Fannie Mae 2010 Annual Report Download - page 321

The following tables display additional information regarding gross unrealized losses and fair value by major
security type for AFS securities in an unrealized loss position that we held as of December 31, 2010 and
2009.
Gross
Unrealized
Losses
Fair
Value
Gross
Unrealized
Losses
Fair
Value
Less Than 12
Consecutive Months
12 Consecutive
Months or Longer
As of December 31, 2010
(Dollars in millions)
Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (35) $ 1,461 $ (18) $ 211
FreddieMac .................................... — 11 — 7
GinnieMae..................................... — 1 — —
Alt-A private-label securities . . . . . . . . . . . . . . . . . . . . . . . . . (104) 1,915 (1,972) 9,388
Subprime private-label securities . . . . . . . . . . . . . . . . . . . . . . (47) 627 (1,398) 8,493
CMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (15) 1,774 (439) 10,396
Mortgage revenue bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . (206) 5,009 (592) 3,129
Other mortgage-related securities . . . . . . . . . . . . . . . . . . . . . . (2) 250 (380) 2,007
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $(409) $11,048 $(4,799) $33,631
Gross
Unrealized
Losses
Fair
Value
Gross
Unrealized
Losses
Fair
Value
Less Than 12
Consecutive Months
12 Consecutive
Months or Longer
As of December 31, 2009
(Dollars in millions)
Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (36) $ 1,461 $ (32) $ 544
FreddieMac .................................... (2) 85 (2) 164
GinnieMae..................................... (2) 139 — 26
Alt-A private-label securities . . . . . . . . . . . . . . . . . . . . . . . . . (2,439) 7,018 (1,288) 6,929
Subprime private-label securities . . . . . . . . . . . . . . . . . . . . . . (998) 4,595 (1,521) 5,860
CMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — (2,604) 13,193
Mortgage revenue bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . (54) 2,392 (850) 5,664
Other mortgage-related securities . . . . . . . . . . . . . . . . . . . . . . (96) 536 (606) 2,739
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $(3,627) $16,226 $(6,903) $35,119
Other-Than-Temporary Impairments
We recognize the credit component of other-than-temporary impairments of our debt securities in our
consolidated statements of operations and the noncredit component in “Other comprehensive loss” for those
securities that we do not intend to sell and for which it is not more likely than not that we will be required to
sell before recovery.
The fair value of our securities varies from period to period due to changes in interest rates, in the
performance of the underlying collateral and in the credit performance of the underlying issuer, among other
factors. $4.8 billion of the $5.2 billion of gross unrealized losses on AFS securities as of December 31, 2010
have existed for a period of 12 consecutive months or longer. Gross unrealized losses on AFS securities as of
December 31, 2010 include unrealized losses on securities with other-than-temporary impairment in which a
F-63
FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)