Freddie Mac 2015 Annual Report Download - page 20

Management's Discussion and Analysis Consolidated Results of Operations | Comparison
Freddie Mac 2015 Form 10-K 18
Year Ended December 31,
(in billions) 2015 2014 2013
Components of derivative gains (losses)
Derivative gains (losses) $ (2.7) $ (8.3) $ 2.6
Less: Accrual of periodic cash settlements (2.2)(2.6)(3.5)
Derivative fair value changes $ (0.5) $ (5.7) $ 6.1
Estimated Net Interest Rate Effect
Interest rate effect on derivative fair values $ (0.5) $ (5.5) $ 5.9
Estimate of offsetting interest rate effect related to financial instruments
measured at fair value 0.2 2.0 (4.0)
Income tax benefit (expense) 0.1 1.2 (0.7)
Estimated Net Interest Rate Effect on Comprehensive income $(0.2) $ (2.3) $ 1.2
As this table demonstrates, the estimated net effect of derivatives used in our interest-rate risk
management activities on our comprehensive income is volatile, and can be significant. For information
about the sensitivity of our financial results to interest-rate volatility, see "Risk Management - Interest-
Rate Risk and Other Market Risks."
Effects of Changes in Asset Spreads
Comprehensive income was impacted by an estimated $(0.1) billion, $2.0 billion, and $2.5 billion (after-
tax) for 2015, 2014, and 2013, respectively, due to the impact of credit spread tightening (widening) on
certain mortgage loans and mortgage-related securities measured at fair value.