Investments in Securities (Tables)

6 Months Ended

Jun. 30, 2012

Investments, Debt and Equity Securities [Abstract]

The following table displays our investments in trading securities as of June 30, 2012 and December 31, 2011.



	As of
	June 30,		December 31,
	2012		2011
	(Dollars in millions)
Mortgage-related securities:
Fannie Mae	$	6,819		$	7,424
Freddie Mac	2,974			2,732
Ginnie Mae	282			287
Alt-A private-label securities	1,296			1,349
Subprime private-label securities	1,226			1,280
CMBS	9,930			10,411
Mortgage revenue bonds	689			724
Other mortgage-related securities	118			143
Total	23,334			24,350
Non-mortgage-related securities:
U.S. Treasury securities	27,064			47,737
Asset-backed securities	537			2,111
Total	27,601			49,848
Total trading securities	$	50,935		$	74,198

Schedule of Trading Securities Gains (Losses), Net [Table Text Block]

The following table displays information about our net trading gains and losses for the three and six months ended June 30, 2012 and 2011.



	For the Three						For the Six
	Months Ended						Months Ended
	June 30,						June 30,
	2012				2011		2012				2011
		(Dollars in millions)
Net trading gains (losses):
Mortgage-related securities		$	(12	)	$	131		$	284		$	360
Non-mortgage-related securities		(2		)	4			(14		)	—
Total		$	(14	)	$	135		$	270		$	360
Net trading gains (losses) recorded in the period related to securities still held at period end:
Mortgage-related securities		$	(4	)	$	131		$	330		$	354
Non-mortgage-related securities		2			7			(4		)	8
Total		$	(2	)	$	138		$	326		$	362

Schedule of Realized Gain (Loss) [Table Text Block]

The following table displays the gross realized gains, losses and proceeds on sales of AFS securities for the three and six months ended June 30, 2012 and 2011.



	For the Three				For the Six
	Months Ended				Months Ended
	June 30,				June 30,
	2012		2011		2012		2011
	(Dollars in millions)
Gross realized gains	$	9	$	73	$	27	$	133
Gross realized losses	1		47		10		53
Total proceeds⁽¹⁾	132		839		400		1,229

__________


⁽¹⁾	Excludes proceeds from the initial sale of securities from new portfolio securitizations included in “Note 2, Consolidations and Transfers of Financial Assets.”

Schedule of Available-for-sale Securities Reconciliation [Table Text Block]

The following table displays the amortized cost, gross unrealized gains and losses and fair value by major security type for AFS securities we held as of June 30, 2012 and December 31, 2011.



		As of June 30, 2012
	Total Amortized Cost ⁽¹⁾			Gross Unrealized Gains			Gross Unrealized Losses - OTTI ⁽²⁾				Gross Unrealized Losses - Other ⁽³⁾				Total Fair Value
		(Dollars in millions)
Fannie Mae		$	12,100		$	1,101		$	(2	)		$	(11	)	$	13,188
Freddie Mac		10,143			840			—				—			10,983
Ginnie Mae		710			119			—				—			829
Alt-A private-label securities		12,187			267			(1,084		)		(187		)	11,183
Subprime private-label securities		8,695			51			(1,110		)		(406		)	7,230
CMBS⁽⁴⁾		13,251			458			—				(41		)	13,668
Mortgage revenue bonds		9,295			175			(54		)		(59		)	9,357
Other mortgage-related securities		3,524			82			(27		)		(323		)	3,256
Total		$	69,905		$	3,093		$	(2,277	)		$	(1,027	)	$	69,694



