Fannie Mae 2012 Annual Report Download - page 81

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Table 10: Analysis of Net Interest Income and Yield
For the Year Ended December 31,
2012 2011 2010
Average
Balance
Interest
Income/
Expense
Average
Rates
Earned/
Paid Average
Balance
Interest
Income/
Expense
Average
Rates
Earned/
Paid Average
Balance
Interest
Income/
Expense
Average
Rates
Earned/
Paid
(Dollars in millions)
Interest-earning assets:
Mortgage loans of Fannie Mae . . . . . . . $ 370,455 $ 14,255 3.85 % $ 392,719 $ 14,829 3.78 % $ 362,785 $ 14,992 4.13 %
Mortgage loans of consolidated trusts .2,621,317 110,451 4.21 2,596,816 123,633 4.76 2,619,258 132,591 5.06
Total mortgage loans . . . . . . . . . . . . . 2,991,772 124,706 4.17 2,989,535 138,462 4.63 2,982,043 147,583 4.95
Mortgage-related securities. . . . . . . . . . 268,761 12,709 4.73 316,963 14,607 4.61 387,798 19,552 5.04
Elimination of Fannie Mae MBS held
in portfolio. . . . . . . . . . . . . . . . . . . . . (173,933) (8,492) 4.88 (202,806) (10,360) 5.11 (250,748) (13,232) 5.28
Total mortgage-related securities,
net(1) . . . . . . . . . . . . . . . . . . . . . . . . 94,828 4,217 4.45 114,157 4,247 3.72 137,050 6,320 4.61
Non-mortgage securities(2) . . . . . . . . . . 50,282 71 0.14 71,713 117 0.16 91,613 221 0.24
Federal funds sold and securities
purchased under agreements to
resell or similar arrangements. . . . . . 38,708 73 0.19 26,045 32 0.12 28,685 62 0.22
Advances to lenders . . . . . . . . . . . . . . . 6,220 123 1.98 3,943 85 2.16 3,523 84 2.38
Total interest-earning assets . . . . . . . . . . . . $3,181,810 $129,190 4.06 % $3,205,393 $142,943 4.46 % $3,242,914 $154,270 4.76 %
Interest-bearing liabilities:
Short-term debt(3) . . . . . . . . . . . . . . . . . $ 102,877 $ 147 0.14 % $ 160,704 $ 301 0.19 % $ 212,784 $ 619 0.29 %
Long-term debt . . . . . . . . . . . . . . . . . . . 561,280 11,925 2.12 585,362 14,711 2.51 583,369 18,857 3.23
Total short-term and long-term
funding debt . . . . . . . . . . . . . . . . . . 664,157 12,072 1.82 746,066 15,012 2.01 796,153 19,476 2.45
Debt securities of consolidated trusts . . 2,697,592 104,109 3.86 2,651,121 119,010 4.49 2,682,434 131,617 4.91
Elimination of Fannie Mae MBS held
in portfolio. . . . . . . . . . . . . . . . . . . . . (173,933) (8,492) 4.88 (202,806) (10,360) 5.11 (250,748) (13,232) 5.28
Total debt securities of consolidated
trusts held by third parties . . . . . . . 2,523,659 95,617 3.79 2,448,315 108,650 4.44 2,431,686 118,385 4.87
Total interest-bearing liabilities. . . . . . . . . . $3,187,816 $107,689 3.38 % $3,194,381 $123,662 3.87 % $3,227,839 $137,861 4.27 %
Net interest income/net interest yield(1). . . . $ 21,501 0.68 % $ 19,281 0.60 % $ 16,409 0.51 %
Net interest income/net interest yield of
consolidated trusts(4) . . . . . . . . . . . . . . . . . . $ 6,342 0.24 % $ 4,623 0.18 % $ 974 0.04 %
As of December 31,
2012 2011 2010
Selected benchmark interest rates(5)
3-month LIBOR. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.31 % 0.58 % 0.30 %
2-year swap rate. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.39 0.73 0.80
5-year swap rate. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.86 1.22 2.17
30-year Fannie Mae MBS par coupon rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.23 2.88 4.13
__________
(1) Includes an out-of-period adjustment of $727 million to reduce “Interest income: Available-for-sale securities” in our consolidated
statements of operations and comprehensive income (loss) for the year ended December 31, 2011. Without this adjustment the average
interest rate earned on total mortgage-related securities would have been 4.36% and the total net interest yield would have been 0.62%
for the year ended December 31, 2011.
(2) Includes cash equivalents.
(3) Includes federal funds purchased and securities sold under agreements to repurchase.