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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


(7) 
Gains (losses) are included in “Net interest income” in our condensed consolidated statements of operations and comprehensive income.
(8) 
Gains (losses) are included in “Investment gains, net” in our condensed consolidated statements of operations and comprehensive income.
The following tables display valuation techniques and the range and the weighted average of significant unobservable inputs for our Level 3 assets and liabilities measured at fair value on a recurring basis.
 
Fair Value Measurements as of September 30, 2018
 
Fair Value
 
Significant Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted - Average(1)
 
(Dollars in millions)
Recurring fair value measurements:
 
 
 
 
 
 
 
 
 
 
 
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
Agency(2)
$
76

 
Various
 
 
 
 
 
 
 
 
Mortgage revenue bonds
1

 
Various
 
 
 
 
 
 
 
 
Total trading securities
$
77

 
 
 
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
Agency(2)
$
107

 
Single Vendor
 
 
 

 

 


 
93

 
Various
 
 
 
 
 
 
 
 
Total Agency
200

 
 
 
 
 
 
 
 
 
 
Alt-A and subprime private-label securities
24

 
Various
 
 
 
 
 
 
 
 
Mortgage revenue bonds
326

 
Single Vendor
 
Spreads (bps)
 
(2.0
)
-
377.8
 
53.0

 
138

 
Various
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
464

 
 
 
 
 
 
 
 
 
 
Other
297

 
Discounted Cash Flow
 
Default Rate (%)
 
5.9
 
5.9

 
 
 
 
 
Prepayment Speed (%)
 
10.2
 
10.2

 
 
 
 
 
Severity (%)
 
75.0
 
75.0

 
 
 
 
 
Spreads (bps)
 
58.3

-
394.0
 
392.5

 
51

 
Various
 
 
 
 
 
 
 
 
Total other
348

 
 
 
 
 
 
 
 
 
 
Total available-for-sale securities
$
1,036

 
 
 
 
 
 
 
 
 
 
Net derivatives
$
97

 
Dealer Mark
 
 
 
 
 
 
 
 
 
1

 
Various
 
 
 
 
 
 
 
 
Total net derivatives
$
98

 
 
 
 
 
 
 
 
 
 

Fannie Mae (In conservatorship) Third Quarter 2018 Form 10-Q
96