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10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 08/03/2017
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Notes to Condensed Consolidated Financial Statements | Fair Value


Fair Value Measurement
Fair value measurement guidance defines fair value, establishes a framework for measuring fair value, and sets forth disclosures around fair value measurements. This guidance applies whenever other accounting guidance requires or permits assets or liabilities to be measured at fair value. The guidance establishes a three-level fair value hierarchy that prioritizes the inputs into the valuation techniques used to measure fair value. The fair value hierarchy gives the highest priority, Level 1, to measurements based on unadjusted quoted prices in active markets for identical assets or liabilities. The next highest priority, Level 2, is given to measurements of assets and liabilities based on limited observable inputs or observable inputs for similar assets and liabilities. The lowest priority, Level 3, is given to measurements based on unobservable inputs.
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.
 
Fair Value Measurements as of June 30, 2017
 
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
 
$

 
 
 
$
2,406

 
 
 
$
1,871

 
 
 
$

 
 
 
$
4,277

 
Other agency
 

 
 
 
1,969

 
 
 

 
 
 

 
 
 
1,969

 
Alt-A and subprime private-label securities
 

 
 
 
329

 
 
 
264

 
 
 

 
 
 
593

 
CMBS
 

 
 
 
16

 
 
 

 
 
 

 
 
 
16

 
Mortgage revenue bonds
 

 
 
 

 
 
 
1

 
 
 

 
 
 
1

 
Non-mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury securities
 
32,418

 
 
 

 
 
 

 
 
 

 
 
 
32,418

 
Total trading securities
 
32,418

 
 
 
4,720

 
 
 
2,136

 
 
 

 
 
 
39,274

 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
 

 
 
 
2,066

 
 
 
206

 
 
 

 
 
 
2,272

 
Other agency
 

 
 
 
432

 
 
 

 
 
 

 
 
 
432

 
Alt-A and subprime private-label securities
 

 
 
 
1,984

 
 
 
178

 
 
 

 
 
 
2,162

 
CMBS
 

 
 
 
259

 
 
 

 
 
 

 
 
 
259

 
Mortgage revenue bonds
 

 
 
 

 
 
 
873

 
 
 

 
 
 
873

 
Other
 

 
 
 
30

 
 
 
380

 
 
 

 
 
 
410

 
Total available-for-sale securities
 

 
 
 
4,771

 
 
 
1,637

 
 
 

 
 
 
6,408

 
Mortgage loans
 

 
 
 
10,287

 
 
 
1,119

 
 
 

 
 
 
11,406

 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 

 
 
 
3,784

 
 
 
144

 
 
 

 
 
 
3,928

 
Swaptions
 

 
 
 
179

 
 
 

 
 
 

 
 
 
179

 
Other
 

 
 
 

 
 
 
23

 
 
 

 
 
 
23

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(4,024
)
 
 
 
(4,024
)
 
Mortgage commitment derivatives
 

 
 
 
313

 
 
 

 
 
 

 
 
 
313

 
Total other assets
 

 
 
 
4,276

 
 
 
167

 
 
 
(4,024
)
 
 
 
419

 
Total assets at fair value
 
$
32,418

 
 
 
$
24,054

 
 
 
$
5,059

 
 
 
$
(4,024
)
 
 
 
$
57,507

 

Fannie Mae (In conservatorship) Second Quarter 2017 Form 10-Q
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