XML 54 R38.htm IDEA: XBRL DOCUMENT v2.4.0.8
Investments in Securities (Tables)
 6 Months Ended
Jun. 30, 2013
Investments, Debt and Equity Securities [Abstract]  
Investments In Trading Securities [Table Text Block]
The following table displays our investments in trading securities as of June 30, 2013 and December 31, 2012.
 
As of
 
June 30, 2013
 
December 31, 2012
 
(Dollars in millions)
Mortgage-related securities:
 
 
 
 
 
 
 
Fannie Mae
 
$
6,198

 
 
 
$
6,248

 
Freddie Mac
 
2,847

 
 
 
2,793

 
Ginnie Mae
 
353

 
 
 
437

 
Alt-A private-label securities
 
1,481

 
 
 
1,330

 
Subprime private-label securities
 
1,488

 
 
 
1,319

 
CMBS
 
8,633

 
 
 
9,826

 
Mortgage revenue bonds
 
603

 
 
 
675

 
Other mortgage-related securities
 
109

 
 
 
117

 
Total mortgage-related securities
 
21,712

 
 
 
22,745

 
U.S. Treasury securities
 
18,477

 
 
 
17,950

 
Total trading securities
 
$
40,189

 
 
 
$
40,695

 
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, 2013 and 2012.
 
For the Three
 
For the Six
 
Months Ended
 
Months Ended
 
June 30,
 
June 30,
 
2013
 
2012
 
2013
 
2012
 
 
(Dollars in millions)
Net trading (losses) gains
 
$
(228
)
 
 
$
(14
)
 
 
$
168

 
 
$
270

 
Net trading (losses) gains recorded in the period related to securities still held at period end
 
$
(273
)
 
 
$
(2
)
 
 
$
125

 
 
$
326

 
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, 2013 and 2012.
 
For the Three
 
For the Six
 
Months Ended
 
Months Ended
 
June 30,
 
June 30,
 
2013
 
2012
 
2013
 
2012
 
(Dollars in millions)
Gross realized gains
$
173

 
$
9

 
$
182

 
$
27

Gross realized losses
53

 
1

 
57

 
10

Total proceeds(1)
1,676

 
132

 
1,770

 
400

__________
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 June 30, 2013 and December 31, 2012.

 
As of June 30, 2013

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
 
$
7,606

 
 
 
$
515

 
 
 
$
—

 
 
 
$
(26
)
 
 
$
8,095

Freddie Mac
 
7,322

 
 
 
556

 
 
 
—

 
 
 
—

 
 
7,878

Ginnie Mae
 
577

 
 
 
91

 
 
 
—

 
 
 
—

 
 
668

Alt-A private-label securities
 
10,284

 
 
 
1,071

 
 
 
(172
)
 
 
 
(56
)
 
 
11,127

Subprime private-label securities
 
7,641

 
 
 
630

 
 
 
(265
)
 
 
 
(144
)
 
 
7,862

CMBS(4)
 
9,905

 
 
 
540

 
 
 
—

 
 
 
—

 
 
10,445

Mortgage revenue bonds
 
6,627

 
 
 
68

 
 
 
(170
)
 
 
 
(121
)
 
 
6,404

Other mortgage-related securities
 
3,135

 
 
 
150

 
 
 
(21
)
 
 
 
(207
)
 
 
3,057

Total
 
$
53,097

 
 
 
$
3,621

 
 
 
$
(628
)
 
 
 
$
(554
)
 
 
$
55,536


 
 
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

__________
(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 condensed consolidated statements of operations and comprehensive income.
(2) 
Represents the noncredit component of other-than-temporary impairments losses recorded in “Accumulated other comprehensive income” 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 an other-than-temporary impairment.
(4) 
Amortized cost includes $378 million and $527 million as of June 30, 2013 and December 31, 2012, 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 June 30, 2013 and December 31, 2012.
 
 
As of June 30, 2013
 
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
 
$
(20
)
 
 
$
884

 
 
$
(6
)
 
 
$
146

Alt-A private-label securities
 
(50
)
 
 
2,254

 
 
(178
)
 
 
1,671

Subprime private-label securities
 
(49
)
 
 
671

 
 
(360
)
 
 
3,002

Mortgage revenue bonds
 
(66
)
 
 
880

 
 
(225
)
 
 
1,030

Other mortgage-related securities
 
(1
)
 
 
41

 
 
(227
)
 
 
1,252

Total
 
$
(186
)
 
 
$
4,730

 
 
$
(996
)
 
 
$
7,101

 
 
 
 
 
 
 
 
 
 
 
 
 
 
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
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 for the three and six months ended June 30, 2013 and 2012.
 
