Freddie Mac 2010 Annual Report Download - page 104

Table 30 — 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, 2010
(dollars in millions)
Interest-rate swaps:
Receive-fixed:
Swaps ................................ $ 302,178 $ 3,314 $ 137 $ 534 $ 1,269 $ 1,374
Weighted average fixed rate
(4)
.............. 1.54% 1.12% 2.39% 3.66%
Forward-starting swaps
(5)
................... 22,412 371 — 123 (9) 257
Weighted average fixed rate
(4)
.............. — 3.47% 1.88% 4.19%
Total receive-fixed. . . . .................. 324,590 3,685 137 657 1,260 1,631
Basis (floating to floating) . . .................. 2,375 4 — — 4 —
Pay-fixed:
Swaps ................................ 338,035 (17,189) (273) (1,275) (3,297) (12,344)
Weighted average fixed rate
(4)
.............. 3.11% 2.21% 3.04% 4.02%
Forward-starting swaps
(5)
................... 56,259 (4,009) — — — (4,009)
Weighted average fixed rate
(4)
.............. — — — 4.54%
Total pay-fixed ........................ 394,294 (21,198) (273) (1,275) (3,297) (16,353)
Total interest-rate swaps . . . .................. 721,259 (17,509) (136) (618) (2,033) (14,722)
Option-based:
Call swaptions
Purchased . . . .......................... 114,110 8,391 2,793 2,684 1,428 1,486
Written ............................... 11,775 (244) (39) (23) (182) —
Put swaptions
Purchased . . . .......................... 59,975 1,404 144 451 226 583
Written ............................... 6,000 (8) (8) — — —
Other option-based derivatives
(6)
............... 47,234 1,450 (8) — (1) 1,459
Total option-based . . . . . .................. 239,094 10,993 2,882 3,112 1,471 3,528
Futures . ................................. 212,383 (167) (167) — — —
Foreign-currency swaps . . . . . .................. 2,021 172 — 123 49 —
Commitments
(7)
............................ 14,292 (20) (20) — — —
Swap guarantee derivatives . . . .................. 3,614 (36) — — (3) (33)
Subtotal .............................. 1,192,663 (6,567) $2,559 $ 2,617 $ (516) $(11,227)
Credit derivatives . .......................... 12,833 7
Subtotal .............................. 1,205,496 (6,560)
Derivative interest receivable (payable), net . . . . . . . . . . (820)
Trade/settle receivable (payable), net .............. 1
Derivative collateral (held) posted, net ............. 6,313
Total ................................. $1,205,496 $ (1,066)
(1) Fair value is categorized based on the period from December 31, 2010 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 fifteen years.
(6) Primarily includes purchased interest rate caps and floors.
(7) Commitments include: (a) our commitments to purchase and sell investments in securities; and (b) our commitments to purchase and extinguish or issue
debt securities of our consolidated trusts.
101 Freddie Mac