Freddie Mac 2004 Annual Report Download - page 67

swaps with a notional balance of approximately $108 billion being moved from the cash Öow hedge designation
to no hedge designation. We also voluntarily discontinued hedge accounting treatment for a signiÑcant amount
of our receive-Ñxed interest-rate swaps eÅective November 1, 2004, resulting in receive-Ñxed interest-rate
swaps with a notional balance of approximately $50 billion being moved from a fair value hedge designation to
no hedge designation. We believe that the voluntary discontinuance of hedge accounting treatment for
receive-Ñxed swaps will assist us in addressing the period-to-period volatility of the value of our no hedge
designation derivatives, and will help us reduce the operational complexity and related control remediation
eÅorts that would otherwise be needed to ensure ongoing compliance with the requirements for obtaining and
maintaining hedge accounting treatment. We may consider implementing new hedge accounting strategies in
the future.
Table 26 provides a quarterly summary of our period-end notional amounts of receive- and pay-Ñxed
swaps by hedge accounting categories for 2004 and 2003.
Table 26 Ì Notional Amounts of Receive- and Pay-Fixed Swaps(1)
March 31, 2004 June 30, 2004 September 30, 2004 December 31, 2004
Description Notional % of Total Notional % of Total Notional % of Total Notional % of Total
(dollars in billions)
Receive-Ñxed swaps:
Fair value hedgeÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $113.0 99% $ 97.6 99% $127.2 98% $58.0 69%
No hedge designation(2) ÏÏÏÏÏÏÏÏ 0.8 1 0.7 1 2.7 2 25.6 31
Total ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $113.8 100% $ 98.3 100% $129.9 100% $83.6 100%
Pay-Ñxed swaps:
Cash Öow hedge ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $107.8 78% $ Ì Ì% $ Ì Ì% $ Ì Ì%
No hedge designation(2) ÏÏÏÏÏÏÏÏ 29.7 22 156.1 100 150.1 100 95.0 100
Total ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $137.5 100% $156.1 100% $150.1 100% $95.0 100%
March 31, 2003 June 30, 2003 September 30, 2003 December 31, 2003
Description Notional % of Total Notional % of Total Notional % of Total Notional % of Total
(dollars in billions)
Receive-Ñxed swaps:
Fair value hedgeÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $ 89.1 63% $ 92.2 79% $ 81.5 72% $ 93.5 87%
No hedge designation(2) ÏÏÏÏÏÏÏÏ 52.6 37 24.0 21 31.5 28 13.8 13
Total ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $141.7 100% $116.2 100% $113.0 100% $107.3 100%
Pay-Ñxed swaps:
Cash Öow hedge ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $ 90.0 76% $ 98.1 62% $149.8 72% $132.0 74%
No hedge designation(2) ÏÏÏÏÏÏÏÏ 28.9 24 60.5 38 57.8 28 47.1 26
Total ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $118.9 100% $158.6 100% $207.6 100% $179.1 100%
(1) Excludes swaps held as part of our external Money Manager program. As previously disclosed in our Information Statement
Supplement dated October 4, 2004, we ceased our PC market-making and support activities accomplished through our external
Money Manager program during the fourth quarter of 2004.
(2) For more information concerning all of our derivatives that are classiÑed as no hedge designation, see ""Table 27 Ì Derivatives Not
in Hedge Accounting Relationships.''
Freddie Mac
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