Freddie Mac 2015 Annual Report Download - page 22

Management's Discussion and Analysis Consolidated Results of Operations | Net Interest Income
Freddie Mac 2015 Form 10-K 20
NET INTEREST YIELD ANALYSIS
The table below presents an analysis of interest-earning assets and interest-bearing liabilities. Mortgage
loans on non-accrual status, where interest income is generally recognized when collected, are included
in the average balances.
Year Ended December 31,
2015 2014 2013
(dollars in millions) Average Balance
Interest
Income
(Expense) Average Rate Average Balance
Interest
Income
(Expense) Average Rate Average Balance
Interest
Income
(Expense) Average Rate
Interest-earning assets:
Cash and cash
equivalents $ 12,482 $ 8 0.06% $ 13,889 $ 4 0.03% $ 31,087 $ 15 0.05%
Securities purchased
under agreements to
resell 51,380 62 0.12 42,905 28 0.06 44,897 36 0.08
Mortgage-related
securities:
Mortgage-related
securities 226,162 8,706 3.85 256,548 10,027 3.91 313,707 12,787 4.08
Extinguishment of
PCs held by Freddie
Mac (107,986) (3,929) (3.64) (111,545) (4,190) (3.76) (127,999) (5,045) (3.94)
Total mortgage-
related securities,
net 118,176 4,777 4.04 145,003 5,837 4.03 185,708 7,742 4.17
Non-mortgage-related
securities 10,699 17 0.16 9,983 6 0.06 21,385 26 0.12
Loans held by
consolidated trusts(1) 1,590,768 55,867 3.51 1,540,570 57,036 3.70 1,511,128 57,189 3.78
Loans held by Freddie
Mac(1) 157,261 6,359 4.04 170,017 6,569 3.86 203,760 7,694 3.78
Total interest-
earning assets $1,940,766 $ 67,090 3.46 $1,922,367 $ 69,480 3.61 $1,997,965 $ 72,702 3.63
Interest-bearing liabilities:
Debt securities of
consolidated trusts
including PCs held by
Freddie Mac $1,611,388 $ (49,465) (3.07) $1,557,895 $ (52,193) (3.35) $1,532,032 $ (52,395) (3.42)
Extinguishment of PCs
held by Freddie Mac (107,986) 3,929 3.64 (111,545) 4,190 3.76 (127,999) 5,045 3.94
Total debt securities of
consolidated trusts
held by third parties 1,503,402 (45,536) (3.03) 1,446,350 (48,003) (3.32) 1,404,033 (47,350) (3.37)
Other debt:
Short-term debt 108,096 (173) (0.16) 118,211 (145) (0.12) 132,674 (178) (0.13)
Long-term debt 313,502 (6,207) (1.98) 331,887 (6,768) (2.04) 393,094 (8,251) (2.10)
Total other debt 421,598 (6,380) (1.51) 450,098 (6,913) (1.54) 525,768 (8,429) (1.60)
Total interest-
bearing liabilities 1,925,000 (51,916) (2.70) 1,896,448 (54,916) (2.89) 1,929,801 (55,779) (2.89)
Expense related to
derivatives — (228) (0.01) — (301) (0.02) — (455) (0.02)
Impact of net non-
interest-bearing funding 15,766 — 0.02 25,919 — 0.04 68,164 — 0.10
Total funding of
interest-earning
assets $1,940,766 $ (52,144) (2.69) $1,922,367 $ (55,217) (2.87) $1,997,965 $ (56,234) (2.81)
Net interest income/
yield $ 14,946 0.77% $ 14,263 0.74% $ 16,468 0.82%
(1) Loan fees, primarily consisting of amortization of delivery fees, included in interest income for loans held by consolidated trusts were $2.0
billion, $1.4 billion, and $1.2 billion, respectively, and were $383 million, $373 million, and $294 million in 2015, 2014, and 2013, respectively,
for loans held by Freddie Mac.