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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 Using Significant Unobservable Inputs (Level 3)
 
For the Three Months Ended March 31, 2014
 
 
 
Total (Losses) or Gains or (Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2014(5)
 
Balance, December 31,
2013
 
Included in Net Income
 
Included in
Other Comprehensive
Income(1)
Purchases(2)
 
Sales(2)
 
Issues(3)
 
Settlements(3)
 
Transfers out of Level 3(4)
 
Transfers into
Level 3(4)
 
Balance, March 31, 2014
 
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
42

 
$
(1
)
 
$

 
$

 
$

 
$

 
$
(2
)
 
$
(39
)
 
$

 
$

 
 
$

 
Freddie Mac
2

 

 

 

 

 

 

 
(2
)
 

 

 
 

 
  Alt-A private-label securities
618

 
19

 

 

 

 

 
(16
)
 
(76
)
 
110

 
655

 
 
17

 
Subprime private-label securities
1,448

 
76

 

 

 

 

 
(71
)
 

 

 
1,453

 
 
76

 
Mortgage revenue bonds
565

 
40

 

 

 

 

 
(4
)
 

 

 
601

 
 
40

 
    Other
99

 
5

 

 

 

 

 
(2
)
 

 

 
102

 
 
5

 
Total trading securities
$
2,774

 
$
139

(7)
$

 
$

 
$

 
$

 
$
(95
)
 
$
(117
)
 
$
110

 
$
2,811

 
 
$
138

(7)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
7

 
$

 
$

 
$

 
$

 
$

 
$

 
$
(2
)
 
$

 
$
5

 
 
$

 
Freddie Mac
8

 

 

 

 

 

 

 

 

 
8

 
 

 
  Alt-A private-label securities
3,791

 
13

 
73

 

 

 

 
(88
)
 
(609
)
 
390

 
3,570

 
 

 
  Subprime private-label securities
7,068

 
33

 
219

 

 

 

 
(290
)
 

 

 
7,030

 
 

 
  Mortgage revenue bonds
5,253

 
(20
)
 
193

 

 
(19
)
 

 
(401
)
 

 

 
5,006

 
 

 
    Other
2,885

 
3

 
41

 

 

 

 
(85
)
 

 

 
2,844

 
 

 
Total available-for-sale securities
$
19,012

 
$
29

(6)(8)
$
526

 
$

 
$
(19
)
 
$

 
$
(864
)
 
$
(611
)
 
$
390

 
$
18,463

 
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans of consolidated trusts
$
2,704

 
$
25

(6)(7)
$

 
$
24

 
$

 
$

 
$
(81
)
 
$
(148
)
 
$
84

 
$
2,608

 
 
$
11

(6)(7)
Net derivatives
(40
)
 
30

(7)

 

 

 

 
(12
)
 
(1
)
 

 
(23
)
 
 
11

(7)
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(955
)
 
$
(90
)
 
$

 
$

 
$

 
$
(750
)
 
$
20

 
$
1,465

 
$

 
$
(310
)
 
 
$
(44
)
 
Of consolidated trusts
(518
)
 
(1
)
 

 

 

 

 
18

 
19

 
(24
)
 
(506
)
 
 
(1
)
 
Total long-term debt
$
(1,473
)
 
$
(91
)
(7)
$

 
$

 
$

 
$
(750
)
 
$
38

 
$
1,484

 
$
(24
)
 
$
(816
)
 
 
$
(45
)
(7)
__________
(1) 
Gains (losses) included in other comprehensive income are included in “Changes in unrealized gains on AFS, net of reclassification adjustments and taxes” in the condensed consolidated statements of operations and comprehensive income.
(2) 
Purchases and sales include activity related to the consolidation and deconsolidation of assets of securitization trusts.
(3) 
Issues and settlements include activity related to the consolidation and deconsolidation of liabilities of securitization trusts.
(4) 
Transfers out of Level 3 consisted primarily of private-label mortgage-related securities backed by Alt-A loans and credit risk sharing securities issued under our CAS series. Prices for these securities were obtained from multiple third-party vendors or dealers. Transfers out of Level 3 also occurred for mortgage loans of consolidated trusts for which unobservable inputs used in valuations became less significant. Transfers into Level 3 consisted primarily of private-label mortgage-related securities backed by Alt-A loans. Prices for these securities are based on inputs from a single source or inputs that were not readily observable.
(5) 
Amount represents temporary changes in fair value. Amortization, accretion and OTTI are not considered unrealized and are not included in this amount.
(6) 
Gains (losses) are included in “Net interest income” in our condensed consolidated statements of operations and comprehensive income.

114