XML 155 R41.htm IDEA: XBRL DOCUMENT v2.4.0.6
Investments in Securities (Tables)
 12 Months Ended
Dec. 31, 2012
Investments, Debt and Equity Securities [Abstract]  
Investments In Trading Securities
The following table displays our investments in trading securities as of December 31, 2012 and 2011.
 
As of December 31,
 
2012
 
2011
 
(Dollars in millions)
Mortgage-related securities:
 
 
 
Fannie Mae
$
6,248

 
$
7,424

Freddie Mac
2,793

 
2,732

Ginnie Mae
437

 
287

Alt-A private-label securities
1,330

 
1,349

Subprime private-label securities
1,319

 
1,280

CMBS
9,826

 
10,411

Mortgage revenue bonds
675

 
724

Other mortgage-related securities
117

 
143

Total
22,745

 
24,350

Non-mortgage-related securities:
 
 
 
U.S. Treasury securities
17,950

 
47,737

Asset-backed securities
—

 
2,111

Total
17,950

 
49,848

Total trading securities
$
40,695

 
$
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 years ended December 31, 2012, 2011 and 2010.
 
For the Year Ended
 
December 31,
 
2012
 
2011
 
2010
 
 
(Dollars in millions)
Net trading gains (losses):
 
 
 
 
 
 
 
 
Mortgage-related securities
 
$
1,014

 
 
$
274

 
 
$
2,607

Non-mortgage-related securities
 
(10
)
 
 
(8
)
 
 
85

Total
 
$
1,004

 
 
$
266

 
 
$
2,692

Net trading gains (losses) recorded in the period related to securities still held at period end:
 
 
 
 
 
 
 
 
Mortgage-related securities
 
$
1,035

 
 
$
268

 
 
$
2,485

Non-mortgage-related securities
 
2

 
 
(1
)
 
 
56

Total
 
$
1,037

 
 
$
267

 
 
$
2,541
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 years ended December 31, 2012, 2011 and 2010.
 
For the Year Ended
 
December 31,
 
2012
 
2011
 
2010
 
(Dollars in millions)
Gross realized gains
$
40

 
$
182

 
$
566

Gross realized losses
16

 
90

 
293

Total proceeds (1)
634

 
2,152

 
7,207

__________
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 tables display the amortized cost, gross unrealized gains and losses and fair value by major security type for AFS securities we held as of December 31, 2012 and 2011.
 
 
As of December 31, 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
 
$
9,580

 
 
 
$
871

 
 
 
$
—

 
 
 
$
(16
)
 
 
$
10,435

Freddie Mac
 
8,652

 
 
 
728

 
 
 
—

 
 
 
—

 
 
9,380

Ginnie Mae
 
645

 
 
 
106

 
 
 
—

 
 
 
—

 
 
751

Alt-A private-label securities
 
11,356

 
 
 
452

 
 
 
(637
)
 
 
 
(96
)
 
 
11,075

Subprime private-label securities
 
8,137

 
 
 
217

 
 
 
(669
)
 
 
 
(238
)
 
 
7,447

CMBS(4)
 
12,284

 
 
 
824

 
 
 
—

 
 
 
(11
)
 
 
13,097

Mortgage revenue bonds
 
7,782

 
 
 
157

 
 
 
(45
)
 
 
 
(52
)
 
 
7,842

Other mortgage-related securities
 
3,330

 
 
 
109

 
 
 
(18
)
 
 
 
(267
)
 
 
3,154

Total
 
$
61,766

 
 
 
$
3,464

 
 
 
$
(1,369
)
 
 
 
$
(680
)
 
 
$
63,181


 
 
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 (“OTTI”) recognized in our consolidated statements of operations and comprehensive income (loss).
(2) 
Represents the noncredit component of other-than-temporary impairments 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 other-than-temporary impairments.
(3) 
Represents the gross unrealized losses on securities for which we have not recognized other-than-temporary impairments.
(4) 
Amortized cost includes $527 million and $686 million as of December 31, 2012 and 2011, respectively, of increases 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 tables display 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 December 31, 2012 and 2011.
 
