Fannie Mae 2011 Annual Report Download - page 356

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, 2009
Balance,
January 1,
2009
Total Gains or (Losses)
(Realized/Unrealized)
Purchases,
Sales,
Issuances,
and
Settlements,
Net
Transfers
in/out of
Level 3,
Net(3)
Balance,
December 31,
2009
Net Unrealized
Gains (Losses)
Included in
Net Loss
Related to
Assets and
Liabilities Still
Held as of
December 31,
2009(4)
Included
in Net
Loss
Included in
Other
Comprehensive
(Loss) Income
(Dollars in millions)
Trading securities:
Mortgage-related:
Fannie Mae ............. $ 6,935 $ 278 $ — $(1,277) $ (280) $ 5,656 $274
Alt-A private-label
securities ............. 1,118 57 — (154) (457) 564 (25)
Subprime private-label
securities ............. 2,318 (83) — (455) — 1,780 (74)
Mortgage revenue bonds . . . 695 (75) — (20) — 600 (75)
Other .................. 167 (1) — (12) — 154 (1)
Non-mortgage-related:
Asset-backed securities .... 1,475 (38) — (108) (1,222) 107 2
Corporate debt securities . . 57 3 — (116) 56 — —
Total trading securities ........ $12,765 $ 141 $ — $(2,142) $(1,903) $ 8,861 $101
Available-for-sale securities:
Mortgage-related:
Fannie Mae ............. $ 5,609 $ (47) $ 191 $ (569) $(4,588) $ 596 $ —
Freddie Mac ............ 80 3 (6) (21) (29) 27 —
Ginnie Mae ............. 190 — 1 (7) (61) 123 —
Alt-A private-label
securities ............. 11,675 (1,717) 2,192 (1,554) (2,284) 8,312 —
Subprime private-label
securities ............. 14,318 (5,290) 4,862 (3,144) — 10,746 —
Mortgage revenue bonds . . . 12,456 (16) 1,349 (969) — 12,820 —
Other .................. 3,509 (81) 651 (549) — 3,530 —
Total available-for-sale
securities ................. $47,837 $(7,148) $9,240 $(6,813) $(6,962) $36,154 $ —
Guaranty assets and buy-ups .... $ 1,083 $ 466 $ 243 $ 785 $ — $ 2,577 $783
Net derivatives .............. 310 (42) — (48) (97) 123 3
Long-term debt .............. (2,898) (18) — 1,791 524 (601) (49)
(1) Purchases and sales include activity related to the consolidation and deconsolidation of assets of securitization trusts.
(2) Issuances and settlements include activity related to the consolidation and deconsolidation of liabilities of securitization
trusts.
(3) Transfers out of Level 3 consisted primarily of Fannie Mae guaranteed mortgage-related securities and private-label
mortgage-related securities backed by Alt-A loans. Prices for these securities were obtained from multiple third-party
vendors supported by market observable inputs. Transfers into Level 3 consisted primarily of Fannie Mae guaranteed
mortgage-related securities and private-label mortgage-related securities backed by Alt-A loans. Prices for these
securities are based on inputs from a single source or inputs that were not readily observable.
(4) Amount represents temporary changes in fair value. Amortization, accretion and other-than-temporary impairments are
not considered unrealized and are not included in this amount.
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