Freddie Mac 2014 Annual Report Download - page 196

191 Freddie Mac
Table 10.1 — Offsetting of Financial Assets and Liabilities
December 31, 2014
Gross
Amount
Recognized
Amount Offset
in the Consolidated
Balance Sheets
Net Amount
Presented in
the Consolidated
Balance Sheets(1)
Gross Amount
Not Offset in
the Consolidated
Balance Sheets(2) Net Amount
(in millions)
Assets:
Derivatives:
Over-the-counter interest-rate swaps and option-
based derivatives $ 10,315 $ (9,688) $ 627 $ (453) $ 174
Cleared and exchange-traded derivatives 379 (251) 128 — 128
Other 67 — 67 — 67
Total derivatives 10,761 (9,939) 822 (453) 369
Securities purchased under agreements to resell 51,903 — 51,903 (51,903) —
Total $ 62,664 $ (9,939) $ 52,725 $ (52,356) $ 369
Liabilities:
Derivatives:
Over-the-counter interest-rate swaps and option-
based derivatives $ (10,666) $ 8,845 $ (1,821) $ 1,743 $ (78)
Cleared and exchange-traded derivatives (4,277) 4,252 (25) — (25)
Other (117) — (117) — (117)
Total $ (15,060) $ 13,097 $ (1,963) $ 1,743 $ (220)
December 31, 2013
Gross
Amount
Recognized
Amount Offset in
the Consolidated
Balance Sheets
Net Amount
Presented in the
Consolidated
Balance Sheets(1)
Gross Amount
Not Offset in the
Consolidated
Balance Sheets(2) Net Amount
(in millions)
Assets:
Derivatives:
Over-the-counter interest-rate and foreign-
currency swaps, and option-based derivatives $ 13,886 $ (13,266) $ 620 $ (432) $ 188
Cleared and exchange-traded derivatives 1,527 (1,145) 382 — 382
Other 61 — 61 — 61
Total derivatives 15,474 (14,411) 1,063 (432) 631
Securities purchased under agreements to resell 62,383 — 62,383 (62,383) —
Total $ 77,857 $ (14,411) $ 63,446 $ (62,815) $ 631
Liabilities:
Derivatives:
Over-the-counter interest-rate and foreign-
currency swaps, and option-based derivatives $ (14,616) $ 14,545 $ (71) $ — $ (71)
Cleared and exchange-traded derivatives (737) 737 — — —
Other (109) — (109) — (109)
Total $ (15,462) $ 15,282 $ (180) $ — $ (180)
(1) For derivatives, includes cash collateral posted or held in excess of exposure.
(2) Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability presented on the
consolidated balance sheets. For cleared and exchange-traded derivatives, does not include non-cash collateral posted by us with an aggregate fair value
of $2.3 billion and $0.6 billion as of December 31, 2014 and 2013, respectively.
Collateral Pledged
Collateral Pledged to Freddie Mac
Our counterparties are required to pledge collateral for transactions involving securities purchased under agreements to
resell. Also, most derivative instruments are subject to collateral posting thresholds as prescribed by the collateral agreements
with our counterparties. Under the derivative collateral agreements, U.S. Treasury securities, Freddie Mac mortgage-related
securities, and cash may be pledged. We consider the types of securities being pledged to us as collateral when determining
how much we lend in transactions involving securities purchased under agreements to resell. Additionally, we regularly review
the market values of these securities compared to amounts loaned and derivative counterparty collateral posting thresholds in
an effort to manage our exposure to losses.
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