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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 11/02/2018
Entire Document
 
 
Notes to Condensed Consolidated Financial Statements | Investments in Securities


__________
(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.
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 September 30, 2018
 
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
 
$
(3
)
 
 
$
208

 
 
$
(35
)
 
 
$
472

Mortgage revenue bonds
 
(2
)
 
 
42

 
 
(3
)
 
 
3

Total
 
$
(5
)
 
 
$
250

 
 
$
(38
)
 
 
$
475

 
 
 
 
 
 
 
 
 
 
 
 
 
As of December 31, 2017
 
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
 
$
(1
)
 
 
$
134

 
 
$
(26
)
 
 
$
461

Mortgage revenue bonds
 

 
 

 
 
(4
)
 
 
3

Total
 
$
(1
)
 
 
$
134

 
 
$
(30
)
 
 
$
464


Other-Than-Temporary Impairments
The balance of the unrealized credit loss component of AFS debt securities held by us and recognized in our condensed consolidated statements of operations and comprehensive income was $718 million, $733 million and $1.1 billion as of September 30, 2018, June 30, 2018 and December 31, 2017, respectively. The decreases for the three and nine months ended September 30, 2018 were primarily driven by securities no longer held in our portfolio at period end.
The balance of the unrealized credit loss component of AFS debt securities held by us and recognized in our condensed consolidated statements of operations and comprehensive income was $1.2 billion, $1.8 billion and $1.9 billion as of September 30, 2017, June 30, 2017 and December 31, 2016, respectively. The decreases for the three and nine months ended September 30, 2017 were primarily driven by securities we intend to sell or that it is more likely than not we will sell before recovery of our amortized cost basis.

Fannie Mae (In conservatorship) Third Quarter 2018 Form 10-Q
73