Freddie Mac 2009 Annual Report Download - page 122

Table 38 — Derivative Fair Values and Maturities
Notional or
Contractual Amount
(2)
Total Fair
Value
(3)
Less than
1 Year
1to3
Years
Greater than 3
and up to 5 Years
In Excess
of 5 Years
Fair Value
(1)
December 31, 2009
(dollars in millions)
Interest-rate swaps:
Receive-fixed:
Swaps ............................... $ 240,940 $ (2,063) $ 420 $ 457 $ 301 $ (3,241)
Weighted average fixed rate
(4)
.............. 3.82% 1.94% 2.97% 3.85%
Forward-starting swaps
(5)
................... 30,463 74 — 180 135 (241)
Weighted average fixed rate
(4)
.............. — 4.45% 4.06% 4.00%
Total receive-fixed . . . .................. 271,403 (1,989) 420 637 436 (3,482)
Basis (floating to floating) . .................. 52,045 (60) (32) — — (28)
Pay-fixed:
Swaps ............................... 339,409 (11,579) (283) (1,293) (1,772) (8,231)
Weighted average fixed rate
(4)
.............. 4.14% 2.48% 3.59% 4.35%
Forward-starting swaps
(5)
................... 42,850 (2,201) — — — (2,201)
Weighted average fixed rate
(4)
.............. — — — 5.42%
Total pay-fixed . . . . . . .................. 382,259 (13,780) (283) (1,293) (1,772) (10,432)
Total interest-rate swaps . . . .................. 705,707 (15,829) 105 (656) (1,336) (13,942)
Option-based:
Call swaptions
Purchased . . . .......................... 168,017 7,764 1,861 2,544 1,200 2,159
Written ............................... 1,200 (19) — — — (19)
Put swaptions
Purchased . . . .......................... 91,775 2,592 667 790 399 736
Written ............................... — — — — — —
Other option-based derivatives
(6)
............... 141,396 1,693 (1) — (5) 1,699
Total option-based . . . . . .................. 402,388 12,030 2,527 3,334 1,594 4,575
Futures . ................................. 80,949 (84) (74) (10) — —
Foreign-currency swaps . . . . . .................. 5,669 1,624 1,280 97 247 —
Forward purchase and sale commitments ........... 13,872 11 11 — — —
Swap guarantee derivatives . . . .................. 3,521 (34) — — (1) (33)
Subtotal .............................. 1,212,106 (2,282) $3,849 $ 2,765 $ 504 $ (9,400)
Credit derivatives . .......................... 14,198 15
Subtotal .............................. 1,226,304 (2,267)
Derivative interest receivable (payable), net . . ....... (623)
Trade/settle receivable (payable), net .............. 1
Derivative collateral (held) posted, net ............. 2,515
Total ................................ $1,226,304 $ (374)
(1) Fair value is categorized based on the period from December 31, 2009 until the contractual maturity of the derivative.
(2) Notional or contractual amounts are used to calculate the periodic settlement amounts to be received or paid and generally do not represent actual
amounts to be exchanged. Notional or contractual amounts are not recorded as assets or liabilities on our consolidated balance sheets.
(3) The value of derivatives on our consolidated balance sheets is reported as derivative assets, net and derivative liabilities, net, and includes derivative
interest receivable or (payable), net, trade/settle receivable or (payable), net and derivative cash collateral (held) or posted, net.
(4) Represents the notional weighted average rate for the fixed leg of the swaps.
(5) Represents interest-rate swap agreements that are scheduled to begin on future dates ranging from less than one year to ten years.
(6) Primarily represents purchased interest rate caps and floors, as well as certain written options, including guarantees of stated final maturity of issued
Structured Securities and written call options on agency mortgage-related securities.
119 Freddie Mac