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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)
 
                                         
    Fair Value Measurements as of December 31, 2010  
    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)  
 
Liabilities:
                                       
Long-term debt:
                                       
Of Fannie Mae:
                                       
Senior fixed
  $     $ 472     $     $     $ 472  
Senior floating
                421             421  
                                         
Total of Fannie Mae
          472       421             893  
Of consolidated trusts
          1,644       627             2,271  
                                         
Total long-term debt
          2,116       1,048             3,164  
Other liabilities:
                                       
Risk management derivatives:
                                       
Swaps
          16,436       113             16,549  
Swaptions
          2,446                   2,446  
Other
    1                         1  
Netting adjustment
                      (18,023 )     (18,023 )
Mortgage commitment derivatives
          712       30             742  
                                         
Total other liabilities
    1       19,594       143       (18,023 )     1,715  
                                         
Total liabilities at fair value
  $ 1     $ 21,710     $ 1,191     $ (18,023 )   $ 4,879  
                                         
 
 
(1) Derivative contracts are reported on a gross basis by level. The netting adjustment represents the effect of the legal right to offset under legally enforceable master netting agreements to settle with the same counterparty on a net basis, as well as cash collateral.
 
(2) Cash equivalents is comprised of U.S. Treasuries that are classified as Level 1 and money market funds that are classified as Level 2.

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