Fannie Mae 2013 Annual Report Download - page 274

FANNIE MAE
(In conservatorship)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
F-50
these derivative contracts, which range from A+ to BBB+, we could be required to provide additional collateral to or
terminate transactions with certain counterparties. The aggregate fair value of all OTC derivatives with credit-risk-related
contingent features that were in a net liability position was $2.1 billion and $6.4 billion, for which we posted collateral of
$2.0 billion and $6.3 billion in the normal course of business as of December 31, 2013 and 2012, respectively. Had all of the
credit-risk-related contingency features underlying these agreements been triggered, an additional $130 million and $159
million would have been required to be posted as collateral or to immediately settle our positions based on the individual
agreements and our fair value position as of December 31, 2013 and 2012, respectively. A reduction in our credit ratings may
also cause derivatives clearing organizations or their members to demand that we post additional collateral for our OTC-
cleared derivatives contracts.
We record all derivative gains and losses, including accrued interest, in “Fair value gains (losses), net” in our consolidated
statements of operations and comprehensive income (loss). The following table displays, by type of derivative instrument, the
fair value gains and losses, net on our derivatives for the years ended December 31, 2013, 2012 and 2011.
For the Year Ended December 31,
2013 2012 2011
(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 14,393 $ (2,254) $ (12,633)
Receive-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (10,721) 1,102 4,784
Basis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (115) 78 60
Foreign currency. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (101) 59 120
Swaptions:
Pay-fixed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (238) 132 860
Receive-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 307 410 2,932
Other(1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 (35)(75)
Accrual of periodic settlements:
Pay-fixed interest-rate swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,463)(4,427)(5,407)
Received-fixed interest-rate swaps. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,632 2,950 3,155
Basis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44 21 26
Foreign-currency swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 16 36
Other(1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 10 3
Total risk management derivatives fair value gains (losses), net. . . . . . . . . . . . . . . . . . $ 2,779 $ (1,938) $ (6,139)
Mortgage commitment derivatives fair value gains (losses), net . . . . . . . . . . . . . . . . . . . . . . 501 (1,688)(423)
Total derivatives fair value gains (losses), net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,280 $ (3,626) $ (6,562)
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(1) Includes interest rate caps, futures, swap credit enhancements and mortgage insurance contracts.