Notes to Condensed Consolidated Financial Statements | Fair Value
Fair Value Measurements as of December 31, 2016
Significant Valuation Techniques
Significant Unobservable Inputs(1)
Weighted - Average(1)
(Dollars in millions)
Total mortgage loans
Discounted Cash Flow
Total net derivatives
Of Fannie Mae:
Discounted Cash Flow
Of consolidated trusts
Total long-term debt
Valuation techniques for which no unobservable inputs are disclosed generally reflect the use of third-party pricing services or dealers, and the range of unobservable inputs applied by these sources is not readily available or cannot be reasonably estimated. Where we have disclosed unobservable inputs for consensus and single vendor techniques, those inputs are based on our validations performed at the security level using discounted cash flows. The prepayment speed used for trading agency securities and available-for-sale agency securities is the Public Securities Association prepayment speed, which can be greater than 100%. For all other securities, the Conditional Prepayment Rate is used as the prepayment speed, which can be between 0% and 100%.
Includes Fannie Mae and Freddie Mac securities.
Includes instruments for which the prepayment speed represents the estimated annualized rate of prepayment after all prepayment penalty provisions have expired and also instruments for which prepayment speed represents the estimated rate of prepayment over the remaining life of the instrument.
In our condensed consolidated balance sheets certain assets and liabilities are measured at fair value on a nonrecurring basis; that is, the instruments are not measured at fair value on an ongoing basis but are subject to fair value adjustments in certain circumstances (for example, when we evaluate loans for impairment). We did not have any Level 1 assets or liabilities held as of June 30, 2017 or December 31, 2016 that were measured at fair value on a nonrecurring basis. We held $814 million and $250 million in Level 2 assets, comprised of mortgage loans held for sale, and no Level 2 liabilities that were measured at fair value on a nonrecurring basis as of June 30, 2017 and December 31, 2016, respectively.
Fannie Mae (In conservatorship) Second Quarter 2017 Form 10-Q