Freddie Mac 2015 Annual Report Download - page 316

Financial Statements Notes to the Consolidated Financial Statements | Note 14
Freddie Mac 2015 Form 10-K 314
December 31, 2015
Total
Fair
Value
Level 3
Fair
Value
Predominant
Valuation
Technique(s)
Unobservable Inputs
(dollars in millions) Type Range Weighted
Average
Recurring fair value measurements
Assets
Investments in securities
Available-for-sale, at fair value
Mortgage-related securities
Freddie Mac $ 2,145 Discounted cash flows OAS (46) - 503 bps 86 bps
463 Other
Total Freddie Mac $ 33,527 2,608
Fannie Mae 37 Median of external sources
36 Single external source
17 Other
Total Fannie Mae 7,262 90
Ginnie Mae 1 Discounted cash flows
Total Ginnie Mae 162 1
CMBS 3,530 Risk Metrics Effective duration 3.15 - 11.02 years 9.57 years
Total CMBS 12,448 3,530
Subprime, option ARM, and Alt-A:
Subprime 11,652 Median of external sources External pricing sources $73.2 - $77.3 $ 75.0
1,150 Other
Total subprime 12,802 12,802
Option ARM 3,190 Median of external sources External pricing sources $67.8 - $72.4 $ 69.9
488 Other
Total option ARM 3,678 3,678
Alt-A and other 2,601 Median of external sources External pricing sources $85.8 - $89.3 $ 87.6
506 Single external source External pricing source $84.7 - $84.7 $ 84.7
171 Other
Total Alt-A and other 3,278 3,278
Obligations of states and political
subdivisions 1,099 Median of external sources External pricing sources $101.4 - $101.8 $ 101.6
106 Other
Total obligations of states and
political subdivisions 1,205 1,205
Manufactured housing 505 Median of external sources External pricing sources $90.4 - $93.7 $ 92.1
70 Other
Total manufactured housing 575 575
Total available-for-sale
mortgage-related securities 74,937 27,767
Trading, at fair value
Mortgage-related securities
Freddie Mac 249 Discounted cash flows OAS (1,315) - 1,959 bps 129 bps
19 Risk Metrics
63 Other
Total Freddie Mac 15,513 331
Fannie Mae 41 Discounted cash flows
Total Fannie Mae 6,438 41
Ginnie Mae 30 —
Other 1 Median of external sources
1 Discounted cash flows
Total other 146 2
Total trading mortgage-
related securities 22,127 374
Total investments in
securities $ 97,064 $ 28,141
Other assets:
Guarantee asset, at fair value $ 1,623 Discounted cash flows OAS 17 - 198 bps 57 bps
130 Other
Total guarantee asset, at fair value $ 1,753 1,753
Liabilities
Net derivatives 8 Other
Total net derivatives 859 8
Other liabilities
All other, at fair value 10 Other
Total all other, at fair value 10 10