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Fair Value (Tables)
9 Months Ended
Sep. 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 September 30, 2012 and December 31, 2011.
  
 
Fair Value Measurements as of September 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)
 
$
2,575

 
 
 
$

 
 
 
$

 
 
 
$

 
 
 
$
2,575

 
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Fannie Mae
 

 
 
 
6,169

 
 
 
76

 
 
 

 
 
 
6,245

 
Freddie Mac
 

 
 
 
2,838

 
 
 
2

 
 
 

 
 
 
2,840

 
Ginnie Mae
 

 
 
 
279

 
 
 
1

 
 
 

 
 
 
280

 
Alt-A private-label securities
 

 
 
 
846

 
 
 
430

 
 
 

 
 
 
1,276

 
Subprime private-label securities
 

 
 
 

 
 
 
1,265

 
 
 

 
 
 
1,265

 
CMBS
 

 
 
 
9,920

 
 
 

 
 
 

 
 
 
9,920

 
Mortgage revenue bonds
 

 
 
 

 
 
 
681

 
 
 

 
 
 
681

 
Other
 

 
 
 

 
 
 
118

 
 
 

 
 
 
118

 
Non-mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
U.S. Treasury securities
 
19,897

 
 
 

 
 
 

 
 
 

 
 
 
19,897

 
Total trading securities
 
19,897

 
 
 
20,052

 
 
 
2,573

 
 
 

 
 
 
42,522

 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Fannie Mae
 

 
 
 
11,538

 
 
 
32

 
 
 

 
 
 
11,570

 
Freddie Mac
 

 
 
 
10,180

 
 
 
10

 
 
 

 
 
 
10,190

 
Ginnie Mae
 

 
 
 
792

 
 
 

 
 
 

 
 
 
792

 
Alt-A private-label securities
 

 
 
 
4,666

 
 
 
6,562

 
 
 

 
 
 
11,228

 
Subprime private-label securities
 

 
 
 

 
 
 
7,372

 
 
 

 
 
 
7,372

 
CMBS
 

 
 
 
13,321

 
 
 

 
 
 

 
 
 
13,321

 
Mortgage revenue bonds
 

 
 
 
4

 
 
 
8,669

 
 
 

 
 
 
8,673

 
Other
 

 
 
 
11

 
 
 
3,195

 
 
 

 
 
 
3,206

 
Total available-for-sale securities
 

 
 
 
40,512

 
 
 
25,840

 
 
 

 
 
 
66,352

 
Mortgage loans of consolidated trusts
 

 
 
 
5,424

 
 
 
2,416

 
 
 

 
 
 
7,840

 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Swaps
 

 
 
 
12,476

 
 
 
157

 
 
 

 
 
 
12,633

 
Swaptions
 

 
 
 
4,422

 
 
 

 
 
 

 
 
 
4,422

 
Other
 

 
 
 

 
 
 
28

 
 
 

 
 
 
28

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(16,826
)
 
 
 
(16,826
)
 
Mortgage commitment derivatives
 

 
 
 
1,059

 
 
 
12

 
 
 

 
 
 
1,071

 
Total other assets
 

 
 
 
17,957

 
 
 
197

 
 
 
(16,826
)
 
 
 
1,328

 
Total assets at fair value
 
$
22,472

 
 
 
$
83,945

 
 
 
$
31,026

 
 
 
$
(16,826
)
 
 
 
$
120,617

 

  
 
Fair Value Measurements as of September 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
 
$

 
 
 
$
399

 
 
 
$

 
 
 
$

 
 
 
$
399

 
Senior floating
 

 
 
 

 
 
 
431

 
 
 

 
 
 
431

 
Total of Fannie Mae
 

 
 
 
399

 
 
 
431

 
 
 

 
 
 
830

 
Of consolidated trusts
 

 
 
 
5,943

 
 
 
1,425

 
 
 

 
 
 
7,368

 
Total long-term debt
 

 
 
 
6,342

 
 
 
1,856

 
 
 

 
 
 
8,198

 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Swaps
 

 
 
 
22,126

 
 
 
166

 
 
 

 
 
 
22,292

 
Swaptions
 

 
 
 
2,679

 
 
 

 
 
 

 
 
 
2,679

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(24,596
)
 
 
 
(24,596
)
 
Mortgage commitment derivatives
 

 
 
 
1,657

 
 
 
1

 
 
 

 
 
 
1,658

 
Total other liabilities
 

 
 
 
26,462

 
 
 
167

 
 
 
(24,596
)
 
 
 
2,033

 
Total liabilities at fair value
 
$

 
 
 
$
32,804

 
 
 
$
2,023

 
 
 
$
(24,596
)
 
 
 
$
10,231

 

  
 
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 nine months ended September 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 nine months ended September 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 September 30, 2012
 
 
 
 
 
 
 
  
 
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
 
 
 
Total Gains or (Losses) (Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized (Losses) Gains Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2012(5)
 
Balance, July 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, September 30, 2012
 
