Freddie Mac 2011 Annual Report Download - page 91

representative of activity throughout the periods presented. For most components of the average balances, a daily
weighted average balance was calculated for the period. When daily weighted average balance information was not
available, a simple monthly average balance was calculated.
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
2011 2010 2009
Year Ended December 31,
(dollars in millions)
Interest-earning assets:
Cash and cash equivalents . . . .......... $ 45,381 $ 34 0.07% $ 48,803 $ 77 0.16% $ 55,764 $ 193 0.35%
Federal funds sold and securities purchased
under agreements to resell . . .......... 27,557 33 0.12 46,739 79 0.17 28,524 48 0.17
Mortgage-related securities:
Mortgage-related securities
(3)
.......... 442,284 20,357 4.60 526,748 25,366 4.82 675,167 32,563 4.82
Extinguishment of PCs held by Freddie
Mac........................ (162,600) (7,665) (4.71) (213,411) (11,182) (5.24) — — —
Total mortgage-related securities, net . . . . 279,684 12,692 4.54 313,337 14,184 4.53 675,167 32,563 4.82
Non-mortgage-related securities
(3)
......... 24,587 99 0.40 27,995 191 0.68 16,471 727 4.42
Mortgage loans held by consolidated
trusts
(4)(5)
...................... 1,627,956 77,158 4.74 1,722,387 86,698 5.03 — — —
Unsecuritized mortgage loans
(4)(6)
......... 244,134 9,124 3.74 206,116 8,727 4.23 127,429 6,815 5.35
Total interest-earning assets . . . ..... $2,249,299 $ 99,140 4.41 $2,365,377 $109,956 4.65 $903,355 $ 40,346 4.47
Interest-bearing liabilities:
Debt securities of consolidated trusts including
PCs held by Freddie Mac . . .......... $1,643,939 $(74,784) (4.55) $1,738,330 $ (86,398) (4.97) $ — $ — —
Extinguishment of PCs held by Freddie Mac . . (162,600) 7,665 4.71 (213,411) 11,182 5.24 — — —
Total debt securities of consolidated trusts
held by third parties .............. 1,481,339 (67,119) (4.53) 1,524,919 (75,216) (4.93) — — —
Other debt:
Short-term debt . . . ............... 186,304 (331) (0.18) 219,654 (552) (0.25) 287,259 (2,234) (0.78)
Long-term debt
(7)
................. 503,842 (12,538) (2.49) 543,306 (16,363) (3.01) 557,184 (19,916) (3.57)
Total other debt . . ............... 690,146 (12,869) (1.86) 762,960 (16,915) (2.22) 844,443 (22,150) (2.62)
Total interest-bearing liabilities . ..... 2,171,485 (79,988) (3.68) 2,287,879 (92,131) (4.03) 844,443 (22,150) (2.62)
Expense related to derivatives
(8)
.......... — (755) (0.04) — (969) (0.04) — (1,123) (0.13)
Impact of net non-interest-bearing funding . . . . 77,814 — 0.13 77,498 — 0.13 58,912 — 0.17
Total funding of interest-earning assets . . . . $2,249,299 $(80,743) (3.59) $2,365,377 $ (93,100) (3.94) $903,355 $(23,273) (2.58)
Net interest income/yield . . . .......... $18,397 0.82 $ 16,856 0.71 $ 17,073 1.89
86 Freddie Mac