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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 05/06/2011
Entire Document
 
Table of Contents

 
Table 46:  Interest Rate Sensitivity of Net Portfolio to Changes in Interest Rate Level and Slope of Yield Curve(1)
 
                 
    As of  
    March 31, 2011     December 31, 2010  
    (Dollars in billions)  
 
Rate level shock:
               
-100 basis points
  $ (0.2 )   $ (0.8 )
-50 basis points
          (0.2 )
+50 basis points
    (0.1 )     (0.2 )
+100 basis points
    (0.3 )     (0.5 )
Rate slope shock:
               
-25 basis points (flattening)
          (0.1 )
+25 basis points (steepening)
          0.1  
 
                         
    For the Three Months Ended March 31, 2011  
    Duration
    Rate Slope Shock
    Rate Level Shock
 
    Gap     25 Bps     50 Bps  
          Exposure  
    (In months)        
          (Dollars in billions)  
 
Average
    0.4     $ 0.1     $ 0.2  
Minimum
    (0.4 )           0.1  
Maximum
    0.8       0.2       0.4  
Standard deviation
    0.2             0.1  
 
 
(1) Computed based on changes in LIBOR swap rates.
 
A majority of the interest rate risk associated with our mortgage-related securities and loans is hedged with our debt issuance, which includes 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 47 shows an example of how derivatives impacted the net market value exposure for a 50 basis point parallel interest rate shock.
 
Table 47:  Derivative Impact on Interest Rate Risk (50 Basis Points)
 
                         
    Before
  After
  Effect of
    Derivatives   Derivatives   Derivatives
    (Dollars in billions)
 
As of March 31, 2011
  $ (1.3 )   $ (0.1 )   $ 1.2  
As of December 31, 2010
  $ (0.9 )   $ (0.2 )   $ 0.7  
 
Other Interest Rate Risk Information
 
The interest rate risk measures discussed above exclude the impact of changes in the fair value of our net guaranty assets resulting from changes in interest rates. We exclude our guaranty business from these sensitivity measures based on our current assumption that the guaranty fee income generated from future business activity will largely replace guaranty fee income lost due to mortgage prepayments.
 
In “MD&A—Risk Management—Market Risk Management, Including Interest Rate Risk Management—Measurement of Interest Rate Risk—Other Interest Rate Risk Information” in our 2010 Form 10-K, we provided additional interest rate sensitivities including separate disclosure of the potential impact on the fair value of our trading assets and other financial instruments. As of March 31, 2011, these sensitivities were relatively unchanged as compared with December 31, 2010. The fair value of our trading financial instruments and our other financial instruments as of March 31, 2011 and December 31, 2010 can be found in “Note 13, Fair Value.”


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