Investment Securities (Tables)

12 Months Ended

Dec. 31, 2012

Dec. 31, 2011

Available-for-sale Securities [Abstract]

The following tables summarize our investments in agency MBS as of December 31, 2012 (dollars in millions):



	December 31, 2012
Agency MBS	Fannie Mae			Freddie Mac			Ginnie Mae			Total
Available-for-sale agency MBS:
Agency MBS, par	$	58,912		$	19,336		$	238		$	78,486
Unamortized premium	3,208			948			10			4,166
Amortized cost	62,120			20,284			248			82,652
Gross unrealized gains	1,585			481			6			2,072
Gross unrealized losses	(18		)	(7		)	—			(25		)
Total available-for-sale agency MBS, at fair value	63,687			20,758			254			84,699
Agency MBS remeasured at fair value through earnings:
Interest-only and principal-only strips, amortized cost ⁽¹⁾	486			55			—			541
Gross unrealized gains	26			1			—			27
Gross unrealized losses	(9		)	(13		)	—			(22		)
Total agency MBS remeasured at fair value through earnings	503			43			—			546
Total agency MBS, at fair value	$	64,190		$	20,801		$	254		$	85,245
Weighted average coupon as of December 31, 2012⁽²⁾	3.70		%	3.67		%	3.77		%	3.69		%
Weighted average yield as of December 31, 2012⁽³⁾	2.62		%	2.61		%	1.60		%	2.61		%
Weighted average yield for the year ended December 31, 2012⁽³⁾	2.83		%	2.83		%	1.63		%	2.82		%

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1.	The underlying unamortized principal balance (“UPB” or “par value”) of our interest-only agency MBS strips was $1.7 billion and the weighted average contractual interest we are entitled to receive was 5.78% of this amount as of December 31, 2012. The par value of our principal-only agency MBS strips was $302 million as of December 31, 2012.


2.	The weighted average coupon includes the interest cash flows from our interest-only agency MBS strips taken together with the interest cash flows from our fixed-rate, adjustable-rate and CMO agency MBS as a percentage of the par value of our agency MBS (excluding the UPB of our interest-only securities) as of December 31, 2012.


3.	Incorporates a weighted average future constant prepayment rate assumption of 11% based on forward rates as of December 31, 2012 and a weighted average reset rate for adjustable rate securities of 2.64%, which is equal to a weighted average underlying index rate of 0.93% based on the current spot rate in effect as of the date we acquired the securities and a weighted average margin of 1.71%

The following tables summarize our investments in agency MBS as of December 31, 2011 (dollars in millions):



	December 31, 2011
Agency MBS	Fannie Mae			Freddie Mac			Ginnie Mae			Total
Available-for-sale agency MBS:
Agency MBS, par	$	37,232		$	13,736		$	258		$	51,226
Unamortized premium	1,659			606			12			2,277
Amortized cost	38,891			14,342			270			53,503
Gross unrealized gains	680			324			3			1,007
Gross unrealized losses	(4		)	(2		)	—			(6		)
Available-for-sale agency MBS, at fair value	39,567			14,664			273			54,504
Agency MBS remeasured at fair value through earnings:
Interest-only and principal-only strips, amortized cost ⁽¹⁾	124			67			—			191
Gross unrealized gains	6			3			—			9
Gross unrealized losses	(8		)	(13		)	—			(21		)
Agency MBS remeasured at fair value through earnings	122			57			—			179
Total agency MBS, at fair value	$	39,689		$	14,721		$	273		$	54,683
Weighted average coupon as of December 31, 2011 ⁽²⁾	4.18		%	4.39		%	3.74		%	4.23		%
Weighted average yield as of December 31, 2011 ⁽³⁾	3.03		%	3.20		%	1.71		%	3.07		%
Weighted average yield for the year ended December 31, 2011 ⁽³⁾	3.19		%	3.20		%	2.05		%	3.19		%

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1.	The UPB of our interest-only securities was $1.1 billion and the weighted average contractual interest we are entitled to receive was 5.52% of this amount as of December 31, 2011. The par value of our principal-only agency MBS strips was $40 million as of December 31, 2011.


