Fannie Mae 2010 Annual Report Download - page 338
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Volume and Activity of our Derivatives
Risk Management Derivatives
The following table displays, by derivative instrument type, our risk management derivative activity for the
years ended December 31, 2010 and 2009.
Pay-
Fixed
Receive-
Fixed Basis
Foreign
Currency
(1)
Pay-
Fixed
Receive-
Fixed
Interest
Rate Caps Futures Other
(2)
Total
Interest Rate Swaps
Interest Rate
Swaptions
For the Year Ended December 31, 2010
(Dollars in millions)
Beginning notional
balance . . . . . . . . . . $ 382,600 $ 275,417 $ 3,225 $1,537 $ 99,300 $ 75,380 $7,000 $ — $748 $ 845,207
Additions . . . . . . . . . 212,214 250,417 55 636 51,700 51,025 — 598 — 566,645
Terminations
(3)
. . . . . (317,587) (301,657) (2,795) (613) (53,850) (47,790) — (353) (59) (724,704)
Ending notional
balance . . . . . . . . . . $ 277,227 $ 224,177 $ 485 $1,560 $ 97,150 $ 78,615 $7,000 $ 245 $689 $ 687,148
Pay-
Fixed
Receive-
Fixed Basis
Foreign
Currency
(1)
Pay-
Fixed
Receive-
Fixed
Interest
Rate Caps Futures Other
(2)
Total
Interest Rate Swaps
Interest Rate
Swaptions
For the Year Ended December 31, 2009
(Dollars in millions)
Beginning notional
balance . . . . . . . . . $ 546,916 $ 451,081 $ 24,560 $1,652 $ 79,500 $ 93,560 $ 500 $— $827 $1,198,596
Additions . . . . . . . 297,379 279,854 2,765 577 32,825 19,175 6,500 — 13 639,088
Terminations
(3)
. . . . (461,695) (455,518) (24,100) (692) (13,025) (37,355) — — (92) (992,477)
Ending notional
balance . . . . . . . . . $ 382,600 $ 275,417 $ 3,225 $1,537 $ 99,300 $ 75,380 $7,000 $— $748 $ 845,207
(1)
Exchange rate adjustments to foreign currency swaps existing at both the beginning and the end of the period are
included in terminations. Exchange rate adjustments to foreign currency swaps that are added or terminated during the
period are reflected in the respective categories.
(2)
Includes swap credit enhancements and mortgage insurance contracts.
(3)
Includes matured, called, exercised, assigned and terminated amounts.
F-80
FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)