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Fair Value (Tables)
6 Months Ended
Jun. 30, 2012
Fair Value Disclosures [Abstract]  
Recurring Changes in Fair Value [Table Text Block]
The following tables display our assets and liabilities measured in our condensed consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments for which we have elected the fair value option as of June 30, 2012 and December 31, 2011.
  
 
Fair Value Measurements as of June 30, 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)
 
Recurring fair value measurements:
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Cash equivalents(2)
 
$
7,699

 
 
 
$

 
 
 
$

 
 
 
$

 
 
 
$
7,699

 
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Fannie Mae
 

 
 
 
6,737

 
 
 
82

 
 
 

 
 
 
6,819

 
Freddie Mac
 

 
 
 
2,972

 
 
 
2

 
 
 

 
 
 
2,974

 
Ginnie Mae
 

 
 
 
282

 
 
 

 
 
 

 
 
 
282

 
Alt-A private-label securities
 

 
 
 
1,108

 
 
 
188

 
 
 

 
 
 
1,296

 
Subprime private-label securities
 

 
 
 

 
 
 
1,226

 
 
 

 
 
 
1,226

 
CMBS
 

 
 
 
9,930

 
 
 

 
 
 

 
 
 
9,930

 
Mortgage revenue bonds
 

 
 
 

 
 
 
689

 
 
 

 
 
 
689

 
Other
 

 
 
 

 
 
 
118

 
 
 

 
 
 
118

 
Non-mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
U.S. Treasury securities
 
27,064
 
 
 

 
 
 

 
 
 

 
 
 
27,064

 
Asset-backed securities
 

 
 
 
537

 
 
 

 
 
 

 
 
 
537

 
Total trading securities
 
27,064
 
 
 
21,566

 
 
 
2,305

 
 
 

 
 
 
50,935

 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Fannie Mae
 

 
 
 
13,154

 
 
 
34

 
 
 

 
 
 
13,188

 
Freddie Mac
 

 
 
 
10,972

 
 
 
11

 
 
 

 
 
 
10,983

 
Ginnie Mae
 

 
 
 
829

 
 
 

 
 
 

 
 
 
829

 
Alt-A private-label securities
 

 
 
 
4,727

 
 
 
6,456

 
 
 

 
 
 
11,183

 
Subprime private-label securities
 

 
 
 

 
 
 
7,230

 
 
 

 
 
 
7,230

 
CMBS
 

 
 
 
13,668

 
 
 

 
 
 

 
 
 
13,668

 
Mortgage revenue bonds
 

 
 
 
4

 
 
 
9,353

 
 
 

 
 
 
9,357

 
Other
 

 
 
 
12

 
 
 
3,244

 
 
 

 
 
 
3,256

 
Total available-for-sale securities
 

 
 
 
43,366

 
 
 
26,328

 
 
 

 
 
 
69,694

 
Mortgage loans of consolidated trusts
 

 
 
 
2,900

 
 
 
2,331

 
 
 

 
 
 
5,231

 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Swaps
 

 
 
 
11,034

 
 
 
174

 
 
 

 
 
 
11,208

 
Swaptions
 

 
 
 
5,323

 
 
 

 
 
 

 
 
 
5,323

 
Other
 

 
 
 

 
 
 
55

 
 
 

 
 
 
55

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(16,352
)
 
 
 
(16,352
)
 
Mortgage commitment derivatives
 

 
 
 
361

 
 
 
7

 
 
 

 
 
 
368

 
Total other assets
 

 
 
 
16,718

 
 
 
236

 
 
 
(16,352
)
 
 
 
602

 
Total assets at fair value
 
$
34,763

 
 
 
$
84,550

 
 
 
$
31,200

 
 
 
$
(16,352
)
 
 
 
$
134,161

 

  
 
Fair Value Measurements as of June 30, 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
 
$

 
 
 
$
419

 
 
 
$

 
 
 
$

 
 
 
$
419

 
Senior floating
 

 
 
 

 
 
 
412

 
 
 

 
 
 
412

 
Total of Fannie Mae
 

 
 
 
419

 
 
 
412

 
 
 

 
 
 
831

 
Of consolidated trusts
 

 
 
 
3,281

 
 
 
1,319

 
 
 

 
 
 
4,600

 
Total long-term debt
 

 
 
 
3,700

 
 
 
1,731

 
 
 

 
 
 
5,431

 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Swaps
 

 
 
 
20,968

 
 
 
159

 
 
 

 
 
 
21,127

 
Swaptions
 

 
 
 
2,686

 
 
 

 
 
 

 
 
 
2,686

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(23,525
)
 
 
 
(23,525
)
 
Mortgage commitment derivatives
 

 
 
 
628

 
 
 
3

 
 
 

 
 
 
631

 
Total other liabilities
 

 
 
 
24,282

 
 
 
162

 
 
 
(23,525
)
 
 
 
919

 
Total liabilities at fair value
 
$

 
 
 
$
27,982

 
 
 
$
1,893

 
 
 
$
(23,525
)
 
 
 
$
6,350

 

  
 
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)
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Cash equivalents(2)
 
$
600

 
 
 
$

 
 
 
$

 
 
 
$

 
 
 
$
600

 
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Fannie Mae
 

 
 
 
5,687

 
 
 
1,737

 
 
 

 
 
 
7,424

 
Freddie Mac
 

 
 
 
2,732

 
 
 

 
 
 

 
 
 
2,732

 
Ginnie Mae
 

 
 
 
278

 
 
 
9

 
 
 

 
 
 
287

 
Alt-A private-label securities
 

 
 
 
1,004

 
 
 
345

 
 
 

 
 
 
1,349

 
Subprime private-label securities
 

 
 
 

 
 
 
1,280

 
 
 

 
 
 
1,280

 
CMBS
 

 
 
 
10,411

 
 
 

 
 
 

 
 
 
10,411

 
Mortgage revenue bonds
 

 
 
 

 
 
 
724

 
 
 

 
 
 
724

 
Other
 

 
 
 

 
 
 
143

 
 
 

 
 
 
143

 
Non-mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
U.S. Treasury securities
 
47,737

 
 
 

 
 
 

 
 
 

 
 
 
47,737

 
Asset-backed securities
 

 
 
 
2,111

 
 
 

 
 
 

 
 
 
2,111

 
Total trading securities
 
47,737

 
 
 
22,223

 
 
 
4,238

 
 
 

 
 
 
74,198

 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Fannie Mae
 

 
 
 
15,904

 
 
 
946

 
 
 