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
82

 
$
(1
)
 
 
$

 
 
$

 
$

 
$

 
$
(5
)
 
$

 
$

 
$
76

 
 
$
(1
)
 
Freddie Mac
2

 

 
 

 
 

 

 

 

 

 

 
2

 
 

 
Ginnie Mae

 

 
 

 
 

 

 

 

 

 
1

 
1

 
 

 
  Alt-A private-label securities
188

 
12

 
 

 
 

 

 

 
(19
)
 
(54
)
 
303

 
430

 
 
7

 
  Subprime private-label securities
1,226

 
78

 
 

 
 

 

 

 
(39
)
 

 

 
1,265

 
 
78

 
  Mortgage revenue bonds
689

 
(5
)
 
 

 
 

 

 

 
(3
)
 

 

 
681

 
 
(5
)
 
  Other
118

 
1

 
 

 
 

 

 

 
(1
)
 

 

 
118

 
 
1

 
Total trading securities
$
2,305

 
$
85

 
 
$

 
 
$

 
$

 
$

 
$
(67
)
 
$
(54
)
 
$
304

 
$
2,573

 
 
$
80

 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
34

 
$

 
 
$

 
 
$
35

 
$
(35
)
 
$

 
$
(2
)
 
$

 
$

 
$
32

 
 
$

 
Freddie Mac
11

 

 
 

 
 

 

 

 
(1
)
 

 

 
10

 
 

 
  Alt-A private-label securities
6,456

 
5

 
 
179

 
 

 

 

 
(263
)
 
(769
)
 
954

 
6,562

 
 

 
  Subprime private-label securities
7,230

 
27

 
 
434

 
 

 

 

 
(319
)
 

 

 
7,372

 
 

 
  Mortgage revenue bonds
9,353

 
2

 
 
7

 
 
29

 
(29
)
 

 
(693
)
 

 

 
8,669

 
 

 
Other
3,244

 
(7
)
 
 
50

 
 

 

 

 
(92
)
 

 

 
3,195

 
 

 
Total available-for-sale securities
$
26,328

 
$
27

 
 
$
670

 
 
$
64

 
$
(64
)
 
$

 
$
(1,370
)
 
$
(769
)
 
$
954

 
$
25,840

 
 
$

 
Mortgage loans of consolidated trusts
$
2,331

 
$
96

 
 
$

 
 
$
146

 
$

 
$

 
$
(123
)
 
$
(60
)
 
$
26

 
$
2,416

 
 
$
87

 
Net derivatives
74

 
(1
)
 
 

 
 

 

 
(2
)
 
(41
)
 

 

 
30

 
 
(9
)
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(412
)
 
$
(19
)
 
 
$

 
 
$

 
$

 
$

 
$

 
$

 
$

 
$
(431
)
 
 
$
(19
)
 
 Of consolidated trusts
(1,319
)
 
(47
)
 
 

 
 

 

 
(38
)
 
69

 
62

 
(152
)
 
(1,425
)
 
 
(40
)
 
Total long-term debt
$
(1,731
)
 
$
(66
)
 
 
$

 
 
$

 
$

 
$
(38
)
 
$
69

 
$
62

 
$
(152
)
 
$
(1,856
)
 
 
$
(59
)
 

 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
For the Nine Months Ended September 30, 2012
 
 
 
 
 
 
 
  
 
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
 
 
 
Total Gains or (Losses) (Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized (Losses) Gains Included in Net Income Related to Assets and Liabilities Still Held as of September 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, September 30, 2012
 
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
1,737

 
$
1

 
 
$

 
 
$

 
$
(33
)
 
$

 
$
(113
)
 
$
(1,581
)
 
$
65

 
$
76

 
 
$
(3
)
 
Freddie Mac

 

 
 

 
 

 

 

 

 

 
2

 
2

 
 

 
Ginnie Mae
9

 

 
 

 
 

 

 

 

 
(9
)
 
1

 
1

 
 

 
  Alt-A private label securities
345

 
81

 
 

 
 

 

 

 
(86
)
 
(470
)
 
560

 
430

 
 
19

 
Subprime private-label securities
1,280

 
100

 
 

 
 

 

 

 
(115
)
 

 

 
1,265

 
 
99

 
Mortgage revenue bonds
724

 
(31
)
 
 

 
 

 

 

 
(12
)
 

 

 
681

 
 
(31
)
 
      Other
143

 
(21
)
 
 

 
 

 

 

 
(4
)
 

 

 
118

 
 
(21
)
 
Total trading securities
$
4,238

 
$
130

 
 
$

 
 
$

 
$
(33
)
 
$

 
$
(330
)
 
$
(2,060
)
 
$
628

 
$
2,573

 
 
$
63

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

 
$

 
 
$
(8
)
 
 
$
41

 
$
(41
)
 
$

 
$
(21
)
 
$
(895
)
 
$
10

 
$
32

 
 
$

 
  Freddie Mac
12

 

 
 

