Fannie Mae 2009 Annual Report Download - page 379

Quoted
Prices in
Active
Markets for
Identical
Assets
(Level 1)
Significant
Other
Observable
Inputs
(Level 2)
Significant
Unobservable
Inputs
(Level 3)
Estimated
Fair
Value Total Losses
Fair Value Measurements
For the Year Ended December 31, 2008
For the Year
Ended
December 31, 2008
(Dollars in millions)
Assets:
Mortgage loans held for sale, at lower of
cost or fair value . . . . . . . . . . . . . . . . . . $— $26,303 $ 1,294 $27,597
(1)
$ (433)
Mortgage loans held for investment, at
amortized cost . . . . . . . . . . . . . . . . . . . — — 1,838 1,838
(2)
(107)
Acquired property, net. . . . . . . . . . . . . . . . — — 9,624 9,624
(3)
(1,533)
Guaranty assets . . . . . . . . . . . . . . . . . . . . — — 5,473 5,473 (2,967)
Master servicing assets . . . . . . . . . . . . . . . — — 547 547 (553)
Partnership investments . . . . . . . . . . . . . . . — — 4,877 4,877 (764)
(4)
Total assets at fair value. . . . . . . . . . . . . $— $26,303 $23,653 $49,956 $(6,357)
Liabilities:
Master servicing liabilities . . . . . . . . . . . . . $— $ — $ 22 $ 22 $ (12)
Total liabilities at fair value . . . . . . . . . . $— $ — $ 22 $ 22 $ (12)
(1)
Includes $15.1 billion and $25.2 billion of mortgage loans held for sale that were sold, retained as a mortgage-related
security or redesignated to mortgage loans held for investment as of December 31, 2009 and 2008, respectively.
(2)
Includes $1.1 billion and $157 million of mortgage loans held for investment that were redesignated to mortgage loans
held for sale, liquidated or transferred to foreclosed properties as of December 31, 2009 and 2008, respectively.
(3)
Includes $7.1 billion and $4.0 billion of foreclosed properties that were sold as of December 31, 2009 and 2008,
respectively.
(4)
Represents impairment charges related to LIHTC partnerships and other equity investments in multifamily properties
as of December 31, 2009 and 2008, respectively. We recognized other-than-temporary impairment losses of
$5.5 billion and $506 million related to LIHTC partnerships for the years ended December 31, 2009 and 2008,
respectively.
The following is a description of the fair valuation techniques used for assets and liabilities measured at fair
value on a non-recurring basis under the FASB guidance on fair value measurements as well as the basis for
classification of such instruments pursuant to the valuation hierarchy established under this guidance.
Mortgage Loans Held for Sale—HFS loans are reported at the lower of cost or fair value in our consolidated
balance sheets. Fair value is determined based on comparisons to Fannie Mae MBS with similar
characteristics, either on a pool or loan level. For Level 2 valuations, we use the observable market value of
our Fannie Mae MBS as a base value, from which we subtract or add the fair value of the associated guaranty
asset, guaranty obligation and master servicing arrangement. Level 3 inputs include MBS values where price is
influenced significantly by extrapolation from observable market data, products in inactive markets or
unobservable inputs. Valuations are based on indicative dealer prices and Level 3 inputs include the estimated
value of primary mortgage insurance on loans that have coverage.
Mortgage Loans Held for Investment—HFI loans are reported in our consolidated balance sheets at the
principal amount outstanding, net of cost basis adjustments and an allowance for loan losses. A portion of the
F-121
FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)