Fannie Mae 2012 Annual Report Download - page 322

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-88
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the Year Ended December 31, 2010
Impact of the
transition to the
Consolidation
Accounting
Guidance
Total (Losses) or Gains
(Realized/Unrealized)
Net Unrealized
Gains (Losses)
Included in Net
Income (Loss)
Related to
Assets and
Liabilities Still
Held as of
December 31,
2010(5)
Balance,
December 31,
2009
Included
in Net
Income
(Loss)
Included in
Other
Comprehensive
Income (Loss)(1)
Purchases,
Sales,
Issuances,
and
Settlements,
Net
Transfers
out of
Level 3(4)
Transfers
into
Level 3(4)
Balance,
December 31,
2010
(Dollars in millions)
Trading securities:
Mortgage-related:
Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,656 $ (2) $ (1) $ — $ (223) $(5,551) $ 2,323 $ 2,202 $ 13
Freddie Mac . . . . . . . . . . . . . . . . . . . . . . . . . . — — — — (1) (3) 4 — —
Alt-A private-label securities . . . . . . . . . . . . . 564 62 226 — (77) (1,069) 314 20 4
Subprime private-label securities . . . . . . . . . . 1,780 — 41 — (240) — — 1,581 41
Mortgage revenue bonds. . . . . . . . . . . . . . . . . 600 — 67 — (58) — — 609 66
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 154 — 6 — (8) — — 152 5
Non-mortgage-related:
Asset-backed securities. . . . . . . . . . . . . . . . . . 107 — 1 — (62) (47) 13 12 —
Total trading securities. . . . . . . . . . . . . . . . . . . . . . . $ 8,861 $ 60 $ 340 $ — $ (669) $(6,670) $ 2,654 $ 4,576 $129
Available-for-sale securities:
Mortgage-related:
Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 596 $ (203) $ (1) $ 2 $ 181 $ (580) $ 119 $ 114 $ —
Freddie Mac . . . . . . . . . . . . . . . . . . . . . . . . . . 27 — — (1) (29) — 6 3 —
Ginnie Mae . . . . . . . . . . . . . . . . . . . . . . . . . . . 123 — — 2 (125) — — — —
Alt-A private-label securities . . . . . . . . . . . . . 8,312 471 (54) 1,240 (1,322) (4,951) 3,353 7,049 —
Subprime private-label securities . . . . . . . . . . 10,746 (118) (70) 1,078 (1,704) — — 9,932 —
Mortgage revenue bonds. . . . . . . . . . . . . . . . . 12,820 21 11 82 (1,902) (2) — 11,030 —
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,530 366 (3) 402 (489) — — 3,806 —
Total available-for-sale securities . . . . . . . . . . . . . . $ 36,154 $ 537 $ (117) $ 2,805 $ (5,390) $(5,533) $ 3,478 $ 31,934 $ —
Mortgage loans of consolidated trusts. . . . . . . . . . . $ — $ — $ (29) $ — $ 2,188 $ (11) $ 59 $ 2,207 $(29)
Guaranty assets and buy-ups . . . . . . . . . . . . . . . . . . 2,577 (2,568) 1 1 (11) — — — —
Net derivatives. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123 — 61 — (74) (1) (5) 104 (33)
Long-term debt:
Of Fannie Mae:
Senior floating . . . . . . . . . . . . . . . . . . . . . . . . . $ (601) $ — $ 20 $ — $ 160 $ — $ — $ (421) $ 24
Of consolidated trusts. . . . . . . . . . . . . . . . . . . . . . — (77) 19 — (631) 92 (30) (627) 2
Total long-term debt. . . . . . . . . . . . . . . . . . . . . . . . . $ (601) $ (77) $ 39 $ — $ (471) $ 92 $ (30) $ (1,048) $ 26
__________
(1) Gains (losses) included in other comprehensive income (loss) are included in “Changes in unrealized gains on available-for-sale
securities, net of reclassification adjustments and taxes” in the consolidated statements of operations and comprehensive income (loss).
(2) Purchases and sales include activity related to the consolidation and deconsolidation of assets of securitization trusts.
(3) Issues and settlements include activity related to the consolidation and deconsolidation of liabilities of securitization trusts.
(4) Transfers out of Level 3 consisted primarily of Fannie Mae MBS 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 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.
(5) 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.
The following tables display realized and unrealized gains and losses included in our consolidated statements of operations
and comprehensive income (loss) for the years ended December 31, 2012, 2011 and 2010, for our Level 3 assets and
liabilities measured in our consolidated balance sheets at fair value on a recurring basis.