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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


Interest income for the mortgage loans is recorded in “Interest income—Mortgage loans” and interest expense for the debt instruments is recorded in “Interest expense—Long-term debt” in our condensed consolidated statements of operations and comprehensive income.
The following table displays the fair value and unpaid principal balance of the financial instruments for which we have made fair value elections.
 
 
As of
 
 
 
June 30, 2017
 
 
 
December 31, 2016
 
 
Loans(1)
 
Long-Term Debt of Fannie Mae
 
Long-Term Debt of Consolidated Trusts
 
Loans(1)
 
Long-Term Debt of Fannie Mae
 
Long-Term Debt of Consolidated Trusts
 
 
(Dollars in millions)
 
Fair value
 
$
11,406

 
 
 
$
9,008

 
 
 
$
34,866

 
 
 
$
12,057

 
 
 
$
9,582

 
 
 
$
36,524

 
Unpaid principal balance
 
10,980

 
 
 
8,167

 
 
 
31,510

 
 
 
11,688

 
 
 
9,090

 
 
 
33,055

 
__________
(1) 
Includes nonaccrual loans with a fair value of $187 million and $200 million as of June 30, 2017 and December 31, 2016, respectively. The difference between unpaid principal balance and the fair value of these nonaccrual loans as of June 30, 2017 and December 31, 2016 was $33 million and $34 million, respectively. Includes loans that are 90 days or more past due with a fair value of $145 million and $152 million as of June 30, 2017 and December 31, 2016, respectively. The difference between unpaid principal balance and the fair value of these 90 or more days past due loans as of June 30, 2017 and December 31, 2016 was $25 million.
Changes in Fair Value under the Fair Value Option Election
The following tables display fair value gains and losses, net, including changes attributable to instrument-specific credit risk, for loans and debt for which the fair value election was made. Amounts are recorded as a component of “Fair value losses, net” in our condensed consolidated statements of operations and comprehensive income.
 
For the Three Months Ended June 30,
 
2017
 
2016
 
Loans
 
Long-Term Debt
 
Total Gains (Losses)
 
Loans
 
Long-Term Debt
 
Total Gains (Losses)
 
(Dollars in millions)
Changes in instrument-specific credit risk
$
26

 
$
(173
)
 
$
(147
)
 
$
19

 
$
(169
)
 
$
(150
)
Other changes in fair value
68

 
(115
)
 
(47
)
 
126

 
(144
)
 
(18
)
Fair value gains (losses), net
$
94

 
$
(288
)
 
$
(194
)
 
$
145

 
$
(313
)
 
$
(168
)
 
For the Six Months Ended June 30,
 
2017
 
2016
 
Loans
 
Long-Term Debt
 
Total Gains (Losses)
 
Loans
 
Long-Term Debt
 
Total Gains (Losses)
 
(Dollars in millions)
Changes in instrument-specific credit risk
$
53

 
$
(339
)
 
$
(286
)
 
$
32

 
$
(221
)
 
$
(189
)
Other changes in fair value
83

 
(118
)
 
(35
)
 
344

 
(446
)
 
(102
)
Fair value gains (losses), net
$
136

 
$
(457
)
 
$
(321
)
 
$
376

 
$
(667
)
 
$
(291
)

Fannie Mae (In conservatorship) Second Quarter 2017 Form 10-Q
112