Fannie Mae 2010 Annual Report Download - page 131

gain or loss, less any cash collateral paid or received, and report these amounts in our consolidated balance
sheets as either assets or liabilities.
Our derivative assets and liabilities consist of these risk management derivatives and our mortgage
commitments. We refer to the difference between the derivative assets and derivative liabilities recorded in our
consolidated balance sheets as our net derivative asset or liability. We present, by derivative instrument type,
the estimated fair value of derivatives recorded in our consolidated balance sheets and the related outstanding
notional amounts as of December 31, 2010 and 2009 in “Note 10, Derivative Instruments and Hedging
Activities.” Table 28 provides an analysis of the factors driving the change during 2010 in the estimated fair
value of our net derivative liability related to our risk management derivatives recorded in our consolidated
balance sheets.
Table 28: Changes in Risk Management Derivative Assets (Liabilities) at Fair Value, Net
2010
(Dollars in millions)
Net risk management derivative liability as of December 31, 2009 . . . . . . . . . . . . . . . . . . . . . . $ (340)
Effect of cash payments:
Fair value at inception of contracts entered into during the period
(1)
. . . . . . . . . . . . . . . . . . . (2,107)
Fair value at date of termination of contracts settled during the period
(2)
. . . . . . . . . . . . . . . . 2,451
Net collateral received . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,595)
Periodic net cash contractual interest payments
(3)
................................ 2,609
Total cash payments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,358
Statement of operations impact of recognized amounts:
Net contractual interest expense accruals on interest rate swaps . . . . . . . . . . . . . . . . . . . . . . (2,895)
Net change in fair value during the period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,088
Risk management derivatives fair value losses, net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,807)
Net risk management derivative liability as of December 31, 2010 . . . . . . . . . . . . . . . . . . . . . . $ (789)
(1)
Cash receipts from sale of derivative option contracts increase the derivative liability recorded in our consolidated
balance sheets. Cash payments made to purchase derivative option contracts (purchased option premiums) increase the
derivative asset recorded in our consolidated balance sheets.
(2)
Cash payments made to terminate derivative contracts reduce the derivative liability recorded in our consolidated
balance sheets. Primarily represents cash paid (received) upon termination of derivative contracts.
(3)
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 our consolidated statements of
operations. Net periodic interest receipts reduce the derivative asset and net periodic interest payments reduce the
derivative liability.
For additional information on our derivative instruments, see “Consolidated Results of Operations—Fair Value
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 supplemental non-GAAP
consolidated fair value balance sheets, which reflect our assets and liabilities at estimated fair value.
Table 29 summarizes changes in our stockholders’ deficit reported in our GAAP consolidated balance sheets
and in the fair value of our net assets in our non-GAAP consolidated fair value balance sheets for the year
ended December 31, 2010. The estimated fair value of our net assets is calculated based on the difference
between the fair value of our assets and the fair value of our liabilities, adjusted for noncontrolling interests.
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