Fannie Mae 2006 Annual Report Download - page 97

Non-Mortgage Investments
As discussed further in “Liquidity and Capital Management,” our Capital Markets group also purchases non-
mortgage investments. Our non-mortgage investments consist primarily of high-quality securities that are
readily marketable or have short-term maturities, such as commercial paper. Our liquid assets, net of any cash
and cash equivalents pledged as collateral, totaled approximately $69.4 billion and $52.2 billion as of
December 31, 2006 and 2005, respectively. Our investments in non-mortgage securities, which account for the
majority of our liquid assets, totaled $47.6 billion and $37.1 billion of December 31, 2006 and 2005,
respectively. Our non-mortgage investments, which are carried at fair value in our consolidated balance sheets,
are presented below as of December 31, 2006, 2005 and 2004.
Table 14: Non-Mortgage Investments
2006 2005 2004
As of December 31,
(Dollars in millions)
Non-mortgage-related securities:
Asset-backed securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $18,914 $19,190 $25,645
Corporate debt securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,594 11,840 15,098
Commercial paper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,010 5,139 1,337
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,055 947 1,829
Total non-mortgage-related securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $47,573 $37,116 $43,909
Table 15 shows the amortized cost, maturity and weighted average yield of our investments in mortgage and
non-mortgage securities as of December 31, 2006.
Table 15: Amortized Cost, Maturity and Average Yield of Investments in Available-for-Sale Securities
Total
Amortized
Cost
(1)
Total
Fair
Value
Amortized
Cost
(1)
Fair
Value
Amortized
Cost
(1)
Fair
Value
Amortized
Cost
(1)
Fair
Value
Amortized
Cost
(1)
Fair
Value
One Year or Less
After One Year
Through Five Years
After Five Years
Through Ten Years After Ten Years
As of December 31, 2006
(Dollars in millions)
Fannie Mae single-
class MBS
(2)
. . . . . . . . $111,521 $110,924 $ 20 $ 20 $ 428 $ 429 $ 2,473 $ 2,493 $108,600 $107,982
Non-Fannie Mae structured
mortgage securities
(2)
. . . 97,458 97,300 — — — — 5,959 6,052 91,499 91,248
Fannie Mae structured
MBS
(2)
. . . . . . . . . . . . 75,333 74,684 25 25 30 30 885 880 74,393 73,749
Non-Fannie Mae single-
class mortgage
securities
(2)
. . . . . . . . . 27,239 27,146 3 3 83 81 235 236 26,918 26,826
Mortgage revenue bonds . . 16,956 17,221 86 85 314 312 721 729 15,835 16,095
Other mortgage-related
securities
(3)
. . . . . . . . . 3,504 3,750 — — — — 1 1 3,503 3,749
Asset-backed securities
(2)
. . 18,906 18,914 56 56 7,304 7,306 8,106 8,110 3,440 3,442
Corporate debt securities . . 17,573 17,594 2,294 2,295 15,279 15,299 — — — —
Commercial paper . . . . . . 10,010 10,010 10,010 10,010 — — — — — —
Other non-mortgage-related
securities . . . . . . . . . . . 986 1,055 953 1,022 33 33 — — — —
Total . . . . . . . . . . . . . . $379,486 $378,598 $13,447 $13,516 $23,471 $23,490 $18,380 $18,501 $324,188 $323,091
Yield
(4)
. . . . . . . . . . . . 5.47% 6.42% 3.84% 3.72% 5.64%
(1)
Amortized cost includes unamortized premiums, discounts and other cost basis adjustments, as well as other-than-
temporary impairment write downs.
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