Investments in Securities

6 Months Ended

Jun. 30, 2018

Investments, Debt and Equity Securities [Abstract]

Trading Securities

Trading securities are recorded at fair value with subsequent changes in fair value recorded as “Fair value gains (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, 2018			December 31, 2017
	(Dollars in millions)
Mortgage-related securities:
Fannie Mae⁽¹⁾		$	1,696		$	3,876
Other agency		3,494			1,118
Alt-A and subprime private-label securities⁽¹⁾		1,430			453
Commercial mortgage-backed securities (“CMBS”)		—			9
Mortgage revenue bonds		1			1
Total mortgage-related securities		6,621			5,457
Non-mortgage-related securities:
U.S. Treasury securities		35,663			29,222
Other securities		97			—
Total non-mortgage-related securities		35,760			29,222
Total trading securities		$	42,381		$	34,679

__________


⁽¹⁾	The increase in Alt-A and subprime private-label securities and the corresponding decrease in Fannie Mae securities from December 31, 2017 to June 30, 2018 was due to the dissolution of a Fannie Mae-wrapped private-label securities trust in the first quarter of 2018.

The following table displays information about our net trading gains (losses).



	For the Three Months Ended June 30,					For the Six Months Ended June 30,
	For the Three Months Ended June 30,					For the Six Months Ended June 30,
	2018		2017			2018		2017
	(Dollars in millions)
Net trading gains	$	21	$	18		$	119	$	86
Net trading gains (losses) recognized in the period related to securities still held at period end	1		(7		)	48		71

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 and proceeds on sales of AFS securities.



	For the Three Months				For the Six Months
	Ended June 30,				Ended June 30,
	2018		2017		2018		2017
	(Dollars in millions)
Gross realized gains	$	—	$	227	$	363	$	230
Total proceeds (excludes initial sale of securities from new portfolio securitizations)	6		799		641		894

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, 2018
	Total Amortized Cost⁽¹⁾			Gross Unrealized Gains			Gross Unrealized Losses⁽²⁾				Total Fair Value
	(Dollars in millions)
Fannie Mae		$	1,866		$	72		$	(34	)	$	1,904
Other agency		279			19			—			298
Alt-A and subprime private-label securities		357			292			—			649
Mortgage revenue bonds		494			16			(4		)	506
Other mortgage-related securities		342			24			—			366
Total		$	3,338		$	423		$	(38	)	$	3,723



	As of December 31, 2017
	Total Amortized Cost⁽¹⁾			Gross Unrealized Gains			Gross Unrealized Losses⁽²⁾				Total Fair Value
	(Dollars in millions)
Fannie Mae		$	2,044		$	102		$	(27	)	$	2,119
Other agency		332			25			—			357
Alt-A and subprime private-label securities		662			652			—			1,314
CMBS		15			—			—			15
Mortgage revenue bonds		655			20			(4		)	671
Other mortgage-related securities		350			17			—			367
Total		$	4,058		$	816		$	(31	)	$	4,843

__________


⁽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, 2018
	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	)	$	190		$	(29	)	$	419
Mortgage revenue bonds		(1		)	29			(3		)	3
Total		$	(6	)	$	219		$	(32	)	$	422

	As of December 31, 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		$	(1	)	$	134		$	(26	)	$	461
Mortgage revenue bonds		—			—			(4		)	3
Total		$	(1	)	$	134		$	(30	)	$	464

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 $733 million, $729 million and $1.1 billion as of June 30, 2018, March 31, 2018 and December 31, 2017, respectively. The decrease in the six months ended June 30, 2018 was primarily driven by securities no longer held in our 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 $1.8 billion as of June 30, 2017 and March 31, 2017, and $1.9 billion as of December 31, 2016. The decrease in the six months ended June 30, 2017 was primarily driven by securities no longer held in our 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, 2018
	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
	Total Amortized Cost			Total Fair Value		Amortized Cost			Fair Value		Amortized Cost			Fair Value		Amortized Cost			Fair Value		Amortized Cost			Fair Value
	(Dollars in millions)
Fannie Mae		$	1,866	$	1,904		$	—	$	—		$	12	$	12		$	80	$	85		$	1,774	$	1,807
Other agency		279		298			2		2			11		11			44		47			222		238
Alt-A and subprime private-label securities		357		649			—		—			—		—			—		—			357		649
Mortgage revenue bonds		494		506			4		4			33		33			61		61			396		408
Other mortgage-related securities		342		366			—		—			—		—			6		6			336		360
Total		$	3,338	$	3,723		$	6	$	6		$	56	$	56		$	191	$	199		$	3,085	$	3,462