 
 
 
16,850

 
Freddie Mac
 

 
 
 
12,811

 
 
 
12

 
 
 

 
 
 
12,823

 
Ginnie Mae
 

 
 
 
902

 
 
 

 
 
 

 
 
 
902

 
Alt-A private-label securities
 

 
 
 
4,427

 
 
 
7,256

 
 
 

 
 
 
11,683

 
Subprime private-label securities
 

 
 
 

 
 
 
7,586

 
 
 

 
 
 
7,586

 
CMBS
 

 
 
 
14,026

 
 
 

 
 
 

 
 
 
14,026

 
Mortgage revenue bonds
 

 
 
 
7

 
 
 
10,247

 
 
 

 
 
 
10,254

 
Other
 

 
 
 
13

 
 
 
3,445

 
 
 

 
 
 
3,458

 
Total available-for-sale securities
 

 
 
 
48,090

 
 
 
29,492

 
 
 

 
 
 
77,582

 
Mortgage loans of consolidated trusts
 

 
 
 
1,292

 
 
 
2,319

 
 
 

 
 
 
3,611

 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Swaps
 

 
 
 
9,247

 
 
 
170

 
 
 

 
 
 
9,417

 
Swaptions
 

 
 
 
6,536

 
 
 

 
 
 

 
 
 
6,536

 
Other
 

 
 
 
1

 
 
 
51

 
 
 

 
 
 
52

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(15,829
)
 
 
 
(15,829
)
 
Mortgage commitment derivatives
 

 
 
 
368

 
 
 
17

 
 
 

 
 
 
385

 
Total other assets
 

 
 
 
16,152

 
 
 
238

 
 
 
(15,829
)
 
 
 
561

 
Total assets at fair value
 
$
48,337

 
 
 
$
87,757

 
 
 
$
36,287

 
 
 
$
(15,829
)
 
 
 
$
156,552

 

  
 
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

 
__________
(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.
Fair Value Measurements Using Significant Unobservable Inputs (Level 3) [Table Text Block]
The following tables display a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and six months ended June 30, 2012 and 2011. The tables also display gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized in our condensed consolidated statements of operations and comprehensive income (loss) for Level 3 assets and liabilities for the three and six months ended June 30, 2012 and 2011. When assets and liabilities are transferred between levels, we recognize the transfer as of the end of the period.
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3) 
 
 
For the Three Months Ended June 30, 2012
 
 
 
 
 
 
 
  
 
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
 
 
 
Total Gains or (Losses) (Realized/Unrealized) 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized (Losses) Gains Included in Net Loss Related to Assets and Liabilities Still Held as of June 30, 2012(5)
 
Balance, April 1, 2012
 
Included in Net Income (Loss)
 
Included in Other Comprehensive Income (Loss)(1)
 
Purchases(2)
 
Sales(2)
 
Issues(3)
 
Settlements(3)
 
Transfers out of Level 3 (4)
 
Transfers into Level 3 (4)
 
Balance, June 30, 2012
 
 
(Dollars in millions)
 
Trading securities:
 
 
 
 
 
  
 
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
Mortgage-related:
 
 
 
 
 
  

 
 
  

 
  

 
  

 
  

 
  

 
  

 
 
 
 
  

 
Fannie Mae
$
89

 
$
(3
)
 
 
$

 
 
$

 
$

 
$

 
$
(4
)
 
$

 
$

 
$
82

 
 
$
(2
)
 
Freddie Mac
2

 

 
 

 
 

 

 

 

 

 

 
2

 
 

 
  Alt-A private-label securities
569

 
56

 
 

 
 

 

 

 
(50
)
 
(416
)
 
29

 
188

 
 
7

 
  Subprime private-label securities
1,305

 
(37
)
 
 

 
 

 

 

 
(42
)
 

 

 
1,226

 
 
(37
)
 
  Mortgage revenue bonds
668

 
28

 
 

 
 

 

 

 
(7
)
 

 

 
689

 
 
28

 
  Other
123

 
(3
)
 
 

 
 

 

 

 
(2
)
 

 

 
118

 
 
(3
)
 
Total trading securities
$
2,756

 
$
41

 
 
$

 
 
$

 
$

 
$

 
$
(105
)
 
$
(416
)
 
$
29

 
$
2,305

 
 
$
(7
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
37

 
$

 
 
$

 
 
$
5

 
$
(5
)
 
$

 
$
(3
)
 
$

 
$

 
$
34

 
 
$

 
Freddie Mac
11

 

 
 

 
 

 

 

 

 

 

 
11

 
 

 
  Alt-A private-label securities
7,136

 
(85
)
 
 
127

 
 

 

 

 
(275
)
 
(922
)
 
475

 
6,456

 
 

 
  Subprime private-label securities
7,595

 
(230
)
 
 
203

 
 

 

 

 
(338
)
 

 

 
7,230

 
 

 
  Mortgage revenue bonds
9,732

 
1

 
 
117

 
 

 
(18
)
 

 
(479
)
 

 

 
9,353

 
 

 
Other
3,342

 
8

 
 
(12
)
 
 

 

 

 
(94
)
 

 

 
3,244

 
 

 
Total available-for-sale securities
$
27,853

 
$
(306
)
 
 
$
435

 
 
$
5

 
$
(23
)
 
$

 
$
(1,189
)
 
$
(922
)
 
$
475

 
$
26,328

 
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans of consolidated trusts
$
2,271

 
$
47

 
 
$

 
 
$
142

 
$

 
$

 
$
(110
)
 
$
(26
)
 
$
7

 
$
2,331

 
 
$
43

 
Net derivatives
44

 
8

 
 

 
 

 

 
(3
)
 
25

 

 

 
74

 
 
19

 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(399
)
 
$
(13
)
 
 
$

 
 
$

 
$

 
$

 
$

 
$

 
$

 
$
(412
)
 
 
$
(13
)
 
 Of consolidated trusts
(950
)
 
(51
)
 
 

 
 

 

 
(218
)
 
50

 

 
(150
)
 
(1,319
)
 
 
(51
)
 
Total long-term debt
$
(1,349
)
 
$
(64
)
 
 
$

 
 
$

 
$

 
$
(218
)
 
$
50

 
$

 
$
(150
)
 
$
(1,731
)
 
 
$
(64
)
 

 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3) 
 
 
For the Six Months Ended June 30, 2012
 
 
 
 
 
 
 
  
 
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
 
 
 
Total Gains or (Losses) (Realized/Unrealized) 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized (Losses) Gains Included in Net Loss Related to Assets and Liabilities Still Held as of June 30, 2012(5)
 
