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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 05/07/2015
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the market environment as of the last business day of the quarter; and (3) the monthly disclosure shows the most adverse pre-tax impact on the market value of our net portfolio from the hypothetical interest rate shocks, while the quarterly disclosure includes the estimated pre-tax impact of both up and down interest rate shocks.
Table 36: Interest Rate Sensitivity of Net Portfolio to Changes in Interest Rate Level and Slope of Yield Curve(1) 
 
As of
 
March 31, 2015(2)
 
December 31, 2014(2)
 
(Dollars in billions)
Rate level shock:
 
 
 
 
 
 
 
-100 basis points
 
$
0.4

 
 
 
$
0.4

 
-50 basis points
 
0.1

 
 
 
0.1

 
+50 basis points
 
(0.0
)
 
 
 
(0.1
)
 
+100 basis points
 
(0.1
)
 
 
 
(0.1
)
 
Rate slope shock:
 
 
 
 
 
 
 
-25 basis points (flattening)
 
(0.0
)
 
 
 
0.0

 
+25 basis points (steepening)
 
0.0

 
 
 
(0.0
)
 
 
For the Three Months Ended March 31, 2015(3)
 
Duration Gap
 
Rate Slope Shock 25 Bps
 
Rate Level Shock 50 Bps
 
 
 
Exposure
 
(In months)
 
(Dollars in billions)
Average
0.2
 
 
$
0.0

 
 
 
$
0.0

 
Minimum
(0.5)
 
 
0.0

 
 
 

 
Maximum
1.1
 
 
0.1

 
 
 
0.1

 
Standard deviation
0.4
 
 
0.0

 
 
 
0.0

 
 
  
 
 
 
 
 
 
 
 
 
For the Three Months Ended March 31, 2014(3)
 
Duration Gap
 
Rate Slope Shock
25 Bps
 
Rate Level Shock 50 Bps
 
 
 
Exposure
 
(In months)
 
(Dollars in billions)
Average
(0.1)
 
 
$
0.0

 
 
 
$
0.1

 
Minimum
(0.5)
 
 
0.0

 
 
 
0.0

 
Maximum
0.3
 
 
0.1

 
 
 
0.1

 
Standard deviation
0.1
 
 
0.0

 
 
 
0.0

 
__________
(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 0.2 months for the three months ended March 31, 2015, which is consistent with the average duration gap for the three months ended March 31, 2014. 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 37 displays an example of how derivatives impacted the net market value exposure for a 50 basis point parallel interest rate shock.

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