Fannie Mae 2009 Annual Report Download - page 124

Table 27: Changes in Risk Management Derivative Assets (Liabilities) at Fair Value, Net
(1)
2009
(Dollars in millions)
Net derivative liability as of December 31, 2008
(2)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $(1,761)
Effect of cash payments:
Fair value at inception of contracts entered into during the period
(3)
. . . . . . . . . . . . . . . . . . . . 1,955
Fair value at date of termination of contracts settled during the period
(4)
. . . . . . . . . . . . . . . . . 7,407
Net collateral posted . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (6,886)
Periodic net cash contractual interest payments
(5)
................................. 3,641
Total cash payments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,117
Statement of operations impact of recognized amounts:
Net contractual interest expense accruals on interest rate swaps . . . . . . . . . . . . . . . . . . . . . . . (3,359)
Net change in fair value during the period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,337)
Derivatives fair value losses, net
(6)
.......................................... (4,696)
Net derivative liability as of December 31, 2009
(2)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (340)
(1)
Excludes mortgage commitments.
(2)
Reflects the net amount of “Derivative liabilities at fair value” recorded in our consolidated balance sheets, excluding
mortgage commitments.
(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 on option contracts. Also
includes upfront cash paid on other derivative contracts.
(4)
Cash payments made 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)
Interest is accrued on interest rate swap contracts based on the contractual terms. Accrued interest income increases
our derivative asset and accrued interest expense increases our derivative liability. The offsetting interest income and
expense are included as components of derivatives fair value gains (losses), net in the consolidated statements of
operations. Net periodic interest receipts reduce the derivative asset and net periodic interest payments reduce the
derivative liability.
(6)
Reflects net derivatives fair value losses, excluding mortgage commitments, recognized in the consolidated statements
of operations.
For additional information on our derivative instruments, see “Consolidated Results of Operations—Fair Value
Gains (Losses), Net,” “Risk Management—Market Risk Management, Including Interest Rate Risk
Management” and “Note 10, Derivative Instruments and Hedging Activities.”
SUPPLEMENTAL NON-GAAP INFORMATION—FAIR VALUE BALANCE SHEETS
As part of our disclosure requirements with FHFA, we disclose on a quarterly basis a supplemental non-GAAP
fair value balance sheet, which reflects our assets and liabilities at estimated fair value. “Table 29,
Supplemental Non-GAAP Consolidated Fair Value Balance Sheets,” which we provide at the end of this
section, presents our non-GAAP fair value balance sheets as of December 31, 2009 and 2008, and the non-
GAAP estimated fair value of our net assets.
The fair value of our net assets is not a measure defined within GAAP and may not be comparable to
similarly titled measures reported by other companies. It is not intended as a substitute for Fannie Mae’s
stockholders’ deficit or for the total deficit reported in our GAAP consolidated financial statements, which
represents the net worth measure that is used to determine whether it is necessary to request additional funds
from Treasury under the senior preferred stock purchase agreement. Instead, the fair value of our net assets
reflects a point in time estimate of the fair value of our existing assets and liabilities. The estimated fair value
of our net assets, which is derived from our non-GAAP fair value balance sheets, is calculated based on the
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