Freddie Mac 2004 Annual Report Download - page 36

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Table 9 Ì Reconciliation of Retained Portfolio Unpaid Principal Balances to the Consolidated Balance
Sheets
December 31,
2004 2003
(dollars in millions)
Mortgage loans in the Retained portfolio:
Unpaid principal balances ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $ 61,360 $ 60,270
Unamortized premiums, discounts, deferred fees and other basis adjustments(1) 74 64
Less: Reserve for losses on mortgage loans held-for-investment ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ (114) (174)
Mortgage loans, net of reserve per consolidated balance sheets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 61,320 60,160
Mortgage-related securities in the Retained portfolio:(2)
Unpaid principal balances(3)(4) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 591,576 585,196
Unamortized premiums, discounts, deferred fees and other basis adjustments(5) 3,965 4,729
Net unrealized gains on mortgage-related securities, pre-tax ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6,762 9,601
Participation CertiÑcate residuals, at fair value ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 845 671
Mortgage-related securities per consolidated balance sheetsÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 603,148 600,197
Total Retained portfolio per consolidated balance sheets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $664,468 $660,357
(1) Other basis adjustments include lower-of-cost-or-market valuation adjustments for loans held-for-sale and basis adjustments related
to purchase commitment hedging activities. Basis adjustments are modiÑcations to the carrying value of these mortgage loans.
(2) Includes PCs, Structured Securities and non-Freddie Mac mortgage-related securities.
(3) Includes other-than-temporary credit-related impairments attributable to certain securities. Impairments to unpaid principal
balances are recorded in certain circumstances when the fair value declines below the amortized cost basis of a security.
(4) Consists of PCs and Structured Securities and Total non-Freddie Mac mortgage-related securities held in the Retained portfolio. See
""Table 8 Ì Freddie Mac's Total Mortgage Portfolio Based on Unpaid Principal Balances'' for more information.
(5) Other basis adjustments are related to (a) hedging activities for the purchase of securities, (b) certain impairments related to
interest-only securities and (c) the extinguishment of the net positive diÅerence between Guarantee assets, Guarantee obligations
and credit enhancement-related assets recognized at the inception of an executed Guarantor Swap that correspond to PCs and
Structured Securities that we purchase.
Freddie Mac
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