Fannie Mae 2005 Annual Report Download - page 92

Table 10 provides additional detail on the derivatives fair value gains and losses recognized in our consolidated
statements of income for 2005, 2004 and 2003 by type of derivative instrument. The 5-year interest rate swap
rate, which is shown below in Table 10 as of the end of each quarter for the respective years, is a key
reference interest rate affecting the estimated fair value of these derivatives.
Table 10: Derivatives Fair Value Gains (Losses), Net
2005 2004 2003
For the Year Ended December 31,
(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 549 $(10,640) $(4,269)
Receive-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,118) 3,917 1,849
Basis swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2) 51 (1)
Foreign currency swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (673) 379 695
Swaptions:
Pay-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,393) (3,841) 387
Receive-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,071) (1,913) (3,047)
Interest rate caps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 283 (140) (339)
Other
(1)
................................................... 8 (22) (28)
Risk management derivatives fair value losses, net . . . . . . . . . . . . . . . . . . . . . (4,417) (12,209) (4,753)
Mortgage commitment derivatives fair value gains (losses), net
(2)
. . . . . . . . . . . 221 (47) (1,536)
Total derivatives fair value losses, net . . . . . . . . . . . . . . . . . . . . . . . . . . . . $(4,196) $(12,256) $(6,289)
2005 2004 2003
5-year swap rate:
Quarter ended March 31 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.63% 3.17% 3.18%
Quarter ended June 30 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.15 4.30 2.76
Quarter ended September 30 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.66 3.81 3.24
Quarter ended December 31 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.88 4.02 3.64
(1)
Includes MBS options, forward starting debt, forward purchase and sale agreements, swap credit enhancements, mort-
gage insurance contracts and exchange-traded futures.
(2)
The subsequent recognition in our consolidated statements of income associated with cost basis adjustments that we
record upon the settlement of mortgage commitments accounted for as derivatives resulted in expense of approximately
$870 million, $541 million and $883 million in 2005, 2004 and 2003, respectively. These amounts are reflected in our
consolidated statements of income as a component of either “Net interest income” or “Investment losses, net.”
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