Freddie Mac 2014 Annual Report Download - page 60

55 Freddie Mac
Table 9 — Net Interest Income/Yield, Average Balance, and Rate/Volume Analysis
Years Ended December 31,
2014 2013 2012
Average
Balance
Interest
Income
(Expense) Average
Rate Average Balance
Interest
Income
(Expense) Average
Rate Average Balance
Interest
Income
(Expense) Average
Rate
(dollars in millions)
Interest-earning assets:
Cash and cash equivalents $ 13,889 $ 4 0.03% $ 31,087 $ 15 0.05% $ 35,476 $ 20 0.06%
Federal funds sold and securities
purchased under agreements to resell 42,905 28 0.06 44,897 36 0.08 38,944 66 0.17
Mortgage-related securities:
Mortgage-related securities 256,548 10,027 3.91 313,707 12,787 4.08 357,197 15,853 4.44
Extinguishment of PCs held by Freddie
Mac (111,545) (4,190) (3.76) (127,999)(5,045)(3.94)(119,181)(5,328)(4.47)
Total mortgage-related securities, net 145,003 5,837 4.03 185,708 7,742 4.17 238,016 10,525 4.42
Non-mortgage-related securities 9,983 6 0.06 21,385 26 0.12 23,763 58 0.25
Mortgage loans held by consolidated
trusts(1)(2) 1,540,570 57,036 3.70 1,511,128 57,189 3.78 1,529,213 65,089 4.26
Unsecuritized mortgage loans(1)(3) 170,017 6,569 3.86 203,760 7,694 3.78 237,942 8,960 3.77
Total interest-earning assets $ 1,922,367 $ 69,480 3.61 $ 1,997,965 $ 72,702 3.63 $ 2,103,354 $ 84,718 4.03
Interest-bearing liabilities:
Debt securities of consolidated trusts
including PCs held by Freddie Mac $ 1,557,895 $ (52,193) (3.35) $ 1,532,032 $ (52,395)(3.42) $ 1,552,207 $ (61,437)(3.96)
Extinguishment of PCs held by Freddie
Mac (111,545) 4,190 3.76 (127,999) 5,045 3.94 (119,181) 5,328 4.47
Total debt securities of consolidated
trusts held by third parties 1,446,350 (48,003) (3.32) 1,404,033 (47,350)(3.37) 1,433,026 (56,109)(3.92)
Other debt:
Short-term debt 118,211 (145) (0.12) 132,674 (178)(0.13) 129,504 (176)(0.14)
Long-term debt 331,887 (6,768) (2.04) 393,094 (8,251)(2.10) 463,308 (10,217)(2.21)
Total other debt 450,098 (6,913) (1.54) 525,768 (8,429)(1.60) 592,812 (10,393)(1.75)
Total interest-bearing liabilities 1,896,448 (54,916) (2.89) 1,929,801 (55,779)(2.89) 2,025,838 (66,502)(3.28)
Expense related to derivatives(4) — (301) (0.02) — (455)(0.02) — (605)(0.03)
Impact of net non-interest-bearing funding 25,919 — 0.04 68,164 — 0.10 77,516 — 0.12
Total funding of interest-earning assets $ 1,922,367 $ (55,217) (2.87) $ 1,997,965 $ (56,234)(2.81) $ 2,103,354 $ (67,107)(3.19)
Net interest income/yield $ 14,263 0.74 $ 16,468 0.82 $ 17,611 0.84
2014 vs. 2013 Variance Due to 2013 vs. 2012 Variance Due to
Rate(5) Volume(5) Total
Change Rate(5) Volume(5) Total Change
(in millions)
Interest-earning assets:
Cash and cash equivalents $ (5) $ (6) $ (11) $ (8) $ 3 $ (5)
Federal funds sold and securities
purchased under agreements to resell (7)(1)(8)(38) 8 (30)
Mortgage-related securities:
Mortgage-related securities (508)(2,252)(2,760)(1,229)(1,837)(3,066)
Extinguishment of PCs held by Freddie
Mac 229 626 855 659 (376) 283
Total mortgage-related securities, net (279)(1,626)(1,905)(570)(2,213)(2,783)
Non-mortgage-related securities (10)(10)(20)(27)(5)(32)
Mortgage loans held by consolidated
trusts(2)(3) (1,256) 1,103 (153)(7,139)(761)(7,900)
Unsecuritized mortgage loans(1)(3) 175 (1,300)(1,125) 24 (1,290)(1,266)
Total interest-earning assets $ (1,382) $ (1,840) $ (3,222) $ (7,758) $ (4,258) $(12,016)
Interest-bearing liabilities:
Debt securities of consolidated trusts
including PCs held by Freddie Mac $ 1,079 $ (877) $ 202 $ 8,253 $ 789 $ 9,042
Extinguishment of PCs held by Freddie
Mac (229)(626)(855)(659) 376 (283)
Total debt securities of consolidated
trusts held by third parties 850 (1,503)(653) 7,594 1,165 8,759
Other debt:
Short-term debt 15 18 33 2 (4)(2)
Long-term debt 229 1,254 1,483 474 1,492 1,966
Total other debt 244 1,272 1,516 476 1,488 1,964
Total interest-bearing liabilities 1,094 (231) 863 8,070 2,653 10,723
Expense related to derivatives(4) 154 — 154 150 — 150
Total funding of interest-earning assets $ 1,248 $ (231) $ 1,017 $ 8,220 $ 2,653 $ 10,873
Net interest income $ (134) $ (2,071) $ (2,205) $ 462 $ (1,605) $ (1,143)
(1) Mortgage loans on non-accrual status, where interest income is generally recognized when collected, are included in average balances.
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