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Investments in Securities (Tables)
 9 Months Ended
Sep. 30, 2012
Investments, Debt and Equity Securities [Abstract]  
Investments In Trading Securities
The following table displays our investments in trading securities as of September 30, 2012 and December 31, 2011.
 
 
As of
 
September 30,
 
December 31,
 
2012
 
2011
 
 
(Dollars in millions)
Mortgage-related securities:
 
 
 
 
 
 
 
Fannie Mae
 
$
6,245

 
 
 
$
7,424

 
Freddie Mac
 
2,840

 
 
 
2,732

 
Ginnie Mae
 
280

 
 
 
287

 
Alt-A private-label securities
 
1,276

 
 
 
1,349

 
Subprime private-label securities
 
1,265

 
 
 
1,280

 
CMBS
 
9,920

 
 
 
10,411

 
Mortgage revenue bonds
 
681

 
 
 
724

 
Other mortgage-related securities
 
118

 
 
 
143

 
Total
 
22,625

 
 
 
24,350

 
Non-mortgage-related securities:
 
 
 
 
 
 
 
U.S. Treasury securities
 
19,897

 
 
 
47,737

 
Asset-backed securities
 
—

 
 
 
2,111

 
Total
 
19,897

 
 
 
49,848

 
Total trading securities
 
$
42,522

 
 
 
$
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 nine months ended September 30, 2012 and 2011.
 
For the Three
 
For the Nine
 
Months Ended
 
Months Ended
 
September 30,
 
September 30,
 
2012
 
2011
 
2012
 
2011
 
 
(Dollars in millions)
Net trading gains (losses):
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities
 
$
403

 
 
$
(209
)
 
 
$
687

 
 
$
151

Non-mortgage-related securities
 
3

 
 
(5
)
 
 
(11
)
 
 
(5
)
Total
 
$
406

 
 
$
(214
)
 
 
$
676

 
 
$
146

Net trading gains (losses) recorded in the period related to securities still held at period end:
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities
 
$
396

 
 
$
(206
)
 
 
$
724

 
 
$
145

Non-mortgage-related securities
 
3

 
 
—

 
 
1

 
 
2

Total
 
$
399

 
 
$
(206
)
 
 
$
725

 
 
$
147
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 nine months ended September 30, 2012 and 2011.
 
For the Three
 
For the Nine
 
Months Ended
 
Months Ended
 
September 30,
 
September 30,
 
2012
 
2011
 
2012
 
2011
 
(Dollars in millions)
Gross realized gains
$
5

 
$
15

 
$
32

 
$
148

Gross realized losses
3

 
22

 
13

 
75

Total proceeds (1)
44

 
597

 
444

 
1,826

__________
s
(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 September 30, 2012 and December 31, 2011.

 
As of September 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
 
$
10,576

 
 
 
$
1,005

 
 
 
$
(1
)
 
 
 
$
(10
)
 
 
$
11,570

Freddie Mac
 
9,365

 
 
 
825

 
 
 
—

 
 
 
—

 
 
10,190

Ginnie Mae
 
676

 
 
 
116

 
 
 
—

 
 
 
—

 
 
792

Alt-A private-label securities
 
11,768

 
 
 
380

 
 
 
(792
)
 
 
 
(128
)
 
 
11,228

Subprime private-label securities
 
8,402

 
 
 
140

 
 
 
(868
)
 
 
 
(302
)
 
 
7,372

CMBS(4)
 
12,609

 
 
 
732

 
 
 
—

 
 
 
(20
)
 
 
13,321

Mortgage revenue bonds
 
8,604

 
 
 
176

 
 
 
(52
)
 
 
 
(55
)
 
 
8,673

Other mortgage-related securities
 
3,425

 
 
 
98

 
 
 
(22
)
 
 
 
(295
)
 
 
3,206

Total
 
$
65,425

 
 
 
$
3,472

 
 
 
$
(1,735
)
 
 
 
$
(810
)
 
 
$
66,352


 
 
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

__________
s

(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 income (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 $566 million and $686 million as of September 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 September 30, 2012 and December 31, 2011.
 
 
As of September 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
 
$
(1
)
 
 
$
259

 
 
$
(10
)
 
 
$
334

Alt-A private-label securities
 
(15
)
 
 
748

 
 
(905
)
 
 
5,159

Subprime private-label securities
 
(17
)
 
 
340

 
 
(1,153
)
 
 
5,583

CMBS
 
—

 
 
—

 
 
(20
)
 
 
272

Mortgage revenue bonds
 
(29
)
 
 
411

 
 
(78
)
 
 
908

Other mortgage-related securities
 
(3
)
 
 
107

 
 
(314
)
 
 
1,555

Total
 
$
(65
)
 
 
$
1,865

 
 
$
(2,480
)
 
 
$
13,811

 
 
 
 
 
 
 
 
 
 
 
 
 
 
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 nine months ended September 30, 2012 and 2011.
 