Balance, December 31, 2011
 
Included in Net Income (Loss)
 
Included in Other Comprehensive Income (Loss)(1)
 
Purchases(2)
 
Sales(2)
 
Issues(3)
 
Settlements(3)
 
Transfers out of Level 3 (4)
 
Transfers into Level 3 (4)
 
Balance, June 30, 2012
 
 
(Dollars in millions)
 
Trading securities:
 
 
 
 
 
  
 
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
Mortgage-related:
 
 
 
 
 
  

 
 
  

 
  

 
  

 
  

 
  

 
  

 
 
 
 
  

 
Fannie Mae
$
1,737

 
$
2

 
 
$

 
 
$

 
$
(33
)
 
$

 
$
(108
)
 
$
(1,581
)
 
$
65

 
$
82

 
 
$
(2
)
 
Freddie Mac

 

 
 

 
 

 

 

 

 

 
2

 
2

 
 

 
Ginnie Mae
9

 

 
 

 
 

 

 

 

 
(9
)
 

 

 
 

 
  Alt-A private label securities
345

 
69

 
 

 
 

 

 

 
(67
)
 
(416
)
 
257

 
188

 
 
13

 
Subprime private-label securities
1,280

 
22

 
 

 
 

 

 

 
(76
)
 

 

 
1,226

 
 
22

 
Mortgage revenue bonds
724

 
(26
)
 
 

 
 

 

 

 
(9
)
 

 

 
689

 
 
(26
)
 
      Other
143

 
(22
)
 
 

 
 

 

 

 
(3
)
 

 

 
118

 
 
(22
)
 
Total trading securities
$
4,238

 
$
45

 
 
$

 
 
$

 
$
(33
)
 
$

 
$
(263
)
 
$
(2,006
)
 
$
324

 
$
2,305

 
 
$
(15
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
946

 
$

 
 
$
(8
)
 
 
$
6

 
$
(6
)
 
$

 
$
(19
)
 
$
(895
)
 
$
10

 
$
34

 
 
$

 
  Freddie Mac
12

 

 
 

 
 

 

 

 
(1
)
 

 

 
11

 
 

 
  Alt-A private-label securities
7,256

 
(102
)
 
 
293

 
 

 

 

 
(537
)
 
(1,907
)
 
1,453

 
6,456

 
 

 
  Subprime private-label securities
7,586

 
(195
)
 
 
506

 
 

 

 

 
(667
)
 

 

 
7,230

 
 

 
Mortgage revenue bonds
10,247

 
3

 
 
(20
)
 
 

 
(42
)
 

 
(835
)
 

 

 
9,353

 
 

 
      Other
3,445

 
14

 
 
(38
)
 
 

 

 

 
(177
)
 

 

 
3,244

 
 

 
Total available-for-sale securities
$
29,492

 
$
(280
)
 
 
$
733

 
 
$
6

 
$
(48
)
 
$

 
$
(2,236
)
 
$
(2,802
)
 
$
1,463

 
$
26,328

 
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans of consolidated trusts
$
2,319

 
$
120

 
 
$

 
 
$
387

 
$

 
$

 
$
(169
)
 
$
(344
)
 
$
18

 
$
2,331

 
 
$
(10
)
 
Net derivatives
65

 
15

 
 

 
 

 

 
(6
)
 

 

 

 
74

 
 
33

 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(406
)
 
$
(6
)
 
 
$

 
 
$

 
$

 
$

 
$

 
$

 
$

 
$
(412
)
 
 
$
(6
)
 
Of consolidated trusts
(765
)
 
(60
)
 
 

 
 

 

 
(485
)
 
78

 
110

 
(197
)
 
(1,319
)
 
 
(2
)
 
Total long-term debt
$
(1,171
)
 
$
(66
)
 
 
$

 
 
$

 
$

 
$
(485
)
 
$
78

 
$
110

 
$
(197
)
 
$
(1,731
)
 
 
$
(8
)
 









 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3) 
 
 
For the Three Months Ended June 30, 2011
 
 
 
 
 
 
 
 
 
 
  
 
  
 
 
 
  
 
  
 
  
 
 
 
 
 
 
 
 
 
Total Gains or (Losses) (Realized/Unrealized) 
 
  
 
  
 
 
 
  
 
  
 
  
 
 
 
Net Unrealized Gains (Losses) Included in Net Loss Related to Assets and Liabilities Still Held as of June 30, 2011(5)
 
Balance,
April 1, 2011
 
Included in Net Income (Loss)
 
Included in Other Comprehensive Income (Loss)(1)
 
Purchases(2)
 
 Sales(2)
 
Issues(3)
 
Settlements(3)
 
Transfers out of Level 3(4)
 
Transfers into Level 3(4)
 
Balance, June 30, 2011
 
 
(Dollars in millions)
 
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
1,651

 
$
1

 
 
$

 
 
$
124

 
$

 
$

 
$
(97
)
 
$

 
$

 
$
1,679

 
 
$
2

 
  Alt- A private-label securities
20

 
1

 
 

 
 

 

 

 
(1
)
 

 
106

 
126

 
 
2

 
  Subprime private-label securities
1,547

 
(41
)
 
 

 
 

 

 

 
(47
)
 

 

 
1,459

 
 
(41
)
 
  Mortgage revenue bonds
606

 
21

 
 

 
 

 

 

 
(11
)
 

 

 
616

 
 
21

 
Other
155

 
1

 
 

 
 

 

 

 
(2
)
 

 

 
154

 
 
1

 
  Non-mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  Asset-backed securities
2

 

 
 

 
 

 

 

 
(2
)
 

 

 

 
 

 
Total trading securities
$
3,981

 
$
(17
)
 
 
$

 
 
$
124

 
$

 
$

 
$
(160
)
 
$

 
$
106

 
$
4,034

 
 
$
(15
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
546

 
$

 
 
$
8

 
 
$
473

 
$
(24
)
 
$

 
$

 
$
(368
)
 
$

 
$
635

 
 
$

 
Freddie Mac
12

 

 
 

 
 

 

 

 

 

 

 
12

 
 

 
  Alt-A private-label securities
7,236

 
3

 
 
(26
)
 
 

 

 

 
(217
)
 
(747
)
 
403

 
6,652

 
 

 
  Subprime private-label securities
9,660

 
130

 
 
(547
)
 
 

 

 

 
(334
)
 

 

 
8,909

 
 

