Fannie Mae 2008 Annual Report Download - page 132

Table 22: Trading and Available-for-Sale Investment Securities
Amortized
Cost
(1)
Gross
Unrealized
Gains
Gross
Unrealized
Losses
Total
Fair
Value
Gross
Unrealized
Losses
Total
Fair
Value
Gross
Unrealized
Losses
Total
Fair
Value
Less Than 12
Consecutive Months
12 Consecutive
Months or Longer
As of December 31, 2008
(Dollars in millions)
Trading:
Fannie Mae single-class MBS . . . . . $ 46,309 $ — $ — $ 48,134 $ — $ — $ — $ —
Fannie Mae structured MBS . . . . . . 10,011 — — 9,872 — — — —
Non-Fannie Mae single-class
mortgage-related securities . . . . . 1,030 — — 1,061 — — — —
Non-Fannie Mae structured
mortgage-related securities . . . . . 19,799 — — 13,404 — — — —
Mortgage revenue bonds . . . . . . . . . 796 — — 695 — — — —
Asset-backed securities. . . . . . . . . . 11,959 — — 10,598 — — — —
Corporate debt securities . . . . . . . . 7,092 — — 6,037 — — — —
Other non-mortgage-related
securities . . . . . . . . . . . . . . . . . 1,005 — — 1,005 — — — —
Total trading . . . . . . . . . . . . . . . . . . $ 98,001 $ — $ — $ 90,806 $ — $ — $ — $ —
Available for sale:
Fannie Mae single-class MBS . . . . . $112,943 $3,231 $ (67) $116,107 $ (64) $ 4,842 $ (3) $ 330
Fannie Mae structured MBS . . . . . . 59,002 1,333 (198) 60,137 (105) 2,471 (93) 2,514
Non-Fannie Mae single-class
mortgage-related securities . . . . . 25,798 665 (27) 26,436 (23) 1,775 (4) 643
Non-Fannie Mae structured
mortgage-related securities . . . . . 63,008 195 (13,797) 49,406 (3,792) 11,388 (10,005) 22,836
Mortgage revenue bonds . . . . . . . . . 14,636 29 (2,177) 12,488 (854) 6,230 (1,323) 4,890
Other mortgage-related securities . . . 2,319 29 (434) 1,914 (388) 1,313 (46) 77
Total available for sale . . . . . . . . . . . $277,706 $5,482 $(16,700) $266,488 $(5,226) $28,019 $(11,474) $31,290
Total investments in securities. . . . . . . $375,707 $5,482 $(16,700) $357,294 $(5,226) $28,019 $(11,474) $31,290
(1)
Amortized cost includes unamortized premiums, discounts and other cost basis adjustments, as well as other-than-
temporary impairment write downs.
The estimated fair value of our available-for-sale securities decreased to $266.5 billion as of December 31,
2008 from $293.6 billion as of December 31, 2007. Gross unrealized losses related to these securities totaled
$16.7 billion as of December 31, 2008, compared with $4.8 billion as of December 31, 2007. The increase in
gross unrealized losses during 2008 was primarily due to significantly wider spreads during the period, which
reduced the fair value of substantially all of our mortgage-related securities, particularly our private-label
mortgage-related securities backed by Alt-A and subprime loans and CMBS. We discuss our process for
assessing our available-for-sale investment securities for other-than-temporary impairment below.
Investments in Private-Label Mortgage-Related Securities
The non-Fannie Mae mortgage-related security categories presented in Table 22 above include agency
mortgage-related securities issued or guaranteed by Freddie Mac or Ginnie Mae and private-label mortgage-
related securities backed by Alt-A, subprime, multifamily, manufactured housing or other mortgage loans. We
do not have any exposure to collateralized debt obligations, or CDOs. We classify private-label securities as
Alt-A, subprime, multifamily or manufactured housing if the securities were labeled as such when issued. We
also have invested in private-label Alt-A and subprime mortgage-related securities that we have resecuritized
to include our guaranty (“wraps”), which we report in Table 22 above as a component of Fannie Mae
structured MBS. We generally have focused our purchases of these securities on the highest-rated tranches
available at the time of acquisition. Higher-rated tranches typically are supported by credit enhancements to
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