
|
|
|
2,154
|
|
||||||
Long-term debt:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Of Fannie Mae
|
457,139
|
|
|
—
|
|
|
463,991
|
|
|
1,557
|
|
|
—
|
|
|
465,548
|
|
||||||
Of consolidated trusts
|
2,702,935
|
|
|
—
|
|
|
2,684,224
|
|
|
13,362
|
|
|
—
|
|
|
2,697,586
|
|
||||||
Derivative liabilities at fair value
|
1,469
|
|
|
—
|
|
|
10,734
|
|
|
105
|
|
|
(9,370
|
)
|
|
1,469
|
|
||||||
Guaranty obligations
|
485
|
|
|
—
|
|
|
—
|
|
|
2,433
|
|
|
—
|
|
|
2,433
|
|
||||||
Total financial liabilities
|
$
|
3,236,477
|
|
|
$
|
—
|
|
|
$
|
3,231,253
|
|
|
$
|
19,611
|
|
|
$
|
(9,370
|
)
|
|
$
|
3,241,494
|
|
|
|
As of
|
|
||||||||||||||||||||||||||||||||
|
|
March 31, 2014
|
|
|
|
December 31, 2013
|
|
||||||||||||||||||||||||||||
|
Loans of Consolidated Trusts
(1)
|
|
Long-Term Debt of Fannie Mae
|
|
Long-Term Debt of Consolidated Trusts
(2)
|
|
Loans of Consolidated Trusts
(1)
|
|
Long-Term Debt of Fannie Mae
|
|
Long-Term Debt of Consolidated Trusts
(2)
|
||||||||||||||||||||||||
|
|
(Dollars in millions)
|
|
||||||||||||||||||||||||||||||||
Fair value
|
|
$
|
14,637
|
|
|
|
|
$
|
1,775
|
|
|
|
|
$
|
15,373
|
|
|
|
|
$
|
14,268
|
|
|
|
|
$
|
1,308
|
|
|
|
|
$
|
14,976
|
|
|
Unpaid principal balance
|
|
14,650
|
|
|
|
|
1,671
|
|
|
|
|
14,301
|
|
|
|
|
14,440
|
|
|
|
|
1,290
|
|
|
|
|
13,988
|
|
|
(1)
|
Includes nonaccrual loans with a fair value of
$192 million
and
$196 million
as of
March 31, 2014
and December 31, 2013, respectively. The difference between unpaid principal balance and the fair value of these nonaccrual loans as of
March 31, 2014
and December 31, 2013 was
$77 million
and
$74 million
, respectively. Includes loans that are 90 days or more past due with a fair value of
$279 million
and
$288 million
as of
March 31, 2014
and December 31, 2013, respectively. The difference between unpaid principal balance and the fair value of these
90
or more days past due loans as of March 31, 2014 and December 31, 2013 was
$81 million
and
$75 million
, respectively.
|
(2)
|
Includes interest-only debt instruments with no unpaid principal balance and a fair value of
$79 million
and
$85 million
as of
March 31, 2014
and December 31, 2013, respectively.
|
|
For the Three Months Ended March 31,
|
|||||||||||||||||||||||||||||
|
2014
|
|
2013
|
|||||||||||||||||||||||||||
|
Loans
|
|
Long-Term Debt
|
|
Total (Losses) Gains
|
|
Loans
|
|
Long-Term Debt
|
|
Total Losses
|
|||||||||||||||||||
|
(Dollars in millions)
|
|||||||||||||||||||||||||||||
Changes in instrument-specific credit risk
|
$
|
9
|
|
|
|
$
|
(51
|
)
|
|
|
|
$
|
(42
|
)
|
|
|
$
|
(65
|
)
|
|
|
$
|
(5
|
)
|
|
|
|
$
|
(70
|
)
|
Other changes in fair value
|
123
|
|
|
|
(116
|
)
|
|
|
|
7
|
|
|
|
(157
|
)
|
|
|
66
|
|
|
|
|
(91
|
)
|
||||||
Fair value (losses) gains, net
|
$
|
132
|
|
|
|
$
|
(167
|
)
|
|
|
|
$
|
(35
|
)
|
|
|
$
|
(222
|
)
|
|
|
$
|
61
|
|
|
|
|
$
|
(161
|
)
|
•
|
Disclosure Controls and Procedures.
