Fannie Mae 2008 Annual Report Download - page 143

Table 29: Notional and Fair Value of Derivatives
Notional
Amount
Estimated
Fair Value
Notional
Amount
Estimated
Fair Value
December 31, 2008 December 31, 2007
As of December 31,
(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 546,916 $(68,379) $377,738 $(14,357)
Receive-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 451,081 42,246 285,885 6,390
Basis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,560 (57) 7,001 (21)
Foreign currency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,652 (12) 2,559 353
Swaptions:
Pay-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79,500 506 85,730 849
Receive-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93,560 13,039 124,651 5,877
Interest rate caps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 500 1 2,250 8
Other
(1)
.......................................... 827 100 650 71
Net collateral payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 11,286 — (712)
Accrued interest receivable (payable), net . . . . . . . . . . . . . . . . . . . . — (491) — 221
Total risk management derivatives . . . . . . . . . . . . . . . . . . . . . . $1,198,596 $ (1,761) $886,464 $ (1,321)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans . . . . . . . . . . . . . . $ 9,256 $ 27 $ 1,895 $ 6
Forward contracts to purchase mortgage-related securities . . . . . . . 25,748 239 25,728 91
Forward contracts to sell mortgage-related securities . . . . . . . . . . . 36,232 (351) 27,743 (108)
Total mortgage commitment derivatives . . . . . . . . . . . . . . . . . . $ 71,236 $ (85) $ 55,366 $ (11)
(1)
Includes MBS options, swap credit enhancements and mortgage insurance contracts that are accounted for as
derivatives. The mortgage insurance contracts have payment provisions that are not based on a notional amount.
We refer to the difference between the derivative assets and derivative liabilities recorded on our consolidated
balance sheets as our net derivative asset or liability. Table 30 provides an analysis of the change in the
estimated fair value of our net derivative liability, excluding mortgage commitments, recorded in our
consolidated balance sheets between December 31, 2007 and December 31, 2008.
As indicated in Table 30, the net fair value of our risk management derivatives, excluding mortgage
commitments, resulted in a net derivative liability of $1.8 billion as of December 31, 2008, compared with a
net derivative liability of $1.3 billion as of December 31, 2007.
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