XML 83 R45.htm IDEA: XBRL DOCUMENT v2.4.0.8
Investments in Securities (Tables)
12 Months Ended
Dec. 31, 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 December 31, 2013 and 2012.
 
As of December 31,
 
2013
 
2012
 
(Dollars in millions)
Mortgage-related securities:
 
 
 
Fannie Mae
$
5,870

 
$
6,248

Freddie Mac
1,839

 
2,793

Ginnie Mae
407

 
437

Alt-A private-label securities
1,516

 
1,330

Subprime private-label securities
1,448

 
1,319

CMBS
2,718

 
9,826

Mortgage revenue bonds
565

 
675

Other mortgage-related securities
99

 
117

Total mortgage-related securities
14,462

 
22,745

U.S. Treasury securities
16,306

 
17,950

Total trading securities
$
30,768

 
$
40,695

Schedule of Trading Securities Gains (Losses), Net [Table Text Block]
The following table displays information about our net trading gains for the years ended December 31, 2013, 2012 and 2011.
 
For the Year Ended
 
December 31,
 
2013
 
2012
 
2011
 
 
(Dollars in millions)
Net trading gains
 
$
260

 
 
$
1,004

 
 
$
266

Net trading gains recorded in the period related to securities still held at period end
 
297

 
 
1,037

 
 
267

Schedule of Available-for-sale Securities 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, 2013, 2012 and 2011.
 
For the Year Ended
 
December 31,
 
2013
 
2012
 
2011
 
(Dollars in millions)
Gross realized gains
$
1,632

 
$
40

 
$
182

Gross realized losses
979

 
16

 
90

Total proceeds (1)
15,157

 
634

 
2,152

__________
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, 2013 and 2012.
 
 
As of December 31, 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
 
$
6,227

 
 
 
$
390

 
 
 
$

 
 
 
$
(44
)
 
 
$
6,573

Freddie Mac
 
6,365

 
 
 
477

 
 
 

 
 
 

 
 
6,842

Ginnie Mae
 
512

 
 
 
76

 
 
 

 
 
 

 
 
588

Alt-A private-label securities
 
6,240

 
 
 
1,151

 
 
 
(40
)
 
 
 
(2
)
 
 
7,349

Subprime private-label securities
 
6,232

 
 
 
991

 
 
 
(102
)
 
 
 
(53
)
 
 
7,068

CMBS
 
1,526

 
 
 
80

 
 
 

 
 
 

 
 
1,606

Mortgage revenue bonds
 
5,645

 
 
 
35

 
 
 
(228
)
 
 
 
(196
)
 
 
5,256

Other mortgage-related securities
 
2,943

 
 
 
164

 
 
 
(15
)
 
 
 
(203
)
 
 
2,889

Total
 
$
35,690

 
 
 
$
3,364

 
 
 
$
(385
)
 
 
 
$
(498
)
 
 
$
38,171

.

 
 
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
 
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

__________
s

(1) 
Amortized cost consists of unpaid principal balance, unamortized premiums, discounts and other cost basis adjustments as well as net 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” 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.
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, 2013 and 2012.
 
 
As of December 31, 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
 
$
(40
)
 
 
$
975

 
 
$
(4
)
 
 
$
126

Alt-A private-label securities
 
(12
)
 
 
490

 
 
(30
)
 
 
308

Subprime private-label securities
 
(24
)
 
 
448

 
 
(131
)
 
 
1,332

Mortgage revenue bonds
 
(147
)
 
 
1,662

 
 
(277
)
 
 
970

Other mortgage-related securities
 

 
 
5

 
 
(218
)
 
 
1,066

Total
 
$
(223
)
 
 
$
3,580

 
 
$
(660
)
 
 
$
3,802

 
 
 
 
 
 
 
 
 
 
 
 
 
 
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 consolidated statements of operations and comprehensive income (loss) for the years ended December 31, 2013, 2012 and 2011. Net other-than-temporary impairments include credit losses on debt securities we do not intend to sell and the excess of amortized cost over the fair value of debt securities we intend to sell.
 
