XML 30 R11.htm IDEA: XBRL DOCUMENT v3.7.0.1
Investments in Securities
 6 Months Ended
Jun. 30, 2017
Investments, Debt and Equity Securities [Abstract]  
Investments in Securities
Investments in Securities
Trading Securities
Trading securities are recorded at fair value with subsequent changes in fair value recorded as “Fair value losses, net” in our condensed consolidated statements of operations and comprehensive income. The following table displays our investments in trading securities.
 
As of
 
June 30, 2017
 
December 31, 2016
 
(Dollars in millions)
 
Mortgage-related securities:
 
 
 
 
 
 
 
Fannie Mae
 
$
4,277

 
 
 
$
4,769

 
Other agency
 
1,969

 
 
 
2,058

 
Alt-A and subprime private-label securities
 
593

 
 
 
636

 
Commercial mortgage-backed securities (“CMBS”)
 
16

 
 
 
761

 
Mortgage revenue bonds
 
1

 
 
 
21

 
Total mortgage-related securities
 
6,856

 
 
 
8,245

 
U.S. Treasury securities
 
32,418

 
 
 
32,317

 
Total trading securities
 
$
39,274

 
 
 
$
40,562

 
Available-for-Sale Securities
We record available-for-sale (“AFS”) securities at fair value with unrealized gains and losses, recorded net of tax, as a component of “Other comprehensive income (loss)” and we recognize realized gains and losses from the sale of AFS securities in “Investment gains, net” in our condensed consolidated statements of operations and comprehensive income.
The following table displays the gross realized gains, losses and proceeds on sales of AFS securities.
 
For the Three
 
For the Six
 
Months Ended
 
Months Ended
 
June 30,
 
June 30,
 
2017
 
2016
 
2017
 
2016
 
(Dollars in millions)

Gross realized gains
$
227

 
$
234

 
$
230

 
$
445

Gross realized losses
—

 
8

 
—

 
12

Total proceeds (excludes initial sale of securities from new portfolio securitizations)
799

 
3,645

 
894

 
7,267

The following tables display the amortized cost, gross unrealized gains and losses, and fair value by major security type for AFS securities.
 
As of June 30, 2017
 
Total Amortized Cost(1)
 
Gross Unrealized Gains
 
Gross Unrealized Losses(2)
 
 
Total Fair Value
 
(Dollars in millions)
Fannie Mae
 
$
2,173

 
 
 
$
124

 
 
 
$
(25
)
 
 
 
$
2,272

Other agency
 
399

 
 
 
33

 
 
 
—

 
 
 
432

Alt-A and subprime private-label securities
 
1,335

 
 
 
828

 
 
 
(1
)
 
 
 
2,162

CMBS
 
259

 
 
 
—

 
 
 
—

 
 
 
259

Mortgage revenue bonds
 
858

 
 
 
21

 
 
 
(6
)
 
 
 
873

Other mortgage-related securities
 
395

 
 
 
15

 
 
 
—

 
 
 
410

Total
 
$
5,419

 
 
 
$
1,021

 
 
 
$
(32
)
 
 
 
$
6,408

 
As of December 31, 2016
 
Total Amortized Cost(1)
 
Gross Unrealized Gains
 
Gross Unrealized Losses(2)
 
 
Total Fair Value
 
(Dollars in millions)
Fannie Mae
 
$
2,445

 
 
 
$
137

 
 
 
$
(28
)
 
 
 
$
2,554

Other agency
 
508

 
 
 
39

 
 
 
—

 
 
 
547

Alt-A and subprime private-label securities
 
1,817

 
 
 
895

 
 
 
(3
)
 
 
 
2,709

CMBS
 
815

 
 
 
4

 
 
 
—

 
 
 
819

Mortgage revenue bonds
 
1,245

 
 
 
36

 
 
 
(9
)
 
 
 
1,272

Other mortgage-related securities
 
431

 
 
 
31

 
 
 
—

 
 
 
462

Total
 
$
7,261

 
 
 
$
1,142

 
 
 
$
(40
)
 
 
 
$
8,363

__________
(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 “Investment gains, net” in our condensed consolidated statements of operations and comprehensive income.
(2) 
Represents the gross unrealized losses on securities for which we have not recognized OTTI, as well as the noncredit component of OTTI and cumulative changes in fair value of securities for which we previously recognized the credit component of OTTI in “Accumulated other comprehensive income ” in our condensed consolidated balance sheets.
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.
 
As of June 30, 2017
 
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
 
$
(2
)
 
 
$
194

 
 
$
(23
)
 
 
$
443

Alt-A and subprime private-label securities
 
—

 
 
—

 
 
(1
)
 
 
64

Mortgage revenue bonds
 
—

 
 
—

 
 
(6
)
 
 
17

Total
 
$
(2
)
 
 
$
194

 
 
$
(30
)
 
 
$
524

 
 
 
 
 
 
 
 
 
 
 
 
 
As of December 31, 2016
 
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
 
$
(2
)
 
 
$
139

 
 
$
(26
)
 
 
$
477

Alt-A and subprime private-label securities
 
—

 
 
—

 
 
(3
)
 
 
73

Mortgage revenue bonds
 
(7
)
 
 
78

 
 
(2
)
 
 
6

Total
 
$
(9
)
 
 
$
217

 
 
$
(31
)
 
 
$
556

Other-Than-Temporary Impairments
The balance of the unrealized credit loss component of AFS debt securities held by us and recognized in our condensed consolidated statements of operations and comprehensive income was $1.8 billion, $1.8 billion and $1.9 billion as of June 30, 2017, March 31, 2017 and December 31, 2016, respectively. The decrease in the six months ended June 30, 2017 was primarily driven by securities no longer held in portfolio at period end.
The balance of the unrealized credit loss component of AFS debt securities held by us and recognized in our condensed consolidated statements of operations and comprehensive income was $2.2 billion, $2.3 billion and $2.4 billion as of June 30, 2016, March 31, 2016 and December 31, 2015, respectively. The decrease in the three months ended June 30, 2016 was primarily driven by changes in cash flows expected to be collected over the remaining life of the securities. The decrease in the six months ended June 30, 2016 was primarily driven by securities no longer held in portfolio at period end.
Maturity Information
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. 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 June 30, 2017
 
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
 
$
2,173

 
 
$
2,272

 
 
$
2

 
 
$
2

 
 
$
13

 
 
$
14

 
 
$
64

 
 
$
68

 
 
$
2,094

 
 
$
2,188

Other agency
 
399

 
 
432

 
 
1

 
 
1

 
 
26

 
 
26

 
 
62

 
 
66

 
 
310

 
 
339

Alt-A and subprime private-label securities
 
1,335

 
 
2,162

 
 
—

 
 
—

 
 
—

 
 
—

 
 
—

 
 
—

 
 
1,335

 
 
2,162

CMBS
 
259

 
 
259

 
 
259

 
 
259

 
 
—

 
 
—

 
 
—

 
 
—

 
 
—

 
 
—

Mortgage revenue bonds
 
858

 
 
873

 
 
10

 
 
10

 
 
75

 
 
75

 
 
112

 
 
114

 
 
661

 
 
674

Other mortgage-related securities
 
395

 
 
410

 
 
—

 
 
—

 
 
—

 
 
—

 
 
3

 
 
3

 
 
392

 
 
407

Total
 
$
5,419

 
 
$
6,408

 
 
$
272

 
 
$
272

 
 
$
114

 
 
$
115

 
 
$
241

 
 
$
251

 
 
$
4,792

 
 
$
5,770