Fannie Mae 2004 Annual Report Download - page 171

Table 38: Interest Rate Sensitivity of Net Asset Fair Value
Carrying
Value
Estimated
Fair Value $ % $ %
⫺50 Basis Points +100 Basis Points
Effect on Estimated Fair Value
As of December 31, 2004
(Dollars in millions)
Trading financial instruments
(1)
. . . . . . . . . . . . . . . . $ 35,287 $ 35,287 $ 476 1.35% $ (1,417) (4.02)%
Non-trading mortgage assets and consolidated
debt
(2)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 928,104 936,530 9,930 1.06 (28,596) (3.05)
Debt
(2)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (943,017) (958,237) (9,215) 0.96 19,181 (2.00)
Subtotal before derivatives . . . . . . . . . . . . . . . . . 20,374 13,580 1,191 8.77 (10,832) (79.76)
Derivative assets and liabilities, net . . . . . . . . . . . . . 5,444 5,444 (3,150) (57.86) 8,525 156.59
Subtotal after derivatives. . . . . . . . . . . . . . . . . . . 25,818 19,024 (1,959) (10.30) (2,307) (12.13)
Guaranty assets and guaranty obligations, net
(2)
. . . . (1,826) 6,450 (1,499) (23.24) 1,498 23.22
Net market sensitive assets
(2)(3)
. . . . . . . . . . . . . . 23,992 25,474 (3,458) (13.57) (809) (3.18)
Other non-financial assets and liabilities, net
(4)
. . . . . 14,910 14,620 1,210 8.28 283 1.94
Net assets
(5)(6)
. . . . . . . . . . . . . . . . . . . . . . . . . . $ 38,902 $ 40,094 $(2,248) (5.61)% $ (526) (1.31)%
Carrying
Value
Estimated
Fair Value $ % $ %
⫺50 Basis Points +100 Basis Points
Effect on Estimated Fair Value
As of December 31, 2003
(Restated) (Restated)
(Dollars in millions)
Trading financial instruments
(1)
. . . . . . . . . . . . . $ 43,798 $ 43,798 $ 815 1.86% $ (1,965) (4.49)%
Non-trading mortgage assets and consolidated
debt
(2)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 929,435 938,523 14,560 1.55 (33,962) (3.62)
Debt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (954,990) (977,607) (10,123) 1.04 20,542 (2.10)
Subtotal before derivatives . . . . . . . . . . . . . . . 18,243 4,714 5,252 111.41 (15,385) (326.37)
Derivative assets and liabilities, net . . . . . . . . . . . 3,993 3,993 (6,675) (167.17) 14,211 355.90
Subtotal after derivatives . . . . . . . . . . . . . . . . 22,236 8,707 (1,423) (16.34) (1,174) (13.48)
Guaranty assets and guaranty obligations, net
(2)
. . (1,578) 5,702 (800) (14.03) 1,089 19.10
Net market sensitive assets
(2)(3)
. . . . . . . . . . . . 20,658 14,409 (2,223) (15.43) (85) (0.59)
Other non-financial assets and liabilities, net
(4)
. . . 11,610 13,984 788 5.64 37 0.26
Net assets
(5)(6)
. . . . . . . . . . . . . . . . . . . . . . . . $ 32,268 $ 28,393 $ (1,435) (5.05)% $ (48) (0.17)%
(1)
Consists of securities classified in the consolidated balance sheets as trading and carried at fair estimated value.
(2)
Includes a reclassification of consolidated debt with a carrying value of $12.5 billion and estimated fair value of
$12.2 billion as of December 31, 2004, respectively, and a carrying value of $10.0 billion and estimated fair value of
$10.3 billion as of December 31, 2003, respectively. In addition, includes net guaranty asset amount of $500 million
and $425 million as of December 31, 2004 and 2003, respectively, reclassified from securities to guaranty asset,
guaranty obligations to reflect how the risk is managed by the business.
(3)
Includes net financial assets and financial liabilities reported in “Notes to Consolidated Financial Statements—Note 19,
Fair Value of Financial Instruments” and additional market sensitive instruments that consist of master servicing assets,
master servicing liabilities and credit enhancements.
(4)
The sensitivity changes related to other non-financial assets and liabilities represent the tax effect on net assets under
these scenarios and do not include any interest rate sensitivity related to these items.
(5)
The carrying value for net assets equals total stockholders’ equity as reported in the consolidated balance sheets.
(6)
The net asset sensitivities, excluding the sensitivity of the “Guaranty assets and guaranty obligations, net,” net of tax is
(3.2)% for a –50 bp shock and (3.7)% for a +100 bp shock as of December 31, 2004, and (3.2)% for a –50 bp shock
and (2.7)% for a +100 bp shock as of December 31, 2003.
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