Freddie Mac 2012 Annual Report Download - page 300

Fair Value at December 31, 2011
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 ............................. $ — $ 79,044 $ 2,048 $ — $ 81,092
Fannie Mae ............................. — 20,150 172 — 20,322
Ginnie Mae ............................. — 237 12 — 249
CMBS ................................. — 51,907 3,756 — 55,663
Subprime ............................... — — 27,999 — 27,999
Option ARM ............................ — — 5,865 — 5,865
Alt-A and other .......................... — 11 10,868 — 10,879
Obligations of states and political subdivisions .... — — 7,824 — 7,824
Manufactured housing ...................... — — 766 — 766
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:
Other debt, 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
(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 $8.2 billion and $0 million, respectively, at December 31, 2012. The net cash collateral posted
and net trade/settle receivable were $9.4 billion and $1 million, respectively, at December 31, 2011. The net interest receivable (payable) of derivative
assets and derivative liabilities was approximately $(0.8) billion and $(1.1) billion at December 31, 2012 and 2011, respectively, which was mainly
related to interest rate swaps that we have entered into.
295 Freddie Mac