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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 08/05/2011
Entire Document
 
Table of Contents

FANNIE MAE
(In conservatorship)

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
(UNAUDITED)
 
                                         
    As of December 31, 2010  
                Gross
    Gross
       
    Total
    Gross
    Unrealized
    Unrealized
    Total
 
    Amortized
    Unrealized
    Losses -
    Losses -
    Fair
 
    Cost(1)     Gains     OTTI(2)     Other(3)     Value  
    (Dollars in millions)  
 
Fannie Mae
  $ 21,428     $ 1,453     $ (9 )   $ (44 )   $ 22,828  
Freddie Mac
    15,986       1,010                   16,996  
Ginnie Mae
    909       130                   1,039  
Alt-A private-label securities
    15,789       177       (1,791 )     (285 )     13,890  
Subprime private-label securities
    11,323       54       (997 )     (448 )     9,932  
CMBS(4)
    15,273       25             (454 )     14,844  
Mortgage revenue bonds
    11,792       47       (64 )     (734 )     11,041  
Other mortgage-related securities
    4,098       106       (44 )     (338 )     3,822  
                                         
Total
  $ 96,598     $ 3,002     $ (2,905 )   $ (2,303 )   $ 94,392  
                                         
 
 
(1) Amortized cost includes unamortized premiums, discounts and other cost basis adjustments as well as the credit component of other-than-temporary impairments recognized in our condensed consolidated statements of operations and comprehensive loss.
 
(2) Represents the noncredit component of other-than-temporary impairment losses recorded in “Accumulated other comprehensive loss” as well as cumulative changes in fair value for securities for which we previously recognized the credit component of an other-than-temporary impairment.
 
(3) Represents the gross unrealized losses on securities for which we have not recognized an other-than-temporary impairment.
 
(4) Amortized cost includes $763 million and $848 million as of June 30, 2011 and December 31, 2010, respectively, of increase to the carrying amount from previous fair value hedge accounting.
 
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 June 30, 2011 and December 31, 2010.
 
                                 
    As of June 30, 2011  
    Less Than 12
    12 Consecutive
 
    Consecutive Months     Months or Longer  
    Gross
          Gross
       
    Unrealized
    Fair
    Unrealized
    Fair
 
    Losses     Value     Losses     Value  
    (Dollars in millions)  
 
Fannie Mae
  $ (18 )   $ 942     $ (13 )   $ 191  
Alt-A private-label securities
    (102 )     1,724       (1,882 )     7,821  
Subprime private-label securities
    (120 )     888       (1,885 )     7,707  
CMBS
    (8 )     2,792       (93 )     3,092  
Mortgage revenue bonds
    (78 )     2,434       (458 )     3,006  
Other mortgage-related securities
    (10 )     398       (274 )     1,849  
                                 
Total
  $ (336 )   $ 9,178     $ (4,605 )   $ 23,666  
                                 
 

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