Fannie Mae 2002 Annual Report Download - page 101

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99
FANNIE MAE 2002 ANNUAL REPORT
Nonaccrual loans totaled $5.5 billion and $3.7 billion at
December 31, 2002 and 2001, respectively. Accruing loans
past 90 days due totaled $673 million and $565 million at
December 31, 2002 and 2001, respectively.
At December 31, 2002 and 2001, the balance of whole loans
held-for-sale was $145 million and $40 million, respectively.
There were no gross realized gains or losses on sales of whole
loans held-for-sale in 2002, 2001, or 2000.
Within the mortgage portfolio are MBS and other mortgage-
related securities that we classify as either held-to-maturity
or available-for-sale. Below is a table of the securities held in
each of these categories along with their gross unrealized
gains and losses and total fair value for the years ending 2002
and 2001.
December 31, 2002
Gross Gross
Amortized Unrealized Unrealized Fair
Dollars in millions Cost1Gains Losses Value
Held-to-maturity:
MBS2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $286,422 $11,173 $ (1) $297,594
REMICs and Stripped MBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110,423 4,339 (87) 114,675
Other mortgage-related securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41,087 2,813 (45) 43,855
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $437,932 $18,325 $(133) $456,124
Available-for-sale:
MBS2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $116,081 $ 5,425 $ (1) $121,505
REMICs and Stripped MBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,763 678 (369) 34,072
Other mortgage-related securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,358 782 (11) 18,129
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $167,202 $ 6,885 $(381) $173,706
December 31, 2001
Gross Gross
Amortized Unrealized Unrealized Fair
Cost1Gains Losses Value
Held-to-maturity:
MBS2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .$333,896 $ 3,536 $ (54) $ 337,378
REMICs and Stripped MBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127,675 2,432 (579) 129,528
Other mortgage-related securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,584 1,411 (87) 48,908
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 509,155 $ 7,379 $ (720) $ 515,814
Available-for-sale:
MBS2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .$9,119 $ 105 $ (27) $ 9,197
REMICs and Stripped MBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,083 211 (240) 1,054
Other mortgage-related securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,236 425 (12) 22,649
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 32,438 $ 741 $ (279) $ 32,900
1Amortized cost includes unamortized premiums, discounts, and deferred price adjustments.
2Excludes REMICs and Stripped MBS.
On September 13, 2002, concurrent with the new risk-based
capital rule issued by our regulator, Office of Federal
Housing Enterprise Oversight (OFHEO), we reclassified
$124 billion of securities in our mortgage portfolio from
held-to-maturity to available-for-sale. Prior to September
13, 2002, Fannie Mae was not subject to a risk-based capital
standard. OFHEO implemented the risk-based standard
on that date and this standard applied to all assets held by
Fannie Mae. FAS 115 specifically identifies “a significant
increase in the risk weights of debt securities used for
regulatory risk-based capital purposes” as a change in
circumstance under which a company may reclassify
securities from held-to-maturity to available-for-sale without
calling into question the intent to hold other securities to
maturity in the future. At the time of this noncash transfer,
these securities had gross unrealized gains and losses of
$5.364 billion and $53 million, respectively.
Total gross realized gains and losses on sales of MBS and
other mortgage-related securities in 2002 were $78 million
and $21 million, respectively. Total net realized losses on
sales of MBS and other mortgage-related securities were
$13 million in 2001 and $21 million in 2000.