 
  Mortgage revenue bonds
10,532

 
(1
)
 
 
273

 
 

 
(64
)
 

 
(276
)
 

 

 
10,464

 
 

 
Other
3,776

 
2

 
 
40

 
 

 

 

 
(111
)
 

 

 
3,707

 
 

 
Total available-for-sale securities
$
31,762

 
$
134

 
 
$
(252
)
 
 
$
473

 
$
(88
)
 
$

 
$
(938
)
 
$
(1,115
)
 
$
403

 
$
30,379

 
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans of consolidated trusts
$
2,221

 
$
19

 
 
$

 
 
$
42

 
$

 
$

 
$
(71
)
 
$
(31
)
 
$
185

 
$
2,365

 
 
$
19

 
Net derivatives
118

 
(9
)
 
 

 
 

 

 
(1
)
 
(29
)
 

 

 
79

 
 
(26
)
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(423
)
 
$
8

 
 
$

 
 
$

 
$

 
$

 
$
13

 
$

 
$

 
$
(402
)
 
 
$
8

 
Of consolidated trusts
(667
)
 
6

 
 

 
 

 

 
(40
)
 
26

 
55

 
(26
)
 
(646
)
 
 
6

 
Total long-term debt
$
(1,090
)
 
$
14

 
 
$

 
 
$

 
$

 
$
(40
)
 
$
39

 
$
55

 
$
(26
)
 
$
(1,048
)
 
 
$
14

 

 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
For the Six Months Ended June 30, 2011
 
 
 
 
 
 
 
 
 
 
  
 
  
 
 
 
  
 
  
 
  
 
 
 
 
 
 
 
 
 
Total Gains or (Losses) (Realized/Unrealized) 
 
  
 
  
 
 
 
  
 
  
 
  
 
 
 
Net Unrealized (Losses) Gains Included in Net Loss Related to Assets and Liabilities Still Held as of June 30, 2011(5)
 
Balance,
December 31, 2010
 
Included in Net Income (Loss)
 
Included in Other Comprehensive Income (Loss)(1)
 
Purchases(2)
 
 Sales(2)
 
Issues(3)
 
Settlements(3)
 
Transfers out of Level 3(4)
 
Transfers into Level 3(4)
 
Balance, June 30, 2011
 
 
(Dollars in millions)
 
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
2,202

 
$
(12
)
 
 
$

 
 
$
124

 
$
(15
)
 
$

 
$
(229
)
 
$
(391
)
 
$

 
$
1,679

 
 
$
(6
)
 
  Alt-A private-label securities
20

 
1

 
 

 
 

 

 

 
(1
)
 

 
106

 
126

 
 
1

 
  Subprime private-label securities
1,581

 
(30
)
 
 

 
 

 

 

 
(92
)
 

 

 
1,459

 
 
(30
)
 
  Mortgage revenue bonds
609

 
21

 
 

 
 

 

 

 
(14
)
 

 

 
616

 
 
24

 
Other
152

 
5

 
 

 
 

 

 

 
(3
)
 

 

 
154

 
 
5

 
Non-mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Asset-backed securities
12

 

 
 

 
 

 

 

 
(5
)
 
(9
)
 
2

 

 
 

 
Total trading securities
$
4,576

 
$
(15
)
 
 
$

 
 
$
124

 
$
(15
)
 
$

 
$
(344
)
 
$
(400
)
 
$
108

 
$
4,034

 
 
$
(6
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
114

 
$

 
 
$
12

 
 
$
889

 
$
(39
)
 
$

 
$
(2
)
 
$
(469
)
 
$
130

 
$
635

 
 
$

 
Freddie Mac
3

 

 
 

 
 

 

 

 

 

 
9

 
12

 
 

 
  Alt-A private-label securities
7,049

 
1

 
 
78

 
 

 

 

 
(475
)
 
(1,064
)
 
1,063

 
6,652

 
 

 
 Subprime private-label securities
9,932

 
260

 
 
(605
)
 
 

 

 

 
(678
)
 

 

 
8,909

 
 

 
  Mortgage revenue bonds
11,030

 
(3
)
 
 
294

 
 

 
(106
)
 

 
(751
)
 

 

 
10,464

 
 

 
Other
3,806

 
3

 
 
111

 
 

 

 

 
(213
)
 

 

 
3,707

 
 

 
Total available-for-sale securities
$
31,934

 
$
261

 
 
$
(110
)
 
 
$
889

 
$
(145
)
 
$

 
$
(2,119
)
 
$
(1,533
)
 
$
1,202

 
$
30,379

 
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans of consolidated trusts
$
2,207

 
$
30

 
 
$

 
 
$
57

 
$

 
$

 
$
(150
)
 
$
(37
)
 
$
258

 
$
2,365

 
 
$
30

 
Net derivatives
104

 
5

 
 

 
 

 

 
(1
)
 
(29
)
 

 

 
79

 
 
(16
)
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(421
)
 
$
(14
)
 
 
$

 
 
$

 
$

 
$

 
$
33

 
$

 
$

 
$
(402
)
 
 
$
(14
)
 
Of consolidated trusts
(627
)
 
(29
)
 
 

 
 

 

 
(40
)
 
48

 
77

 
(75
)
 
(646
)
 
 
(28
)
 
 Total long-term debt
$
(1,048
)
 
$
(43
)
 
 
$

 
 
$

 
$

 
$
(40
)
 
$
81

 
$
77

 
$
(75
)
 
$
(1,048
)
 
 
$
(42
)
 
_________
(1) 
Gains (losses) included in other comprehensive income (loss) are included in “Changes in unrealized losses on available-for-sale securities, net of reclassification adjustments and taxes” in the condensed consolidated statement of operations and comprehensive income (loss).
(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 Fannie Mae MBS and private-label mortgage-related securities backed by Alt-A loans. Prices for these securities were obtained from multiple third-party vendors supported by market observable inputs. 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 other-than-temporary impairments are not considered unrealized and are not included in this amount.

Realized and Unrealized Gain and Losses for Level 3 Assets and Liabilities Measured on Recurring Basis [Table Text Block]
The following tables display realized and unrealized gains and losses included in our condensed consolidated statements of operations and comprehensive income (loss) for the three and six months ended June 30, 2012 and 2011, for our Level 3 assets and liabilities measured in our condensed consolidated balance sheets at fair value on a recurring basis.
 