For the Year Ended
 
December 31,
 
2013
 
2012
 
2011
 
 
(Dollars in millions)
Alt-A private-label securities
 
$
34

 
 
 
$
365

 
 
$
563

 
Subprime private-label securities
 
5

 
 
 
329

 
 
(303
)
 
Other
 
25

 
 
 
19

 
 
48

 
Net other-than-temporary impairments(1)
 
$
64

 
 
 
$
713

 
 
$
308

 
__________

(1) 
Includes $34 million of other-than-temporary impairments recognized in earnings for the year ended December 31, 2013, related to our intent to sell the related securities before recovery of their amortized cost basis.
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block]
The following table displays activity related to the unrealized credit loss 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, 2013 and 2012. A related unrealized noncredit loss component of $118 million for the year ended December 31, 2013, related unrealized noncredit gain component of $402 million for the year ended December 31, 2012 and a related unrealized noncredit loss component of $306 million for the year ended December 31, 2011, was recognized in “Other comprehensive income.”
  
For the Year Ended
  
December 31,
  
2013
 
2012
  
(Dollars in millions)
Balance, beginning of period
$
9,214

 
$
8,915

Additions for the credit component on debt securities for which OTTI was not previously recognized
20

 
15

Additions for the credit component on debt securities for which OTTI was previously recognized
10

 
698

Reductions for securities no longer in portfolio at period end
(543
)
 
(5
)
Reductions for securities which we intend to sell or it is more likely than not that we will be required to sell before recovery of amortized cost basis
(399
)
 

Reductions for amortization resulting from changes in cash flows expected to be collected over the remaining life of the securities
(398
)
 
(409
)
Balance, end of period
$
7,904

 
$
9,214

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 were used to determine as of December 31, 2013 whether our senior interests in certain non-agency mortgage-related securities (including those we intend to sell) will experience a cash shortfall. An estimate of voluntary prepayment rates is also an input to the present value of expected losses.
 
As of December 31, 2013
 
 
 
Alt-A
 
Subprime
 
Option ARM
 
Fixed Rate
 
Variable Rate
 
Hybrid Rate
 
(Dollars in millions)
 
Vintage Year
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2004 & Prior:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
442

 
 
$
209

 
 
 
$
999

 
 
 
$
170

 
 
 
$
569

 
Weighted average collateral default(1)
31.0
%
 
 
24.8
%
 
 
 
11.0
%
 
 
 
21.0
%
 
 
 
15.3
%
 
Weighted average collateral severities(2)
55.4

 
 
52.1

 
 
 
50.9

 
 
 
40.5

 
 
 
36.4

 
Weighted average voluntary prepayment rates(3)
7.0

 
 
8.1

 
 
 
11.1

 
 
 
8.2

 
 
 
8.5

 
Average credit enhancement(4)
46.8

 
 
4.9

 
 
 
11.3

 
 
 
20.8

 
 
 
6.6

 
2005:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
47

 
 
$
811

 
 
 
$
880

 
 
 
$
415

 
 
 
$
1,412

 
Weighted average collateral default(1)
52.8
%
 
 
36.9
%
 
 
 
25.1
%
 
 
 
36.8
%
 
 
 
29.5
%
 
Weighted average collateral severities(2)
60.9

 
 
55.7

 
 
 
54.4

 
 
 
47.4

 
 
 
44.7

 
Weighted average voluntary prepayment rates(3)
2.7

 
 
6.9

 
 
 
9.1

 
 
 
7.6

 
 
 
8.3

 
Average credit enhancement(4)
48.5

 
 
8.0

 
 
 
0.7

 
 
 
12.3

 
 
 
2.9

 
2006:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
9,439

 
 
$
831

 
 
 
$
414

 
 
 
$
1,140

 
 
