Freddie Mac 2015 Annual Report Download - page 267

Financial Statements Notes to the Consolidated Financial Statements | Note 8
Freddie Mac 2015 Form 10-K 265
DERIVATIVE ASSETS AND LIABILITIES AT FAIR VALUE
The table below presents the notional value and fair value of derivatives reported on our consolidated
balance sheets.
December 31, 2015 December 31, 2014
Notional or
Contractual
Amount
Derivatives at Fair Value Notional or
Contractual
Amount
Derivatives at Fair Value
(in millions) Assets Liabilities Assets Liabilities
Total derivative portfolio
Interest-rate swaps:
Receive-fixed $ 209,988 $ 4,591 $(486) $ 205,219 $ 5,243 $(487)
Pay-fixed 218,599 319 (11,736) 213,325 408 (12,829)
Basis (floating to floating) 1,125 1 — 300 2 —
Total interest-rate swaps 429,712 4,911 (12,222) 418,844 5,653 (13,316)
Option-based:
Call swaptions
Purchased 57,925 3,450 —56,390 3,315 —
Written 4,375 —(100)10,660 —(90)
Put Swaptions
Purchased 24,050 580 — 22,125 179 —
Written 11,025 — (28)3,560 — (9)
Other option-based derivatives(1) 12,088 791 — 19,733 730 (28)
Total option-based 109,463 4,821 (128) 112,468 4,224 (127)
Futures 56,332 — — 40,263 — —
Commitments 29,114 34 (28)27,054 40 (79)
Credit derivatives 3,899 25 (10)5,207 27 (11)
Other 3,033 —(23)3,204 —(27)
Total derivatives not designated
as hedging instruments 631,553 9,791 (12,411) 607,040 9,944 (13,560)
Derivative interest receivable
(payable) 814 (1,393) 817 (1,500)
Netting adjustments(2) (10,210)12,550 (9,939) 13,097
Total derivative portfolio, net $ 631,553 $ 395 $ (1,254) $ 607,040 $ 822 $(1,963)
(1) Primarily includes purchased interest-rate caps and floors and options on Treasury futures.
(2) Represents counterparty netting and cash collateral netting. Cash collateral amounts were a net was $2.3 billion and $3.2
billion at December 31, 2015 and 2014, respectively.
See Note 9 for information related to our derivative counterparties and collateral held and posted.