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SEC Filings

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


 
Fair Value Measurements as of December 31, 2016
 
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
 
$

 
 
 
$
9,235

 
 
 
$
347

 
 
 
$

 
 
 
$
9,582

 
Total of Fannie Mae
 

 
 
 
9,235

 
 
 
347

 
 
 

 
 
 
9,582

 
Of consolidated trusts
 

 
 
 
36,283

 
 
 
241

 
 
 

 
 
 
36,524

 
Total long-term debt
 

 
 
 
45,518

 
 
 
588

 
 
 

 
 
 
46,106

 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 

 
 
 
6,933

 
 
 
48

 
 
 

 
 
 
6,981

 
Swaptions
 

 
 
 
339

 
 
 

 
 
 

 
 
 
339

 
Other
 

 
 
 

 
 
 
2

 
 
 

 
 
 
2

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(6,844
)
 
 
 
(6,844
)
 
Mortgage commitment derivatives
 

 
 
 
649

 
 
 
88

 
 
 

 
 
 
737

 
Total other liabilities
 

 
 
 
7,921

 
 
 
138

 
 
 
(6,844
)
 
 
 
1,215

 
Total liabilities at fair value
 
$

 
 
 
$
53,439

 
 
 
$
726

 
 
 
$
(6,844
)
 
 
 
$
47,321

 
__________
(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.

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