Fannie Mae 2009 Annual Report Download - page 319

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. We allocate the carrying amount of the financial assets sold between the assets
sold and the interests retained, if any, based on their relative fair value at the date of sale. Further, we
recognize our recourse obligations 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 $1.0 billion
and $49 million and a net loss on portfolio securitizations of $403 million for the years ended December 31,
2009, 2008 and 2007, respectively. We recognize these amounts as a component of “Investment gains (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, 2009, 2008 and 2007.
2009 2008 2007
For the Year Ended December 31,
(Dollars in millions)
Proceeds from the initial sale of securities (new securitizations) . . . . . . . . . . . . $85,719 $30,084 $31,271
Guaranty and other income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 269 176 143
Principal and interest received on retained interests. . . . . . . . . . . . . . . . . . . . . 9,714 7,898 6,859
Purchases of previously transferred financial assets . . . . . . . . . . . . . . . . . . . . . (1,501) (152) (292)
We define “managed loans” as on-balance sheet mortgage loans as well as mortgage loans that we have
securitized in portfolio securitizations that have qualified as sales pursuant to the FASB guidance on
accounting for transfers of financial assets. The following table displays the unpaid principal balances of
managed loans, including those managed loans that are delinquent as of December 31, 2009 and 2008.
Unpaid Principal
Balance
Principal Amount of
Delinquent Loans
(1)
(Dollars in millions)
As of December 31, 2009
Loans held for investment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $395,551 $51,051
Loans held for sale . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,992 140
Securitized loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 187,922 5,161
Total loans managed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $604,465 $56,352
As of December 31, 2008
Loans held for investment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $415,485 $19,363
Loans held for sale . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,008 79
Securitized loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114,163 2,560
Total loans managed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $543,656 $22,002
(1)
Represents the unpaid principal balance of loans held for investment and loans held for sale for which we are no
longer accruing interest. We discontinue accruing interest when payment of principal and interest in full is not
reasonably assured.
Net credit losses incurred during the years ended December 31, 2009, 2008 and 2007 related to loans held in
our portfolio and loans underlying Fannie Mae MBS issued from our portfolio were $3.4 billion, $2.7 billion
and $516 million, respectively.
F-61
FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)