XML 71 R37.htm IDEA: XBRL DOCUMENT v3.10.0.1
Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2018
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 June 30, 2018
 
As of December 31, 2017
 
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
$
93,391

 
$
723

 
$
19,845

 
$
(674
)
 
$
52,732

 
$
772

 
$
70,211

 
$
(2,120
)
Receive-fixed
106,673

 
1,123

 
63,209

 
(1,296
)
 
31,671

 
2,391

 
138,852

 
(1,764
)
Basis
273

 
98

 
600

 
—

 
873

 
124

 
—

 
—

Foreign currency
229

 
37

 
231

 
(59
)
 
234

 
59

 
236

 
(56
)
Swaptions:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay-fixed
11,525

 
254

 
600

 
(2
)
 
9,750

 
95

 
4,000

 
(20
)
Receive-fixed
500

 
19

 
7,375

 
(336
)
 
250

 
13

 
9,250

 
(304
)
Other(1)
24,716

 
20

 
—

 
(1
)
 
13,240

 
22

 
7,315

 
(1
)
Total gross risk management derivatives
237,307

 
2,274

 
91,860

 
(2,368
)
 
108,750

 
3,476

 
229,864

 
(4,265
)
Accrued interest receivable (payable)
—

 
418

 
—

 
(438
)
 
—

 
835

 
—

 
(814
)
Netting adjustment(2)
—

 
(2,608
)
 
—

 
2,756

 
—

 
(4,272
)
 
—

 
4,979

Total net risk management derivatives
$
237,307

 
$
84

 
$
91,860

 
$
(50
)
 
$
108,750

 
$
39

 
$
229,864

 
$
(100
)
Mortgage commitment derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage commitments to purchase whole loans
$
6,025

 
$
20

 
$
1,506

 
$
(1
)
 
$
4,143

 
$
9

 
$
1,570

 
$
(2
)
Forward contracts to purchase mortgage-related securities
80,636

 
263

 
11,060

 
(16
)
 
45,925

 
108

 
21,099

 
(21
)
Forward contracts to sell mortgage-related securities
5,498

 
5

 
134,031

 
(537
)
 
19,320

 
15

 
85,556

 
(205
)
Total mortgage commitment derivatives
92,159

 
288

 
146,597

 
(554
)
 
69,388

 
132

 
108,225

 
(228
)
Derivatives at fair value
$
329,466

 
$
372

 
$
238,457

 
$
(604
)
 
$
178,138

 
$
171

 
$
338,089

 
$
(328
)
__________
(1) 
Includes credit risk transfer transactions, futures, swap credit enhancements 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 $742 million and $1.4 billion as of June 30, 2018 and December 31, 2017, respectively. Cash collateral received was $594 million and $649 million as of June 30, 2018 and December 31, 2017, 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
 
For the Six Months
 
Ended June 30,
 
Ended June 30,
 
2018
 
2017
 
2018
 
2017
 
(Dollars in millions)
Risk management derivatives:
 
 
 
 
 
 
 
Swaps:
 
 
 
 
 
 
 
Pay-fixed
$
967

 
$
(691
)
 
$
3,750

 
$
—

Receive-fixed
(597
)
 
639

 
(2,984
)
 
322

Basis
(3
)
 
16

 
(26
)
 
23

Foreign currency
(41
)
 
11

 
(25
)
 
23

Swaptions:
 
 
 
 
 
 
 
Pay-fixed
36

 
(48
)
 
165

 
(48
)
Receive-fixed
(22
)
 
(8
)
 
(38
)
 
(26
)
Other
(16
)
 
3

 
(4
)
 
(5
)
Net accrual of periodic settlements
(286
)
 
(224
)
 
(501
)
 
(479
)
Total risk management derivatives fair value gains (losses), net
38

 
(302
)
 
337

 
(190
)
Mortgage commitment derivatives fair value gains (losses), net
(76
)
 
(192
)
 
488

 
(272
)
Total derivatives fair value gains (losses), net
$
(38
)
 
$
(494
)
 
$
825

 
$
(462
)