Freddie Mac 2015 Annual Report Download - page 312

Financial Statements Notes to the Consolidated Financial Statements | Note 14
Freddie Mac 2015 Form 10-K 310
ASSETS ON OUR CONSOLIDATED BALANCE SHEETS MEASURED AT FAIR
VALUE ON A NON-RECURRING BASIS
We may be required, from time to time, to measure certain assets at fair value on a non-recurring basis
after our initial recognition. These adjustments usually result from the application of lower-of-cost-or-fair-
value accounting or measurement of impairment based on the fair value of the underlying collateral.
The table below presents assets measured on our consolidated balance sheets at fair value on a non-
recurring basis at December 31, 2015 and 2014, respectively.
December 31,
2015 2014
(in millions) Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total
Assets measured at fair
value on a non-recurring
basis:
Mortgage loans(1) $ — $ 9,314 $5,851 $15,165 $ — $ 80 $ 8,962 $9,042
REO, net(2) — — 1,046 1,046 — — 1,665 1,665
Total assets measured at fair
value on a non-recurring
basis $ — $ 9,314 $6,897 $16,211 $ — $ 80 $ 10,627 $10,707
(1) Includes loans that are classified as held-for-investment and have been measured for impairment based on the fair value of
the underlying collateral and held-for-sale loans where the fair value is below cost.
(2) Represents the fair value of foreclosed properties that were measured at fair value subsequent to their initial classification as
REO, net. The carrying amount of REO, net was adjusted to fair value of $1.0 billion, less estimated costs to sell of $68
million (or approximately $0.9 billion) at December 31, 2015. The carrying amount of REO, net was adjusted to fair value of
$1.7 billion, less estimated costs to sell of $109 million (or approximately $1.6 billion) at December 31, 2014.
LEVEL 3 FAIR VALUE MEASUREMENTS
The table below presents a reconciliation of all assets and liabilities measured on our consolidated
balance sheets at fair value on a recurring basis using significant unobservable inputs (Level 3) for the
years ended December 31, 2015 and 2014, including transfers into and out of Level 3 assets and
liabilities. The table also presents gains and losses due to changes in fair value, including both realized
and unrealized gains and losses, recognized in our consolidated statements of comprehensive income for
Level 3 assets and liabilities for the years ended December 31, 2015 and 2014. When assets and
liabilities are transferred between levels, we recognize the transfer as of the beginning of the period.