Fannie Mae 2010 Annual Report Download - page 325

We analyzed commercial mortgage-backed securities (“CMBS”) using a CMBS loss forecast model that
incorporates a loan level loss forecast. This forecast takes into account loan performance, loan status, loan
attributes, structures, metropolitan area, property type and macroeconomic expectations. Given the current high
level of credit enhancement and collateral loss expectations, no single bond is expected to experience a
principal write-down or interest shortfall. Our CMBS loss forecast expectations may change as
macroeconomic conditions and the commercial real estate market evolve. As of December 31, 2010, we had
no other-than-temporary impairments in our holdings of CMBS as we projected the remaining subordination to
be more than sufficient to absorb the level of projected losses. While downgrades have occurred in this sector,
all of our holdings remained investment grade as of December 31, 2010.
Maturity Information
The following table displays the amortized cost and fair value of our AFS securities by major security type
and remaining maturity, assuming no principal prepayments, as of December 31, 2010. Contractual maturity of
mortgage-backed securities is not a reliable indicator of their expected life because borrowers generally have
the right to prepay their obligations at any time.
Total
Amortized
Cost
Total
Fair
Value
Amortized
Cost
Fair
Value
Amortized
Cost
Fair
Value
Amortized
Cost
Fair
Value
Amortized
Cost
Fair
Value
One Year or Less
After One Year
Through Five Years
After Five Years
Through Ten Years After Ten Years
As of December 31, 2010
(Dollars in millions)
Fannie Mae. . .................. $21,428 $22,828 $ — $ — $ 2 $ 2 $ 3,876 $ 4,103 $17,550 $18,723
Freddie Mac . .................. 15,986 16,996 5 5 37 39 1,571 1,683 14,373 15,269
Ginnie Mae. . .................. 909 1,039 — — — — 5 5 904 1,034
Alt-A private-label securities ........ 15,789 13,890 — — 1 1 294 296 15,494 13,593
Subprime private-label securities . . . . . . 11,323 9,932 — — — — — — 11,323 9,932
CMBS ....................... 15,273 14,844 308 308 275 276 14,342 13,953 348 307
Mortgage revenue bonds . . . ........ 11,792 11,041 61 62 374 385 818 819 10,539 9,775
Other mortgage-related securities . . . . . . 4,098 3,822 — — — — — 16 4,098 3,806
Total . ....................... $96,598 $94,392 $ 374 $375 $ 689 $703 $20,906 $20,875 $74,629 $72,439
Weighted average yield
(1)
........... 4.32% 5.52% 5.55% 4.25% 4.32%
(1)
Yields are determined by dividing interest income (including the amortization and accretion of premiums, discounts
and other cost basis adjustments) by amortized cost balances as of year-end. Yields on tax exempt obligations have
been computed on a tax equivalent basis.
Accumulated Other Comprehensive Loss
The following table displays our accumulated other comprehensive loss by major categories as of
December 31, 2010, 2009 and 2008.
2010
(1)
2009 2008
As of December 31,
(Dollars in millions)
Net unrealized gains (losses) on available-for-sale securities for which we have
not recorded other-than-temporary impairment . . . . . . . . . . . . . . . . . . . . . . . $ 304 $ 1,337 $(7,291)
Net unrealized losses on available-for-sale securities for which we have recorded
other-than-temporary impairment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,736) (3,059) —
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (250) (10) (382)
Accumulated other comprehensive loss . . . . . . . . . . . . . . . . . . . . . . . . . . . . $(1,682) $(1,732) $(7,673)
(1)
Includes a net increase of $3.4 billion from the adoption of the new accounting standards.
F-67
FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)