Freddie Mac 2008 Annual Report Download - page 74

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
2008 2007 2006
Year Ended December 31,
(dollars in millions)
Interest-earning assets:
Mortgage loans
(3)(4)
.................... $ 93,649 $ 5,369 5.73% $ 70,890 $ 4,449 6.28% $ 63,870 $ 4,152 6.50%
Mortgage-related securities . .............. 661,756 34,263 5.18 645,844 34,893 5.40 650,992 33,850 5.20
Total mortgage-related investments
portfolio ........................ 755,405 39,632 5.25 716,734 39,342 5.49 714,862 38,002 5.32
Non-mortgage-related securities
(5)
.......... 19,757 804 4.07 32,724 1,694 5.18 45,570 2,171 4.76
Cash and cash equivalents
(5)
.............. 28,137 618 2.19 11,186 594 5.31 12,135 622 5.12
Federal funds sold and securities purchased
under agreements to resell
(5)
............ 23,018 423 1.84 24,469 1,280 5.23 28,577 1,469 5.14
Total interest-earning assets ........... $826,317 $ 41,477 5.02 $785,113 $ 42,910 5.46 $801,144 $ 42,264 5.28
Interest-bearing liabilities:
Short-term debt . . . .................... $244,569 $ (6,800) (2.78) $174,418 $ (8,916) (5.11) $179,882 $ (8,665) (4.82)
Long-term debt
(6)
..................... 561,261 (26,532) (4.73) 576,973 (29,148) (5.05) 587,978 (28,218) (4.80)
Total debt ......................... 805,830 (33,332) (4.14) 751,391 (38,064) (5.07) 767,860 (36,883) (4.80)
Due to Participation Certificate investors
(7)
. . . . — — — 7,820 (418) (5.35) 7,475 (387) (5.18)
Total interest-bearing liabilities . . ....... 805,830 (33,332) (4.14) 759,211 (38,482) (5.07) 775,335 (37,270) (4.81)
Expense related to derivatives ............. (1,349) (0.17) (1,329) (0.17) (1,582) (0.20)
Impact of net non-interest-bearing funding . . . . 20,487 — 0.11 25,902 — 0.17 25,809 — 0.16
Total funding of interest-earning assets. . . . $826,317 $(34,681) (4.20) $785,113 $(39,811) (5.07) $801,144 $(38,852) (4.85)
Net interest income/yield ............. $ 6,796 0.82 $ 3,099 0.39 $ 3,412 0.43
Fully taxable-equivalent adjustments
(8)
....... 404 0.05 392 0.05 392 0.04
Net interest income/yield (fully taxable-
equivalentbasis).................. $ 7,200 0.87% $ 3,491 0.44% $ 3,804 0.47%
Rate
(9)
Volume
(9)
Total
Change Rate
(9)
Volume
(9)
Total
Change
2008 vs. 2007 Variance
Due to
2007 vs. 2006 Variance
Due to
(in millions)
Interest-earning assets:
Mortgage loans . . ........................................ $ (411) $ 1,331 $ 920 $ (147) $ 444 $ 297
Mortgage-related securities .................................. (1,476) 846 (630) 1,312 (269) 1,043
Total mortgage-related investments portfolio . . . . . . ............... (1,887) 2,177 290 1,165 175 1,340
Non-mortgage related securities
(5)
............................. (313) (577) (890) 176 (653) (477)
Cash and cash equivalents
(5)
................................. (496) 520 24 22 (50) (28)
Federal funds sold and securities purchased under agreements to resell
(5)
. . . (785) (72) (857) 25 (214) (189)
Total interest-earning assets . . ............................ $(3,481) $ 2,048 $(1,433) $ 1,388 $(742) $ 646
Interest-bearing liabilities:
Short-term debt . . ........................................ $4,936 $(2,820) $ 2,116 $ (520) $ 269 $ (251)
Long-term debt . . ........................................ 1,837 779 2,616 (1,465) 535 (930)
Total debt . . . . ........................................ 6,773 (2,041) 4,732 (1,985) 804 (1,181)
Due to Participation Certificate investors
(7)
....................... — 418 418 (13) (18) (31)
Total interest-bearing liabilities ............................ 6,773 (1,623) 5,150 (1,998) 786 (1,212)
Expense related to derivatives . . . . ............................ (20) — (20) 253 — 253
Total funding of interest-earning assets . ...................... $6,753 $(1,623) $ 5,130 $(1,745) $ 786 $ (959)
Net interest income . . .................................. $3,272 $ 425 $ 3,697 $ (357) $ 44 $ (313)
Fully taxable-equivalent adjustments ............................ (9) 21 12 9 (9) —
Net interest income (fully taxable-equivalent basis) .............. $3,263 $ 446 $ 3,709 $ (348) $ 35 $ (313)
(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 $102 million, $290 million and $280 million for 2008, 2007 and 2006, respectively.
(5) Certain prior period amounts have been adjusted to conform to the current year presentation.
(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 fees within other income on our consolidated statements of operations. See “Non-Interest Income (Loss) — Other Income” for
additional information about due to Participation Certificate investors interest expense.
(8) 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%.
(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.
71 Freddie Mac