 
 

 

 

 
(2
)
 

 

 
10

 
 

 
  Alt-A private-label securities
7,256

 
(97
)
 
 
472

 
 

 

 

 
(800
)
 
(2,676
)
 
2,407

 
6,562

 
 

 
  Subprime private-label securities
7,586

 
(168
)
 
 
940

 
 

 

 

 
(986
)
 

 

 
7,372

 
 

 
  Mortgage revenue bonds
10,247

 
5

 
 
(13
)
 
 
29

 
(71
)
 

 
(1,528
)
 

 

 
8,669

 
 

 
      Other
3,445

 
7

 
 
12

 
 

 

 

 
(269
)
 

 

 
3,195

 
 

 
Total available-for-sale securities
$
29,492

 
$
(253
)
 
 
$
1,403

 
 
$
70

 
$
(112
)
 
$

 
$
(3,606
)
 
$
(3,571
)
 
$
2,417

 
$
25,840

 
 
$

 
Mortgage loans of consolidated trusts
$
2,319

 
$
216

 
 
$

 
 
$
533

 
$

 
$

 
$
(292
)
 
$
(404
)
 
$
44

 
$
2,416

 
 
$
143

 
Net derivatives
65

 
14

 
 

 
 

 

 
(8
)
 
(41
)
 

 

 
30

 
 
8

 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(406
)
 
$
(25
)
 
 
$

 
 
$

 
$

 
$

 
$

 
$

 
$

 
$
(431
)
 
 
$
(25
)
 
Of consolidated trusts
(765
)
 
(107
)
 
 

 
 

 

 
(523
)
 
147

 
172

 
(349
)
 
(1,425
)
 
 
(95
)
 
Total long-term debt
$
(1,171
)
 
$
(132
)
 
 
$

 
 
$

 
$

 
$
(523
)
 
$
147

 
$
172

 
$
(349
)
 
$
(1,856
)
 
 
$
(120
)
 









 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
For the Three Months Ended September 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 September 30, 2011(5)
 
Balance,
July 1, 2011
 
Included in Net Loss
 
Included in Other Comprehensive (Loss) Income(1)
 
Purchases(2)
 
 Sales(2)
 
Issues(3)
 
Settlements(3)
 
Transfers out of Level 3(4)
 
Transfers into Level 3(4)
 
Balance, September 30, 2011
 
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
1,679

 
$
19

 
 
$

 
 
$
322

 
$
(3
)
 
$

 
$
(115
)
 
$
(41
)
 
$

 
$
1,861

 
 
$
41

 
 Ginnie Mae

 

 
 

 
 

 

 

 

 

 
36

 
36

 
 

 
  Alt- A private-label securities
126

 
7

 
 

 
 

 

 

 
(13
)
 
(73
)
 
165

 
212

 
 
10

 
  Subprime private-label securities
1,459

 
(96
)
 
 

 
 

 

 

 
(45
)
 

 

 
1,318

 
 
(95
)
 
  Mortgage revenue bonds
616

 
105

 
 

 
 

 

 

 
(3
)
 

 

 
718

 
 
106

 
Other
154

 
(4
)
 
 

 
 

 

 

 
(3
)
 
(147
)
 

 

 
 

 
Total trading securities
$
4,034

 
$
31

 
 
$

 
 
$
322

 
$
(3
)
 
$

 
$
(179
)
 
$
(261
)
 
$
201

 
$
4,145

 
 
$
62

 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
635

 
$
(1
)
 
 
$
16

 
 
$
853

 
$
(344
)
 
$

 
$
(9
)
 
$
(374
)
 
$
21

 
$
797

 
 
$

 
Freddie Mac
12

 

 
 

 
 

 

 

 
(1
)
 

 
1

 
12

 
 

 
  Alt-A private-label securities
6,652

 
(20
)
 
 
(15
)
 
 

 

 

 
(250
)
 
(431
)
 
689

 
6,625

 
 

 
  Subprime private-label securities
8,909

 
148

 
 
(484
)
 
 

 
(363
)
 

 
(323
)
 

 

 
7,887

 
 

 
  Mortgage revenue bonds
10,464

 
(5
)
 
 
429

 
 

 
(1
)
 

 
(288
)
 

 

 
10,599

 
 

 
Other
3,707

 
(10
)
 
 
9

 
 

 

 

 
(107
)
 

 

 
3,599

 
 

 
Total available-for-sale securities
$
30,379

 
$
112

 
 
$
(45
)
 
 
$
853

 
$
(708
)
 
$

 
$
(978
)
 
$
(805
)
 
$
711

 
$
29,519

 
 
$

 
Mortgage loans of consolidated trusts
$
2,365

 
$
8

 
 
$

 
 
$
45

 
$

 
$

 
$
(101
)
 
$
(56
)
 
$
23

 
$
2,284

 
 
$
6

 
Net derivatives
79

 
118

 
 

 
 

 

 
(1
)
 
(72
)
 
(70
)
 

