Fannie Mae 2004 Annual Report Download - page 309

(1)
Amortized cost includes unamortized premiums, discounts and other deferred price adjustments, as well as oth-
er-than-temporary impairment write-downs.
(2)
Includes commitments related to mortgage securities that are accounted for as securities.
The fair value of securities varies from period to period due to changes in interest rates and changes in credit
performance of the underlying issuer, among other factors. We recorded other-than-temporary impairment
related to investments in securities of $389 million, $733 million and $676 million for the years ended
December 31, 2004, 2003 and 2002, respectively.
Included in the $1.4 billion of gross unrealized losses on AFS securities for 2004 was $602 million of
unrealized losses that have existed for a period of 12 consecutive months or longer. These securities are
predominately rated AAA and the unrealized losses are due to overall increases in market interest rates and
not due to any underlying credit deterioration of the issuers. Substantially all of the securities with unrealized
losses aged greater than 12 months have a market value as of December 31, 2004 that is within 98% of their
amortized cost basis. All aged unrealized losses are recoverable within a reasonable period of time by way of
changes in market interest rates. Accordingly, we have concluded that none of the unrealized losses on
securities in our investment portfolio represent other-than-temporary impairment as of December 31, 2004.
The following table displays the amortized cost and fair value of our AFS securities by investment
classification and remaining maturity as of December 31, 2004.
Total
Amortized
Cost
(1)
Total
Fair
Value
Amortized
Cost
(1)
Fair
Value
Amortized
Cost
(1)
Fair
Value
Amortized
Cost
(1)
Fair
Value
Amortized
Cost
(1)
Fair
Value
One Year or Less
After One Year
through Five Years
After Five Years
through Ten Years After Ten Years
As of December 31, 2004
(Dollars in millions)
Fannie Mae single-
class MBS
(2)
...... $238,386 $241,828 $ — $ — $ 701 $ 746 $3,163 $3,338 $234,522 $237,744
Non-Fannie Mae single-
class mortgage-related
securities
(2)
....... 34,429 35,168 — — 58 61 420 435 33,951 34,672
Fannie Mae structured
MBS
(2)
.......... 72,093 73,367 188 239 78 79 426 444 71,401 72,605
Non-Fannie Mae
structured mortgage-
related securities
(2)
. . 109,564 109,820 4 4 10 10 56 57 109,494 109,749
Mortgage revenue
bonds . .......... 22,124 22,657 180 179 687 686 658 674 20,599 21,118
Other mortgage-related
securities
(3)
....... 5,043 5,346 — (3) — — — — 5,043 5,349
Asset-backed
securities
(2)
....... 25,632 25,645 5,094 5,094 17,532 17,521 1,552 1,554 1,454 1,476
Corporate debt
securities ......... 15,102 15,098 5,302 5,305 9,700 9,693 100 100 — —
Municipal bonds. ..... 865 863 865 863 — — — — — —
Other non-mortgage-
related securities .... 2,302 2,303 1,782 1,783 520 520 — — — —
Total . . .......... $525,540 $532,095 $13,415 $13,464 $29,286 $29,316 $6,375 $6,602 $476,464 $482,713
(1)
Amortized cost includes unamortized premiums, discounts and other deferred price adjustments, as well as
other-than-temporary impairment write-downs.
(2)
Asset-backed securities, including mortgage-backed securities, are reported based on contractual maturities assuming
no prepayments.
(3)
Includes commitments related to mortgage securities that are accounted for as securities.
F-58
FANNIE MAE
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)