 
As of December 31, 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
 
$
(5
)
 
 
$
599

 
 
$
(11
)
 
 
$
372

Alt-A private-label securities
 
(18
)
 
 
541

 
 
(715
)
 
 
4,465

Subprime private-label securities
 
(14
)
 
 
243

 
 
(893
)
 
 
5,058

CMBS
 
—

 
 
—

 
 
(11
)
 
 
240

Mortgage revenue bonds
 
(3
)
 
 
127

 
 
(94
)
 
 
1,198

Other mortgage-related securities
 
(3
)
 
 
95

 
 
(282
)
 
 
1,529

Total
 
$
(43
)
 
 
$
1,605

 
 
$
(2,006
)
 
 
$
12,862

 
 
 
 
 
 
 
 
 
 
 
 
 
 
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 consolidated statements of operations and comprehensive income (loss) for the years ended December 31, 2012, 2011 and 2010.
 
For the Year Ended
 
December 31,
 
2012
 
2011
 
2010(1)
 
 
(Dollars in millions)
Alt-A private-label securities
 
$
365

 
 
 
$
563

 
 
$
327

 
Subprime private-label securities
 
329

 
 
 
(303
)
 
 
368

 
Other
 
19

 
 
 
48

 
 
27

 
Net other-than-temporary impairments
 
$
713

 
 
 
$
308

 
 
$
722

 
__________

(1) 
Certain prior period amounts have been reclassified to conform to the current period presentation.
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 consolidated statements of operations and comprehensive income (loss) for the years ended December 31, 2012 and 2011. A related unrealized noncredit component has been recognized in “Other comprehensive income (loss).”
  
For the Year Ended
  
December 31,
  
2012
 
2011
  
(Dollars in millions)
Balance, January 1
$
8,915

 
$
8,215

Additions for the credit component on debt securities for which OTTI was not previously recognized
15

 
23

Additions for the credit component on debt securities for which OTTI was previously recognized
698

 
285

Reductions for securities no longer in portfolio at period end
(5
)
 
(7
)
(Reductions) additions for amortization resulting from changes in cash flows expected to be collected over the remaining life of the securities(1)
(409
)
 
399

Balance, December 31
$
9,214

 
$
8,915

__________

(1) 
Amount includes out-of-period adjustment of $727 million in 2011 due to an overstatement of income and amortized cost.
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 December 31, 2012. Assumption of voluntary prepayment rates is also an input to the present value of expected losses.
 
As of December 31, 2012
 
 
 
Alt-A
 
Subprime
 
Option ARM
 
Fixed Rate
 
Variable Rate
 
Hybrid Rate
 
(Dollars in millions)
 
Vintage Year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2004 & Prior:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
1,404

 
 
$
438

 
 
 
$
2,836

 
 
 
$
431

 
 
 
$
1,955

 
Weighted average collateral default(1)
39.9
%
 
 
37.3
%
 
 
 
12.8
%
 
 
 
26.6
%
 
 
 
16.3
%
 
Weighted average collateral severities(2)
69.0

 
 
60.0

 
 
 
53.7

 
 
 
53.0

 
 
 
47.1

 
Weighted average voluntary prepayment rates(3)
6.6

 
 
6.2

 
 
 
12.1

 
 
 
6.5

 
 
 
9.4

 
Average credit enhancement(4)
51.9

 
 
11.4

 
 
 
12.1

 
 
 
23.0

 
 
 
9.2

 
2005
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
136

 
 
$
1,171

 
 
 
$
1,015

 
 
 
$
467

 
 
 
$
2,058

 
Weighted average collateral default(1)
66.5
%
 
 
51.0
%
 
 
 
36.6
%
 
 
 
46.7
%
 
 
 
33.3
%
 
Weighted average collateral severities(2)
74.3

 
 
66.1

 
 
 
64.5

 
 
 
62.7

 
 
 
54.7

 
Weighted average voluntary prepayment rates(3)
2.6

 
 
4.8

 
 
 
7.3

 
 
 
5.4

 
 
 
6.0

 
Average credit enhancement(4)
65.3

 
 
17.1

 
 
 
0.8

 
 
 
11.8

 
 
 
3.9

 
2006
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
10,543

 
 
$
995

 
 
 
$
464

 
 
 
$
1,400

 
 
 
$
1,434

 
Weighted average collateral default(1)
69.2
%
 
 
65.2
%
 
 
 
38.3
%
 
 
 
51.8
%
 
 
 
30.9
%
 
Weighted average collateral severities(2)
76.4

 
 
67.4

 
 
 
66.4

 
 
 
63.4

 
 
 
55.3

 
Weighted average voluntary prepayment rates(3)
2.4

 
 
3.6

 
 
 
5.8

 
 
 
4.2

 
 
 
6.0

 
Average credit enhancement(4)
13.1

 
 
