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SEC Filings

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

FANNIE MAE
(In conservatorship)

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
(UNAUDITED)
 
The following table displays, by type of derivative instrument, the fair value gains and losses, net on our derivatives for the three months ended March 31, 2011 and 2010.
 
                 
    For the
 
    Three Months
 
    Ended March 31,  
    2011     2010  
    (Dollars in millions)  
 
Risk management derivatives:
               
Swaps:
               
Pay-fixed
  $ 602     $ (5,879 )
Receive-fixed
    (256 )     4,669  
Basis
    19       9  
Foreign currency
    30       (3 )
Swaptions:
               
Pay-fixed
    (55 )     (934 )
Receive-fixed
    (233 )     27  
Interest rate caps
    (4 )     (56 )
Other(1)
    13       6  
                 
Total risk management derivatives fair value gains (losses), net
    116       (2,161 )
Mortgage commitment derivatives fair value gains (losses), net
    23       (601 )
                 
Total derivatives fair value gains (losses), net
  $ 139     $ (2,762 )
                 
 
 
(1) Includes futures, swap credit enhancements and mortgage insurance contracts.
 
Derivative Counterparty Credit Exposure
 
Our derivative counterparty credit exposure relates principally to interest rate and foreign currency derivative contracts. We are exposed to the risk that a counterparty in a derivative transaction will default on payments due to us. If there is a default, we may need to acquire a replacement derivative from a different counterparty at a higher cost or may be unable to find a suitable replacement. Typically, we seek to manage credit exposure by contracting with experienced counterparties that are rated A- (or its equivalent) or better. We also manage our exposure by requiring counterparties to post collateral. The collateral includes cash, U.S. Treasury securities, agency debt and agency mortgage-related securities.


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