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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)


 
As of December 31, 2014
 
 
 
 
 
 
 
 
 
 
Net Amount Presented in the Condensed Consolidated Balance Sheets
 
Amounts Not Offset in the Condensed Consolidated Balance Sheets
 
 
 
 
 
Gross Amount
 
Gross Amount Offset(1)
 
 
Financial Instruments(2)
 
Collateral(3)
 
Net Amount
 
 
(Dollars in millions)
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
OTC risk management derivatives
 
$
5,461

 
 
 
$
(5,428
)
 
 
 
$
33

 
 
 
$

 
 
 
$
(33
)
 
 
 
$

 
Cleared risk management derivatives
 
927

 
 
 
242

 
 
 
1,169

 
 
 

 
 
 

 
 
 
1,169

 
Mortgage commitment derivatives
 
255

 
 
 

 
 
 
255

 
 
 
(116
)
 
 
 
(7
)
 
 
 
132

 
Total derivative assets
 
6,643

 
 
 
(5,186
)
 
 
 
1,457

(4 
) 
 
 
(116
)
 
 
 
(40
)
 
 
 
1,301

 
Securities purchased under agreements to resell or similar arrangements(5)
 
47,550

 
 
 

 
 
 
47,550

 
 
 

 
 
 
(47,550
)
 
 
 

 
Total assets
 
$
54,193

 
 
 
$
(5,186
)
 
 
 
$
49,007

 
 
 
$
(116
)
 
 
 
$
(47,590
)
 
 
 
$
1,301

 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
OTC risk management derivatives
 
$
(7,836
)
 
 
 
$
7,567

 
 
 
$
(269
)
 
 
 
$

 
 
 
$

 
 
 
$
(269
)
 
Cleared risk management derivatives
 
(2,627
)
 
 
 
2,627

 
 
 

 
 
 

 
 
 

 
 
 

 
Mortgage commitment derivatives
 
(344
)
 
 
 

 
 
 
(344
)
 
 
 
116

 
 
 

 
 
 
(228
)
 
Total derivative liabilities
 
(10,807
)
 
 
 
10,194

 
 
 
(613
)
(4 
) 
 
 
116

 
 
 

 
 
 
(497
)
 
Securities sold under agreements to repurchase or similar arrangements
 
(50
)
 
 
 

 
 
 
(50
)
 
 
 

 
 
 
50

 
 
 

 
Total liabilities
 
$
(10,857
)
 
 
 
$
10,194

 
 
 
$
(663
)
 
 
 
$
116

 
 
 
$
50

 
 
 
$
(497
)
 
__________
(1) 
Represents the effect of the 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 and accrued interest.
(2) 
Mortgage commitment derivative amounts reflect where we have recognized both an asset and a liability with the same counterparty under an enforceable master netting arrangement but we have not elected to offset the related amounts in our condensed consolidated balance sheets.
(3) 
Represents collateral posted or received that has neither been recognized nor offset in our condensed consolidated balance sheets. Does not include collateral held in excess of our exposure. The fair value of non-cash collateral accepted for OTC risk management derivatives was $5 million and $51 million as of March 31, 2015 and December 31, 2014, respectively. The fair value of non-cash collateral accepted for securities purchased under agreements to resell or similar arrangements was $39.3 billion and $47.6 billion, of which $31.9 billion and $41.9 billion could be sold or repledged as of March 31, 2015 and December 31, 2014, respectively. None of the underlying collateral was sold or repledged as of March 31, 2015 or December 31, 2014. The fair value of non-cash collateral we pledged for securities sold under agreements to repurchase was $87 million and $50 million as of March 31, 2015 and December 31, 2014, respectively, which the counterparty was permitted to sell or repledge.
(4) 
Excludes derivative assets of $27 million and $28 million as of March 31, 2015 and December 31, 2014, respectively, and derivative liabilities of $1 million as of March 31, 2015 and December 31, 2014, recognized in our condensed consolidated balance sheets that are not subject to enforceable master netting arrangements.
(5) 
Includes $19.0 billion and $16.6 billion of securities purchased under agreements to resell or similar arrangements classified as “Cash and cash equivalents” in our condensed consolidated balance sheets as of March 31, 2015 and December 31, 2014, respectively.
Derivative instruments are recorded at fair value and securities purchased under agreements to resell or similar arrangements are recorded at amortized cost in our condensed consolidated balance sheets.
We determine our rights to offset the assets and liabilities presented above with the same counterparty, including collateral posted or received, based on the contractual arrangements entered into with our individual counterparties and various rules and regulations that would govern the insolvency of a derivative counterparty. The following is a description, under various agreements, of the nature of those rights and their effect or potential effect on our financial position.

107