Freddie Mac 2009 Annual Report Download - page 301

Table 18.1 — Assets and Liabilities Measured at Fair Value on a Recurring Basis
Quoted Prices in
Active Markets for
Identical Assets
(Level 1)
Significant Other
Observable Inputs
(Level 2)
Significant
Unobservable Inputs
(Level 3)
Netting
Adjustment
(1)
Total
Fair Value at December 31, 2009
(in millions)
Assets:
Investments in securities:
Available-for-sale, at fair value:
Mortgage-related securities:
Freddie Mac ................................... $ — $202,660 $ 20,807 $ — $223,467
Subprime . .................................... — — 35,721 — 35,721
Commercial mortgage-backed securities . ................. — — 54,019 — 54,019
Option ARM . . . ............................... — — 7,236 — 7,236
Alt-A and other . . ............................... — 16 13,391 — 13,407
Fannie Mae ................................... — 35,208 338 — 35,546
Obligations of states and political subdivisions . . ............ — — 11,477 — 11,477
Manufactured housing . . ........................... — — 911 — 911
Ginnie Mae ................................... — 343 4 — 347
Total mortgage-related securities ..................... — 238,227 143,904 — 382,131
Non-mortgage-related securities:
Asset-backed securities . ........................... — 2,553 — — 2,553
Total available-for-sale securities, at fair value . . . ........ — 240,780 143,904 — 384,684
Trading, at fair value:
Mortgage-related securities:
Freddie Mac ................................... — 168,150 2,805 — 170,955
Fannie Mae ................................... — 33,021 1,343 — 34,364
Ginnie Mae ................................... — 158 27 — 185
Other . . . .................................... — — 28 — 28
Total mortgage-related securities ..................... — 201,329 4,203 — 205,532
Non-mortgage-related securities:
Asset-backed securities . ........................... — 1,492 — — 1,492
Treasury Bills . . . ............................... 14,787 — — — 14,787
FDIC-guaranteed corporate medium-term notes . . ............ — 439 — — 439
Total non-mortgage-related securities. . ................. 14,787 1,931 — — 16,718
Total trading securities, at fair value . ................. 14,787 203,260 4,203 — 222,250
Total investments in securities . . . ................. 14,787 444,040 148,107 — 606,934
Mortgage Loans:
Held-for-sale, at fair value . . ........................... — — 2,799 — 2,799
Derivative assets, net . . . ............................... 5 19,409 124 (19,323) 215
Guarantee asset, at fair value . . ........................... — — 10,444 — 10,444
Total assets carried at fair value on a recurring basis .......... $14,792 $463,449 $161,474 $(19,323) $620,392
Liabilities:
Debt securities recorded at fair value . . ...................... $ — $ 8,918 $ — $ — $ 8,918
Derivative liabilities, net . ............................... 89 21,162 554 (21,216) 589
Total liabilities carried at fair value on a recurring basis ........ $ 89 $30,080 $ 554 $(21,216) $ 9,507
Quoted Prices in
Active Markets for
Identical Assets
(Level 1)
Significant Other
Observable Inputs
(Level 2)
Significant
Unobservable Inputs
(Level 3)
Netting
Adjustment
(1)
Total
Fair Value at December 31, 2008
(in millions)
Assets:
Investments in securities:
Available-for-sale, at fair value
Mortgage-related securities ........................... $ — $344,364 $105,740 $ — $450,104
Non-mortgage-related securities . . . ...................... — 8,794 — — 8,794
Subtotal available-for-sale, at fair value . . ................. — 353,158 105,740 — 458,898
Trading, at fair value . . ...............................
Mortgage-related securities ........................... — 188,161 2,200 — 190,361
Total investments in securities . ...................... — 541,319 107,940 — 649,259
Mortgage loans:
Held-for-sale, at fair value . . ........................... — — 401 — 401
Derivative assets, net . . . ............................... 233 49,567 137 (48,982) 955
Guarantee asset, at fair value . . ........................... — — 4,847 — 4,847
Total assets carried at fair value on a recurring basis .......... $ 233 $590,886 $113,325 $(48,982) $655,462
Liabilities:
Debt securities denominated in foreign currencies ................. $ — $13,378 $ — $ — $ 13,378
Derivative liabilities, net . ............................... 1,150 52,577 37 (51,487) 2,277
Total liabilities carried at fair value on a recurring basis ........ $1,150 $ 65,955 $ 37 $(51,487) $ 15,655
(1) Represents counterparty netting, cash collateral netting, net trade/settle receivable or payable and net derivative interest receivable or payable. The net
cash collateral posted and net trade/settle receivable were $2.5 billion and $1 million, respectively, at December 31, 2009. The net cash collateral posted
and net trade/settle payable were $1.5 billion and $— million, respectively, at December 31, 2008. The net interest receivable (payable) of derivative
assets and derivative liabilities was approximately $(0.6) billion and $1.1 billion at December 31, 2009 and 2008, respectively, which was mainly
related to interest rate swaps that we have entered into.
298 Freddie Mac