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Derivative and Other Hedging Instruments (Tables)
 12 Months Ended
Dec. 31, 2012
Derivative [Line Items]  
Schedule of Interest Rate Swaption Agreements Outstandin [Table Text Block]
The following tables summarize our interest rate swaption agreements outstanding as of December 31, 2012 and 2011 (dollars in millions):
 
 
December 31, 2012
 
 
Option
 
Underlying Swap
Payer Swaptions
 
Cost
 
Fair
Value
 
Average
Months to
Expiration
 
Notional
Amount
 
Average Fixed Pay
Rate
 
Average
Receive
Rate
 
Average
Term
(Years)
One year or less
 
$
76

 
$
15

 
4
 
$
5,150

 
2.65
%
 
1M / 3M LIBOR
 
8.6
Greater than 1 year and less than/equal to 2 years
 
65

 
34

 
19
 
$
4,050

 
2.82
%
 
3M LIBOR
 
6.7
Greater than 2 years and less than/equal to 3 years
 
97

 
87

 
33
 
$
3,900

 
3.51
%
 
3M LIBOR
 
8.6
Greater than 3 years and less than/equal to 4 years
 
12

 
11

 
46
 
$
450

 
3.20
%
 
3M LIBOR
 
6.1
Greater than 4 years and less than/equal to 5 years
 
24

 
24

 
59
 
$
900

 
3.33
%
 
3M LIBOR
 
5.0
Total/Wtd Avg
 
$
274

 
$171
 
21
 
$
14,450

 
2.99
%
 
1M / 3M LIBOR
 
7.8
 
 
December 31, 2011
 
 
Option
 
Underlying Swap
Payer Swaptions
 
Cost
 
Fair
Value
 
Average
Months to
Expiration
 
Notional
Amount
 
Average Fixed Pay
Rate
 
Average
Receive
Rate
 
Average
Term
(Years)
One year or less
 
$
22

 
$
4

 
4
 
$
2,200

 
3.13
%
 
1M / 3M LIBOR
 
6.5
Greater than 1 year and less than/equal to 2 years
 
27

 
7

 
15
 
1,000

 
4.04
%
 
1M / 3M LIBOR
 
10.2
Total/Wtd Avg
 
$
49

 
$
11

 
7
 
$
3,200

 
3.41
%
 
1M / 3M LIBOR
 
7.7
Effect of Interest Rate Swaps Designated as Hedges
During fiscal years 2011 and 2010, we also held forward contracts to purchase TBA and specified agency securities that were designated as cash flow hedges under to ASC 815. The following tables summarize information about these securities and their effect on our consolidated statement of comprehensive income for fiscal years 2011 and 2010 (dollars in millions):
Purchases of TBAs and Forward
Settling Agency Securities
Designated as Hedging Instruments
Beginning
Notional Amount
 
Additions
 
Settlement /
Expirations
 
Ending
Notional  Amount
 
Fair Value
as of
Period End
 
Average
Maturity
as of
Period End
(Months)
Fiscal year 2011
$
245

 
$
—

 
$
(245
)
 
$
—

 
$
—

 
—

Fiscal year 2010
$
—

 
$
742

 
$
(497
)
 
$
245

 
$
(3
)
 
1

Purchases of TBAs and Forward
Settling Agency Securities
Designated as Hedging Instruments
 
Amount of Gain or (Loss)  Recognized
in OCI for Cash
Flow Hedges
(Effective Portion)
 
Amount of (Gain) or
Loss Recognized in
OCI for Cash Flow
Hedges and
Reclassified to OCI for
Available-for-Sale
Securities
(Effective Portion)
 
Location of Gain or (Loss)
Recognized in Earnings
(Ineffective Portion and Amount Excluded from Effectiveness Testing)
 
Amount of Gain or
(Loss) Recognized
in Earnings
(Ineffective Portion
and Amount
Excluded from
Effectiveness
Testing)
Fiscal year 2011
 
$
—

 
$
(3
)
 
Gain (loss) on derivative instruments and other
securities, net
 
$
—

Fiscal year 2010
 
$
(3
)
 
$
(3
)
 
