Freddie Mac 2008 Annual Report Download - page 114

Table 41 — Derivative Fair Values and Maturities
Notional or
Contractual Amount
Total Fair
Value
(2)
Less than
1 Year
1to3
Years
Greater than 3
and up to 5 Years
In Excess
of 5 Years
Fair Value
(1)
December 31, 2008
(dollars in millions)
Interest-rate swaps:
Receive-fixed:
Swaps ................................. $ 253,898 $ 19,574 $ 155 $ 3,787 $ 4,457 $ 11,175
Weighted-average fixed rate
(3)
............... 3.99% 3.42% 3.66% 4.67%
Forward-starting swaps
(4)
.................... 25,711 2,692 — — 411 2,281
Weighted-average fixed rate
(3)
............... — — 4.47% 5.09%
Total receive-fixed . . . .................... 279,609 22,266 155 3,787 4,868 13,456
Basis (floating to floating) . .................... 82,190 108 (101) 209 — —
Pay-fixed:
Swaps ................................. 309,324 (35,516) (261) (4,721) (3,793) (26,741)
Weighted-average fixed rate
(3)
............... 4.38% 3.72% 4.54% 4.58%
Forward-starting swaps
(4)
.................... 95,035 (16,274) — — (66) (16,208)
Weighted-average fixed rate
(3)
............... — — 5.24% 5.23%
Total pay-fixed ......................... 404,359 (51,790) (261) (4,721) (3,859) (42,949)
Total interest-rate swaps . . .................... 766,158 (29,416) (207) (725) 1,009 (29,493)
Option-based:
Call swaptions
Purchased . . . . .......................... 177,922 21,089 2,959 6,798 3,440 7,892
Put swaptions
Purchased . . . . .......................... 41,550 539 17 182 143 197
Written ................................ 6,000 (46) (3) (16) (27) —
Other option-based derivatives
(5)
................. 68,583 1,864 (44) — (1) 1,909
Total option-based ......................... 294,055 23,446 2,929 6,964 3,555 9,998
Futures. . . ................................. 128,698 (871) (858) (13) — —
Foreign-currency swaps ........................ 12,924 2,982 239 1,550 920 273
Forward purchase and sale commitments ............. 108,273 5 5 — — —
Swap guarantee derivatives . . .................... 3,281 (11) — — — (11)
Subtotal ................................ 1,313,389 (3,865) $2,108 $ 7,776 $ 5,484 $(19,233)
Credit derivatives. . . .......................... 13,631 38
Total . ................................. $1,327,020 $ (3,827)
(1) Fair value is categorized based on the period from December 31, 2008 until the contractual maturity of the derivative.
(2) The value of derivatives on our consolidated balance sheets is reported as derivative assets, net and derivative liability, net, and includes derivative
interest receivable (payable), net, trade/settle receivable (payable), net and derivative cash collateral (held) posted, net. Refer to “CONSOLIDATED
RESULTS OF OPERATIONS — Table 15 — Summary of the Effect of Derivatives on Selected Consolidated Financial Statement Captions” for
reconciliation of fair value to the amounts presented on our consolidated balance sheets as of December 31, 2008.
(3) Represents the notional weighted average rate for the fixed leg of the swaps.
(4) Represents interest-rate swap agreements that are scheduled to begin on future dates ranging from less than one year to ten years.
(5) Primarily represents purchased interest rate caps and floors, as well as written options, including guarantees of stated final maturity of issued Structured
Securities and written call options on PCs we issued.
Guarantee Asset
See “CONSOLIDATED RESULTS OF OPERATIONS — Non-Interest Income (Loss) — Gains (Losses) on Guarantee
Asset” for further discussion of gains (losses) on our guarantee asset. Table 42 summarizes changes in the guarantee asset
balance.
Table 42 — Changes in Guarantee Asset
2008 2007
December 31,
(in millions)
Beginning balance ......................................................................... $9,591 $ 7,389
Additions ............................................................................... 2,439 3,686
Other
(1)
................................................................................ (92) —
Components of fair value gains (losses):
Return of investment on guarantee asset . . ....................................................... (1,750) (1,739)
Change in fair value of management and guarantee fees .............................................. (5,341) 255
Gains (losses) on guarantee asset . . ............................................................. (7,091) (1,484)
Ending balance . .......................................................................... $4,847 $ 9,591
(1) Represents a reduction in our guarantee asset associated with the extinguishment of our previously issued long-term credit guarantees upon conversion
into either PCs or Structured Transactions.
The decrease in additions to our guarantee asset during 2008 compared to 2007 was primarily due to a decrease in the
overall issuance volume of our guaranteed securities. Our issuance volume progressively decreased during the second half of
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