Fannie Mae 2011 Annual Report Download - page 354

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the Year Ended December 31, 2011
Balance,
December 31,
2010
Total Gains or
(Losses) (Realized/
Unrealized)
Purchases(1) Sales(1) Issuances(2) Settlements(2)
Transfers
out of
Level 3(3)
Transfers
into
Level 3(3)
Balance,
December 31,
2011
Net
Unrealized
Gains
(Losses)
Included in
Net Loss
Related to
Assets and
Liabilities
Still Held
as of
December 31,
2011(4)
Included
in Net
Loss
Included
in
Other
Compre
hensive
(Loss)
Income
(Dollars in millions)
Trading securities:
Mortgage-related:
Fannie Mae ......... $ 2,202 $ 14 $ — $ 663 $(161) $ — $ (433) $ (600) $ 52 $ 1,737 $ 36
Ginnie Mae ......... — — — 9 (9) — — (27) 36 9 —
Alt-A private-label
securities ......... 20 19 — — — — (32) (188) 526 345 (1)
Subprime private-label
securities ......... 1,581 (125) — — — — (176) — — 1,280 (125)
Mortgage revenue
bonds ............ 609 141 — — — — (26) — — 724 144
Other .............. 152 1 — — — — (6) (147) 143 143 —
Non-mortgage-related:
Asset-backed
securities ......... 12 — — — — — (5) (9) 2 — —
Total trading securities .... $ 4,576 $ 50 $ — $ 672 $(170) $ — $ (678) $ (971) $ 759 $ 4,238 $ 54
Available-for-sale securities:
Mortgage-related:
Fannie Mae ......... $ 114 $ — $ 44 $1,756 $(383) $ — $ (22) $(1,023) $ 460 $ 946 $ —
Freddie Mac ......... 3 — — — — — (1) — 10 12 —
Alt-A private-label
securities ......... 7,049 (100) 119 — — — (974) (1,684) 2,846 7,256 —
Subprime private-label
securities ......... 9,932 (386) (580) — (363) — (1,017) — — 7,586 —
Mortgage revenue
bonds ............ 11,030 (22) 834 — (109) — (1,486) — — 10,247 —
Other .............. 3,806 (7) 50 — — — (404) — — 3,445 —
Total available-for-sale
securities ............. $31,934 $(515) $ 467 $1,756 $(855) $ — $(3,904) $(2,707) $3,316 $29,492 $ —
Mortgage loans of
consolidated trusts ...... $ 2,207 $ 8 $ — $ 184 $ — $ — $ (339) $ (106) $ 365 $ 2,319 $ 9
Net derivatives ........... 104 123 — — — (4) (87) (71) — 65 59
Long-term debt:
Of Fannie Mae:
Senior floating ....... $ (421) $ (88) $ — $ — $ — $ — $ 103 $ — $ — $ (406) $ (88)
Of consolidated trusts . . . (627) (35) — — 4 (70) 89 185 (311) (765) (19)
Total long-term debt ...... $(1,048) $(123) $ — $ — $ 4 $(70) $ 192 $ 185 $ (311) $ (1,171) $(107)
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