Fannie Mae 2005 Annual Report Download - page 270

The following table displays the amortized cost and fair value of our AFS securities by investment
classification and remaining maturity as of December 31, 2005.
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, 2005
(Dollars in millions)
Fannie Mae single-class MBS
(2)
. . . $144,193 $143,742 $ 1 $ 1 $ 651 $ 666 $2,148 $2,206 $141,393 $140,869
Non-Fannie Mae single-class
mortgage-related securities
(2)
. . . 26,372 26,356 — — 100 98 283 288 25,989 25,970
Fannie Mae structured MBS
(2)
. . . . 74,452 74,102 — — 54 55 384 388 74,014 73,659
Non-Fannie Mae structured
mortgage-related securities
(2)
. . . 86,273 86,006 — — — — 37 37 86,236 85,969
Mortgage revenue bonds. . ...... 18,836 19,178 98 97 319 317 695 702 17,724 18,062
Other mortgage-related
securities
(3)
............... 4,227 4,464 — (2) — — — — 4,227 4,466
Asset-backed securities
(2)
....... 19,197 19,190 4,725 4,724 12,089 12,083 1,218 1,217 1,165 1,166
Corporate debt securities . ...... 11,843 11,840 3,018 3,017 8,725 8,723 100 100 — —
Other non-mortgage-related
securities ................ 6,032 6,086 5,679 5,733 353 353 — — — —
Total . . . ................ $391,425 $390,964 $13,521 $13,570 $22,291 $22,295 $4,865 $4,938 $350,748 $350,161
(1)
Amortized cost includes unamortized premiums, discounts and other cost basis adjustments, as well as other-than-tem-
porary impairment.
(2)
Asset-backed securities, including mortgage-backed securities, are reported based on contractual maturities assuming
no prepayments.
(3)
Includes commitments related to mortgage securities that are accounted for as securities.
6. Portfolio Securitizations
We issue Fannie Mae MBS through securitization transactions by transferring pools of mortgage loans or
mortgage-related securities to one or more trusts or SPEs. We are considered to be the transferor when we
transfer assets from our own portfolio in a portfolio securitization. For the years ended December 31, 2005
and 2004, portfolio securitizations were $74.2 billion and $28.1 billion, respectively.
For the transfers that were recorded as sales, we may retain an interest in the assets transferred to a trust. Our
retained interests in the form of Fannie Mae MBS were approximately $31.5 billion and $11.1 billion as of
December 31, 2005 and 2004, respectively. Our retained interests in the form of a guaranty asset were
$375 million and $182 million, and our retained interests in the form of an MSA were not material, as of
December 31, 2005 and 2004, respectively. See “Note 1, Summary of Significant Accounting Policies” for
additional information.
Our retained interests in portfolio securitizations, including Fannie Mae single-class MBS, Fannie Mae Megas,
REMICs and SMBS, are exposed to minimal credit losses as they represent undivided interests in the highest-
rated tranches of the rated securities and are priced assuming no losses. In addition, our exposure to credit
losses on the loans underlying our Fannie Mae MBS resulting from our guaranty has been recorded in the
consolidated balance sheets in “Guaranty obligations,” as it relates to our obligation to stand ready to perform
on our guaranty, and “Reserve for guaranty losses,” as it relates to incurred losses.
Since the retained interest that results from our guaranty does not trade in active financial markets, we
estimate its fair value by using internally developed models and market inputs for securities with similar
characteristics. The key assumptions are discount rate, or yield, derived using a projected interest rate path
F-41
FANNIE MAE
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)