 
For the Three Months Ended June 30, 2012
 
 
Interest Income
 
Fair Value Losses, net
 
Net Other-than-Temporary Impairments
 
Other
 
Total
 
 
(Dollars in millions)
 
Total realized and unrealized gains (losses) included in net income (loss)
 
$
79

 
 
 
$
33

 
 
 
$
(388
)
 
 
 
$
2

 
 
 
$
(274
)
 
Net unrealized losses related to Level 3 assets and liabilities still held as of June 30, 2012
 
$

 
 
 
$
(9
)
 
 
 
$

 
 
 
$

 
 
 
$
(9
)
 
 
 
For the Six Months Ended June 30, 2012
 
 
Interest Income
 
Fair Value Losses, net
 
Net Other-than-Temporary Impairments
 
Other
 
Total
 
 
(Dollars in millions)
 
Total realized and unrealized gains (losses) included in net income (loss)
 
$
145

 
 
 
$
120

 
 
 
$
(439
)
 
 
 
$
8

 
 
 
$
(166
)
 
Net unrealized gains (losses) related to Level 3 assets and liabilities still held as of June 30, 2012
 
$

 
 
 
$

 
 
 
$

 
 
 
$

 
 
 
$

 
 
 
For the Three Months Ended June 30, 2011
 
 
Interest Income
 
Fair Value Losses, net
 
Net Other-than-Temporary Impairments
 
Other
 
Total
 
 
(Dollars in millions)
 
Total realized and unrealized gains (losses) included in net income (loss)
 
$
135

 
 
 
$
8

 
 
 
$
(6
)
 
 
 
$
4

 
 
 
$
141

 
Net unrealized losses related to Level 3 assets and liabilities still held as of June 30, 2011
 
$
(1
)
 
 
 
$
(7
)
 
 
 
$

 
 
 
$

 
 
 
$
(8
)
 

 
 
For the Six Months Ended June 30, 2011
 
 
Interest Income
 
Fair Value Losses, net
 
Net Other-than-Temporary Impairments
 
Other
 
Total
 
 
(Dollars in millions)
 
Total realized and unrealized gains (losses) included in net income (loss)
 
$
270

 
 
 
$
(16
)
 
 
 
$
(23
)
 
 
 
$
7

 
 
 
$
238

 
Net unrealized losses related to Level 3 assets and liabilities still held as of June 30, 2011
 
$
(1
)
 
 
 
$
(33
)
 
 
 
$

 
 
 
$

 
 
 
$
(34
)
 
Nonrecurring Changes in Fair Value [Table Text Block]
The following table displays assets and liabilities measured in our condensed consolidated balance sheets at fair value on a nonrecurring basis; that is, the instruments are not measured at fair value on an ongoing basis but are subject to fair value adjustments in certain circumstances (for example, when we evaluate for impairment) as of June 30, 2012.
 
 
Fair Value Measurements
 
 
 
As of June 30, 2012
 
 
Quoted Prices in Active Markets for Identical Assets (Level 1)
 
Significant Other Observable Inputs (Level 2)
 
Significant Unobservable Inputs (Level 3)
 
Estimated Fair Value
 
 
(Dollars in millions)
 
Nonrecurring fair value measurements:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans held for sale, at lower of cost or fair value
 
$

 
 
 
$
94

 
 
 
$
120

 
 
 
$
214

 
Single-family mortgage loans held for investment, at amortized cost:(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
 

 
 
 

 
 
 
21,808

 
 
 
21,808

 
Of consolidated trusts
 

 
 
 

 
 
 
240

 
 
 
240

 
Multifamily mortgage loans held for investment, at amortized cost:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
 

 
 
 

 
 
 
1,380

 
 
 
1,380

 
Acquired property, net:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Single-family
 

 
 
 

 
 
 
3,381

 
 
 
3,381

 
Multifamily
 

 
 
 

 
 
 
88

 
 
 
88

 
Other assets
 

 
 
 

 
 
 
303

 
 
 
303

 
Total nonrecurring fair value measurements
 
$

 
 
 
$
94

 
 
 
$
27,320

 
 
 
$
27,414

 
_________

(1)
Excludes estimated recoveries from mortgage insurance proceeds.
The following table displays assets and liabilities measured in our condensed consolidated balance sheets at fair value on a nonrecurring basis and the gains or losses recognized for these assets and liabilities for the three and six months ended June 30, 2011.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
For the Three Months Ended June 30, 2011
 
For the Six Months Ended June 30, 2011
 
 
Fair Value Measurements
 
  
 
 
 
 
For the Six Months Ended June 30, 2011
 
  
 
 
 
Quoted Prices in Active Markets for Identical Assets (Level 1)
 
Significant Other Observable Inputs (Level 2)
 
Significant Unobservable Inputs (Level 3)
 
Estimated Fair Value
  
 
Total Losses
 
Total Losses
 
 
(Dollars in millions)
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
Mortgage loans held for sale, at lower of cost or fair value
 
$

 
 
 
$
2

 
 
 
$
204

 
 
 
$
206

(1) 
 
 
 
$
(8
)
 
 
 
$
(13
)
 
Single-family mortgage loans held for investment, at amortized cost:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
 

 
 
 

 
 
 
32,970

 
 
 
32,970

(2) 
 
 
 
(66
)
 
 
 
(1,080
)
 
Of consolidated trusts
 

 
 
 

 
 
 
749

 
 
 
749

(2) 
 
 
 
(18
)
 
 
 
(98
)
 
Multifamily mortgage loans held for investment, at amortized cost:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
 

 
 
 

 
 
 
1,365

 
 
 
1,365

(2) 
 
 
 
(28
)
 
 
 
(108
)
 
Acquired property, net:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Single-family
 

 
 
 

 
 
 
14,806

 
 
 
14,806

(3) 
 
 
 
(701
)
 
 
 
(1,512
)
 
Multifamily
 

 
 
 

 
 
 
227

 
 
 
227

(3) 
 
 
 
(33
)
 
 
 
(49
)
 
Other assets
 

 
 
 

 
 
 
877

 
 
 
877

(4) 
 
 
 
(35
)
 
 
 
(65
)
 
Total assets at fair value
 
$

 
 
 
$
2

 
 
 
$
51,198

 
 
 
$
51,200

 
  
 
 
$
(889
)
 
 
 
$
(2,925
)
 
_________
(1) Includes $56 million of mortgage loans held for sale that were sold, deconsolidated, retained as a mortgage-related security or redesignated to mortgage loans held for investment as of June 30, 2011.
(2) Includes $3.6 billion of mortgage loans held for investment that were liquidated or transferred to foreclosed properties as of June 30, 2011.
(3) Includes $8.4 billion of acquired properties that were sold or transferred as of June 30, 2011.
(4) Includes $144 million of other assets that were sold or transferred as of June 30, 2011.
Valuation Techniques and Significant Unobservable Inputs for Level 3 Assets and Liabilities [Table Text Block]
The following table displays valuation techniques and the range and weighted-average of significant unobservable inputs for our Level 3 assets and liabilities measured at fair value on a recurring basis as of June 30, 2012.
 
