Freddie Mac 2015 Annual Report Download - page 268

Financial Statements Notes to the Consolidated Financial Statements | Note 8
Freddie Mac 2015 Form 10-K 266
GAINS AND LOSSES ON DERIVATIVES
The table below presents the gains and losses on derivatives, including the accrual of periodic cash
settlements, reported in our consolidated statements of comprehensive income as derivative gains
(losses).
Year Ended December 31,
(in millions) 2015 2014 2013
Interest-rate swaps:
Receive-fixed
Foreign-currency denominated $ — $ (1) $ (21)
U.S. dollar denominated 35 4,074 (10,400)
Total receive-fixed swaps 35 4,073 (10,421)
Pay-fixed (811) (11,366) 19,021
Basis (floating to floating) (2) (1) (2)
Total interest-rate swaps (778) (7,294) 8,598
Option based:
Call swaptions
Purchased 371 2,355 (2,547)
Written (9) (168)546
Put swaptions
Purchased (249) (1,006) (8)
Written 77 8 —
Other option-based derivatives(1) 68 248 (413)
Total option-based 258 1,437 (2,422)
Other:
Futures (5) (54) 21
Foreign-currency swaps — (7) 30
Commitments 63 239 (131)
Credit derivatives (37) 8 (3)
Other 1 5 6
Total other 22 191 (77)
Accrual of periodic cash settlements:
Receive-fixed interest-rate swaps 2,568 3,033 3,764
Pay-fixed interest-rate swaps (4,768) (5,660) (7,233)
Other 2 2 2
Total accrual of periodic cash settlements (2,198) (2,625) (3,467)
Total $ (2,696) $ (8,291) $ 2,632
(1) Primarily includes purchased interest-rate caps and floors and options on Treasury futures.