For the Three Months Ended
 
For the Six Months Ended
 
June 30,
 
June 30,
 
2013
 
2012
 
2013
 
2012
 
 
 
(Dollars in millions)
 
Alt-A private-label securities
 
$
2

 
 
 
$
312

 
$
6

 
 
 
$
355

 
Subprime private-label securities
 
—

 
 
 
284

 
3

 
 
 
303

 
Other
 
4

 
 
 
3

 
6

 
 
 
5

 
Net other-than-temporary impairments
 
$
6

 
 
 
$
599

 
$
15

 
 
 
$
663

 
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 for the three and six months ended June 30, 2013 and 2012. A related unrealized noncredit loss component of $85 million and $118 million for the three and six months ended June 30, 2013, respectively, and related unrealized noncredit gain component of $403 million and $387 million for the three and six months ended June 30, 2012, respectively, was recognized in “Other comprehensive income.”
  
For the Three Months Ended
 
For the Six Months Ended
  
June 30,
 
June 30,
  
2013
 
2012
 
2013
 
2012
  
(Dollars in millions)
Balance, beginning of period
$
9,136

 
$
8,870

 
$
9,214

 
$
8,915

Additions for the credit component on debt securities for which OTTI was not previously recognized
2

 
2

 
7

 
2

Additions for the credit component on debt securities for which OTTI was previously recognized
4

 
597

 
8

 
661

Reductions for securities no longer in portfolio at period end
(81
)
 
(2
)
 
(83
)
 
(2
)
Reductions for amortization resulting from changes in cash flows expected to be collected over the remaining life of the securities
(97
)
 
(101
)
 
(182
)
 
(210
)
Balance, end of period
$
8,964

 
$
9,366

 
$
8,964

 
$
9,366
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 as of June 30, 2013 whether our senior interests in certain non-agency mortgage-related securities will experience a cash shortfall. An estimate of voluntary prepayment rates is also an input to the present value of expected losses.
 
As of June 30, 2013
 
 
 
Alt-A
 
Subprime
 
Option ARM
 
Fixed Rate
 
Variable Rate
 
Hybrid Rate
 
(Dollars in millions)
 
Vintage Year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2004 & Prior:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
1,300

 
 
$
415

 
 
 
$
2,550

 
 
 
$
406

 
 
 
$
1,813

 
Weighted-average collateral default(1)
37.3
%
 
 
32.4
%
 
 
 
12.7
%
 
 
 
22.1
%
 
 
 
13.8
%
 
Weighted-average collateral severities(2)
65.4

 
 
57.0

 
 
 
50.7

 
 
 
49.2

 
 
 
44.1

 
Weighted-average voluntary prepayment rates(3)
8.0

 
 
6.3

 
 
 
9.9

 
 
 
7.0

 
 
 
8.7

 
Average credit enhancement(4)
52.0

 
 
9.1

 
 
 
12.2

 
 
 
23.7

 
 
 
8.9

 
2005:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
117

 
 
$
1,108

 
 
 
$
940

 
 
 
$
436

 
 
 
$
1,924

 
Weighted-average collateral default(1)
62.9
%
 
 
44.4
%
 
 
 
33.3
%
 
 
 
39.2
%
 
 
 
27.2
%
 
Weighted-average collateral severities(2)
68.1

 
 
61.8

 
 
 
58.6

 
 
 
57.3

 
 
 
49.8

 
Weighted-average voluntary prepayment rates(3)
3.6

 
 
5.2

 
 
 
6.8

 
 
 
6.0

 
 
 
6.6

 
Average credit enhancement(4)
65.3

 
 
14.3

 
 
 
0.7

 
 
 
11.6

 
 
 
3.7

 
2006:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
10,090

 
 
$
916

 
 
 
$
437

 
 
 
$
1,314

 
 
 
$
1,336

 
Weighted-average collateral default(1)
64.9
%
 
 
56.8
%
 
 
 
35.0
%
 
 
 
44.1
%
 
 
 
23.1
%
 
Weighted-average collateral severities(2)
69.8

 
 
60.8

 
 
 
61.5

 
 
 
57.3

 
 
 
50.0

 
Weighted-average voluntary prepayment rates(3)
3.0

 
 
4.2

 
 
 
5.5

 
 
 
4.8

 
 
 
6.8

 
Average credit enhancement(4)
11.2

 
 
6.8

 
 
 
0.1

 
 
 
0.6

 
 
 
—

 
2007 & After:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
559

 
 
$
—

 
 
 
$
—

 
 
 
$
—

 
 
 
$
94

 
Weighted-average collateral default(1)
62.7
%
 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
32.9
%
 
Weighted-average collateral severities(2)
60.1

 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
50.3

 
Weighted-average voluntary prepayment rates(3)
2.6

 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
6.5

 
Average credit enhancement(4)
25.7

 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
20.7

 
Total:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
12,066

 
 
$
2,439

 
 
