Freddie Mac 2011 Annual Report Download - page 299
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Table 17.2 — Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs
Balance,
January 1, 2011
Included in
earnings
(1)(2)(3)(4)
Included in
other
comprehensive
income
(1)
Total Purchases Issuances Sales
Settlements,
net
(5)
Net transfers
in and/or out
of Level 3
(6)
Balance,
December 31, 2011
Unrealized
gains (losses)
still held
(7)
Realized and unrealized gains (losses)
For The Year Ended December 31, 2011
(in millions)
Investments in securities:
Available-for-sale, at fair value:
Mortgage-related securities:
Freddie Mac ...................... $ 2,037 $ — $ 83 $ 83 $ 119 $ — $ — $ (92) $ (99) $ 2,048 $ —
Subprime . . ...................... 33,861 (1,315) 707 (608) — — — (5,254) — 27,999 (1,315)
CMBS.......................... 3,115 (152) 802 650 — — (67) (115) 173 3,756 (162)
Option ARM ...................... 6,889 (424) 684 260 — — — (1,284) — 5,865 (424)
Alt-A and other . . . ................. 13,155 (198) (387) (585) — — — (1,702) — 10,868 (198)
Fannie Mae . ...................... 212 — 2 2 — — — (37) (5) 172 —
Obligations of states and political
subdivisions ..................... 9,377 13 550 563 — — (609) (1,507) — 7,824 —
Manufactured housing ................ 897 (11) (6) (17) — — — (114) — 766 (11)
Ginnie Mae . ...................... 16 — (1) (1) — — — (3) — 12 —
Total available-for-sale mortgage-related
securities ..................... 69,559 (2,087) 2,434 347 119 — (676) (10,108) 69 59,310 (2,110)
Trading, at fair value:
Mortgage-related securities:
Freddie Mac ...................... 2,299 (832) — (832) 492 25 (92) (213) 187 1,866 (834)
Fannie Mae . ...................... 854 (340) — (340) 137 — (81) (43) 11 538 (340)
Ginnie Mae . ...................... 27 (1) — (1) — — — (4) — 22 (1)
Other ........................... 20 — — — — 91 (18) (3) — 90 —
Total trading mortgage-related securities . . 3,200 (1,173) — (1,173) 629 116 (191) (263) 198 2,516 (1,175)
Mortgage loans:
Held-for-sale, at fair value ................ 6,413 828 — 828 16,550 — (14,027) (54) — 9,710 214
Net derivatives
(8)
........................ (691) 907 — 907 — (46) — (155) 2 17 165
Other assets:
Guarantee asset
(9)
...................... 541 (25) — (25) — 288 — (52) — 752 (25)
All other . ........................... 235 (84) — (84) — — — — — 151 (84)
Total other assets ..................... 776 (109) — (109) — 288 — (52) — 903 (109)
294 Freddie Mac