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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 record all derivative gains and losses, including accrued interest, in “Fair value gains (losses), net” in our condensed consolidated statements of operations and comprehensive income. The following table displays, by type of derivative instrument, the fair value gains and losses, net on our derivatives.
 
For the Three Months
 
For the Nine Months
 
Ended September 30,
 
Ended September 30,
 
2018
 
2017
 
2018
 
2017
 
(Dollars in millions)
Risk management derivatives:
 
 
 
 
 
 
 
Swaps:
 
 
 
 
 
 
 
Pay-fixed
$
1,034

 
$
300

 
$
4,784

 
$
300

Receive-fixed
(524
)
 
(202
)
 
(3,508
)
 
120

Basis
(5
)
 
1

 
(31
)
 
24

Foreign currency
(10
)
 
13

 
(35
)
 
36

Swaptions:
 
 
 
 
 
 
 
Pay-fixed
67

 
(40
)
 
232

 
(88
)
Receive-fixed
(34
)
 
(8
)
 
(72
)
 
(34
)
Other
(1
)
 
11

 
(5
)
 
6

Net accrual of periodic settlements
(285
)
 
(223
)
 
(786
)
 
(702
)
Total risk management derivatives fair value gains (losses), net
242

 
(148
)
 
579

 
(338
)
Mortgage commitment derivatives fair value gains (losses), net
118

 
(248
)
 
606

 
(520
)
Total derivatives fair value gains (losses), net
$
360

 
$
(396
)
 
$
1,185

 
$
(858
)

Derivative Counterparty Credit Exposure
Our derivative counterparty credit exposure relates principally to interest rate derivative contracts. We are exposed to the risk that a counterparty in a derivative transaction will default on payments due to us, which may require us to seek a replacement derivative from a different counterparty. This replacement may be at a higher cost, or we may be unable to find a suitable replacement. We manage our derivative counterparty credit exposure relating to our risk management derivative transactions mainly through enforceable master netting arrangements, which allow us to net derivative assets and liabilities with the same counterparty or clearing organization and clearing member. For our OTC derivative transactions, we require counterparties to post collateral, which may include cash, U.S. Treasury securities, agency debt and agency mortgage-related securities.
See “Note 12, Netting Arrangements” for information on our rights to offset assets and liabilities.

Fannie Mae (In conservatorship) Third Quarter 2018 Form 10-Q
78