2.	The weighted average coupon includes the interest cash flows from our interest-only securities taken together with the interest cash flows from our fixed-rate, adjustable-rate and CMO securities as a percentage of the par value of our agency securities (excluding the UPB of our interest-only securities) as of December 31, 2011.


3.	Incorporates a weighted average future constant prepayment rate assumption of 14% based on forward rates as of December 31, 2011 and a weighted average reset rate for adjustable rate securities of 2.71%, which is equal to a weighted average underlying index rate of 0.94% based on the current spot rate in effect as of the date we acquired the securities and a weighted average margin of 1.77%.



	December 31, 2011
Agency MBS	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Fair Value
Fixed-Rate	$	50,535	$	952	$	(4	)	$	51,483
Adjustable-Rate	2,725		51		(2		)	2,774
CMO	243		4		—			247
Interest-only strips	191		9		(21		)	179
Total agency MBS	$	53,694	$	1,016	$	(27	)	$	54,683

Summary Of Agency Securities Estimated Weighted Average Life Classifications

The following table summarizes our agency MBS classified as available-for-sale as of December 31, 2012 and 2011 according to their estimated weighted average life classification (dollars in millions):



	December 31, 2012								December 31, 2011
Estimated Weighted Average Life of Agency MBS Classified as Available-for-Sale ⁽¹⁾	Fair Value		Amortized Cost		Weighted Average Coupon		Weighted Average Yield		Fair Value		Amortized Cost		Weighted Average Coupon		Weighted Average Yield
≤ 1 year	$	—	$	—	—	%	—	%	$	214	$	210	4.61	%	3.51	%
> 1 year and ≤ 3 years	1,119		1,108		4.18	%	2.14	%	3,392		3,338		4.38	%	2.54	%
> 3 years and ≤ 5 years	27,448		26,750		3.36	%	2.29	%	26,168		25,616		3.99	%	2.89	%
> 5 years and ≤10 years	54,054		52,735		3.69	%	2.75	%	24,710		24,320		4.19	%	3.29	%
> 10 years	2,078		2,059		3.44	%	2.65	%	20		19		5.02	%	2.12	%
Total	$	84,699	$	82,652	3.59	%	2.59	%	$	54,504	$	53,503	4.11	%	3.05	%

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1.	Excludes interest and principal-only strips.

Summary Of Agency Securities Pledged As Collateral Under Repurchase Agreements by Remaining Maturity

The following table summarizes our securities pledged as collateral under repurchase agreements and debt of consolidated VIEs by remaining maturity, including securities pledged related to sold but not yet settled securities, as of December 31, 2012 and 2011 (in millions):



	December 31, 2012						December 31, 2011
Securities Pledged by Remaining Maturity of Repurchase Agreements and Debt of Consolidated VIEs	Fair Value of Pledged Securities		Amortized Cost of Pledged Securities		Accrued Interest on Pledged Securities		Fair Value of Pledged Securities		Amortized Cost of Pledged Securities		Accrued Interest on Pledged Securities
Agency MBS:
Less than 30 days	$	29,284	$	28,525	$	82	$	19,772	$	19,361	$	63
31 - 59 days	21,716		21,251		58		16,964		16,648		55
60 - 90 days	16,188		15,780		45		8,337		8,179		26
Greater than 90 days	12,747		12,447		37		5,240		5,154		17
Total agency MBS	79,935		78,003		222		50,313		49,342		161
U.S. Treasury securities:
1 day	—		—		—		101		101		—
Total securities	$	79,935	$	78,003	$	222	$	50,414	$	49,443	$	161

Schedule of Investments Owned and Pledged as Collateral [Table Text Block]

The following tables summarize our assets pledged as collateral under repurchase agreements, debt of consolidated VIEs, derivative agreements and prime broker agreements by type, including securities pledged related to securities sold but not yet settled, as of December 31, 2012 and 2011 (in millions):



