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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


 
Fair Value Measurements as of December 31, 2017
 
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)
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
 
$

 
 
 
$
7,810

 
 
 
$
376

 
 
 
$

 
 
 
$
8,186

 
Total of Fannie Mae
 

 
 
 
7,810

 
 
 
376

 
 
 

 
 
 
8,186

 
Of consolidated trusts
 

 
 
 
29,911

 
 
 
582

 
 
 

 
 
 
30,493

 
Total long-term debt
 

 
 
 
37,721

 
 
 
958

 
 
 

 
 
 
38,679

 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 

 
 
 
4,721

 
 
 
33

 
 
 

 
 
 
4,754

 
Swaptions
 

 
 
 
324

 
 
 

 
 
 

 
 
 
324

 
Other
 

 
 
 

 
 
 
1

 
 
 

 
 
 
1

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(4,979
)
 
 
 
(4,979
)
 
Mortgage commitment derivatives
 

 
 
 
227

 
 
 
1

 
 
 

 
 
 
228

 
Total other liabilities
 

 
 
 
5,272

 
 
 
35

 
 
 
(4,979
)
 
 
 
328

 
Total liabilities at fair value
 
$

 
 
 
$
42,993

 
 
 
$
993

 
 
 
$
(4,979
)
 
 
 
$
39,007

 
__________
(1) 
Derivative contracts are reported on a gross basis by level. The netting adjustment represents the effect of the legal right to offset under legally enforceable master netting arrangements to settle with the same counterparty on a net basis, including cash collateral posted and received.
(2) 
Cash equivalents are comprised of U.S. Treasuries that have a maturity of three months or less at the date of acquisition.


Fannie Mae (In conservatorship) Third Quarter 2018 Form 10-Q
91