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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 05/06/2011
Entire Document
 
Table of Contents

FANNIE MAE
(In conservatorship)

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
(UNAUDITED)
 
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 as of March 31, 2011 and December 31, 2010. Specifically, total assets measured at fair value on a recurring basis and classified as Level 3 were $38.2 billion, or 1% of “Total assets,” and $39.0 billion, or 1% of “Total assets,” in our condensed consolidated balance sheets as of March 31, 2011 and December 31, 2010, respectively.
 
                                         
    Fair Value Measurements as of March 31, 2011  
    Quoted
                         
    Prices in
                         
    Active
    Significant
                   
    Markets for
    Other
    Significant
             
    Identical
    Observable
    Unobservable
             
    Assets
    Inputs
    Inputs
    Netting
    Estimated
 
    (Level 1)     (Level 2)     (Level 3)     Adjustment(1)     Fair Value  
    (Dollars in millions)  
 
Assets:
                                       
Cash equivalents(2)
  $ 3,150     $ 2,950     $     $     $ 6,100  
Trading securities:
                                       
Mortgage-related securities:
                                       
Fannie Mae
          5,480       1,651             7,131  
Freddie Mac
          1,201                   1,201  
Ginnie Mae
          311                   311  
Alt-A private-label securities
          1,638       20             1,658  
Subprime private-label securities
                1,547             1,547  
CMBS
          10,943                   10,943  
Mortgage revenue bonds
                606             606  
Other
                155             155  
Non-mortgage-related securities:
                                       
U.S. Treasury securities
    29,383                         29,383  
Asset-backed securities
          4,098       2             4,100  
                                         
Total trading securities
    29,383       23,671       3,981             57,035  
Available-for-sale securities:
                                       
Mortgage-related securities:
                                       
Fannie Mae
          20,097       546             20,643  
Freddie Mac
          15,344       12             15,356  
Ginnie Mae
          1,004                   1,004  
Alt-A private-label securities
          6,456       7,236             13,692  
Subprime private-label securities
                9,660             9,660  
CMBS
          14,924                   14,924  
Mortgage revenue bonds
          10       10,532             10,542  
Other
          16       3,776             3,792  
                                         
Total available-for-sale securities
          57,851       31,762             89,613  
Mortgage loans of consolidated trusts
          748       2,221             2,969  
Other assets:
                                       
Risk management derivatives:
                                       
Swaps
          8,523       156             8,679  
Swaptions
          4,811                   4,811  
Interest rate caps
          20                   20  
Other
    3             77             80  
Netting adjustment
                      (13,478 )     (13,478 )
Mortgage commitment derivatives
          161       6             167  
                                         
Total other assets
    3       13,515       239       (13,478 )     279  
                                         
Total assets at fair value
  $ 32,536     $ 98,735     $ 38,203     $ (13,478 )   $ 155,996  
                                         
 


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