Freddie Mac 2011 Annual Report Download - page 296

Assets and liabilities are classified in their entirety within the fair value hierarchy based on the lowest level input that
is significant to the fair value measurement. The table below sets forth by level within the fair value hierarchy assets and
liabilities measured and reported at fair value on a recurring basis in our consolidated balance sheets at December 31,
2011 and 2010.
Table 17.1 — Assets and Liabilities Measured at Fair Value on a Recurring Basis
Quoted Prices in
Active Markets for
Identical Assets
(Level 1)
Significant Other
Observable Inputs
(Level 2)
Significant
Unobservable Inputs
(Level 3)
Netting
Adjustment
(1)
Total
Fair Value at December 31, 2011
(in millions)
Assets:
Investments in securities:
Available-for-sale, at fair value:
Mortgage-related securities:
Freddie Mac . . . . . . . . . . . . . . . . . . . . . . . . $ — $ 79,044 $ 2,048 $ — $ 81,092
Subprime. . . . . . . . . . . . . . . . . . . . . . . . . . . — — 27,999 — 27,999
CMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 51,907 3,756 — 55,663
Option ARM . . . . . . . . . . . . . . . . . . . . . . . . — — 5,865 — 5,865
Alt-A and other . . . . . . . . . . . . . . . . . . . . . . — 11 10,868 — 10,879
Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . . — 20,150 172 — 20,322
Obligations of states and political
subdivisions . . . . . . . . . . . . . . . . . . . . . . . — — 7,824 — 7,824
Manufactured housing . . . . . . . . . . . . . . . . . . — — 766 — 766
Ginnie Mae . . . . . . . . . . . . . . . . . . . . . . . . . — 237 12 — 249
Total available-for-sale securities, at fair
value . . . . . . . . . . . . . . . . . . . . . . . . . . — 151,349 59,310 — 210,659
Trading, at fair value:
Mortgage-related securities:
Freddie Mac . . . . . . . . . . . . . . . . . . . . . . . . — 14,181 1,866 — 16,047
Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . . — 14,627 538 — 15,165
Ginnie Mae . . . . . . . . . . . . . . . . . . . . . . . . . — 134 22 — 156
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 74 90 — 164
Total mortgage-related securities . . . . . . . . . — 29,016 2,516 — 31,532
Non-mortgage-related securities:
Asset-backed securities . . . . . . . . . . . . . . . . . — 302 — — 302
Treasury bills . . . . . . . . . . . . . . . . . . . . . . . . 100 — — — 100
Treasury notes . . . . . . . . . . . . . . . . . . . . . . . 24,712 — — — 24,712
FDIC-guaranteed corporate medium-term
notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 2,184 — — 2,184
Total non-mortgage-related securities . . . . . . 24,812 2,486 — — 27,298
Total trading securities, at fair value . . . . . 24,812 31,502 2,516 — 58,830
Total investments in securities . . . . . . . . 24,812 182,851 61,826 — 269,489
Mortgage loans:
Held-for-sale, at fair value . . . . . . . . . . . . . . . . . . — — 9,710 — 9,710
Derivative assets, net:
Interest-rate swaps . . . . . . . . . . . . . . . . . . . . . . . . — 12,976 46 — 13,022
Option-based derivatives . . . . . . . . . . . . . . . . . . . . 1 15,868 — — 15,869
Other. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 110 35 — 150
Subtotal, before netting adjustments . . . . . . . . . . 6 28,954 81 — 29,041
Netting adjustments
(1)
. . . . . . . . . . . . . . . . . . . . . — — — (28,923) (28,923)
Total derivative assets, net . . . . . . . . . . . . . . . . . 6 28,954 81 (28,923) 118
Other assets:
Guarantee asset, at fair value . . . . . . . . . . . . . . . . . — — 752 — 752
All other, at fair value . . . . . . . . . . . . . . . . . . . . . — — 151 — 151
Total other assets . . . . . . . . . . . . . . . . . . . . . . . — — 903 — 903
Total assets carried at fair value on a recurring
basis . . . . . . . . . . . . . . . . . . . . . . . . . . . . $24,818 $211,805 $72,520 $(28,923) $280,220
Liabilities:
Debt securities recorded at fair value . . . . . . . . . . . . . $ — $ 3,015 $ — $ — $ 3,015
Derivative liabilities, net:
Interest-rate swaps . . . . . . . . . . . . . . . . . . . . . . . . — 34,601 21 — 34,622
Option-based derivatives . . . . . . . . . . . . . . . . . . . . 1 2,934 1 — 2,936
Other. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 103 42 — 145
Subtotal, before netting adjustments . . . . . . . . . . 1 37,638 64 — 37,703
Netting adjustments
(1)
. . . . . . . . . . . . . . . . . . . . . — — — (37,268) (37,268)
Total derivative liabilities, net . . . . . . . . . . . . . . 1 37,638 64 (37,268) 435
Total liabilities carried at fair value on a
recurring basis . . . . . . . . . . . . . . . . . . . . . $ 1 $ 40,653 $ 64 $(37,268) $ 3,450
291 Freddie Mac