Freddie Mac 2015 Annual Report Download - page 76
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Management's Discussion and Analysis Our Business Segments | Investments
Freddie Mac 2015 Form 10-K 74
rates rise, we recognize derivative gains. The opposite is true with respect to a receive-fixed interest-
rate swap.
• As our derivative portfolio is referenced to different maturity terms along the yield curve, a change in
the shape of the yield curve (flattening or steepening) will also affect the fair value of our derivatives.
• The Federal Reserve decided in December 2015 to begin raising short-term interest rates but
committed to a measured pace of monetary tightening. As a result, shorter-term interest rates,
including the 3-month LIBOR rates, increased in December 2015. However, the magnitude and timing
of the impact of the Federal Reserve’s action on mortgage and other longer-term rates is uncertain.