Freddie Mac 2015 Annual Report Download - page 311

Financial Statements Notes to the Consolidated Financial Statements | Note 14
Freddie Mac 2015 Form 10-K 309
December 31, 2014
(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 $ — $ 34,868 $ 4,231 $ — $ 39,099
Fannie Mae — 11,228 85 — 11,313
Ginnie Mae — 195 4 — 199
CMBS — 18,348 3,474 — 21,822
Subprime — — 20,589 — 20,589
Option ARM — — 5,649 — 5,649
Alt-A and other — 16 5,027 — 5,043
Obligations of states and political
subdivisions — — 2,198 — 2,198
Manufactured housing — — 638 — 638
Total available-for-sale securities, at fair
value — 64,655 41,895 — 106,550
Trading, at fair value:
Mortgage-related securities:
Freddie Mac — 16,542 927 — 17,469
Fannie Mae — 5,867 232 — 6,099
Ginnie Mae — 15 1 — 16
Other — 167 4 — 171
Total mortgage-related securities — 22,591 1,164 — 23,755
Non-mortgage-related securities 6,682 — — — 6,682
Total trading securities, at fair value 6,682 22,591 1,164 — 30,437
Total investments in securities 6,682 87,246 43,059 — 136,987
Mortgage loans:
Held-for-sale, at fair value — 12,130 — — 12,130
Derivative assets, net:
Interest-rate swaps — 5,653 — — 5,653
Option-based derivatives 5 4,219 — — 4,224
Other — 40 27 — 67
Subtotal, before netting adjustments 5 9,912 27 — 9,944
Netting adjustments(1) — — — (9,122) (9,122)
Total derivative assets, net 5 9,912 27 (9,122) 822
Other assets:
Guarantee asset, at fair value — — 1,626 — 1,626
All other, at fair value — — 5 — 5
Total other assets — — 1,631 — 1,631
Total assets carried at fair value on a
recurring basis $ 6,687 $ 109,288 $ 44,717 $ (9,122) $ 151,570
Liabilities:
Debt securities of consolidated trusts held by third
parties, at fair value $ — $ 42 $ — $ — $ 42
Other debt, at fair value — 5,820 — — 5,820
Derivative liabilities, net:
Interest-rate swaps — 13,316 — — 13,316
Option-based derivatives 28 99 — — 127
Other — 80 37 — 117
Subtotal, before netting adjustments 28 13,495 37 — 13,560
Netting adjustments(1) — — — (11,597) (11,597)
Total derivative liabilities, net 28 13,495 37 (11,597) 1,963
Total liabilities carried at fair value on a
recurring basis $ 28 $ 19,357 $ 37 $ (11,597) $ 7,825
(1) Represents counterparty netting, cash collateral netting and net derivative interest receivable or payable. The net cash
collateral posted was $2.3 billion and $3.2 billion, respectively, at December 31, 2015 and 2014. The net interest receivable
(payable) of derivative assets and derivative liabilities was $(0.6) billion and $(0.7) billion at December 31, 2015 and 2014,
respectively, which was mainly related to interest rate swaps.