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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
 
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)
$
971

 
Single Vendor
 
Prepayment Speed (%)
 
0.0

-
177.0
 
160.0
 
 
 
 
 
Spreads (bps)
 
51.5

-
375.0
 
200.1
 
35

 
Various
 
 
 
 
 
 
 
 
Total agency
1,006

 
 
 
 
 
 
 
 
 
 
Alt-A and subprime private-label securities
154

 
Consensus
 
 
 
 
 
 
 
 
 
40

 
Various
 
 
 
 
 
 
 
 
Total Alt-A and subprime private-label securities
194

 
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
1

 
Various
 
 
 
 
 
 
 
 
Total trading securities
$
1,201

 
 
 
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
Agency(2)
$
112

 
Single Vendor
 
Prepayment Speed (%)
 
0.0
-
175.7
 
147.1
 
 
 
 
 
Spreads (bps)
 
150.0

-
210.0
 
182.3
 
96

 
Various
 
 
 
 
 
 
 
 
Total agency
208

 
 
 
 
 
 
 
 
 
 
Alt-A and subprime private-label securities
77

 
Various
 
 
 
 
 
 
 
 
Mortgage revenue bonds
475

 
Single Vendor
 
Spreads (bps)
 
(17.0
)
-
248.0
 
39.0
 
196

 
Various
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
671

 
 
 
 
 
 
 
 
 
 
Other
325

 
Discounted Cash Flow
 
Prepayment Speed (%)
 
1.6

-
2.5
 
2.5
 
 
 
 
 
Severity (%)
 
50.0

-
88.0
 
86.6
 
 
 
 
 
Spreads (bps)
 
84.8

-
607.0
 
577.9
 
32

 
Various
 
 
 
 
 
 
 
 
Total other
357

 
 
 
 
 
 
 
 
 
 
Total available-for-sale securities
$
1,313

 
 
 
 
 
 
 
 
 
 
Net derivatives
$
113

 
Dealer Mark
 
 
 
 
 
 
 
 
 
21

 
Various
 
 
 
 
 
 
 
 
Total net derivatives
$
134

 
 
 
 
 
 
 
 
 
 
_________
(1) 
Valuation techniques for which no unobservable inputs are disclosed generally reflect the use of third-party pricing services or dealers, and the range of unobservable inputs applied by these sources is not readily available or cannot be reasonably estimated. Where we have disclosed unobservable inputs for consensus and single vendor techniques, those inputs are based on our validations performed at the security level using discounted cash flows. The prepayment speed used for trading agency securities and available-for-sale agency securities is the Public Securities Association prepayment speed, which can be greater than 100%. For all other securities, the Conditional Prepayment Rate is used as the prepayment speed, which can be between 0% and 100%.
(2) 
Includes Fannie Mae and Freddie Mac securities.
In our condensed consolidated balance sheets certain assets and liabilities are measured at fair value on a nonrecurring basis; that is, the instruments are not measured at fair value on an ongoing basis but are subject to fair value adjustments in certain circumstances (for example, when we evaluate loans for impairment). We had no Level 1 assets or liabilities held as of September 30, 2018 or December 31, 2017 that were measured at fair value on a nonrecurring basis. We held $863 million and $14 million in Level 2 assets, comprised of mortgage loans held for sale, and no Level 2 liabilities that were measured at fair value on a nonrecurring basis as of September 30, 2018 or December 31, 2017, respectively.

Fannie Mae (In conservatorship) Third Quarter 2018 Form 10-Q
97