Fannie Mae 2006 Annual Report Download - page 282

The following table displays the outstanding notional balances and fair value of our derivative instruments,
excluding mortgage commitment derivatives, as of December 31, 2006 and 2005.
Notional
Fair
Value
(1)
Notional
Fair
Value
(1)
2006 2005
As of December 31,
(Dollars in millions)
Swaps:
Pay-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $268,068 $(1,447) $188,787 $(2,954)
Receive-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 247,084 (615) 123,907 (1,301)
Foreign currency. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,551 371 5,645 200
Basis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 950 (2) 4,000 (2)
Swaptions:
Receive-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114,921 3,721 138,595 6,202
Pay-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95,350 1,102 149,405 2,270
Interest rate caps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,000 124 33,000 436
Other
(2)
.......................................... 469 65 776 69
745,393 3,319 644,115 4,920
Accrued interest receivable (payable) . . . . . . . . . . . . . . . . . . . . . — 406 — (548)
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $745,393 $ 3,725 $644,115 $ 4,372
(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
derivatives and certain 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 of our mortgage commitment derivatives as of December 31, 2006 and 2005.
Notional
Fair
Value
(1)
Notional
Fair
Value
(1)
2006 2005
As of December 31,
(Dollars in millions)
Mortgage commitments to purchase whole loans . . . . . . . . . . . . . . . $ 1,741 $ (6) $ 2,081 $ 6
Forward contracts to purchase mortgage-related securities . . . . . . . . . 16,556 (25) 17,993 62
Forward contracts to sell mortgage-related securities . . . . . . . . . . . . . 21,631 53 19,120 (66)
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $39,928 $ 22 $39,194 $ 2
(1)
Represents the net of “Derivative assets at fair value” and “Derivative liabilities at fair value” for mortgage
commitment derivatives.
F-51
FANNIE MAE
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)