Fannie Mae 2012 Annual Report Download - page 107

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Table 29: Summary of Mortgage-Related Securities at Fair Value
As of December 31,
2012 2011 2010
(Dollars in millions)
Mortgage-related securities:
Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $16,683 $ 24,274 $ 30,226
Freddie Mac. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,173 15,555 18,322
Ginnie Mae . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,188 1,189 1,629
Alt-A private-label securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,405 13,032 15,573
Subprime private-label securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,766 8,866 11,513
CMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,923 24,437 25,608
Mortgage revenue bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,517 10,978 11,650
Other mortgage-related securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,271 3,601 3,974
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $85,926 $101,932 $118,495
Mortgage Loans
The mortgage loans reported in our consolidated balance sheets include loans owned by Fannie Mae and loans held in
consolidated trusts and are classified as either held for sale or held for investment. The increase in mortgage loans, net of the
allowance for loan losses, in 2012 was primarily driven by securitization activity from our lender swap and portfolio
securitization programs. For additional information on our mortgage loans, see “Note 3, Mortgage Loans.” For additional
information on the mortgage loan purchase and sale activities reported by our Capital Markets group, see “Business Segment
Results—Capital Markets Group Results.”
Deferred Tax Assets, Net
We recognize deferred tax assets and liabilities for future tax consequences arising from differences between the carrying
amounts of existing assets and liabilities under GAAP and their respective tax bases, and for net operating loss carryforwards
and tax credit carryforwards. For additional information on our deferred tax assets and liabilities, see “Note 10, Income
Taxes.”
Debt
Debt of Fannie Mae is the primary means of funding our mortgage investments. Debt of consolidated trusts represents the
amount of Fannie Mae MBS issued from consolidated trusts and held by third-party certificateholders. We provide a
summary of the activity of the debt of Fannie Mae and a comparison of the mix between our outstanding short-term and long-
term debt in “Liquidity and Capital Management—Liquidity Management—Debt Funding.” Also see “Note 8, Short-Term
Borrowings and Long-Term Debt” for additional information on our outstanding debt.
The increase in debt of consolidated trusts in 2012 was primarily driven by sales of Fannie Mae MBS, which are accounted
for as reissuances of debt of consolidated trusts in our consolidated balance sheets, since the MBS certificate ownership is
transferred from us to a third party.
Stockholders’ Equity (Deficit)
Our net equity increased as of December 31, 2012 compared with December 31, 2011. See Table 30 in “Supplemental Non-
GAAP Information—Fair Value Balance Sheets” for details of the change in our net equity.
SUPPLEMENTAL NON-GAAP INFORMATION—FAIR VALUE BALANCE SHEETS
As part of our disclosure requirements with FHFA, we disclose on a quarterly basis supplemental non-GAAP consolidated
fair value balance sheets, which reflect our assets and liabilities at estimated fair value.
Table 30 summarizes changes in our stockholders’ equity (deficit) reported in our GAAP consolidated balance sheets and in
the estimated fair value of our net assets in our non-GAAP consolidated fair value balance sheets for the year ended
December 31, 2012. The estimated fair value of our net assets is calculated based on the difference between the fair value of
our assets and the fair value of our liabilities, adjusted for noncontrolling interests. We use various valuation techniques to