11.2

 
 
 
0.2

 
 
 
0.6

 
 
 
—

 
2007 & After:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
570

 
 
$
—

 
 
 
$
—

 
 
 
$
—

 
 
 
$
101

 
Weighted average collateral default(1)
64.6
%
 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
37.1
%
 
Weighted average collateral severities(2)
66.9

 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
57.2

 
Weighted average voluntary prepayment rates(3)
1.9

 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
6.9

 
Average credit enhancement(4)
27.4

 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
21.7

 
Total
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
12,653

 
 
$
2,604

 
 
 
$
4,315

 
 
 
$
2,298

 
 
 
$
5,548

 
Weighted average collateral default(1)
65.8
%
 
 
54.1
%
 
 
 
21.1
%
 
 
 
46.0
%
 
 
 
26.8
%
 
Weighted average collateral severities(2)
75.2

 
 
65.6

 
 
 
57.6

 
 
 
61.3

 
 
 
52.2

 
Weighted average voluntary prepayment rates(3)
2.8

 
 
4.6

 
 
 
10.3

 
 
 
4.9

 
 
 
7.2

 
Average credit enhancement(4)
18.6

 
 
13.9

 
 
 
8.2

 
 
 
7.1

 
 
 
5.1

 
__________

(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 December 31, 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 December 31, 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
 
$
9,580

 
 
$
10,435

 
 
$
—

 
 
$
—

 
 
$
85

 
 
$
90

 
 
$
847

 
 
$
899

 
 
$
8,648

 
 
$
9,446

Freddie Mac
 
8,652

 
 
9,380

 
 
2

 
 
2

 
 
79

 
 
83

 
 
786

 
 
845

 
 
7,785

 
 
8,450

Ginnie Mae
 
645

 
 
751

 
 
—

 
 
—

 
 
2

 
 
2

 
 
7

 
 
8

 
 
636

 
 
741

Alt-A private-label securities
 
11,356

 
 
11,075

 
 
—

 
 
—

 
 
—

 
 
—

 
 
178

 
 
183

 
 
11,178

 
 
10,892

Subprime private-label securities
 
8,137

 
 
7,447

 
 
—

 
 
—

 
 
—

 
 
—

 
 
—

 
 
—

 
 
8,137

 
 
7,447

CMBS
 
12,284

 
 
13,097

 
 
—

 
 
—

 
 
11,892

 
 
12,699

 
 
149

 
 
164

 
 
243

 
 
234

Mortgage revenue bonds
 
7,782

 
 
7,842

 
 
46

 
 
48

 
 
309

 
 
319

 
 
647

 
 
657

 
 
6,780

 
 
6,818

Other mortgage-related securities
 
3,330

 
 
3,154

 
 
—

 
 
—

 
 
—

 
 
8

 
 
2

 
 
2

 
 
3,328

 
 
3,144

Total
 
$
61,766

 
 
$
63,181

 
 
$
48

 
 
$
50

 
 
$
12,367

 
 
$
13,201

 
 
$
2,616

 
 
$
2,758

 
 
$
46,735

 
 
$
47,172

Weighted average yield(1)
 
4.64
%
 
 
 
 
 
4.25
%
 
 
 
 
 
3.87
%
 
 
 
 
 
5.03
%
 
 
 
 
 
4.82
%
 
 
 
__________

(1) 
Yields are determined by dividing interest income (including amortization and accretion of premiums, discounts and other cost basis adjustments) by amortized cost balances as of year-end. Yields on tax exempt obligations have been computed on a tax equivalent basis.
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 December 31, 2012, 2011 and 2010.
 
As of December 31,
 
2012
 
2011
 
2010(1)
 
(Dollars in millions)
Net unrealized gains on available-for-sale securities for which we have not recorded OTTI, net of tax
$
1,399

 
 
$
1,152

 
 
$
304

Net unrealized losses on available-for-sale securities for which we have recorded OTTI, net of tax
(465
)
 
 
(1,953
)
 
 
(1,736
)
Prior service cost and actuarial gains, net of amortization for defined benefit plans, net of tax
(505
)
 
 
(389
)
 
 
(214
)
Other losses
(45
)
 
 
(45
)
 
 
(36
)
Accumulated other comprehensive income (loss)
$
384

 
 
$
(1,235
)
 
 
$
(1,682
)
__________

(1) 
Includes a net increase of $3.4 billion from the adoption of the consolidation accounting guidance.