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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


Recurring Changes in Fair Value
The following tables display our assets and liabilities measured in our condensed consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments for which we have elected the fair value option.
 
Fair Value Measurements as of September 30, 2018
 
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)
Recurring fair value measurements:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash equivalents(2)
 
$
249

 
 
 
$

 
 
 
$

 
 
 
$

 
 
 
$
249

 
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
 

 
 
 
1,393

 
 
 
76

 
 
 

 
 
 
1,469

 
Other agency
 

 
 
 
3,642

 
 
 

 
 
 

 
 
 
3,642

 
Alt-A and subprime private-label securities
 

 
 
 
1,367

 
 
 

 
 
 

 
 
 
1,367

 
Mortgage revenue bonds
 

 
 
 

 
 
 
1

 
 
 

 
 
 
1

 
Non-mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury securities
 
37,328

 
 
 

 
 
 

 
 
 

 
 
 
37,328

 
Other securities
 

 
 
 
94

 
 
 

 
 
 

 
 
 
94

 
Total trading securities
 
37,328

 
 
 
6,496

 
 
 
77

 
 
 

 
 
 
43,901

 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
 

 
 
 
1,628

 
 
 
200

 
 
 

 
 
 
1,828

 
Other agency
 

 
 
 
272

 
 
 

 
 
 

 
 
 
272

 
Alt-A and subprime private-label securities
 

 
 
 
593

 
 
 
24

 
 
 

 
 
 
617

 
Mortgage revenue bonds
 

 
 
 

 
 
 
464

 
 
 

 
 
 
464

 
Other
 

 
 
 
8

 
 
 
348

 
 
 

 
 
 
356

 
Total available-for-sale securities
 

 
 
 
2,501

 
 
 
1,036

 
 
 

 
 
 
3,537

 
Mortgage loans
 

 
 
 
8,188

 
 
 
965

 
 
 

 
 
 
9,153

 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 

 
 
 
2,389

 
 
 
98

 
 
 

 
 
 
2,487

 
Swaptions
 

 
 
 
335

 
 
 

 
 
 

 
 
 
335

 
Other
 

 
 
 

 
 
 
18

 
 
 

 
 
 
18

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(2,775
)
 
 
 
(2,775
)
 
Mortgage commitment derivatives
 

 
 
 
286

 
 
 
2

 
 
 

 
 
 
288

 
Total other assets
 

 
 
 
3,010

 
 
 
118

 
 
 
(2,775
)
 
 
 
353

 
Total assets at fair value
 
$
37,577

 
 
 
$
20,195

 
 
 
$
2,196

 
 
 
$
(2,775
)
 
 
 
$
57,193

 

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