Fannie Mae 2012 Annual Report Download - page 317

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-83
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)
Liabilities:
Long-term debt:
Of Fannie Mae:
Senior fixed. . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $ 393 $ — $ — $ 393
Senior floating. . . . . . . . . . . . . . . . . . . . . . . . . — — 400 — 400
Total of Fannie Mae. . . . . . . . . . . . . . . . . . . . . . — 393 400 — 793
Of consolidated trusts . . . . . . . . . . . . . . . . . . . . — 10,519 1,128 — 11,647
Total long-term debt . . . . . . . . . . . . . . . . . . . . . . . — 10,912 1,528 — 12,440
Other liabilities:
Risk management derivatives:
Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 19,836 154 — 19,990
Swaptions . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 2,463 — — 2,463
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 1 — — 1
Netting adjustment . . . . . . . . . . . . . . . . . . . . . — — — (22,046)(22,046)
Mortgage commitment derivatives . . . . . . . . . . — 290 7 — 297
Total other liabilities. . . . . . . . . . . . . . . . . . . . . . . — 22,590 161 (22,046) 705
Total liabilities at fair value. . . . . . . . . . . . . . . $ — $ 33,502 $ 1,689 $ (22,046) $ 13,145