		As of December 31, 2011
	Total Amortized Cost ⁽¹⁾			Gross Unrealized Gains			Gross Unrealized Losses - OTTI ⁽²⁾				Gross Unrealized Losses - Other ⁽³⁾				Total Fair Value
		(Dollars in millions)
Fannie Mae		$	15,486		$	1,381		$	(3	)		$	(14	)	$	16,850
Freddie Mac		11,906			917			—				—			12,823
Ginnie Mae		775			127			—				—			902
Alt-A private-label securities		13,314			233			(1,618		)		(246		)	11,683
Subprime private-label securities		9,556			17			(1,534		)		(453		)	7,586
CMBS⁽⁴⁾		13,949			181			—				(104		)	14,026
Mortgage revenue bonds		10,172			202			(56		)		(64		)	10,254
Other mortgage-related securities		3,687			92			(39		)		(282		)	3,458
Total		$	78,845		$	3,150		$	(3,250	)		$	(1,163	)	$	77,582

__________


⁽¹⁾	Amortized cost consists of unpaid principal balance, unamortized premiums, discounts and other cost basis adjustments as well as the credit component of other-than-temporary impairments recognized in our condensed consolidated statements of operations and comprehensive income (loss).


⁽²⁾	Represents the noncredit component of other-than-temporary impairment losses recorded in “Accumulated other comprehensive loss” as well as cumulative changes in fair value of securities for which we previously recognized the credit component of an other-than-temporary impairment.


⁽³⁾	Represents the gross unrealized losses on securities for which we have not recognized an other-than-temporary impairment.


⁽⁴⁾	Amortized cost includes $610 million and $686 million as of June 30, 2012 and December 31, 2011, respectively, of increase to the carrying amount from previous fair value hedge accounting.

Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value [Table Text Block]

The following table displays additional information regarding gross unrealized losses and fair value by major security type for AFS securities in an unrealized loss position that we held as of June 30, 2012 and December 31, 2011.



		As of June 30, 2012
	Less Than 12 Consecutive Months						12 Consecutive Months or Longer
	Gross Unrealized Losses				Fair Value		Gross Unrealized Losses				Fair Value
		(Dollars in millions)
Fannie Mae		$	(2	)	$	350		$	(11	)	$	248
Alt-A private-label securities		(22		)	911			(1,249		)	5,945
Subprime private-label securities		(13		)	284			(1,503		)	5,999
CMBS		(5		)	854			(36		)	526
Mortgage revenue bonds		(31		)	513			(82		)	1,085
Other mortgage-related securities		(9		)	358			(341		)	1,532
Total		$	(82	)	$	3,270		$	(3,222	)	$	15,335

		As of December 31, 2011
	Less Than 12 Consecutive Months						12 Consecutive Months or Longer
	Gross Unrealized Losses				Fair Value		Gross Unrealized Losses				Fair Value
		(Dollars in millions)
Fannie Mae		$	(4	)	$	519		$	(13	)	$	208
Alt-A private-label securities		(133		)	1,414			(1,731		)	6,525
Subprime private-label securities		(73		)	471			(1,914		)	6,686
CMBS		(20		)	1,458			(84		)	2,790
Mortgage revenue bonds		(4		)	114			(116		)	1,971
Other mortgage-related securities		(21		)	547			(300		)	1,588
Total		$	(255	)	$	4,523		$	(4,158	)	$	19,768

Schedule of Gains (Losses) on Investments, Other-than-temporary Impairments [Table Text Block]

The following table displays our net other-than-temporary impairments by major security type recognized in our condensed consolidated statements of operations and comprehensive income (loss) for the three and six months ended June 30, 2012 and 2011.



	For the Three Months Ended						For the Six Months Ended
	June 30,						June 30,
	2012			2011			2012			2011
		(Dollars in millions)
Alt-A private-label securities		$	312		$	53		$	355	$	91
Subprime private-label securities		284			—			303		—
Other		3			3			5		9
Net other-than-temporary impairments		$	599		$	56		$	663	$	100

Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block]

The following table displays activity related to the unrealized credit component on debt securities held by us and recognized in our condensed consolidated statements of operations and comprehensive income (loss) for the three and six months ended June 30, 2012 and 2011. A related unrealized noncredit component has been recognized in “Other comprehensive income (loss).”



