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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 08/03/2017
Entire Document
 
 
Notes to Condensed Consolidated Financial Statements | Derivative Instruments


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 14, 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 June 30, 2017
 
As of December 31, 2016
 
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
$
32,746

 
$
441

 
$
79,878

 
$
(2,983
)
 
$
29,540

 
$
660

 
$
94,584

 
$
(4,396
)
Receive-fixed
33,890

 
2,604

 
134,172

 
(1,051
)
 
30,207

 
2,696

 
135,470

 
(1,552
)
Basis
12,873

 
127

 
1,350

 
(1
)
 
1,624

 
115

 
15,600

 
(11
)
Foreign currency
226

 
49

 
228

 
(72
)
 
214

 
40

 
216

 
(85
)
Swaptions:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay-fixed
10,250

 
179

 
2,350

 
(3
)
 
9,600

 
241

 
4,850

 
(82
)
Receive-fixed

 

 
8,350

 
(271
)
 

 

 
10,100

 
(257
)
Other(1)
24,203

 
23

 

 
(1
)
 
15,087

 
33

 
655

 
(2
)
Total gross risk management derivatives
114,188

 
3,423

 
226,328

 
(4,382
)
 
86,272

 
3,785

 
261,475

 
(6,385
)
Accrued interest receivable (payable)

 
707

 

 
(754
)
 

 
785

 

 
(937
)
Netting adjustment(2)

 
(4,024
)
 

 
5,034

 

 
(4,514
)
 

 
6,844

Total net risk management derivatives
$
114,188

 
$
106

 
$
226,328

 
$
(102
)
 
$
86,272

 
$
56

 
$
261,475

 
$
(478
)
Mortgage commitment derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage commitments to purchase whole loans
$
1,898

 
$
5

 
$
6,698

 
$
(27
)
 
$
4,753

 
$
28

 
$
3,039

 
$
(49
)
Forward contracts to purchase mortgage-related securities
11,791

 
37

 
69,343

 
(243
)
 
31,635

 
198

 
27,297

 
(388
)
Forward contracts to sell mortgage-related securities
100,370

 
271

 
16,793

 
(48
)
 
34,103

 
405

 
47,645

 
(300
)
Total mortgage commitment derivatives
$
114,059

 
$
313

 
$
92,834

 
$
(318
)
 
$
70,491

 
$
631

 
$
77,981

 
$
(737
)
Derivatives at fair value
$
228,247

 
$
419

 
$
319,162

 
$
(420
)
 
$
156,763

 
$
687

 
$
339,456

 
$
(1,215
)
__________
(1) 
Includes credit risk transfer transactions, futures, swap credit enhancements and mortgage insurance contracts that we account for as derivatives.
(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 $1.6 billion and $2.9 billion as of June 30, 2017 and December 31, 2016, respectively. Cash collateral received was $599 million and $535 million as of June 30, 2017 and December 31, 2016, respectively.

Fannie Mae (In conservatorship) Second Quarter 2017 Form 10-Q
86