 
54

 
 
33

 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(402
)
 
$
(74
)
 
 
$

 
 
$

 
$

 
$

 
$
70

 
$

 
$

 
$
(406
)
 
 
$
(74
)
 
Of consolidated trusts
(646
)
 
1

 
 

 
 

 
4

 
(4
)
 
18

 
35

 
(136
)
 
(728
)
 
 
6

 
Total long-term debt
$
(1,048
)
 
$
(73
)
 
 
$

 
 
$

 
$
4

 
$
(4
)
 
$
88

 
$
35

 
$
(136
)
 
$
(1,134
)
 
 
$
(68
)
 

 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
For the Nine Months Ended September 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 September 30, 2011(5)
 
Balance,
December 31, 2010
 
Included in Net Loss
 
Included in Other Comprehensive (Loss) Income(1)
 
Purchases(2)
 
 Sales(2)
 
Issues(3)
 
Settlements(3)
 
Transfers out of Level 3(4)
 
Transfers into Level 3(4)
 
Balance, September 30, 2011
 
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
2,202

 
$
7

 
 
$

 
 
$
446

 
$
(18
)
 
$

 
$
(344
)
 
$
(432
)
 
$

 
$
1,861

 
 
$
32

 
Ginnie Mae

 

 
 

 
 

 

 

 

 

 
36

 
36

 
 

 
  Alt-A private-label securities
20

 
8

 
 

 
 

 

 

 
(14
)
 
(73
)
 
271

 
212

 
 
12

 
  Subprime private-label securities
1,581

 
(126
)
 
 

 
 

 

 

 
(137
)
 

 

 
1,318

 
 
(126
)
 
  Mortgage revenue bonds
609

 
126

 
 

 
 

 

 

 
(17
)
 

 

 
718

 
 
129

 
Other
152

 
1

 
 

 
 

 

 

 
(6
)
 
(147
)
 

 

 
 

 
Non-mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Asset-backed securities
12

 

 
 

 
 

 

 

 
(5
)
 
(9
)
 
2

 

 
 

 
Total trading securities
$
4,576

 
$
16

 
 
$

 
 
$
446

 
$
(18
)
 
$

 
$
(523
)
 
$
(661
)
 
$
309

 
$
4,145

 
 
$
47

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

 
$
(1
)
 
 
$
28

 
 
$
1,742

 
$
(383
)
 
$

 
$
(11
)
 
$
(843
)
 
$
151

 
$
797

 
 
$

 
Freddie Mac
3

 

 
 

 
 

 

 

 
(1
)
 

 
10

 
12

 
 

 
  Alt-A private-label securities
7,049

 
(19
)
 
 
63

 
 

 

 

 
(725
)
 
(1,495
)
 
1,752

 
6,625

 
 

 
 Subprime private-label securities
9,932

 
408

 
 
(1,089
)
 
 

 
(363
)
 

 
(1,001
)
 

 

 
7,887

 
 

 
  Mortgage revenue bonds
11,030

 
(8
)
 
 
723

 
 

 
(107
)
 

 
(1,039
)
 

 

 
10,599

 
 

 
Other
3,806

 
(7
)
 
 
120

 
 

 

 

 
(320
)
 

 

 
3,599

 
 

 
Total available-for-sale securities
$
31,934

 
$
373

 
 
$
(155
)
 
 
$
1,742

 
$
(853
)
 
$

 
$
(3,097
)
 
$
(2,338
)
 
$
1,913

 
$
29,519

 
 
$

 
Mortgage loans of consolidated trusts
$
2,207

 
$
38

 
 
$

 
 
$
102

 
$

 
$

 
$
(251
)
 
$
(93
)
 
$
281

 
$
2,284

 
 
$
28

 
Net derivatives
104

 
123

 
 

 
 

 

 
(2
)
 
(101
)
 
(70
)
 

 
54

 
 
49

 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(421
)
 
$
(88
)
 
 
$

 
 
$

 
$

 
$

 
$
103

 
$

 
$

 
$
(406
)
 
 
$
(89
)
 
Of consolidated trusts
(627
)
 
(28
)
 
 

 
 

 
4

 
(44
)
 
66

 
112

 
(211
)
 
(728
)
 
 
(11
)
 
 Total long-term debt
$
(1,048
)
 
$
(116
)
 
 
$

 
 
$

 
$
4

 
$
(44
)
 
$
169

 
$
112

 
$
(211
)
 
$
(1,134
)
 
 
$
(100
)
 
_________
(1) 
Gains (losses) included in other comprehensive income (loss) are included in “Changes in unrealized gains (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 nine months ended September 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 September 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)
 
$
60

 
 
 
$
117

 
 
 
$
(37
)
 
 
 
$
1

 
 
 
$
141

 
Net unrealized gains related to Level 3 assets and liabilities still held as of September 30, 2012
 
$

 
 
 
$
99

 
 
 
$

 
 
 
$

 
 
 
$
99

 
 
