Fannie Mae 2014 Annual Report Download - page 250

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-35
(1) Amortized cost consists of unpaid principal balance, unamortized premiums, discounts and other cost basis adjustments as well as net
other-than-temporary impairments (“OTTI”) recognized in “Investment gains (losses), net” in our consolidated statements of operations
and comprehensive income.
(2) Represents the noncredit component of OTTI losses recorded in “Accumulated other comprehensive income” as well as cumulative
changes in fair value of securities for which we previously recognized the credit component of OTTI.
(3) Represents the gross unrealized losses on securities for which we have not recognized OTTI.
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, 2014 and 2013.
As of December 31, 2014
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. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $ 113 $ (19) $ 627
Alt-A private-label securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2) 171 (13) 112
Subprime private-label securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — (24) 460
Mortgage revenue bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2) 47 (11) 155
Other mortgage-related securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 8 (136) 1,021
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (4) $ 339 $ (203) $ 2,375
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
Other-Than-Temporary Impairments
For AFS securities, OTTI is considered to have occurred when the fair value of a debt security is below its amortized cost
basis and we intend to sell or it is more likely than not that we will be required to sell the security before recovery.
Additionally, OTTI is considered to have occurred if we do not expect to recover the entire amortized cost basis of a debt
security even if we do not intend to sell the security or it is not more likely than not we will be required to sell the security
before recovery.
We recognized $90 million, $64 million and $713 million of OTTI for the years ended December 31, 2014, 2013 and 2012,
respectively, which are included in “Investment gains (losses), net” in our consolidated statements of operations and
comprehensive income.