Freddie Mac 2015 Annual Report Download - page 319

Financial Statements Notes to the Consolidated Financial Statements | Note 14
Freddie Mac 2015 Form 10-K 317
FAIR VALUE OF FINANCIAL INSTRUMENTS
The table below presents the carrying value and estimated fair value of our financial instruments as of
December 31, 2015 and 2014. For certain types of financial instruments, such as cash and cash
equivalents, restricted cash and cash equivalents, securities purchased under agreements to resell, and
advances to lenders, the carrying value on our GAAP balance sheets approximates fair value, and these
assets are short-term in nature and have limited market value volatility.
December 31, 2015
Fair Value
(in millions) GAAP Carrying
Amount Level 1 Level 2 Level 3 Netting Adjustments Total
Financial Assets
Cash and cash
equivalents $ 5,595 $ 5,595 $—$ — $ — $ 5,595
Restricted cash and cash
equivalents 14,533 14,533 — — — 14,533
Securities purchased under
agreements to resell 63,644 —63,644 — — 63,644
Investments in securities:
Available-for-sale, at fair
value 74,937 —47,170 27,767 — 74,937
Trading, at fair value 39,278 17,151 21,753 374 — 39,278
Total investments in
securities 114,215 17,151 68,923 28,141 — 114,215
Mortgage loans:
Loans held by
consolidated trusts 1,625,184 —1,477,251 162,947 — 1,640,198
Loans held by Freddie
Mac 129,009 —31,831 97,133 — 128,964
Total mortgage loans 1,754,193 — 1,509,082 260,080 — 1,769,162
Derivative assets, net 395 — 9,766 25 (9,396) 395
Guarantee asset 1,753 — — 1,958 — 1,958
Advances to lenders 910 — 910 — — 910
Total financial assets $ 1,955,238 $ 37,279 $ 1,652,325 $ 290,204 $ (9,396) $ 1,970,412
Financial Liabilities
Debt, net:
Debt securities of
consolidated trusts held
by third parties $ 1,556,121 $ —$ 1,624,019 $ 805 $ — $ 1,624,824
Other debt 414,306 — 412,752 6,586 — 419,338
Total debt, net 1,970,427 — 2,036,771 7,391 — 2,044,162
Derivative liabilities, net 1,254 — 12,378 33 (11,157) 1,254
Guarantee obligation 1,729 — — 3,129 — 3,129
Total financial liabilities $ 1,973,410 $ — $ 2,049,149 $ 10,553 $ (11,157) $ 2,048,545