Fannie Mae 2010 Annual Report Download - page 190

Table 52: Activity and Maturity Data for Risk Management Derivatives
(1)
Pay-
Fixed
Receive-
Fixed
(2)
Basis
(3)
Foreign
Currency
(4)
Pay-
Fixed
Receive-
Fixed
Interest
Rate Caps Futures Other
(5)
Total
Interest Rate Swaps
Interest Rate
Swaptions
(Dollars in millions)
Notional balance as of
December 31, 2008 . . . . . $ 546,916 $ 451,081 $ 24,560 $1,652 $ 79,500 $ 93,560 $ 500 $ — $827 $1,198,596
Additions . ........... 297,379 279,854 2,765 577 32,825 19,175 6,500 — 13 639,088
Terminations
(6)
........ (461,695) (455,518) (24,100) (692) (13,025) (37,355) — — (92) (992,477)
Notional balance as of
December 31, 2009 . . . . . $ 382,600 $ 275,417 $ 3,225 $1,537 $ 99,300 $ 75,380 $7,000 $ — $748 $ 845,207
Additions . ........... 212,214 250,417 55 636 51,700 51,025 — 598 — 566,645
Terminations
(6)
........ (317,587) (301,657) (2,795) (613) (53,850) (47,790) — (353) (59) (724,704)
Notional balance as of
December 31, 2010 . . . . . $ 277,227 $ 224,177 $ 485 $1,560 $ 97,150 $ 78,615 $7,000 $ 245 $689 $ 687,148
Future maturities of notional
amounts:
(7)
Less than 1 year ....... $ 70,656 $ 14,200 $ 50 $ 386 $ 20,750 $ — $ — $ 125 $ 75 $ 106,242
1 to less than 5 years . . . . 90,788 168,000 35 — 35,300 4,500 7,000 120 593 306,336
5 to less than 10 years. . . . 96,400 29,632 100 511 10,200 20,970 — — 21 157,834
10 years and over ....... 19,383 12,345 300 663 30,900 53,145 — — — 116,736
Total . . ........... $277,227 $ 224,177 $ 485 $1,560 $ 97,150 $ 78,615 $7,000 $ 245 $689 $ 687,148
Weighted-average interest rate
as of December 31, 2010:
Pay rate . . ........... 2.84% 0.29% 0.09% — 5.14% — — — —
Receive rate . . . ....... 0.28% 2.27% 4.61% — — 4.15% 3.58% — —
Weighted-average interest rate
as of December 31, 2009:
Pay rate . . ........... 3.46% 0.26% 0.05% — 5.46% — — — —
Receive rate . . . ....... 0.26% 3.47% 1.59% — — 4.45% 3.58% — —
(1)
Dollars represent notional amounts that indicate only the amount on which payments are being calculated and do not
represent the amount at risk of loss.
(2)
Notional amounts include swaps callable by Fannie Mae of $394 million, $406 million and $418 million as of
December 31, 2010, 2009 and 2008, respectively. The notional amounts of swaps callable by derivatives counterparties
were $3.2 billion and $10.4 billion as of December 31, 2010 and 2008, respectively. There were no swaps callable by
derivatives counterparties as of December 31, 2009.
(3)
Notional amounts include swaps callable by derivatives counterparties of $50 million, $610 million and $925 million
as of December 31, 2010, 2009 and 2008, respectively.
(4)
Exchange rate adjustments to foreign currency swaps existing at both the beginning and the end of the period are
included in terminations. Exchange rate adjustments to foreign currency swaps that are added or terminated during the
period are reflected in the respective categories.
(5)
Includes swap credit enhancements and mortgage insurance contracts.
(6)
Includes matured, called, exercised, assigned and terminated amounts.
(7)
Amounts reported are based on contractual maturities. Some of these amounts represent swaps that are callable by
Fannie Mae or by a derivative counterparty, in which case the notional amount would cease to be outstanding prior to
maturity if the call option were exercised. See notes (2) and (3) for information on notional amounts that are callable.
Measurement of Interest Rate Risk
Our interest rate risk measurement framework is based on the fair value of our assets, liabilities and derivative
instruments and the sensitivity of these values to changes in market factors. Estimating the impact of
prepayment risk is critical in managing interest rate risk. We use prepayment models to determine the
estimated duration and convexity of our mortgage assets and various quantitative methods for measuring our
interest rate exposure. Because no single method can reflect all aspects of the interest rate risk inherent in our
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