Gain (loss) on derivative instruments and other
securities, net
 
$
—
Summary of Long and Short Position of Derivative Instruments
The following table summarizes our contracts to purchase and sell TBA and specified agency securities on a forward basis as of December 31, 2012 and 2011 (in millions):
 
 
December 31, 2012
 
December 31, 2011
Purchase and Sale Contracts for TBAs and Forward Settling Securities
 
Notional 
Amount
 
Forward Settlement Price
 
Net
Fair Value
 
Notional
Amount
 
Forward Settlement Price
 
Net
Fair Value
TBA securities:
 
 
 
 
 
 
 
 
 
 
 
 
Purchase contracts
 
$
21,705

 
$
22,603

 
$
116

 
$
3,188

 
$
3,252

 
$
49

Sale contracts
 
(9,378
)
 
(9,991
)
 
(20
)
 
(3,803
)
 
(3,935
)
 
(41
)
TBA securities, net (1)
 
12,327

 
12,612

 
96

 
(615
)
 
(683
)
 
8

Forward settling securities:
 


 
 
 
 
 


 
 
 
 
Purchase contracts
 
150

 
163

 
(1
)
 
512

 
530

 
5

Forward settling securities, net (2)
 
150

 
163

 
(1
)
 
512

 
530

 
5

Total TBA and forward settling securities, net
 
$
12,477

 
$
12,775

 
$
95

 
$
(103
)
 
$
(153
)
 
$
13

  ________________________
1.
Includes 15-year and 30-year TBA securities of varying coupons
2.
Includes 20-year and 30-year fixed securities of varying coupons
Schedule Of Effect Interest Rate Swaps Designated As Hedges
The following tables summarize information about our outstanding interest rate swaps designated as hedging instruments under ASC 815 and their effect on our consolidated statement of comprehensive income for fiscal years 2011 and 2010 (in millions):
Interest Rate Swaps Designated
as Hedging Instruments
Beginning
Notional Amount
 
Additions
 
Expirations / Terminations
 
Hedge De-Designations
 
Ending
Notional  Amount
Fiscal year 2011
$
6,450

 
17,900

 
(450
)
 
(23,900
)
 
$
—

Fiscal year 2010
$
2,050

 
4,400

 
—

 
—

 
$
6,450

Interest Rate Swaps Designated as Hedging Instruments:
 
Amount of
Gain or (Loss)
Recognized in
OCI
(Effective
Portion)
 
Location of Gain
or (Loss)
Reclassified from
OCI into
Earnings (Effective
Portion)
 
Amount of (Gain) or
Loss Reclassified
from OCI into
Earnings
(Effective Portion)
 
Location of Gain or (Loss)
Recognized in Earnings
(Ineffective Portion and
Amount Excluded from
Effectiveness Testing)
 
Amount of Gain
or (Loss)
Recognized in
Earnings
(Ineffective
Portion and
Amount
Excluded from
Effectiveness
Testing)
Fiscal year 2011
 
$
(707
)
 
Interest expense
 
$
(140
)
 
Gain (loss) on derivative instruments and other securities, net
 
$
(2
)
Fiscal year 2010
 
$
(21
)
 
Interest expense
 
$
(57
)
 
Gain (loss) on derivative instruments and other securities, net
 
$
—
Schedule of Outstanding Derivatives Not Designated as Hedging Instruments [Table Text Block]
The table below summarizes fair value information about our derivative assets and liabilities as of December 31, 2012 and 2011 (in millions):
 
 
 
December 31,
Derivatives Instruments
Balance Sheet Location
 
2012
 
2011
Interest rate swaps
Derivative assets, at fair value
 
$
14

 
$
13

Payer swaptions
Derivative assets, at fair value
 
171

 
11

Purchase of TBA and forward settling agency securities
Derivative assets, at fair value
 
116

 
54

Sale of TBA and forward settling agency securities
Derivative assets, at fair value
 
—

 
3

Markit IOS total return swaps - long
Derivative assets, at fair value
 
—

 
1

 
 
 
$
301

 
$
82

Interest rate swaps
Derivative liabilities, at fair value
 
$
(1,243
)
 
