Freddie Mac 2011 Annual Report Download - page 300

Balance,
December 31, 2009
Cumulative
effect
of change
in accounting
principle
(10)
Balance,
January 1, 2010
Included in
earnings
(1)(2)(3)(4)
Included in
comprehensive
income
(1)
Total
Purchases,
issuances,
sales, and
settlements, net
(5)
Net transfers
in and/or out
of Level 3
(6)
Balance,
December 31, 2010
Unrealized
gains (losses)
still held
(7)
Realized and unrealized gains (losses)
For The Year Ended December 31, 2010
(in millions)
Investments in securities:
Available-for-sale, at fair value:
Mortgage-related securities:
Freddie Mac . . .............. $ 20,807 $(18,775) $ 2,032 $ — $ 5 $ 5 $ — $ — $ 2,037 $ —
Subprime .................. 35,721 — 35,721 (1,769) 7,046 5,277 (7,137) — 33,861 (1,769)
CMBS.................... 54,019 — 54,019 — 369 369 — (51,273) 3,115 — Option ARM . . .............. 7,236 — 7,236 (1,402) 2,611 1,209 (1,556) — 6,889 (1,395)
Alt-A and other .............. 13,391 — 13,391 (1,020) 3,128 2,108 (2,344) — 13,155 (1,020)
Fannie Mae . . . .............. 338 — 338 — — — (139) 13 212 —
Obligations of states and political
subdivisions . .............. 11,477 — 11,477 4 (123) (119) (1,981) — 9,377 —
Manufactured housing . ......... 911 — 911 (27) 126 99 (113) — 897 (27)
Ginnie Mae . . . .............. 4 — 4 — (1) (1) (5) 18 16 —
Total available-for-sale
mortgage-related securities .... 143,904 (18,775) 125,129 (4,214) 13,161 8,947 (13,275) (51,242) 69,559 (4,211)
Trading, at fair value:
Mortgage-related securities:
Freddie Mac . . .............. 2,805 (5) 2,800 (777) — (777) 659 (383) 2,299 (799)
Fannie Mae . . . .............. 1,343 — 1,343 (449) — (449) (38) (2) 854 (449)
Ginnie Mae . . . .............. 27 — 27 1 — 1 (1) — 27 1 Other . . ................... 28 (1) 27 (1) — (1) (4) (2) 20 (1)
Total trading mortgage-related
securities . .............. 4,203 (6) 4,197 (1,226) — (1,226) 616 (387) 3,200 (1,248)
Mortgage loans:
Held-for-sale, at fair value . ......... 2,799 — 2,799 (1) — (1) 3,615 — 6,413 (308)
Net derivatives
(8)
.................. (430) — (430) (141) — (141) (120) — (691) (619)
Other assets:
Guarantee asset
(9)
................ 10,444 (10,024) 420 (24) — (24) 145 — 541 (24)
All other . . . ................... — — — 55 — 55 180 — 235 55
Total other assets . .............. 10,444 (10,024) 420 31 — 31 325 — 776 31
(1) Changes in fair value for available-for-sale investments are recorded in AOCI, while gains and losses from sales are recorded in other gains (losses) on investments on our consolidated statements
of income and comprehensive income. For mortgage-related securities classified as trading, the realized and unrealized gains (losses) are recorded in other gains (losses) on investments on our consolidated statements of income and comprehensive income.
(2) Changes in fair value of derivatives are recorded in derivative gains (losses) on our consolidated statements of income and comprehensive income for those not designated as accounting hedges. (3) Changes in fair value of the guarantee asset are recorded in other income on our consolidated statements of income and comprehensive income. (4) For held-for-sale mortgage loans with fair value option elected, gains (losses) on fair value changes and sale of mortgage loans are recorded in other income on our consolidated statements of
income and comprehensive income.
(5) For non-agency mortgage-related securities, primarily represents principal repayments. (6) Transfer in and/or out of Level 3 during the period is disclosed as if the transfer occurred at the beginning of the period. (7) Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains (losses) related to assets and liabilities classified as Level 3 that
were still held at December 31, 2011 and 2010, respectively. Included in these amounts are credit-related other-than-temporary impairments recorded on available-for-sale securities.
(8) Net derivatives include derivative assets and derivative liabilities prior to counterparty netting, cash collateral netting, net trade/settle receivable or payable and net derivative interest receivable or
payable.
(9) We estimate that all amounts recorded for unrealized gains and losses on our guarantee asset relate to those amounts still in position. The amounts reflected as included in earnings represent the
periodic fair value changes of our guarantee asset.
(10) Represents adjustment to adopt the amendments to the accounting guidance for transfers of financial assets and consolidation of VIEs.
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