Fannie Mae 2009 Annual Report Download - page 373

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, 2008
(Dollars in millions)
Assets:
Trading securities. . . . . . . . . . . . . . . . . . . . . . . . . . $ 6 $ 78,035 $12,765 $ — $ 90,806
Available-for-sale securities. . . . . . . . . . . . . . . . . . . — 218,651 47,837 — 266,488
Derivative assets
(2)
. . . . . . . . . . . . . . . . . . . . . . . . . — 62,969 362 (62,462) 869
Guaranty assets and buy-ups . . . . . . . . . . . . . . . . . . — — 1,083 — 1,083
Total assets at fair value . . . . . . . . . . . . . . . . . . . $ 6 $359,655 $62,047 $(62,462) $359,246
Liabilities:
Short-term debt . . . . . . . . . . . . . . . . . . . . . . . . . . . $— $ 4,500 $ — $ — $ 4,500
Long-term debt . . . . . . . . . . . . . . . . . . . . . . . . . . . — 18,667 2,898 — 21,565
Derivative liabilities
(2)
. . . . . . . . . . . . . . . . . . . . . . — 76,412 52 (73,749) 2,715
Other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . — 62 — — 62
Total liabilities at fair value . . . . . . . . . . . . . . . . . $— $ 99,641 $ 2,950 $(73,749) $ 28,842
(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)
Excludes accrued fees related to the termination of derivative contracts.
F-115
FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)