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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 08/05/2011
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 June 30, 2011 and December 31, 2010. Specifically, total assets measured at fair value on a recurring basis and classified as Level 3 were $37.0 billion, or 1% of “Total assets,” and $39.0 billion, or 1% of “Total assets,” in our condensed consolidated balance sheets as of June 30, 2011 and December 31, 2010, respectively.
 
                                         
    Fair Value Measurements as of June 30, 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)
  $ 2,000     $     $     $     $ 2,000  
Trading securities:
                                       
Mortgage-related securities:
                                       
Fannie Mae
          5,664       1,679             7,343  
Freddie Mac
          1,392                   1,392  
Ginnie Mae
          301                   301  
Alt-A private-label securities
          1,442       126             1,568  
Subprime private-label securities
                1,459             1,459  
CMBS
          10,976                   10,976  
Mortgage revenue bonds
                616             616  
Other
                154             154  
Non-mortgage-related securities:
                                       
U.S. Treasury securities
    34,856                         34,856  
Asset-backed securities
          3,242                   3,242  
                                         
Total trading securities
    34,856       23,017       4,034             61,907  
Available-for-sale securities:
                                       
Mortgage-related securities:
                                       
Fannie Mae
          19,430       635             20,065  
Freddie Mac
          14,523       12             14,535  
Ginnie Mae
          966                   966  
Alt-A private-label securities
          6,450       6,652             13,102  
Subprime private-label securities
                8,909             8,909  
CMBS
          14,845                   14,845  
Mortgage revenue bonds
          9       10,464             10,473  
Other
          14       3,707             3,721  
                                         
Total available-for-sale securities
          56,237       30,379             86,616  
Mortgage loans of consolidated trusts
          719       2,365             3,084  
Other assets:
                                       
Risk management derivatives:
                                       
Swaps
          6,752       148             6,900  
Swaptions
          4,128                   4,128  
Interest rate caps
          6                   6  
Other
                56             56  
Netting adjustment
                      (10,586 )     (10,586 )
Mortgage commitment derivatives
          158       6             164  
                                         
Total other assets
          11,044       210       (10,586 )     668  
                                         
Total assets at fair value
  $ 36,856     $ 91,017     $ 36,988     $ (10,586 )   $ 154,275  
                                         


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