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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 05/07/2015
Entire Document
 





FANNIE MAE
(In conservatorship)
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
(UNAUDITED)


 
 
Fair Value Measurements as of December 31, 2014
 
 
Quoted Prices in Active Markets for Identical Assets (Level 1)
 
Significant Other Observable Inputs (Level 2)
 
Significant Unobservable Inputs
(Level 3)
 
Netting Adjustment(1)
 
Estimated Fair Value
 
 
(Dollars in millions)
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
 
$

 
 
 
$
6,040

 
 
 
$
363

 
 
 
$

 
 
 
$
6,403

 
Total of Fannie Mae
 

 
 
 
6,040

 
 
 
363

 
 
 

 
 
 
6,403

 
Of consolidated trusts
 

 
 
 
18,956

 
 
 
527

 
 
 

 
 
 
19,483

 
Total long-term debt
 

 
 
 
24,996

 
 
 
890

 
 
 

 
 
 
25,886

 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 

 
 
 
9,339

 
 
 
133

 
 
 

 
 
 
9,472

 
Swaptions
 

 
 
 
991

 
 
 

 
 
 

 
 
 
991

 
Other
 

 
 
 

 
 
 
1

 
 
 

 
 
 
1

 
 Netting adjustment
 

 
 
 

 
 
 

 
 
 
(10,194
)
 
 
 
(10,194
)
 
Mortgage commitment derivatives
 

 
 
 
341

 
 
 
3

 
 
 

 
 
 
344

 
Total other liabilities
 

 
 
 
10,671

 
 
 
137

 
 
 
(10,194
)
 
 
 
614

 
Total liabilities at fair value
 
$

 
 
 
$
35,667

 
 
 
$
1,027

 
 
 
$
(10,194
)
 
 
 
$
26,500

 
__________
(1) 
Derivative contracts are reported on a gross basis by level. The netting adjustment represents the effect of the legal right to offset under legally enforceable master netting arrangements to settle with the same counterparty on a net basis, including cash collateral posted and received.
The following tables display a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2015 and 2014. The tables also display gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized in our condensed consolidated statements of operations and comprehensive income for Level 3 assets and liabilities for the three months ended March 31, 2015 and 2014. When assets and liabilities are transferred between levels, we recognize the transfer as of the end of the period.

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