Fannie Mae 2014 Annual Report Download - page 289

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-74
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)
Liabilities:
Long-term debt:
Of Fannie Mae:
Senior fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $ 353 $ — $ — $ 353
Senior floating . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 955 — 955
Total of Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . — 353 955 — 1,308
Of consolidated trusts . . . . . . . . . . . . . . . . . . . . . . . — 14,458 518 — 14,976
Total long-term debt. . . . . . . . . . . . . . . . . . . . . . . . . . — 14,811 1,473 — 16,284
Other liabilities:
Risk management derivatives:
Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 9,444 96 — 9,540
Swaptions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 1,084 — — 1,084
Other. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 1 — 1
Netting adjustment . . . . . . . . . . . . . . . . . . . . . . . . — — — (9,370)(9,370)
Mortgage commitment derivatives. . . . . . . . . . . . . — 206 8 — 214
Total other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . — 10,734 105 (9,370) 1,469
Total liabilities at fair value . . . . . . . . . . . . . . . . . $ — $ 25,545 $1,578 $ (9,370) $ 17,753
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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 arrangements to settle with the same counterparty on a net basis, including cash collateral posted and
received.