Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2012

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Notional and Fair Value Position [Table Text Block]

The following table displays the notional amount and estimated fair value of our asset and liability derivative instruments as of September 30, 2012 and December 31, 2011.

	As of September 30, 2012										As of December 31, 2011
	Asset Derivatives					Liability Derivatives					Asset Derivatives					Liability Derivatives
	Notional Amount		Estimated Fair Value			Notional Amount		Estimated Fair Value			Notional Amount		Estimated Fair Value			Notional Amount		Estimated Fair Value
	(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed	$	5,375	$	80		$	244,217	$	(20,619	)	$	30,950	$	102		$	155,807	$	(17,391	)
Receive-fixed	286,365		10,971			9,075		(27		)	170,668		8,118			59,027		(93		)
Basis	21,822		163			3,100		(1		)	382		122			9,240		(44		)
Foreign currency	811		195			391		(43		)	581		155			451		(62		)
Swaptions:
Pay-fixed	33,400		105			26,625		(162		)	48,600		165			47,750		(194		)
Receive-fixed	19,470		4,317			26,625		(2,517		)	33,695		6,371			47,750		(3,238		)
Other(1)	7,395		28			12		—			8,214		52			75		—
Total gross risk management derivatives	374,638		15,859			310,045		(23,369		)	293,090		15,085			320,100		(21,022		)
Accrued interest receivable (payable)	—		1,224			—		(1,602		)	—		920			—		(1,238		)
Netting adjustment(2)	—		(16,826		)	—		24,596			—		(15,829		)	—		21,898
Total net risk management derivatives	$	374,638	$	257		$	310,045	$	(375	)	$	293,090	$	176		$	320,100	$	(362	)

Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans	$	16,260	$	255	$	4,209	$	(6	)	$	9,710	$	73	$	422	$	—
Forward contracts to purchase mortgage-related securities	48,212		804		7,447		(14		)	32,707		309		2,570		(6		)
Forward contracts to sell mortgage-related securities	6,414		12		96,999		(1,638		)	1,370		3		54,656		(548		)
Total mortgage commitment derivatives	$	70,886	$	1,071	$	108,655	$	(1,658	)	$	43,787	$	385	$	57,648	$	(554	)
Derivatives at fair value	$	445,524	$	1,328	$	418,700	$	(2,033	)	$	336,877	$	561	$	377,748	$	(916	)

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⁽¹⁾  Includes interest rate caps, futures, swap credit enhancements and mortgage insurance contracts that we account for as derivatives. The mortgage insurance contracts have payment provisions that are not based on a notional amount.

⁽²⁾  The netting adjustment represents the effect of the legal right to offset under legally enforceable master netting agreements to settle with the same counterparty on a net basis, including cash collateral posted and received. Cash collateral posted was $7.8 billion and $6.8 billion as of September 30, 2012 and December 31, 2011, respectively. No cash collateral was received as of September 30, 2012 and $779 million was received as of December 31, 2011.

Fair Value Gain (Loss), Net [Table Text Block]

The following table displays, by type of derivative instrument, the fair value gains and losses, net on our derivatives for the three and nine months ended September 30, 2012 and 2011.

	For the						For the
	Three Months						Nine Months
	Ended September 30,						Ended September 30,
	2012			2011			2012			2011
	(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed	$	(2,272	)	$	(11,334	)	$	(6,955	)	$	(16,206	)
Receive-fixed	1,511			4,577			4,185			7,105
Basis	42			75			98			104
Foreign currency	61			31			70			114
Swaptions:
Pay-fixed	51			533			108			805
Receive-fixed	123			2,091			374			2,591
Other(1)	(24		)	(40		)	(30		)	(80		)
Total risk management derivatives fair value losses, net	(508		)	(4,067		)	(2,150		)	(5,567		)
Mortgage commitment derivatives fair value losses, net	(816		)	(188		)	(1,583		)	(226		)
Total derivatives fair value losses, net	$	(1,324	)	$	(4,255	)	$	(3,733	)	$	(5,793	)

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⁽¹⁾  Includes interest rate caps, futures, swap credit enhancements and mortgage insurance contracts.

Derivative Counterparty Credit Exposure [Table Text Block]

The table below displays our counterparty credit exposure on outstanding risk management derivative instruments in a gain position by counterparty credit ratings, as well as the notional amount outstanding and the number of counterparties for all risk management derivatives as of September 30, 2012 and December 31, 2011.

	As of September 30, 2012
	Credit Rating(1)
	AA+/ AA/AA-		A+/A/A-		BBB+/BBB/BBB-		Subtotal(2)		Other(3)		Total
	(Dollars in millions)
Credit loss exposure(4)	$	—	$	118	$	83	$	201	$	28	$	229
Less: Collateral held(5)	—		116		82		198		—		198
Exposure net of collateral	$	—	$	2	$	1	$	3	$	28	$	31
Additional information:
Notional amount	$	19,038	$	617,668	$	47,513	$	684,219	$	464	$	684,683
Number of counterparties	4		14		4		22
	As of December 31, 2011
	Credit Rating(1)
	AA+/AA/AA-		A+/A/A-		BBB+/BBB/BBB-		Subtotal(2)		Other(3)		Total
	(Dollars in millions)
Credit loss exposure(4)	$	—	$	885	$	—	$	885	$	51	$	936
Less: Collateral held(5)	—		840		—		840		—		840
Exposure net of collateral	$	—	$	45	$	—	$	45	$	51	$	96
Additional information:
Notional amount	$	63,294	$	546,967	$	—	$	610,261	$	2,929	$	613,190
Number of counterparties	6		10		—		16

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⁽¹⁾  We manage collateral requirements based on the lower credit rating of the legal entity, as issued by S&P and Moody’s. The credit rating reflects the equivalent S&P’s rating for any ratings based on Moody’s scale.

⁽²⁾  We had credit loss exposure to eight and four counterparties for interest rate and foreign currency derivatives counterparties as of September 30, 2012 and December 31, 2011, respectively. Those interest rate and foreign currency derivatives had notional balances of $8.5 billion and $127.5 billion as of September 30, 2012 and December 31, 2011, respectively.

⁽³⁾  Includes mortgage insurance contracts and swap credit enhancements accounted for as derivatives.

⁽⁴⁾  Represents the exposure to credit loss on derivative instruments, which we estimate using the fair value of all outstanding derivative contracts in a gain position. We net derivative gains and losses with the same counterparty where a legal right of offset exists under an enforceable master netting agreement. This table excludes mortgage commitments accounted for as derivatives.

⁽⁵⁾  Represents both cash and non-cash collateral posted by our counterparties to us. Does not include collateral held in excess of exposure. We reduce the value of non-cash collateral in accordance with the counterparty agreements to help ensure recovery of any loss through the disposition of the collateral.