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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)
 
$369 million as of June 30, 2011 and December 31, 2010, respectively. The difference between unpaid principal balance and the fair value of these 90 or more days past due loans as of June 30, 2011 is $247 million.
 
(2) Includes interest-only debt instruments with no unpaid principal balance and a fair value of $136 million and $151 million as of June 30, 2011 and December 31, 2010, respectively.
 
Changes in Fair Value under the Fair Value Option Election
 
The following table displays fair value gains and losses, net, including changes attributable to instrument-specific credit risk, for loans and debt for which the fair value election was made. Amounts are recorded as a component of “Fair value gains (losses), net” in our condensed consolidated statements of operations and comprehensive loss for the periods ended June 30, 2011 and 2010.
 
                                 
    For the Three Months Ended June 30,  
    2011     2010  
          Long-Term
          Long-Term
 
    Loans     Debt     Total Gains     Debt  
    (Dollars in millions)  
 
Changes in instrument-specific credit risk
  $ 6     $ 8     $ 14     $ 5  
Other changes in fair value
    76       (26 )     50       1  
                                 
Fair value gains (losses), net
  $ 82     $ (18 )   $ 64     $ 6  
                                 
                                 
                                 
    For the Six Months Ended June 30,  
    2011     2010  
          Long-Term
    Total Gains
    Long-Term
 
    Loans     Debt     (Losses)     Debt  
    (Dollars in millions)  
 
Changes in instrument-specific credit risk
  $ (211 )   $ 4     $ (207 )   $ 8  
Other changes in fair value
    141       7       148       (26 )
                                 
Fair value gains (losses), net
  $ (70 )   $ 11     $ (59 )   $ (18 )
                                 
 
In determining the changes in the instrument-specific credit risk for loans, the changes in the associated credit-related components of these loans, primarily the guaranty obligation, were taken into consideration with the overall change in the fair value of the loans for which we elected the fair value option for financial instruments. In determining the changes in the instrument-specific credit risk for debt, the changes in Fannie Mae debt spreads to LIBOR that occurred during the period were taken into consideration with the overall change in the fair value of the debt for which we elected the fair value option for financial instruments. Specifically, cash flows are evaluated taking into consideration any derivatives through which Fannie Mae has swapped out of the structured features of the notes and thus created a floating-rate LIBOR-based debt instrument. The change in value of these LIBOR-based cash flows based on the Fannie Mae yield curve at the beginning and end of the period represents the instrument-specific risk.
 
14.   Commitments and Contingencies
 
We are party to various types of legal actions and proceedings, including actions brought on behalf of various classes of claimants. We also are subject to regulatory examinations, inquiries and investigations and other information gathering requests. Litigation claims and proceedings of all types are subject to many uncertain factors that generally cannot be predicted with assurance. The following describes our material legal proceedings, investigations and other matters.


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