Fannie Mae 2009 Annual Report Download - page 375

Trading
Securities
Available-for-Sale
Securities
Net
Derivatives
Guaranty
Assets
and
Buy-ups
Long-Term
Debt
Fair Value Measurements Using Significant
Unobservable Inputs (Level 3)
For the Year Ended December 31, 2008
(Dollars in millions)
Beginning balance as of January 1, 2008 . . . . . . . $18,508 $20,920 $ 161 $1,568 $(7,888)
Realized/unrealized gains (losses) included in net
loss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,881) (3,152) 282 (512) (73)
Unrealized losses included in other comprehensive
loss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (4,136) — (342) —
Purchases, sales, issuances, and settlements, net . . (4,337) (3,640) (227) 369 5,396
Transfers in/out of Level 3, net
(3)
. . . . . . . . . . . . 475 37,845 94 — (333)
Ending balance as of December 31, 2008 . . . . . . . $12,765 $47,837 $ 310 $1,083 $(2,898)
Net unrealized gains (losses) included in net loss
related to assets and liabilities still held as of
December 31, 2008
(2)
. . . . . . . . . . . . . . . . . . . $ (1,293) $ — $ 159 $ (26) $ (18)
(1)
The net transfers to Level 2 from Level 3 consisted primarily of Fannie Mae guaranteed mortgage-related securities,
which include securities backed by jumbo conforming loans, and private-label mortgage-related securities backed by
non-fixed rate Alt-A loans. Price transparency improved as a result of increased market activity, and we noted some
convergence in prices obtained from third-party vendors. As a result, we determined that our fair value estimates for
these securities did not rely on significant unobservable inputs.
(2)
Amount represents temporary changes in fair value. Amortization, accretion and other-than-temporary impairments are
not considered unrealized and are not included in this amount.
(3)
During the year ended December 31, 2008, transfers into Level 3 consisted primarily of private-label mortgage-related
securities backed by Alt-A and subprime mortgage loans.
The following tables display realized and unrealized gains and losses recorded in our consolidated statements
of operations for the years ended December 31, 2009 and 2008, for assets and liabilities transferred into
Level 3 and measured in our consolidated balance sheets at fair value on a recurring basis.
Trading
Securities
Available-for-Sale
Securities
Net
Derivatives
Long-Term
Debt
Fair Value Measurements Using Significant
Unobservable Inputs (Level 3)
For the Year Ended December 31, 2009
(Dollars in millions)
Realized and unrealized gains (losses) included in net loss . . . . $ (6) $ 62 $ (2) $—
Unrealized gains included in other comprehensive loss . . . . . . — 174 — —
Total gains (losses) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (6) $ 236 $ (2) $—
Amount of Level 3 transfers in . . . . . . . . . . . . . . . . . . . . . . . $1,136 $7,877 $107 $—
F-117
FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)