Freddie Mac 2015 Annual Report Download - page 310

Financial Statements Notes to the Consolidated Financial Statements | Note 14
Freddie Mac 2015 Form 10-K 308
December 31, 2015
(in millions) Level 1 Level 2 Level 3 Netting Adjustment(1) Total
Assets:
Investments in securities:
Available-for-sale, at fair value:
Mortgage-related securities:
Freddie Mac $ — $ 30,919 $ 2,608 $ — $ 33,527
Fannie Mae — 7,172 90 — 7,262
Ginnie Mae — 161 1 — 162
CMBS — 8,918 3,530 — 12,448
Subprime — — 12,802 — 12,802
Option ARM — — 3,678 — 3,678
Alt-A and other — — 3,278 — 3,278
Obligations of states and political
subdivisions — — 1,205 — 1,205
Manufactured housing — — 575 — 575
Total available-for-sale securities, at fair
value — 47,170 27,767 — 74,937
Trading, at fair value:
Mortgage-related securities:
Freddie Mac — 15,182 331 — 15,513
Fannie Mae — 6,397 41 — 6,438
Ginnie Mae — 30 — — 30
Other — 144 2 — 146
Total mortgage-related securities — 21,753 374 — 22,127
Non-mortgage-related securities 17,151 — — — 17,151
Total trading securities, at fair value 17,151 21,753 374 — 39,278
Total investments in securities 17,151 68,923 28,141 — 114,215
Mortgage loans:
Held-for-sale, at fair value — 17,660 — — 17,660
Derivative assets, net:
Interest-rate swaps — 4,911 — — 4,911
Option-based derivatives — 4,821 — — 4,821
Other — 34 25 — 59
Subtotal, before netting adjustments — 9,766 25 — 9,791
Netting adjustments(1) — — — (9,396) (9,396)
Total derivative assets, net — 9,766 25 (9,396) 395
Other assets:
Guarantee asset, at fair value — — 1,753 — 1,753
Total assets carried at fair value on a
recurring basis $ 17,151 $ 96,349 $ 29,919 $ (9,396) $ 134,023
Liabilities:
Debt securities of consolidated trusts held by third
parties, at fair value $ — $ 139 $ — $ — $ 139
Other debt, at fair value — 7,045 — — 7,045
Derivative liabilities, net:
Interest-rate swaps — 12,222 — — 12,222
Option-based derivatives — 128 — — 128
Other — 28 33 — 61
Subtotal, before netting adjustments — 12,378 33 — 12,411
Netting adjustments(1) — — — (11,157) (11,157)
Total derivative liabilities, net — 12,378 33 (11,157) 1,254
Other liabilities:
All other, at fair value — — 10 — 10
Total liabilities carried at fair value on a
recurring basis $ — $ 19,562 $ 43 $ (11,157) $ 8,448