Fannie Mae 2009 Annual Report Download - page 129

(2)
We determined the estimated fair value of these financial instruments in accordance with the FASB fair value guidance
as described in “Note 19, Fair Value.”
(3)
For business segment reporting purposes, we allocate intra-company guaranty fee income to our Single-Family and
HCD businesses for managing the credit risk on mortgage loans held in portfolio by our Capital Markets group and
charge a corresponding fee to our Capital Markets group. In computing this intra-company allocation, we disaggregate
the total mortgage loans reported in our GAAP consolidated balance sheets, which consists of “Mortgage loans held
for sale” and “Mortgage loans held for investment, net of allowance for loan losses” into components that separately
reflect the value associated with credit risk, which is managed by our guaranty businesses, and the interest rate risk,
which is managed by our Capital Markets group. We report the estimated fair value of the credit risk components
separately in our supplemental non-GAAP consolidated fair value balance sheets as “Guaranty assets of mortgage
loans held in portfolio” and “Guaranty obligations of mortgage loans held in portfolio.” We report the estimated fair
value of the interest rate risk components in our supplemental non-GAAP consolidated fair value balance sheets as
“Mortgage loans held for sale” and “Mortgage loans held for investment, net of allowance for loan losses.” Taken
together, these four components represent the estimated fair value of the total mortgage loans reported in our GAAP
consolidated balance sheets. We believe this presentation provides transparency into the components of the fair value
of the mortgage loans associated with the activities of our guaranty businesses and the components of the activities of
our Capital Markets group, which is consistent with the way we manage risks and allocate revenues and expenses for
segment reporting purposes. While the carrying values and estimated fair values of the individual line items may differ
from the amounts presented in “Note 19, Fair Value” of the consolidated financial statements in this report, the
combined amounts together equal the carrying value and estimated fair value amounts of total mortgage loans in
Note 19.
(4)
In our GAAP consolidated balance sheets, we report the guaranty assets associated with our outstanding Fannie Mae
MBS and other guarantees as a separate line item and include buy-ups, master servicing assets and credit
enhancements associated with our guaranty assets in “Other assets.” On a GAAP basis, our guaranty assets totaled
$8.4 billion and $7.0 billion as of December 31, 2009 and 2008, respectively. The associated buy-ups totaled
$1.2 billion and $645 million as of December 31, 2009 and 2008, respectively. In our non-GAAP fair value balance
sheets, we also disclose the estimated guaranty assets and obligations related to mortgage loans held in our portfolio.
The aggregate estimated fair value of the guaranty obligation-related components totaled $4.2 billion and the guaranty
asset-related components totaled $8.2 billion as of December 31, 2009 and 2008, respectively. These components
represent the sum of the following line items in this table: (a) Guaranty assets of mortgage loans held in portfolio;
(b) Guaranty obligations of mortgage loans held in portfolio, (c) Guaranty assets and buy-ups; and (d) Master servicing
assets and credit enhancements. See “Critical Accounting Policies and Estimates—Fair Value Measurement—Fair
Value of Guaranty Obligations.”
(5)
The line items “Master servicing assets and credit enhancements” and “Other assets” together consist of the assets
presented on the following six line items in our GAAP consolidated balance sheets: (a) Accrued interest receivable;
(b) Acquired property, net; (c) Deferred tax assets, net; (d) Partnership investments; (e) Servicer and MBS trust
receivable and (f) Other assets. The carrying value of these items in our GAAP consolidated balance sheets together
totaled $46.6 billion and $40.1 billion as of December 31, 2009 and 2008, respectively. We deduct the carrying value
of the buy-ups associated with our guaranty obligation, which totaled $1.2 billion and $645 million as of
December 31, 2009 and 2008, respectively, from “Other assets” reported in our GAAP consolidated balance sheets
because buy-ups are a financial instrument that we combine with guaranty assets in our disclosure in “Note 19, Fair
Value.” We have estimated the fair value of master servicing assets and credit enhancements based on our fair value
methodologies described in Note 19.
(6)
The GAAP carrying values of other assets generally approximates fair value, except for our LIHTC partnership
investments as of December 31, 2008. Our LIHTC partnership investments, including restricted cash from
consolidations, had a carrying value of $6.3 billion and an estimated fair value of $6.5 billion as of December 31,
2008. As discussed in “Consolidated Results of Operations—Losses from Partnership Investments,” we recognized
other-than-temporary impairment losses to reduce the carrying value of our LIHTC partnership investments to zero.
Our LIHTC partnership investments carrying value of zero is included in the estimated fair value in the Fair Value
Balance Sheet as of December 31, 2009.
(7)
Includes debt instruments that we elected to report at fair value in our GAAP consolidated balance sheets. We did not
elect to report any short-term debt instruments at fair value as of December 31, 2009. Includes long-term debt with a
reported fair value of $3.3 billion as of December 31, 2009. Includes short-term and long-term debt instruments with a
reported fair value of $4.5 billion and $21.6 billion, respectively, as of December 31, 2008.
(8)
The line item “Other liabilities” consists of the liabilities presented on the following five line items in our GAAP
consolidated balance sheets: (a) Accrued interest payable; (b) Reserve for guaranty losses; (c) Partnership liabilities;
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