Freddie Mac 2012 Annual Report Download - page 315

mortgage loans would have decreased by $11.2 billion as of December 31, 2012. The total fair value of the loans in our
portfolio that reflects the pricing afforded to HARP loans as of December 31, 2012 as presented in our consolidated fair
value balance sheets is $153.1 billion.
Multifamily Loans
For a discussion of the techniques used to determine the fair value of held-for-sale and impaired held-for-investment
multifamily mortgage loans, see “Valuation Techniques for Assets and Liabilities Measured at Fair Value in Our
Consolidated Balance Sheets — Mortgage Loans, Held-for-Sale” and “— Mortgage Loans, Held-for-Investment,”
respectively. Non-impaired multifamily mortgage loans are valued using the same technique as held-for-sale multifamily
mortgage loans.
Other Assets
Most of our other assets, such as property and equipment, are not financial instruments required to be valued at fair
value under the accounting guidance for disclosures about the fair value of financial instruments. For most of these non-
financial instruments in other assets, we use the carrying amounts from our GAAP consolidated balance sheets as the
reported values on our consolidated fair value balance sheets, without any adjustment. These assets represent an insignificant
portion of our GAAP consolidated balance sheets.
We adjust the GAAP-basis deferred taxes reflected on our consolidated fair value balance sheets to include estimated
income taxes on the difference between our consolidated fair value balance sheets net assets, including deferred taxes from
our GAAP consolidated balance sheets, and our GAAP consolidated balance sheets total equity (deficit). To the extent the
adjusted deferred taxes are a net asset, this amount is included in other assets. In addition, if our net deferred tax assets on our
consolidated fair value balance sheets, calculated as described above, exceed our net deferred tax assets on our GAAP
consolidated balance sheets that have been reduced by a valuation allowance, our net deferred tax assets on our consolidated
fair value balance sheets are limited to the amount of our net deferred tax assets on our GAAP consolidated balance sheets. If
the adjusted deferred taxes are a net liability, this amount is included in other liabilities.
Accrued interest receivable is one of the components included within other assets on our consolidated fair value balance
sheets. On our GAAP consolidated balance sheets, we reverse accrued but uncollected interest income when a loan is placed
on non-accrual status. There is no such reversal performed for the fair value of accrued interest receivable disclosed on our
consolidated fair value balance sheets. Rather, we include in our fair value disclosure the amount we deem to be collectible.
As a result, there is a difference between the accrued interest receivable GAAP-basis carrying amount and its fair value
disclosed on our consolidated fair value balance sheets.
Other assets are classified primarily as Level 2 or Level 3 depending on whether the valuation technique uses
unobservable inputs that are significant to the fair value measurement.
Total Debt, Net
Total debt, net represents debt securities of consolidated trusts held by third parties and other debt that we issued to
finance our assets. On our consolidated GAAP balance sheets, total debt, net, excluding debt securities for which the fair
value option has been elected, is reported at amortized cost, which is net of deferred items, including premiums, discounts,
and hedging-related basis adjustments.
For debt securities of consolidated trusts, the valuation techniques we use are similar to the techniques we use to value
our investments in agency securities for GAAP purposes. See “Valuation Techniques for Assets and Liabilities Measured at
Fair Value in Our Consolidated Balance Sheets — Investments in Securities —Mortgage-Related Securities — Agency
Securities” for additional information regarding the valuation techniques we use.
Other debt includes short-term zero-coupon discount notes, callable debt, and non-callable debt. Short-term zero-coupon
discount notes are valued using a yield analysis technique. Under this technique, the debt instruments are valued using
published yield matrices which are based on the days to maturity of the debt and converted into a price. Significant inputs
used in this technique are the published yield matrices. Short-term zero-coupon discount notes are classified as Level 2 as the
significant inputs used are observable in active markets. Other debt securities, including both callable and non-callable debt,
are valued using a single external source or median of external sources. These debt securities generally have observable
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