Fannie Mae 2012 Annual Report Download - page 316

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-82
Recurring Changes in Fair Value
The following tables display our assets and liabilities measured in our consolidated balance sheets at fair value on a recurring
basis subsequent to initial recognition, including instruments for which we have elected the fair value option as of
December 31, 2012 and 2011.
Fair Value Measurements as of December 31, 2012
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)
Recurring fair value measurements:
Assets:
Cash equivalents(2) . . . . . . . . . . . . . . . . . . . . . . $ 1,150 $ — $ — $ — $ 1,150
Trading securities:
Mortgage-related securities:
Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . — 6,180 68 — 6,248
Freddie Mac . . . . . . . . . . . . . . . . . . . . . . . — 2,791 2 — 2,793
Ginnie Mae . . . . . . . . . . . . . . . . . . . . . . . . — 436 1 — 437
Alt-A private-label securities . . . . . . . . . . — 1,226 104 — 1,330
Subprime private-label securities . . . . . . . — — 1,319 — 1,319
CMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 9,826 — — 9,826
Mortgage revenue bonds. . . . . . . . . . . . . . — — 675 — 675
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 117 — 117
Non-mortgage-related securities:
U.S. Treasury securities . . . . . . . . . . . . . . 17,950 — — — 17,950
Total trading securities . . . . . . . . . . . . . . . . . . . 17,950 20,459 2,286 — 40,695
Available-for-sale securities:
Mortgage-related securities:
Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . — 10,406 29 — 10,435
Freddie Mac . . . . . . . . . . . . . . . . . . . . . . . — 9,370 10 — 9,380
Ginnie Mae . . . . . . . . . . . . . . . . . . . . . . . . — 751 — — 751
Alt-A private-label securities . . . . . . . . . . — 4,511 6,564 — 11,075
Subprime private-label securities . . . . . . . — — 7,447 — 7,447
CMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 13,097 — — 13,097
Mortgage revenue bonds. . . . . . . . . . . . . . — 5 7,837 — 7,842
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 7 3,147 — 3,154
Total available-for-sale securities . . . . . . . . . . . — 38,147 25,034 — 63,181
Mortgage loans of consolidated trusts . . . . . . . — 8,166 2,634 — 10,800
Other assets:
Risk management derivatives:
Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 12,224 146 — 12,370
Swaptions . . . . . . . . . . . . . . . . . . . . . . . . . — 3,674 — — 3,674
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 26 — 26
Netting adjustment . . . . . . . . . . . . . . . . . . — — — (15,791) (15,791)
Mortgage commitment derivatives . . . . . . . — 153 3 — 156
Total other assets. . . . . . . . . . . . . . . . . . . . . . . . — 16,051 175 (15,791) 435
Total assets at fair value . . . . . . . . . . . . . . $ 19,100 $ 82,823 $ 30,129 $ (15,791) $116,261