XML 30 R11.htm IDEA: XBRL DOCUMENT v3.8.0.1
Investments in Securities
9 Months Ended
Sep. 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
 
September 30, 2017
 
December 31, 2016
 
(Dollars in millions)
 
Mortgage-related securities:
 
 
 
 
 
 
 
Fannie Mae
 
$
4,100

 
 
 
$
4,769

 
Other agency
 
1,428

 
 
 
2,058

 
Alt-A and subprime private-label securities
 
549

 
 
 
636

 
Commercial mortgage-backed securities (“CMBS”)
 
9

 
 
 
761

 
Mortgage revenue bonds
 
1

 
 
 
21

 
Total mortgage-related securities
 
6,087

 
 
 
8,245

 
U.S. Treasury securities
 
30,799

 
 
 
32,317

 
Total trading securities
 
$
36,886

 
 
 
$
40,562

 
The following table displays information about our net trading gains and losses.
 
For the Three
 
For the Nine
 
Months Ended
 
Months Ended
 
September 30,
 
September 30,
 
2017
 
2016
 
2017
 
2016
 
(Dollars in millions)
Net trading gains
$
59

 
$
38

 
$
145

 
$
88

Net trading gains (losses) recognized in the period related to securities still held at period end
51

 
1

 
125

 
(34
)
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 Months Ended
 
For the Nine Months Ended
 
September 30,
 
September 30,
 
2017
 
2016
 
2017
 
2016
 
(Dollars in millions)

Gross realized gains
$
30

 
$
400

 
$
260

 
$
845

Gross realized losses

 

 

 
12

Total proceeds (excludes initial sale of securities from new portfolio securitizations)
187

 
2,819

 
1,081

 
10,086

The following tables display the amortized cost, gross unrealized gains and losses, and fair value by major security type for AFS securities.
 
As of September 30, 2017
 
Total Amortized Cost(1)
 
Gross Unrealized Gains
 
Gross Unrealized Losses(2)
 
 
Total Fair Value
 
(Dollars in millions)
Fannie Mae
 
$
2,118

 
 
 
$
116

 
 
 
$
(26
)
 
 
 
$
2,208

Other agency
 
361

 
 
 
30

 
 
 

 
 
 
391

Alt-A and subprime private-label securities
 
1,155

 
 
 
879

 
 
 

 
 
 
2,034

CMBS
 
182

 
 
 

 
 
 

 
 
 
182

Mortgage revenue bonds
 
736

 
 
 
19

 
 
 
(6
)
 
 
 
749

Other mortgage-related securities
 
380

 
 
 
19

 
 
 

 
 
 
399

Total
 
$
4,932

 
 
 
$
1,063

 
 
 
$
(32
)
 
 
 
$
5,963

 
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 September 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
)
 
 
$
150

 
 
$
(24
)
 
 
$
430

Mortgage revenue bonds
 

 
 

 
 
(6
)
 
 
15

Total
 
$
(2
)
 
 
$
150

 
 
$
(30
)
 
 
$
445

 
 
 
 
 
 
 
 
 
 
 
 
 
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 $1.2 billion, $1.8 billion, $1.9 billion, $2.0 billion, $2.2 billion and $2.4 billion as of September 30, 2017, June 30, 2017, December 31, 2016, September 30, 2016, June 30, 2016 and December 31, 2015, respectively. The decreases for the three and nine months ended September 30, 2017 and September 30, 2016 were primarily driven by securities we intend to sell or that it is more likely than not we will be required to sell before recovery of our amortized cost basis.
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 September 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
 
$
2,118

 
 
$
2,208

 
 
$
4

 
 
$
4

 
 
$
11

 
 
$
11

 
 
$
64

 
 
$
68

 
 
$
2,039

 
 
$
2,125

Other agency
 
361

 
 
391

 
 

 
 

 
 
22

 
 
23

 
 
58

 
 
62

 
 
281

 
 
306

Alt-A and subprime private-label securities
 
1,155

 
 
2,034

 
 

 
 

 
 

 
 

 
 

 
 

 
 
1,155

 
 
2,034

CMBS
 
182

 
 
182

 
 
182

 
 
182

 
 

 
 

 
 

 
 

 
 

 
 

Mortgage revenue bonds
 
736

 
 
749

 
 
14

 
 
14

 
 
66

 
 
66

 
 
103

 
 
105

 
 
553

 
 
564

Other mortgage-related securities
 
380

 
 
399

 
 

 
 

 
 

 
 

 
 
10

 
 
11

 
 
370

 
 
388

Total
 
$
4,932

 
 
$
5,963

 
 
$
200

 
 
$
200

 
 
$
99

 
 
$
100

 
 
$
235

 
 
$
246

 
 
$
4,398

 
 
$
5,417