Freddie Mac 2010 Annual Report Download - page 73

Table 10 — 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
2010 2009 2008
Year Ended December 31,
(dollars in millions)
Interest-earning assets:
Cash and cash equivalents . .............. $ 48,803 $ 77 0.16% $ 55,764 $ 193 0.35% $ 29,311 $ 618 2.11%
Federal funds sold and securities purchased under
agreements to resell . . . .............. 46,739 79 0.17 28,524 48 0.17 23,018 423 1.84
Mortgage-related securities:
Mortgage-related securities
(3)
............ 526,748 25,366 4.82 675,167 32,563 4.82 661,756 34,263 5.18
Extinguishment of PCs held by Freddie Mac . . (213,411) (11,182) (5.24) — — — — — —
Total mortgage-related securities, net . . .... 313,337 14,184 4.53 675,167 32,563 4.82 661,756 34,263 5.18
Non-mortgage-related securities
(3)
.......... 27,995 191 0.68 16,471 727 4.42 19,757 804 4.07
Mortgage loans held by consolidated trusts
(4)(5)
. . 1,722,387 86,698 5.03 — — — — — —
Unsecuritized mortgage loans
(4)(6)
.......... 206,116 8,727 4.23 127,429 6,815 5.35 93,649 5,369 5.73
Total interest-earning assets . ......... $2,365,377 $109,956 4.65 $903,355 $ 40,346 4.47 $827,491 $ 41,477 5.01
Interest-bearing liabilities:
Debt securities of consolidated trusts including
PCs held by Freddie Mac .............. $1,738,330 $ (86,398) (4.97) $ — $ — — $ — $ — —
Extinguishment of PCs held by Freddie Mac .... (213,411) 11,182 5.24 — — — — — —
Total debt securities of consolidated trusts held
by third parties ................... 1,524,919 (75,216) (4.93) — — — — — —
Other debt:
Short-term debt . ................... 219,654 (552) (0.25) 287,259 (2,234) (0.78) 244,569 (6,800) (2.78)
Long-term debt
(7)
................... 543,306 (16,363) (3.01) 557,184 (19,916) (3.57) 561,261 (26,532) (4.73)
Total other debt .................. 762,960 (16,915) (2.22) 844,443 (22,150) (2.62) 805,830 (33,332) (4.14)
Total interest-bearing liabilities ........ 2,287,879 (92,131) (4.03) 844,443 (22,150) (2.62) 805,830 (33,332) (4.14)
Income (expense) related to derivatives
(8)
...... — (969) (0.04) — (1,123) (0.13) — (1,349) (0.17)
Impact of net non-interest-bearing funding . .... 77,498 — 0.13 58,912 — 0.17 21,661 — 0.12
Total funding of interest-earning assets . . .... $2,365,377 $ (93,100) (3.94) $903,355 $(23,273) (2.58) $827,491 $(34,681) (4.19)
Net interest income/yield .............. $16,856 0.71 $ 17,073 1.89 $ 6,796 0.82
Rate
(9)
Volume
(9)
Total
Change Rate
(9)
Volume
(9)
Total
Change
2010 vs. 2009 Variance Due to 2009 vs. 2008 Variance Due to
(in millions)
Interest-earning assets:
Cash and cash equivalents ................................................ $ (83) $ (33) $ (116) $ (740) $ 315 $ (425)
Federal funds sold and securities purchased under agreements to resell . .................... (1) 32 31 (457) 82 (375)
Mortgage-related securities:
Mortgage-related securities
(3)
............................................. (50) (7,147) (7,197) (2,384) 684 (1,700)
Extinguishment of PCs held by Freddie Mac . .................................. — (11,182) (11,182) — — —
Total mortgage-related securities, net ....................................... (50) (18,329) (18,379) (2,384) 684 (1,700)
Non-mortgage-related securities
(3)
........................................... (850) 314 (536) 65 (142) (77)
Mortgage loans held by consolidated trusts
(4)(5)
................................... — 86,698 86,698 — — —
Unsecuritized mortgage loans
(4)(6)
........................................... (1,641) 3,553 1,912 (381) 1,827 1,446
Total interest-earning assets ........................................... $(2,625) $ 72,235 $ 69,610 $ (3,897) $ 2,766 $ (1,131)
Interest-bearing liabilities:
Debt securities of consolidated trusts including PCs held by Freddie Mac .................... $ — $(86,398) $(86,398) $ — $ — $ —
Extinguishment of PCs held by Freddie Mac . . . .................................. — 11,182 11,182 — — —
Total debt securities of consolidated trusts held by third parties ........................ — (75,216) (75,216) — — —
Other debt:
Short-term debt ..................................................... 1,248 434 1,682 5,587 (1,021) 4,566
Long-term debt
(7)
.................................................... 3,068 485 3,553 6,424 192 6,616
Total other debt . . . ................................................ 4,316 919 5,235 12,011 (829) 11,182
Total interest-bearing liabilities . . ....................................... 4,316 (74,297) (69,981) 12,011 (829) 11,182
Income (expense) related to derivatives
(8)
....................................... 154 — 154 226 — 226
Total funding of interest-earning assets ....................................... $4,470 $(74,297) $(69,827) $12,237 $ (829) $11,408
Net interest income . . . ................................................ $1,845 $ (2,062) $ (217) $ 8,340 $ 1,937 $10,277
(1) Excludes mortgage loans and mortgage-related securities traded, but not yet settled.
(2) We calculate average balances based on their amortized cost.
(3) Interest income (expense) includes accretion of the portion of impairment charges recognized in earnings expected to be recovered.
(4) Non-performing loans, where interest income is generally recognized when collected, are included in average balances.
(5) Loan fees, primarily consisting of delivery fees, included in interest income for mortgage loans held by consolidated trusts were $127 million,
$0 million, and $0 million for 2010, 2009 and 2008, respectively.
(6) Loan fees, primarily consisting of delivery fees and multifamily prepayment fees, included in unsecuritized mortgage loan interest income were
$130 million, $78 million, and $102 million for 2010, 2009 and 2008, respectively.
(7) Includes current portion of long-term debt.
(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 affects earnings. 2008 also includes the accrual of periodic cash settlements of all
derivatives in qualifying hedge accounting relationships.
(9) 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.
70 Freddie Mac