Fair Value Measurements as of June 30, 2012
 
Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted - Average(1)
 
Fair Value
 
(Dollars in millions)
Recurring fair value measurements:
 
 
 
 
 
 
 
 
 
 
 
Level 3 Assets:
 
 
 
 
 
 
 
 
 
 
 
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
Agency(2)
Other
 
 
 
 
 
 
 
 
 
$
84

Alt-A private-label securities
Discounted Cash Flow
 
Default Rate (%)
 
7.8
-
15.0
 
11.7
 
 
 
 
 
Prepayment Speed (%)
 
0.7
-
6.4
 
2.7
 
 
 
 
 
Severity (%)
 
65.0
-
70.0
 
68.3
 
 
 
 
 
Spreads (bps)
 
627.0
-
684.0
 
647.9
 
125

 
Other
 
 
 
 
 
 
 
 
 
63

Total Alt-A private-label securities
 
 
 
 
 
 
 
 
 
 
188

Subprime private-label securities
Consensus
 
Default Rate (%)
 
10.9
-
24.5
 
16.5
 
 
 
 
 
Prepayment Speed (%)
 
0.0
-
5.6
 
2.6
 
 
 
 
 
Severity (%)
 
80.0
 
80.0
 
 
 
 
 
Spreads (bps)
 
651.0
-
823.0
 
700.4
 
613

 
Consensus
 
 
 
 
 
 
 
 
 
468

 
Discounted Cash Flow
 
Default Rate (%)
 
15.6
-
20.6
 
17.5
 
 
 
 
 
Prepayment Speed (%)
 
0.7
-
5.6
 
2.6
 
 
 
 
 
Severity (%)
 
80.0
 
80.0
 
 
 
 
 
Spreads (bps)
 
650.0
-
824.0
 
774.6
 
145

Total subprime private-label securities
 
 
 
 
 
 
 
 
 
 
1,226

Mortgage revenue bonds
Discounted Cash Flow
 
Spreads (bps)
 
275.0
-
390.0
 
335.4
 
640

 
Other
 
 
 
 
 
 
 
 
 
49

Total mortgage revenue bonds
 
 
 
 
 
 
 
 
 
 
689

Other
Other
 
 
 
 
 
 
 
 
 
118

Total trading securities
 
 
 
 
 
 
 
 
 
 
$
2,305


 
Fair Value Measurements as of June 30, 2012
 
Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted - Average(1)
 
Fair Value
 
(Dollars in millions)
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
Agency(2)
Other
 
 
 
 
 
 
 
 
 
$
45

Alt-A private-label securities
Consensus
 
Default Rate (%)
 
0.0
-
19.5
 
2.8
 


 
 
 
Prepayment Speed (%)
 
0.4
-
20.5
 
10.5
 


 
 
 
Severity (%)
 
50.0
-
70.0
 
53.0
 


 
 
 
Spreads (bps)
 
369.0
-
704.0
 
498.7
 
2,477

 
Consensus
 
 
 
 
 
 
 
 
 
1,958

 
Discounted Cash Flow
 
Default Rate (%)
 
0.0
-
15.3
 
7.4
 


 
 
 
Prepayment Speed (%)
 
0.0
-
20.1
 
6.0
 


 
 
 
Severity (%)
 
50.0
-
70.0
 
57.3
 


 
 
 
Spreads (bps)
 
410.0
-
771.0
 
573.3
 
1,711

 
Single Vendor
 
 
 
 
 
 
 
 
 
226

 
Other
 
 
 
 
 
 
 
 
 
84

Total Alt-A private-label securities
 
 
 
 
 
 
 
 
 
 
6,456

Subprime private-label securities
Consensus
 
Default Rate (%)
 
0.0
-
26.4
 
16.4
 

 
 
 
Prepayment Speed (%)
 
0.0
-
20.9
 
1.8
 

 
 
 
Severity (%)
 
65.0
-
80.0
 
78.4
 

 
 
 
Spreads (bps)
 
561.0
-
840.0
 
702.6
 
3,426

 
Consensus
 
 
 
 
 
 
 
 
 
2,043

 
Discounted Cash Flow
 
Default Rate (%)
 
0.0
-
25.5
 
15.9
 

 
 
 
Prepayment Speed (%)
 
0.0
-
16.0
 
2.4
 

 
 
 
Severity (%)
 
65.0
-
80.0
 
76.2
 

 
 
 
Spreads (bps)
 
531.0
-
842.0
 
713.0
 
1,651

 
Other
 
 
 
 
 
 
 
 
 
110

Total subprime private-label securities
 
 
 
 
 
 
 
 
 
 
7,230

Mortgage revenue bonds
Single Vendor
 
 
 
 
 
 
 
 
 
7,294

 
Discounted Cash Flow
 
Spreads (bps)
 
134.0
-
390.0
 
320.3
 
1,835

 
Other
 
 
 
 
 
 
 
 
 
224

Total mortgage revenue bonds
 
 
 
 
 
 
 
 
 
 
9,353

Other
Consensus
 
 
 
 
 
 
 
 
 
928

 
Discounted Cash Flow
 
Default Rate (%)
 
0.4
-
13.0
 
4.9
 
 
 
 
 
Prepayment Speed (%)
 
0.0
-
10.8
 
3.3
 
 
 
 
 
Severity (%)
 
50.0
-
85.0
 
84.0
 
 
 
 
 
Spreads (bps)
 
567.0
-
793.0
 
676.0
 
805

 
Consensus
 
Default Rate (%)
 
5.0
 
5.0
 
 
 
 
 
Prepayment Speed (%)
 
3.0
 
3.0
 
 
 
 
 
Severity (%)
 
85.0
 
85.0
 
 
 
 
 
Spreads (bps)
 
626.0
-
812.0
 
706.1
 
688

 
Other
 
 
 
 
 
 
 
 
 
823

Total Other
 
 
 
 
 
 
 
 
 
 
3,244

Total available-for-sale securities
 
 
 
 
 
 
 
 
 
 
$
26,328

 
Fair Value Measurements as of June 30, 2012
 
Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted - Average(1)
 