For the Three Months Ended
 
For the Nine Months Ended
 
September 30,
 
September 30,
 
2012
 
2011
 
2012
 
2011
 
 
(Dollars in millions)
Alt-A private-label securities
 
$
6

 
 
 
$
238

 
 
$
361

 
 
$
329

Subprime private-label securities
 
21

 
 
 
2

 
 
324

 
 
2

Other
 
11

 
 
 
22

 
 
16

 
 
31

Net other-than-temporary impairments
 
$
38

 
 
 
$
262

 
 
$
701

 
 
$
362
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 nine months ended September 30, 2012 and 2011. A related unrealized noncredit component has been recognized in “Other comprehensive income (loss).”
  
For the Three Months Ended
 
For the Nine
Months Ended
  
September 30,
 
September 30,
  
2012
 
2011
 
2012
 
2011
  
(Dollars in millions)
Balance, beginning of period
$
9,366

 
$
7,876

 
$
8,915

 
$
8,215

Additions for the credit component on debt securities for which OTTI was not previously recognized
11

 
—

 
13

 
8

Additions for the credit component on debt securities for which OTTI was previously recognized
27

 
262

 
688

 
354

Reductions for securities no longer in portfolio at period end
(1
)
 
(5
)
 
(3
)
 
(5
)
Reductions for amortization resulting from changes in cash flows expected to be collected over the remaining life of the securities
(91
)
 
(253
)
 
(301
)
 
(692
)
Balance, end of period
$
9,312

 
$
7,880

 
$
9,312

 
$
7,880
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 September 30, 2012. Assumption of voluntary prepayment rates is also an input to the present value of expected losses.
 
As of September 30, 2012
 
 
 
Alt-A
 
Subprime
 
Option ARM
 
Fixed Rate
 
Variable Rate
 
Hybrid Rate
 
(Dollars in millions)
 
Vintage Year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2004 & Prior:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
1,459

 
 
$
448

 
 
 
$
2,973

 
 
 
$
445

 
 
 
$
2,027

 
Weighted average collateral default(1)
40.5
%
 
 
38.4
%
 
 
 
13.1
%
 
 
 
28.7
%
 
 
 
17.1
%
 
Weighted average collateral severities(2)
69.8

 
 
60.6

 
 
 
54.3

 
 
 
53.4

 
 
 
47.4

 
Weighted average voluntary prepayment rates(3)
6.4

 
 
6.3

 
 
 
12.4

 
 
 
7.0

 
 
 
9.9

 
Average credit enhancement(4)
51.8

 
 
12.2

 
 
 
12.1

 
 
 
22.7

 
 
 
9.4

 
2005
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
145

 
 
$
1,203

 
 
 
$
1,056

 
 
 
$
484

 
 
 
$
2,124

 
Weighted average collateral default(1)
67.8
%
 
 
53.0
%
 
 
 
38.5
%
 
 
 
50.2
%
 
 
 
36.8
%
 
Weighted average collateral severities(2)
75.6

 
 
67.5

 
 
 
65.5

 
 
 
64.0

 
 
 
55.1

 
Weighted average voluntary prepayment rates(3)
2.4

 
 
4.9

 
 
 
7.3

 
 
 
5.5

 
 
 
6.4

 
Average credit enhancement(4)
64.9

 
 
20.7

 
 
 
0.9

 
 
 
12.4

 
 
 
4.1

 
2006
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
10,781

 
 
$
1,038

 
 
 
$
478

 
 
 
$
1,444

 
 
 
$
1,495

 
Weighted average collateral default(1)
70.6
%
 
 
67.3
%
 
 
 
39.5
%
 
 
 
55.8
%
 
 
 
34.1
%
 
Weighted average collateral severities(2)
77.7

 
 
68.6

 
 
 
67.4

 
 
 
64.0

 
 
 
56.8

 
Weighted average voluntary prepayment rates(3)
2.3

 
 
3.6

 
 
 
5.8

 
 
 
4.3

 
 
 
6.3

 
Average credit enhancement(4)
14.1

 
 
13.0

 
 
 
0.4

 
 
 
0.6

 
 
 
—

 
2007 & After:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
575

 
 
$
—

 
 
 
$
—

 
 
 
$
—

 
 
 
$
105

 
Weighted average collateral default(1)
66.3
%
 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
40.1
%
 
Weighted average collateral severities(2)
69.8

 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
59.0

 
Weighted average voluntary prepayment rates(3)
2.0

 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
6.9

 
Average credit enhancement(4)
28.8

 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
23.2

 
Total
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
12,960

 
 
