Fannie Mae 2013 Annual Report Download - page 310

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-86
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
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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.