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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 08/05/2011
Entire Document
 
Table of Contents

                                                 
    For the Six Months Ended June 30,  
    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)
  $ 399,898     $ 7,445       3.72 %   $ 322,926     $ 7,248       4.49 %
Mortgage loans of consolidated trusts(1)
    2,605,087       63,478       4.87       2,664,917       68,003       5.10  
                                                 
Total mortgage loans
    3,004,985       70,923       4.72       2,987,843       75,251       5.04  
Mortgage-related securities
    326,727       8,274       5.06       415,393       10,590       5.10  
Elimination of Fannie Mae MBS held in portfolio
    (209,418 )     (5,436 )     5.19       (271,432 )     (7,186 )     5.29  
                                                 
Total mortgage-related securities, net
    117,309       2,838       4.84       143,961       3,404       4.73  
Non-mortgage securities(2)
    78,266       75       0.19       89,200       103       0.23  
Federal funds sold and securities purchased under agreements to resell or similar arrangements
    17,810       13       0.15       43,838       44       0.20  
Advances to lenders
    3,614       40       2.20       2,593       36       2.76  
                                                 
Total interest-earning assets
  $ 3,221,984     $ 73,889       4.59 %   $ 3,267,435     $ 78,838       4.83 %
                                                 
Interest-bearing liabilities:
                                               
Short-term debt(3)
  $ 150,523     $ 183       0.24 %   $ 209,894     $ 280       0.27 %
Long-term debt
    610,594       7,998       2.62       572,033       10,056       3.52  
                                                 
Total short-term and long-term funding debt
    761,117       8,181       2.15       781,927       10,336       2.64  
Debt securities of consolidated trusts
    2,653,872       61,212       4.61       2,725,177       68,692       5.04  
Elimination of Fannie Mae MBS held in portfolio
    (209,418 )     (5,436 )     5.19       (271,432 )     (7,186 )     5.29  
                                                 
Total debt securities of consolidated trusts held by third parties
    2,444,454       55,776       4.56       2,453,745       61,506       5.01  
                                                 
Total interest-bearing liabilities
  $ 3,205,571     $ 63,957       3.99 %   $ 3,235,672     $ 71,842       4.44 %
                                                 
Impact of net non-interest bearing funding
  $ 16,413               0.02 %   $ 31,763               0.04 %
                                                 
Net interest income/net interest yield
          $ 9,932       0.62 %           $ 6,996       0.43 %
                                                 
Net interest income/net interest yield of consolidated trusts(4)
          $ 2,266       0.17 %           $ (689 )     (0.05 )%
                                                 
 
                 
    As of June 30,  
Selected benchmark interest rates(5)
  2011     2010  
 
3-month LIBOR
    0.25 %     0.53 %
2-year swap interest rate
    0.70       0.97  
5-year swap interest rate
    2.03       2.06  
30-year Fannie Mae MBS par coupon rate
    4.02       3.75  
 
 
(1) Interest income includes interest income on acquired credit-impaired loans of $515 million and $586 million for the three months ended June 30, 2011 and 2010, respectively, and $1.0 billion and $1.2 billion for the six months ended June 30, 2011 and 2010, respectively. These amounts include accretion income of $250 million and $288 million for the three months ended June 30, 2011 and 2010, respectively, and $481 million and $554 million for the six months ended June 30, 2011 and 2010, respectively, relating to a portion of the fair value losses recorded upon the acquisition

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