Freddie Mac 2006 Annual Report Download - page 135

Table 5.5 presents the changes in AOCI, net of taxes, related to available-for-sale securities. The Net unrealized
holding (losses), net of tax, represents the net fair value adjustments recorded on available-for-sale securities throughout the
year, after the eÅects of our statutory tax rate of 35 percent. The Net reclassiÑcation adjustment for net realized losses
(gains), net of tax, represents the amount of those fair value adjustments, after the eÅects of our statutory tax rate of
35 percent, that have been recognized in earnings due to a sale of an available-for-sale security or the recognition of an
impairment loss. See ""NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES'' for further information
regarding the component of AOCI related to available-for-sale securities.
Table 5.5 Ì AOCI, Net of Taxes, Related to Available-For-Sale Securities
Year Ended December 31,
2006 2005 2004
(in millions)
Beginning balanceÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $(2,485) $ 4,339 $ 6,349
Net unrealized holding (losses), net of tax(1) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ (525) (6,707) (1,709)
Net reclassiÑcation adjustment for net realized losses (gains), net of tax(2)(3) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 261 (117) (301)
Ending balance ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $(2,749) $(2,485) $ 4,339
(1) Net of tax (beneÑt) of $(282) million, $(3,611) million and $(920) million for the years ended December 31, 2006, 2005 and 2004, respectively.
(2) Net of tax beneÑt (expense) of $139 million, $(63) million and $(162) million for the years ended December 31, 2006, 2005 and 2004, respectively.
(3) Includes the reversal of previously recorded unrealized losses that have been recognized as impairment losses on available-for-sale securities of
$281 million, $234 million and $72 million, net of taxes, for the years ended December 31, 2006, 2005 and 2004, respectively.
Table 5.6 summarizes the estimated fair values by major security type for trading securities held in our Retained
portfolio.
Table 5.6 Ì Trading Securities in the Retained Portfolio
December 31,
2006 2005
(in millions)
Mortgage-related securities issued by:
Freddie MacÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $6,573 $ 8,156
Fannie Mae ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 802 534
Ginnie Mae ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 222 204
Total trading securities in the Retained portfolioÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $7,597 $ 8,894
For the years ended December 31, 2006, 2005 and 2004 we recorded net unrealized losses on trading securities held at
December 31, 2006, 2005 and 2004 of $11 million, $261 million and $240 million, respectively.
Retained Portfolio Voluntary Growth Limit
EÅective as of July 1, 2006, we voluntarily limited the growth of our Retained portfolio to no more than 2.0 percent
annually (and 0.5 percent quarterly on a cumulative basis) based on its carrying value as reported in our minimum capital
report to OFHEO Ñled on July 28, 2006, which was $710.3 billion. This voluntary, temporary growth limit was made in
response to a request from OFHEO. At December 31, 2006, the carrying value of the Retained portfolio as reported on our
consolidated balance sheets was $700.5 billion, below the voluntary limit of $717.4 billion at that time.
Collateral Pledged
Collateral Pledged to Freddie Mac
Our counterparties are required to pledge collateral for reverse repurchase transactions and most interest-rate swap
agreements, after giving consideration to collateral posting thresholds generally related to a counterparty's credit rating. Even
though it is our practice not to repledge assets held as collateral, based on master agreements a portion of the collateral may
be repledged. At December 31, 2006 and 2005, we did not have collateral in the form of securities pledged to and held by us
under secured lending transactions and interest-rate swap agreements.
Collateral Pledged by Freddie Mac
We are also required to pledge collateral for margin requirements with third-party custodians in connection with secured
Ñnancings, interest-rate swap agreements, futures and daily trade activities with some counterparties. In 2006, we opened
three uncommitted intraday lines of credit with third-parties, two of which are secured, in connection with the Federal
Reserve Board's revised payments system risk policy, which restricts or eliminates daylight overdrafts by GSEs, including us,
in connection with our use of the Fedwire system. In certain limited circumstances, the line of credit agreements give the
secured parties the right to repledge the securities underlying our Ñnancing to other third parties, including the Federal
Reserve Bank. We pledge collateral to meet these requirements upon a demand by the respective counterparty.
123 Freddie Mac