 
For the Nine Months Ended September 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)
 
$
205

 
 
 
$
237

 
 
 
$
(476
)
 
 
 
$
9

 
 
 
$
(25
)
 
Net unrealized gains related to Level 3 assets and liabilities still held as of September 30, 2012
 
$

 
 
 
$
94

 
 
 
$

 
 
 
$

 
 
 
$
94

 
 
 
For the Three Months Ended September 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)
 
$
158

 
 
 
$
98

 
 
 
$
(62
)
 
 
 
$
2

 
 
 
$
196

 
Net unrealized (losses) gains related to Level 3 assets and liabilities still held as of September 30, 2011
 
$
(1
)
 
 
 
$
34

 
 
 
$

 
 
 
$

 
 
 
$
33

 
 
 
For the Nine Months Ended September 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)
 
$
428

 
 
 
$
82

 
 
 
$
(85
)
 
 
 
$
9

 
 
 
$
434

 
Net unrealized (losses) gains related to Level 3 assets and liabilities still held as of September 30, 2011
 
$
(2
)
 
 
 
$
26

 
 
 
$

 
 
 
$

 
 
 
$
24

 
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 September 30, 2012.
 
 
Fair Value Measurements
 
 
 
As of September 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
 
$

 
 
 
$
104

 
 
 
$
132

 
 
 
$
236

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

 
 
 

 
 
 
24,583

 
 
 
24,583

 
Of consolidated trusts
 

 
 
 

 
 
 
263

 
 
 
263

 
Multifamily mortgage loans held for investment, at amortized cost
 

 
 
 

 
 
 
1,238

 
 
 
1,238

 
Acquired property, net:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Single-family
 

 
 
 

 
 
 
3,657

 
 
 
3,657

 
Multifamily
 

 
 
 

 
 
 
93

 
 
 
93

 
Other assets
 

 
 
 

 
 
 
416

 
 
 
416

 
Total nonrecurring fair value measurements
 
$

 
 
 
$
104

 
 
 
$
30,382

 
 
 
$
30,486

 
_________
(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 losses recognized for these assets and liabilities for the three and nine months ended September 30, 2011.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
For the Three Months Ended September 30, 2011
 
For the Nine Months Ended September 30, 2011
 
 
Fair Value Measurements
 
 
 
 
 
 
For the Nine Months Ended September 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) 
 
 
 
$
(3
)
 
 
 
$
(16
)
 
Single-family mortgage loans held for investment, at amortized cost:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
 

 
 
 

 
 
 
40,280

 
 
 
40,280

(2) 
 
 
 
(1,045
)
 
 
 
(2,125
)
 
Of consolidated trusts
 

 
 
 

 
 
 
885

 
 
 
885

(2) 
 
 
 
(33
)
 
 
 
(131
)
 
Multifamily mortgage loans held for investment, at amortized cost:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
 

 
 
 

 
 
 
1,708

 
 
 
1,708

(2) 
 
 
 
(183
)
 
 
 
(291
)
 
Acquired property, net:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Single-family
 

 
 
 

 
 
 
17,642

 
 
 
17,642

(3) 
 
 
 
(635
)
 
 
 
(2,147
)
 
Multifamily
 

 
 
 

 
 
 
315

 
 
 
315

(3) 
 
 
 
(32
)
 
 
 
(81
)
 
Other assets
 

 
 
 

 
 
 
1,138

 
 
 
1,138

(4) 
 
 
 
(29
)
 
 
 
(94
)
 
Total assets at fair value
 
$

 
 
 
$
2

 
 
 
$
62,172

 
 
 
$
62,174

 
  
 
 
$
(1,960
)
 
 
 
$
(4,885
)
 
_________
(1) 
Includes $72 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 September 30, 2011.
(2) 
Includes $5.7 billion of mortgage loans held for investment that were liquidated or transferred to foreclosed properties as of September 30, 2011.
(3) 
Includes $11.8 billion of acquired properties that were sold or transferred as of September 30, 2011.
(4) 
Includes $285 million of other assets that were sold or transferred as of September 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 the weighted average of significant unobservable inputs for our Level 3 assets and liabilities measured at fair value on a recurring basis as of September 30, 2012.
 
Fair Value Measurements as of September 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)
Consensus
 
 
 
 
 
 
 
 
 
$
79

Alt-A private-label securities
Discounted Cash Flow
 
Default Rate (%)
 
9.1
-
15.0
 
14.3
 
 
 
 
 
Prepayment Speed (%)
 
0.7
-
3.8
 
2.0
 
 
 
 
 
Severity (%)
 
65.0
-
70.0
 
69.5
 
 
 
 
 
Spreads (bps)
 
487.0
-
600.0
 
526.8
 
398

 
Other
 
 
 
 
 
 
 
 
 
32

Total Alt-A private-label securities
 
 
 
 
 
 
 
 
 
 
430

Subprime private-label securities
Discounted Cash Flow
 
Default Rate (%)
 