$
2,689

 
 
 
$
4,507

 
 
 
$
2,373

 
 
 
$
5,751

 
Weighted average collateral default(1)
67.0
%
 
 
56.1
%
 
 
 
21.8
%
 
 
 
49.6
%
 
 
 
29.2
%
 
Weighted average collateral severities(2)
76.4

 
 
66.8

 
 
 
58.3

 
 
 
62.0

 
 
 
52.9

 
Weighted average voluntary prepayment rates(3)
2.7

 
 
4.6

 
 
 
10.5

 
 
 
5.1

 
 
 
7.6

 
Average credit enhancement(4)
19.6

 
 
16.3

 
 
 
8.2

 
 
 
7.1

 
 
 
5.3

 
__________

(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 September 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 September 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
 
 
 
Amortized Cost
 
Fair Value
 
Amortized Cost
 
Fair Value
 
Amortized Cost
 
Fair Value
 
Amortized Cost
 
Fair Value
  
(Dollars in millions)
Fannie Mae
 
$
10,576

 
 
$
11,570

 
 
$
—

 
 
$
—

 
 
$
29

 
 
$
30

 
 
$
1,009

 
 
$
1,073

 
 
$
9,538

 
 
$
10,467

Freddie Mac
 
9,365

 
 
10,190

 
 
3

 
 
3

 
 
58

 
 
62

 
 
876

 
 
945

 
 
8,428

 
 
9,180

Ginnie Mae
 
676

 
 
792

 
 
—

 
 
—

 
 
2

 
 
2

 
 
4

 
 
4

 
 
670

 
 
786

Alt-A private-label securities
 
11,768

 
 
11,228

 
 
—

 
 
—

 
 
—

 
 
1

 
 
191

 
 
197

 
 
11,577

 
 
11,030

Subprime private-label securities
 
8,402

 
 
7,372

 
 
—

 
 
—

 
 
—

 
 
—

 
 
—

 
 
—

 
 
8,402

 
 
7,372

CMBS
 
12,609

 
 
13,321

 
 
44

 
 
46

 
 
11,601

 
 
12,288

 
 
711

 
 
751

 
 
253

 
 
236

Mortgage revenue bonds
 
8,604

 
 
8,673

 
 
58

 
 
60

 
 
368

 
 
378

 
 
684

 
 
695

 
 
7,494

 
 
7,540

Other mortgage-related securities
 
3,425

 
 
3,206

 
 
—

 
 
—

 
 
—

 
 
—

 
 
—

 
 
11

 
 
3,425

 
 
3,195

Total
 
$
65,425

 
 
$
66,352

 
 
$
105

 
 
$
109

 
 
$
12,058

 
 
$
12,761

 
 
$
3,475

 
 
$
3,676

 
 
$
49,787

 
 
$
49,806
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block]
The following table displays our accumulated other comprehensive income (loss) by major categories as of September 30, 2012 and December 31, 2011.
 
 
As of
 
September 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
 
$
1,426

 
 
 
$
1,152

 
Net unrealized losses on available-for-sale securities for which we have recorded other-than-temporary impairment, net of tax
 
(812
)
 
 
 
(1,953
)
 
Other losses
 
(413
)
 
 
 
(434
)
 
Accumulated other comprehensive income (loss)
 
$
201

 
 
 
$
(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 nine months ended September 30, 2012 and 2011.
 
For the Three Months Ended
 
For the Nine
Months Ended
 
September 30,
 
September 30,
 
2012
 
2011
 
2012
 
2011
 
(Dollars in millions)
Comprehensive income (loss):
 
 
 
 
 
 
 
Net income (loss)
$
1,813

 
$
(5,085
)
 
$
9,650

 
$
(14,448
)
Other comprehensive income (loss), net of tax effect:
 
 
 
 
 
 
 
Changes in net unrealized gains (losses) on available-for-sale securities (net of tax of $386 and $210, respectively, for the three months ended and net of tax of $536 and $142, respectively, for the nine months ended)
719

 
(391
)
 
974

 
(264
)
Reclassification adjustment for other-than-temporary impairments recognized in net income (loss) (net of tax of $13 and $92, respectively, for the three months ended and $245 and $120, respectively, for the nine months ended)
25

 
170

 
456

 
242

Reclassification adjustment for gains included in net income (loss) (net of tax of $2 and $10, respectively, for the three months ended and net of tax of $8 and $1, respectively, for the nine months ended)
(3
)
 
23

 
(14
)
 
2

Other
5

 
1

 
20

 
6

Other comprehensive income (loss)
746

 
(197
)
 
1,436

 
(14
)
Total comprehensive income (loss)
$
2,559

 
$
(5,282
)
 
$
11,086

 
$
(14,462
)