Freddie Mac 2014 Annual Report Download - page 225

220 Freddie Mac
Year Ended December 31, 2013
Realized and unrealized gains (losses)
Balance,
January 1,
2013 Included in earnings(1)
Included in
other
comprehensive
income(1) Total Purchases Issues Sales Settlements,
net
Transfers
into
Level 3
Transfers
out of
Level 3
Balance,
December 31,
2013
Unrealized
gains
(losses)
still held
(in millions)
Assets
Investments in
securities:
Available-for-sale,
at fair value:
Mortgage-
related
securities:
Freddie Mac $ 1,802 $ 2 $ 109 $ 111 $ 239 $ — $ (86) $ (152) $ 25 $ — $ 1,939 $ —
Fannie Mae 163 — (3) (3) — — — (29) — — 131 —
Ginnie Mae 16 — — — — — — (4) — — 12 —
CMBS 3,429 6 (266) (260) — — (36) (24) — — 3,109 —
Subprime 26,457 (1,260) 6,648 5,388 — — (403) (3,943) — — 27,499 (1,258)
Option ARM 5,717 (61) 1,694 1,633 — — (75) (701) — — 6,574 (58)
Alt-A and
other 10,904 (128) 1,341 1,213 — — (2,001) (1,410) — — 8,706 (179)
Obligations
of states and
political
subdivisions 5,798 13 (188) (175) (10) — (533) (1,585) — — 3,495 —
Manufactured
housing 709 (1) 62 61 — — — (86) — — 684 (1)
Total
available-
for-sale
mortgage-
related
securities 54,995 (1,429) 9,397 7,968 229 — (3,134) (7,934) 25 — 52,149 (1,496)
Trading, at fair
value:
Mortgage-
related
securities:
Freddie Mac 1,165 (50) — (50) 1,271 269 (1,476) (64) 1 (773) 343 (53)
Fannie Mae 312 (42) — (42) 2 — (2) (25) 43 (67) 221 (42)
Ginnie Mae 92 (1) — (1) 3 — — (15) — (5) 74 (1)
Other 21 — — — — — — (3) — (10) 8 —
Total
trading
mortgage-
related
securities 1,590 (93) — (93) 1,276 269 (1,478) (107) 44 (855) 646 (96)
Mortgage Loans
Held-for-sale, at
fair value(5) 14,238 — — — — — — — — (14,238) — —
Other assets:
Guarantee asset(3) 1,029 4 — 4 — 688 — (110) — — 1,611 4
All other, at fair
value 114 30 — 30 — — (135) — — — 9 7
Total other
assets 1,143 34 — 34 — 688 (135) (110) — — 1,620 11
Realized and unrealized (gains) losses
Balance,
January 1,
2013 Included in earnings(1)
Included in
other
comprehensive
income(1) Total Purchases Issues Sales Settlements,
net
Transfers
into
Level 3
Transfers
out of
Level 3
Balance,
December 31,
2013
Unrealized
(gains)
losses
still held
(in millions)
Liabilities
Other debt, at fair
value $ 2,187 $ 11 $ — $ 11 $ — $1,130 $ — $ (670) $ — $ (1,130) $ 1,528 $ 4
Net derivatives(4) 47 301 — 301 — 12 — (35) — — $ 325 274
(1) Changes in fair value for available-for-sale securities are recorded in AOCI, while gains and losses from sales are recorded in other gains (losses) on
investment securities recognized in earnings on our consolidated statements of comprehensive income. For mortgage-related securities classified as
trading, the realized and unrealized gains (losses) are recorded in other gains (losses) on investment securities recognized in earnings on our
consolidated statements of comprehensive income.
(2) Transfers out of Level 3 during the year ended December 31, 2014 consist primarily of certain mortgage-related securities and certain derivatives due
to an increased volume and level of activity in the market and availability of price quotes from dealers and third-party pricing services. Transfers into
Level 3 during the year ended December 31, 2014 consist primarily of certain mortgage-related securities due to a lack of market activity and relevant
price quotes from dealers and third-party pricing services.
(3) Changes in fair value of the guarantee asset are recorded in other income on our consolidated statements of comprehensive income.
(4) Amounts are prior to counterparty netting, cash collateral netting, net trade/settle receivable or payable and net derivative interest receivable or payable.
(5) For held-for-sale mortgage loans with the fair value option elected, gains (losses) on fair value changes and from sales of mortgage loans are recorded
in other income on our consolidated statements of comprehensive income.
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