Fannie Mae 2007 Annual Report Download - page 244

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December 31, 2007 and 2006, we enter into foreign currency swaps to effectively convert our foreign-
denominated debt into U.S. dollars.
The following table displays the outstanding notional balances and the estimated fair value of our risk
management derivative instruments as of December 31, 2007 and 2006.
Notional
Amount
Estimated Fair
Value
Notional
Amount
Estimated Fair
Value
2007 2006
As of December 31,
(Dollars in millions)
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:
Receive-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . 124,651 5,877 114,921 3,721
Pay-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85,730 849 95,350 1,102
Interest rate caps . . . . . . . . . . . . . . . . . . . . . . . . . . 2,250 8 14,000 124
Other
(1)
................................. 650 71 469 65
886,464 (830) 745,393 3,319
Accrued interest receivable . . . . . . . . . . . . . . . . . . . — 221 — 406
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $886,464 $ (609) $745,393 $ 3,725
(1)
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.
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 the
estimated fair value of our mortgage commitment derivatives as of December 31, 2007 and 2006.
Notional
Amount
Estimated
Fair Value
Notional
Amount
Estimated
Fair Value
2007 2006
As of December 31,
(Dollars in millions)
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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $55,366 $ (11) $39,928 $ 22
F-56
FANNIE MAE
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)