Fannie Mae 2011 Annual Report Download - page 311

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Notional and Fair Value Position of our Derivatives
The following table displays the notional amount and estimated fair value of our asset and liability derivative
instruments as of December 31, 2011 and 2010.
As of December 31,
2011 2010
Asset Derivatives Liability Derivatives Asset Derivatives Liability Derivatives
Notional
Amount
Estimated
Fair Value
Notional
Amount
Estimated
Fair Value
Notional
Amount
Estimated
Fair Value
Notional
Amount
Estimated
Fair Value
(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed ................... $ 30,950 $ 102 $155,807 $(17,391) $ 49,085 $ 1,812 $228,142 $(14,115)
Receive-fixed ................ 170,668 8,118 59,027 (93) 172,174 6,493 52,003 (578)
Basis ....................... 382 122 9,240 (44) 435 29 50 —
Foreign currency ............. 581 155 451 (62) 1,274 164 286 (51)
Swaptions:
Pay-fixed ................... 48,600 165 47,750 (194) 66,200 482 30,950 (1,773)
Receive-fixed ................ 33,695 6,371 47,750 (3,238) 48,340 4,992 30,275 (673)
Other(1) 8,214 52 75 — 7,909 99 25 (1)
Total gross risk management
derivatives ................ 293,090 15,085 320,100 (21,022) 345,417 14,071 341,731 (17,191)
Accrued interest receivable
(payable) ................. — 920 — (1,238) — 1,288 — (1,805)
Netting adjustment(2) ........... — (15,829) — 21,898 — (15,175) — 18,023
Total net risk management
derivatives .............. $293,090 $ 176 $320,100 $ (362) $345,417 $ 184 $341,731 $ (973)
Mortgage commitment derivatives:
Mortgage commitments to
purchase whole loans ........ $ 9,710 $ 73 $ 422 $ — $ 2,880 $ 19 $ 4,435 $ (105)
Forward contracts to purchase
mortgage-related securities . . . 32,707 309 2,570 (6) 19,535 123 27,697 (468)
Forward contracts to sell
mortgage-related securities . . . 1,370 3 54,656 (548) 40,761 811 24,562 (169)
Total mortgage commitment
derivatives .............. $ 43,787 $ 385 $ 57,648 $ (554) $ 63,176 $ 953 $ 56,694 $ (742)
Derivatives at fair value ...... $336,877 $ 561 $377,748 $ (916) $408,593 $ 1,137 $398,425 $ (1,715)
(1) Includes interest rate caps, futures, swap credit enhancements and mortgage insurance contracts that we account for as
derivatives. The mortgage insurance contracts have payment provisions that are not based on a notional amount.
(2) The netting adjustment represents the effect of the legal right to offset under legally enforceable master netting
agreements to settle with the same counterparty on a net basis, as well as cash collateral posted and received. Cash
collateral posted was $6.8 billion and $3.5 billion as of December 31, 2011 and 2010, respectively. Cash collateral
received was $779 million and $604 million as of December 31, 2011 and 2010, respectively.
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