Fannie Mae 2011 Annual Report Download - page 101

(1) Amount includes cash received for loans on nonaccrual status.
(2) Calculated based on annualized interest income not recognized divided by total interest-earning assets, expressed in basis
points.
For a discussion of the interest income from the assets we have purchased and the interest expense from the debt we
have issued, see the discussion of our Capital Markets group’s net interest income in “Business Segment Results.”
Net Other-Than-Temporary Impairment
The net other-than-temporary impairment charges recorded in 2011 and 2010 were primarily driven by a net decline
in forecasted home prices for certain geographic regions, which resulted in a decrease in the present value of our
cash flow projections on Alt-A and subprime securities. The charges recorded in 2011 were partially offset by an
out-of-period adjustment, which reduced “Other-than-temporary-impairments” in our consolidated statements of
operations and comprehensive loss for the year ended December 31, 2011. Net other-than-temporary impairment
decreased in 2010 compared with 2009 due to slower deterioration of the estimated credit component of the fair
value losses of these securities. In addition, net other-than-temporary impairment decreased in 2010 compared with
2009 because, effective beginning in the second quarter of 2009, we recognize only the credit portion of other-than-
temporary impairment in our consolidated statements of operations due to the adoption of new other-than-temporary
impairment accounting guidance. The net other-than-temporary impairment charge recorded prior to April 1, 2009
included both the credit and non-credit components of the loss in fair value. Approximately 57% of the impairment
recorded in 2009 was recorded in the first quarter of 2009 prior to the change in accounting guidance.
See “Note 5, Investments in Securities” for additional information regarding the net other-than-temporary impairment
recognized in 2011, 2010 and 2009, including a discussion of an out-of-period adjustment we recorded in 2011.
Fair Value Gains (Losses), Net
Table 10 displays the components of our fair value gains and losses.
Table 10: Fair Value Gains (Losses), Net
For the Year Ended
December 31,
2011 2010 2009
(Dollars in millions)
Risk management derivatives fair value losses attributable to:
Net contractual interest expense accruals on interest rate swaps ....................... $(2,185) $(2,895) $(3,359)
Net change in fair value during the period ........................................ (3,954) 1,088 (1,337)
Total risk management derivatives fair value losses, net ........................... (6,139) (1,807) (4,696)
Mortgage commitment derivatives fair value losses, net ............................... (423) (1,193) (1,654)
Total derivatives fair value losses, net ............................................. (6,562) (3,000) (6,350)
Trading securities gains, net ..................................................... 266 2,692 3,744
Other, net(1) .................................................................. (325) (203) (205)
Fair value losses, net ........................................................ $(6,621) $ (511) $(2,811)
2011 2010 2009
5-year swap rate:
As of March 31 ............................................................. 2.47% 2.73% 2.22%
As of June 30 .............................................................. 2.03 2.06 2.97
As of September 30 ......................................................... 1.26 1.51 2.65
As of December 31 .......................................................... 1.22 2.18 2.98
(1) Consists of the following: debt fair value gains (losses), net, debt foreign exchange gains (losses), net, and mortgage loans
fair value gains (losses), net.
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