Freddie Mac 2014 Annual Report Download - page 234

229 Freddie Mac
Table 16.6 — Fair Value of Financial Instruments
December 31, 2014
Fair Value
GAAP Carrying
Amount Level 1 Level 2 Level 3 Netting Adjustments Total
(in millions)
Financial Assets
Cash and cash equivalents $ 10,928 $ 10,928 $ — $ — $ — $ 10,928
Restricted cash and cash equivalents 8,535 8,535 — — — 8,535
Federal funds sold and securities purchased
under agreements to resell 51,903 — 51,903 — — 51,903
Investments in securities:
Available-for-sale, at fair value 106,550 — 64,655 41,895 — 106,550
Trading, at fair value 30,437 6,682 22,591 1,164 — 30,437
Total investments in securities 136,987 6,682 87,246 43,059 — 136,987
Mortgage loans:
Mortgage loans held by consolidated trusts 1,558,094 — 1,387,412 197,896 — 1,585,308
Unsecuritized mortgage loans 142,486 — 22,305 119,157 — 141,462
Total mortgage loans 1,700,580 — 1,409,717 317,053 — 1,726,770
Derivative assets, net 822 5 9,912 27 (9,122) 822
Guarantee asset 1,626 — — 1,837 — 1,837
Total financial assets $ 1,911,381 $ 26,150 $ 1,558,778 $ 361,976 $ (9,122) $ 1,937,782
Financial Liabilities
Debt, net:
Debt securities of consolidated trusts held
by third parties $ 1,479,473 $ — $ 1,521,508 $ 1,364 $ — $ 1,522,872
Other debt 450,069 — 444,748 13,371 — 458,119
Total debt, net 1,929,542 — 1,966,256 14,735 — 1,980,991
Derivative liabilities, net 1,963 28 13,495 37 (11,597) 1,963
Guarantee obligation 1,623 — — 3,127 — 3,127
Total financial liabilities $ 1,933,128 $ 28 $ 1,979,751 $ 17,899 $ (11,597) $ 1,986,081
December 31, 2013
Fair Value
GAAP Carrying
Amount Level 1 Level 2 Level 3 Netting Adjustments Total
(in millions)
Financial Assets
Cash and cash equivalents(1) $ 11,281 $ 11,281 $ — $ — $ — $ 11,281
Restricted cash and cash equivalents 12,265 12,264 1 — — 12,265
Federal funds sold and securities purchased
under agreements to resell 62,383 — 62,383 — — 62,383
Investments in securities:
Available-for-sale, at fair value 128,919 — 76,770 52,149 — 128,919
Trading, at fair value 23,404 6,636 16,122 646 — 23,404
Total investments in securities 152,323 6,636 92,892 52,795 — 152,323
Mortgage loans:
Mortgage loans held by consolidated trusts 1,529,905 — 1,258,049 249,693 — 1,507,742
Unsecuritized mortgage loans 154,885 — 16,145 122,065 — 138,210
Total mortgage loans 1,684,790 — 1,274,194 371,758 — 1,645,952
Derivative assets, net 1,063 — 14,220 11 (13,168) 1,063
Guarantee asset 1,611 — — 1,879 — 1,879
Total financial assets $ 1,925,716 $ 30,181 $ 1,443,690 $ 426,443 $ (13,168) $ 1,887,146
Financial Liabilities
Debt, net:
Debt securities of consolidated trusts held
by third parties(2) $ 1,433,984 $ — $ 1,434,208 $ 2,690 $ — $ 1,436,898
Other debt 506,767 — 499,756 13,089 — 512,845
Total debt, net 1,940,751 — 1,933,964 15,779 — 1,949,743
Derivative liabilities, net 180 — 13,291 336 (13,447) 180
Guarantee obligation 1,522 — — 3,067 — 3,067
Total financial liabilities $ 1,942,453 $ — $ 1,947,255 $ 19,182 $ (13,447) $ 1,952,990
(1) Includes a reclassification of $3.9 billion to the classification of previously disclosed amounts related to cash and cash equivalents between level 1 and
level 2. This reclassification reflects a change in methodology and is not material to the financial statements.
(2) Includes a reclassification of $1.7 billion to the classification of previously disclosed amounts related to debt securities of consolidated trusts held by
third parties between level 2 and level 3. This reclassification reflects a correction of an error and is not material to the financial statements.
Valuation Techniques for Assets and Liabilities Not Measured on Our Consolidated Balance Sheets at Fair Value, but
for Which the Fair Value is Disclosed
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