Fannie Mae 2014 Annual Report Download - page 153

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Table 52: Interest Rate Sensitivity of Net Portfolio to Changes in Interest Rate Level and Slope of Yield Curve(1)
As of December 31,(2)
2014 2013
(Dollars in billions)
Rate level shock:
-100 basis points . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 0.4 $ 0.1
-50 basis points . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1 0.0
+50 basis points . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.1)(0.1)
+100 basis points . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.1)(0.5)
Rate slope shock:
-25 basis points (flattening) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.0 0.0
+25 basis points (steepening) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.0) 0.0
For the Three Months Ended December 31, 2014(3)
Duration
Gap Rate Slope Shock 25 bps Rate Level Shock 50 bps
Exposure
(In months) (Dollars in billions)
Average . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1 $ 0.1 $ 0.0
Minimum. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.3) 0.0 —
Maximum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.5 0.1 0.1
Standard deviation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2 0.0 0.0
For the Three Months Ended December 31, 2013(3)
Duration
Gap Rate Slope Shock 25 bps Rate Level Shock 50 bps
Exposure
(In months) (Dollars in billions)
Average . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.2) $ 0.0 $ 0.2
Minimum. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.6) 0.0 0.1
Maximum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.3 0.1 0.2
Standard deviation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2 0.0 0.0
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(1) Computed based on changes in U.S. LIBOR interest rates swap curve.
(2) Measured on the last day of each period presented.
(3) Computed based on daily values during the period presented.
The market value sensitivity of our net portfolio varies across a range of interest rate shocks depending upon the duration and
convexity profile of our net portfolio. The average duration gap was 0.1 months for the last three months of 2014, which is
consistent with the average duration gap for the last three months of 2013. Because the effective duration gap of our net
portfolio was close to zero months in the periods presented, convexity risk was the primary driver of the market value
sensitivity of our net portfolio in those periods.
A majority of the interest rate risk associated with our mortgage-related securities and loans is hedged with our debt
issuances, which include callable debt. We use derivatives to help manage the residual interest rate risk exposure between our
assets and liabilities. Derivatives have enabled us to keep our interest rate risk exposure at consistently low levels in a wide
range of interest-rate environments. Table 53 displays an example of how derivatives impacted the net market value exposure
for a 50 basis point parallel interest rate shock.