Freddie Mac 2015 Annual Report Download - page 313

Financial Statements Notes to the Consolidated Financial Statements | Note 14
Freddie Mac 2015 Form 10-K 311
Year Ended December 31, 2015
Realized and unrealized gains (losses)
Balance,
January 1,
2015 Included in earnings(1)
Included in
other
comprehensive
income(1) Total Purchases Issues Sales Settlements, net
Transfers
into
Level 3(2)
Transfers
out of
Level 3(2)
Balance,
December
31,
2015
Unrealized
gains
(losses)
still held
in millions
Assets
Investments in
securities:
Available-for-sale,
at fair value:
Mortgage-
related
securities:
Freddie Mac $ 4,231 $ 28 $ 3 $ 31 $ 671 $ — $ (665) $ 93 $ — $ (1,753) $ 2,608 $ (3)
Fannie Mae 85 — 3 3 — — — (26) 37 (9) 90 —
Ginnie Mae 4 — — — — — — (3) — — 1 —
CMBS 3,474 (20) 109 89 — — — (33) — — 3,530 (20)
Subprime 20,589 817 (76) 741 — — (6,067) (2,461) — — 12,802 168
Option ARM 5,649 233 67 300 — — (1,627) (646) 2 — 3,678 137
Alt-A and
other 5,027 263 (50) 213 — — (1,145) (823) 6 — 3,278 —
Obligations of
states and
political
subdivisions 2,198 2 (15) (13) — — — (981) 1 — 1,205 —
Manufactured
housing 638 — 5 5 — — (1) (73) 6 — 575 112
Total
available-
for-sale
mortgage-
related
securities 41,895 1,323 46 1,369 671 — (9,505) (4,953) 52 (1,762) 27,767 394
Trading, at fair
value:
Mortgage-
related
securities:
Freddie Mac 927 (42) — (42) 36 — (10) (11) 91 (660) 331 (41)
Fannie Mae 232 3 — 3 — — (94) (2) — (98) 41 (12)
Ginnie Mae 1 — — — — — (1) — — — — —
Other 4 3 — 3 — — (4) (1) — — 2 —
Total
trading
mortgage-
related
securities 1,164 (36) — (36) 36 — (109) (14) 91 (758) 374 (53)
Other assets:
Guarantee asset(3) 1,626 (47) — (47) — 688 — (514) — — 1,753 (33)
All other, at fair
value 5 (5) — (5) — — — — — — — —
Total other
assets 1,631 (52) — (52) — 688 — (514) — — 1,753 (33)
Realized and unrealized (gains) losses
Balance,
January 1,
2015 Included in earnings(1)
Included in
other
comprehensive
income(1) Total Purchases Issues Sales Settlements, net
Transfers
into
Level 3(2)
Transfers
out of
Level 3(2)
Balance,
December
31,
2015
Unrealized
(gains)
losses
still held
(in millions)
Liabilities
Net derivatives(4) $ 10 $ (5) $ — $ (5) $ — $ — $ — $ 3 $ — $ — $ 8 $ 2
Other liabilities:
All other, at fair
value — 10 — 10 — — — — — — 10 15