11.8
-
24.2
 
17.1
 
 
 
 
 
Prepayment Speed (%)
 
0.2
-
5.8
 
2.7
 
 
 
 
 
Severity (%)
 
80.0
 
80.0
 
 
 
 
 
Spreads (bps)
 
515.0
-
725.0
 
602.6
 
743

 
Consensus
 
Default Rate (%)
 
14.9
-
27.8
 
20.2
 
 
 
 
 
Prepayment Speed (%)
 
0.1
-
4.3
 
2.0
 
 
 
 
 
Severity (%)
 
80.0
 
80.0
 
 
 
 
 
Spreads (bps)
 
525.0
-
693.0
 
610.8
 
198

 
Single Vendor
 
 
 
 
 
 
 
 
 
188

 
Consensus
 
 
 
 
 
 
 
 
 
136

Total subprime private-label securities
 
 
 
 
 
 
 
 
 
 
1,265

Mortgage revenue bonds
Discounted Cash Flow
 
Spreads (bps)
 
275.0
-
390.0
 
335.4
 
635

 
Other
 
 
 
 
 
 
 
 
 
46

Total mortgage revenue bonds
 
 
 
 
 
 
 
 
 
 
681

Other
Other
 
 
 
 
 
 
 
 
 
118

Total trading securities
 
 
 
 
 
 
 
 
 
 
$
2,573


 
Fair Value Measurements as of September 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
 
 
 
 
 
 
 
 
 
$
42

Alt-A private-label securities
Discounted Cash Flow
 
Default Rate (%)
 
0.0
-
21.0
 
5.7
 
 
 
 
 
Prepayment Speed (%)
 
0.0
-
68.2
 
8.1
 
 
 
 
 
Severity (%)
 
50.0
-
70.0
 
56.4
 
 
 
 
 
Spreads (bps)
 
301.0
-
798.0
 
471.3
 
3,050

 
Consensus
 
Default Rate (%)
 
0.0
-
15.6
 
2.9
 


 
 
 
Prepayment Speed (%)
 
0.2
-
32.8
 
10.0
 


 
 
 
Severity (%)
 
50.0
-
70.0
 
54.0
 


 
 
 
Spreads (bps)
 
303.0
-
623.0
 
438.9
 
2,034

 
Consensus
 
 
 
 
 
 
 
 
 
1,272

 
Single Vendor
 
Default Rate (%)
 
1.1
-
1.4
 
1.1
 
 
 
 
 
Prepayment Speed (%)
 
15.1
-
15.7
 
15.2
 
 
 
 
 
Severity (%)
 
50.0
 
50.0
 
 
 
 
 
Spreads (bps)
 
430.0
-
431.0
 
430.2
 
206

Total Alt-A private-label securities
 
 
 
 
 
 
 
 
 
 
6,562

Subprime private-label securities
Discounted Cash Flow
 
Default Rate (%)
 
0.0
-
25.8
 
15.4
 
 
 
 
 
Prepayment Speed (%)
 
0.1
-
14.2
 
2.5
 
 
 
 
 
Severity (%)
 
65.0
-
80.0
 
76.8
 
 
 
 
 
Spreads (bps)
 
375.0
-
735.0
 
581.9
 
3,079

 
Consensus
 
 
 
 
 
 
 
 
 
2,193

 
Consensus
 
Default Rate (%)
 
0.0
-
32.8
 
16.7
 

 
 
 
Prepayment Speed (%)
 
0.0
-
17.1
 
2.4
 

 
 
 
Severity (%)
 
65.0
-
80.0
 
77.5
 

 
 
 
Spreads (bps)
 
416.0
-
738.0
 
578.1
 
2,011

 
Other
 
 
 
 
 
 
 
 
 
89

Total subprime private-label securities
 
 
 
 
 
 
 
 
 
 
7,372

Mortgage revenue bonds
Single Vendor
 
 
 
 
 
 
 
 
 
6,389

 
Discounted Cash Flow
 
Spreads (bps)
 
90.0
-
390.0
 
306.8
 
1,994

 
Other
 
 
 
 
 
 
 
 
 
286

Total mortgage revenue bonds
 
 
 
 
 
 
 
 
 
 
8,669

Other
Consensus
 
 
 
 
 
 
 
 
 
1,223

 
Discounted Cash Flow
 
Default Rate (%)
 
2.1
-
10.0
 
5.0
 
 
 
 
 
Prepayment Speed (%)
 
0.4
-
3.6
 
3.0
 
 
 
 
 
Severity (%)
 
65.0
-
85.0
 
84.9
 
 
 
 
 
Spreads (bps)
 
516.0
-
1,207.0
 
695.9
 
758

 
Consensus
 
Default Rate (%)
 
0.2
-
5.0
 
4.6
 
 
 
 
 
Prepayment Speed (%)
 
3.0
-
11.0
 
3.6
 
 
 
 
 
Severity (%)
 
50.0
-
85.0
 
83.4
 
 
 
 
 
