Fannie Mae 2013 Annual Report Download - page 155

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The fair value of derivatives in a gain position is included in our consolidated balance sheets in “Other assets.” Table 60
below displays our counterparty credit exposure on outstanding risk management derivative instruments in a gain position as
of December 31, 2013 and 2012. For our OTC derivative transactions, the table displays our exposure by counterparty credit
ratings and number of counterparties. Our counterparty credit exposure to our OTC-cleared derivative transactions is shown
in the “Exchange-Traded/Cleared” column. Also displayed below are the notional amounts outstanding for all risk
management derivatives for the periods indicated.
Table 60: Credit Loss Exposure of Risk Management Derivative Instruments
As of December 31, 2013
Credit Rating(1)
AA+/AA/
AA- A+/A/A- BBB+/ BBB/BBB- Subtotal(2)
Exchange-
Traded/
Cleared(3) Other(4) Total
(Dollars in millions)
Credit loss exposure(5). . . . . . . . . . . . . . . $ 79 $ 1,008 $ — $ 1,087 $ 1,475 $ 28 $ 2,590
Less: Collateral held(6) . . . . . . . . . . . . . . 66 972 — 1,038 1,382 — 2,420
Exposure net of collateral . . . . . . . . . . . $ 13 $ 36 $ — $ 49 $ 93 $ 28 $ 170
Additional information:
Notional amount . . . . . . . . . . . . . . . . $ 25,005 $ 338,905 $ 78,799 $ 442,709 $ 109,740 $ 281 $ 552,730
Number of counterparties(7). . . . . . . . 4 10 2 16
As of December 31, 2012
Credit Rating(1)
AA+/AA/
AA- A+/A/A- BBB+/ BBB/BBB- Subtotal(2)
Exchange-
Traded/
Cleared (3) Other(4) Total
(Dollars in millions)
Credit loss exposure(5) . . . . . . . . . . . . . . . $ — $ 48 $ — $ 48 $ 171 $ 27 $ 246
Less: Collateral held(6) . . . . . . . . . . . . . . . — 48 — 48 163 — 211
Exposure net of collateral . . . . . . . . . . . . $ — $ — $ — $ — $ 8 $ 27 $ 35
Additional information:
Notional amount . . . . . . . . . . . . . . . . . $ 22,703 $ 600,028 $ 40,350 $ 663,081 $ 38,426 $ 447 $ 701,954
Number of counterparties(7) . . . . . . . . 4 11 1 16
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(1) We manage collateral requirements based on the lower credit rating of the legal entity, as issued by S&P and Moody’s. The credit rating
reflects the equivalent S&P rating for any ratings based on Moody’s scale.
(2) We had credit loss exposure to seven counterparties with a notional balance of $227.7 billion as of December 31, 2013 and one
counterparty with a notional balance of $5.9 billion as of December 31, 2012.
(3) Represents contracts entered through an agent on our behalf with derivatives clearing organizations.
(4) Includes mortgage insurance contracts and swap credit enhancements accounted for as derivatives.
(5) Represents the exposure to credit loss on derivative instruments, which we estimate using the fair value of all outstanding derivative
contracts in a gain position. We net derivative gains and losses with the same counterparty where a legal right of offset exists under an
enforceable master netting agreement. This table excludes mortgage commitments accounted for as derivatives.
(6) Represents cash and non-cash collateral posted by our counterparties to us. Does not include collateral held in excess of exposure. We
reduce the value of non-cash collateral in accordance with the counterparty agreements to ensure recovery of any loss through the
disposition of the collateral.
(7) Represents counterparties with which we have an enforceable master netting arrangements.
OTC derivative transactions with our ten largest counterparties accounted for approximately 74% of our total outstanding
notional amount of our total derivative transactions as of December 31, 2013, with each of these counterparties accounting
for between approximately 3% and 14% of that total outstanding notional amount. OTC derivative transactions with our ten
largest counterparties accounted for approximately 90% of our total outstanding notional amount of our total derivative