Fair Value
 
(Dollars in millions)
Mortgage loans of consolidated trusts:
 
 
 
 
 
 
 
 
 
 
 
Single-family
Build-Up
 
Default Rate (%)
 
0.1
-
91.9
 
14.5
 
 
 
 
 
Prepayment Speed (%)
 
9.4
-
97.1
 
34.1
 
 
 
 
 
Severity (%)
 
9.4
-
100.0
 
37.2
 
$
1,371

 
Consensus
 
 
 
 
 
 
 
 
 
333

 
Discounted Cash Flow
 
Default Rate (%)
 
1.4
-
14.5
 
8.6
 
 
 
 
 
Prepayment Speed (%)
 
0.2
-
8.3
 
3.6
 
 
 
 
 
Severity (%)
 
50.0
-
65.0
 
60.5
 
 
 
 
 
Spreads (bps)
 
587.0
-
1,269.0
 
661.4
 
212

 
Consensus
 
Default Rate (%)
 
2.0
-
8.4
 
5.6
 
 
 
 
 
Prepayment Speed (%)
 
2.5
-
8.3
 
4.6
 
 
 
 
 
Severity (%)
 
65.0
-
70.0
 
65.9
 
 
 
 
 
Spreads (bps)
 
605.0
-
866.0
 
691.5
 
209

 
Single Vendor
 
 
 
 
 
 
 
 
 
47

Total single-family
 
 
 
 
 
 
 
 
 
 
2,172

Multifamily
Build-Up
 
Spreads (bps)
 
103.0
-
423.4
 
199.7
 
159

Total mortgage loans of consolidated trusts
 
 
 
 
 
 
 
 
 
 
$
2,331

Net derivatives
Dealer Mark
 
 
 
 
 
 
 
 
 
$
176

 
Internal Model
 
 
 
 
 
 
 
 
 
(102
)
Total net derivatives
 
 
 
 
 
 
 
 
 
 
$
74

Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
Senior floating
Discounted Cash Flow
 
 
 
 
 
 
 
 
 
$
(412
)
Of consolidated trusts
Discounted Cash Flow
 
Default Rate (%)
 
1.4
-
10.0
 
6.1
 

 
 
 
Prepayment Speed (%)
 
0.0
-
100.0
 
56.0
 

 
 
 
Severity (%)
 
50.0
-
65.0
 
57.2
 

 
 
 
Spreads (bps)
 
127.1
-
1,269.0
 
412.0
 
(490
)
 
Consensus
 
 
 
 
 
 
 
 
 
(456
)
 
Consensus
 
Default Rate (%)
 
2.0
-
8.4
 
5.6
 
 
 
 
 
Prepayment Speed (%)
 
2.5
-
8.3
 
4.5
 
 
 
 
 
Severity (%)
 
65.0
-
70.0
 
65.9
 
 
 
 
 
Spreads (bps)
 
605.0
-
866.0
 
691.0
 
(227
)
 
Single Vendor
 
 
 
 
 
 
 
 
 
(146
)
Total of consolidated trusts
 
 
 
 
 
 
 
 
 
 
(1,319
)
Total long-term debt
 
 
 
 
 
 
 
 
 
 
$
(1,731
)
_________
(1) 
Valuation techniques for which no unobservable inputs are disclosed generally reflect the use of third-party pricing services or dealers, and the range of unobservable inputs applied by these sources is not readily available or cannot be reasonably estimated. Where we have disclosed unobservable inputs for consensus and single vendor techniques those inputs are based on our validations performed at the security level.
(2) 
Includes Fannie Mae and Freddie Mac securities.
Level 3 Assets Measured on Nonrecurring Basis [Table Text Block]
The following table displays valuation techniques for our Level 3 assets measured at fair value on a nonrecurring basis as of June 30, 2012. The significant unobservable inputs related to these techniques primarily relate to collateral dependent valuations. The related ranges and weighted averages are not meaningful when aggregated as they vary significantly from property to property.
 
 
Fair Value Measurements as of June 30, 2012
 
 
Valuation Techniques
 
Fair Value
 
 
(Dollars in millions)
 
Nonrecurring fair value measurements:
 
 
 
 
 
 
Level 3 Assets:
 
 
 
 
 
 
Single-family mortgage loans held for sale, at lower of cost or fair value
 
Consensus
 
 
$
120

 
Single-family mortgage loans held for investment, at amortized cost:
 
 
 
 
 
 
Of Fannie Mae
 
Internal Model
 
 
21,808

 
Of consolidated trusts
 
Internal Model
 
 
240

 
Multifamily mortgage loans held for investment, at amortized cost:
 
 
 
 


 
Of Fannie Mae
 
Appraisals
 
 
202

 
 
 
Broker Price Opinions
 
 
284

 
 
 
Asset Manager Estimate
 
 
859

 
 
 
Other
 
 
35

 
Total of Fannie Mae
 
 
 
 
1,380

 
Acquired property, net:
 
 
 
 


 
Single-family
 
Accepted Offers
 
 
837

 
 
 
Appraisals
 
 
527

 
 
 
Walk Forwards
 
 
1,111

 
 
 
Internal Model
 
 
856

 
 
 
Other
 
 
50

 
Total single-family
 
 
 
 
3,381

 
Multifamily
 
Accepted Offers
 
 
44

 
 
 
Appraisals
 
 
16

 
 
 
Broker Price Opinions
 
 
28

 
Total Multifamily
 
 
 
 
88

 
Other Assets
 
Appraisals
 
 
66

 
 
 
Walk Forwards
 
 
36

 
 
 
Internal Model
 
 
88

 
 
 
Other
 
 
113

 
Total other assets
 
 
 
 
303

 
Total nonrecurring assets at fair value
 
 
 
 
$
27,320

 
Fair Value of Financial Instruments [Table Text Block]
As a result, the fair value of our financial assets and liabilities does not represent the underlying fair value of our total consolidated assets and liabilities.
  
