Fannie Mae 2009 Annual Report Download - page 334
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The following table displays, by type of derivative instrument, the fair value gains and losses, net on our
derivatives for the years ended December 31, 2009, 2008 and 2007.
2009 2008 2007
For the Year Ended December 31,
(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 15,012 $(64,764) $(12,065)
Receive-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (11,737) 44,553 5,928
Basis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96 (102) 91
Foreign currency
(1)
........................................ 166 (130) 111
Swaptions:
Pay-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 453 (666) (196)
Receive-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (8,706) 6,153 1,956
Interest rate caps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 (1) 5
Other
(2)(3)
................................................ 9 (6) 12
Total risk management derivatives fair value losses, net . . . . . . . . . . . . . . (4,696) (14,963) (4,158)
Mortgage commitment derivatives fair value gains (losses), net. . . . . . . . . . . (1,654) (453) 45
Total derivatives fair value losses, net . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (6,350) $(15,416) $ (4,113)
(1)
Includes the effect of net contractual interest income of approximately $38 million and $9 million for 2009 and 2008,
respectively, and net contractual interest expense of approximately $59 million for 2007.
(2)
Includes MBS options, swap credit enhancements and mortgage insurance contracts.
(3)
Includes losses of approximately $104 million for 2008, which resulted from the termination of our derivative
contracts with a subsidiary of Lehman Brothers.
F-76
FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)