Fannie Mae 2009 Annual Report Download - page 116

risk exposure. The major asset components of our consolidated balance sheet include our mortgage
investments and our cash and other investments portfolio. We fund and manage the interest rate risk on these
investments through the issuance of debt securities and the use of derivatives. Our debt securities and
derivatives represent the major liability components of our consolidated balance sheet.
Effective January 1, 2010, we adopted new accounting standards that significantly increased the loans and debt
we will report on our consolidated balance sheet in 2010. We discuss the impact of the new accounting
standards in “Off-Balance Sheet Arrangements and Variable Interest Entities—Elimination of QSPEs and
Changes in the Consolidation Model for Variable Interest Entities.”
Following is a discussion of the major components of our assets and liabilities. See “Supplemental Non-
GAAP Information—Fair Value Balance Sheets” for the details of the change in our equity.
Cash and Other Investments Portfolio
Our cash and other investments portfolio consists of cash and cash equivalents, federal funds sold and
securities purchased under agreements to resell and non-mortgage investment securities. Our cash and other
investments portfolio totaled $69.4 billion as of December 31, 2009, compared with $93.0 billion as of
December 31, 2008. See “Liquidity and Capital Management—Liquidity Management—Liquidity Contingency
Planning—Cash and Other Investments Portfolio” for additional information on our cash and other investments
portfolio.
Mortgage Investments
Table 21 summarizes our mortgage portfolio activity and Table 22 shows the composition of our mortgage
portfolio by product type and the carrying value for the periods indicated.
Table 21: Mortgage Portfolio Activity
(1)
2009 2008 2009 2008 2009 2008
Purchases
(2)
Sales Liquidations
(3)
(Dollars in millions)
Mortgage loans:
Fixed-rate:
Long-term . . . . . . . . . . . . . . . . . . . . . . . . . $129,472 $ 72,956 $ — $ — $ 41,182 $22,913
Intermediate-term
(4)
. . . . . . . . . . . . . . . . . . 27,444 30,004 — — 13,804 10,797
Total fixed-rate loans . . . . . . . . . . . . . . . . . . . 156,916 102,960 — — 54,986 33,710
Adjustable-rate loans . . . . . . . . . . . . . . . . . . . 6,825 14,313 — — 9,787 9,447
Total mortgage loans . . . . . . . . . . . . . . . . . . . . . 163,741 117,273 — — 64,773 43,157
Mortgage securities:
Fixed-rate:
Long-term . . . . . . . . . . . . . . . . . . . . . . . . . 154,735 50,509 195,757 33,595 40,299 21,137
Intermediate-term
(5)
. . . . . . . . . . . . . . . . . . 5,595 11,970 22,167 6,734 7,000 4,716
Total fixed-rate securities . . . . . . . . . . . . . . . . 160,330 62,479 217,924 40,329 47,299 25,853
Adjustable-rate securities . . . . . . . . . . . . . . . . 1,232 14,794 825 2,711 13,794 17,091
Total mortgage securities . . . . . . . . . . . . . . . . . . 161,562 77,273 218,749 43,040 61,093 42,944
Total mortgage portfolio . . . . . . . . . . . . . . . . . . $325,303 $194,546 $218,749 $43,040 $125,866 $86,101
Annual liquidation rate . . . . . . . . . . . . . . . . . . . 16.3% 11.5%
(1)
Amounts represent unpaid principal balance and exclude unamortized premiums, discounts and other cost basis
adjustments.
(2)
Excludes advances to lenders and mortgage-related securities acquired through the extinguishment of debt.
(3)
Includes scheduled repayments, prepayments, foreclosures and lender repurchases.
(4)
Consists of mortgage loans with contractual maturities at purchase equal to or less than 15 years.
(5)
Consists of mortgage securities with maturities at issue date equal to or less than 15 years.
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