Fannie Mae 2007 Annual Report Download - page 120

Table 30 presents, by derivative instrument type, the estimated fair value of derivatives recorded in our
consolidated balance sheets and the related outstanding notional amounts as of December 31, 2007 and 2006.
Table 30: Notional and Fair Value of Derivatives
Notional
Amount
Estimated
Fair
Value
(1)
Notional
Amount
Estimated
Fair
Value
(1)
2007 2006
As of December 31,
(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $377,738 $(14,357) $268,068 $(1,447)
Receive-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 285,885 6,390 247,084 (615)
Basis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,001 (21) 950 (2)
Foreign currency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,559 353 4,551 371
Swaptions:
Pay-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85,730 849 95,350 1,102
Receive-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124,651 5,877 114,921 3,721
Interest rate caps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,250 8 14,000 124
Other
(2)
............................................ 650 71 469 65
Risk management derivatives excluding accrued interest . . . . . . . . . . . . 886,464 (830) 745,393 3,319
Accrued interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 221 — 406
Total risk management derivatives . . . . . . . . . . . . . . . . . . . . . . . . $886,464 $ (609) $745,393 $ 3,725
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans. . . . . . . . . . . . . . . . $ 1,895 $ 6 $ 1,741 $ (6)
Forward contracts to purchase mortgage-related securities . . . . . . . . . 25,728 91 16,556 (25)
Forward contracts to sell mortgage-related securities . . . . . . . . . . . . . 27,743 (108) 21,631 53
Total mortgage commitment derivatives . . . . . . . . . . . . . . . . . . . . $ 55,366 $ (11) $ 39,928 $ 22
(1)
Represents the net amount of “Derivative assets at fair value” and “Derivative liabilities at fair value” in the
consolidated balance sheets.
(2)
Includes MBS options, swap credit enhancements and mortgage insurance contracts that are accounted for as
derivatives. These mortgage insurance contracts have payment provisions that are not based on a notional amount.
Table 31 provides an analysis of changes in the estimated fair value of the net derivative asset (liability)
amounts, excluding mortgage commitments, recorded in our consolidated balance sheets between 2007 and
2006. As indicated in Table 31, the net fair value of our risk management derivatives, excluding mortgage
commitments, shifted to a net derivative liability of $609 million as of December 31, 2007, from a net
derivative asset of $3.7 billion as of December 31, 2006.
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