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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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the $1.6 billion of interest income that we did not recognize for nonaccrual mortgage loans for the first quarter of 2011, $1.4 billion was related to the unsecuritized mortgage loans that we owned during the period. Of the $2.7 billion of interest income that we did not recognize for nonaccrual mortgage loans for the first quarter of 2010, $566 million was related to the unsecuritized mortgage loans that we own.
 
For a discussion of the interest income from the assets we have purchased and the interest expense from the debt we have issued, see the discussion of our Capital Markets group’s net interest income in “Business Segment Results.”
 
Fair Value Gains (Losses), Net
 
Table 9 presents the components of our fair value gains and losses.
 
Table 9:  Fair Value Gains (Losses), Net
 
                         
    For the Three Months
       
    Ended March 31,        
    2011     2010        
    (Dollars in millions)        
 
Risk management derivatives fair value gains (losses) attributable to:
                       
Net contractual interest expense accruals on interest rate swaps
  $ (635 )   $ (835 )        
Net change in fair value during the period
    751       (1,326 )        
                         
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 )        
                         
Trading securities gains, net
    225       1,058          
Other
    (75 )     (1 )        
                         
Fair value gains (losses), net
  $ 289     $ (1,705 )        
                         
                         
                         
    2011     2010        
 
5-year swap interest rate:
                       
As of January 1
    2.18 %     2.98 %        
As of March 31
    2.47       2.73          
 
Risk Management Derivatives Fair Value Gains (Losses), Net
 
We supplement our issuance of debt securities with derivative instruments to further reduce duration and prepayment risks. We recorded risk management derivative fair value gains in the first quarter of 2011 primarily as a result of an increase in the fair value of our pay-fixed derivatives due to an increase in swap interest rates during the first quarter of 2011, which was partially offset by fair value losses due to time decay on our purchased options.
 
We recorded risk management derivative losses in the first quarter of 2010 as a result of: (1) a decrease in implied interest rate volatility, which reduced the fair value of our purchased options; (2) a decrease in the fair value of our pay-fixed derivatives due to a decline in swap interest rates; and (3) time decay on our purchased options.
 
We present, by derivative instrument type, the fair value gains and losses on our derivatives for the three months ended March 31, 2011 and 2010 in “Note 9, Derivative Instruments.”
 
Mortgage Commitment Derivatives Fair Value Gains (Losses), Net
 
Commitments to purchase or sell some mortgage-related securities and to purchase single-family mortgage loans are generally accounted for as derivatives. For open mortgage commitment derivatives, we include


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