Fannie Mae 2005 Annual Report Download - page 280

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The following table displays the outstanding notional balances and fair value of our derivative instruments,
excluding mortgage commitment derivatives, as of December 31, 2005 and 2004.
Notional
Fair
Value
(1)
Notional
Fair
Value
(1)
2005 2004
As of December 31,
(Dollars in millions)
Swaps:
Pay-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $188,787 $(2,954) $142,017 $(6,687)
Receive-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123,907 (1,301) 81,193 479
Basis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,000 (2) 32,273 7
Foreign currency. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,645 200 11,453 686
Swaptions:
Pay-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 149,405 2,270 170,705 3,370
Receive-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138,595 6,202 147,570 7,711
Interest rate caps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,000 436 104,150 638
Other
(2)
.......................................... 776 69 733 84
644,115 4,920 690,094 6,288
Accrued interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (548) — (856)
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $644,115 $ 4,372 $690,094 $ 5,432
(1)
Represents the net of “Derivative assets at fair value “and “Derivative liabilities at fair value” for derivatives excluding
mortgage commitment derivatives.
(2)
Includes MBS options, swap credit enhancements and mortgage insurance contracts that are accounted for as deriva-
tives and forward starting debt. The mortgage insurance contracts have payment provisions that are not based on a
notional amount.
Mortgage Commitment Derivatives
We enter into forward purchase and sale commitments that lock in the future delivery of mortgage loans and
mortgage-related securities at a fixed price or yield. Certain commitments to purchase mortgage loans and
purchase or sell mortgage-related securities meet the criteria of a derivative and these commitments are
recorded in the consolidated balance sheets at fair value as either “Derivative assets at fair value” or
“Derivative liabilities at fair value.” The following table displays the outstanding notional balance and fair
value for our mortgage commitment derivatives as of December 31, 2005 and 2004.
Notional
Fair
Value
(1)
Notional
Fair
Value
(1)
2005 2004
As of December 31,
(Dollars in millions)
Mortgage commitments to purchase whole loans . . . . . . . . . . . . . . . $ 2,081 $ 6 $ 2,118 $ 4
Forward contracts to purchase mortgage-related securities . . . . . . . . . 17,993 62 20,059 43
Forward contracts to sell mortgage-related securities. . . . . . . . . . . . . 19,120 (66) 18,423 (35)
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $39,194 $ 2 $40,600 $ 12
(1)
Represents the net of “Derivative assets at fair value” and “Derivative liabilities at fair value” for mortgage commit-
ment derivatives.
F-51
FANNIE MAE
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)