Fannie Mae 2005 Annual Report Download - page 147

Table 31: 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, 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
Terminations
(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
Additions . . . . . . . . . 141,775 156,475 1,300 9,147 14,750 25,250 — 7,409 356,106
Terminations
(5)
. . . . . (95,005) (113,761) (29,573) (14,955) (36,050) (34,225) (71,150) (7,366) (402,085)
Notional balance as of
December 31, 2005 . . $ 188,787 $ 123,907 $ 4,000 $ 5,645 $149,405 $138,595 $ 33,000 $ 776 $ 644,115
Future maturities of
notional amounts:
(6)
Less than 1 year . . . . $ 6,090 $ 10,525 $ 3,800 $ 1,474 $ 21,575 $ 12,975 $ 19,000 $ 347 $ 75,786
1 year to 5 years . . . . 70,535 80,660 200 3,441 33,600 22,100 13,250 19 223,805
5 years to 10 years . . 76,260 27,557 — — 86,430 85,420 750 410 276,827
Over 10 years . . . . . . 35,902 5,165 — 730 7,800 18,100 — — 67,697
Total . . . . . . . . . . . . $ 188,787 $ 123,907 $ 4,000 $ 5,645 $149,405 $138,595 $ 33,000 $ 776 $ 644,115
Weighted-average
interest rate as of
December 31, 2005:
Pay rate . . . . . . . . . . 5.02% 4.36% 4.04% — 5.94% — — —
Receive rate . . . . . . . 4.37 4.38 4.13 — — 5.03% — —
Other . . . . . . . . . . . . — — — — — — 2.97% —
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% —
(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 swaps callable by Fannie Mae of $14.3 billion as of December 31, 2005 and $13.8 billion as
of December 31, 2004.
(3)
Notional amounts include swaps callable by derivatives counterparties of $3.6 billion as of December 31, 2005 and
$22.8 billion as of December 31, 2004.
(4)
Includes MBS options, forward starting debt and swap credit enhancements.
(5)
Includes matured, called, exercised, assigned and terminated amounts. Also includes changes due to foreign exchange
rate movements.
(6)
Based on contractual maturities.
During 2005, we decreased the outstanding notional balance of our risk management derivatives by $46.0 bil-
lion to $644.1 billion as of December 31, 2005. The key driver of this decline was the termination of
derivatives in connection with the elimination of debt that was used to fund mortgage assets that we sold.
During 2004, we decreased the outstanding notional balance of our risk management derivatives by $348.9 bil-
lion to $690.1 billion as of December 31, 2004, primarily as a result of terminating pay-fixed and receive-
fixed swaps that economically offset one another. We periodically review our derivatives portfolio and
terminate offsetting derivative positions as market conditions permit.
The outstanding notional balance of our risk management derivatives increased to $745.7 billion as of
December 31, 2006. The $101.6 billion increase during 2006 reflects higher balances of both pay-fixed and
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