Fannie Mae 2006 Annual Report Download - page 159

Table 44: Activity and Maturity Data for Risk Management Derivatives
(1)
Pay-Fixed
(2)
Receive-
Fixed
(3)
Basis
(4)
Foreign
Currency Pay-Fixed
Receive-
Fixed
Interest
Rate Caps Other
(5)
Total
Interest Rate Swaps
Interest Rate
Swaptions
(Dollars in millions)
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
(6)
........ (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
Additions ........... 132,411 176,870 3,350 3,870 783 255 — 2,852 320,391
Terminations
(6)
........ (53,130) (53,693) (6,400) (4,964) (54,838) (23,929) (19,000) (3,159) (219,113)
Notional balance as of
December 31, 2006 ..... $268,068 $ 247,084 $ 950 $ 4,551 $ 95,350 $114,921 $ 14,000 $ 469 $ 745,393
Future maturities of notional
amounts:
(7)
Less than 1 year ....... $15,950 $ 36,430 $ 200 $ 2,390 $ 2,000 $ 7,300 $ 11,750 $ 40 $ 76,060
1 year to 5 years ....... 107,981 149,789 — 1,329 45,050 20,876 1,500 69 326,594
5 years to 10 years ..... 112,835 53,325 100 — 43,250 74,245 750 360 284,865
Over 10 years ........ 31,302 7,540 650 832 5,050 12,500 — — 57,874
Total ............ $268,068 $ 247,084 $ 950 $ 4,551 $ 95,350 $114,921 $ 14,000 $ 469 $ 745,393
Weighted-average interest
rate as of December 31,
2006:
Pay rate ............ 5.10% 5.35% 5.29% — 6.18% — — —
Receive rate ......... 5.36% 5.01% 6.58% — — 4.92% — —
Other .............. — — — — — — 3.55% —
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% —
(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 $10.8 billion and $14.3 billion as of December 31, 2006
and 2005, respectively.
(3)
Notional amounts include swaps callable by derivatives counterparties of $6.7 billion and $3.6 billion as of
December 31, 2006 and 2005, respectively.
(4)
Notional amounts include swaps callable by derivatives counterparties of $600 million as of December 31, 2006.
(5)
Includes MBS options, forward starting debt and swap credit enhancements.
(6)
Includes matured, called, exercised, assigned and terminated amounts. Also includes changes due to foreign exchange
rate movements.
(7)
Based on contractual maturities.
The outstanding notional balance of our risk management derivatives increased to $745.4 billion as of
December 31, 2006. The $101.3 billion increase during 2006 reflects higher balances of both pay-fixed and
receive-fixed swaps, partially offset by a reduction in interest rate swaptions. In response to the general
increase in interest rates during the first half of 2006, which lengthened the duration of our mortgage assets,
we generally added to our net pay-fixed swap position to extend the duration of our liabilities to more closely
match the expected duration of our assets. During the second half of the year, when interest rates generally
declined and the duration of our mortgage assets shortened, we added to our net receive-fixed swap position to
shorten the duration of our liabilities. During 2005, we decreased the outstanding notional balance of our risk
management derivatives by $46.0 billion 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.
Since December 31, 2006, the outstanding notional balance of our risk management derivatives has increased
by $40.6 billion to $786.0 billion as of June 30, 2007. This increase was mainly due to an increase in our pay-
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