 
$
1,251

 
Weighted average collateral default(1)
56.7
%
 
 
46.5
%
 
 
 
27.0
%
 
 
 
40.8
%
 
 
 
20.6
%
 
Weighted average collateral severities(2)
62.8

 
 
49.9

 
 
 
56.2

 
 
 
48.8

 
 
 
43.7

 
Weighted average voluntary prepayment rates(3)
2.3

 
 
5.3

 
 
 
7.5

 
 
 
7.0

 
 
 
9.0

 
Average credit enhancement(4)
10.1

 
 
4.7

 
 
 
0.1

 
 
 
0.6

 
 
 

 
2007 & After:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
475

 
 
$

 
 
 
$

 
 
 
$

 
 
 
$
88

 
Weighted average collateral default(1)
52.4
%
 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
24.3
%
 
Weighted average collateral severities(2)
40.8

 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
43.5

 
Weighted average voluntary prepayment rates(3)
1.6

 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
7.6

 
Average credit enhancement(4)
23.3

 
 
N/A

 
 
 
N/A

 
 
 
N/A

 
 
 
20.5

 
Total:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid principal balance
$
10,403

 
 
$
1,851

 
 
 
$
2,293

 
 
 
$
1,725

 
 
 
$
3,320

 
Weighted average collateral default(1)
55.4
%
 
 
39.8
%
 
 
 
19.3
%
 
 
 
37.9
%
 
 
 
23.6
%
 
Weighted average collateral severities(2)
61.7

 
 
52.4

 
 
 
54.0

 
 
 
48.1

 
 
 
43.4

 
Weighted average voluntary prepayment rates(3)
2.4

 
 
6.3

 
 
 
9.7

 
 
 
7.2

 
 
 
8.6

 
Average credit enhancement(4)
12.4

 
 
6.2

 
 
 
5.2

 
 
 
5.4

 
 
 
2.9

 
__________

(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 contractual maturity, assuming no principal prepayments, as of December 31, 2013. The 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, 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
 
$
6,227

 
 
$
6,573

 
 
$

 
 
$

 
 
$
322

 
 
$
341

 
 
$
376

 
 
$
404

 
 
$
5,529

 
 
$
5,828

Freddie Mac
 
6,365

 
 
6,842

 
 

 
 

 
 
327

 
 
349

 
 
674

 
 
729

 
 
5,364

 
 
5,764

Ginnie Mae
 
512

 
 
588

 
 

 
 

 
 
1

 
 
1

 
 
33

 
 
38

 
 
478

 
 
549

Alt-A private-label securities
 
6,240

 
 
7,349

 
 

 
 

 
 
1

 
 
1

 
 

 
 

 
 
6,239

 
 
7,348

Subprime private-label securities
 
6,232

 
 
7,068

 
 

 
 

 
 

 
 

 
 

 
 

 
 
6,232

 
 
7,068

CMBS
 
1,526

 
 
1,606

 
 

 
 

 
 
1,435

 
 
1,513

 
 

 
 

 
 
91

 
 
93

Mortgage revenue bonds
 
5,645

 
 
5,256

 
 
40

 
 
42

 
 
260

 
 
264

 
 
584

 
 
586

 
 
4,761

 
 
4,364

Other mortgage-related securities
 
2,943

 
 
2,889

 
 

 
 

 
 

 
 
4

 
 
40

 
 
41

 
 
2,903

 
 
2,844

Total
 
$
35,690

 
 
$
38,171

 
 
$
40

 
 
$
42

 
 
$
2,346

 
 
$
2,473

 
 
$
1,707

 
 
$
1,798

 
 
$
31,597

 
 
$
33,858

Weighted average yield(1)
 
5.42
%
 
 
 
 
 
5.88
%
 
 
 
 
 
4.58
%
 
 
 
 
 
5.94
%
 
 
 
 
 
5.45
%
 
 
 
__________

(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.