Fannie Mae 2010 Annual Report Download - page 378

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, 2009
(Dollars in millions)
Assets:
Trading securities:
Mortgage-related securities:
Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $— $ 69,094 $ 5,656 $ — $ 74,750
Freddie Mac . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 15,082 — — 15,082
GinnieMae .................................. — 1 — — 1
Alt-A private-label securities . . . . . . . . . . . . . . . . . . . . . . — 791 564 — 1,355
Subprime private-label securities . . . . . . . . . . . . . . . . . . . . — — 1,780 — 1,780
CMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 9,335 — — 9,335
Mortgage revenue bonds . . . . . . . . . . . . . . . . . . . . . . . . . — — 600 — 600
Other....................................... — — 154 — 154
Non-mortgage-related securities:
Asset-backed securities . . . . . . . . . . . . . . . . . . . . . . . . . . — 8,408 107 — 8,515
Corporate debt securities . . . . . . . . . . . . . . . . . . . . . . . . . — 364 — — 364
U.S. Treasury securities . . . . . . . . . . . . . . . . . . . . . . . . . . 3 — — — 3
Total trading securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 103,075 8,861 — 111,939
Available-for-sale securities:
Mortgage-related securities:
Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 153,823 596 — 154,419
Freddie Mac . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 27,442 27 — 27,469
Ginnie Mae . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 1,230 123 — 1,353
Alt-A private-label securities . . . . . . . . . . . . . . . . . . . . . . — 5,838 8,312 — 14,150
Subprime private-label securities . . . . . . . . . . . . . . . . . . . . — — 10,746 — 10,746
CMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 13,193 — — 13,193
Mortgage revenue bonds . . . . . . . . . . . . . . . . . . . . . . . . . — 26 12,820 — 12,846
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 22 3,530 — 3,552
Total available-for-sale securities . . . . . . . . . . . . . . . . . . . . . . . — 201,574 36,154 — 237,728
Other assets:
Derivative assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 19,724 150 (18,400) 1,474
Guaranty assets and buy-ups . . . . . . . . . . . . . . . . . . . . . . . . — — 2,577 — 2,577
Total other assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 19,724 2,727 (18,400) 4,051
Total assets at fair value. . . . . . . . . . . . . . . . . . . . . . . . . . $ 3 $324,373 $47,742 $(18,400) $353,718
Liabilities:
Long-term debt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $— $ 2,673 $ 601 $ — $ 3,274
Other liabilities:
Derivative liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 23,815 27 (22,813) 1,029
Other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 270 — — 270
Total other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 24,085 27 (22,813) 1,299
Total liabilities at fair value . . . . . . . . . . . . . . . . . . . . . . . $— $ 26,758 $ 628 $(22,813) $ 4,573
(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.
F-120
FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)