Freddie Mac 2012 Annual Report Download - page 272

At December 31, 2012 and 2011, there were no amounts of cash collateral that were not offset against derivative assets,
net or derivative liabilities, net, as applicable. See “NOTE 15: CONCENTRATION OF CREDIT AND OTHER RISKS” for
further information related to our derivative counterparties.
Gains and Losses on Derivatives
The table below presents the gains and losses on derivatives reported in our consolidated statements of comprehensive
income.
Table 10.2 — Gains and Losses on Derivatives
Amount of Gain or (Loss)
Reclassified from AOCI into
Earnings (Effective Portion)
Derivatives in Cash Flow
Hedging Relationships(1)(2)
Year Ended December 31,
2012 2011 2010
(in millions)
Closed cash flow hedges(3) ............................................................... $ (612) $ (758) $ (1,010)
Derivatives not designated as hedging
instruments under the accounting
guidance for derivatives and hedging(5)
Derivative Gains (Losses)(4)
Year Ended December 31,
2012 2011 2010
(in millions)
Interest-rate swaps:
Receive-fixed
Foreign-currency denominated ........................................................ $ (33) $ (49) $ (119)
U.S. dollar denominated ............................................................. 2,686 12,686 9,825
Total receive-fixed swaps ............................................................ 2,653 12,637 9,706
Pay-fixed ......................................................................... (2,865) (22,999) (17,450)
Basis (floating to floating) ............................................................. 8 (5) 65
Total interest-rate swaps ............................................................. (204) (10,367) (7,679)
Option based:
Call swaptions
Purchased ....................................................................... 1,365 10,234 6,548
Written ......................................................................... (38) (2,337) (199)
Put swaptions
Purchased ....................................................................... (273) (1,614) (1,621)
Written ......................................................................... 6 14 82
Other option-based derivatives(6) ......................................................... 190 879 33
Total option-based ................................................................. 1,250 7,176 4,843
Futures ............................................................................. 11 (154) (210)
Foreign-currency swaps ................................................................. (8) (41) (468)
Commitments ........................................................................ 298 (1,340) (85)
Credit derivatives ..................................................................... — — 5
Swap guarantee derivatives .............................................................. 7 3 3
Other(7) ............................................................................. — 3 —
Subtotal .......................................................................... 1,354 (4,720) (3,591)
Accrual of periodic settlements:(8)
Receive-fixed interest-rate swaps(9) ....................................................... 3,511 4,173 6,381
Pay-fixed interest-rate swaps ........................................................... (7,318) (9,241) (10,909)
Foreign-currency swaps ............................................................... 4 22 19
Other ............................................................................ 1 14 15
Total accrual of periodic settlements ...................................................... (3,802) (5,032) (4,494)
Total ........................................................................... $(2,448) $ (9,752) $ (8,085)
(1) Derivatives that meet specific criteria may be accounted for as cash flow hedges. Net deferred gains and losses on closed cash flow hedges (i.e., where
the derivative is either terminated or redesignated) are included in AOCI until the related forecasted transaction affects earnings or is determinedtobe
probable of not occurring.
(2) No amounts of gains or (losses) were recognized in AOCI on derivatives (effective portion) and in other income (ineffective portion and amount
excluded from effectiveness testing).
(3) Amounts reported in AOCI linked to interest payments on long-term debt are recorded in other debt interest expense and amounts not linked to interest
payments on long-term debt are recorded in expense related to derivatives.
(4) Gains (losses) are reported as derivative gains (losses) on our consolidated statements of comprehensive income.
(5) See “Use of Derivatives” for additional information about the purpose of entering into derivatives not designated as hedging instruments and our overall
risk management strategies.
(6) Primarily includes purchased interest-rate caps and floors.
(7) Related to the bankruptcy of Lehman Brothers Holdings, Inc.
(8) For derivatives not in qualifying hedge accounting relationships, the accrual of periodic cash settlements is recorded in derivative gains (losses) on our
consolidated statements of comprehensive income.
(9) Includes imputed interest on zero-coupon swaps.
267 Freddie Mac