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102 FANNIE MAE 2002 ANNUAL REPORT
4. Nonmortgage Investments
We classify securities in the LIP and other investments as either available-for-sale or held-to-maturity. We have presented
below a schedule of available-for-sale nonmortgage investments at December 31, 2002 and 2001.
2002
Gross Gross
Amortized Unrealized Unrealized Fair
Dollars in millions Cost Gains Losses Value
Available-for-sale:
Asset-backed securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $22,281 $ 98 $ (68) $22,311
Floating-rate notes1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,754 10 (29) 11,735
Corporate bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,149 42 — 1,191
Ta xable auction notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 949 — — 949
Auction rate preferred stock . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112 — (4) 108
Commercial paper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100 — — 100
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 400 — — 400
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $36,745 $150 $(101) $36,794
2001
Gross Gross
Amortized Unrealized Unrealized Fair
Cost Gains Losses Value
Available-for-sale:
Asset-backed securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 14,876 $ 21 $ (25) $ 14,872
Floating-rate notes1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,114 12 (45) 12,081
Commercial paper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,879 1 — 8,880
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50 — — 50
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 35,919 $ 34 $ (70) $ 35,883
1As of December 31, 2002 and 2001, 100 percent of floating-rate notes repriced at intervals of 90 days or less.
Total gross realized gains on nonmortgage investments that
were classified as available-for-sale was $4.5 million in 2002,
$9.9 million in 2001, and $6.6 million in 2000. Total gross
realized losses on nonmortgage investments that were
classified as available-for-sale was $1.7 million in 2002, $6.1
million in 2001, and $4.3 million in 2000.
On September 13, 2002, concurrent with the new risk-based
capital rule issued by our regulator, OFHEO, we reclassified
securities in our LIP that had an amortized cost of
$11.0 billion and a fair value of $11.2 billion 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 $139 million and $6 million, respectively.
We have presented below a schedule of held-to-maturity
nonmortgage investments at December 31, 2002 and 2001.