$
(795
)
U.S. Treasury futures - short
Derivative liabilities, at fair value
 
—

 
(14
)
Purchase of TBA and forward settling agency securities
Derivative liabilities, at fair value
 
(1
)
 
—

Sale of TBA and forward settling agency securities
Derivative liabilities, at fair value
 
(20
)
 
(44
)
 
 
 
$
(1,264
)
 
$
(853
)
Schedule Of Outstanding Not Designated As Hedging Instruments [Table Text Block]
The following tables summarize the effect of non-hedge designated derivative instruments on our consolidated statements of comprehensive income for fiscal years 2011 and 2010 (in millions):
 
 
Fiscal Year 2011
Non Designated Derivative and Other
Hedging Instruments
 
Notional
Amount
as of
December 31, 2010
 
Additions
 
Additions Due to Hedge De-Designations
 
Settlement, Termination,
Expiration or
Exercise
 
Notional
Amount
as of
December 31, 2011
 
Amount of
Gain/(Loss)
Recognized in
Income on
Derivatives(1)
Purchase of TBA and forward settling agency securities
 
$
512

 
51,488

 
—

 
(48,300
)
 
$
3,700

 
$
160

Sale of TBA and forward settling agency securities
 
$
1,361

 
100,077

 
—

 
(97,635
)
 
$
3,803

 
(302
)
Interest rate swaps
 
$
50

 
6,750

 
23,900

 
(450
)
 
$
30,250

 
(119
)
Payer swaptions
 
$
850

 
5,600

 
—

 
(3,250
)
 
$
3,200

 
(63
)
Receiver swaptions
 
$
—

 
250

 
—

 
(250
)
 
$
—

 
(1
)
Short sales of U.S. Treasury securities
 
$
250

 
15,794

 
—

 
(15,164
)
 
$
880

 
(133
)
US Treasury futures - long
 
$
—

 
50

 
—

 
(50
)
 
$
—

 
—

US Treasury futures - short
 
$
—

 
1,133

 
—

 
(350
)
 
$
783

 
(12
)
Put options
 
$
—

 
200

 
—

 
(200
)
 
$
—

 
1

Markit IOS total return swaps - long
 
$
—

 
1,195

 
—

 
(1,154
)
 
$
41

 
(7
)
Markit IOS total return swaps - short
 
$
—

 
685

 
—

 
(479
)
 
$
206

 
14

 
 
 
 
 
 
 
 
 
 
 
 
$
(462
)
  ______________________
1.
Excludes a loss of $17 million from interest-only and principal-only securities re-measured at fair value through earnings, a loss of $2 million for hedge ineffectiveness on our outstanding interest rate swaps and a gain of $34 million from U.S. Treasury securities in gain (loss) on derivative instruments and other securities, net in our consolidated statement of comprehensive income.


 
 
Fiscal Year 2010
Non Designated Derivative and Other
Hedging Instruments
 
Notional
Amount
as of
December 31, 2009
 
Additions
 
Settlement, Termination,
Expiration or
Exercise
 
Notional
Amount
as of
December 31, 2010
 
Amount of
Gain/(Loss)
Recognized in
Income on
Derivatives(1)
Purchase of TBA and forward settling agency securities
 
$
597

 
6,662

 
(6,747
)
 
$
512

 
$
19

Sale of TBA and forward settling agency securities
 
$
617

 
16,937

 
(16,193
)
 
$
1,361

 
11

Interest rate swaps
 
$
—

 
350

 
(300
)
 
$
50

 
(3
)
Payer swaptions
 
$
200

 
850

 
(200
)
 
$
850

 
19

Receiver swaptions
 
$
100

 
300

 
(400
)
 
$
—

 
—

Short sales of U.S. Treasury securities
 
$
—

 
750

 
(500
)
 
$
250

 
(2
)
Put options
 
$
—

 
75

 
(75
)
 
$
—

 
—

 
 
 
 
 
 
 
 
 
 
$
44

  ______________________
1.
Excludes a loss of $1 million from interest-only and principal-only securities re-measured at fair value through earnings and a loss of $5 million from U.S. Treasury securities in gain (loss) on derivative instruments and other securities, net in our consolidated statement of comprehensive income for the year ended December 31, 2010.
The table below summarizes the effect of derivative instruments on our consolidated statements of comprehensive income for fiscal year 2012 (in millions):
 
