Fannie Mae 2008 Annual Report Download - page 333

Total
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, 2007
(Dollars in millions)
Fannie Mae single-class MBS . . . . . . . . . $ 73,560 $ 627 $ (564) $ 73,623 $ (39) $ 6,155 $ (525) $ 44,110
Fannie Mae structured MBS . . . . . . . . . . 65,225 639 (544) 65,320 (32) 4,792 (512) 29,897
Non-Fannie Mae structured mortgage-
related securities . . . . . . . . . . . . . . . . . 73,984 317 (3,351) 70,950 (1,389) 22,925 (1,962) 30,145
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
(1)
Amortized cost includes unamortized premiums, discounts and other cost basis adjustments, as well as
other-than-temporary impairments.
The fair value of securities varies from period to period due to changes in interest rates, changes in
performance of the underlying collateral and changes in credit performance of the underlying issuer, among
other factors. For the years ended December 31, 2008, 2007 and 2006, we recognized $7.0 billion,
$814 million and $853 million, respectively, in other-than-temporary impairments primarily related to private-
label mortgage-related securities where we concluded that it was probable that we would not collect all of the
contractual principal and interest amounts due or we determined that we did not intend to hold the security
until recovery of the unrealized loss. These other-than-temporary impairments included $4.8 billion and
$1.9 billion for Alt-A and subprime mortgage-related securities, respectively, for the year ended December 31,
2008. For the year ended December 31, 2007, other-than-temporary impairments were recognized of
$160 million for subprime mortgage-related securities with no such impairments recognized for Alt-A
securities. For the year ended December 31, 2006, no impairments were recognized for either the Alt-A or
subprime mortgage-related securities. Other-than-temporary impairment losses are recognized as a component
of “Investment losses, net” in our consolidated statements of operations.
Included in the $16.7 billion of gross unrealized losses on AFS securities as of December 31, 2008 was
$11.5 billion of unrealized losses that have existed for a period of 12 consecutive months or longer. The
unrealized losses on these securities are due primarily to the widening of credit spreads. The securities with
unrealized losses for 12 consecutive months or longer had a market value as of December 31, 2008 that was
on average 73% of their amortized cost basis. Unrealized losses on these securities will be recovered when
market interest rates change or at maturity. Based on our review for impairments of AFS securities, which
includes an evaluation of the collectibility of cash flows and our intent and ability to hold securities to
recovery, we have concluded that the unrealized losses on AFS securities in our investment portfolio as
displayed above do not represent other-than-temporary impairments as of December 31, 2008.
For the year ended December 31, 2007, we recognized other-than-temporary impairment totaling $814 million,
of which $97 million was due to credit ratings downgrades and other credit-related events relating to certain
F-55
FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)