Fannie Mae 2004 Annual Report Download - page 168

Table 37: Activity and Maturity Data for Risk Management Derivatives
(1)
Pay-Fixed
(2)
Receive-
Fixed
(3)
Basis
Foreign
Currency Pay-Fixed
Receive-
Fixed
Interest
Rate Caps Other
(4)
Total
Interest Rate Swaps Interest Rate Swaptions
(Dollars in millions)
Notional balance as of
December 31, 2002 . . $ 176,712 $ 50,870 $ 25,425 $ 3,932 $129,425 $146,200 $122,419 $ 204 $ 655,187
Additions . . . . . . . . . 269,190 228,551 37,290 5,760 75,705 63,101 63,350 6,731 749,678
Maturities
(5)
. . . . . . . (81,525) (78,192) (30,412) (4,497) (41,150) (68,106) (55,419) (6,556) (365,857)
Notional balance as of
December 31, 2003 . . $ 364,377 $ 201,229 $ 32,303 $ 5,195 $163,980 $141,195 $130,350 $ 379 $1,039,008
Additions . . . . . . . . . 138,442 207,269 33,700 13,650 31,575 49,145 17,800 5,243 496,824
Maturities
(5)
. . . . . . . (360,802) (327,305) (33,730) (7,392) (24,850) (42,770) (44,000) (4,889) (845,738)
Notional balance as of
December 31, 2004 . . $ 142,017 $ 81,193 $ 32,273 $11,453 $170,705 $147,570 $104,150 $ 733 $ 690,094
Future maturities of
notional amounts:
(6)
Less than 1 year . . . . . $ 5,105 $ 51,195 $ 29,250 $ 6,641 $ 18,225 $ 9,975 $ 71,150 $ 512 $ 192,053
1 year to 5 years . . . . 18,215 25,870 2,923 3,906 49,950 19,425 32,250 11 152,550
5 years to 10 years . . . 80,335 2,538 — 92 92,680 100,120 750 210 276,725
Over 10 years . . . . . . 38,362 1,590 100 814 9,850 18,050 — — 68,766
Total . . . . . . . . . . . . $ 142,017 $ 81,193 $ 32,273 $11,453 $170,705 $147,570 $104,150 $ 733 $ 690,094
Weighted-average
interest rate as of
December 31, 2004:
Pay rate . . . . . . . . . . 5.23% 2.13% 2.14% — 5.73% — — —
Receive rate . . . . . . . 2.39 2.84 2.32 — — 5.16% — —
Other . . . . . . . . . . . . — — — — — — 2.30% —
Weighted-average
interest rate as of
December 31, 2003:
Pay rate . . . . . . . . . . 4.72% 1.13% 1.04% — 5.55% — — —
Receive rate . . . . . . . 1.31 3.24 1.05 — — 5.41% — —
Other . . . . . . . . . . . . — — — — — — 2.25% —
(1)
Excludes mortgage commitments accounted for as derivatives. Dollars represent notional amounts that indicate only the
amount on which payments are being calculated and do not represent the amount at risk of loss.
(2)
Notional amounts include callable swaps of $13.8 billion as of December 31, 2004.
(3)
Notional amounts include putable swaps of $22.8 billion as of December 31, 2004.
(4)
Includes MBS options, forward starting debt, forward purchase and sale agreements, swap credit enhancements and
exchange-traded futures.
(5)
Includes matured, called, exercised, assigned and terminated amounts. Also includes changes due to exchange rate
movements.
(6)
Based on contractual maturities.
During 2003, we increased the outstanding notional balance of derivatives by $383.8 billion to $1.0 trillion as
of December 31, 2003, primarily as a result of significant rebalancing activity during the year in response to
the effects of extreme interest rate volatility and our adoption of tighter risk tolerances. With record low
interest rates during the early part of 2003 triggering record prepayments, we reduced our duration gap by
actively rebalancing our portfolio, primarily by terminating existing interest rate swaps and entering into new
receive-fixed interest rate swaps. As interest rates increased during the second half of the year and expected
prepayments slowed, we began to extend the duration of our liabilities primarily through the use of pay-fixed
interest rate swaps. In addition, as our portfolio expanded, we purchased more caps and swaptions to help
offset the increased prepayment option risk resulting from our new mortgage purchases. During 2004, we
decreased the outstanding notional balance of our risk management derivatives by $348.9 billion to
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