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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 table below displays our credit exposure on outstanding risk management derivative instruments in a gain position by counterparty credit ratings, as well as the notional amount outstanding and the number of counterparties for all risk management derivatives as of March 31, 2011 and December 31, 2010.
 
                                         
    As of March 31, 2011  
    Credit Rating(1)                    
    AA+/AA/AA-     A+/A     Subtotal(2)     Other(3)     Total  
    (Dollars in millions)  
 
Credit loss exposure(4)
  $ 77     $ 651     $ 728     $ 77     $ 805  
Less: Collateral held(5)
    55       646       701             701  
                                         
Exposure net of collateral
  $ 22     $ 5     $ 27     $ 77     $ 104  
                                         
Additional information:
                                       
Notional amount
  $ 209,395     $ 529,732     $ 739,127     $ 1,997     $ 741,124  
Number of counterparties
    7       8       15                  
 
                                         
    As of December 31, 2010  
    Credit Rating(1)                    
    AA+/AA/AA-     A+/A     Subtotal(2)     Other(3)     Total  
    (Dollars in millions)  
 
Credit loss exposure(4)
  $ 350     $ 325     $ 675     $ 75     $ 750  
Less: Collateral held(5)
    273       325       598             598  
                                         
Exposure net of collateral
  $ 77     $     $ 77     $ 75     $ 152  
                                         
Additional information:
                                       
Notional amount
  $ 208,898     $ 476,766     $ 685,664     $ 1,484     $ 687,148  
Number of counterparties
    7       8       15                  
 
 
(1) We manage collateral requirements based on the lower credit rating of the legal entity, as issued by Standard & Poor’s and Moody’s. The credit rating reflects the equivalent Standard & Poor’s rating for any ratings based on Moody’s scale.
 
(2) We had exposure to 4 and 3 interest rate and foreign currency derivative counterparties in a net gain position as of March 31, 2011 and December 31, 2010, respectively. Those interest rate and foreign currency derivatives had notional balances of $125.1 billion and $106.5 billion as of March 31, 2011 and December 31, 2010, respectively.
 
(3) Includes defined benefit mortgage insurance contracts and swap credit enhancements accounted for as derivatives where the right of legal offset does not exist. Also includes exchange-traded derivatives, such as futures and interest rate swaps, which are settled daily through a clearinghouse.
 
(4) Represents the exposure to credit loss on derivative instruments, which we estimate using the fair value of all outstanding derivative contracts in a gain position. We net derivative gains and losses with the same counterparty where a legal right of offset exists under an enforceable master netting agreement. This table excludes mortgage commitments accounted for as derivatives.
 
(5) Represents both cash and non-cash collateral posted by our counterparties to us. Does not include collateral held in excess of exposure. We reduce the value of non-cash collateral in accordance with the counterparty agreements to help ensure recovery of any loss through the disposition of the collateral. We posted cash collateral of $2.8 billion and $3.4 billion related to our counterparties’ credit exposure to us as of March 31, 2011 and December 31, 2010, respectively.


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