Fannie Mae 2014 Annual Report Download - page 288

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-73
Fair Value Measurements as of December 31, 2013
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)
Assets:
Trading securities:
Mortgage-related securities:
Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $ 5,828 $ 42 $ — $ 5,870
Freddie Mac. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 1,837 2 — 1,839
Ginnie Mae . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 407 — — 407
Alt-A private-label securities. . . . . . . . . . . . . . . . . — 898 618 — 1,516
Subprime private-label securities . . . . . . . . . . . . . — — 1,448 — 1,448
CMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 2,718 — — 2,718
Mortgage revenue bonds . . . . . . . . . . . . . . . . . . . . — — 565 — 565
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 99 — 99
Non-mortgage-related securities:
U.S. Treasury securities. . . . . . . . . . . . . . . . . . . . . 16,306 — — — 16,306
Total trading securities . . . . . . . . . . . . . . . . . . . . . . . . 16,306 11,688 2,774 — 30,768
Available-for-sale securities:
Mortgage-related securities:
Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 6,566 7 — 6,573
Freddie Mac. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 6,834 8 — 6,842
Ginnie Mae . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 588 — — 588
Alt-A private-label securities. . . . . . . . . . . . . . . . . — 3,558 3,791 — 7,349
Subprime private-label securities . . . . . . . . . . . . . — — 7,068 — 7,068
CMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 1,606 — — 1,606
Mortgage revenue bonds . . . . . . . . . . . . . . . . . . . . — 3 5,253 — 5,256
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 4 2,885 — 2,889
Total available-for-sale securities . . . . . . . . . . . . . . . . — 19,159 19,012 — 38,171
Mortgage loans of consolidated trusts . . . . . . . . . . . . — 11,564 2,704 — 14,268
Other assets:
Risk management derivatives:
Swaps. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 9,604 36 — 9,640
Swaptions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 561 1 — 562
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 28 — 28
Netting adjustment. . . . . . . . . . . . . . . . . . . . . . . . . — — — (8,422)(8,422)
Mortgage commitment derivatives . . . . . . . . . . . . . — 265 — — 265
Total other assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 10,430 65 (8,422) 2,073
Total assets at fair value. . . . . . . . . . . . . . . . . . . . . $ 16,306 $ 52,841 $ 24,555 $ (8,422) $ 85,280