Freddie Mac 2014 Annual Report Download - page 232

227 Freddie Mac
December 31, 2013
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 $ 1,547 Risk metric Effective duration(1) 2.25 -5.17 years 2.44 years
133 Single external source External pricing source $99.3 - $99.3 $ 99.3
259 Other
Total Freddie Mac $ 40,659 1,939
Fannie Mae 91 Single external source External pricing source $110.5 - $110.5 $ 110.5
26 Median of external sources External pricing sources $104.1 - $105.3 $ 104.7
14 Other
Total Fannie Mae 10,797 131
Ginnie Mae 6 Median of external sources
6 Discounted cash flows
Total Ginnie Mae 167 12
CMBS 2,942 Single external source External pricing source $90.9 - $90.9 $ 90.9
167 Other
Total CMBS 30,338 3,109
Subprime, option ARM, and Alt-A:
Subprime 25,367 Median of external sources External pricing sources $64.5 - $73.8 $ 68.7
2,132 Other
Total subprime 27,499 27,499
Option ARM 4,995 Median of external sources External pricing sources $60.8 - $67.0 $ 64.4
705 Discounted cash flows OAS 461 - 944 bps 729 bps
874 Other
Total option ARM 6,574 6,574
Alt-A and other 4,028 Single external source External pricing source $83.4 - $83.4 $ 83.4
3,503 Median of external sources External pricing sources $72.5 - $79.1 $ 75.7
1,175 Other
Total Alt-A and other 8,706 8,706
Obligations of states and political subdivisions 3,067 Median of external sources External pricing sources $98.7 - $99.7 $ 99.2
428 Other
Total obligations of states and political subdivisions 3,495 3,495
Manufactured housing 577 Median of external sources External pricing sources $86.7 - $92.8 $ 89.7
107 Other
Total manufactured housing 684 684
Total available-for-sale mortgage-related securities 128,919 52,149
Trading, at fair value
Mortgage-related securities
Freddie Mac 297 Discounted cash flows OAS (5) - 9,441 bps 364 bps
46 Other
Total Freddie Mac 9,349 343
Fannie Mae 191 Discounted cash flows OAS (2,257) - 2,295 bps 199 bps
30 Other
Total Fannie Mae 7,180 221
Ginnie Mae 74 Median of external sources
Total Ginnie Mae 98 74
Other 7 Single external source
1 Other
Total other 141 8
Total trading mortgage-related securities 16,768 646
Total investments in securities $ 145,687 $ 52,795
Other assets:
Guarantee asset, at fair value $ 1,163 Discounted cash flows OAS 16 - 202 bps 53 bps
448 Median of external sources External pricing sources $11.6 - $25.4 $ 19.2
Total guarantee asset, at fair value $ 1,611 1,611
All other, at fair value 9 Other
Total all other, at fair value 9 9
Total other assets 1,620 1,620
Liabilities
Other debt, at fair value 1,000 Single external source External pricing source $100.0 - $100.0 $ 100.0
528 Median of external sources External pricing sources $100.0 - $100.1 $ 100.0
Total other debt recorded at fair value 2,683 1,528
Net derivatives 283 Single external source External pricing source $0.8 - $0.8 $ 0.8
37 Discounted cash flows
5 Other
Total net derivatives (883) 325
(1) Effective duration is used as a proxy to represent the aggregate impact of key rate durations.
The table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for
assets and liabilities measured on our consolidated balance sheets at fair value on a non-recurring basis using unobservable
inputs (Level 3) as of December 31, 2014 and 2013.
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