 
$
3,927

 
 
 
$
2,156

 
 
 
$
5,167

 
Weighted-average collateral default(1)
61.8
%
 
 
47.0
%
 
 
 
20.1
%
 
 
 
39.0
%
 
 
 
21.6
%
 
Weighted-average collateral severities(2)
68.9

 
 
60.6

 
 
 
53.8

 
 
 
55.8

 
 
 
47.8

 
Weighted-average voluntary prepayment rates(3)
3.5

 
 
5.0

 
 
 
8.7

 
 
 
5.5

 
 
 
7.4

 
Average credit enhancement(4)
16.8

 
 
10.6

 
 
 
8.1

 
 
 
7.2

 
 
 
4.9

 
__________

(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, 2013. 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, 2013
 
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
 
$
7,606

 
 
$
8,095

 
 
$
—

 
 
$
—

 
 
$
256

 
 
$
271

 
 
$
531

 
 
$
567

 
 
$
6,819

 
 
$
7,257

Freddie Mac
 
7,322

 
 
7,878

 
 
—

 
 
—

 
 
93

 
 
98

 
 
827

 
 
884

 
 
6,402

 
 
6,896

Ginnie Mae
 
577

 
 
668

 
 
—

 
 
—

 
 
1

 
 
1

 
 
13

 
 
15

 
 
563

 
 
652

Alt-A private-label securities
 
10,284

 
 
11,127

 
 
—

 
 
—

 
 
28

 
 
28

 
 
125

 
 
127

 
 
10,131

 
 
10,972

Subprime private-label securities
 
7,641

 
 
7,862

 
 
—

 
 
—

 
 
—

 
 
—

 
 
—

 
 
—

 
 
7,641

 
 
7,862

CMBS
 
9,905

 
 
10,445

 
 
—

 
 
—

 
 
9,792

 
 
10,330

 
 
—

 
 
—

 
 
113

 
 
115

Mortgage revenue bonds
 
6,627

 
 
6,404

 
 
34

 
 
35

 
 
262

 
 
268

 
 
595

 
 
598

 
 
5,736

 
 
5,503

Other mortgage-related securities
 
3,135

 
 
3,057

 
 
—

 
 
—

 
 
—

 
 
5

 
 
41

 
 
44

 
 
3,094

 
 
3,008

Total
 
$
53,097

 
 
$
55,536

 
 
$
34

 
 
$
35

 
 
$
10,432

 
 
$
11,001

 
 
$
2,132

 
 
$
2,235

 
 
$
40,499

 
 
$
42,265
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block]
The following table displays our accumulated other comprehensive income by major categories as of June 30, 2013 and December 31, 2012.
 
As of
 
June 30,
 
December 31,
 
2013
 
2012
 
(Dollars in millions)
Net unrealized gains on available-for-sale securities for which we have not recorded OTTI, net of tax
 
$
821

 
 
 
$
1,399

 
Net unrealized gains (losses) on available-for-sale securities for which we have recorded OTTI, net of tax
 
778

 
 
 
(465
)
 
Prior service cost and actuarial losses, net of amortization for defined benefit plans, net of tax
 
(366
)
 
 
 
(505
)
 
Other losses
 
(29
)
 
 
 
(45
)
 
Accumulated other comprehensive income
 
$
1,204

 
 
 
$
384

 
The table below displays changes in accumulated other comprehensive income, net of tax, for the three and six months ended June 30, 2013.
 
For the Three Months Ended June 30, 2013
 
For the Six Months Ended June 30, 2013
 
 Available-for-Sale Securities(1)
 
Other(2)
 
Total
 
 Available-for-Sale Securities(1)
 
Other(2)
 
Total
 
(Dollars in millions)
Beginning balance
 
$
1,582
 
 
 
$
(544
)
 
 
 
$
1,038

 
 
 
$
934
 
 
 
$
(550
)
 
 
 
$
384

 
Other comprehensive income before reclassifications
 
88
 
 
 
145

 
 
 
233

 
 
 
735
 
 
 
145

 
 
 
880

 
Amounts reclassified from other comprehensive income
 
(71
)
 
 
4

 
 
 
(67
)
 
 
 
(70
)
 
 
10

 
 
 
(60
)
 
Net other comprehensive income
 
17
 
 
 
149

 
 
 
166

 
 
 
665
 
 
 
155

 
 
 
820

 
Ending balance
 
$
1,599
 
 
 
$
(395
)
 
 
 
$
1,204

 
 
 
$
1,599
 
 
 
$
(395
)
 
 
 
$
1,204

 
__________
(1) 
The amounts reclassified from AOCI represent the gain or loss recognized in earnings due to a sale of an available-for-sale security or the recognition of a net impairment recognized in earnings.
(2) 
Primarily represents activity from our defined benefit pension plan