As of
  
June 30, 2012
 
December 31, 2011
  
Carrying
Value
 
Quoted Price in Active Markets for Identical Assets
(Level 1)
 
Significant Other Observable Inputs
(Level 2)
 
Significant Unobservable Inputs
(Level 3)
 
Netting Adjust-ment
 
Estimated
Fair Value
 
Carrying
Value
 
Estimated Fair Value
  
(Dollars in millions)
Financial assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash and cash equivalents and restricted cash
$
80,713

 
 
$
68,663

 
 
$
12,050

 
 
 
$

 
 
 
$

 
$
80,713

 
$
68,336

 
$
68,336

Federal funds sold and securities purchased under agreements to resell or similar arrangements
24,000

 
 

 
 
24,000

 
 
 

 
 
 

 
24,000

 
46,000

 
46,000

Trading securities
50,935

 
 
27,064

 
 
21,566

 
 
 
2,305

 
 
 

 
50,935

 
74,198

 
74,198

Available-for-sale securities
69,694

 
 

 
 
43,366

 
 
 
26,328

 
 
 

 
69,694

 
77,582

 
77,582

Mortgage loans held for sale
455

 
 

 
 
280

 
 
 
187

 
 
 

 
467

 
311

 
325

Mortgage loans held for investment, net of allowance for loan losses:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
317,578

 
 

 
 
36,665

 
 
 
230,096

 
 
 

 
266,761

 
322,825

 
294,996

Of consolidated trusts
2,605,209

 
 

 
 
2,405,153

 
 
 
293,656

 
 
 

 
2,698,809

 
2,575,485

 
2,652,025

Mortgage loans held for investment
2,922,787

 
 

 
 
2,441,818

 
 
 
523,752

 
 
 

 
2,965,570

 
2,898,310

 
2,947,021

Advances to lenders
7,343

 
 

 
 
6,638

 
 
 
615

 
 
 

 
7,253

 
5,538

 
5,420

Derivative assets at fair value
602

 
 

 
 
16,718

 
 
 
236

 
 
 
(16,352
)
 
602

 
561

 
561

Guaranty assets and buy-ups
474

 
 

 
 

 
 
 
866

 
 
 

 
866

 
503

 
901

Total financial assets
$
3,157,003

 
 
$
95,727

 
 
$
2,566,436

 
 
 
$
554,289

 
 
 
$
(16,352
)
 
$
3,200,100

 
$
3,171,339

 
$
3,220,344

  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Federal funds purchased and securities sold under agreements to repurchase
$
153

 
 
$

 
 
$
153

 
 
 
$

 
 
 
$

 
$
153

 
$

 
$

Short-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
92,906

 
 

 
 
92,917

 
 
 

 
 
 

 
92,917

 
146,752

 
146,782

    Of consolidated trusts
3,908

 
 

 
 

 
 
 
3,908

 
 
 

 
3,908

 
4,973

 
4,973

Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
566,483

 
 

 
 
592,491

 
 
 
1,074

 
 
 

 
593,565

 
585,692

 
613,983

    Of consolidated trusts
2,500,591

 
 

 
 
2,627,334

 
 
 
15,864

 
 
 

 
2,643,198

 
2,452,455

 
2,596,657

Derivative liabilities at fair value
919

 
 

 
 
24,282

 
 
 
162

 
 
 
(23,525
)
 
919

 
916

 
916

Guaranty obligations
758

 
 

 
 

 
 
 
3,543

 
 
 

 
3,543

 
811

 
3,944

Total financial liabilities
$
3,165,718

 
 
$

 
 
$
3,337,177

 
 
 
$
24,551

 
 
 
$
(23,525
)
 
$
3,338,203

 
$
3,191,599

 
$
3,367,255

Fair Value Option [Table Text Block]
The following table displays the fair value and unpaid principal balance of the financial instruments for which we have made fair value elections as of June 30, 2012 and December 31, 2011.
 
 
As of
 
 
 
June 30, 2012
 
 
 
December 31, 2011
 
 
Loans of Consolidated Trusts(1)
 
Long-Term Debt of Fannie Mae
 
Long-Term Debt of Consolidated Trusts(2)
 
Loans of Consolidated Trusts(1)
 
Long-Term Debt of Fannie Mae
 
Long-Term Debt of Consolidated Trusts(2)
 
 
(Dollars in millions)
 
Fair value
 
$
5,231

 
 
 
$
831

 
 
 
$
4,600

 
 
 
$
3,611

 
 
 
$
838

 
 
 
$
3,939

 
Unpaid principal balance
 
5,631

 
 
 
712

 
 
 
4,679

 
 
 
4,122

 
 
 
712

 
 
 
4,012

 
__________
(1) Includes nonaccrual loans with a fair value of $260 million and $195 million as of June 30, 2012 and December 31, 2011, respectively. The difference between unpaid principal balance and the fair value of these nonaccrual loans as of June 30, 2012 and December 31, 2011 is $240 million and $232 million, respectively. Includes loans that are 90 days or more past due with a fair value of $382 million and $310 million as of June 30, 2012 and December 31, 2011, respectively. The difference between unpaid principal balance and the fair value of these 90 or more days past due loans as of June 30, 2012 and December 31, 2011 is $270 million and $262 million, respectively.
(2) Includes interest-only debt instruments with no unpaid principal balance and a fair value of $107 million and $115 million as of June 30, 2012 and December 31, 2011, respectively.
The following table displays fair value gains and losses, net, including changes attributable to instrument-specific credit risk, for loans and debt for which the fair value election was made. Amounts are recorded as a component of “Fair value losses, net” in our condensed consolidated statements of operations and comprehensive income (loss) for the three and six months ended June 30, 2012 and 2011.
 
For the Three Months Ended June 30,
 
2012
 
2011
 
Loans
 
Long-Term Debt
 
Total Gains (Losses)
 
Loans
 
Long-Term Debt
 
Total Gains
 
(Dollars in millions)
Changes in instrument-specific credit risk
$
11

 
 
$

 
 
 
$
11

 
 
$
6

 
 
$
8

 
 
$
14

Other changes in fair value
(38
)
 
 
(17
)
 
 
 
(55
)
 
 
76

 
 
(26
)
 
 
50

Fair value (losses) gains, net
$
(27
)
 
 
$
(17
)
 
 
 
$
(44
)
 
 
$
82

 
 
$
(18
)
 
 
$
64

 
For the Six Months Ended June 30,
 
2012
 
2011
 
Loans
 
Long-Term Debt
 
Total Gains (Losses)
 
Loans
 
Long-Term Debt
 
Total (Losses) Gains
 
(Dollars in millions)
Changes in instrument-specific credit risk
$
77

 
 
$
(2
)
 
 
 
$
75

 
 
$
(211
)
 
 
$
4

 
 
$
(207
)
Other changes in fair value
(103
)
 
 
43

 
 
 
(60
)
 
 
141

 
 
7

 
 
148

Fair value (losses) gains, net
$
(26
)
 
 
$
41

 
 
 
$
15

 
 
$
(70
)
 
 
$
11

 
 
$
(59
)