Fannie Mae 2007 Annual Report Download - page 114

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12 months and the remaining $3.2 billion relates to securities in a loss position for 12 consecutive months or
longer.
We currently have the intent and ability to hold these securities until the earlier of recovery of the unrealized
loss amounts or maturity and will do so as long as holding the securities continues to be consistent with our
investment strategy. Further, we believe that it is probable that we will collect the full principal and interest
due in accordance with the contractual terms of the securities, although we may experience future changes in
value as a result of changes in interest rates or credit spreads. If our intent were to change or it was no longer
probable that we would collect the full principal and interest due, we would recognize an other-than-temporary
impairment in accordance with our accounting policy.
Investments in Alt-A and Subprime Mortgage-Related Securities
We have invested in private-label mortgage-related securities backed by Alt-A or subprime mortgage loans,
which are reported in our mortgage portfolio as a component of non-Fannie Mae structured securities. Our
mortgage portfolio also includes resecuritized Alt-A or subprime mortgage-related securities that we guarantee
(“wraps”), which are reported as a component of Fannie Mae structured securities. To date, we generally have
focused our purchases of private-label mortgage-related securities backed by subprime or Alt-A loans on the
highest-rated tranches of these securities available at the time of acquisition. In 2007, we began to acquire a
limited amount of subprime-backed private-label mortgage-related securities of investment grades below AAA.
We do not have any exposure to collateralized debt obligations, or CDOs.
Table 26 presents information, by year of issuance, on our exposure as of December 31, 2007 to these
investment securities. In reporting our Alt-A and subprime exposure, we have classified private-label
mortgage-related securities as Alt-A or subprime if the securities were labeled as such when issued. All of our
investments in Alt-A and subprime mortgage-related securities were rated investment grade or better (a credit
rating from Standard & Poor’s of at least BBB- or its equivalent) as of December 31, 2007. Several of these
securities have been downgraded since the end of 2007, which we discuss below.
92