 
Fiscal Year 2012
Derivative and Other Hedging Instruments
 
Notional
Amount
as of
December 31, 2011
 
Additions
 
Settlement, Termination,
Expiration or
Exercise
 
Notional
Amount
as of
December 31, 2012
 
Amount of
Gain/(Loss)
Recognized in
Income on
Derivatives(1)
Purchase of TBA and forward settling agency securities
 
$
3,700

 
140,731

 
(122,576
)
 
$
21,855

 
$
444

Sale of TBA and forward settling agency securities
 
$
3,803

 
176,905

 
(171,330
)
 
$
9,378

 
(413
)
Interest rate swaps
 
$
30,250

 
25,000

 
(8,400
)
 
$
46,850

 
(1,034
)
Payer swaptions
 
$
3,200

 
18,250

 
(7,000
)
 
$
14,450

 
(106
)
Short sales of U.S. Treasury securities
 
$
880

 
36,555

 
(25,600
)
 
$
11,835

 
(142
)
U.S. Treasury futures - short
 
$
783

 
3,838

 
(4,621
)
 
$
—

 
(90
)
Markit IOS total return swaps - long
 
$
41

 
—

 
(41
)
 
$
—

 
—

Markit IOS total return swaps - short
 
$
206

 
—

 
(206
)
 
$
—

 
—

 
 
 
 
 
 
 
 
 
 
$
(1,341
)
  ________________________________
1.
Excludes a gain of $17 million from interest-only and principal-only securities, a loss of $1 million from U.S. Treasury securities and a loss of $28 million from debt of consolidated VIEs re-measured at fair value through earnings recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statement of comprehensive income.
Not Designated as Hedging Instrument [Member]
  
Derivative [Line Items]  
Schedule Of Interest Rate Swap Agreement By Remaining Maturity
The following tables summarize our interest rate swap agreements outstanding as of December 31, 2012 and 2011 (dollars in millions):
 
 
December 31, 2012
Interest Rate Swaps (1)
 
Notional
Amount
 
Average
Fixed
Pay Rate
 
Average
Receive
Rate
 
Net
Estimated
Fair Value
 
Average
Maturity
(Years)
Three years or less
 
$
14,600

 
1.23
%
 
0.26
%
 
$
(294
)
 
2.0
Greater than 3 years and less than/equal to 5 years
 
20,250

 
1.48
%
 
0.29
%
 
(666
)
 
4.1
Greater than 5 years and less than/equal to 7 years
 
5,600

 
1.53
%
 
0.34
%
 
(163
)
 
6.1
Greater than 7 years and less than/equal to 10 years
 
5,200

 
1.89
%
 
0.35
%
 
(113
)
 
9.2
Greater than 10 years
 
1,200

 
1.79
%
 
0.31
%
 
7

 
10.2
Total Payer Interest Rate Swaps
 
$
46,850

 
1.46
%
 
0.29
%
 
$
(1,229
)
 
4.4
________________________
1.
Amounts include forward starting swaps of $1.7 billion ranging up to four months from December 31, 2012.

 
 
December 31, 2011
Interest Rate Swaps (1)
 
Notional
Amount
 
Average
Fixed
Pay Rate
 
Average
Receive
Rate
 
Net
Estimated
Fair Value
 
Average
Maturity
(Years)
Three years or less
 
$
11,350

 
1.22
%
 
0.30
%
 
$
(148
)
 
2.1
Greater than 3 years and less than/equal to 5 years
 
16,700

 
1.77
%
 
0.35
%
 
(607
)
 
3.9
Greater than 5 years and less than/equal to 7 years
 
950

 
1.56
%
 
0.57
%
 
(9
)
 
5.7
Greater than 7 years and less than/equal to 10 years
 
1,250

 
1.99
%
 
0.55
%
 
(18
)
 
8.2
Total Payer Interest Rate Swaps
 
$
30,250

 
1.57
%
 
0.35
%
 
$
(782
)
 
3.5
   ________________________
1.
Amounts include forward starting swaps of $2.6 billion ranging up to five months from December 31, 2011.