We have been under the conservatorship of FHFA since September 6, 2008. Under the 2008 Reform Act, FHFA is an independent agency that currently functions as both our conservator and our regulator with respect to our safety, soundness and mission. Because of the nature of the conservatorship under the 2008 Reform Act, which places us under the “control” of FHFA (as that term is defined by securities laws), some of the information that we may need to meet our disclosure obligations may be solely within the knowledge of FHFA. As our conservator, FHFA has the power to take actions without our knowledge that could be material to our shareholders and other stakeholders, and could significantly affect our financial performance or our continued existence as an ongoing business. Although we and FHFA attempted to design and implement disclosure policies and procedures that would account for the conservatorship and accomplish the same objectives as a disclosure controls and procedures policy of a typical reporting company, there are inherent structural limitations on our ability to design, implement, test
|
•
|
FHFA has established the Division of Conservatorship, which is intended to facilitate operation of the company with the oversight of the conservator.
|
•
|
We have provided drafts of our SEC filings to FHFA personnel for their review and comment prior to filing. We also have provided drafts of external press releases, statements and speeches to FHFA personnel for their review and comment prior to release.
|
•
|
FHFA personnel, including senior officials, have reviewed our SEC filings prior to filing, including this quarterly report on Form 10-Q for the quarter ended
March 31, 2014
(“First Quarter 2014 Form 10-Q”), and engaged in discussions regarding issues associated with the information contained in those filings. Prior to filing our First Quarter 2014 Form 10-Q, FHFA provided Fannie Mae management with a written acknowledgment that it had reviewed the First Quarter 2014 Form 10-Q, and it was not aware of any material misstatements or omissions in the First Quarter 2014 Form 10-Q and had no objection to our filing the First Quarter 2014 Form 10-Q.
|
•
|
The Director of FHFA and our Chief Executive Officer have been in frequent communication, typically meeting on at least a bi-weekly basis.
|
•
|
FHFA representatives attend meetings frequently with various groups within the company to enhance the flow of information and to provide oversight on a variety of matters, including accounting, credit and market risk management, external communications and legal matters.
|
•
|
Senior officials within FHFA’s Office of the Chief Accountant have met frequently with our senior finance executives regarding our accounting policies, practices and procedures.
|
•
|
Morgan Stanley
. On February 7, 2014, we, along with FHFA and Freddie Mac, entered into a settlement agreement with Morgan Stanley and certain related entities resolving the Morgan Stanley case for a payment of $1.25 billion. Morgan Stanley paid us $625 million of this amount in February 2014. On February 18, 2014, the district court entered a voluntary order dismissing the case.
|
•
|
SG Americas
. On February 26, 2014, we, along with FHFA and Freddie Mac, entered into a settlement agreement with SG Americas, Inc. and certain related entities resolving the SG Americas, Inc. case for a payment of $122 million. SG Americas paid us approximately $60 million of this amount in March 2014. On March 6, 2014, the district court entered a voluntary order dismissing the case.
|
•
|
Credit Suisse
. On March 21, 2014, we, along with FHFA and Freddie Mac, entered into a settlement agreement with Credit Suisse Holdings (USA), Inc. and certain related entities resolving the Credit Suisse Holdings (USA), Inc. case for a payment of $885 million. Credit Suisse paid us $234 million of this amount in April 2014. On April 11, 2014, the district court entered a voluntary order dismissing the case.
