Fannie Mae 2011 Annual Report Download - page 281

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Qualifying Sales of Portfolio Securitizations
The gain or loss on a portfolio securitization transaction that qualifies as a sale depends, in part, on the carrying
amount of the financial assets sold. Prior to January 1, 2010, we allocated the carrying amount of the financial
assets sold between the assets sold and the interests retained, if any, based on their relative fair value at the date
of sale. Further, we recognized our recourse obligations at their full value at the date of sale, which reduced sale
proceeds in the gain or loss calculation.
Subsequent to January 1, 2010, the majority of our portfolio securitization transactions do not qualify for sale
treatment. We report the assets and liabilities of consolidated trusts created via portfolio securitization
transactions that do not qualify as sales in our consolidated balance sheets.
We recognize assets obtained and liabilities incurred in a portfolio securitization that qualifies for sale treatment
at fair value. We recorded a net gain on securitizations from portfolio of $146 million, $26 million and $1.0
billion for the years ended December 31, 2011, 2010, and 2009, respectively. We recognize these amounts as a
component of “Investment gains, net” in our consolidated statements of operations and comprehensive loss.
Proceeds from the initial sale of securities from portfolio securitizations were $1.0 billion, $660 million, and
$85.7 billion for the years ended December 31, 2011, 2010, and 2009, respectively. Our continuing involvement
in the form of guaranty assets and guaranty liabilities with assets that were transferred into unconsolidated trusts
is not material to our consolidated financial statements.
3. Mortgage Loans
We own both single-family mortgage loans, which are secured by four or fewer residential dwelling units, and
multifamily mortgage loans, which are secured by five or more residential dwelling units. We classify these loans
as either HFI or HFS. We report HFI loans at the unpaid principal balance, net of unamortized premiums and
discounts, other cost basis adjustments, and an allowance for loan losses. We report HFS loans at the lower of
cost or fair value determined on a pooled basis, and record valuation changes in our consolidated statements of
operations and comprehensive loss.
The following table displays our mortgage loans as of December 31, 2011 and 2010.
As of December 31,
2011 2010
Of
Fannie
Mae
Of
Consolidated
Trusts Total
Of
Fannie
Mae
Of
Consolidated
Trusts Total
(Dollars in millions)
Single-family ............................. $319,496 $2,470,533 $2,790,029 $328,824 $2,490,623 $2,819,447
Multifamily .............................. 77,026 99,872 176,898 95,157 75,393 170,550
Total unpaid principal balance of mortgage
loans ................................ 396,522 2,570,405 2,966,927 423,981 2,566,016 2,989,997
Cost basis and fair value adjustments, net ....... (16,143) 19,993 3,850 (16,498) 11,777 (4,721)
Allowance for loan losses for loans held for
investment ............................. (57,309) (14,847) (72,156) (48,530) (13,026) (61,556)
Total mortgage loans ................... $323,070 $2,575,551 $2,898,621 $358,953 $2,564,767 $2,923,720
For the year ended December 31, 2011, we redesignated loans with a carrying value of $561 million from HFI to
HFS. For the year ended December 31, 2010, we did not redesignate loans between HFI and HFS other than at the
transition date. For the year ended December 31, 2009, we redesignated loans with a carrying value of $1.2 billion
from HFS to HFI and loans with a carrying value of $8.5 billion from HFI to HFS.
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