Fannie Mae 2011 Annual Report Download - page 351

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Fair Value Measurements as of December 31, 2011
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
(Dollars in millions)
Other assets:
Risk management derivatives:
Swaps ................................. — 9,247 170 — 9,417
Swaptions .............................. — 6,536 — — 6,536
Other .................................. — 1 51 — 52
Netting adjustment ....................... — — — (15,829) (15,829)
Mortgage commitment derivatives ............. — 368 17 — 385
Total other assets ............................ — 16,152 238 (15,829) 561
Total assets at fair value ................... $48,337 $87,757 $36,287 $(15,829) $156,552
Liabilities:
Long-term debt:
Of Fannie Mae:
Senior fixed ............................. $ — $ 432 $ — $ — $ 432
Senior floating ........................... — — 406 — 406
Total of Fannie Mae ........................ — 432 406 — 838
Of consolidated trusts ....................... — 3,174 765 — 3,939
Total long-term debt .......................... — 3,606 1,171 — 4,777
Other liabilities:
Risk management derivatives:
Swaps ................................. — 18,661 167 — 18,828
Swaptions .............................. — 3,432 — — 3,432
Netting adjustment ....................... — — — (21,898) (21,898)
Mortgage commitment derivatives ............. — 548 6 — 554
Total other liabilities .......................... — 22,641 173 (21,898) 916
Total liabilities at fair value ................ $ — $26,247 $ 1,344 $(21,898) $ 5,693
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