Fannie Mae 2008 Annual Report Download - page 338

(3)
Represents the 12-month average payment rate, which is based on the constant annualized prepayment rate for
mortgage loans.
(4)
The interest rate used in determining the present value of future cash flows, derived from the forward curve based on
interest rate swaps, excluding option adjusted spreads.
The preceding sensitivity analysis is hypothetical and may not be indicative of actual results. The effect of a
variation in a particular assumption on the fair value of the interest is calculated independently of changes in
any other assumption. Changes in one factor may result in changes in another, which might magnify or
counteract the impact of the change. Further, changes in fair value based on a 10% or 20% variation in an
assumption or parameter generally cannot be extrapolated because the relationship of the change in the
assumption to the change in fair value may not be linear.
The gain or loss on a portfolio securitization that qualifies as a sale depends, in part, on the carrying amount
of the financial assets sold. The carrying amount of the financial assets sold is allocated between the assets
sold and the interests retained, if any, based on their relative fair value at the date of sale. Further, our
recourse obligations are recognized at their full fair value at the date of sale, which serves as a reduction of
sale proceeds in the gain or loss calculation. We recorded a net gain on portfolio securitizations of $49 million
and a net loss on portfolio securitizations of $403 million for the years ended December 31, 2008, and 2007,
respectively. The net loss of $403 million, for the year ended December 31, 2007, was primarily as a result of
resecuritizing $9.2 billion of subprime private-label securities in 2007. The loss recorded from this portfolio
securitization was partially offset by trading gains recognized on the portion of the new Fannie Mae
guaranteed structured security that we retained and classified as trading. We recorded a net gain on portfolio
securitizations of $152 million for the year ended December 31, 2006. These amounts are recognized as
“Investment losses, net” in our consolidated statements of operations.
The following table displays cash flows from our securitization trusts related to portfolio securitizations
accounted for as sales for the years ended December 31, 2008, 2007 and 2006.
2008 2007 2006
For the Year Ended December 31,
(Dollars in millions)
Proceeds from new securitizations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $30,084 $31,271 $32,078
Guaranty fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 151 112 85
Principal and interest received on retained interests. . . . . . . . . . . . . . . . . . . . . 7,898 6,859 6,186
Purchases of previously transferred financial assets . . . . . . . . . . . . . . . . . . . . . (152) (292) (55)
F-60
FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)