Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2015

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, 2015										As of December 31, 2014
	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	$	7,557	$	42		$	151,810	$	(9,251	)	$	41,965	$	733		$	123,557	$	(7,125	)
Receive-fixed	157,472		4,434			44,981		(145		)	67,629		4,486			157,272		(1,302		)
Basis	764		148			10,600		(2		)	5,769		123			7,100		(2		)
Foreign currency	302		116			265		(46		)	344		144			273		(30		)
Swaptions:
Pay-fixed	6,300		43			13,950		(24		)	11,100		57			26,525		(175		)
Receive-fixed	—		—			14,200		(283		)	750		96			29,525		(816		)
Other(1)	3,956		25			1,993		(1		)	1,071		28			12		(1		)
Total gross risk management derivatives	176,351		4,808			237,799		(9,752		)	128,628		5,667			344,264		(9,451		)
Accrued interest receivable (payable)	—		835			—		(1,220		)	—		749			—		(1,013		)
Netting adjustment(2)	—		(4,417		)	—		10,635			—		(5,186		)	—		10,194
Total net risk management derivatives	$	176,351	$	1,226		$	237,799	$	(337	)	$	128,628	$	1,230		$	344,264	$	(270	)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans	$	9,595	$	57		$	28	$	—		$	6,157	$	28		$	428	$	—
Forward contracts to purchase mortgage-related securities	57,746		326			2,245		(4		)	43,533		223			6,112		(8		)
Forward contracts to sell mortgage-related securities	1,623		1			87,416		(563		)	4,886		4			57,910		(336		)
Total mortgage commitment derivatives	$	68,964	$	384		$	89,689	$	(567	)	$	54,576	$	255		$	64,450	$	(344	)
Derivatives at fair value	$	245,315	$	1,610		$	327,488	$	(904	)	$	183,204	$	1,485		$	408,714	$	(614	)

__________

⁽¹⁾  Includes futures and swap credit enhancements, as well as credit risk transfer transactions and mortgage insurance contracts that we account for as derivatives.

⁽²⁾  The netting adjustment represents the effect of the legal right to offset under legally enforceable master netting arrangements to settle with the same counterparty on a net basis, including cash collateral posted and received. Cash collateral posted was $6.5 billion and $5.3 billion as of September 30, 2015 and December 31, 2014, respectively. Cash collateral received was $256 million and $245 million as of September 30, 2015 and December 31, 2014, respectively.

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 Months Ended						For the Nine Months Ended
	Ended September 30,						Ended September 30,
	2015			2014			2015			2014
	(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed	$	(4,402	)	$	712		$	(3,120	)	$	(3,755	)
Receive-fixed	2,295			(822		)	2,236			2,282
Basis	37			6			25			49
Foreign currency	(20		)	(17		)	(33		)	21
Swaptions:
Pay-fixed	32			(53		)	137			(90		)
Receive-fixed	(102		)	82			(181		)	(19		)
Other	22			(1		)	20			(1		)
Accrual of periodic settlements:
Pay-fixed interest-rate swaps	(895		)	(939		)	(2,730		)	(2,755		)
Receive-fixed interest-rate swaps	620			613			2,007			1,946
Other	9			12			29			39
Total risk management derivatives fair value losses, net	$	(2,404	)	$	(407	)	$	(1,610	)	$	(2,283	)
Mortgage commitment derivatives fair value losses, net	(361		)	(73		)	(427		)	(728		)
Total derivatives fair value losses, net	$	(2,765	)	$	(480	)	$	(2,037	)	$	(3,011	)