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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 11/02/2018
Entire Document
 
 
Notes to Condensed Consolidated Financial Statements | Fair Value


 
As of December 31, 2017
 
Carrying
Value
 
Quoted Prices in Active Markets for Identical Assets
(Level 1)
 
Significant Other Observable Inputs
(Level 2)
 
Significant Unobservable Inputs
(Level 3)
 
Netting Adjustment
 
Estimated
Fair Value
 
(Dollars in millions)
Financial assets:
 
 
 
 
 
 
 
 
 
 
 
Cash and cash equivalents and restricted cash
$
60,260

 
$
35,060

 
$
25,200

 
$

 
$

 
$
60,260

Federal funds sold and securities purchased under agreements to resell or similar arrangements
19,470

 

 
19,470

 

 

 
19,470

Trading securities
34,679

 
29,222

 
4,256

 
1,201

 

 
34,679

Available-for-sale securities
4,843

 

 
3,530

 
1,313

 

 
4,843

Mortgage loans held for sale
4,988

 

 
101

 
5,333

 

 
5,434

Mortgage loans held for investment, net of allowance for loan losses
3,173,537

 

 
2,886,470

 
315,719

 

 
3,202,189

Advances to lenders
4,938

 

 
4,936

 
2

 

 
4,938

Derivative assets at fair value
171

 

 
4,274

 
169

 
(4,272
)
 
171

Guaranty assets and buy-ups
149

 

 

 
436

 

 
436

Total financial assets
$
3,303,035

 
$
64,282

 
$
2,948,237

 
$
324,173

 
$
(4,272
)
 
$
3,332,420

Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
Short-term debt:
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
$
33,377

 
$

 
$
33,379

 
$

 
$

 
$
33,379

Of consolidated trusts
379

 

 

 
378

 

 
378

Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
243,375

 

 
249,780

 
837

 

 
250,617

Of consolidated trusts
3,052,923

 

 
3,014,250

 
40,683

 

 
3,054,933

Derivative liabilities at fair value
328

 

 
5,272

 
35

 
(4,979
)
 
328

Guaranty obligations
258

 

 

 
456

 

 
456

Total financial liabilities
$
3,330,640

 
$

 
$
3,302,681

 
$
42,389

 
$
(4,979
)
 
$
3,340,091


For a detailed description and classification of our financial instruments, see “Note 15, Fair Value” in our 2017 Form 10-K.
Fair Value Option
We elected the fair value option for our credit risk sharing debt securities issued under our CAS series issued prior to January 1, 2016 and certain loans and debt that contain embedded derivatives that would otherwise require bifurcation. Under the fair value option, we elected to carry these instruments at fair value instead of bifurcating the embedded derivative from such instruments.
We elected the fair value option for all long-term structured debt instruments that are issued in response to specific investor demand and have interest rates that are based on a calculated index or formula and are economically hedged with derivatives at the time of issuance. By electing the fair value option for these instruments, we are able to eliminate the volatility in our results of operations that would otherwise result from the accounting asymmetry created by recording these structured debt instruments at cost while recording the related derivatives at 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.

Fannie Mae (In conservatorship) Third Quarter 2018 Form 10-Q
100