Itemized Annual Statement of Contributions
Assuming you are using version 4.4 or higher the answer is yes. 

In brief the steps are:


Use a Find Contributions search to identify the relevant contributions from last financial/fiscal year.
From the actions list select Thank-you letters for Contributions
Choose to Group Contributions by Contact.


More details, including layout of letters, can be found in the Thank-you letters section of the our user and admin guide for version 4.6.  ( Functionality has been available since 4.4, but not documented until 4.6.)