Fannie Mae 2014 Annual Report Download - page 292

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-77
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the Year Ended December 31, 2012
Total (Losses) or Gains (Realized/
Unrealized) Net Unrealized
(Losses) Gains
Included in Net
Income Related
to Assets and
Liabilities Still
Held as of
December 31,
2012(5)
Balance,
December 31,
2011
Included
in Net
Income
Included in
Other
Comprehensive
Income(1) Purchases(2) Sales(2) Issues(3) Settlements(3)
Transfers
out of
Level 3(4)
Transfers
into
Level 3(4)
Balance,
December 31,
2012
(Dollars in millions)
Trading securities:
Mortgage-related:
Fannie Mae . . . . . . $ 1,737 $ (2) $ — $ — $ (33) $ — $ (118) $(1,581) $ 65 $ 68 $ (6)
Freddie Mac . . . . . — — — — — — — — 2 2 —
Ginnie Mae . . . . . . 9 — — — — — — (9) 1 1 —
Alt-A private-label
securities . . . . . 345 165 — — — — (111) (907) 612 104 39
Subprime private-
label securities.1,280 192 — — — — (153) — — 1,319 192
Mortgage revenue
bonds . . . . . . . . 724 (29) — — — — (20) — — 675 (29)
Other . . . . . . . . . . 143 (19) — — — — (7) — — 117 (19)
Total trading securities $ 4,238 $ 307 (6)(7) $ — $ — $ (33) $ — $ (409) $(2,497) $ 680 $ 2,286 $ 177 (6)(7)
Available-for-sale
securities:
Mortgage-related:
Fannie Mae . . . . . . $ 946 $ — $ (8) $ 43 $ (43) $ — $ (24) $ (895) $ 10 $ 29 $ —
Freddie Mac . . . . . 12 — — — — — (2) — — 10 —
Alt-A private-label
securities . . . . . 7,256 (87) 584 — — — (1,072) (3,325) 3,208 6,564 —
Subprime private-
label securities.7,586 (126) 1,280 — — — (1,293) — — 7,447 —
Mortgage revenue
bonds . . . . . . . . 10,247 9 (23) 29 (76) — (2,349) — — 7,837 —
Other . . . . . . . . . . 3,445 12 59 — — — (369) — — 3,147 —
Total available-for-sale
securities . . . . . . . . $ 29,492 $ (192)(6)(8) $ 1,892 $ 72 $ (119) $ — $ (5,109) $(4,220) $3,218 $ 25,034 $ —
Mortgage loans of
consolidated trusts .$ 2,319 $ 235 (6)(7) $ — $ 935 $ — $ — $ (411) $ (562) $ 118 $ 2,634 $ 159 (6)(7)
Net derivatives. . . . . . . 65 (23) (7) — — — (8) (20) — — 14 (9) (7)
Long-term debt:
Of Fannie Mae:
Senior floating . . . $ (406) $ (21) $ — $ — $ — $ — $ 27 $ — $ — $ (400) $ (21)
Of consolidated
trusts . . . . . . . . . . (765) (180) — — — (523) 233 474 (367) (1,128) (158)
Total long-term debt . . $ (1,171) $ (201) (7) $ — $ — $ — $ (523) $ 260 $ 474 $ (367) $ (1,528) $ (179) (7)
__________
(1) Gains (losses) included in other comprehensive income are included in “Changes in unrealized gains on AFS, net of reclassification
adjustments and taxes” in the consolidated statements of operations and comprehensive income.
(2) Purchases and sales include activity related to the consolidation and deconsolidation of assets of securitization trusts.
(3) Issues and settlements include activity related to the consolidation and deconsolidation of liabilities of securitization trusts.
(4) Transfers out of Level 3 consisted primarily of private-label mortgage-related securities backed by Alt-A loans and credit risk sharing
securities issued under our CAS series. Prices for these securities were obtained from multiple third-party vendors or dealers. Transfers
out of Level 3 also occurred for mortgage loans of consolidated trusts for which unobservable inputs used in valuations became less
significant. Transfers into Level 3 consisted primarily of private-label mortgage-related securities backed by Alt-A loans. Prices for
these securities are based on inputs from a single source or inputs that were not readily observable.
(5) Amount represents temporary changes in fair value. Amortization, accretion and OTTI are not considered unrealized and are not
included in this amount.
(6) Gains (losses) are included in “Net interest income” in our consolidated statements of operations and comprehensive income.