	For the Three Months Ended						For the Six Months Ended
	June 30,						June 30,
	2012			2011			2012			2011
	(Dollars in millions)
Balance, beginning of period	$	8,870		$	8,040		$	8,915		$	8,215
Additions for the credit component on debt securities for which OTTI was not previously recognized	2			—			2			8
Additions for credit losses on debt securities for which OTTI was previously recognized	597			56			661			92
Reductions for securities no longer in portfolio at period end	(2		)	—			(2		)	—
Reductions for amortization resulting from changes in cash flows expected to be collected over the remaining life of the securities	(101		)	(220		)	(210		)	(439		)
Balance, end of period	$	9,366		$	7,876		$	9,366		$	7,876

Schedule of Modeled Attributes Used to Determine Potential Cash Shortfalls [Table Text Block]

The following table displays the modeled attributes, including default rates and severities, which are used to determine whether our senior interests in certain non-agency mortgage-related securities will experience a cash shortfall as of June 30, 2012. Assumption of voluntary prepayment rates is also an input to the present value of expected losses.



	As of June 30, 2012
				Alt-A
	Subprime			Option ARM				Fixed Rate				Variable Rate				Hybrid Rate
	(Dollars in millions)
Vintage Year
2004 & Prior:
Unpaid principal balance	$	1,518			$	460			$	3,101			$	459			$	2,107
Weighted average collateral default⁽¹⁾	41.0		%		39.9		%		13.3		%		30.3		%		17.8		%
Weighted average collateral severities⁽²⁾	70.2				60.5				54.7				53.5				47.8
Weighted average voluntary prepayment rates⁽³⁾	6.3				5.7				11.3				6.0				8.9
Average credit enhancement⁽⁴⁾	51.3				13.6				12.1				22.9				10.0
2005
Unpaid principal balance	$	155			$	1,235			$	1,097			$	499			$	2,191
Weighted average collateral default⁽¹⁾	68.4		%		54.8		%		39.7		%		52.3		%		38.8		%
Weighted average collateral severities⁽²⁾	76.3				67.8				66.1				64.4				55.4
Weighted average voluntary prepayment rates⁽³⁾	2.3				4.4				6.8				4.9				5.6
Average credit enhancement⁽⁴⁾	65.5				22.3				1.0				14.9				4.9
2006
Unpaid principal balance	$	11,025			$	1,084			$	492			$	1,488			$	1,548
Weighted average collateral default⁽¹⁾	71.4		%		69.6		%		40.5		%		57.9		%		37.4		%
Weighted average collateral severities⁽²⁾	78.2				69.2				67.5				64.4				57.9
Weighted average voluntary prepayment rates⁽³⁾	2.2				3.1				5.6				3.8				5.5
Average credit enhancement⁽⁴⁾	15.4				16.2				0.5				0.7				—
2007 & After:
Unpaid principal balance	$	582			$	—			$	—			$	—			$	108
Weighted average collateral default⁽¹⁾	67.7		%		N/A				N/A				N/A				40.9		%
Weighted average collateral severities⁽²⁾	71.4				N/A				N/A				N/A				59.9
Weighted average voluntary prepayment rates⁽³⁾	1.9				N/A				N/A				N/A				6.5
Average credit enhancement⁽⁴⁾	31.3				N/A				N/A				N/A				24.4
Total
Unpaid principal balance	$	13,280			$	2,779			$	4,690			$	2,446			$	5,954
Weighted average collateral default⁽¹⁾	67.7		%		58.1		%		22.3		%		51.6		%		31.1		%
Weighted average collateral severities⁽²⁾	77.0				67.2				58.7				62.4				53.4
Weighted average voluntary prepayment rates⁽³⁾	2.7				4.1				9.7				4.5				6.8
Average credit enhancement⁽⁴⁾	20.8				18.5				8.3				7.7				5.8

__________


⁽¹⁾	The expected remaining cumulative default rate of the collateral pool backing the securities, as a percentage of the current collateral unpaid principal balance, weighted by security unpaid principal balance.


