Fannie Mae 2010 Annual Report Download - page 381

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Trading
Securities
Available-for-sale
Securities
Net
Derivatives
Guaranty
Assets
and
Buy-ups
Long-Term
Debt
Fair Value Measurements Using Significant
Unobservable Inputs (Level 3)
For the Year Ended December 31, 2008
(Dollars in millions)
Beginning balance as of January 1, 2008 . . . . . . . $18,508 $20,920 $ 161 $1,568 $(7,888)
Realized/unrealized gains (losses) included in net
loss. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,881) (3,152) 282 (512) (73)
Unrealized losses included in other comprehensive
loss. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,136) (342)
Purchases, sales, issuances, and settlements, net . . (4,337) (3,640) (227) 369 5,396
Transfers in/out of Level 3, net
(4)
. . . . . . . . . . . . . 475 37,845 94 (333)
Ending balance as of December 31, 2008 . . . . . . . $12,765 $47,837 $ 310 $1,083 $(2,898)
Net unrealized gains (losses) included in net loss
related to assets and liabilities still held as of
December 31, 2008
(2)
. . . . . . . . . . . . . . . . . . . $ (1,293) $ $ 159 $ (26) $ (18)
(1)
For the year ended December 31, 2010, the transfers out of Level 3 consisted primarily of Fannie Mae guaranteed
mortgage-related securities and private-label mortgage-related securities backed by Alt-A loans. Prices for these
securities were obtained from multiple third-party vendors supported by market observable inputs. For the year ended
December 31, 2010, the transfers into Level 3 consisted primarily of private-label mortgage-related securities backed
by Alt-A loans as well as Fannie Mae guaranteed mortgage-related securities. Prices for these securities are based on
inputs from a single source or inputs that were not readily observable.
(2)
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.
(3)
For the year ended December 31, 2009, the net transfers to Level 2 from Level 3 consisted primarily of Fannie Mae
guaranteed mortgage-related securities, which include securities backed by jumbo conforming loans, and private-label
mortgage-related securities backed by non-fixed rate Alt-A loans. Price transparency improved as a result of increased
market activity, and we noted some convergence in prices obtained from third-party vendors. As a result, we
determined that our fair value estimates for these securities did not rely on significant unobservable inputs.
(4)
During the year ended December 31, 2008, transfers into Level 3 consisted primarily of private-label mortgage-related
securities backed by Alt-A and subprime mortgage loans.
The following tables display unrealized gains and losses recorded in our consolidated statements of operations
for the years ended December 31, 2010, 2009 and 2008 for assets and liabilities transferred into Level 3 and
measured in our consolidated balance sheets at fair value on a recurring basis.
Trading
Securities
Available-For-Sale
Securities
Loans of
Consolidated
Trusts
Net
Derivatives
Long-Term
Debt
Fair Value Measurements Using Significant
Unobservable Inputs (Level 3)
For the Year Ended December 31, 2010
(Dollars in millions)
Realized and unrealized gains (losses)
included in net loss. . . . . . . . . . . . . . . . . . $ 126 $ (36) $(33) $(32) $ (3)
Unrealized losses included in other
comprehensive loss . . . . . . . . . . . . . . . . . . (151)
Total gains (losses). . . . . . . . . . . . . . . . . . . . $ 126 $ (187) $(33) $(32) $ (3)
Amount of Level 3 transfers in . . . . . . . . . . . $2,654 $3,478 $ 59 $ (5) $(30)
F-123
FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)