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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 Using Significant Unobservable Inputs (Level 3)
 
For the Nine Months Ended September 30, 2017
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30,
2017(5)(6)
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, December 31, 2016
 
Included in Net Income
 
Included in Total Other Comprehensive
Income (Loss)(1)
 
Purchases(2)
 
Sales(2)
 
Issues(3)
 
Settlements(3)
 
Transfers out of Level 3
 
Transfers into
Level 3(4)
 
Balance, September 30, 2017
 
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
835

 
$
20

 
 
$

 
 
$
63

 
$

 
$

 
$
(5
)
 
$
(30
)
 
$
1,003

 
$
1,886

 
 
$
3

 
Alt-A and subprime private-label securities
271

 
9

 
 

 
 

 

 

 
(27
)
 

 

 
253

 
 
10

 
Mortgage revenue bonds
21

 
3

 
 

 
 

 
(21
)
 

 
(2
)
 

 

 
1

 
 

 
Total trading securities
$
1,127

 
$
32

(6)(7) 
 
$

 
 
$
63

 
$
(21
)
 
$

 
$
(34
)
 
$
(30
)
 
$
1,003

 
$
2,140

 
 
$
13

 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
230

 
$
1

 
 
$
(2
)
 
 
$

 
$

 
$

 
$
(8
)
 
$
(63
)
 
$
38

 
$
196

 
 
$

 
Other agency
5

 

 
 

 
 

 
(1
)
 

 

 
(4
)
 

 

 
 

 
Alt-A and subprime private-label securities
217

 

 
 
(5
)
 
 

 

 

 
(32
)
 

 

 
180

 
 

 
Mortgage revenue bonds
1,272

 
40

 
 
(15
)
 
 

 
(383
)
 

 
(165
)
 

 

 
749

 
 

 
Other
429

 

 
 
(10
)
 
 

 

 

 
(49
)
 

 

 
370

 
 

 
Total available-for-sale securities
$
2,153

 
$
41

(7)(8) 
 
$
(32
)
 
 
$

 
$
(384
)
 
$

 
$
(254
)
 
$
(67
)
 
$
38

 
$
1,495

 
 
$

 
Mortgage loans
$
1,197

 
$
41

(6)(7) 
 
$

 
 
$

 
$

 
$

 
$
(175
)
 
$
(73
)
 
$
100

 
$
1,090

 
 
$
21

 
Net derivatives
44

 
118

(6) 
 

 
 

 

 

 
(40
)
 
5

 
(2
)
 
125

 
 
3

 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(347
)
 
$
(22
)
 
 
$

 
 
$

 
$

 
$

 
$

 
$

 
$

 
$
(369
)
 
 
$
(22
)
 
Of consolidated trusts
(241
)
 
(6
)
 
 

 
 

 

 
(2
)
 
52

 
229

 
(737
)
 
(705
)
 
 
(6
)
 
Total long-term debt
$
(588
)
 
$
(28
)
(6) 
 
$

 
 
$

 
$

 
$
(2
)
 
$
52

 
$
229

 
$
(737
)
 
$
(1,074
)
 
 
$
(28
)
 

__________
(1) 
Gains (losses) included in other comprehensive income (loss) are included in “Changes in unrealized gains on AFS securities, net of reclassification adjustments and taxes” in our condensed consolidated statements of operations and comprehensive income.
(2) 
Purchases and sales include activity related to the consolidation and deconsolidation of assets of securitization trusts. For the nine months ended September 30, 2018, includes the dissolution of a Fannie Mae-wrapped private-label securities trust.
(3) 
Issues and settlements include activity related to the consolidation and deconsolidation of liabilities of securitization trusts.
(4) 
Transfers of long-term debt of consolidated trusts out of Level 3 during the first nine months of 2018 consisted of securities for which prices were available from multiple third-party vendors and demonstrated an increased and sustained level of observability over time. Transfers of Fannie Mae trading securities into Level 3 during the nine months ended September 30, 2017 consisted primarily of a Fannie Mae security backed by private-label mortgage-related securities. Prices for this security were based on inputs that were not readily available. Transfers of long-term debt of consolidated trusts into Level 3 during the first nine months of 2017 consisted of securities for which prices were estimated using inputs that were not readily available.
(5) 
Amount represents temporary changes in fair value. Amortization, accretion and OTTI are not considered unrealized and are not included in this amount.
(6) 
Gains (losses) are included in “Fair value gains (losses), net” in our condensed consolidated statements of operations and comprehensive income.

Fannie Mae (In conservatorship) Third Quarter 2018 Form 10-Q
95