Freddie Mac 2009 Annual Report Download - page 310

Table 18.4 — Consolidated Fair Value Balance Sheets
(1)
Carrying
Amount
(2)
Fair Value
Carrying
Amount
(2)
Fair Value
December 31, 2009 December 31, 2008
(in billions)
Assets
Cash and cash equivalents ................................................. $ 64.7 $ 64.7 $ 45.3 $ 45.3
Federal funds sold and securities purchased under agreements to resell .................. 7.0 7.0 10.2 10.2
Investments in securities:
Available-for-sale, at fair value ............................................ 384.7 384.7 458.9 458.9
Trading, at fair value .................................................. 222.2 222.2 190.4 190.4
Total investments in securities ........................................... 606.9 606.9 649.3 649.3
Mortgage loans . . . . . ................................................... 127.9 119.9 107.6 100.7
Derivative assets, net . ................................................... 0.2 0.2 1.0 1.0
Guarantee asset
(3)
...................................................... 10.4 11.0 4.8 5.4
Other assets . ......................................................... 24.7 26.7 32.8 34.1
Total assets . . . . ................................................... $841.8 $836.4 $851.0 $ 846.0
Liabilities
Total debt, net ......................................................... $780.6 $ 795.4 $843.0 $ 870.6
Guarantee obligation . ................................................... 12.5 94.0 12.1 59.7
Derivative liabilities, net .................................................. 0.6 0.6 2.3 2.3
Reserve for guarantee losses on Participation Certificates. . . . ........................ 32.4 — 14.9 —
Other liabilities . . . . . ................................................... 11.3 8.9 9.3 9.0
Total liabilities . . . . ................................................... 837.4 898.9 881.6 941.6
Net assets attributable to stockholders
Senior preferred stockholders. . ............................................. 51.7 51.7 14.8 14.8
Preferred stockholders ................................................... 14.1 0.5 14.1 0.1
Common stockholders ................................................... (61.5) (114.7) (59.6) (110.5)
Total net assets attributable to Freddie Mac . . . ................................ 4.3 (62.5) (30.7) (95.6)
Noncontrolling interest ................................................... 0.1 — 0.1 —
Total net assets . . . ................................................... 4.4 (62.5) (30.6) (95.6)
Total liabilities and net assets ........................................... $841.8 $836.4 $851.0 $ 846.0
(1) The consolidated fair value balance sheets do not purport to present our net realizable, liquidation or market value as a whole. Furthermore, amounts we
ultimately realize from the disposition of assets or settlement of liabilities may vary significantly from the fair values presented.
(2) Equals the amount reported on our GAAP consolidated balance sheets.
(3) The fair value of our guarantee asset reported exceeds the carrying value primarily because the fair value includes our guarantee asset related to PCs
that were issued prior to the implementation of accounting standards for guarantees in 2003 and thus are not recognized on our GAAP consolidated
balance sheets.
Limitations
Our consolidated fair value balance sheets do not capture all elements of value that are implicit in our operations as a
going concern because our consolidated fair value balance sheets only capture the values of the current investment and
securitization portfolios. For example, our consolidated fair value balance sheets do not capture the value of new investment
and securitization business that would likely replace prepayments as they occur. Thus, the fair value of net assets attributable
to stockholders presented on our consolidated fair value balance sheets does not represent an estimate of our net realizable,
liquidation or market value as a whole.
We report certain assets and liabilities that are not financial instruments (such as property and equipment and REO), as
well as certain financial instruments that are not covered by the disclosure requirements in the accounting standards for
financial instruments, such as pension liabilities, at their carrying amounts in accordance with GAAP on our consolidated
fair value balance sheets. We believe these items do not have a significant impact on our overall fair value results. Other
non-financial assets and liabilities on our GAAP consolidated balance sheets represent deferrals of costs and revenues that
are amortized in accordance with GAAP, such as deferred debt issuance costs and deferred credit fees. Cash receipts and
payments related to these items are generally recognized in the fair value of net assets when received or paid, with no basis
reflected on our fair value balance sheets.
Valuation Methods and Assumptions Not Subject to Fair Value Hierarchy
The following are valuation assumptions and methods for items not subject to the fair value hierarchy either because
they are not measured at fair value other than on the consolidated fair value balance sheets or are only measured at fair
value at inception.
Mortgage Loans
Mortgage loans consists of both single-family and multifamily mortgage loans that we hold for investment; however,
only our population of held-for-investment single-family mortgage loans are not subject to the fair value hierarchy. For
GAAP purposes, we must determine the fair value of our single-family mortgage loans to calculate lower-of-cost-or-fair-
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