Fannie Mae 2007 Annual Report Download - page 115

Table 26: Investments in Alt-A and Subprime Mortgage-Related Securities
Unpaid
Principal
Balance
Estimated
Fair Value
Gross
Unrealized
AOCI
Losses
(1)
Gross
Trading
Losses
(2)
Weighted
Average
Credit
Enhancement
(3)
% AAA
%AA
or below
Credit Rating
(4)
As of December 31, 2007
(Dollars in millions)
Investments in Alt-A securities:
(5)
Alt-A securities:
(6)
2007 . . . . . . . . . . . . . . . . . . $ 4,494 $ 4,129 $ — $ (350) 57% 100% —%
2006 . . . . . . . . . . . . . . . . . . 8,625 8,271 (366) — 23 100 —
2005 . . . . . . . . . . . . . . . . . . 8,498 8,323 (214) — 21 100 —
2004 and prior. . . . . . . . . . . . 10,858 10,599 (351) — 12 100 —
Alt-A securities . . . . . . . . . 32,475 31,322 (931) (350) 23 100 —
Investments in subprime
securities:
(5)
Subprime securities:
(6)
2007 . . . . . . . . . . . . . . . . . . 5,417 4,861 (3) (470) 36 87 13
2006 . . . . . . . . . . . . . . . . . . 22,281 20,141 (2,066) — 29 99 1
2005 . . . . . . . . . . . . . . . . . . 999 931 — — 59 100 —
2004 and prior. . . . . . . . . . . . 3,343 3,066 (269) — 75 96 4
Subprime securities . . . . . . 32,040 28,999 (2,338) (470) 36 97 3
Subprime wraps:
(7)
2007 . . . . . . . . . . . . . . . . . . 9,395 8,785 — (556) — 100 —
2006 . . . . . . . . . . . . . . . . . . — — — — — — —
2005 . . . . . . . . . . . . . . . . . . — 2 — — — 100 —
2004 and prior . . . . . . . . . . . . — — — — — — —
Subprime wraps . . . . . . . . . 9,395 8,787 — (556) — 100 —
Total subprime securities . . . 41,435 37,786 (2,338) (1,026) — 98 2
Total Alt-A and subprime
securities . . . . . . . . . . . . $73,910 $69,108 $(3,269) $(1,376) 99% 1%
(1)
Reflects gross unrealized losses recorded in AOCI as of December 31, 2007 on Alt-A and subprime securities
classified as AFS.
(2)
Reflects losses on Alt-A and subprime securities classified as trading that were recorded in our consolidated statements
of operations in 2007 as a component of “Investment losses, net.”
(3)
The credit enhancement percentage refers to the ratio of the current amount of the securities that will incur losses in a
securitization structure before losses are allocated to the security we own. The weighted average credit enhancement is
the quotient of the total unpaid principal balance of all subordinated tranches for a vintage divided by the total unpaid
principal balance of all of the tranches we own in that vintage.
(4)
Reflects credit ratings as of December 31, 2007. A discussion of credit rating downgrades subsequent to December 31,
2007 is provided below.
(5)
As of December 31, 2007, the total guaranteed resecuritizations of private-label securities backed by Alt-A and
subprime loans held in our mortgage portfolio or held by third parties was $14.9 billion.
(6)
Includes private-label securities backed by Alt-A or subprime mortgage loans that are reported in our mortgage
portfolio as a component of non-Fannie Mae structured securities.
(7)
Includes Fannie Mae guaranteed resecuritizations of private-label securities backed by subprime loans, which we report
in our mortgage portfolio as a component of Fannie Mae structured securities.
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