⁽²⁾	The expected remaining loss given default of the collateral pool backing the securities, calculated as the ratio of remaining cumulative loss divided by cumulative defaults, weighted by security unpaid principal balance.


⁽³⁾	The average monthly voluntary prepayment rate, weighted by security unpaid principal balance.


⁽⁴⁾	The average percent current credit enhancement provided by subordination of other securities. Excludes excess interest projections and monoline bond insurance.

Investments Classified by Contractual Maturity Date [Table Text Block]

The following table displays the amortized cost and fair value of our AFS securities by major security type and remaining maturity, assuming no principal prepayments, as of June 30, 2012. Contractual maturity of mortgage-backed securities is not a reliable indicator of their expected life because borrowers generally have the right to prepay their obligations at any time.



		As of June 30, 2012
	Total Amortized Cost			Total Fair Value		One Year or Less					After One Year Through Five Years					After Five Years Through Ten Years					After Ten Years
	Total Amortized Cost			Total Fair Value		Amortized Cost			Fair Value		Amortized Cost			Fair Value		Amortized Cost			Fair Value		Amortized Cost			Fair Value
	(Dollars in millions)
Fannie Mae		$	12,100	$	13,188		$	—	$	—		$	18	$	19		$	1,327	$	1,409		$	10,755	$	11,760
Freddie Mac		10,143		10,983			3		3			51		55			937		1,007			9,152		9,918
Ginnie Mae		710		829			—		—			2		2			4		4			704		823
Alt-A private-label securities		12,187		11,183			—		—			1		1			204		209			11,982		10,973
Subprime private-label securities		8,695		7,230			—		—			—		—			—		—			8,695		7,230
CMBS		13,251		13,668			62		65			9,590		9,929			3,304		3,401			295		273
Mortgage revenue bonds		9,295		9,357			56		58			338		346			711		728			8,190		8,225
Other mortgage-related securities		3,524		3,256			—		—			—		—			—		11			3,524		3,245
Total		$	69,905	$	69,694		$	121	$	126		$	10,000	$	10,352		$	6,487	$	6,769		$	53,297	$	52,447

Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block]

The following table displays our accumulated other comprehensive loss by major categories as of June 30, 2012 and December 31, 2011.



	As of
	June 30,			December 31,
	2012			2011
	(Dollars in millions)
Net unrealized gains on available-for-sale securities for which we have not recorded other-than-temporary impairment, net of tax	$	1,174			$	1,152
Net unrealized losses on available-for-sale securities for which we have recorded other-than-temporary impairment, net of tax	(1,300		)		(1,953		)
Other losses	(419		)		(434		)
Accumulated other comprehensive loss	$	(545	)		$	(1,235	)

Schedule of Comprehensive Income (Loss) [Table Text Block]

The following table displays the activity in other comprehensive income (loss), net of tax, by major categories for the three and six months ended June 30, 2012 and 2011.



	For the Three Months Ended						For the Six Months Ended
	June 30,						June 30,
	2012			2011			2012			2011
	(Dollars in millions)
Comprehensive income (loss):
Net income (loss)	$	5,119		$	(2,892	)	$	7,837		$	(9,363	)
Other comprehensive income (loss), net of tax effect:
Changes in net unrealized (losses) gains on available-for-sale securities (net of tax of $46 and $19, respectively, for the three months ended and net of tax of $150 and $68, respectively, for the six months ended)	(64		)	(34		)	255			127
Reclassification adjustment for other-than-temporary impairments recognized in net income (loss) (net of tax of $210 and $15, respectively, for the three months ended and $232 and $28, respectively, for the six months ended)	389			40			431			72
Reclassification adjustment for gains included in net income (loss) (net of tax of $3 for the three months ended and net of tax of $6 and $11, respectively, for the six months ended)	(5		)	(7		)	(11		)	(21		)
Other	8			3			15			5
Other comprehensive income	328			2			690			183
Total comprehensive income (loss)	$	5,447		$	(2,890	)	$	8,527		$	(9,180	)