Freddie Mac 2015 Annual Report Download - page 254

Financial Statements Notes to the Consolidated Financial Statements | Note 6
Freddie Mac 2015 Form 10-K 252
Available-For-Sale Securities in a Gross Unrealized Loss Position
The following table presents the fair values of available-for-sale securities in a gross unrealized loss
position, and whether they have been in that position for less than 12 months, or 12 months or greater.
December 31, 2015
Less than 12 Months 12 Months or Greater
(in millions) Fair Value
Gross
Unrealized
Losses Fair
Value
Gross
Unrealized
Losses
Available-for-sale securities:
Freddie Mac $ 8,171 $(64) $ 1,224 $(35)
Fannie Mae 2,402 (24)1,337 (12)
Ginnie Mae — — 55 —
CMBS 396 (9) 160 (2)
Subprime 719 (21)3,923 (329)
Option ARM 349 (8) 579 (54)
Alt-A and other 108 (1) 265 (15)
Obligations of states and political subdivisions 18 — 8 (1)
Manufactured housing — — 14 —
Total available-for-sale securities in a gross
unrealized loss position $12,163 $(127) $ 7,565 $(448)
December 31, 2014
Less than 12 Months 12 Months or Greater
(in millions) Fair Value
Gross
Unrealized
Losses Fair
Value
Gross
Unrealized
Losses
Available-for-sale securities:
Freddie Mac $ 2,531 $(14) $ 936 $(32)
Fannie Mae 2,693 (9) 5 (1)
Ginnie Mae 66 — — —
CMBS 184 (5) 1,149 (51)
Subprime 286 (3) 6,533 (607)
Option ARM 77 — 1,490 (183)
Alt-A and other 185 (5) 499 (30)
Obligations of states and political subdivisions 48 — 28 (2)
Manufactured housing 42 — 15 (2)
Total available-for-sale securities in a gross
unrealized loss position $6,112 $(36) $ 10,655 $(908)
At December 31, 2015, total gross unrealized losses on available-for-sale securities were $0.6 billion. The
gross unrealized losses relate to 415 individual lots representing 368 separate securities. We purchase
multiple lots of individual securities at different times and at different costs. We determine gross
unrealized gains and gross unrealized losses by specifically evaluating investment positions at the lot
level; therefore, some of the lots we hold for an individual security may be in an unrealized gain position
while other lots for that security may be in an unrealized loss position.
Impairment Recognition on Investments in Securities
We evaluate available-for-sale securities in an unrealized loss position as of the end of each quarter to
determine whether the decline in value is other-than-temporary. An unrealized loss exists when the fair
value of an individual lot is less than its amortized cost basis. As discussed further below, certain other-
than-temporary impairment losses are recognized in earnings.