Freddie Mac 2011 Annual Report Download - page 126

Table 31 — Derivative Fair Values and Maturities
Notional or
Contractual
Amount
(2)
Total Fair
Value
(3)
Less than
1 Year
1to3
Years
Greater than 3
and up to 5 Years
In Excess
of 5 Years
Fair Value
(1)
December 31, 2011
(dollars in millions)
Interest-rate swaps:
Receive-fixed:
Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $195,716 $ 10,651 $ 22 $ 390 $ 2,054 $ 8,185
Weighted average fixed rate
(4)
. . . . . . . . . . . . . . . . . . . 1.17% 1.03% 2.26% 3.35%
Forward-starting swaps
(5)
. . . . . . . . . . . . . . . . . . . . . . . 16,092 2,239 — — — 2,239
Weighted average fixed rate
(4)
................... —% —% —% 3.96%
Total receive-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . 211,808 12,890 22 390 2,054 10,424
Basis (floating to floating) . . . . . . . . . . . . . . . . . . . . . . . . 2,750 (2) — (6) 4 —
Pay-fixed:
Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 276,564 (31,565) (62) (1,319) (6,108) (24,076)
Weighted average fixed rate
(4)
. . . . . . . . . . . . . . . . . . . 1.59% 2.20% 3.13% 3.84%
Forward-starting swaps
(5)
. . . . . . . . . . . . . . . . . . . . . . . 12,771 (2,923) — — — (2,923)
Weighted average fixed rate
(4)
................... —% —% —% 5.16%
Total pay-fixed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 289,335 (34,488) (62) (1,319) (6,108) (26,999)
Total interest-rate swaps . . . . . . . . . . . . . . . . . . . . . . . . . . 503,893 (21,600) (40) (935) (4,050) (16,575)
Option-based:
Call swaptions
Purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76,275 12,975 5,348 3,895 816 2,916
Written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,525 (2,932) (118) (2,556) (258) —
Put swaptions
Purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70,375 638 24 49 166 399
Written. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 500 (2) (2) — — —
Other option-based derivatives
(6)
. . . . . . . . . . . . . . . . . . . . 38,549 2,254 — — — 2,254
Total option-based . . . . . . . . . . . . . . . . . . . . . . . . . . . . 213,224 12,933 5,252 1,388 724 5,569
Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41,281 5 5 — — —
Foreign-currency swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,722 97 34 63 — —
Commitments
(7)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,318 (56) (56) — — —
Swap guarantee derivatives. . . . . . . . . . . . . . . . . . . . . . . . . . 3,621 (37) — (1) (1) (35)
Subtotal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 778,059 (8,658) $5,195 $ 515 $(3,327) $(11,041)
Credit derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,190 (4)
Subtotal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 788,249 (8,662)
Derivative interest receivable (payable), net . . . . . . . . . . . . . . (1,069)
Trade/settle receivable (payable), net . . . . . . . . . . . . . . . . . . . 1
Derivative cash collateral (held) posted, net . . . . . . . . . . . . . . 9,413
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $788,249 $ (317)
(1) Fair value is categorized based on the period from December 31, 2011 until the contractual maturity of the derivative.
(2) Notional or contractual amounts are used to calculate the periodic settlement amounts to be received or paid and generally do not represent actual
amounts to be exchanged. Notional or contractual amounts are not recorded as assets or liabilities on our consolidated balance sheets.
(3) The value of derivatives on our consolidated balance sheets is reported as derivative assets, net and derivative liabilities, net, and includes derivative
interest receivable or (payable), net, trade/settle receivable or (payable), net and derivative cash collateral (held) or posted, net.
(4) Represents the notional weighted average rate for the fixed leg of the swaps.
(5) Represents interest-rate swap agreements that are scheduled to begin on future dates ranging from less than one year to thirteen years as of
December 31, 2011.
(6) Primarily includes purchased interest-rate caps and floors.
(7) Commitments include: (a) our commitments to purchase and sell investments in securities; (b) our commitments to purchase mortgage loans; and
(c) our commitments to purchase and extinguish or issue debt securities of our consolidated trusts.
At December 31, 2011, the net fair value of our total derivative portfolio was $(317) million, as compared to
$(1.1) billion at December 31, 2010. During the year ended December 31, 2011, the fair value of our total derivative
portfolio increased primarily due to additional cash collateral we posted to our counterparties during this period, partially
offset by the impact of declines in interest rates. See “NOTE 11: DERIVATIVES” for the notional or contractual amounts
and related fair values of our total derivative portfolio by product type at December 31, 2011 and 2010, as well as
derivative collateral posted and held.
121 Freddie Mac