Freddie Mac 2015 Annual Report Download - page 318

Financial Statements Notes to the Consolidated Financial Statements | Note 14
Freddie Mac 2015 Form 10-K 316
The table below provides valuation techniques, the range, and the weighted average of significant
unobservable inputs for assets and liabilities measured on our consolidated balance sheets at fair value
on a non-recurring basis using unobservable inputs (Level 3) as of December 31, 2015 and 2014. Certain
of the fair values in the table below were not obtained as of the period end, but were obtained during the
period.
December 31, 2015
Total
Fair
Value
Level 3
Fair
Value
Predominant
Valuation
Technique(s)
Unobservable Inputs
(dollars in millions) Type Range Weighted
Average
Non-recurring fair
value measurements
Mortgage loans $ 15,165 $ 5,851
Internal model Historical sales
proceeds $3,000 - $788,699 $191,957
Internal model Housing sales index 44 - 428 bps 90 bps
Third-party appraisal Property value $1 million -
$30 million $28 million
Income capitalization(1) Capitalization rates 6% - 9% 7%
Median of external
sources External pricing sources $39.0 - $94.6 $70.0
REO, net $ 1,046 $ 1,046
Internal model Historical sales
proceeds $3,000 - $581,751 $155,885
Internal model Housing sales index 44 - 428 bps 87 bps
Other
December 31, 2014
Total
Fair
Value
Level 3
Fair
Value
Predominant
Valuation
Technique(s)
Unobservable Inputs
(dollars in millions) Type Range Weighted Average
Non-recurring fair
value measurements
Mortgage loans $ 8,962 $ 8,962
Internal model Historical sales proceeds $3,000 - $896,519 $162,556
Internal model Housing sales index 38 - 294 bps 82 bps
Third-party appraisal Property value $11 million - $44 million $31 million
Income capitalization(1) Capitalization rates 6%- 9% 7%
REO, net $ 1,665 $ 1,665
Internal model Historical sales proceeds $3,008 - $896,519 $154,165
Internal model Housing sales index 38 - 294 bps 82 bps
(1) The predominant valuation technique used for multifamily loans. Certain loans in this population are valued using other
techniques, and the capitalization rate for those is not represented in the “Range” or “Weighted Average” above.