Spreads (bps)
 
437.0
-
829.0
 
675.6
 
442

 
Other
 
 
 
 
 
 
 
 
 
772

Total Other
 
 
 
 
 
 
 
 
 
 
3,195

Total available-for-sale securities
 
 
 
 
 
 
 
 
 
 
$
25,840

 
Fair Value Measurements as of September 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
-
93.4
 
14.7
 
 
 
 
 
Prepayment Speed (%)
 
5.5
-
50.2
 
21.9
 
 
 
 
 
Severity (%)
 
4.9
-
97.0
 
33.2
 
$
1,448

 
Consensus
 
 
 
 
 
 
 
 
 
294

 
Discounted Cash Flow
 
Default Rate (%)
 
0.0
-
15.6
 
9.3
 
 
 
 
 
Prepayment Speed (%)
 
0.0
-
8.5
 
4.7
 
 
 
 
 
Severity (%)
 
50.0
-
70.0
 
61.2
 
 
 
 
 
Spreads (bps)
 
448.0
-
1,116.0
 
587.6
 
255

 
Consensus
 
Default Rate (%)
 
6.0
-
18.7
 
10.9
 
 
 
 
 
Prepayment Speed (%)
 
1.3
-
8.5
 
4.2
 
 
 
 
 
Severity (%)
 
65.0
-
70.0
 
65.7
 
 
 
 
 
Spreads (bps)
 
507.0
-
1,098.0
 
618.5
 
239

 
Single Vendor
 
 
 
 
 
 
 
 
 
17

Total single-family
 
 
 
 
 
 
 
 
 
 
2,253

Multifamily
Build-Up
 
Spreads (bps)
 
91.0
-
418.4
 
195.3
 
163

Total mortgage loans of consolidated trusts
 
 
 
 
 
 
 
 
 
 
$
2,416

Net derivatives
Dealer Mark
 
 
 
 
 
 
 
 
 
$
166

 
Internal Model
 
 
 
 
 
 
 
 
 
(136
)
Total net derivatives
 
 
 
 
 
 
 
 
 
 
$
30

Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
Senior floating
Discounted Cash Flow
 
 
 
 
 
 
 
 
 
$
(431
)
Of consolidated trusts
Discounted Cash Flow
 
Default Rate (%)
 
0.0
-
15.6
 
8.9
 

 
 
 
Prepayment Speed (%)
 
0.0
-
100.0
 
53.5
 

 
 
 
Severity (%)
 
50.0
-
70.0
 
59.7
 

 
 
 
Spreads (bps)
 
103.0
-
1,116.0
 
380.7
 
(658
)
 
Consensus
 
 
 
 
 
 
 
 
 
(381
)
 
Consensus
 
Default Rate (%)
 
6.0
-
18.7
 
10.1
 
 
 
 
 
Prepayment Speed (%)
 
1.7
-
8.5
 
4.9
 
 
 
 
 
Severity (%)
 
65.0
-
70.0
 
65.8
 
 
 
 
 
Spreads (bps)
 
507.0
-
1,098.0
 
663.0
 
(209
)
 
Single Vendor
 
 
 
 
 
 
 
 
 
(177
)
Total of consolidated trusts
 
 
 
 
 
 
 
 
 
 
(1,425
)
Total long-term debt
 
 
 
 
 
 
 
 
 
 
$
(1,856
)
_________
(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 September 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 September 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
 
 
$
132

 
Single-family mortgage loans held for investment, at amortized cost:
 
 
 
 
 
 
Of Fannie Mae
 
Internal Model
 
 
24,583

 
Of consolidated trusts
 
Internal Model
 
 
263

 
Multifamily mortgage loans held for investment, at amortized cost
 
Appraisals
 
 
181

 
 
 
Broker Price Opinions
 
 
242

 
 
 
Asset Manager Estimate
 
 
781

 
 
 
Other
 
 
34

 
Multifamily mortgage loans held for investment, at amortized cost
 
 
 
 
1,238

 
Acquired property, net:
 
 
 
 


 
Single-family
 
Accepted Offers
 
 
860

 
 
 
Appraisals
 
 
520

 
 
 
Walk Forwards
 
 
1,263

 
 
 
Internal Model
 
 
952

 
 
 
Other
 
 
62

 
Total single-family
 
 
 
 
3,657

 
Multifamily
 
Accepted Offers
 
 
27

 
 
 
Appraisals
 
 
8

 
 
 
Broker Price Opinions
 
 
58

 
Total Multifamily
 
 
 
 
93

 
Other Assets
 
Appraisals
 
 
47

 
 
 
Walk Forwards
 
 
53

 
 
 
Internal Model
 
 
211

 
 
 
Other
 
 
105

 
Total other assets
 
 
 
 
416

 
Total nonrecurring assets at fair value
 
 
 
 
$
30,382

 
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
  
September 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
$
80,618

 
$
71,818

 
$
8,800

 
$

 
$

 
$
80,618

 
$
68,336

 
$
68,336

Federal funds sold and securities purchased under agreements to resell or similar arrangements
45,500

