Print Page  |  Close Window

SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 11/02/2018
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 13, 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 September 30, 2018
 
As of December 31, 2017
 
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
$
103,362

 
$
898

 
$
18,245

 
$
(520
)
 
$
52,732

 
$
772

 
$
70,211

 
$
(2,120
)
Receive-fixed
114,773

 
1,031

 
60,219

 
(1,259
)
 
31,671

 
2,391

 
138,852

 
(1,764
)
Basis
273

 
93

 
600

 

 
873

 
124

 

 

Foreign currency
225

 
28

 
228

 
(60
)
 
234

 
59

 
236

 
(56
)
Swaptions:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay-fixed
11,775

 
321

 
350

 
(2
)
 
9,750

 
95

 
4,000

 
(20
)
Receive-fixed
500

 
14

 
7,375

 
(366
)
 
250

 
13

 
9,250

 
(304
)
Other(1)
25,799

 
18

 

 
(1
)
 
13,240

 
22

 
7,315

 
(1
)
Total gross risk management derivatives
256,707

 
2,403

 
87,017

 
(2,208
)
 
108,750

 
3,476

 
229,864

 
(4,265
)
Accrued interest receivable (payable)

 
437

 

 
(504
)
 

 
835

 

 
(814
)
Netting adjustment(2)

 
(2,775
)
 

 
2,648

 

 
(4,272
)
 

 
4,979

Total net risk management derivatives
$
256,707

 
$
65

 
$
87,017

 
$
(64
)
 
$
108,750

 
$
39

 
$
229,864

 
$
(100
)
Mortgage commitment derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage commitments to purchase whole loans
$
2,569

 
$
3

 
$
3,054

 
$
(15
)
 
$
4,143

 
$
9

 
$
1,570

 
$
(2
)
Forward contracts to purchase mortgage-related securities
15,301

 
21

 
36,797

 
(149
)
 
45,925

 
108

 
21,099

 
(21
)
Forward contracts to sell mortgage-related securities
61,979

 
264

 
26,773

 
(48
)
 
19,320

 
15

 
85,556

 
(205
)
Total mortgage commitment derivatives
79,849

 
288

 
66,624

 
(212
)
 
69,388

 
132

 
108,225

 
(228
)
Derivatives at fair value
$
336,556

 
$
353

 
$
153,641

 
$
(276
)
 
$
178,138

 
$
171

 
$
338,089

 
$
(328
)
__________
(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 $611 million and $1.4 billion as of September 30, 2018 and December 31, 2017, respectively. Cash collateral received was $738 million and $649 million as of September 30, 2018 and December 31, 2017, respectively.

Fannie Mae (In conservatorship) Third Quarter 2018 Form 10-Q
77