Fannie Mae 2007 Annual Report Download - page 230

Download and view the complete annual report

Please find page 230 of the 2007 Fannie Mae annual report below. You can navigate through the pages in the report by either clicking on the pages listed below, or by using the keyword search tool below to find specific information within the annual report.

Page out of 292

  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • 12
  • 13
  • 14
  • 15
  • 16
  • 17
  • 18
  • 19
  • 20
  • 21
  • 22
  • 23
  • 24
  • 25
  • 26
  • 27
  • 28
  • 29
  • 30
  • 31
  • 32
  • 33
  • 34
  • 35
  • 36
  • 37
  • 38
  • 39
  • 40
  • 41
  • 42
  • 43
  • 44
  • 45
  • 46
  • 47
  • 48
  • 49
  • 50
  • 51
  • 52
  • 53
  • 54
  • 55
  • 56
  • 57
  • 58
  • 59
  • 60
  • 61
  • 62
  • 63
  • 64
  • 65
  • 66
  • 67
  • 68
  • 69
  • 70
  • 71
  • 72
  • 73
  • 74
  • 75
  • 76
  • 77
  • 78
  • 79
  • 80
  • 81
  • 82
  • 83
  • 84
  • 85
  • 86
  • 87
  • 88
  • 89
  • 90
  • 91
  • 92
  • 93
  • 94
  • 95
  • 96
  • 97
  • 98
  • 99
  • 100
  • 101
  • 102
  • 103
  • 104
  • 105
  • 106
  • 107
  • 108
  • 109
  • 110
  • 111
  • 112
  • 113
  • 114
  • 115
  • 116
  • 117
  • 118
  • 119
  • 120
  • 121
  • 122
  • 123
  • 124
  • 125
  • 126
  • 127
  • 128
  • 129
  • 130
  • 131
  • 132
  • 133
  • 134
  • 135
  • 136
  • 137
  • 138
  • 139
  • 140
  • 141
  • 142
  • 143
  • 144
  • 145
  • 146
  • 147
  • 148
  • 149
  • 150
  • 151
  • 152
  • 153
  • 154
  • 155
  • 156
  • 157
  • 158
  • 159
  • 160
  • 161
  • 162
  • 163
  • 164
  • 165
  • 166
  • 167
  • 168
  • 169
  • 170
  • 171
  • 172
  • 173
  • 174
  • 175
  • 176
  • 177
  • 178
  • 179
  • 180
  • 181
  • 182
  • 183
  • 184
  • 185
  • 186
  • 187
  • 188
  • 189
  • 190
  • 191
  • 192
  • 193
  • 194
  • 195
  • 196
  • 197
  • 198
  • 199
  • 200
  • 201
  • 202
  • 203
  • 204
  • 205
  • 206
  • 207
  • 208
  • 209
  • 210
  • 211
  • 212
  • 213
  • 214
  • 215
  • 216
  • 217
  • 218
  • 219
  • 220
  • 221
  • 222
  • 223
  • 224
  • 225
  • 226
  • 227
  • 228
  • 229
  • 230
  • 231
  • 232
  • 233
  • 234
  • 235
  • 236
  • 237
  • 238
  • 239
  • 240
  • 241
  • 242
  • 243
  • 244
  • 245
  • 246
  • 247
  • 248
  • 249
  • 250
  • 251
  • 252
  • 253
  • 254
  • 255
  • 256
  • 257
  • 258
  • 259
  • 260
  • 261
  • 262
  • 263
  • 264
  • 265
  • 266
  • 267
  • 268
  • 269
  • 270
  • 271
  • 272
  • 273
  • 274
  • 275
  • 276
  • 277
  • 278
  • 279
  • 280
  • 281
  • 282
  • 283
  • 284
  • 285
  • 286
  • 287
  • 288
  • 289
  • 290
  • 291
  • 292

respectively. The portion of these trading gains and losses that relates to trading securities still held at each
year end were net trading losses of $536 million, $24 million and $407 million for the years ended
December 31, 2007, 2006 and 2005, respectively.
Available-for-Sale Securities
AFS securities are initially measured at fair value and subsequent unrealized gains and losses are recorded as
a component of AOCI, net of deferred taxes, in “Stockholders’ equity.” The following table displays the gross
realized gains, losses and proceeds on sales of AFS securities for the years ended December 31, 2007, 2006
and 2005.
2007 2006 2005
For the Year Ended
December 31,
(Dollars in millions)
Gross realized gains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,929 $ 316 $ 343
Gross realized losses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,226 210 91
Total proceeds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71,960 51,966 63,012
The following tables display the amortized cost, estimated fair values corresponding to unrealized gains and
losses, and additional information regarding unrealized losses by major security type for AFS securities held
as of December 31, 2007 and 2006.
Total
Amortized
Cost
(1)
Gross
Unrealized
Gains
Gross
Unrealized
Losses
Total
Fair
Value
Gross
Unrealized
Losses
Fair
Value
Gross
Unrealized
Losses
Fair
Value
Less Than 12
Consecutive Months
12 Consecutive
Months or Longer
As of December 31, 2007
(Dollars in millions)
Fannie Mae single-class MBS . . . . . . . . . $ 73,560 $ 627 $ (564) $ 73,623 $ (39) $ 6,155 $ (525) $ 44,110
Non-Fannie Mae structured mortgage-
related securities . . . . . . . . . . . . . . . . . 73,984 317 (3,351) 70,950 (1,389) 22,925 (1,962) 30,145
Fannie Mae structured MBS . . . . . . . . . . 65,225 639 (544) 65,320 (32) 4,792 (512) 29,897
Non-Fannie Mae single-class mortgage-
related securities . . . . . . . . . . . . . . . . . 26,699 334 (94) 26,939 (12) 2,439 (82) 7,328
Mortgage revenue bonds . . . . . . . . . . . . . 15,564 146 (279) 15,431 (130) 4,210 (149) 2,686
Other mortgage-related securities . . . . . . . 2,949 233 (3) 3,179 (2) 114 (1) 67
Asset-backed securities . . . . . . . . . . . . . . 15,510 1 — 15,511 — — — —
Corporate debt securities . . . . . . . . . . . . . 13,506 9 — 13,515 — — — —
Other non-mortgage-related securities . . . . 9,089 — — 9,089 — — — —
Total . . . . . . . . . . . . . . . . . . . . . . . . . $296,086 $2,306 $(4,835) $293,557 $(1,604) $40,635 $(3,231) $114,233
F-42
FANNIE MAE
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)