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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)


We enter into forward purchase and sale commitments that lock in the future delivery of mortgage loans and mortgage-related securities at a fixed price or yield. Certain commitments to purchase mortgage loans and purchase or sell mortgage-related securities meet the criteria of a derivative. We typically settle the notional amount of our mortgage commitments that are accounted for as derivatives.
We recognize all derivatives as either assets or liabilities in our condensed consolidated balance sheets at their fair value on a trade date basis. Fair value amounts, which are netted to the extent a legal right of offset exists and is enforceable by law at the counterparty level and are inclusive of the right or obligation associated with the cash collateral posted or received, are recorded in “Other assets” or “Other liabilities” in our condensed consolidated balance sheets. See “Note 15, Fair Value” for additional information on derivatives recorded at fair value. We present cash flows from derivatives as operating activities in our condensed consolidated statements of cash flows.
Notional and Fair Value Position of our Derivatives
The following table displays the notional amount and estimated fair value of our asset and liability derivative instruments as of March 31, 2015 and December 31, 2014.
 
As of March 31, 2015
 
As of December 31, 2014
 
Asset Derivatives
 
Liability Derivatives
 
Asset Derivatives
 
Liability Derivatives
 
Notional Amount
 
Estimated Fair Value
 
Notional Amount
 
Estimated Fair Value
 
Notional Amount
 
Estimated Fair Value
 
Notional Amount
 
Estimated Fair Value
 
(Dollars in millions)
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay-fixed
$
17,739

 
$
114

 
$
144,469

 
$
(9,424
)
 
$
41,965

 
$
733

 
$
123,557

 
$
(7,125
)
Receive-fixed
141,195

 
5,508

 
97,104

 
(516
)
 
67,629

 
4,486

 
157,272

 
(1,302
)
Basis
1,769

 
156

 
9,100

 
(3
)
 
5,769

 
123

 
7,100

 
(2
)
Foreign currency
328

 
132

 
260

 
(48
)
 
344

 
144

 
273

 
(30
)
Swaptions:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay-fixed
7,625

 
52

 
21,700

 
(79
)
 
11,100

 
57

 
26,525

 
(175
)
Receive-fixed

 

 
23,275

 
(968
)
 
750

 
96

 
29,525

 
(816
)
Other(1)
1,060

 
27

 
12

 
(1
)
 
1,071

 
28

 
12

 
(1
)
Total gross risk management derivatives
169,716

 
5,989

 
295,920

 
(11,039
)
 
128,628

 
5,667

 
344,264

 
(9,451
)
Accrued interest receivable (payable)

 
917

 

 
(1,232
)
 

 
749

 

 
(1,013
)
Netting adjustment(2)

 
(5,626
)
 

 
12,036

 

 
(5,186
)
 

 
10,194

Total net risk management derivatives
$
169,716

 
$
1,280

 
$
295,920

 
$
(235
)
 
$
128,628

 
$
1,230

 
$
344,264

 
$
(270
)
Mortgage commitment derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage commitments to purchase whole loans
$
10,387

 
$
51

 
$
1,493

 
$
(4
)
 
$
6,157

 
$
28

 
$
428

 
$

Forward contracts to purchase mortgage-related securities
59,334

 
341

 
6,748

 
(14
)
 
43,533

 
223

 
6,112

 
(8
)
Forward contracts to sell mortgage-related securities
8,548

 
20

 
91,558

 
(549
)
 
4,886

 
4

 
57,910

 
(336
)
Total mortgage commitment derivatives
$
78,269

 
$
412

 
$
99,799

 
$
(567
)
 
$
54,576

 
$
255

 
$
64,450

 
$
(344
)
Derivatives at fair value
$
247,985

 
$
1,692

 
$
395,719

 
$
(802
)
 
$
183,204

 
$
1,485

 
$
408,714

 
$
(614
)

96