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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 Using Significant Unobservable Inputs (Level 3)
 
    For the Six Months Ended June 30, 2010  
                                                    Net Unrealized
 
                                                    Gains (Losses)
 
                Total Gains or (Losses)
    Purchases,
                      Included in Net
 
                (Realized/Unrealized)     Sales,
                      Loss Related to
 
          Impact of
          Included
    Issuances,
                      Assets and
 
    Balance,
    New
    Included
    in Other
    and
    Transfers
    Transfers
    Balance,
    Liabilities Still
 
    December 31,
    Accounting
    in Net
    Comprehensive
    Settlements,
    out of
    into
    June 30,
    Held as of June 
 
    2009     Standards     Loss     Income     Net     Level 3(3)     Level 3(3)     2010     30, 2010(4)  
    (Dollars in millions)  
 
Trading securities:
                                                                       
Mortgage-related:
                                                                       
Fannie Mae
  $ 5,656     $ (2 )   $ 4     $     $ (242 )   $ (5,363 )   $ 5     $ 58     $ (2 )
Freddie Mac
                                        4       4        
Alt-A private-label securities
    564       62       32             (48 )     (589 )     98       119       10  
Subprime private-label securities
    1,780                         (135 )                 1,645        
Mortgage revenue bonds
    600             99             (49 )                 650       96  
Other
    154             8             (2 )                 160       8  
Non-mortgage-related:
                                                                       
Asset-backed securities
    107                         (49 )     (47 )     13       24       2  
                                                                         
Total trading securities
    8,861       60       143             (525 )     (5,999 )     120       2,660       114  
                                                                         
Available-for-sale securities:
                                                                       
Mortgage-related:
                                                                       
Fannie Mae
    596       (203 )     (1 )     4       82       (463 )     38       53        
Freddie Mac
    27                   (1 )     (11 )           6       21        
Ginnie Mae
    123                   3       (1 )                 125        
Alt-A private-label securities
    8,312       471       19       734       (675 )     (2,256 )     1,172       7,777        
Subprime private-label securities
    10,746       (118 )     (10 )     585       (948 )                 10,255        
Mortgage revenue bonds
    12,820       21       (1 )     503       (915 )                 12,428        
Other
    3,530       366       (6 )     254       (254 )                 3,890        
                                                                         
Total available-for-sale securities
    36,154       537       1       2,082       (2,722 )     (2,719 )     1,216       34,549        
                                                                         
Net derivatives
    123             167             (59 )           (5 )     226       89  
Guaranty assets and buy-ups
    2,577       (2,568 )     3       1       2                   15       4  
Long-term debt:
                                                                       
Of Fannie Mae:
                                                                       
Senior floating
    (601 )           11             5                   (585 )     12  
Of consolidated trusts
          (77 )     7             (38 )     11       (8 )     (105 )     6  
                                                                         
Total long-term debt
  $ (601 )   $ (77 )   $ 18     $     $ (33 )   $ 11     $ (8 )   $ (690 )   $ 18  
                                                                         
 
 
(1) Purchases and sales include activity related to the consolidation and deconsolidation of assets of securitized trusts.
 
(2) Issuances and settlements include activity related to the consolidation and deconsolidation of liabilities of securitized trusts.
 
(3) 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. Transfers into Level 3 consisted primarily of private-label mortgage-related securities backed by Alt-A loans. Prices for these securities are based on inputs from a single source or inputs that were not readily observable.
 
(4) 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.

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