Freddie Mac moved its entire ABS portfolio into level 3
because according to Freddie Mac, “prices we were seeing in the market that didn’t make any sense.”

From the FRE conference call: Analyst: There is a headline out there that you have level 3 assets of $157
billion. I was just wondering is that true and is that related at all to the markups of the 1.2 billion gain?

Freddie Mac: No, it is not Paul. We made a determination in the first quarter that given how widely the
pricing we were getting on the abs portfolio [varied] that it no longer made sense to leave that into level
two. So we essentially moved the entire abs portfolio into level three. We were still using the mean
pricing that we were getting from the dealers. So we’re not using a model price. That is all that is. It has
nothing to do with the trading portfolio.”  http://calculatedrisk.blogspot.com/2008/05/freddie-mac-conference-call.html