Freddie Mac 2014 Annual Report Download - page 222

217 Freddie Mac
Fair Value at December 31, 2013
Level 1 Level 2 Level 3 Netting
Adjustment(1) Total
(in millions)
Assets:
Investments in securities:
Available-for-sale, at fair value:
Mortgage-related securities:
Freddie Mac $ — $ 38,720 $ 1,939 $ — $ 40,659
Fannie Mae — 10,666 131 — 10,797
Ginnie Mae — 155 12 — 167
CMBS — 27,229 3,109 — 30,338
Subprime — — 27,499 — 27,499
Option ARM — — 6,574 — 6,574
Alt-A and other — — 8,706 — 8,706
Obligations of states and political
subdivisions — — 3,495 — 3,495
Manufactured housing — — 684 — 684
Total available-for-sale securities, at
fair value — 76,770 52,149 — 128,919
Trading, at fair value:
Mortgage-related securities:
Freddie Mac — 9,006 343 — 9,349
Fannie Mae — 6,959 221 — 7,180
Ginnie Mae — 24 74 — 98
Other — 133 8 — 141
Total mortgage-related securities — 16,122 646 — 16,768
U.S. Treasury securities 6,636 — — — 6,636
Total trading securities, at fair value 6,636 16,122 646 — 23,404
Total investments in securities 6,636 92,892 52,795 — 152,323
Mortgage loans:
Held-for-sale, at fair value — 8,727 — — 8,727
Derivative assets, net:
Interest-rate swaps — 10,009 10 — 10,019
Option-based derivatives — 4,112 — — 4,112
Other — 99 1 — 100
Subtotal, before netting adjustments — 14,220 11 — 14,231
Netting adjustments(1) — — — (13,168) (13,168)
Total derivative assets, net — 14,220 11 (13,168) 1,063
Other assets:
Guarantee asset, at fair value — — 1,611 — 1,611
All other, at fair value — — 9 — 9
Total other assets — — 1,620 — 1,620
Total assets carried at fair value on a
recurring basis $ 6,636 $ 115,839 $ 54,426 $ (13,168) $ 163,733
Liabilities:
Debt securities of consolidated trusts held by
third parties, at fair value $ — $ 59 $ — $ — $ 59
Other debt, at fair value — 1,155 1,528 — 2,683
Derivative liabilities, net:
Interest-rate swaps — 13,022 295 — 13,317
Option-based derivatives — 201 3 — 204
Other — 68 38 — 106
Subtotal, before netting adjustments — 13,291 336 — 13,627
Netting adjustments(1) — — — (13,447) (13,447)
Total derivative liabilities, net — 13,291 336 (13,447) 180
Total liabilities carried at fair value on
a recurring basis $ — $ 14,505 $ 1,864 $ (13,447) $ 2,922
(1) Represents counterparty netting, cash collateral netting and net derivative interest receivable or payable. The net cash collateral posted was $3.2 billion
and $871 million, respectively, at December 31, 2014 and 2013. The net interest receivable (payable) of derivative assets and derivative liabilities was
$(0.7) billion and $(0.6) billion at December 31, 2014 and 2013, respectively, which was mainly related to interest rate swaps.
Changes in Fair Value Levels
We monitor the availability of observable market data to: (a) assess the appropriate classification of financial instruments
within the fair value hierarchy; and (b) transfer assets and liabilities between Level 1, Level 2, and Level 3 accordingly.
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