Freddie Mac 2009 Annual Report Download - page 78

Table 11 — Average Balance, Net Interest Income and Rate/Volume Analysis
Average
Balance
(1)(2)
Interest
Income
(Expense)
(1)
Average
Rate
Average
Balance
(1)(2)
Interest
Income
(Expense)
(1)
Average
Rate
Average
Balance
(1)(2)
Interest
Income
(Expense)
(1)
Average
Rate
2009 2008 2007
Year Ended December 31,
(dollars in millions)
Interest-earning assets:
Mortgage loans
(3)(4)
. . . . . . . . . . . . . . . . . . . . . . . . $127,429 $ 6,815 5.35% $ 93,649 $ 5,369 5.73% $ 70,890 $ 4,449 6.28%
Mortgage-related securities
(5)
. . . . . . . . . . . . . . . . . . 675,167 32,563 4.82 661,756 34,263 5.18 645,844 34,893 5.40
Non-mortgage-related securities
(5)
. . . . . . . . . . . . . . . 16,471 727 4.42 19,757 804 4.07 32,724 1,694 5.18
Cash and cash equivalents . . . . . . . . . . . . . . . . . . . . 50,190 193 0.38 28,137 618 2.19 11,186 594 5.31
Federal funds sold and securities purchased under
agreements to resell . . . . . . . . . . . . . . . . . . . . . . 28,524 48 0.17 23,018 423 1.84 24,469 1,280 5.23
Total interest-earning assets . . . . . . . . . . . . . . . . $897,781 $ 40,346 4.49 $826,317 $ 41,477 5.02 $785,113 $ 42,910 5.46
Interest-bearing liabilities:
Short-term debt . . . . . . . . . . . . . . . . . . . . . . . . . . . $287,259 $ (2,234) (0.78) $244,569 $ (6,800) (2.78) $174,418 $ (8,916) (5.11)
Long-term debt
(6)
. . . . . . . . . . . . . . . . . . . . . . . . . 557,184 (19,916) (3.57) 561,261 (26,532) (4.73) 576,973 (29,148) (5.05)
Total debt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 844,443 (22,150) (2.62) 805,830 (33,332) (4.14) 751,391 (38,064) (5.07)
Due to Participation Certificate investors
(7)
. . . . . . . . . — — — — — — 7,820 (418) (5.35)
Total interest-bearing liabilities . . . . . . . . . . . . . . 844,443 (22,150) (2.62) 805,830 (33,332) (4.14) 759,211 (38,482) (5.07)
Expense related to derivatives
(8)
. . . . . . . . . . . . . . . . (1,123) (0.13) (1,349) (0.17) (1,329) (0.17)
Impact of net non-interest-bearing funding. . . . . . . . . . 53,338 — 0.16 20,487 — 0.11 25,902 — 0.17
Total funding of interest-earning assets . . . . . . . . . $897,781 $(23,273) (2.59) $826,317 $(34,681) (4.20) $785,113 $(39,811) (5.07)
Net interest income/yield . . . . . . . . . . . . . . . . . $ 17,073 1.90 $ 6,796 0.82 $ 3,099 0.39
Fully taxable-equivalent adjustments
(9)
. . . . . . . . . . . . 388 0.04 404 0.05 392 0.05
Net interest income/yield (fully taxable-equivalent
basis) . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 17,461 1.94% $ 7,200 0.87% $ 3,491 0.44%
Rate
(10)
Volume
(10)
Total
Change Rate
(10)
Volume
(10)
Total
Change
2009 vs. 2008 Variance
Due to
2008 vs. 2007 Variance
Due to
(in millions)
Interest-earning assets:
Mortgage loans ........................................ $ (381) $ 1,827 $ 1,446 $ (411) $ 1,331 $ 920
Mortgage-related securities
(5)
............................... (2,384) 684 (1,700) (1,476) 846 (630)
Non-mortgage related securities
(5)
............................ 65 (142) (77) (313) (577) (890)
Cash and cash equivalents . . . .............................. (714) 289 (425) (496) 520 24
Federal funds sold and securities purchased under agreements to resell . . . (457) 82 (375) (785) (72) (857)
Total interest-earning assets ............................. $(3,871) $ 2,740 $ (1,131) $(3,481) $ 2,048 $(1,433)
Interest-bearing liabilities:
Short-term debt ........................................ $ 5,587 $(1,021) $ 4,566 $ 4,936 $(2,820) $ 2,116
Long-term debt
(6)
....................................... 6,424 192 6,616 1,837 779 2,616
Total debt . . ........................................ 12,011 (829) 11,182 6,773 (2,041) 4,732
Due to Participation Certificate investors
(7)
...................... — — — — 418 418
Total interest-bearing liabilities . . . ....................... 12,011 (829) 11,182 6,773 (1,623) 5,150
Expense related to derivatives
(8)
............................. 226 — 226 (20) — (20)
Total funding of interest-earning assets ..................... $12,237 $ (829) $11,408 $ 6,753 $(1,623) $ 5,130
Net interest income .................................. $ 8,366 $1,911 $10,277 $ 3,272 $ 425 $ 3,697
Fully taxable-equivalent adjustments
(9)
......................... (49) 33 (16) (9) 21 12
Net interest income (fully taxable-equivalent basis) . . . .......... $ 8,317 $1,944 $10,261 $ 3,263 $ 446 $ 3,709
(1) Excludes mortgage loans and mortgage-related securities traded, but not yet settled.
(2) For securities, we calculated average balances based on their unpaid principal balance plus their associated deferred fees and costs (e.g., premiums and
discounts), but excluded the effects of mark-to-fair-value changes.
(3) Non-performing loans, where interest income is recognized when collected, are included in average balances.
(4) Loan fees included in mortgage loan interest income were $78 million, $102 million and $290 million for 2009, 2008 and 2007, respectively.
(5) Interest income (expense) includes the portion of impairment charges recognized in earnings expected to be recovered.
(6) Includes current portion of long-term debt.
(7) As a result of the creation of the securitization trusts in December 2007, due to Participation Certificate investors interest expense is now recorded in
trust management income (expense) on our consolidated statements of operations. See “Non-Interest Income (Loss) — Trust Management Income
(Expense)” for additional information about due to Participation Certificate investors interest expense.
(8) Represents changes in fair value of derivatives in cash flow hedge relationships that were previously deferred in AOCI and have been reclassified to
earnings as the associated hedged forecasted issuance of debt and mortgage purchase transactions affect earnings. 2008 also includes the accrual of
periodic cash settlements of all derivatives in qualifying hedge accounting relationships.
(9) The determination of net interest income/yield (fully taxable-equivalent basis), which reflects fully taxable-equivalent adjustments to interest income,
involves the conversion of tax-exempt sources of interest income to the equivalent amounts of interest income that would be necessary to derive the
same net return if the investments had been subject to income taxes using our federal statutory tax rate of 35%.
(10) Rate and volume changes are calculated on the individual financial statement line item level. Combined rate/volume changes were allocated to the
individual rate and volume change based on their relative size.
75 Freddie Mac