Fannie Mae 2013 Annual Report Download - page 250

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-26
As of December 31,
2013 2012(1)
(Dollars in millions)
Assets and liabilities recorded in our consolidated balance sheets related to mortgage-
backed trusts:
Assets:
Trading securities:
Fannie Mae securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,660 $ 6,248
Non-Fannie Mae securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,559 16,458
Total trading securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,219 22,706
Available-for-sale securities:
Fannie Mae securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,866 10,435
Non-Fannie Mae securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,441 46,569
Total available-for-sale securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,307 57,004
Other assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119 145
Other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,668)(1,449)
Net carrying amount . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 45,977 $ 78,406
Maximum exposure to loss(2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 54,148 $ 87,397
Total assets of unconsolidated mortgage-backed trusts . . . . . . . . . . . . . . . . . . . . . . . . . . . $313,202 $645,332
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(1) Contains securities recognized in our consolidated balance sheets due to consolidation of certain multi-class resecuritization trusts.
(2) Our maximum exposure to loss generally represents the greater of our recorded investment in the entity or the unpaid principal balance
of the assets covered by our guaranty. However, our securities issued by Fannie Mae multi-class resecuritization trusts that are not
consolidated do not give rise to any additional exposure to loss as we already consolidate the underlying collateral.
Additionally, our maximum exposure to loss related to our involvement with limited partnership investments was $14 million
and $118 million as of December 31, 2013 and 2012, respectively. The total assets of these unconsolidated limited
partnership investments were $6.8 billion and $11.7 billion as of December 31, 2013 and 2012, respectively.
Transfers of Financial Assets
We issue Fannie Mae MBS through portfolio securitization transactions by transferring pools of mortgage loans or mortgage-
related securities to one or more trusts or special purpose entities. We are considered to be the transferor when we transfer
assets from our own retained mortgage portfolio in a portfolio securitization transaction. For the years ended December 31,
2013, 2012 and 2011, the unpaid principal balance of portfolio securitizations was $228.5 billion, $225.1 billion and $118.5
billion, respectively.
The following table displays some key characteristics of the securities retained in unconsolidated portfolio securitization
trusts as of December 31, 2013 and 2012.