Freddie Mac 2015 Annual Report Download - page 258

Financial Statements Notes to the Consolidated Financial Statements | Note 6
Freddie Mac 2015 Form 10-K 256
Realized Gains and Losses on Sales of Available-For-Sale Securities
Gains and losses on the sale of securities are included in other gains (losses) on investment securities
recognized in earnings, including those gains (losses) reclassified into earnings from AOCI. We use the
specific identification method for determining the cost basis of a security in computing the gain or loss.
The following table presents the gross realized gains and gross realized losses from the sale of available-
for-sale securities.
Year Ended December 31,
(in millions) 2015 2014 2013
Gross realized gains $ 1,371 $1,897 $1,950
Gross realized losses (33)(185)(51)
Net realized gains (losses) $ 1,338 $1,712 $1,899
Maturities of Available-For-Sale Securities
The following table presents the remaining contractual maturities of available-for-sale securities.
As of December 31, 2015
After One Year Through
Five Years After Five Years Through Ten Years
Total
Amortized
Cost Total Fair Value
One Year or Less After Ten Years
Amortized
Cost Fair Value Amortized Cost Fair Value Amortized Cost Fair Value Amortized Cost Fair Value(dollars in millions)
Available-for-sale
securities:
Freddie Mac $ 32,684 $ 33,527 $ 29 $ 29 $ 1 $ 1 $ 1,757 $ 1,756 $ 30,897 $ 31,741
Fannie Mae 7,033 7,262 3 3 15 16 76 85 6,939 7,158
Ginnie Mae 150 162 — —2 2 22 25 126 135
CMBS 12,009 12,448 — —315 320 — — 11,694 12,128
Subprime 12,499 12,802 — —— — — — 12,499 12,802
Option ARM 3,423 3,678 — —— — — — 3,423 3,678
Alt-A and other 2,788 3,278 1 1 14 14 8 9 2,765 3,254
Obligations of
states and
political
subdivisions 1,187 1,205 10 10 25 26 87 91 1,065 1,078
Manufactured
housing 488 575 — —— — 7 9 481 566
Total available-for-
sale securities $ 72,261 $ 74,937 $ 43 $ 43 $ 372 $ 379 $ 1,957 $ 1,975 $ 69,889 $ 72,540
Weighted Average
Yield(1) 2.74% 2.74% 5.58% 1.33% 2.76%
(1) The weighted average yield is calculated based on a yield for each individual lot held at December 31, 2015 excluding any
fully taxable-equivalent adjustments related to tax exempt sources of interest income. The numerator for the individual lot
yield consists of the sum of: (a) the year-end interest rate multiplied by the year-end UPB; and (b) the amortization income or
expense calculated for December 2015 (excluding the accretion of non-credit-related other-than-temporary impairments and
any adjustments recorded for changes in the effective rate). The denominator for the individual lot yield consists of the year-
end amortized cost of the lot excluding effects of other-than-temporary impairments on the UPB of impaired lots.