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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
 
 
 
Fair Value
 
Significant Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted - Average(1)
 
 
 
(Dollars in millions)
 
Mortgage loans:
 
 
 
 
 
 
 
 
 
 
 
 
 
Single-family
 
$
516

 
Build-Up
 
 
 
 
 
 
 
 
 
 
 
300

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
218

 
Various
 
 
 
 
 
 
 
 
 
Total single-family
 
1,034

 
 
 
 
 
 
 
 
 
 
 
Multifamily
 
163

 
Build-Up
 
Spreads (bps)
 
55.0
-
305.2
 
140.2
 
Total mortgage loans
 
$
1,197

 
 
 
 
 
 
 
 
 
 
 
Net derivatives
 
$
10

 
Internal Model
 
 
 
 
 
 
 
 
 
 
 
89

 
Dealer Mark
 
 
 
 
 
 
 
 
 
 
 
21

 
Discounted Cash Flow
 
 
 
 
 
 
 
 
 
 
 
(76
)
 
Various
 
 
 
 
 
 
 
 
 
Total net derivatives
 
$
44

 
 
 
 
 
 
 
 
 
 
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
 
$
(347
)
 
Discounted Cash Flow
 
 
 
 
 
 
 
 
 
Of consolidated trusts
 
(241
)
 
Various
 
 
 
 
 
 
 
 
 
Total long-term debt
 
$
(588
)
 
 
 
 
 
 
 
 
 
 
 
_________
(1) 
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%.
(2) 
Includes Fannie Mae and Freddie Mac securities.
(3) 
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
108