Freddie Mac 2012 Annual Report Download - page 299

Table 16.1 — Assets and Liabilities Measured at Fair Value on a Recurring Basis
Fair Value at December 31, 2012
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
(in millions)
Assets:
Investments in securities:
Available-for-sale, at fair value:
Mortgage-related securities:
Freddie Mac .................................. $ — $ 56,713 $ 1,802 $ — $ 58,515
Fannie Mae ................................... — 15,117 163 — 15,280
Ginnie Mae ................................... — 193 16 — 209
CMBS ...................................... — 47,878 3,429 — 51,307
Subprime .................................... — — 26,457 — 26,457
Option ARM .................................. — — 5,717 — 5,717
Alt-A and other ................................ — — 10,904 — 10,904
Obligations of states and political subdivisions ......... — — 5,798 — 5,798
Manufactured housing ........................... — — 709 — 709
Total available-for-sale securities, at fair value ........ — 119,901 54,995 — 174,896
Trading, at fair value:
Mortgage-related securities:
Freddie Mac .................................. — 9,189 1,165 — 10,354
Fannie Mae ................................... — 10,026 312 — 10,338
Ginnie Mae ................................... — 39 92 — 131
Other ....................................... — 135 21 — 156
Total mortgage-related securities ................. — 19,389 1,590 — 20,979
Non-mortgage-related securities:
Asset-backed securities .......................... — 292 — — 292
Treasury bills ................................. 1,160 — — — 1,160
Treasury notes ................................. 19,061 — — — 19,061
FDIC-guaranteed corporate medium-term notes ......... — — — — —
Total non-mortgage-related securities .............. 20,221 292 — — 20,513
Total trading securities, at fair value ............. 20,221 19,681 1,590 — 41,492
Total investments in securities ................ 20,221 139,582 56,585 — 216,388
Mortgage loans:
Held-for-sale, at fair value ............................ — — 14,238 — 14,238
Derivative assets, net:
Interest-rate swaps ............................... 27 13,920 18 — 13,965
Option-based derivatives ........................... — 10,097 — — 10,097
Other ......................................... 37 92 2 — 131
Subtotal, before netting adjustments ................. 64 24,109 20 — 24,193
Netting adjustments(1) .............................. — — — (23,536) (23,536)
Total derivative assets, net ........................ 64 24,109 20 (23,536) 657
Other assets:
Guarantee asset, at fair value .......................... — — 1,029 — 1,029
All other, at fair value ............................... — — 114 — 114
Total other assets ................................ — — 1,143 — 1,143
Total assets carried at fair value on a recurring basis ..... $20,285 $163,691 $71,986 $(23,536) $232,426
Liabilities:
Debt securities of consolidated trusts held by third parties, at fair
value ............................................ $ — $ 70 $ — $ — $ 70
Other debt, at fair value ............................... — — 2,187 — 2,187
Derivative liabilities, net:
Interest-rate swaps ................................. 5 30,213 26 — 30,244
Option-based derivatives ............................. — 749 1 — 750
Other ........................................... 3 52 40 — 95
Subtotal, before netting adjustments ................... 8 31,014 67 — 31,089
Netting adjustments(1) ............................... — — — (30,911) (30,911)
Total derivative liabilities, net ....................... 8 31,014 67 (30,911) 178
Total liabilities carried at fair value on a recurring
basis ...................................... $ 8 $ 31,084 $ 2,254 $(30,911) $ 2,435
294 Freddie Mac