Fannie Mae 2012 Annual Report Download - page 319

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-85
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)
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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(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, including cash collateral posted and
received.
(2) Cash equivalents are comprised of U.S. Treasuries that are classified as Level 1.