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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  
    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
  $ (35 )   $ 1,461     $ (18 )   $ 211  
Alt-A private-label securities
    (104 )     1,915       (1,972 )     9,388  
Subprime private-label securities
    (47 )     627       (1,398 )     8,493  
CMBS
    (15 )     1,774       (439 )     10,396  
Mortgage revenue bonds
    (206 )     5,009       (592 )     3,129  
Other mortgage-related securities
    (2 )     262       (380 )     2,014  
                                 
Total
  $ (409 )   $ 11,048     $ (4,799 )   $ 33,631  
                                 
 
Other-Than-Temporary Impairments
 
We recognize the credit component of other-than-temporary impairments of our debt securities in our condensed consolidated statements of operations and comprehensive loss and the noncredit component in “Other comprehensive income” for those securities that we do not intend to sell and for which it is not more likely than not that we will be required to sell before recovery.
 
The fair value of our securities varies from period to period due to changes in interest rates, in the performance of the underlying collateral and in the credit performance of the underlying issuer, among other factors. $4.6 billion of the $4.9 billion of gross unrealized losses on AFS securities as of June 30, 2011 have existed for a period of 12 consecutive months or longer. Gross unrealized losses on AFS securities as of June 30, 2011 include unrealized losses on securities with other-than-temporary impairment in which a portion of the impairment remains in “Accumulated other comprehensive loss.” The securities with unrealized losses for 12 consecutive months or longer, on average, had a fair value as of June 30, 2011 that was 84% of their amortized cost basis. Based on our review for impairments of AFS securities, which includes an evaluation of the collectibility of cash flows and any intent or requirement to sell the securities, we have concluded that we do not have an intent to sell and we believe it is not more likely than not that we will be required to sell the securities. Additionally, our projections of cash flows indicate that we will recover a portion or the majority of these unrealized losses over the lives of the securities.
 
The following table displays our net other-than-temporary impairments by major security type recognized in our condensed consolidated statements of operations and comprehensive loss for the three and six months ended June 30, 2011 and 2010.
 
                                 
    For the Three
    For the Six
 
    Months Ended
    Months Ended
 
    June 30,(1)     June 30,(1)  
    2011     2010     2011     2010  
    (Dollars in millions)  
 
Alt-A private-label securities
  $ 53     $ 120     $ 91     $ 157  
Subprime private-label securities
          10             194  
Other
    3       7       9       22  
                                 
Net other-than-temporary impairments
  $ 56     $ 137     $ 100     $ 373  
                                 
 
 
(1) Certain prior period amounts have been reclassified to conform to the current period presentation.

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