Freddie Mac 2015 Annual Report Download - page 314

Financial Statements Notes to the Consolidated Financial Statements | Note 14
Freddie Mac 2015 Form 10-K 312
Year Ended December 31, 2014
Realized and unrealized gains (losses)
Balance,
January 1,
2014 Included in earnings(1)
Included in
other
comprehensive
income(1) Total Purchases Issues Sales Settlements, net
Transfers
into
Level 3
Transfers
out of
Level 3
Balance,
December 31,
2014
Unrealized
gains
(losses)
still held
(in millions)
Assets
Investments in
securities:
Available-for-sale,
at fair value:
Mortgage-
related
securities:
Freddie Mac $ 1,939 $ 2 $ 71 $ 73 $ 5,742 $ — $(3,346) $ (138) $ 3 $ (42) $ 4,231 $ —
Fannie Mae 131 — (2) (2) 48 — (59) (29) 45 (49) 85 —
Ginnie Mae 12 — — — — — (6) (3) 1 — 4 —
CMBS 3,109 — 397 397 — — (1) (31) — — 3,474 —
Subprime 27,499 (524) 2,778 2,254 — — (7,469) (1,695) — — 20,589 (794)
Option ARM 6,574 (71) 232 161 — — (791) (295) — — 5,649 (102)
Alt-A and
other 8,706 111 158 269 — — (3,659) (272) — (17) 5,027 (42)
Obligations of
states and
political
subdivisions 3,495 1 71 72 1 — (13) (1,357) — — 2,198 —
Manufactured
housing 684 — 28 28 — — — (74) — — 638 —
Total
available-
for-sale
mortgage-
related
securities 52,149 (481) 3,733 3,252 5,791 — (15,344) (3,894) 49 (108) 41,895 (938)
Trading, at fair
value:
Mortgage-
related
securities:
Freddie Mac 343 8 — 8 2,282 95 (1,690) (43) — (68) 927 11
Fannie Mae 221 (45) — (45) 79 — — (14) 21 (30) 232 (45)
Ginnie Mae 74 — — — 1 — (70) (4) — — 1 (2)
Other 8 (1) — (1) — — — (3) — — 4 (1)
Total
trading
mortgage-
related
securities 646 (38) — (38) 2,362 95 (1,760) (64) 21 (98) 1,164 (37)
Other assets:
Guarantee asset(3) 1,611 (184) — (184) — 427 — (228) — — 1,626 (263)
All other, at fair
value 9 (4) — (4) — — — — — — 5 (4)
Total other
assets 1,620 (188) — (188) — 427 — (228) — — 1,631 (267)
Realized and unrealized (gains) losses
Balance,
January 1,
2014 Included in earnings(1)
Included in
other
comprehensive
income(1) Total Purchases Issues Sales Settlements, net
Transfers
into
Level 3
Transfers
out of
Level 3
Balance,
December 31,
2014
Unrealized
(gains)
losses
still held
(in millions)
Liabilities
Other debt, at fair
value $ 1,528 $ (7) $ — $ (7) $ — $ — $ — $ (1,521) $ — $ — $ — $ —
Net derivatives(4) 325 (94) — (94) — — — 60 — (281) $ 10 (30)
(1) Changes in fair value for available-for-sale securities are recorded in AOCI, while gains and losses from sales are recorded in other gains (losses) on
investment securities recognized in earnings on our consolidated statements of comprehensive income. For mortgage-related securities classified as
trading, the realized and unrealized gains (losses) are recorded in other gains (losses) on investment securities recognized in earnings on our
consolidated statements of comprehensive income.
(2) Transfers out of Level 3 during the year ended December 31, 2015 consisted primarily of certain mortgage-related securities and certain derivatives due
to an increased volume and level of activity in the market and availability of price quotes from dealers and third-party pricing services. Freddie Mac
securities are generally classified as Level 3 at issuance and generally are classified as Level 2 when they begin trading. Transfers into Level 3 during the
year ended December 31, 2015 consisted primarily of certain mortgage-related securities due to a lack of market activity and relevant price quotes from
dealers and third-party pricing services.
(3) Changes in fair value of the guarantee asset are recorded in other income on our consolidated statements of comprehensive income.
(4) Amounts are prior to counterparty netting, cash collateral netting, net trade/settle receivable or payable and net derivative interest receivable or payable.