CONGRESS

Table 15. Freddie Mac Financial Derivatives
End of
Period
Interest
Rate
Swaps a
($)
Interest
Rate Caps,
Floors, and
Corridors
($)
Foreign
Currency
Contracts
($)
Financial Derivatives – Notional Amount Outstanding ($ in Millions)
Over-the-
Counter Futures,
Options, and
Forward Rate
Agreements
($)
Treasury-
Based
Contracts b
($)
Exchange-
Traded
Futures,
Options
and Other
Derivatives
($)
Credit
Derivatives c Commitments d
($)
($)
4Q15 429,712 10,000 0 99,463 1,332 55,000 3,899 29,114 3,033 631,553
3Q15 423,842 10,000 0 83,135 300 65,000 4,714 53,625 3,081 643,697
2Q15 412,931 10,000 0 86,545 300 20,000 4,953 46,000 3,164 583,893
1Q15 401,701 10,000 0 87,791 2,723 20,000 5,260 58,050 3,159 588,684
Annual Data
2015 429,712 10,000 0 99,463 1,332 55,000 3,899 29,114 3,033 631,553
2014 418,844 10,000 0 95,260 7,471 40,000 5,207 27,054 3,204 607,040
2013 524,624 19,000 528 103,010 270 50,000 5,386 18,731 3,477 725,026
2012 547,491 28,000 1,167 90,585 1,185 39,938 8,307 25,530 3,628 745,831
2011 503,893 28,000 1,722 182,974 2,250 41,281 10,190 14,318 3,621 788,249
2010 721,259 28,000 2,021 207,694 4,193 211,590 12,833 14,292 3,614 1,205,496
2009 705,707 35,945 5,669 287,193 540 159,659 14,198 13,872 3,521 1,226,304
2008 766,158 36,314 12,924 251,426 28,403 106,610 13,631 108,273 3,281 1,327,020
2007 711,829 0 20,118 313,033 0 196,270 7,667 72,662 1,302 1,322,881
2006 440,879 0 29,234 252,022 2,000 20,400 2,605 10,012 957 758,109
2005 341,008 45 37,850 193,502 0 86,252 2,414 21,961 738 683,770
2004 178,739 9,897 56,850 224,204 2,001 127,109 10,926 32,952 114,100 756,778
2003 287,592 11,308 46,512 349,650 8,549 122,619 15,542 89,520 152,579 1,083,871
2002 290,096 11,663 43,687 277,869 17,900 210,646 17,301 191,563 117,219 1,177,944
2001 442,771 12,178 23,995 187,486 13,276 358,500 10,984 121,588 0 1,170,778
2000 277,888 12,819 10,208 113,064 2,200 22,517 N/A N/A 35,839 474,535
1999 126,580 19,936 1,097 172,750 8,894 94,987
Not Applicable
Before 2000
Other e
($)
Total
($)
Not Applicable
Before 2000 0 424,244
1998 57,555 21,845 1,464 63,000 11,542 157,832 0 313,238
1997 54,172 21,995 1,152 6,000 12,228 0 0 95,547
1996 46,646 14,095 544 0 651 0 0 61,936
1995 45,384 13,055 0 0 24 0 0 58,463
1994 21,834 9,003 0 0 0 0 0 30,837
1993 17,888 1,500 0 0 0 0 0 19,388
Source: Freddie Mac
N/A = not available
a Amounts for 2010 through the current period include exchange-settled interest rate swaps.
b Amounts for years 2002 through the current period include exchange-traded.
c Amounts included in “Other” in 2000, not applicable in prior years.
d Commitments include commitments to purchase and sell investments in securities and mortgage loans and commitments to purchase and extinguish or issue debt securities of consolidated trusts. Years
before 2004 include commitments to purchase and sell various debt securities.
e Includes prepayment management agreement and swap guarantee derivatives.
108 FEDERAL HOUSING FINANCE AGENCY