	December 31, 2012
Assets Pledged	Repurchase Agreements		Debt of Consolidated VIEs		Derivative Agreements		Prime Broker Agreements		Total
Agency MBS - fair value	$	78,400	$	1,535	$	1,065	$	501	$	81,501
Accrued interest on pledged securities	217		5		3		1		226
Restricted cash	—		—		249		150		399
Total	$	78,617	$	1,540	$	1,317	$	652	$	82,126



	December 31, 2011
Assets Pledged	Repurchase Agreements		Debt of Consolidated VIEs		Derivative Agreements		Prime Broker Agreements		Total
Agency MBS - fair value	$	50,255	$	58	$	644	$	87	$	51,044
U.S. Treasury securities - fair value	101		—		—		—		101
Accrued interest on pledged securities	161		—		2		—		163
Restricted cash	—		—		336		—		336
Total	$	50,517	$	58	$	982	$	87	$	51,644

Summary of Changes in Accumulated OCI for Agency Securitie [Table Text Block]

The following table summarizes changes in accumulated OCI, a separate component of stockholders equity, for our available-for-sale securities for fiscal years 2012, 2011 and 2010 (in millions):



Agency Securities Classified as Available-for-Sale	Beginning Accumulated OCI Balance			Unrealized Gains and (Losses), Net	Reversal of Prior Period Unrealized (Gains) and Losses, Net on Realization		Ending Accumulated OCI Balance
Fiscal year 2012	$	1,002		2,235	(1,196	)	$	2,041
Fiscal year 2011	$	(28	)	1,513	(483	)	$	1,002
Fiscal year 2010	$	36		29	(93	)	$	(28	)

Components of Investment Securities [Table Text Block]



	December 31, 2012
Agency MBS	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Fair Value
Fixed-Rate	$	81,617	$	2,043	$	(25	)	$	83,635
Adjustable-Rate	865		26		—			891
CMO	170		3		—			173
Interest-only and principal-only strips	541		27		(22		)	546
Total agency MBS	$	83,193	$	2,099	$	(47	)	$	85,245



	December 31, 2011
Agency MBS	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Fair Value
Fixed-Rate	$	50,535	$	952	$	(4	)	$	51,483
Adjustable-Rate	2,725		51		(2		)	2,774
CMO	243		4		—			247
Interest-only strips	191		9		(21		)	179
Total agency MBS	$	53,694	$	1,016	$	(27	)	$	54,683

Summary of Continuous Unrealized Loss Position of Available for Sale Securities [Table Text Block]

The following table presents the gross unrealized loss and fair values of our available-for-sale agency securities by length of time that such securities have been in a continuous unrealized loss position as of December 31, 2012 and 2011 (in millions):



	Unrealized Loss Position For
	Less than 12 Months					12 Months or More				Total
Agency Securities Classified as Available-for-Sale	Estimated Fair Value		Unrealized Loss			Estimated Fair Value		Unrealized Loss		Estimated Fair Value		Unrealized Loss
December 31, 2012	$	8,430	$	(25	)	$	—	$	—	$	8,430	$	(25	)
December 31, 2011	$	1,135	$	(6	)	$	—	$	—	$	1,135	$	(6	)

Summary of Net Gain from Sale of Agency Securities [Table Text Block]

The following table is a summary of our net gain from the sale of agency MBS for fiscal years 2012, 2011 and 2010 (in millions):



	Fiscal Year
Agency MBS	2012			2011			2010
Agency MBS sold, at cost	$	(63,610	)	$	(37,579	)	$	(12,182	)
Proceeds from agency MBS sold ⁽¹⁾	64,806			38,052			12,274
Net gains on sale of agency MBS	$	1,196		$	473		$	92

Gross gains on sale of agency MBS	$	1,209		$	510		$	126
Gross losses on sale of agency MBS	(13		)	(37		)	(34		)
Net gains on sale of agency MBS	$	1,196		$	473		$	92

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1.	Proceeds include cash received during the period, plus receivable for agency MBS sold during the period as of period end.