Fannie Mae 2013 Annual Report Download - page 263

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-39
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, 2013 and 2012.
As of December 31, 2013
Less Than 12
Consecutive Months 12 Consecutive Months or Longer
Gross
Unrealized
Losses Fair
Value
Gross
Unrealized
Losses Fair
Value
(Dollars in millions)
Fannie Mae. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (40) $ 975 $ (4) $ 126
Alt-A private-label securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (12) 490 (30) 308
Subprime private-label securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (24) 448 (131) 1,332
Mortgage revenue bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (147) 1,662 (277) 970
Other mortgage-related securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 5 (218) 1,066
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $(223) $ 3,580 $ (660) $ 3,802
As of December 31, 2012
Less Than 12
Consecutive Months 12 Consecutive Months or Longer
Gross
Unrealized
Losses Fair
Value
Gross
Unrealized
Losses Fair
Value
(Dollars in millions)
Fannie Mae. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (5) $ 599 $ (11) $ 372
Alt-A private-label securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (18) 541 (715) 4,465
Subprime private-label securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (14) 243 (893) 5,058
CMBS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — (11) 240
Mortgage revenue bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3) 127 (94) 1,198
Other mortgage-related securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3) 95 (282) 1,529
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (43) $ 1,605 $(2,006) $ 12,862
Other-Than-Temporary Impairments
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. As of December 31, 2013,
$660 million of gross unrealized losses on AFS securities had existed for a period of 12 consecutive months or longer. Gross
unrealized losses on AFS securities as of December 31, 2013 include unrealized losses on securities with other-than-
temporary impairment in which a portion of the impairment remains in “Accumulated other comprehensive income.” The
securities with unrealized losses for 12 consecutive months or longer, on average, had a fair value as of December 31, 2013
that was 85% of their amortized cost basis. Based on our review for impairments of AFS securities, which includes an
evaluation of the collectibility of cash flows and any intent or requirement to sell the securities, we have concluded that we
do not have an intent to sell and we believe it is not more likely than not that we will be required to sell the securities with
unrealized losses of 12 consecutive months or longer. Additionally, our projections of cash flows indicate that we will recover
these unrealized losses over the lives of the securities.
The following table displays our net other-than-temporary impairments by major security type recognized in our consolidated
statements of operations and comprehensive income (loss) for the years ended December 31, 2013, 2012 and 2011. Net other-
than-temporary impairments include credit losses on debt securities we do not intend to sell and the excess of amortized cost
over the fair value of debt securities we intend to sell.