Fannie Mae 2008 Annual Report Download - page 138

Vintage and
CE Quartile
(1)
Trading
Securities
(2)
Available-
for-Sale
Securities
(3)
Average
Price Fair Value Average Current
(4)
Original
(4)
Minimum
Current
(4)
Monoline
Financial
Guaranteed
Amount
(5)
40d/40s
NPV 50d/50s NPV 50d/60s NPV 70d/60s NPV
Unpaid Principal Balance Credit Enhancement Statistics
Hypothetical Scenarios
(6)
As of December 31, 2008
(Dollars in millions)
Investments in Alt-A
securities:
(7)
Other Alt-A securities:
2004 and prior .... $ — $8,633 $73.73 $ 6,366 12% 6% 5% $ 25 $ 501 $ 1,261 $ 1,702 $ 2,848
2005-1
(1)
......... — 362 67.28 244 9 5 6 — 24 58 77 125
2005-1
(2)
......... — 441 69.40 306 13 7 12 — 15 62 88 157
2005-1
(3)
......... — 372 72.83 271 15 11 14 — 14 47 66 116
2005-1
(4)
......... — 435 66.13 287 18 12 15 — 11 46 67 126
2005-1 subtotal.... — 1,610 68.83 1,108 14 9 6 — 64 213 298 524
2005-2
(1)
......... — 955 72.26 690 6 5 4 — 96 183 231 351
2005-2
(2)
......... — 999 67.91 678 10 8 8 — 69 162 214 345
2005-2
(3)
......... — 1,002 58.78 589 16 14 14 — 27 106 156 299
2005-2
(4)
......... — 1,005 64.36 647 20 17 18 — 16 74 118 264
2005-2 subtotal.... — 3,961 65.75 2,604 13 11 4 — 208 525 719 1,259
2006-1
(1)
......... 33 1,069 67.78 747 5 4 5 — 117 216 271 410
2006-1
(2)
......... — 1,062 61.41 652 9 8 9 — 61 161 218 368
2006-1
(3)
......... — 1,312 65.27 856 14 12 11 — 57 228 322 562
2006-1
(4)
......... 48 1,170 51.19 624 19 17 17 8 52 102 301
2006-1 subtotal.... 81 4,613 61.33 2,879 12 11 5 — 243 657 913 1,641
2006-2
(1)
......... — — — — — — — — — — — —
2006-2
(2)
......... — 487 47.11 229 10 10 7 — 10 54 77 152
2006-2
(3)
......... — 269 51.23 138 16 16 16 — — 20 33 76
2006-2
(4)
......... — 323 48.68 158 16 16 16 — — 14 26 79
2006-2 subtotal.... — 1,079 48.61 525 13 13 7 — 10 88 136 307
2007-1
(1)
......... 129 — 48.39 62 6 6 6 — — 14 21 41
2007-1
(2)
......... 106 — 46.79 50 7 7 7 — — 12 18 36
2007-1
(3)
......... 75 — 54.93 41 7 7 7 — 7 14 18 27
2007-1
(4)
......... 274 — 49.28 135 16 16 15 — — 15 28 74
2007-1 subtotal.... 584 — 49.36 288 11 11 6 — 7 55 85 178
2007-2
(1)
......... — — — — — — — — — — — —
2007-2
(2)
......... — — — — — — — — — — — —
2007-2
(3)
......... — — — — — — — — — — — —
2007-2
(4)
......... 420 — 55.47 233 100 100 100 420 — — — —
2007-2 subtotal.... 420 — 55.47 233 100 100 100 420 — — — —
2008-1
(1)
......... — — — — — — — — — — — —
2008-1
(2)
......... — — — — — — — — — — — —
2008-1
(3)
......... — — — — — — — — — — — —
2008-1
(4)
......... — 166 70.27 116 21 20 21 — — — — —
2008-1 subtotal
(9)
. . — 166 70.27 116 21 20 21 — — — — —
Total other Alt-A
securities ......... $1,085 $20,062 $66.77 $14,119 14% 11% 4% $445 $ 1,033 $ 2,799 $ 3,853 $ 6,757
Trading securities with
hypothetical NPV
losses:
(10)
Fair value . . . ..... $ 151 $ 338 $ 338 $ 338
UPB ........... 280 665 665 665
Difference . . . ..... $ (129) $ (327) $ (327) $ (327)
Available-for-sale
securities with
hypothetical NPV
losses:
(10)
Fair value . . . ..... $11,173 $13,116 $13,247 $13,398
UPB ........... 16,088 19,401 19,593 19,842
Difference . . . ..... $ (4,915) $ (6,285) $ (6,346) $ (6,444)
(1)
The footnotes to this table are presented following Table 27.
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