Fannie Mae 2008 Annual Report Download - page 144

Table 30: Changes in Risk Management Derivative Assets (Liabilities) at Fair Value, Net
(1)
2008
(Dollars in
millions)
Net derivative liability as of December 31, 2007
(2)
........................................... $ (1,321)
Effect of cash payments:
Fair value at inception of contracts entered into during the period
(3)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,137
Fair value at date of termination of contracts settled during the period
(4)
. . . . . . . . . . . . . . . . . . . . . . . . . . (1,248)
Net collateral posted . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,002
Periodic net cash contractual interest payments (receipts)
(5)
................................... 632
Total cash payments (receipts) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,523
Income statement impact of recognized amounts:
Periodic net contractual interest income (expense) accruals on interest rate swaps . . . . . . . . . . . . . . . . . . . (1,576)
Net change in fair value of terminated derivative contracts from end of prior year to date of termination
(6)
. . (309)
Net change in fair value of outstanding derivative contracts, including derivative contracts entered into
during the period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (13,078)
Derivatives fair value losses, net
(7)
.................................................. (14,963)
Net derivative liability as of December 31, 2008
(2)
........................................... $ (1,761)
(1)
Excludes mortgage commitments.
(2)
Reflects the net amount of “Derivative assets at fair value” and “Derivative liabilities at fair value” recorded in our
consolidated balance sheets, excluding mortgage commitments, and reflects our adoption of FASB Staff Position
No. 39-1, Amendment of FASB Interpretation No. 39.
(3)
Cash payments made to purchase derivative option contracts (purchased options premiums) increase the derivative
asset recorded in the consolidated balance sheets. Primarily includes upfront premiums paid or received on option
contracts. Also includes upfront cash paid or received on other derivative contracts.
(4)
Cash payments to terminate and/or sell derivative contracts reduce the derivative liability recorded in the consolidated
balance sheets. Primarily represents cash paid (received) upon termination of derivative contracts.
(5)
We accrue interest on our interest rate swap contracts based on the contractual terms and recognize the accrual as an
increase to the net derivative liability recorded in the consolidated balance sheets. The corresponding offsetting amount
is recorded as an expense and included as a component of derivatives fair value losses in the consolidated statements
of operations. Periodic interest payments on our interest rate swap contracts reduce the derivative liability.
(6)
Includes a loss of approximately $104 million related to the termination of outstanding derivatives contracts with
Lehman Brothers Special Financing Inc., as a result of the bankruptcy of its parent-guarantor, Lehman Brothers
Holdings Inc.
(7)
Reflects net derivatives fair value losses recognized in the consolidated statements of operations, excluding mortgage
commitments.
For additional information on our derivative instruments, see “Consolidated Results of Operations—Fair Value
Gains (Losses), Net” “Risk Management—Interest Rate Risk Management and Other Market Risks” and
“Notes to Consolidated Financial Statements—Note 11, Derivative Instruments and Hedging Activities.”
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