Freddie Mac 2014 Annual Report Download - page 231

226 Freddie Mac
Table 16.4 — Quantitative Information about Recurring Level 3 Fair Value Measurements
December 31, 2014
Total
Fair
Value
Level 3
Fair
Value
Predominant
Valuation
Technique(s)
Unobservable Inputs
Type Range Weighted
Average
(dollars in millions)
Recurring fair value measurements
Assets
Investments in securities
Available-for-sale, at fair value
Mortgage-related securities
Freddie Mac $ 2,980 Discounted cash flows OAS (146) - 144 bps 83 bps
375 Risk metric Effective duration(1) 0.18 - 7.54 years 3.82 years
143 Median of external sources External pricing sources $103.2 - $104.4 $ 103.8
733 Other
Total Freddie Mac $ 39,099 4,231
Fannie Mae 47 Median of external sources
29 Discounted cash flows
9 Other
Total Fannie Mae 11,313 85
Ginnie Mae 4 Discounted cash flows
Total Ginnie Mae 199 4
CMBS 2,726 Risk Metrics Effective duration(1) 5.84 - 10.65 years 9.59 years
748 Discounted cash flows OAS 181 -766 bps 421 bps
Total CMBS 21,822 3,474
Subprime, option ARM, and Alt-A:
Subprime 18,789 Median of external sources External pricing sources $71.0 - $76.1 $ 73.5
1,800 Other
Total subprime 20,589 20,589
Option ARM 5,205 Median of external sources External pricing sources $65.3 - $70.9 $ 67.9
444 Other
Total option ARM 5,649 5,649
Alt-A and other 4,116 Median of external sources External pricing sources $83.0 - $86.2 $ 84.5
911 Other
Total Alt-A and other 5,043 5,027
Obligations of states and political subdivisions 1,992 Median of external sources External pricing sources $101.3 - $101.9 $ 101.6
206 Other
Total obligations of states and political subdivisions 2,198 2,198
Manufactured housing 515 Median of external sources External pricing sources $89.3 - $92.4 $ 91.0
123 Single external source External pricing source $89.8 - $89.8 $ 89.8
Total manufactured housing 638 638
Total available-for-sale mortgage-related securities 106,550 41,895
Trading, at fair value
Mortgage-related securities
Freddie Mac 478 Discounted cash flows OAS (219) - 9,748 bps 169 bps
320 Risk Metrics Effective duration(1) 1.78 - 2.30 years 2.27 years
129 Other
Total Freddie Mac 17,469 927
Fannie Mae 207 Discounted cash flows OAS (173) - 2,027 bps 204 bps
25 Other
Total Fannie Mae 6,099 232
Ginnie Mae 16 1
Other 3 Median of external sources
1 Discounted cash flows
Total other 171 4
Total trading mortgage-related securities 23,755 1,164
Total investments in securities $ 130,305 $ 43,059
Other assets:
Guarantee asset, at fair value $ 1,285 Discounted cash flows OAS 17 - 202 bps 53 bps
341 Median of external sources External pricing sources $10.0 - $21.2 $ 16.6
Total guarantee asset, at fair value $ 1,626 1,626
All other, at fair value 5 Other
Total all other, at fair value 5 5
Total other assets 1,631 1,631
Liabilities
Net derivatives 10 Other
Total net derivatives 1,141 10
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