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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 05/06/2011
Entire Document
 
Table of Contents

 
Table 7:  Analysis of Net Interest Income and Yield
 
                                                 
    For the Three Months Ended March 31,  
    2011     2010  
          Interest
    Average
          Interest
    Average
 
    Average
    Income/
    Rates
    Average
    Income/
    Rates
 
    Balance     Expense     Earned/Paid     Balance     Expense     Earned/Paid  
                (Dollars in millions)              
 
Interest-earning assets:
                                               
Mortgage loans of Fannie Mae(1)
  $ 405,820     $ 3,725       3.67 %   $ 276,346     $ 3,298       4.77 %
Mortgage loans of consolidated trusts(1)
    2,598,508       31,865       4.91       2,713,611       34,321       5.06  
                                                 
Total mortgage loans
    3,004,328       35,590       4.74       2,989,957       37,619       5.03  
Mortgage-related securities
    334,057       4,245       5.08       435,754       5,550       5.09  
Elimination of Fannie Mae MBS held in portfolio
    (214,370 )     (2,793 )     5.21       (286,701 )     (3,799 )     5.30  
                                                 
Total mortgage-related securities, net
    119,687       1,452       4.85       149,053       1,751       4.70  
Non-mortgage securities(2)
    79,719       45       0.23       66,860       37       0.22  
Federal funds sold and securities purchased under agreements to resell or similar arrangements
    13,743       7       0.20       40,061       21       0.21  
Advances to lenders
    4,089       21       2.05       2,512       18       2.87  
                                                 
Total interest-earning assets
  $ 3,221,566     $ 37,115       4.61 %   $ 3,248,443     $ 39,446       4.86 %
                                                 
Interest-bearing liabilities:
                                               
Short-term debt(3)
  $ 138,848     $ 104       0.30 %   $ 185,042     $ 116       0.25 %
Long-term debt
    631,917       4,196       2.66       564,875       5,081       3.60  
                                                 
Total short-term and long-term funding debt
    770,765       4,300       2.23       749,917       5,197       2.77  
Debt securities of consolidated trusts
    2,652,024       30,648       4.62       2,758,387       35,259       5.11  
Elimination of Fannie Mae MBS held in portfolio
    (214,370 )     (2,793 )     5.21       (286,701 )     (3,799 )     5.30  
                                                 
Total debt securities of consolidated trusts held by third parties
    2,437,654       27,855       4.57       2,471,686       31,460       5.09  
                                                 
Total interest-bearing liabilities
  $ 3,208,419     $ 32,155       4.01 %   $ 3,221,603     $ 36,657       4.55 %
                                                 
Impact of net non-interest bearing funding
  $ 13,147               0.02 %   $ 26,840               0.03 %
                                                 
Net interest income/net interest yield
          $ 4,960       0.62 %           $ 2,789       0.34 %
                                                 
Net interest income/net interest yield of consolidated trusts(4)
          $ 1,217       0.19 %           $ (938 )     (0.14 )%
                                                 
Selected benchmark interest rates at end of period:(5)
                                               
3-month LIBOR
                    0.30 %                     0.29 %
2-year swap interest rate
                    1.00                       1.19  
5-year swap interest rate
                    2.47                       2.73  
30-year Fannie Mae MBS par coupon rate
                    4.30                       4.51  
 
 
(1) Interest income includes interest income on acquired credit-impaired loans of $486 million and $587 million for the three months ended March 31, 2011 and 2010, respectively. These amounts include accretion income of $231 million and $266 million for the three months ended March 31, 2011 and 2010, respectively, relating to a portion of the fair value losses recorded upon the acquisition of the loans. Average balance includes loans on nonaccrual status, for which interest income is recognized when collected.
 
(2) Includes cash equivalents.
 
(3) Includes federal funds purchased and securities sold under agreements to repurchase.
 
(4) Net interest income of consolidated trusts represents interest income from mortgage loans of consolidated trusts less interest expense from debt securities of consolidated trusts. Net interest yield is calculated based on net interest income from consolidated trusts divided by average balance of mortgage loans of consolidated trusts.
 
(5) Data from British Bankers’ Association, Thomson Reuters Indices and Bloomberg.


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