Freddie Mac 2011 Annual Report Download - page 297

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, 2010
(in millions)
Assets:
Investments in securities:
Available-for-sale, at fair value:
Mortgage-related securities:
Freddie Mac . . . . . . . . . . . . . . . . . . . . . . . . $ — $ 83,652 $ 2,037 $ — $ 85,689
Subprime. . . . . . . . . . . . . . . . . . . . . . . . . . . — — 33,861 — 33,861
CMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 54,972 3,115 — 58,087
Option ARM . . . . . . . . . . . . . . . . . . . . . . . . — — 6,889 — 6,889
Alt-A and other . . . . . . . . . . . . . . . . . . . . . . — 13 13,155 — 13,168
Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . . — 24,158 212 — 24,370
Obligations of states and political
subdivisions . . . . . . . . . . . . . . . . . . . . . . . — — 9,377 — 9,377
Manufactured housing . . . . . . . . . . . . . . . . . . — — 897 — 897
Ginnie Mae . . . . . . . . . . . . . . . . . . . . . . . . . — 280 16 — 296
Total available-for-sale securities, at fair
value . . . . . . . . . . . . . . . . . . . . . . . . . . — 163,075 69,559 — 232,634
Trading, at fair value:
Mortgage-related securities:
Freddie Mac . . . . . . . . . . . . . . . . . . . . . . . . — 11,138 2,299 — 13,437
Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . . — 17,872 854 — 18,726
Ginnie Mae . . . . . . . . . . . . . . . . . . . . . . . . . — 145 27 — 172
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 11 20 — 31
Total mortgage-related securities . . . . . . . . . — 29,166 3,200 — 32,366
Non-mortgage-related securities:
Asset-backed securities . . . . . . . . . . . . . . . . . — 44 — — 44
Treasury bills . . . . . . . . . . . . . . . . . . . . . . . . 17,289 — — — 17,289
Treasury notes . . . . . . . . . . . . . . . . . . . . . . . 10,122 — — — 10,122
FDIC-guaranteed corporate medium-term
notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 441 — — 441
Total non-mortgage-related securities . . . . . . 27,411 485 — — 27,896
Total trading securities, at fair value . . . . . 27,411 29,651 3,200 — 60,262
Total investments in securities . . . . . . . . 27,411 192,726 72,759 — 292,896
Mortgage loans:
Held-for-sale, at fair value . . . . . . . . . . . . . . . . . . — — 6,413 — 6,413
Derivative assets, net:
Interest-rate swaps . . . . . . . . . . . . . . . . . . . . . . . . — 9,921 49 — 9,970
Option-based derivatives . . . . . . . . . . . . . . . . . . . . — 11,255 — — 11,255
Other. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 266 21 — 290
Subtotal, before netting adjustments . . . . . . . . . . 3 21,442 70 — 21,515
Netting adjustments
(1)
. . . . . . . . . . . . . . . . . . . . . — — — (21,372) (21,372)
Total derivative assets, net . . . . . . . . . . . . . . . . . 3 21,442 70 (21,372) 143
Other assets:
Guarantee asset, at fair value . . . . . . . . . . . . . . . . . — — 541 — 541
All other, at fair value . . . . . . . . . . . . . . . . . . . . . — — 235 — 235
Total other assets . . . . . . . . . . . . . . . . . . . . . . . — — 776 — 776
Total assets carried at fair value on a recurring
basis . . . . . . . . . . . . . . . . . . . . . . . . . . . . $27,414 $214,168 $80,018 $(21,372) $300,228
Liabilities:
Debt securities recorded at fair value . . . . . . . . . . . . . $ — $ 4,443 $ — $ — $ 4,443
Derivative liabilities, net:
Interest-rate swaps . . . . . . . . . . . . . . . . . . . . . . . . — 26,856 623 — 27,479
Option-based derivatives . . . . . . . . . . . . . . . . . . . . 8 252 2 — 262
Other. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 170 28 136 — 334
Subtotal, before netting adjustments . . . . . . . . . . 178 27,136 761 — 28,075
Netting adjustments
(1)
. . . . . . . . . . . . . . . . . . . . . — — — (26,866) (26,866)
Total derivative liabilities, net . . . . . . . . . . . . . . 178 27,136 761 (26,866) 1,209
Total liabilities carried at fair value on a
recurring basis . . . . . . . . . . . . . . . . . . . . . $ 178 $ 31,579 $ 761 $(26,866) $ 5,652
(1) Represents counterparty netting, cash collateral netting, net trade/settle receivable or payable and net derivative interest receivable or payable. The
net cash collateral posted and net trade/settle receivable were $9.4 billion and $1 million, respectively, at December 31, 2011. The net cash collateral
posted and net trade/settle receivable were $6.3 billion and $1 million, respectively, at December 31, 2010. The net interest receivable (payable) of
derivative assets and derivative liabilities was approximately $(1.1) billion and $(0.8) billion at December 31, 2011 and 2010, respectively, which
was mainly related to interest rate swaps that we have entered into.
292 Freddie Mac