Fannie Mae 2008 Annual Report Download - page 139

Table 27: Investments in Subprime Private-Label Mortgage-Related Securities, Excluding Wraps
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)
60d/70s
NPV
70d/60s
NPV
70d/70s
NPV
80d/70s
NPV
Unpaid Principal Balance
Credit Enhancement Statistics
Hypothetical Scenarios(6)
As of December 31, 2008
(Dollars in millions)
Investments in subprime
securities:(8)
2004 and prior . . . $ — $ 2,938 $79,63 $ 2,340 72% 53% 13% $1,295 $ 49 $ 60 $ 116 $ 269
2005-1
(1)
........ — — — — — — — — — — — —
2005-1
(2)
........ — 21 88.39 19 73 36 73 — — — — —
2005-1
(3)
........ — — — — — — — — — — — —
2005-1
(4)
........ — 31 81.09 25 83 29 83 — — — — —
2005-1 subtotal . . . — 52 84.11 44 79 32 73 — — — — —
2005-2
(1)
........ — 77 85.01 65 41 23 38 — — — — 3
2005-2
(2)
........ — 32 85.58 28 56 38 56 — — — — —
2005-2
(3)
........ — 98 85.39 84 61 30 61 — — — — —
2005-2
(4)
........ — 118 83.25 98 88 75 70 69 — — — —
2005-2 subtotal . . . — 325 84.54 275 65 45 38 69 — — — 3
2006-1
(1)
........ — 1,195 61.59 736 23 19 20 — 94 133 240 397
2006-1
(2)
........ — 1,617 67.38 1,089 29 22 26 — 30 75 225 458
2006-1
(3)
........ — 1,519 69.18 1,051 35 24 32 — 3 9 64 277
2006-1
(4)
........ — 1,473 73.43 1,082 49 31 40 52 — — 11 116
2006-1 subtotal . . . — 5,804 68.19 3,958 34 24 20 52 127 217 540 1,248
2006-2
(1)
........ — 2,560 61.98 1,586 21 19 14 — 236 337 591 956
2006-2
(2)
........ — 2,512 66.56 1,672 25 21 24 — 123 210 452 808
2006-2
(3)
........ — 2,748 69.47 1,909 28 21 27 — 67 137 400 802
2006-2
(4)
........ — 2,887 66.92 1,932 36 28 31 — 3 23 207 610
2006-2 subtotal . . . — 10,707 66.31 7,099 28 22 14 — 429 707 1,650 3,176
2007-1
(1)
........ 586 — 31.70 186 15 16 8 — 331 346 372 413
2007-1
(2)
........ 478 — 68.66 328 26 24 26 — 24 42 89 158
2007-1
(3)
........ 702 — 66.94 470 28 24 27 — 20 38 106 210
2007-1
(4)
........ 779 — 66.70 519 51 47 29 215 14 35 107 208
2007-1 subtotal . . . 2,545 — 59.07 1,503 32 29 8 215 389 461 674 989
2007-2
(1)
........ 518 — 47.52 246 27 24 14 — 175 203 241 285
2007-2
(2)
........ 302 183 70.31 341 33 29 30 — 14 28 88 168
2007-2
(3)
........ — 482 71.74 346 36 32 35 — — — 21 68
2007-2
(4)
........ 522 173 69.52 483 43 38 38 — — — 11 102
2007-2 subtotal . . . 1,342 838 64.95 1,416 35 31 14 — 189 231 361 623
2008-1
(1)
........ — — — — — — — — — — — —
2008-1
(2)
........ — — — — — — — — — — — —
2008-1
(3)
........ — — — — — — — — — — — —
2008-1
(4)
........ — — — — — — — — — — — —
2008-1 subtotal . . . — — — — — — — — — — — —
Total subprime
securities ........ $3,887 $20,664 $67.76 $16,635 36% 28% 8% $1.631 $ 1,183 $ 1,676 $ 3,341 $ 6,308
Trading securities with
hypothetical NPV
losses:
(10)
Fair value........ $ 1,569 $ 1,784 $ 1,784 $ 2,156
UPB........... 2,813 3,134 3,134 3,671
Difference ....... $(1,244) $ (1,350) $ (1,350) $ (1,515)
Available-for-sale
securities with
hypothetical NPV
losses:
(10)
Fair value........ $ 6,524 $ 8,615 $10,853 $12,213
UPB........... 9,926 12,931 16,114 17,978
Difference ....... $(3,402) $ (4,316) $ (5,261) $ (5,765)
134