 

 
45,500

 

 

 
45,500

 
46,000

 
46,000

Trading securities
42,522

 
19,897

 
20,052

 
2,573

 

 
42,522

 
74,198

 
74,198

Available-for-sale securities
66,352

 

 
40,512

 
25,840

 

 
66,352

 
77,582

 
77,582

Mortgage loans held for sale
490

 

 
302

 
201

 

 
503

 
311

 
325

Mortgage loans held for investment, net of allowance for loan losses:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
308,850

 

 
38,720

 
230,175

 

 
268,895

 
322,825

 
294,996

Of consolidated trusts
2,633,556

 

 
2,524,627

 
247,410

 

 
2,772,037

 
2,575,485

 
2,652,025

Mortgage loans held for investment
2,942,406

 

 
2,563,347

 
477,585

 

 
3,040,932

 
2,898,310

 
2,947,021

Advances to lenders
6,367

 

 
5,686

 
568

 

 
6,254

 
5,538

 
5,420

Derivative assets at fair value
1,328

 

 
17,957

 
197

 
(16,826
)
 
1,328

 
561

 
561

Guaranty assets and buy-ups
378

 

 

 
729

 

 
729

 
503

 
901

Total financial assets
$
3,185,961

 
$
91,715

 
$
2,702,156

 
$
507,693

 
$
(16,826
)
 
$
3,284,738

 
$
3,171,339

 
$
3,220,344

  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Short-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
$
105,062

 
$

 
$
105,079

 
$

 
$

 
$
105,079

 
$
146,752

 
$
146,782

    Of consolidated trusts
3,806

 

 

 
3,806

 

 
3,806

 
4,973

 
4,973

Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
547,909

 

 
574,091

 
1,087

 

 
575,178

 
585,692

 
613,983

    Of consolidated trusts
2,539,933

 

 
2,678,001

 
19,715

 

 
2,697,716

 
2,452,455

 
2,596,657

Derivative liabilities at fair value
2,033

 

 
26,462

 
167

 
(24,596
)
 
2,033

 
916

 
916

Guaranty obligations
644

 

 

 
3,193

 

 
3,193

 
811

 
3,944

Total financial liabilities
$
3,199,387

 
$

 
$
3,383,633

 
$
27,968

 
$
(24,596
)
 
$
3,387,005

 
$
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 September 30, 2012 and December 31, 2011.
 
 
As of
 
 
 
September 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
 
$
7,840

 
 
 
$
830

 
 
 
$
7,368

 
 
 
$
3,611

 
 
 
$
838

 
 
 
$
3,939

 
Unpaid principal balance
 
7,907

 
 
 
697

 
 
 
7,029

 
 
 
4,122

 
 
 
712

 
 
 
4,012

 
__________
(1) Includes nonaccrual loans with a fair value of $260 million and $195 million as of September 30, 2012 and December 31, 2011, respectively. The difference between unpaid principal balance and the fair value of these nonaccrual loans as of September 30, 2012 and December 31, 2011 is $222 million and $232 million, respectively. Includes loans that are 90 days or more past due with a fair value of $378 million and $310 million as of September 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 September 30, 2012 and December 31, 2011 is $238 million and $262 million, respectively.
(2) Includes interest-only debt instruments with no unpaid principal balance and a fair value of $101 million and $115 million as of September 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 nine months ended September 30, 2012 and 2011.
 
For the Three Months Ended September 30,
 
2012
 
2011
 
Loans
 
Long-Term Debt
 
Total Gains (Losses)
 
Loans
 
Long-Term Debt
 
Total Gains (Losses)
 
(Dollars in millions)
Changes in instrument-specific credit risk
$
12

 
 
$
(7
)
 
 
 
$
5

 
 
$
27

 
 
$
8

 
 
 
$
35

Other changes in fair value
23

 
 
(71
)
 
 
 
(48
)
 
 
(30
)
 
 
(79
)
 
 
 
(109
)
Fair value gains (losses), net
$
35

 
 
$
(78
)
 
 
 
$
(43
)
 
 
$
(3
)
 
 
$
(71
)
 
 
 
$
(74
)
 
For the Nine Months Ended September 30,
 
2012
 
2011
 
Loans
 
Long-Term Debt
 
Total Gains (Losses)
 
Loans
 
Long-Term Debt
 
Total Gains (Losses)
 
(Dollars in millions)
Changes in instrument-specific credit risk
$
89

 
 
$
(9
)
 
 
 
$
80

 
 
$
(184
)
 
 
$
12

 
 
 
$
(172
)
Other changes in fair value
(80
)
 
 
(28
)
 
 
 
(108
)
 
 
111

 
 
(72
)
 
 
 
39

Fair value gains (losses), net
$
9

 
 
$
(37
)
 
 
 
$
(28
)
 
 
$
(73
)
 
 
$
(60
)
 
 
 
$
(133
)