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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 08/05/2011
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Table of Contents

FANNIE MAE
(In conservatorship)

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
(UNAUDITED)
 
                                                                 
    As of June 30, 2011     As of December 31, 2010  
    Asset Derivatives     Liability Derivatives     Asset Derivatives     Liability Derivatives  
    Notional
    Estimated
    Notional
    Estimated
    Notional
    Estimated
    Notional
    Estimated
 
    Amount     Fair Value     Amount     Fair Value     Amount     Fair Value     Amount     Fair Value  
    (Dollars in millions)  
 
Mortgage commitment derivatives:
                                                               
Mortgage commitments to purchase whole loans
  $ 2,388     $ 5     $ 3,178     $ (19 )   $ 2,880     $ 19     $ 4,435     $ (105 )
Forward contracts to purchase mortgage-related securities
    8,866       75       18,991       (111 )     19,535       123       27,697       (468 )
Forward contracts to sell mortgage-related securities
    17,095       84       15,679       (117 )     40,761       811       24,562       (169 )
                                                                 
Total mortgage commitment derivatives
  $ 28,349     $ 164     $ 37,848     $ (247 )   $ 63,176     $ 953     $ 56,694     $ (742 )
                                                                 
Derivatives at fair value
  $ 344,044     $ 668     $ 331,174     $ (592 )   $ 408,593     $ 1,137     $ 398,425     $ (1,715 )
                                                                 
 
 
(1) Includes futures, swap credit enhancements and mortgage insurance contracts that we account for as derivatives. The mortgage insurance contracts have payment provisions that are not based on a notional amount.
 
(2) The netting adjustment represents the effect of the legal right to offset under legally enforceable master netting agreements to settle with the same counterparty on a net basis, as well as cash collateral receivable and payable. Cash collateral receivable was $2.9 billion and $3.5 billion as of June 30, 2011 and December 31, 2010, respectively. Cash collateral payable was $149 million and $604 million as of June 30, 2011 and December 31, 2010, respectively.
 
A majority of our derivative instruments contain provisions that require our senior unsecured debt to maintain a minimum credit rating from Standard & Poor’s (“S&P”), Moody’s Investors Services, Inc. (“Moody’s”) or Fitch Ratings (“Fitch”). If our senior unsecured debt were to fall below established thresholds in our governing agreements, which range from A- to BBB+, we would be in violation of these provisions, and the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. The aggregate fair value of all derivatives with credit-risk-related contingent features that were in a net liability position as of June 30, 2011 was $3.1 billion for which we posted collateral of $2.9 billion in the normal course of business. Had the credit-risk-related contingency features underlying these agreements been triggered as of June 30, 2011, we would have been required to post an additional $200 million of collateral to our counterparties.

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