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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 05/07/2015
Entire Document
 





FANNIE MAE
(In conservatorship)
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
(UNAUDITED)


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.
 
As of March 31, 2015
 
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
 
$
(2
)
 
 
$
188

 
 
$
(13
)
 
 
$
525

Alt-A private-label securities
 
(2
)
 
 
100

 
 
(2
)
 
 
30

Subprime private-label securities
 

 
 

 
 
(9
)
 
 
184

Mortgage revenue bonds
 
(2
)
 
 
55

 
 
(8
)
 
 
86

Total
 
$
(6
)
 
 
$
343

 
 
$
(32
)
 
 
$
825

 
 
 
 
 
 
 
 
 
 
 
 
 
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

Other-Than-Temporary Impairments
We recognized $170 million and $51 million of OTTI for the three months ended March 31, 2015 and 2014, respectively, which are included in “Investment gains, net” in our condensed consolidated statements of operations and comprehensive income. During the first three months ended March 31, 2015, other-than-temporary impairments were primarily driven by a change in our intent to sell certain securities. As a result, we recognized the entire difference between the amortized cost basis of these securities and their fair value as OTTI.
The following table displays the modeled attributes, including default rates and severities, which were used to determine as of March 31, 2015 whether our senior interests in certain non-agency mortgage-related securities (including those we intend to sell) will experience a cash shortfall. An estimate of voluntary prepayment rates is also an input to the present value of expected losses.

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