Freddie Mac 2012 Annual Report Download - page 93

Table 10 — Net Interest Income/Yield, Average Balance, and Rate/Volume Analysis
Year Ended December 31,
2012 2011 2010
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
(dollars in millions)
Interest-earning assets:
Cash and cash equivalents ...................... $ 35,476 $ 20 0.06% $ 45,381 $ 34 0.07% $ 48,803 $ 77 0.16%
Federal funds sold and securities purchased under
agreements to resell ......................... 38,944 66 0.17 27,557 33 0.12 46,739 79 0.17
Mortgage-related securities:
Mortgage-related securities(3) ................... 357,197 15,853 4.44 442,284 20,357 4.60 526,748 25,366 4.82
Extinguishment of PCs held by Freddie Mac ........ (119,181) (5,328) (4.47) (162,600) (7,665) (4.71) (213,411) (11,182) (5.24)
Total mortgage-related securities, net ........... 238,016 10,525 4.42 279,684 12,692 4.54 313,337 14,184 4.53
Non-mortgage-related securities(3) ................. 23,763 58 0.25 24,587 99 0.40 27,995 191 0.68
Mortgage loans held by consolidated trusts(4)(5) ........ 1,529,213 65,089 4.26 1,627,956 77,158 4.74 1,722,387 86,698 5.03
Unsecuritized mortgage loans(4)(6) ................. 237,942 8,960 3.77 244,134 9,124 3.74 206,116 8,727 4.23
Total interest-earning assets ................ $2,103,354 $ 84,718 4.03 $2,249,299 $ 99,140 4.41 $2,365,377 $109,956 4.65
Interest-bearing liabilities:
Debt securities of consolidated trusts including PCs held
by Freddie Mac ............................ $1,552,207 $(61,437) (3.96) $1,643,939 $(74,784) (4.55) $1,738,330 $ (86,398) (4.97)
Extinguishment of PCs held by Freddie Mac ......... (119,181) 5,328 4.47 (162,600) 7,665 4.71 (213,411) 11,182 5.24
Total debt securities of consolidated trusts held by third
parties ................................. 1,433,026 (56,109) (3.92) 1,481,339 (67,119) (4.53) 1,524,919 (75,216) (4.93)
Other debt:
Short-term debt ............................ 129,504 (176) (0.14) 186,304 (331) (0.18) 219,654 (552) (0.25)
Long-term debt(7) ........................... 463,308 (10,217) (2.21) 503,842 (12,538) (2.49) 543,306 (16,363) (3.01)
Total other debt .......................... 592,812 (10,393) (1.75) 690,146 (12,869) (1.86) 762,960 (16,915) (2.22)
Total interest-bearing liabilities ............. 2,025,838 (66,502) (3.28) 2,171,485 (79,988) (3.68) 2,287,879 (92,131) (4.03)
Expense related to derivatives(8) .................. — (605) (0.03) — (755) (0.04) — (969) (0.04)
Impact of net non-interest-bearing funding .......... 77,516 — 0.12 77,814 — 0.13 77,498 — 0.13
Total funding of interest-earning assets ........... $2,103,354 $(67,107) (3.19) $2,249,299 $(80,743) (3.59) $2,365,377 $ (93,100) (3.94)
Net interest income/yield ..................... $17,611 0.84 $ 18,397 0.82 $ 16,856 0.71
2012 vs. 2011 Variance Due to 2011 vs. 2010 Variance Due to
Rate(9) Volume(9) Total Change Rate(9) Volume(9) Total Change
(in millions)
Interest-earning assets:
Cash and cash equivalents .................................................... $ (2) $ (12) $ (14) $ (33) $ (10) $ (43)
Federal funds sold and securities purchased under agreements to resell .................... 16 17 33 (19) (27) (46)
Mortgage-related securities:
Mortgage-related securities (3) ................................................ (706) (3,798) (4,504) (1,082) (3,927) (5,009)
Extinguishment of PCs held by Freddie Mac ..................................... 379 1,958 2,337 1,042 2,475 3,517
Total mortgage-related securities, net ........................................ (327) (1,840) (2,167) (40) (1,452) (1,492)
Non-mortgage-related securities(3) .............................................. (38) (3) (41) (71) (21) (92)
Mortgage loans held by consolidated trusts(4)(5) ..................................... (7,566) (4,503) (12,069) (4,921) (4,619) (9,540)
Unsecuritized mortgage loans (4)(6) .............................................. 69 (233) (164) (1,097) 1,494 397
Total interest-earning assets ............................................. $(7,848) $(6,574) $(14,422) $(6,181) $(4,635) $(10,816)
Interest-bearing liabilities:
Debt securities of consolidated trusts including PCs held by Freddie Mac .................. $ 9,337 $ 4,010 $ 13,347 $ 7,077 $ 4,537 $ 11,614
Extinguishment of PCs held by Freddie Mac ...................................... (379) (1,958) (2,337) (1,042) (2,475) (3,517)
Total debt securities of consolidated trusts held by third parties ....................... 8,958 2,052 11,010 6,035 2,062 8,097
Other debt:
Short-term debt ......................................................... 67 88 155 145 76 221
Long-term debt(7) ........................................................ 1,360 961 2,321 2,697 1,128 3,825
Total other debt ....................................................... 1,427 1,049 2,476 2,842 1,204 4,046
Total interest-bearing liabilities .......................................... 10,385 3,101 13,486 8,877 3,266 12,143
Expense related to derivatives(8) ................................................ 150 — 150 214 — 214
Total funding of interest-earning assets ........................................ $10,535 $ 3,101 $ 13,636 $ 9,091 $ 3,266 $ 12,357
Net interest income ....................................................... $ 2,687 $(3,473) $ (786) $ 2,910 $(1,369) $ 1,541
(1) Excludes mortgage loans and mortgage-related securities traded, but not yet settled.
(2) We calculate average balances based on amortized cost.
(3) Interest income (expense) includes accretion of the portion of impairment charges recognized in earnings where we expect a significant improvement in cash
flows.
(4) Non-performing loans, where interest income is generally recognized when collected, are included in average balances.
(5) Loan fees, primarily consisting of delivery fees, included in interest income for mortgage loans held by consolidated trusts were $929 million, $405 million, and
$127 million for 2012, 2011, and 2010, respectively.
(6) Loan fees, primarily consisting of delivery fees and multifamily prepayment fees, included in unsecuritized mortgage loan interest income were $446 million,
$223 million, and $130 million for 2012, 2011, and 2010, respectively.
(7) Includes current portion of long-term debt.
(8) Represents changes in fair value of derivatives in closed cash flow hedge relationships that were previously deferred in AOCI and have been reclassified to
earnings as the associated hedged forecasted issuance of debt affects earnings.
(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.
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