Fannie Mae 2013 Annual Report Download - page 273

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-49
We enter into forward purchase and sale commitments that lock in the future delivery of mortgage loans and mortgage-
related securities at a fixed price or yield. Certain commitments to purchase mortgage loans and purchase or sell mortgage-
related securities meet the criteria of a derivative. We typically settle the notional amount of our mortgage commitments that
are accounted for as derivatives.
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, 2013 and 2012.
December 31, 2013 December 31, 2012
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 . . . . . . . . . . . . . . . . . . . $ 68,637 $ 5,378 $ 93,428 $ (4,759) $ 19,450 $ 270 $ 239,017 $ (18,237)
Receive-fixed. . . . . . . . . . . . . . . . 67,527 3,320 156,250 (3,813) 231,346 10,514 57,190 (200)
Basis. . . . . . . . . . . . . . . . . . . . . . . 27,014 36 600 — 23,199 151 1,700 —
Foreign currency . . . . . . . . . . . . . 389 120 653 (38) 686 193 509 (45)
Swaptions:
Pay-fixed . . . . . . . . . . . . . . . . . . . 33,400 445 48,025 (600) 33,050 102 36,225 (184)
Receive-fixed. . . . . . . . . . . . . . . . 8,000 117 48,025 (484) 15,970 3,572 36,225 (2,279)
Other(1) . . . . . . . . . . . . . . . . . . . . . . . . . 769 28 13 (1) 7,374 26 13 (1)
Total gross risk management
derivatives . . . . . . . . . . . . . . . . . . 205,736 9,444 346,994 (9,695) 331,075 14,828 370,879 (20,946)
Accrued interest receivable
(payable) . . . . . . . . . . . . . . . . . . . — 786 — (930) — 1,242 — (1,508)
Netting adjustment(2) . . . . . . . . . . . . — (8,422) — 9,370 — (15,791) — 22,046
Total net risk management
derivatives. . . . . . . . . . . . . . . . . $ 205,736 $ 1,808 $ 346,994 $ (1,255) $ 331,075 $ 279 $ 370,879 $ (408)
Mortgage commitment derivatives:
Mortgage commitments to
purchase whole loans . . . . . . . . . $ 1,138 $ 1 $ 4,353 $ (31) $ 12,360 $ 27 $ 5,232 $ (8)
Forward contracts to purchase
mortgage-related securities . . . . . 3,276 4 20,861 (168) 34,545 103 12,557 (23)
Forward contracts to sell mortgage-
related securities . . . . . . . . . . . . . 35,423 260 7,886 (15) 18,886 26 75,477 (266)
Total mortgage commitment
derivatives. . . . . . . . . . . . . . . . . $ 39,837 $ 265 $ 33,100 $ (214) $ 65,791 $ 156 $ 93,266 $ (297)
Derivatives at fair value . . . . . . . . $ 245,573 $ 2,073 $ 380,094 $ (1,469) $ 396,866 $ 435 $ 464,145 $ (705)
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(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, including cash collateral posted and received. Cash collateral posted was $2.0 billion and $6.3
billion as of December 31, 2013 and 2012, respectively. Since the agreements related to clearing contracts through derivatives clearing
organizations do not provide us with a legal right of offset, no netting adjustments have been made for these contracts. Cash collateral
received was $1.0 billion as of December 31, 2013. No cash collateral was received as of December 31, 2012.
A majority of our OTC derivative contracts contain provisions that require our senior unsecured debt to maintain a minimum
credit rating from S&P and Moody’s. If our senior unsecured debt credit ratings were downgraded to established thresholds in