Freddie Mac 2015 Annual Report Download - page 320

Financial Statements Notes to the Consolidated Financial Statements | Note 14
Freddie Mac 2015 Form 10-K 318
December 31, 2014
Fair Value
(in millions) GAAP Carrying
Amount Level 1 Level 2 Level 3 Netting Adjustments Total
Financial Assets
Cash and cash
equivalents $ 10,928 $ 10,928 $—$ — $ — $ 10,928
Restricted cash and cash
equivalents 8,535 8,535 — — — 8,535
Securities purchased under
agreements to resell 51,903 —51,903 — — 51,903
Investments in securities:
Available-for-sale, at fair
value 106,550 —64,655 41,895 — 106,550
Trading, at fair value 30,437 6,682 22,591 1,164 — 30,437
Total investments in
securities 136,987 6,682 87,246 43,059 — 136,987
Mortgage loans:
Loans held by
consolidated trusts 1,558,094 —1,387,412 197,896 — 1,585,308
Loans held by Freddie
Mac 142,486 —22,305 119,157 — 141,462
Total mortgage loans 1,700,580 —1,409,717 317,053 — 1,726,770
Derivative assets, net 822 5 9,912 27 (9,122) 822
Guarantee asset 1,626 — — 1,837 — 1,837
Total financial assets $ 1,911,381 $ 26,150 $ 1,558,778 $ 361,976 $ (9,122) $ 1,937,782
Financial Liabilities
Debt, net:
Debt securities of
consolidated trusts held
by third parties $ 1,479,473 $ —$ 1,521,508 $ 1,364 $ — $ 1,522,872
Other debt 450,069 —444,748 13,371 — 458,119
Total debt, net 1,929,542 —1,966,256 14,735 — 1,980,991
Derivative liabilities, net 1,963 28 13,495 37 (11,597) 1,963
Guarantee obligation 1,623 — — 3,127 — 3,127
Total financial liabilities $ 1,933,128 $ 28 $ 1,979,751 $ 17,899 $ (11,597) $ 1,986,081
FAIR VALUE OPTION
We elected the fair value option for certain types of investments in securities, multifamily held-for-sale
loans, and certain debt.
Investments in Securities
We elected the fair value option for certain mortgage-related securities that contained embedded
derivatives, including investments in securities that can contractually be prepaid or otherwise settled in
such a way that we may not recover substantially all of our initial recorded investment, or are not of high
credit quality at the acquisition date and are identified as within the scope of the accounting guidance for
investments in beneficial interests in securitized financial assets. These securities are classified as trading
securities. By electing the fair value option for these instruments, we reflect valuation changes through
our consolidated statements of comprehensive income in the period they occur. In addition, upon