Fannie Mae 2010 Annual Report Download - page 136

between fair value and carrying value of the consolidated loans is the credit component of the loan. This credit component is
reflected in the net guaranty obligation, which is included in the consolidated loan fair value, but was presented as a separate line
item in our fair value balance sheet in prior periods.
(4)
Includes certain mortgage loans that we elected to report at fair value in our GAAP consolidated balance sheet of $3.0 billion as of
December 31, 2010. We did not elect to report any mortgage loans at fair value in our consolidated balance sheet as of
December 31, 2009.
(5)
Performing loans had a fair value of $2.8 trillion and an unpaid principal balance of $2.7 trillion as of December 31, 2010 compared
to a fair value of $345.5 billion and an unpaid principal balance of $348.2 billion as of December 31, 2009. Nonperforming loans,
which include loans that are delinquent by one or more payments, had a fair value of $168.5 billion and an unpaid principal balance
of $287.4 billion as of December 31, 2010 compared to a fair value of $43.9 billion and an unpaid principal balance of $79.8 billion
as of December 31, 2009. See “Note 19, Fair Value” for additional information on valuation techniques for performing and
nonperforming loans.
(6)
The following line items: (a) Advances to lenders; (b) Derivative assets at fair value; (c) Guaranty assets and buy-ups, net;
(d) Master servicing assets and credit enhancements and (e) Other assets, together consist of the following assets presented in our
GAAP consolidated balance sheets: (a) Total accrued interest receivable, net of allowance; (b) Acquired property, net; (c) Servicer
and MBS trust receivable; and (d) Other assets.
(7)
“Other assets” include the following GAAP consolidated balance sheets line items: (a) Total accrued interest receivable, net of
allowance; (b) Acquired property, net; and (c) Servicer and MBS trust receivable. The carrying value of these items in our GAAP
consolidated balance sheets totaled $28.4 billion and $31.2 billion as of December 31, 2010 and 2009, respectively. “Other assets” in
our GAAP consolidated balance sheets includes the following: (a) Advances to Lenders; (b) Derivative assets at fair value;
(c) Guaranty assets and buy-ups, net; and (d) Master servicing assets and credit enhancements. The carrying value of these items
totaled $9.3 billion and $17.1 billion as of December 31, 2010 and 2009, respectively.
(8)
We determined the estimated fair value of these financial instruments in accordance with the fair value accounting standard as
described in “Note 19, Fair Value.”
(9)
Includes certain long-term debt instruments that we elected to report at fair value in our GAAP consolidated balance sheets of
$3.2 billion and $3.3 billion as of December 31, 2010 and 2009, respectively.
(10)
The following line items: (a) Derivative liabilities at fair value; (b) Guaranty obligations; and (c) Other liabilities, consist of the
following liabilities presented in our GAAP consolidated balance sheets: (a) Accrued interest payable of Fannie Mae; (b) Accrued
interest payable of consolidated trusts; (c) Reserve for guaranty losses; (d) Servicer and MBS trust payable; and (e) Other liabilities.
(11)
“Other liabilities” include the following GAAP consolidated balance sheets line items: (a) Accrued interest payable of Fannie Mae;
(b) Accrued interest payable of consolidated trusts; (c) Reserve for guaranty losses; and (d) Servicer and MBS trust payable. The
carrying value of these items in our GAAP consolidated balance sheets totaled $17.0 billion and $85.3 billion as of December 31, 2010
and 2009, respectively. We assume that certain other liabilities, such as deferred revenues, have no fair value. Although we report the
“Reserve for guaranty losses” as a separate line item in our consolidated balance sheets, it is incorporated into and reported as part of
the fair value of our guaranty obligations in our non-GAAP supplemental consolidated fair value balance sheets. “Other liabilities” in
our GAAP consolidated balance sheets include the following: (a) Derivative liabilities at fair value and (b) Guaranty obligations. The
carrying value of these items totaled $2.5 billion and $15.0 billion as of December 31, 2010 and 2009, respectively.
(12)
The amount included in “estimated fair value” of the senior preferred stock is the liquidation preference, which is the same as the
GAAP carrying value, and does not reflect fair value.
LIQUIDITY AND CAPITAL MANAGEMENT
Liquidity Management
Our business activities require that we maintain adequate liquidity to fund our operations. Our liquidity policy
is designed to address our liquidity risk. Liquidity risk is the risk that we will not be able to meet our funding
obligations in a timely manner. Liquidity management involves forecasting funding requirements and
maintaining sufficient capacity to meet these needs. Our Treasury group is responsible for our liquidity and
contingency planning strategies.
Primary Sources and Uses of Funds
Our primary source of funds is proceeds from the issuance of short-term and long-term debt securities.
Accordingly, our liquidity depends largely on our ability to issue unsecured debt in the capital markets. Our
status as a GSE and federal government support of our business continue to be essential to maintaining our
access to the unsecured debt markets. Our senior unsecured debt obligations are rated AAA, or its equivalent,
by the major rating agencies.
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