Freddie Mac 2010 Annual Report Download - page 103

Second lien mortgages are another type of residential mortgage loan product with a higher risk of default; however, we
do not purchase or hold significant amounts of these loans on our consolidated balance sheets. See “RISK
MANAGEMENT — Credit Risk — Mortgage Credit Risk” and “NOTE 19: CONCENTRATION OF CREDIT AND OTHER
RISKS — Table 19.3 — Certain Higher-Risk Categories in the Single-Family Credit Guarantee Portfolio” for information
about mortgage loans in our single-family credit guarantee portfolio that we believe have higher-risk characteristics.
Derivative Assets and Liabilities, Net
The composition of our derivative portfolio changes from period to period as a result of derivative purchases,
terminations, or assignments prior to contractual maturity and expiration of the derivatives at their contractual maturity. We
classify net derivative interest receivable or payable, trade/settle receivable or payable, and cash collateral held or posted on
our consolidated balance sheets to derivative assets, net and derivative liabilities, net. See “NOTE 12: DERIVATIVES” for
additional information regarding our derivatives.
At December 31, 2010, the net fair value of our total derivative portfolio was $(1.1) billion, as compared to
$(0.4) billion at December 31, 2009. This decrease in the net fair value of our total derivative portfolio was primarily due to
the decline in longer-term swap interest rates. See “NOTE 12: DERIVATIVES — Table 12.1 — Derivative Assets and
Liabilities at Fair Value” for our notional or contractual amounts and related fair values of our total derivative portfolio by
product type at December 31, 2010 and 2009. Also see “CONSOLIDATED RESULTS OF OPERATIONS — Non-Interest
Income (Loss) — Derivative Gains (Losses)” for a description of gains (losses) on our derivative positions.
Table 30 shows the fair value for each derivative type and the maturity profile of our derivative positions as of
December 31, 2010. A positive fair value in Table 30 for each derivative type is the estimated amount, prior to netting by
counterparty, that we would be entitled to receive if the derivatives of that type were terminated. A negative fair value for a
derivative type is the estimated amount, prior to netting by counterparty, that we would owe if the derivatives of that type
were terminated. See “Table 41 — Derivative Counterparty Credit Exposure” for additional information regarding derivative
counterparty credit exposure. Table 30 also provides the weighted average fixed rate of our pay-fixed and receive-fixed
swaps.
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