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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 08/03/2017
Entire Document
 
 
Notes to Condensed Consolidated Financial Statements | Investments in Securities


The following table displays the gross realized gains, losses and proceeds on sales of AFS securities.
 
For the Three
 
For the Six
 
Months Ended
 
Months Ended
 
June 30,
 
June 30,
 
2017
 
2016
 
2017
 
2016
 
(Dollars in millions)

Gross realized gains
$
227

 
$
234

 
$
230

 
$
445

Gross realized losses

 
8

 

 
12

Total proceeds (excludes initial sale of securities from new portfolio securitizations)
799

 
3,645

 
894

 
7,267

The following tables display the amortized cost, gross unrealized gains and losses, and fair value by major security type for AFS securities.
 
As of June 30, 2017
 
Total Amortized Cost(1)
 
Gross Unrealized Gains
 
Gross Unrealized Losses(2)
 
 
Total Fair Value
 
(Dollars in millions)
Fannie Mae
 
$
2,173

 
 
 
$
124

 
 
 
$
(25
)
 
 
 
$
2,272

Other agency
 
399

 
 
 
33

 
 
 

 
 
 
432

Alt-A and subprime private-label securities
 
1,335

 
 
 
828

 
 
 
(1
)
 
 
 
2,162

CMBS
 
259

 
 
 

 
 
 

 
 
 
259

Mortgage revenue bonds
 
858

 
 
 
21

 
 
 
(6
)
 
 
 
873

Other mortgage-related securities
 
395

 
 
 
15

 
 
 

 
 
 
410

Total
 
$
5,419

 
 
 
$
1,021

 
 
 
$
(32
)
 
 
 
$
6,408

 
As of December 31, 2016
 
Total Amortized Cost(1)
 
Gross Unrealized Gains
 
Gross Unrealized Losses(2)
 
 
Total Fair Value
 
(Dollars in millions)
Fannie Mae
 
$
2,445

 
 
 
$
137

 
 
 
$
(28
)
 
 
 
$
2,554

Other agency
 
508

 
 
 
39

 
 
 

 
 
 
547

Alt-A and subprime private-label securities
 
1,817

 
 
 
895

 
 
 
(3
)
 
 
 
2,709

CMBS
 
815

 
 
 
4

 
 
 

 
 
 
819

Mortgage revenue bonds
 
1,245

 
 
 
36

 
 
 
(9
)
 
 
 
1,272

Other mortgage-related securities
 
431

 
 
 
31

 
 
 

 
 
 
462

Total
 
$
7,261

 
 
 
$
1,142

 
 
 
$
(40
)
 
 
 
$
8,363

__________
(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, net” in our condensed consolidated statements of operations and comprehensive income.
(2) 
Represents the gross unrealized losses on securities for which we have not recognized OTTI, as well as the noncredit component of OTTI and cumulative changes in fair value of securities for which we previously recognized the credit component of OTTI in “Accumulated other comprehensive income ” in our condensed consolidated balance sheets.

Fannie Mae (In conservatorship) Second Quarter 2017 Form 10-Q
81