|
•
|
Bank of America, Merrill Lynch and Countrywide
. On March 25, 2014, we, along with FHFA and Freddie Mac, entered into a settlement agreement with Bank of America Corporation and certain related entities resolving the Bank of America Corporation, Merrill Lynch, Pierce, Fenner & Smith Inc. and Countrywide Financial Corporation cases for a payment of $9.3 billion. As part of the settlement, Fannie Mae and Freddie Mac transferred private-label securities to Bank of America. In April 2014, Bank of America paid us approximately $4.4 billion and we transferred private-label securities with an unpaid principal balance of $1.9 billion to Bank of America. On April 1, 2014, the district court where the Merrill Lynch and Bank of America cases were pending entered voluntary orders dismissing those cases. On April 2, 2014, the district court where the Countrywide case was pending entered a voluntary order dismissing that case.
|
•
|
Barclays.
On April 23, 2014, we, along with FHFA and Freddie Mac, entered into a settlement agreement with Barclays Bank PLC and certain related entities resolving the Barclays Bank PLC case for a payment of $280 million. Barclays paid us $53 million of this amount in May 2014. On May 5, 2014, the district court entered a voluntary order dismissing the case.
|
•
|
First Horizon.
On April 29, 2014, we, along with FHFA and Freddie Mac, entered into a settlement agreement with First Horizon National Corporation and certain related entities resolving the First Horizon National Corporation case for a payment of $110 million. Under the terms of the settlement agreement, First Horizon is required to pay us approximately $62 million of this amount by May 20, 2014.
|
Federal National Mortgage Association
|
||
|
|
|
|
By:
|
/s/ Timothy J. Mayopoulos
|
|
|
Timothy J. Mayopoulos
President and Chief Executive Officer |
|
By:
|
/s/ David C. Benson
|
|
|
David C. Benson
Executive Vice President and
Chief Financial Officer
|
Item
|
|
Description
|
3.1
|
|
Fannie Mae Charter Act (12 U.S.C. § 1716 et seq.) as amended through July 30, 2008 (Incorporated by reference to Exhibit 3.1 to Fannie Mae’s Annual Report on Form 10-K (Commission file number 001-34140) for the year ended December 31, 2010, filed February 24, 2011.)
|
3.2
|
|
Fannie Mae Bylaws, as amended through January 30, 2009 (Incorporated by reference to Exhibit 3.2 to Fannie Mae’s Annual Report on Form 10-K (Commission file number 001-34140) for the year ended December 31, 2008, filed February 26, 2009.)
|
31.1
|
|
Certification of Chief Executive Officer pursuant to Securities Exchange Act Rule 13a-14(a)
|
31.2
|
|
Certification of Chief Financial Officer pursuant to Securities Exchange Act Rule 13a-14(a)
|
32.1
|
|
Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350
|
32.2
|
|
Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350
|
101. INS
|
|
XBRL Instance Document*
|
101. SCH
|
|
XBRL Taxonomy Extension Schema*
|
101. CAL
|
|
XBRL Taxonomy Extension Calculation*
|
101. DEF
|
|
XBRL Taxonomy Extension Definition*
|
101. LAB
|
|
XBRL Taxonomy Extension Label*
|
101. PRE
|
|
XBRL Taxonomy Extension Presentation*
|
*
|
The financial information contained in these XBRL documents is unaudited.
|
No information found
* THE VALUE IS THE MARKET VALUE AS OF THE LAST DAY OF THE QUARTER FOR WHICH THE 13F WAS FILED.
FUND | NUMBER OF SHARES | VALUE ($) | PUT OR CALL |
---|
DIRECTORS | AGE | BIO | OTHER DIRECTOR MEMBERSHIPS |
---|
No information found
Customers
Customer name | Ticker |
---|---|
U.S. Bancorp | USB |
Wells Fargo & Company | WFC |
Wells Fargo & Company | WFC |
No Suppliers Found
Price
Yield
Owner | Position | Direct Shares | Indirect Shares |
---|