Freddie Mac 2010 Annual Report Download - page 270

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
CMBS .............................. — — 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
Other assets:
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
(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 $6.3 billion and $1 million, respectively, at December 31, 2010. The net cash collateral posted
and net trade/settle receivable were $2.5 billion and $1 million, respectively, at December 31, 2009. The net interest receivable (payable) of derivative
assets and derivative liabilities was approximately $(0.8) billion and $(0.6) billion at December 31, 2010 and 2009, respectively, which was mainly
related to interest rate swaps that we have entered into.
Recurring Fair Value Changes
For the year ended December 31, 2010, we did not have any significant transfers between Level 1 and Level 2 assets or
liabilities.
Our Level 3 items mainly consist of non-agency mortgage-related securities. Level 3 measurements consist of assets and
liabilities that are supported by little or no market activity where observable inputs generally are not available. The fair value
of these assets and liabilities is measured using significant inputs that are considered unobservable. Unobservable inputs
reflect assumptions based on the best information available under the circumstances. We use valuation techniques that
maximize the use of observable inputs, where available, and minimize the use of unobservable inputs. See “Valuation
Methods and Assumptions Subject to Fair Value Hierarchy” for additional information about the valuation methods and
assumptions used in our fair value measurements.
267 Freddie Mac