Fannie Mae 2010 Annual Report Download - page 379

The following tables display a reconciliation of all assets and liabilities measured at fair value on a recurring
basis using significant unobservable inputs (Level 3) for the years ended December 31, 2010, 2009 and 2008.
The tables also display gains and losses due to changes in fair value, including both realized and unrealized
gains and losses, recorded in our consolidated statements of operations for Level 3 assets and liabilities for the
years ended December 31, 2010, 2009 and 2008. When assets and liabilities are transferred between levels, we
recognize the transfer as of the end of the period transferred.
Balance,
December 31,
2009
Impact of
New
Accounting
Standards
Included
in Net
Loss
Included
in Other
Comprehensive
Loss
Purchases,
Sales,
Issuances,
and
Settlements,
Net
Transfers
Out of
Level 3
(1)
Transfers
into
Level 3
(1)
Balance,
December 31,
2010
Net Unrealized
Gains (Losses)
Included in Net
Loss Related to
Assets and
Liabilities Still
Held as of
December 31,
2010
(2)
Total Gains or (Losses)
(Realized/Unrealized)
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the Year Ended December 31, 2010
(Dollars in millions)
Trading securities:
Mortgage-related:
Fannie Mae ........... $5,656 $ (2) $ (1) $ — $ (223) $(5,551) $2,323 $ 2,202 $ 13
Freddie Mac .......... — — — — (1) (3) 4 — —
Alt-A private-label
securities ........... 564 62 226 — (77) (1,069) 314 20 4
Subprime private-label
securities ........... 1,780 — 41 — (240) — — 1,581 41
Mortgage revenue bonds . . . 600 — 67 — (58) — — 609 66
Other ............... 154 — 6 — (8) — — 152 5
Non-mortgage-related:
Asset-backed securities .... 107 — 1 — (62) (47) 13 12 —
Total trading securities ....... 8,861 60 340 — (669) (6,670) 2,654 4,576 129
Available-for-sale securities:
Mortgage-related:
Fannie Mae ........... 596 (203) (1) 2 181 (580) 119 114 —
Freddie Mac .......... 27 — — (1) (29) — 6 3 —
Ginnie Mae ........... 123 — — 2 (125) — — — —
Alt-A private-label
securities ........... 8,312 471 (54) 1,240 (1,322) (4,951) 3,353 7,049 —
Subprime private-label
securities ........... 10,746 (118) (70) 1,078 (1,704) — — 9,932 —
Mortgage revenue bonds . . . 12,820 21 11 82 (1,902) (2) — 11,030 —
Other ............... 3,530 366 (3) 402 (489) — — 3,806 —
Total available-for-sale
securities .............. 36,154 537 (117) 2,805 (5,390) (5,533) 3,478 31,934 —
Mortgage loans of consolidated
trusts ................. — — (29) — 2,188 (11) 59 2,207 (29)
Guaranty assets and buy-ups.... 2,577 (2,568) 1 1 (11) — — — —
Net derivatives ............ 123 — 61 — (74) (1) (5) 104 (33)
Long-term debt:
Of Fannie Mae:
Senior floating ......... (601) — 20 — 160 — — (421) 24
Of consolidated trusts ...... — (77) 19 — (631) 92 (30) (627) 2
Total long-term debt ......... $ (601) $ (77) $ 39 $ — $ (471) $ 92 $ (30) $ (1,048) $ 26
F-121
FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)