Freddie Mac 2012 Annual Report Download - page 312

Table 16.6 — Consolidated Fair Value Balance Sheets
December 31,
2012 2011
Fair Value
Carrying
Amount(1) Level 1 Level 2 Level 3
Netting
Adjustments Total
Carrying
Amount(1)
Fair
Value
(in billions)
Assets
Cash and cash equivalents ..................... $ 8.5 $ 8.5 $ — $ — $ — $ 8.5 $ 28.4 $ 28.4
Restricted cash and cash equivalents ............. 14.6 14.6 — — — 14.6 28.1 28.1
Federal funds sold and securities purchased under
agreements to resell ........................ 37.6 — 37.6 — — 37.6 12.0 12.0
Investments in securities:
Available-for-sale, at fair value ............... 174.9 — 119.9 55.0 — 174.9 210.7 210.7
Trading, at fair value ....................... 41.5 20.2 19.7 1.6 — 41.5 58.8 58.8
Total investments in securities .............. 216.4 20.2 139.6 56.6 — 216.4 269.5 269.5
Mortgage loans:
Mortgage loans held by consolidated trusts ....... 1,495.9 — 1,130.4 409.7 — 1,540.1 1,564.2 1,598.2
Unsecuritized mortgage loans ................. 190.4 — 16.4 151.2 — 167.6 217.1 205.9
Total mortgage loans ..................... 1,686.3 — 1,146.8 560.9 — 1,707.7 1,781.3 1,804.1
Derivative assets, net ......................... 0.7 — 24.2 — (23.5) 0.7 0.1 0.1
Other assets ............................... 25.8 — 0.8 25.0 — 25.8 27.8 28.5
Total assets .............................. $1,989.9 $43.3 $1,349.0 $ 642.5 $(23.5) $2,011.3 $2,147.2 $2,170.7
Liabilities
Debt, net:
Debt securities of consolidated trusts held by third
parties ................................ $1,419.5 $ — $1,484.2 $ 2.9 $ — $1,487.1 $1,471.4 $1,552.5
Other debt ............................... 547.5 — 547.0 18.6 — 565.6 660.6 681.2
Total debt, net .......................... 1,967.0 — 2,031.2 21.5 — 2,052.7 2,132.0 2,233.7
Derivative liabilities, net ...................... 0.2 — 31.1 — (30.9) 0.2 0.4 0.4
Other liabilities ............................. 13.8 0.2 7.6 8.9 — 16.7 14.9 15.0
Total liabilities ........................... 1,981.0 0.2 2,069.9 30.4 (30.9) 2,069.6 2,147.3 2,249.1
Net assets
Senior preferred stockholders ................. 72.3 — — 72.3 — 72.3 72.2 72.2
Preferred stockholders ...................... 14.1 — 0.9 — — 0.9 14.1 0.6
Common stockholders ...................... (77.5) — — (131.5) — (131.5) (86.4) (151.2)
Total net assets ........................... 8.9 — 0.9 (59.2) — (58.3) (0.1) (78.4)
Total liabilities and net assets ............... $1,989.9 $ 0.2 $2,070.8 $ (28.8) $(30.9) $2,011.3 $2,147.2 $2,170.7
(1) Equals the amount reported on our GAAP consolidated balance sheets.
Limitations
Our consolidated fair value balance sheets do not capture all elements of value that are implicit in our operations as a
going concern because our consolidated fair value balance sheets only capture the values of the current investment and
securitization portfolios as of the dates presented. For example, our consolidated fair value balance sheets do not capture the
value of new investment and securitization business that would likely replace prepayments as they occur, nor do they include
any estimation of intangible or goodwill values. Thus, the fair value of net assets presented on our consolidated fair value
balance sheets does not represent an estimate of our net realizable, liquidation, or market value as a whole.
The fair value of certain financial instruments is based on our current principal market as of the dates presented. As new
markets evolve, our principal market may change. The use of different assumptions and methodologies to determine the fair
values of certain financial instruments, including the use of different principal markets, could have a material impact on the
fair value of net assets presented on our consolidated fair value balance sheets.
We report certain assets and liabilities that are not financial instruments, such as property and equipment and REO, as
well as certain financial instruments that are not covered by the disclosure requirements in the accounting guidance for
financial instruments, such as pension liabilities, at their carrying amounts in accordance with GAAP on our consolidated fair
value balance sheets. We believe these items do not have a significant impact on our overall fair value results. Other non-
financial assets and liabilities on our GAAP consolidated balance sheets represent deferrals of costs and revenues that are
amortized in accordance with GAAP, such as deferred debt issuance costs and deferred fees. Cash receipts and payments
307 Freddie Mac