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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)
 
                                                                         
    Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
    For the Three Months Ended March 31, 2010  
                                                    Net Unrealized
 
                Total Gains or (Losses)
                            Gains (Losses)
 
                (Realized/Unrealized)                             Included in Net
 
                            Purchases,
                      Loss Related to
 
                            Sales,
                      Assets and
 
          Impact of
          Included
    Issuances,
                      Liabilities Still
 
    Balance,
    New
    Included
    in Other
    and
    Transfers
    Transfers
    Balance,
    Held as of
 
    December 31,
    Accounting
    in Net
    Comprehensive
    Settlements,
    Out of
    into
    March 31,
    March 31,
 
    2009     Standards     Loss     Income     Net     Level 3(1)     Level 3(1)     2010     2010(2)  
    (Dollars in millions)  
 
Trading securities:
                                                                       
Mortgage-related:
                                                                       
Fannie Mae
  $ 5,656     $ (2 )   $ 38     $     $ (131 )   $ (1,490 )   $ 5     $ 4,076     $ 43  
Alt-A private-label securities
    564       62       23             (36 )     (490 )     30       153        
Subprime private-label securities
    1,780             (26 )           (71 )                 1,683       (26 )
Mortgage revenue bonds
    600             50             (39 )                 611       47  
Other
    154             5             (1 )                 158       5  
Non-mortgage-related:
                                                                       
Asset-backed securities
    107             (1 )           (36 )     (40 )     13       43       1  
                                                                         
Total trading securities
    8,861       60       89             (314 )     (2,020 )     48       6,724       70  
                                                                         
Available-for-sale securities:
                                                                       
Mortgage-related:
                                                                       
Fannie Mae
    596       (203 )     (2 )     1       167       (344 )     2       217        
Freddie Mac
    27                         (3 )           6       30        
Ginnie Mae
    123                                           123        
Alt-A private-label securities
    8,312       471       (4 )     267       (312 )     (1,011 )     794       8,517        
Subprime private-label securities
    10,746       (118 )     (88 )     463       (492 )                 10,511        
Mortgage revenue bonds
    12,820       21       (1 )     233       (514 )                 12,559        
Other
    3,530       366       (5 )     110       (128 )                 3,873        
                                                                         
Total available-for-sale securities
    36,154       537       (100 )     1,074       (1,282 )     (1,355 )     802       35,830        
                                                                         
Guaranty assets and buy-ups
    2,577       (2,568 )                 2                   11       1  
Net derivatives
    123             35             (18 )                 140       (2 )
Long-term debt:
                                                                       
Of Fannie Mae:
                                                                       
Senior floating
    (601 )           14             5                   (582 )     15  
Of consolidated trusts
          (77 )     (1 )                 9       (2 )     (71 )      
                                                                         
Total long-term debt
  $ (601 )   $ (77 )   $ 13     $     $ 5     $ 9     $ (2 )   $ (653 )   $ 15  
                                                                         
 
 
(1) Transfers out of Level 3 consisted primarily of Fannie Mae guaranteed mortgage-related securities and private-label mortgage-related securities backed by Alt-A loans. Prices for these securities were obtained from multiple third-party vendors supported by market observable inputs. The transfers into Level 3 consisted primarily of private-label mortgage-related securities backed by Alt-A loans as well as Fannie Mae guaranteed mortgage-related securities. Prices for these securities are based on inputs from a single source or inputs that were not readily observable.
 
(2) Amount represents temporary changes in fair value. Amortization, accretion and other-than-temporary impairments are not considered unrealized and are not included in this amount.
 
(3) Purchases and sales include activity related to the consolidation and deconsolidation of assets of securitized trusts.
 
(4) Issuances and settlements include activity related to the consolidation and deconsolidation of liabilities of securitized trusts.

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