Print Page  |  Close Window

SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 05/07/2015
Entire Document
 





FANNIE MAE
(In conservatorship)
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
(UNAUDITED)


__________
(1) 
Includes 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 arrangements to settle with the same counterparty on a net basis, including cash collateral posted and received. Cash collateral posted was $6.6 billion and $5.3 billion as of March 31, 2015 and December 31, 2014, respectively. Cash collateral received was $161 million and $245 million as of March 31, 2015 and December 31, 2014, respectively.
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 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 $3.1 billion and $2.6 billion as of March 31, 2015 and December 31, 2014, respectively, for which we posted collateral of $2.9 billion and $2.4 billion in the normal course of business as of March 31, 2015 and December 31, 2014, respectively. Had all of the credit-risk-related contingency features underlying these agreements been triggered, an additional $230 million and $269 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 March 31, 2015 and December 31, 2014, 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 cleared derivative contracts.
We record all derivative gains and losses, including accrued interest, in “Fair value losses, net” in our condensed consolidated statements of operations and comprehensive income. The following table displays, by type of derivative instrument, the fair value gains and losses, net on our derivatives for the three months ended March 31, 2015 and 2014.
 
For the Three Months
 
Ended March 31,
 
2015
 
2014
 
(Dollars in millions)
Risk management derivatives:
 
 
 
Swaps:
 
 
 
Pay-fixed
$
(3,069
)
 
$
(2,118
)
Receive-fixed
1,847

 
1,465

Basis
32

 
35

Foreign currency
(29
)
 
21

Swaptions:
 
 
 
Pay-fixed
91

 
(99
)
Receive-fixed
(159
)
 
(42
)
Other
2

 
(3
)
Accrual of periodic settlements:
 
 
 
Pay-fixed interest-rate swaps
(931
)
 
(903
)
Receive-fixed interest-rate swaps
692

 
691

Other
10

 
13

Total risk management derivatives fair value losses, net
$
(1,514
)
 
$
(940
)
Mortgage commitment derivatives fair value losses, net
(239
)
 
(345
)
Total derivatives fair value losses, net
$
(1,753
)
 
$
(1,285
)

97