Freddie Mac 2014 Annual Report Download - page 193

188 Freddie Mac
Table 9.1 — Derivative Assets and Liabilities at Fair Value
December 31, 2014 December 31, 2013
Notional or
Contractual
Amount
Derivatives at Fair Value Notional or
Contractual
Amount
Derivatives at Fair Value
Assets Liabilities Assets Liabilities
(in millions)
Total derivative portfolio
Derivatives not designated as hedging
instruments under the accounting guidance for
derivatives and hedging
Interest-rate swaps:
Receive-fixed $ 205,219 $ 5,243 $ (487) $ 281,727 $ 4,475 $ (2,438)
Pay-fixed 213,325 408 (12,829) 242,597 5,540 (10,879)
Basis (floating to floating) 300 2 — 300 4 —
Total interest-rate swaps 418,844 5,653 (13,316) 524,624 10,019 (13,317)
Option-based:
Call swaptions
Purchased 56,390 3,315 — 59,290 2,373 —
Written 10,660 — (90) 5,945 — (201)
Put Swaptions
Purchased 22,125 179 — 33,410 698 —
Written 3,560 — (9) — — —
Other option-based derivatives(1) 19,733 730 (28) 23,365 1,041 (3)
Total option-based 112,468 4,224 (127) 122,010 4,112 (204)
Futures 40,263 — — 50,270 — —
Foreign-currency swaps — — — 528 39 —
Commitments 27,054 40 (79) 18,731 61 (69)
Credit derivatives 5,207 27 (11) 5,386 — (6)
Swap guarantee derivatives 3,204 — (27) 3,477 — (31)
Total derivatives not designated as hedging
instruments 607,040 9,944 (13,560) 725,026 14,231 (13,627)
Derivative interest receivable (payable) 817 (1,500) 1,243 (1,835)
Netting adjustments(2) (9,939) 13,097 (14,411) 15,282
Total derivative portfolio, net $ 607,040 $ 822 $ (1,963) $ 725,026 $ 1,063 $ (180)
(1) Primarily includes purchased interest-rate caps and floors and options on Treasury futures.
(2) Represents counterparty netting and cash collateral netting. Net cash collateral posted was $3.2 billion and $871 million at December 31, 2014 and
2013, respectively.
The carrying value of our derivatives on our consolidated balance sheets is equal to their fair value, including net
derivative interest receivable or payable and net trade/settle receivable or payable, and is net of cash collateral held or posted,
where allowable. Derivatives in a net asset position are reported as derivative assets, net. Similarly, derivatives in a net liability
position are reported as derivative liabilities, net.
See “NOTE 10: COLLATERAL AND OFFSETTING OF ASSETS AND LIABILITIES” for information related to our
derivative counterparties and collateral held and posted.
Gains and Losses on Derivatives
The table below presents the gains and losses on derivatives, including the accrual of periodic cash settlements, reported
in our consolidated statements of comprehensive income as derivate gains (losses).
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