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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 08/05/2011
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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.
 
Table 9:  Rate/Volume Analysis of Changes in Net Interest Income
 
                                                 
    For the Three Months Ended
    For the Six Months Ended
 
    June 30, 2011 vs. 2010     June 30, 2011 vs. 2010  
    Total
    Variance Due to:(1)     Total
    Variance Due to:(1)  
    Variance     Volume     Rate     Variance     Volume     Rate  
    (Dollars in millions)  
 
Interest income:
                                               
Mortgage loans of Fannie Mae
  $ (230 )   $ 291     $ (521 )   $ 197     $ 1,556     $ (1,359 )
Mortgage loans of consolidated trusts
    (2,069 )     (74 )     (1,995 )     (4,525 )     (1,504 )     (3,021 )
                                                 
Total mortgage loans
    (2,299 )     217       (2,516 )     (4,328 )     52       (4,380 )
Mortgage-related securities
    (1,011 )     (962 )     (49 )     (2,316 )     (2,246 )     (70 )
Elimination of Fannie Mae MBS held in portfolio
    744       670       74       1,750       1,612       138  
                                                 
Total mortgage-related securities, net
    (267 )     (292 )     25       (566 )     (634 )     68  
Non-mortgage securities(2)
    (36 )     (17 )     (19 )     (28 )     (12 )     (16 )
Federal funds sold and securities purchased under agreements to resell or similar arrangements
    (17 )     (9 )     (8 )     (31 )     (21 )     (10 )
Advances to lenders
    1       3       (2 )     4       12       (8 )
                                                 
Total interest income
    (2,618 )     (98 )     (2,520 )     (4,949 )     (603 )     (4,346 )
                                                 
Interest expense:
                                               
Short-term debt
    (85 )     (43 )     (42 )     (97 )     (74 )     (23 )
Long-term debt
    (1,173 )     85       (1,258 )     (2,058 )     642       (2,700 )
                                                 
Total short-term and long-term funding debt
    (1,258 )     42       (1,300 )     (2,155 )     568       (2,723 )
Debt securities of consolidated trusts
    (2,869 )     (441 )     (2,428 )     (7,480 )     (1,761 )     (5,719 )
Elimination of Fannie Mae MBS held in portfolio
    744       670       74       1,750       1,612       138  
                                                 
Total debt securities of consolidated trusts held by third parties
    (2,125 )     229       (2,354 )     (5,730 )     (149 )     (5,581 )
                                                 
Total interest expense
    (3,383 )     271       (3,654 )     (7,885 )     419       (8,304 )
                                                 
Net interest income
  $ 765     $ (369 )   $ 1,134     $ 2,936     $ (1,022 )   $ 3,958  
                                                 
 
 
(1) Combined rate/volume variances are allocated to both rate and volume based on the relative size of each variance.
 
(2) Includes cash equivalents.
 
Net interest income increased in the second quarter and first half of 2011, as compared with the second quarter and first half of 2010, due to lower interest expense on debt, which was partially offset by lower interest income on loans and securities. The primary drivers of this change were:
 
  •  a reduction in the interest expense on debt of consolidated trusts as we have purchased a significant amount of delinquent loans from our MBS trusts since the first quarter of 2010;
 
  •  lower interest expense on funding debt due to lower borrowing rates which allowed us to replace higher-cost debt with lower-cost debt;


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