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10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 05/07/2015
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FANNIE MAE
(In conservatorship)
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
(UNAUDITED)


Recurring Changes in Fair Value
The following tables display our assets and liabilities measured in our condensed consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments for which we have elected the fair value option as of March 31, 2015 and December 31, 2014.
 
 
Fair Value Measurements as of March 31, 2015
 
 
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)
 
Recurring fair value measurements:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Fannie Mae
 
$

 
 
 
$
4,957

 
 
 
$
2

 
 
 
$

 
 
 
$
4,959

 
Freddie Mac
 

 
 
 
1,723

 
 
 

 
 
 

 
 
 
1,723

 
Ginnie Mae
 

 
 
 
214

 
 
 

 
 
 

 
 
 
214

 
Alt-A private-label securities
 

 
 
 
261

 
 
 
572

 
 
 

 
 
 
833

 
Subprime private-label securities
 

 
 
 

 
 
 
876

 
 
 

 
 
 
876

 
CMBS
 

 
 
 
2,478

 
 
 

 
 
 

 
 
 
2,478

 
Mortgage revenue bonds
 

 
 
 

 
 
 
742

 
 
 

 
 
 
742

 
Other
 

 
 
 

 
 
 
94

 
 
 

 
 
 
94

 
Non-mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
U.S. Treasury securities
 
19,367

 
 
 

 
 
 

 
 
 

 
 
 
19,367

 
Total trading securities
 
19,367

 
 
 
9,633

 
 
 
2,286

 
 
 

 
 
 
31,286

 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Fannie Mae
 

 
 
 
5,202

 
 
 
205

 
 
 

 
 
 
5,407

 
Freddie Mac
 

 
 
 
5,252

 
 
 
5

 
 
 

 
 
 
5,257

 
Ginnie Mae
 

 
 
 
458

 
 
 

 
 
 

 
 
 
458

 
Alt-A private-label securities
 

 
 
 
1,978

 
 
 
2,486

 
 
 

 
 
 
4,464

 
Subprime private-label securities
 

 
 
 

 
 
 
4,608

 
 
 

 
 
 
4,608

 
CMBS
 

 
 
 
1,370

 
 
 

 
 
 

 
 
 
1,370

 
Mortgage revenue bonds
 

 
 
 

 
 
 
3,560

 
 
 

 
 
 
3,560

 
Other
 

 
 
 
1

 
 
 
2,607

 
 
 

 
 
 
2,608

 
Total available-for-sale securities
 

 
 
 
14,261

 
 
 
13,471

 
 
 

 
 
 
27,732

 
Mortgage loans of consolidated trusts
 

 
 
 
13,760

 
 
 
1,810

 
 
 

 
 
 
15,570

 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Swaps
 

 
 
 
6,666

 
 
 
161

 
 
 

 
 
 
6,827

 
Swaptions
 

 
 
 
52

 
 
 

 
 
 

 
 
 
52

 
Other
 

 
 
 

 
 
 
27

 
 
 

 
 
 
27

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(5,626
)
 
 
 
(5,626
)
 
Mortgage commitment derivatives
 

 
 
 
385

 
 
 
27

 
 
 

 
 
 
412

 
Total other assets
 

 
 
 
7,103

 
 
 
215

 
 
 
(5,626
)
 
 
 
1,692

 
Total assets at fair value
 
$
19,367

 
 
 
$
44,757

 
 
 
$
17,782

 
 
 
$
(5,626
)
 
 
 
$
76,280

 


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