Fannie Mae 2010 Annual Report Download - page 377

Quoted
Prices in
Active
Markets for
Identical
Assets
(Level 1)
Significant
Other
Observable
Inputs
(Level 2)
Significant
Unobservable
Inputs
(Level 3)
Netting
Adjustment
(1)
Estimated
Fair Value
Fair Value Measurements as of December 31, 2010
(Dollars in millions)
Liabilities:
Long-term debt:
Of Fannie Mae:
Seniorfixed.......................... $— $ 472 $ — $ — $ 472
Senior floating . . . . . . . . . . . . . . . . . . . . . . . . — — 421 — 421
TotalFannieMae........................ — 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
Futures ............................. 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
F-119
FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)