Fannie Mae 2006 Annual Report Download - page 271

The following table displays the amortized cost and fair value of our AFS securities by investment
classification and remaining maturity as of December 31, 2006. Contractual maturity of asset-backed securities
is not a reliable indicator of their expected life because borrowers generally have the right to repay their
obligations at any time.
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-related 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-related 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
(1)
Amortized cost includes unamortized premiums, discounts and other cost basis adjustments, as well as other-than-
temporary impairment.
(2)
Asset-backed securities and 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, 2006
and 2005, portfolio securitizations were $42.1 billion and $74.2 billion, respectively.
For the transfers that were recorded as sales, we may retain an interest in the assets transferred to a trust. The
following table displays our retained interests in the form of Fannie Mae MBS, guaranty asset and MSA as of
December 31, 2006 and 2005.
2006 2005
As of December 31,
(Dollars in millions)
Fannie Mae MBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $35,830 $31,454
Guaranty asset . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 498 375
MSA............................................................. 84 56
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
F-40
FANNIE MAE
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)