Fannie Mae 2001 Annual Report Download - page 58

{ 56 } Fannie Mae 2001 Annual Report
4. Investments
Presented below are the amortized cost and fair value of the Liquid Investment Portfolio and other investments classified as
held-to-maturity at December 31, 2001 and 2000.
Presented below are the amortized cost and fair value of the Liquid Investment Portfolio and other investments classified as
available-for-sale at December 31, 2001 and 2000.
The following table shows the amortized cost, fair value, and yield of the Liquid Investment Portfolio and other investments at
December 31, 2001 and 2000 by remaining maturity.
2001 2000
Average Average
Amortized Unrealized Unrealized Fair Maturity % Rated A Amortized Unrealized Unrealized Fair Maturity % Rated A
Dollars in millions Cost Gains Losses Value in Months or Better Cost Gains Losses Value in Months or Better
Held-to-maturity investments:
Eurodollar time deposits . . $11,185 $ — $ — $11,185 .3 100.0% $ 4,046 $ — $ — $ 4,046 1.2 100.0%
Repurchase agreements . . 9,380 — — 9,380 .5 100.0 2,722 — — 2,722 .5 100.0
Asset-backed securities1 . . 6,065 88 — 6,153 10.6 100.0 9,043 23 — 9,066 22.6 100.0
Federal funds . . . . . . . . . . 4,904 — — 4,904 .4 100.0 3,493 — — 3,493 2.1 100.0
Commercial paper . . . . . 2,844 1 — 2,845 .6 100.0 8,893 2 — 8,895 .7 90.1
Auction rate preferred
stock . . . . . . . . . . . . . . . . . 2,127 — — 2,127 1.7 100.0 1,812 — — 1,812 1.9 98.6
Other . . . . . . . . . . . . . . . . . . 2,166 73 — 2,239 16.7 56.4 3,823 29 — 3,852 17.6 100.0
Total . . . . . . . . . . . . . . . . $38,671 $162 $ — $38,833 3.0 97.5% $33,832 $54 $ — $33,886 8.7 97.3%
1Contractual maturity of asset-backed securities is not a reliable indicator of their expected life because borrowers generally have the right to repay their obligations at any time.
2001 2000
Amortized Fair Amortized Fair
Dollars in millions Cost Value Yield Cost Value Yield
Due within one year . . . . . . . . . . . . . . . . . . . . . . . . $42,190 $42,210 2.41% $27,026 $27,010 6.85%
Due after one year through five years . . . . . . . . . 11,459 11,481 3.01 10,443 10,477 7.12
53,649 53,691 2.54 37,469 37,487 6.93
Asset-backed securities1 . . . . . . . . . . . . . . . . . . . . . 20,941 21,025 3.07 17,512 17,535 6.84
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $74,590 $74,716 2.69% $54,981 $55,022 6.90%
1Contractual maturity of asset-backed securities is not a reliable indicator of their expected life because borrowers generally have the right to repay their obligations at any time.
2001 2000
Average Average
Amortized Unrealized Unrealized Fair Maturity % Rated A Amortized Unrealized Unrealized Fair Maturity % Rated A
Dollars in millions Cost Gains2Losses3Value in Months or Better Cost Gains Losses Value in Months or Better
Available-for-sale investments:
Asset-backed securities1 . . $14,876 $ — $ 4 $14,872 26.2 99.9% $ 8,469 $— $— $ 8,469 49.6 100.0%
Floating rate notes1 . . . . . . 12,114 — 33 12,081 18.2 84.3 12,237 — 13 12,224 18.5 99.7
Commercial paper . . . . . . . 8,879 1 — 8,880 .9 100.0 443 — — 443 .6 100.0
Other . . . . . . . . . . . . . . . . . 50 ——50 9.5 100.0 ——————
Total . . . . . . . . . . . . . . $35,919 $ 1 $37 $35,883 17.2 94.7% $21,149 $ — $13 $21,136 30.6 99.8%
1As of December 31, 2001, 100 percent of asset-backed securities and floating rate notes reprice at intervals of 90 days or less.
2Gross realized gains of $9.9 million, $6.6 million, and $1.1 million were recorded in 2001, 2000, and 1999, respectively.
3Gross realized losses of $6.1 million, $4.3 million, and $1.9 million were recorded in 2001, 2000, and 1999, respectively.