Freddie Mac 2004 Annual Report Download - page 68

Table 27 provides a quarterly and full year summary of the period-end notional amounts and gains and
losses related to swaps, swaptions and other derivatives that we used to manage interest-rate risk but were not
accounted for in hedge accounting relationships for 2004 and 2003.
Table 27 Ì Derivatives Not in Hedge Accounting Relationships
Year Ended
1Q 2004 2Q 2004 3Q 2004 4Q 2004 December 31, 2004
Derivative Derivative Derivative Derivative
Gains Gains Gains Gains Derivative Gains
Notional (Losses) Notional (Losses) Notional (Losses) Notional (Losses) (Losses)
(dollars in billions)
Call swaptions ÏÏÏÏÏ $223.5 $2.7 $226.4 $(5.0) $207.1 $ 3.1 $189.9 $(0.4) $ 0.4
Put swaptionsÏÏÏÏÏÏ 128.7 (1.2) 88.7 1.0 70.8 (1.1) 25.2 (0.1) (1.4)
Receive-Ñxed swaps 0.8 (0.1) 0.7 (0.1) 2.7 Ì 25.6 (0.2) (0.4)
Pay-Ñxed swaps ÏÏÏÏ 29.7 (1.2) 156.1 5.7 150.1 (5.0) 95.0 (0.4) (0.9)
Other(1)ÏÏÏÏÏÏÏÏÏÏÏ 442.6 0.1 379.8 (0.6) 436.3 Ì 286.8 Ì (0.5)
Subtotal ÏÏÏÏÏÏÏÏ 825.3 0.3 851.7 1.0 867.0 (3.0) 622.5 (1.1) (2.8)
Accrual of periodic
settlements:
Receive-Ñxed
swaps ÏÏÏÏÏÏÏÏ Ì Ì Ì 0.1 0.1
Pay-Ñxed swaps ÏÏ (0.2) (0.6) (0.6) (0.4) (1.8)
Subtotal ÏÏÏÏÏÏÏÏ (0.2) (0.6) (0.6) (0.3) (1.7)
Total ÏÏÏÏÏÏÏÏÏ $825.3 $0.1 $851.7 $ 0.4 $867.0 $(3.6) $622.5 $(1.4) $(4.5)
Year Ended
1Q 2003 2Q 2003 3Q 2003 4Q 2003 December 31, 2003
Derivative Derivative Derivative Derivative
Gains Gains Gains Gains Derivative Gains
Notional (Losses) Notional (Losses) Notional (Losses) Notional (Losses) (Losses)
(dollars in billions)
Call swaptions ÏÏÏÏÏ $153.4 $0.3 $167.8 $3.1 $173.8 $(3.1) $216.9 $(0.9) $(0.6)
Put swaptionsÏÏÏÏÏÏ 134.5 (0.3) 155.6 (0.3) 146.3 0.3 123.1 Ì (0.3)
Receive-Ñxed
swaps(2)ÏÏÏÏÏÏÏÏÏ 52.6 0.2 24.0 0.6 31.5 (0.5) 13.8 (0.5) (0.2)
Pay-Ñxed swaps ÏÏÏÏ 28.9 0.2 60.5 (0.4) 57.8 2.1 47.1 0.9 2.8
Other(1)(2)(3)ÏÏÏÏÏÏÏ 553.6 0.6 572.7 0.7 487.7 (1.5) 395.4 (0.5) (0.7)
Subtotal ÏÏÏÏÏÏÏÏ 923.0 1.0 980.6 3.7 897.1 (2.7) 796.3 (1.0) 1.0
Accrual of periodic
settlements ÏÏÏÏÏÏ (0.1) (0.2) (0.4) (0.3) (1.0)
Total ÏÏÏÏÏÏÏÏÏÏÏ $923.0 $0.9 $980.6 $3.5 $897.1 $(3.1) $796.3 $(1.3) $ Ì
(1) Other consists of basis swaps, certain option-based contracts, futures, foreign-currency swaps, commitments, derivatives held as part
of our external Money Manager program and other derivatives not accounted for in hedge accounting relationships, including a
prepayment management agreement and credit derivatives.
(2) We reclassiÑed the notional amounts of certain foreign-currency swaps from Receive-Ñxed swaps to Other to conform with the 2004
presentation.
(3) Subsequent to the issuance of our Information Statement dated September 24, 2004, we increased the December 31, 2003 notional
amounts of commitments and swap guarantee derivatives that are subject to the requirements of SFAS 133 and SFAS 149 and are
not in hedge accounting relationships by $200 million and $31 million, respectively. The net eÅect of these changes was an increase
to the notional amount for no hedge designation to $796.3 billion from $796.0 billion at December 31, 2003. Also, subsequent to the
issuance of our Information Statement Supplement dated March 31, 2005, we revised the notional amounts of written options and
swap guarantee derivatives that are not in hedge accounting relationships for the following periods: (a) reduced 1Q 2003 notional
amount of written options by $708 million, (b) reduced 1Q 2004 notional amount of written options by $216 million, (c) reduced 4Q
2004 notional amount of written options by $134 million and increased 4Q 2004 notional amount of swap guarantee derivatives by
$13 million. The net eÅect of these changes were decreases to the notional amounts for no hedge designation to $923.0 billion from
$923.7 billion at March 31, 2003, to $825.3 billion from $825.5 billion at March 31, 2004 and to $622.5 billion from $622.6 billion at
December 31, 2004. The net eÅect of these changes on fair value and on Derivative gains (losses) was immaterial.
Derivative gains (losses) totaled ($4,475) million, $39 million, and $5,302 million in 2004, 2003 and
2002, respectively. As discussed previously, this Ñnancial statement caption is aÅected by the change in the
fair value of derivatives as well as the accrual of periodic settlements in accordance with the contractual terms
of all derivatives not in hedge accounting relationships. There was signiÑcant volatility in the quarterly results
due to changes in the fair values of our derivatives and changes in the composition of our portfolio of
derivatives not in hedge accounting relationships. In addition, the notional balance of our pay-Ñxed swaps not
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