Fannie Mae 2010 Annual Report Download - page 337

violation of these provisions, and the counterparties to the derivative instruments could request immediate
payment or demand immediate collateralization on derivative instruments in net liability positions. The
aggregate fair value of all derivatives with credit-risk-related contingent features that were in a net liability
position as of December 31, 2010 was $4.4 billion for which we posted collateral of $3.5 billion in the normal
course of business. If the credit-risk-related contingency features underlying these agreements were triggered
as of December 31, 2010, we would be required to post an additional $891 million of collateral to our
counterparties.
The following table displays, by type of derivative instrument, the fair value gains and losses, net on our
derivatives for the years ended December 31, 2010, 2009 and 2008.
2010 2009 2008
For the Year Ended December 31,
(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $(17,573) $ 15,012 $(64,764)
Receive-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,382 (11,737) 44,553
Basis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 96 (102)
Foreign currency
(1)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157 166 (130)
Swaptions:
Pay-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,026) 453 (666)
Receive-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,327 (8,706) 6,153
Interest rate caps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (104) 11 (1)
Futures.................................................. 2 — —
Other
(2)
................................................. 11 9 (6)
Total risk management derivatives fair value losses, net . . . . . . . . . . . . . . (1,807) (4,696) (14,963)
Mortgage commitment derivatives fair value losses, net . . . . . . . . . . . . . . . . (1,193) (1,654) (453)
Total derivatives fair value losses, net . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (3,000) $ (6,350) $(15,416)
(1)
Includes the effect of net contractual interest income of approximately $47 million, $38 million and $9 million for
2010, 2009 and 2008, respectively.
(2)
Includes swap credit enhancements and mortgage insurance contracts.
F-79
FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)