Fannie Mae 2007 Annual Report Download - page 113

until recovery of the impairment. In conjunction with our January 1, 2008 adoption of SFAS 159, we elected
to reclassify all of our non-mortgage investments from AFS to trading.
Available-for-Sale and Trading Securities
We designate our investment securities as either trading or AFS. We record both trading and AFS securities at
fair value in our consolidated balance sheets. Gains and losses on trading securities are recognized in earnings,
while unrealized gains and losses on AFS securities are recorded in stockholders’ equity as a component of
AOCI. Table 25 details the amortized cost, fair value, maturity and average yield of our investments in
mortgage and non-mortgage securities classified as AFS as of December 31, 2007.
Table 25: Amortized Cost, Fair Value, 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 Through Five Years Through Ten Years After Ten Years
After One Year After Five Years
As of December 31, 2007
(Dollars in millions)
Fannie Mae single-
class MBS
(2)
...... $ 73,560 $ 73,623 $ 27 $ 28 $ 417 $ 425 $ 4,451 $ 4,496 $ 68,665 $ 68,674
Fannie Mae structured
MBS
(2)
.......... 65,225 65,320 — — 10 11 1,245 1,252 63,970 64,057
Non-Fannie Mae single-
class mortgage
securities
(2)
....... 26,699 26,939 1 1 89 89 362 364 26,247 26,485
Non-Fannie Mae
structured mortgage-
related securities
(2)
. . . 73,984 70,950 — — 514 509 14,014 14,255 59,456 56,186
Mortgage revenue
bonds ........... 15,564 15,431 69 69 312 315 868 882 14,315 14,165
Other mortgage-related
securities . . ....... 2,949 3,179 — — — — 6 33 2,943 3,146
Asset-backed
securities
(2)
....... 15,510 15,511 61 61 4,393 4,393 8,324 8,325 2,732 2,732
Corporate debt
securities . . ....... 13,506 13,515 489 489 13,017 13,026 — — — —
Other non-mortgage-
related securities . . . . 9,089 9,089 9,089 9,089 — — — — — —
Total ........... $296,086 $293,557 $9,736 $9,737 $18,752 $18,768 $29,270 $29,607 $238,328 $235,445
Yield
(3)
.......... 6.28% 12.38% 5.02% 5.75% 6.19%
(1)
Amortized cost includes unamortized premiums, discounts and other cost basis adjustments, as well as other-than-
temporary impairment write downs.
(2)
Asset-backed securities, including mortgage-backed securities, are reported based on contractual maturities assuming
no prepayments. The contractual maturity of asset-backed securities generally is not a reliable indicator of the
expected life because borrowers typically have the right to repay these obligations at any time.
(3)
Yields are determined by dividing interest income (including the amortization and accretion of premiums, discounts
and other cost basis adjustments) by amortized cost balances as of year-end.
As shown in the table above, as of December 31, 2007, the amortized cost and estimated fair value of our
AFS securities totaled $296.1 billion and $293.6 billion, respectively, and we had gross unrealized gains of
$2.3 billion and gross unrealized losses of $4.8 billion recorded in AOCI. In comparison, as of December 31,
2006, the amortized cost and estimated fair value of our AFS securities totaled $379.5 billion and
$378.6 billion, respectively, and we had gross unrealized gains of $2.8 billion and gross unrealized losses of
$3.7 billion recorded in AOCI. The increase in gross unrealized losses as of the end of 2007 was primarily
due to the significant widening of credit spreads during 2007. We stratify, by security type, the duration of the
gross unrealized losses of $4.8 billion as of December 31, 2007 related to our AFS securities in “Notes to
Consolidated Financial Statements—Note 5, Investments in Securities.” Of the $4.8 billion in gross unrealized
losses as of December 31, 2007, approximately $1.6 billion relates to securities in a loss position for less than
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