Freddie Mac 2012 Annual Report Download - page 302

Table 16.2 — Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs
For The Year Ended December 31, 2012
Realized and unrealized gains (losses)
Balance,
January 1,
2012
Included in
earnings(1)(2)(3)(4)
Included in
other
comprehensive
income (1) Total Purchases Issues Sales Settlements, net
Transfers
into
Level 3 (5)
Transfers
out of
Level 3 (5)
Balance,
December 31,
2012
Unrealized
gains
(losses)
still held (6)
(in millions)
Assets Investments in securities:
Available-for-sale, at fair value:
Mortgage-related securities:
Freddie Mac ............. $ 2,048 $ — $ 18 $ 18 $ — $ — $ — $ (144) $ — $(120) $ 1,802 $ — Fannie Mae .............. 172 — 1 1 — — — (31) 21 — 163 —
Ginnie Mae .............. 12 — — — — — — (4) 8 — 16 — CMBS .................. 3,756 76 (38) 38 — — (331) (34) — — 3,429 — Subprime ................ 27,999 (1,274) 4,301 3,027 — — — (4,569) — — 26,457 (1,274) Option ARM ............. 5,865 (552) 1,417 865 — — (15) (998) — — 5,717 (556) Alt-A and other ........... 10,868 (196) 1,822 1,626 — — — (1,601) 11 — 10,904 (196) Obligations of states and
political subdivisions ..... 7,824 19 108 127 — — (482) (1,671) — — 5,798 —
Manufactured housing ...... 766 (4) 47 43 — — — (100) — — 709 (4)
Total available-for-sale
mortgage-related securities ............ 59,310 (1,931) 7,676 5,745 — — (828) (9,152) 40 (120) 54,995 (2,030)
Trading, at fair value:
Mortgage-related securities:
Freddie Mac ............. 1,866 (389) — (389) 25 95 (76) (206) 92 (242) 1,165 (390)
Fannie Mae .............. 538 (131) — (131) (5) — 5 (35) — (60) 312 (131)
Ginnie Mae .............. 22 1 — 1 — — — (16) 98 (13) 92 1
Other ................... 90 — — — — 18 (10) (3) — (74) 21 (1)
Total trading mortgage-
related securities ....... 2,516 (519) — (519) 20 113 (81) (260) 190 (389) 1,590 (521)
Mortgage loans:
Held-for-sale, at fair value ....... 9,710 1,011 — 1,011 25,340 — (21,764) (59) — — 14,238 263
Other assets:
Guarantee asset(7) .............. 752 (23) — (23) — 382 — (82) — — 1,029 (23)
All other .................... 151 (37) — (37) — — — — — — 114 (37)
Total other assets ............ 903 (60) — (60) — 382 — (82) — — 1,143 (60)
Realized and unrealized (gains) losses
Balance,
January 1,
2012
Included in
earnings(1)(2)(3)(4)
Included in
other
comprehensive
income (1) Total Purchases Issues Sales Settlements, net
Transfers
into
Level 3 (5)
Transfers
out of
Level 3 (5)
Balance,
December 31,
2012
Unrealized
(gains)
losses still
held (6)
(in millions)
Liabilities Other debt, at fair value ........... $ — $ (16) $ — $ (16) $ — $ — $ — $ (812) $3,015 $ — $ 2,187 $ (6) Net derivatives(8) ................ (17) 30 — 30 — 3 — (2) — 33 47 15
297 Freddie Mac